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: 06/30/2014
Item 1 Schedule of Investments
Schedule of Investments June 30, 2014 (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, 2014, 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 June 30, 2014 |
Income | ||||||||||||
BlackRock Liquidity Funds, TempFund, Institutional Class |
16,206,029 | 3,495,846 | 19,701,875 | $ | 4,202 |
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, 2014, the value of the investments and the percentage owned by the Fund of Master Large Cap Core Portfolio and Master Total Return Portfolio was $559,530,601 and $334,401,759, respectively and 23.7% and 9.8%, respectively.
The Fund records its investments in the Master Portfolios at fair value. The Funds investments in the Master Portfolios are valued pursuant to the pricing policies approved by the Board of Directors of the Master Portfolios.
| Fair Value Measurements Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial reporting purposes as follows: |
| Level 1 unadjusted price quotations in active markets/exchanges for identical assets or liabilities that each Master Portfolio has the ability to access |
| Level 2 other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other marketcorroborated inputs) |
| Level 3 unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including each Master Portfolios own assumptions used in determining the fair value of investments 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 Funds 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, 2014, the Funds investment in the Master Portfolios was classified as Level 2.
There were no transfers between levels during the period ended June 30, 2014.
BLACKROCK BALANCED CAPITAL FUND, INC. | JUNE 30, 2014 | 1 |
Schedule of Investments June 30, 2014 (Unaudited) | Master Large Cap Core Portfolio | |||
(Percentages shown are based on Net Assets) |
Portfolio Abbreviation | ||||||
ADR |
American Depositary Receipts |
2 | BLACKROCK LARGE CAP SERIES FUNDS, INC. | JUNE 30, 2014 |
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, 2014, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows: |
Tax cost |
$ | 1,741,818,070 | ||
|
|
|||
Gross unrealized appreciation |
$ | 621,919,113 | ||
Gross unrealized depreciation |
(6,271,102 | ) | ||
|
|
|||
Net unrealized appreciation |
$ | 615,648,011 | ||
|
|
(a) | Non-income producing security. |
(b) | Investments in issuers considered to be an affiliate of the Portfolio during the period ended June 30, 2014, 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 June 30, 2014 |
Income | ||||||||||||
BlackRock Liquidity Funds, TempFund, Institutional Class |
47,573,194 | (27,874,688 | ) | 19,698,506 | $ | 9,801 | ||||||||||
BlackRock Liquidity Series, LLC, Money Market Series |
$ | 18,691,623 | $ | (18,691,623 | ) | | $ | 4,651 |
(c) | Represents the current yield as of report date. |
BLACKROCK LARGE CAP SERIES FUNDS, INC. | JUNE 30, 2014 | 3 |
Schedule of Investments (concluded) | Master Large Cap Core Portfolio |
| For Portfolio compliance purposes, the Portfolios 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. |
| Fair Value Measurements Various inputs are used in determining the fair value of investments. These inputs to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial reporting purposes as follows: |
| Level 1 unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Portfolio has the ability to access |
| Level 2 other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other marketcorroborated inputs) |
| Level 3 unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Portfolios own assumptions used in determining the fair value of investments) |
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the 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 Portfolios policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments is based on the pricing transparency of the investment and is not necessarily an indication of the risks associated with investing in those securities. For information about the Portfolios policy regarding valuation of investments, please refer to the Portfolios most recent financial statements as contained in its semi-annual report.
The following table summarizes the Portfolios investments categorized in the disclosure hierarchy as of June 30, 2014:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: |
||||||||||||||||
Investments: |
||||||||||||||||
Long-Term Investments1 |
$ | 2,337,767,575 | | | $ | 2,337,767,575 | ||||||||||
Short-Term Securities |
19,698,506 | | | 19,698,506 | ||||||||||||
Total |
$ | 2,357,466,081 | | | $ | 2,357,466,081 | ||||||||||
|
|
|||||||||||||||
1 See above Schedule of Investments for values in each industry. |
There were no transfers between levels during the period ended June 30, 2014.
4 | BLACKROCK LARGE CAP SERIES FUNDS, INC. | JUNE 30, 2014 |
Consolidated Schedule of Investments June 30, 2014 (Unaudited) | Master Total Return Portfolio | |||
(Percentages shown are based on Net Assets) |
Portfolio Abbreviations |
ABS |
Asset-Backed Security | EURIBOR | Euro Interbank Offered Rate | OTC | Over-the-counter | |||||
AUD |
Australian Dollar | FKA | Formerly Known As | PIK | Payment-in-kind | |||||
BRL |
Brazilian Real | GBP | British Pound | PLN | Polish Zloty | |||||
CAD |
Canadian Dollar | GO | General Obligation | RB | Revenue Bonds | |||||
CDO |
Collateralized Debt Obligation | HUF | Hungarian Forint | RUB | Russian Rouble | |||||
CHF |
Swiss Franc | INR | Indian Rupee | TBA | To-be-announced | |||||
CLO |
Collateralized Loan Obligation | JPY | Japanese Yen | TRY | Turkish Lira | |||||
CNY |
Chinese Yuan | KRW | South Korean Won | USD | U.S. Dollar | |||||
ETF |
Exchange-Traded Fund | LIBOR | London Interbank Offered Rate | ZAR | South African Rand | |||||
EUR |
Euro | MXN | Mexican Peso |
MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2014 | 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, 2014 |
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, 2014 | 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, 2014 |
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, 2014 | 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, 2014 |
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, 2014 | 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, 2014 |
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, 2014 | 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, 2014 |
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, 2014 | 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, 2014 |
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, 2014 | 13 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio | |||
(Percentages shown are based on Net Assets) |
14 | MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2014 |
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, 2014 | 15 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio | |||
(Percentages shown are based on Net Assets) |
Notes to Consolidated Schedule of Investments |
* | As of June 30, 2014, gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes were as follows: |
Tax cost |
$ | 5,930,559,161 | ||
|
|
|||
Gross unrealized appreciation |
$ | 119,170,234 | ||
Gross unrealized depreciation |
(20,379,455 | ) | ||
|
|
|||
Net unrealized appreciation |
$ | 98,790,779 | ||
|
|
(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 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. |
(d) | All or a portion of security has been segregated as collateral in connection with outstanding options written. |
(e) | 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. |
(f) | All or a portion of security has been pledged as collateral in connection with outstanding reverse repurchase agreements. |
(g) | Investments in issuers considered to be an affiliate of the Master Portfolio during the period ended June 30, 2014, 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 June 30, 2014 |
Value at June 30, 2014 |
Income | ||||||||||||||||||
BlackRock Capital Finance LP, Series 1997-R2, Class AP |
| 8,540 | (1,308 | ) | 7,232 | $ | 7,000 | $ | 1,319 | |||||||||||||||
BlackRock Liquidity Funds, TempFund, Institutional Class |
51,436,621 | | (51,436,621 | )1 | | | $ | 5,264 | ||||||||||||||||
iShares iBoxx $ High Yield Corporate Bond ETF |
190,000 | | (190,000 | ) | | | $ | 344,318 | ||||||||||||||||
iShares JPMorgan USD Emerging Markets Bond Fund |
114,500 | | (114,500 | ) | | | $ | 99,593 |
1 | Represents net shares sold. |
16 | MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2014 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio | |||
(Percentages shown are based on Net Assets) |
(h) | Zero-coupon bond. |
(i) | Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities. |
(j) | Issuer filed for bankruptcy and/or is in default of interest payments. |
(k) | Non-income producing security. |
(l) | Security is perpetual in nature and has no stated maturity date. |
(m) | When-issued security. |
(n) | Represents or includes a TBA transaction. Unsettled TBA transactions as of June 30, 2014 were as follows: |
Counterparty | Value |
Unrealized Appreciation (Depreciation) |
||||||
Barclays Capital, Inc. |
$ | (13,725,702 | ) | $ | (158,483 | ) | ||
BNP Paribas Securities Corp. |
$ | 1,955,813 | $ | 13,063 | ||||
Citigroup Global Markets, Inc. |
$ | (2,514,517 | ) | $ | (17,205 | ) | ||
Credit Suisse Securities (USA) LLC |
$ | (58,526,569 | ) | $ | (555,720 | ) | ||
Daiwa Capital Markets America, Inc. |
$ | (2,511,402 | ) | $ | (2,964 | ) | ||
Deutsche Bank Securities, Inc. |
$ | 51,153,686 | $ | 332,237 | ||||
Goldman Sachs & Co. |
$ | 11,498,943 | $ | (83,645 | ) | |||
J.P. Morgan Securities LLC |
$ | (18,382,444 | ) | $ | (682,350 | ) | ||
Merrill Lynch, Pierce, Fenner & Smith, Inc. |
$ | 28,030,465 | $ | 278,500 | ||||
Morgan Stanley & Co. LLC |
$ | (49,443,510 | ) | $ | (398,697 | ) | ||
Nomura Securities International, Inc. |
$ | (3,025,813 | ) | $ | (62,094 | ) | ||
RBC Capital Markets, LLC |
$ | 3,602,813 | $ | 26,797 | ||||
RBS Securities, Inc. |
$ | (1,850,204 | ) | $ | (14,204 | ) |
(o) | All or a portion of security has been pledged as collateral in connection with outstanding TBA commitments. |
| For Master Portfolio compliance purposes, the Master Portfolios industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or 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. |
| Reverse repurchase agreements outstanding as of June 30, 2014 were as follows: |
Counterparty |
Interest Rate |
Trade Date |
Maturity Date |
Face Value |
Face Value Including Accrued Interest |
|||||||||||||
Credit Suisse Securities (USA) LLC |
0.13 | % | 12/10/13 | Open | $ | 8,439,488 | $ | 8,444,246 | ||||||||||
Credit Suisse Securities (USA) LLC |
0.13 | % | 12/10/13 | Open | 27,379,950 | 27,395,389 | ||||||||||||
Credit Suisse Securities (USA) LLC |
0.13 | % | 12/10/13 | Open | 31,756,000 | 31,773,907 | ||||||||||||
Barclays Bank PLC |
(5.00 | )% | 2/19/14 | Open | 489,958 | 489,958 | ||||||||||||
Deutsche Bank Securities, Inc. |
0.27 | % | 4/21/14 | Open | 8,447,000 | 8,448,314 | ||||||||||||
Bank of Montreal |
0.16 | % | 5/20/14 | Open | 46,941,250 | 46,944,536 | ||||||||||||
BNP Paribas Securities Corp. |
0.14 | % | 5/30/14 | Open | 11,519,875 | 11,521,206 | ||||||||||||
Morgan Stanley & Co. LLC |
(0.25 | )% | 6/05/14 | Open | 4,037,813 | 4,037,813 | ||||||||||||
Credit Suisse Securities (USA) LLC |
0.16 | % | 6/11/14 | 7/14/14 | 44,065,129 | 44,068,850 | ||||||||||||
HSBC Securities (USA), Inc. |
0.16 | % | 6/11/14 | 7/14/14 | 213,211,361 | 213,229,366 | ||||||||||||
RBC Capital Markets LLC |
0.17 | % | 6/16/14 | Open | 34,562,500 | 34,565,092 | ||||||||||||
Morgan Stanley & Co. LLC |
0.17 | % | 6/19/14 | 7/21/14 | 109,863,000 | 109,869,226 | ||||||||||||
RBC Capital Markets LLC |
0.22 | % | 6/24/14 | 7/21/14 | 93,434,000 | 93,437,997 | ||||||||||||
Citigroup Global Markets, Inc. |
0.19 | % | 6/25/14 | 7/14/14 | 35,917,000 | 35,918,137 | ||||||||||||
RBC Capital Markets LLC |
0.19 | % | 6/25/14 | Open | 46,310,000 | 46,311,003 | ||||||||||||
BNP Paribas Securities Corp. |
0.10 | % | 6/27/14 | Open | 47,856,891 | 47,857,689 | ||||||||||||
Barclays Capital, Inc. |
0.12 | % | 6/30/14 | 7/01/14 | 11,333,325 | 11,333,363 | ||||||||||||
BNP Paribas Securities Corp. |
0.12 | % | 6/30/14 | 7/01/14 | 48,290,288 | 48,290,448 | ||||||||||||
Credit Suisse Securities (USA) LLC |
0.02 | % | 6/30/14 | 7/01/14 | 145,129,686 | 145,129,766 | ||||||||||||
Deutsche Bank Securities, Inc. |
(0.06 | )% | 6/30/14 | 7/01/14 | 205,870,000 | 205,870,000 | ||||||||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. |
0.16 | % | 6/30/14 | 7/01/14 | 296,024,000 | 296,025,316 | ||||||||||||
Credit Suisse Securities (USA) LLC |
0.15 | % | 6/30/14 | Open | 33,787,500 | 33,787,641 | ||||||||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. |
0.20 | % | 6/30/14 | Open | 6,000,000 | 6,000,033 | ||||||||||||
RBC Capital Markets LLC |
0.19 | % | 6/30/14 | Open | 44,440,000 | 44,440,210 | ||||||||||||
Total |
$ | 1,555,106,014 | $ | 1,555,189,506 | ||||||||||||||
|
|
MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2014 | 17 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio |
| Financial futures contracts outstanding as of June 30, 2014 were as follows: |
Contracts (Sold) |
Issue | Exchange | Expiration | Notional Value |
Unrealized Appreciation (Depreciation) |
|||||||||||||||
45 | CBOE Volatility Index | Chicago Board of Trade | August 2014 | USD | 600,750 | $ | (13,601 | ) | ||||||||||||
12 | E-Mini Russell 2000 Futures | Intercontinental Exchange | September 2014 | USD | 1,428,360 | 8,614 | ||||||||||||||
(262 | ) | Euro STOXX Banks Index | Eurex | September 2014 | USD | 2,620,718 | 162,988 | |||||||||||||
(353 | ) | Euro-Bobl | Eurex | September 2014 | USD | 61,933,301 | (311,157 | ) | ||||||||||||
(210 | ) | Euro-Bund | Eurex | September 2014 | USD | 42,273,175 | (469,565 | ) | ||||||||||||
(111 | ) | Euro-Buxl | Eurex | September 2014 | USD | 20,467,287 | (539,971 | ) | ||||||||||||
(53 | ) | Euro-Schatz | Eurex | September 2014 | USD | 8,030,919 | (1,943 | ) | ||||||||||||
(102 | ) | Gilt British | NYSE Liffe | September 2014 | USD | 19,187,842 | (29 | ) | ||||||||||||
(17 | ) | Japanese Government Bonds (10 Year) | Osaka | September 2014 | USD | 24,441,538 | (83,227 | ) | ||||||||||||
795 | U.S. Treasury Bonds (30 Year) | Chicago Board of Trade | September 2014 | USD | 109,064,062 | 679,445 | ||||||||||||||
(1,649 | ) | U.S. Treasury Notes (10 Year) | Chicago Board of Trade | September 2014 | USD | 206,408,422 | (545,000 | ) | ||||||||||||
579 | U.S. Treasury Notes (2 Year) | Chicago Board of Trade | September 2014 | USD | 127,144,781 | (84,532 | ) | |||||||||||||
(268 | ) | U.S. Treasury Notes (5 Year) | Chicago Board of Trade | September 2014 | USD | 32,015,531 | (8,683 | ) | ||||||||||||
(273 | ) | U.S. Ultra Treasury Bonds | Chicago Board of Trade | September 2014 | USD | 40,932,938 | (346,224 | ) | ||||||||||||
(1,390 | ) | Euro Dollar Futures | Chicago Mercantile | June 2015 | USD | 345,710,375 | 103,003 | |||||||||||||
(720 | ) | Euro Dollar Futures | Chicago Mercantile | September 2015 | USD | 178,722,000 | (101,772 | ) | ||||||||||||
(733 | ) | Euro Dollar Futures | Chicago Mercantile | December 2015 | USD | 181,536,613 | (107,162 | ) | ||||||||||||
(208 | ) | Euro Dollar Futures | Chicago Mercantile | March 2016 | USD | 51,389,000 | (34,577 | ) | ||||||||||||
42 | 3-month EURIBOR | NYSE Liffe | June 2016 | USD | 14,334,520 | 61,808 | ||||||||||||||
(26 | ) | Euro Dollar Futures | Chicago Mercantile | June 2016 | USD | 6,406,400 | (11,262 | ) | ||||||||||||
174 | 3-month EURIBOR | NYSE Liffe | September 2016 | USD | 59,347,152 | 466,894 | ||||||||||||||
(6 | ) | Euro Dollar Futures | Chicago Mercantile | September 2016 | USD | 1,474,275 | 442 | |||||||||||||
(6 | ) | Euro Dollar Futures | Chicago Mercantile | December 2016 | USD | 1,470,375 | 442 | |||||||||||||
(6 | ) | Euro Dollar Futures | Chicago Mercantile | March 2017 | USD | 1,467,225 | 292 | |||||||||||||
(42 | ) | 3-month EURIBOR | NYSE Liffe | June 2017 | USD | 14,294,263 | (95,748 | ) | ||||||||||||
(6 | ) | Euro Dollar Futures | Chicago Mercantile | June 2017 | USD | 1,464,225 | (2,634 | ) | ||||||||||||
(174 | ) | 3-month EURIBOR | NYSE Liffe | September 2017 | USD | 59,162,502 | (637,931 | ) | ||||||||||||
Total | $ | (1,911,090 | ) | |||||||||||||||||
|
|
| Forward foreign currency exchange contracts outstanding as of June 30, 2014 were as follows: |
Currency Purchased |
Currency Sold |
Counterparty | Settlement Date |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||
BRL | 9,245,007 | USD | 4,043,000 | Deutsche Bank AG | 7/02/14 | $ | 138,577 | |||||||||||||||
BRL | 9,129,094 | USD | 4,043,000 | Goldman Sachs International | 7/02/14 | 86,149 | ||||||||||||||||
USD | 8,086,000 | BRL | 18,027,737 | Goldman Sachs International | 7/02/14 | (68,063 | ) | |||||||||||||||
TRY | 7,317,833 | USD | 3,415,000 | BNP Paribas S.A. | 7/08/14 | 33,124 | ||||||||||||||||
TRY | 20,909,000 | USD | 9,761,438 | Deutsche Bank AG | 7/08/14 | 90,772 | ||||||||||||||||
TRY | 1,498,933 | ZAR | 7,430,061 | BNP Paribas S.A. | 7/08/14 | 8,667 | ||||||||||||||||
TRY | 1,498,934 | ZAR | 7,423,111 | JPMorgan Chase Bank N.A. | 7/08/14 | 9,320 | ||||||||||||||||
TRY | 5,178,133 | ZAR | 25,646,324 | JPMorgan Chase Bank N.A. | 7/08/14 | 31,927 | ||||||||||||||||
USD | 1,366,000 | TRY | 2,924,469 | BNP Paribas S.A. | 7/08/14 | (11,995 | ) | |||||||||||||||
TRY | 98,983,000 | USD | 46,296,465 | Goldman Sachs International | 7/10/14 | 323,670 | ||||||||||||||||
INR | 242,082,100 | USD | 4,030,000 | Deutsche Bank AG | 7/21/14 | (26,807 | ) | |||||||||||||||
CAD | 5,055,000 | USD | 4,594,519 | Deutsche Bank AG | 7/23/14 | 139,864 | ||||||||||||||||
EUR | 26,000,000 | USD | 35,335,144 | Citibank N.A. | 7/23/14 | 269,803 | ||||||||||||||||
EUR | 29,000,000 | USD | 39,453,050 | Citibank N.A. | 7/23/14 | 260,160 | ||||||||||||||||
EUR | 60,550,000 | USD | 82,685,203 | Goldman Sachs International | 7/23/14 | 233,241 | ||||||||||||||||
GBP | 1,400,000 | USD | 2,342,213 | Citibank N.A. | 7/23/14 | 53,279 | ||||||||||||||||
GBP | 1,900,000 | USD | 3,198,152 | The Bank of New York Mellon | 7/23/14 | 52,871 | ||||||||||||||||
USD | 1,715,620 | AUD | 1,834,000 | Bank of America N.A. | 7/23/14 | (10,543 | ) | |||||||||||||||
USD | 4,414,512 | CAD | 4,800,000 | Citibank N.A. | 7/23/14 | (81,045 | ) |
18 | MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2014 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio |
| Forward foreign currency exchange contracts outstanding as of June 30, 2014 were as follows: (continued) |
Currency Purchased |
Currency Sold |
Counterparty | Settlement Date |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||
USD | 244,835 | CHF | 219,500 | Royal Bank of Scotland PLC | 7/23/14 | $ | (2,734 | ) | ||||||||||||||
USD | 3,668,492 | EUR | 2,691,000 | Bank of America N.A. | 7/23/14 | (16,620 | ) | |||||||||||||||
USD | 6,322,422 | EUR | 4,630,000 | Bank of America N.A. | 7/23/14 | (17,997 | ) | |||||||||||||||
USD | 2,062,518 | EUR | 1,515,000 | Barclays Bank PLC | 7/23/14 | (12,155 | ) | |||||||||||||||
USD | 2,207,073 | EUR | 1,611,000 | Barclays Bank PLC | 7/23/14 | 936 | ||||||||||||||||
USD | 354,915,562 | EUR | 256,792,000 | Barclays Bank PLC | 7/23/14 | 3,259,192 | ||||||||||||||||
USD | 136,857 | EUR | 100,000 | BNP Paribas S.A. | 7/23/14 | (85 | ) | |||||||||||||||
USD | 310,236 | EUR | 229,000 | BNP Paribas S.A. | 7/23/14 | (3,361 | ) | |||||||||||||||
USD | 1,041,444 | EUR | 766,000 | BNP Paribas S.A. | 7/23/14 | (7,533 | ) | |||||||||||||||
USD | 1,359,505 | EUR | 1,000,000 | BNP Paribas S.A. | 7/23/14 | (9,916 | ) | |||||||||||||||
USD | 2,137,398 | EUR | 1,572,000 | BNP Paribas S.A. | 7/23/14 | (15,332 | ) | |||||||||||||||
USD | 4,937,895 | EUR | 3,602,000 | BNP Paribas S.A. | 7/23/14 | 5,241 | ||||||||||||||||
USD | 1,006,669 | EUR | 730,000 | Citibank N.A. | 7/23/14 | 6,992 | ||||||||||||||||
USD | 1,311,483 | EUR | 960,000 | Citibank N.A. | 7/23/14 | (3,161 | ) | |||||||||||||||
USD | 21,039,962 | EUR | 15,476,000 | Deutsche Bank AG | 7/23/14 | (153,198 | ) | |||||||||||||||
USD | 17,542,593 | EUR | 12,807,000 | Goldman Sachs Bank USA | 7/23/14 | 4,418 | ||||||||||||||||
USD | 27,775,610 | EUR | 20,110,000 | Goldman Sachs Bank USA | 7/23/14 | 236,553 | ||||||||||||||||
USD | 2,044,379 | EUR | 1,500,000 | Royal Bank of Scotland PLC | 7/23/14 | (9,753 | ) | |||||||||||||||
USD | 756,728 | EUR | 555,000 | Toronto-Dominion Bank | 7/23/14 | (3,301 | ) | |||||||||||||||
USD | 117,362,890 | EUR | 86,429,000 | Toronto-Dominion Bank | 7/23/14 | (994,802 | ) | |||||||||||||||
USD | 42,254 | EUR | 31,000 | UBS AG | 7/23/14 | (198 | ) | |||||||||||||||
USD | 547,969 | EUR | 405,000 | UBS AG | 7/23/14 | (6,647 | ) | |||||||||||||||
USD | 1,156,245 | EUR | 850,000 | UBS AG | 7/23/14 | (7,763 | ) | |||||||||||||||
USD | 848,334 | GBP | 504,000 | Barclays Bank PLC | 7/23/14 | (14,043 | ) | |||||||||||||||
USD | 43,385,561 | GBP | 25,825,000 | Barclays Bank PLC | 7/23/14 | (802,695 | ) | |||||||||||||||
USD | 801,211 | GBP | 475,000 | Citibank N.A. | 7/23/14 | (11,545 | ) | |||||||||||||||
USD | 12,115,745 | ZAR | 128,061,000 | UBS AG | 7/23/14 | 124,673 | ||||||||||||||||
ZAR | 132,373,000 | USD | 12,524,132 | JPMorgan Chase Bank N.A. | 7/23/14 | (129,304 | ) | |||||||||||||||
USD | 6,250,000 | RUB | 228,218,750 | Deutsche Bank AG | 7/25/14 | (427,000 | ) | |||||||||||||||
USD | 4,798,000 | RUB | 167,834,040 | Morgan Stanley Capital Services LLC | 7/25/14 | (112,324 | ) | |||||||||||||||
USD | 6,255,000 | RUB | 230,778,225 | Morgan Stanley Capital Services LLC | 7/25/14 | (496,883 | ) | |||||||||||||||
INR | 81,170,920 | USD | 1,343,000 | BNP Paribas S.A. | 7/28/14 | (3,133 | ) | |||||||||||||||
INR | 162,415,715 | USD | 2,687,000 | BNP Paribas S.A. | 7/28/14 | (6,047 | ) | |||||||||||||||
BRL | 18,192,691 | USD | 8,086,000 | Goldman Sachs International | 8/04/14 | 59,798 | ||||||||||||||||
USD | 3,850,000 | BRL | 8,587,425 | Goldman Sachs International | 8/04/14 | 4,971 | ||||||||||||||||
USD | 624,476 | EUR | 456,000 | Bank of America N.A. | 8/05/14 | 64 | ||||||||||||||||
AUD | 1,786,000 | EUR | 1,227,674 | Bank of America N.A. | 9/17/14 | (7,057 | ) | |||||||||||||||
AUD | 3,637,000 | EUR | 2,472,216 | Citibank N.A. | 9/17/14 | 23,723 | ||||||||||||||||
EUR | 740,000 | GBP | 591,291 | Goldman Sachs International | 9/17/14 | 2,324 | ||||||||||||||||
GBP | 3,078,811 | EUR | 3,805,000 | Barclays Bank PLC | 9/17/14 | 53,824 | ||||||||||||||||
GBP | 3,609,000 | USD | 6,095,240 | Barclays Bank PLC | 9/17/14 | 77,089 | ||||||||||||||||
PLN | 24,215,870 | EUR | 5,850,000 | Barclays Bank PLC | 9/17/14 | (78,751 | ) | |||||||||||||||
USD | 23,480,598 | AUD | 25,221,892 | Bank of America N.A. | 9/17/14 | (166,681 | ) | |||||||||||||||
USD | 15,900,000 | CAD | 17,378,795 | Royal Bank of Scotland PLC | 9/17/14 | (354,478 | ) | |||||||||||||||
USD | 6,118,771 | GBP | 3,609,000 | Barclays Bank PLC | 9/17/14 | (53,559 | ) | |||||||||||||||
USD | 16,990,000 | JPY | 1,737,601,280 | Bank of America N.A. | 9/17/14 | (172,136 | ) | |||||||||||||||
USD | 4,722,135 | TRY | 10,477,000 | Deutsche Bank AG | 12/04/14 | (65,581 | ) | |||||||||||||||
USD | 4,925,537 | TRY | 10,782,000 | Deutsche Bank AG | 12/04/14 | (1,556 | ) |
MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2014 | 19 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio |
| Forward foreign currency exchange contracts outstanding as of June 30, 2014 were as follows: (concluded) |
Currency Purchased |
Currency Sold |
Counterparty | Settlement Date |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||
USD | 9,453,814 | TRY | 20,909,000 | Deutsche Bank AG | 12/04/14 | $ | (101,054 | ) | ||||||||||||||
USD | 1,194,222 | TRY | 2,583,939 | Goldman Sachs International | 12/04/14 | 13,430 | ||||||||||||||||
BRL | 4,948,329 | USD | 2,023,856 | JPMorgan Chase Bank N.A. | 3/03/15 | 70,497 | ||||||||||||||||
USD | 1,021,150 | BRL | 2,439,017 | Goldman Sachs International | 3/03/15 | (11,151 | ) | |||||||||||||||
USD | 1,049,126 | BRL | 2,500,696 | Morgan Stanley & Co. International PLC | 3/03/15 | (9,280 | ) | |||||||||||||||
USD | 3,303,888 | TRY | 7,368,000 | Deutsche Bank AG | 3/03/15 | (173,881 | ) | |||||||||||||||
TRY | 2,664,209 | USD | 1,160,521 | Bank of America N.A. | 5/07/15 | 19,826 | ||||||||||||||||
USD | 494,829 | TRY | 1,121,629 | Bank of America N.A. | 5/07/15 | (2,096 | ) | |||||||||||||||
USD | 662,912 | TRY | 1,519,195 | Bank of America N.A. | 5/07/15 | (10,150 | ) | |||||||||||||||
USD | 686,041 | TRY | 1,554,466 | Bank of America N.A. | 5/07/15 | (2,648 | ) | |||||||||||||||
USD | 2,340,978 | TRY | 5,278,203 | BNP Paribas S.A. | 5/07/15 | 2,530 | ||||||||||||||||
USD | 1,152,400 | TRY | 2,645,335 | Deutsche Bank AG | 5/07/15 | (19,585 | ) | |||||||||||||||
USD | 1,635,738 | TRY | 3,684,174 | Deutsche Bank AG | 5/07/15 | 3,507 | ||||||||||||||||
USD | 1,335,919 | TRY | 3,012,631 | Goldman Sachs International | 5/07/15 | 1,207 | ||||||||||||||||
USD | 6,343,201 | TRY | 14,250,000 | Bank of America N.A. | 5/26/15 | 53,518 | ||||||||||||||||
USD | 2,444,268 | TRY | 5,526,000 | Deutsche Bank AG | 5/26/15 | 5,195 | ||||||||||||||||
USD | 3,256,287 | TRY | 7,368,000 | Deutsche Bank AG | 5/26/15 | 4,190 | ||||||||||||||||
USD | 1,596,515 | TRY | 3,573,000 | Goldman Sachs International | 5/26/15 | 19,459 | ||||||||||||||||
USD | 3,176,727 | TRY | 7,147,000 | Goldman Sachs International | 5/26/15 | 22,175 | ||||||||||||||||
USD | 4,729,968 | TRY | 10,720,000 | Goldman Sachs International | 5/26/15 | (1,639 | ) | |||||||||||||||
USD | 4,734,982 | TRY | 10,720,000 | Goldman Sachs International | 5/26/15 | 3,375 | ||||||||||||||||
USD | 4,858,022 | TRY | 11,052,000 | Goldman Sachs International | 5/26/15 | (358,631 | ) | |||||||||||||||
Total | $ | 754,234 | ||||||||||||||||||||
|
|
| Exchange-traded options purchased as of June 30, 2014 were as follows: |
Description | Put/ Call |
Strike Price |
Expiration Date |
Contracts |
Market Value |
|||||||||||||||||||
Euro Dollar 1-Year Mid-Curve |
Put | USD | 99.25 | 7/11/14 | 65 | $ | 3,250 | |||||||||||||||||
CBOE Volatility Index |
Put | USD | 13.00 | 7/16/14 | 1,067 | 118,437 | ||||||||||||||||||
E-Mini S&P 500 Index Futures |
Put | USD | 1,895.00 | 7/18/14 | 77 | 16,170 | ||||||||||||||||||
U.S. Treasury Notes (10 Year) |
Put | USD | 123.50 | 7/25/14 | 1,100 | 103,125 | ||||||||||||||||||
U.S. Treasury Notes (10 Year) |
Put | USD | 121.50 | 7/25/14 | 1,100 | 17,188 | ||||||||||||||||||
U.S. Treasury Notes (10 Year) |
Put | USD | 124.00 | 7/25/14 | 917 | 157,609 | ||||||||||||||||||
U.S. Treasury Notes (10 Year) |
Put | USD | 122.00 | 7/25/14 | 917 | 14,328 | ||||||||||||||||||
Euro Dollar 2-Year Mid-Curve |
Put | USD | 98.00 | 9/12/14 | 239 | 31,369 | ||||||||||||||||||
Euro Dollar 1-Year Mid-Curve |
Put | USD | 98.75 | 12/12/14 | 5,651 | 918,288 | ||||||||||||||||||
Euro Dollar 1-Year Mid-Curve |
Put | USD | 98.63 | 12/12/14 | 2,456 | 276,300 | ||||||||||||||||||
Euro Dollar 1-Year Mid-Curve |
Put | USD | 98.88 | 12/12/14 | 2,032 | 482,600 | ||||||||||||||||||
Total |
$ | 2,138,664 | ||||||||||||||||||||||
|
|
| OTC options purchased as of June 30, 2014 were as follows: |
Description | Counterparty | Put/ Call |
Strike Price |
Expiration Date |
Notional Amount (000) |
Market Value |
||||||||||||||||||||||
EUR Currency |
Citibank N.A. | Call | GBP | 0.82 | 7/07/14 | EUR | 3,805 | $ | 20 | |||||||||||||||||||
USD Currency |
Barclays Bank PLC | Call | JPY | 112.00 | 7/17/14 | USD | 5,080 | | ||||||||||||||||||||
USD Currency |
BNP Paribas S.A. | Call | JPY | 105.00 | 7/17/14 | USD | 8,450 | 94 | ||||||||||||||||||||
USD Currency |
Barclays Bank PLC | Call | MXN | 13.60 | 8/07/14 | USD | 5,150 | 3,933 | ||||||||||||||||||||
USD Currency |
Bank of America N.A. | Put | TRY | 2.15 | 7/01/14 | USD | 8,225 | 94,494 | ||||||||||||||||||||
USD Currency |
Bank of America N.A. | Put | TRY | 2.08 | 7/01/14 | USD | 8,225 | 1 |
20 | MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2014 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio |
| OTC options purchased as of June 30, 2014 were as follows: (concluded) |
Description | Counterparty | Put/ Call |
Strike Price |
Expiration Date |
Notional Amount (000) |
Market Value |
||||||||||||||||||||
USD Currency |
Deutsche Bank AG | Put | MXN | 12.60 | 7/02/14 | USD | 13,840 | $ | 1 | |||||||||||||||||
USD Currency |
Goldman Sachs International | Put | MXN | 12.90 | 7/02/14 | USD | 5,536 | 1,445 | ||||||||||||||||||
USD Currency |
Goldman Sachs International | Put | MXN | 12.90 | 7/02/14 | USD | 3,691 | 964 | ||||||||||||||||||
GBP Currency |
Citibank N.A. | Put | USD | 1.70 | 7/03/14 | GBP | 62,305 | 24,855 | ||||||||||||||||||
USD Currency |
Bank of America N.A. | Put | TRY | 2.09 | 7/14/14 | USD | 8,117 | 9,807 | ||||||||||||||||||
USD Currency |
Barclays Bank PLC | Put | MXN | 12.60 | 8/07/14 | USD | 10,300 | 4,500 | ||||||||||||||||||
USD Currency |
Goldman Sachs International | Put | MXN | 12.95 | 8/07/14 | USD | 10,300 | 62,077 | ||||||||||||||||||
AUD Currency |
Barclays Bank PLC | Put | USD | 0.90 | 12/19/14 | AUD | 21,955 | 185,886 | ||||||||||||||||||
Total |
$ | 388,077 | ||||||||||||||||||||||||
|
|
| OTC interest rate swaptions purchased as of June 30, 2014 were as follows: |
Description | Counterparty | Put/ Call |
Exercise Rate | Pay/Receive Exercise Rate |
Floating Rate Index | Expiration Date |
Notional Amount (000) |
Market Value |
||||||||||||||||||
2-Year Interest Rate Swap |
Credit Suisse International | Call | 11.80 | % | Receive | 1-day Overnight Brazil Interbank Deposit Rate | 1/02/15 | BRL | 17,315 | $ | 57,920 | |||||||||||||||
2-Year Interest Rate Swap |
Credit Suisse International | Call | 11.80 | % | Receive | 1-day Overnight Brazil Interbank Deposit Rate | 1/02/15 | BRL | 13,909 | 46,527 | ||||||||||||||||
2-Year Interest Rate Swap |
Deutsche Bank AG | Call | 12.00 | % | Receive | 1-day Overnight Brazil Interbank Deposit Rate | 1/02/15 | BRL | 25,821 | 108,856 | ||||||||||||||||
5-Year Interest Rate Swap |
Barclays Bank PLC | Put | 2.04 | % | Pay | 3-month LIBOR | 7/03/14 | USD | 55,805 | 6 | ||||||||||||||||
10-Year Interest Rate Swap |
Deutsche Bank AG | Put | 2.98 | % | Pay | 3-month LIBOR | 9/03/14 | USD | 13,100 | 22,774 | ||||||||||||||||
1.5-Year Interest Rate Swap |
Deutsche Bank AG | Put | 0.75 | % | Pay | 3-month LIBOR | 12/15/14 | USD | 54,348 | 58,517 | ||||||||||||||||
1.5-Year Interest Rate Swap |
Barclays Bank PLC | Put | 0.75 | % | Pay | 3-month LIBOR | 12/16/14 | USD | 32,609 | 36,186 | ||||||||||||||||
5-Year Interest Rate Swap |
Deutsche Bank AG | Put | 3.87 | % | Pay | 3-month LIBOR | 12/18/14 | USD | 4,400 | 26,968 | ||||||||||||||||
5-Year Interest Rate Swap |
Deutsche Bank AG | Put | 3.89 | % | Pay | 3-month LIBOR | 12/22/14 | USD | 4,390 | 25,649 | ||||||||||||||||
Total |
$ | 383,403 | ||||||||||||||||||||||||
|
|
| Exchange-traded options written as of June 30, 2014 were as follows: |
Description | Put/ Call |
Strike Price |
Expiration Date |
Contracts | Market Value |
|||||||||||||||||
iShares Russell 2000 Index (ETF) |
Call | USD | 120.00 | 7/03/14 | 1,630 | $ | (13,040 | ) | ||||||||||||||
CBOE Volatility Index |
Call | USD | 13.00 | 7/16/14 | 1,049 | (58,744 | ) | |||||||||||||||
Euro Dollar 2-Year Mid-Curve |
Call | USD | 98.38 | 9/12/14 | 136 | (34,850 | ) | |||||||||||||||
iShares Russell 2000 Index (ETF) |
Put | USD | 113.00 | 7/03/14 | 1,630 | (6,520 | ) | |||||||||||||||
E-Mini S&P 500 Index Futures |
Put | USD | 1,855.00 | 7/18/14 | 77 | (8,662 | ) | |||||||||||||||
U.S. Treasury Notes (10 Year) |
Put | USD | 123.00 | 7/25/14 | 1,834 | (85,969 | ) | |||||||||||||||
U.S. Treasury Notes (10 Year) |
Put | USD | 122.50 | 7/25/14 | 2,201 | (68,781 | ) | |||||||||||||||
CBOE Volatility Index |
Put | USD | 13.00 | 8/20/14 | 1,067 | (106,700 | ) | |||||||||||||||
Euro Dollar 2-Year Mid-Curve |
Put | USD | 97.63 | 9/12/14 | 125 | (3,125 | ) | |||||||||||||||
Euro Dollar 3-Year Mid-Curve |
Put | USD | 96.38 | 12/12/14 | 1,228 | (84,425 | ) | |||||||||||||||
Total |
$ | (470,816 | ) | |||||||||||||||||||
|
|
MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2014 | 21 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio |
| OTC interest rate swaptions written as of June 30, 2014 were as follows: |
Description | Counterparty | Put/ Call |
Exercise Rate |
Pay/Receive Exercise Rate |
Floating Rate Index |
Expiration Date |
Notional Amount (000) |
Market Value |
||||||||||||||||||||||||
1-Year Interest Rate Swap |
JPMorgan Chase Bank N.A. | Call | 11.80 | % | Pay | 1-day BZDIOVER | 7/01/14 | BRL | 31,931 | $ | (114,495 | ) | ||||||||||||||||||||
2-Year Interest Rate Swap |
JPMorgan Chase Bank N.A. | Call | 10.80 | % | Pay | 1-day BZDIOVER | 1/02/15 | BRL | 11,800 | (9,628 | ) | |||||||||||||||||||||
2-Year Interest Rate Swap |
Credit Suisse International | Call | 11.00 | % | Pay | 1-day BZDIOVER | 1/02/15 | BRL | 23,719 | (26,682 | ) | |||||||||||||||||||||
2-Year Interest Rate Swap |
Deutsche Bank AG | Call | 11.50 | % | Pay | 1-day BZDIOVER | 1/02/15 | BRL | 25,821 | (58,826 | ) | |||||||||||||||||||||
1-Year Interest Rate Swap |
Citibank N.A. | Call | 6.50 | % | Pay | 3-month JIBAR | 5/19/15 | ZAR | 318,380 | (52,896 | ) | |||||||||||||||||||||
1.5-Year Interest Rate Swap |
Goldman Sachs International | Put | 1.10 | % | Receive | 3-month LIBOR | 12/15/14 | USD | 27,250 | (8,355 | ) | |||||||||||||||||||||
1.5-Year Interest Rate Swap |
Barclays Bank PLC | Put | 1.10 | % | Receive | 3-month LIBOR | 12/16/14 | USD | 16,350 | (5,197 | ) | |||||||||||||||||||||
1-Year Interest Rate Swap |
Credit Suisse International | Put | 14.00 | % | Receive | 1-day BZDIOVER | 1/02/15 | BRL | 44,240 | (300 | ) | |||||||||||||||||||||
2-Year Interest Rate Swap |
Bank of America N.A. | Put | 12.50 | % | Receive | 1-day BZDIOVER | 1/02/15 | BRL | 15,846 | (15,490 | ) | |||||||||||||||||||||
2-Year Interest Rate Swap |
Deutsche Bank AG | Put | 12.50 | % | Receive | 1-day BZDIOVER | 1/02/15 | BRL | 10,432 | (10,199 | ) | |||||||||||||||||||||
Total |
$ | (302,068 | ) | |||||||||||||||||||||||||||||
|
|
| OTC options written as of June 30, 2014 were as follows: |
Description | Counterparty | Put/ Call |
Strike Price |
Expiration Date |
Notional Amount (000) |
Market Value |
||||||||||||||||||||||
USD Currency |
BNP Paribas S.A. | Call | JPY | 108.00 | 7/17/14 | USD | 8,450 | $ | (1 | ) | ||||||||||||||||||
USD Currency |
Goldman Sachs International | Call | MXN | 13.60 | 8/07/14 | USD | 5,150 | (3,933 | ) | |||||||||||||||||||
USD Currency |
Bank of America N.A. | Put | TRY | 2.08 | 7/01/14 | USD | 8,225 | (1 | ) | |||||||||||||||||||
USD Currency |
Bank of America N.A. | Put | TRY | 2.15 | 7/01/14 | USD | 8,225 | (94,494 | ) | |||||||||||||||||||
USD Currency |
Deutsche Bank AG | Put | MXN | 12.90 | 7/02/14 | USD | 9,227 | (2,409 | ) | |||||||||||||||||||
USD Currency |
Goldman Sachs International | Put | MXN | 12.60 | 7/02/14 | USD | 5,536 | (1 | ) | |||||||||||||||||||
USD Currency |
Goldman Sachs International | Put | MXN | 12.60 | 7/02/14 | USD | 8,304 | (1 | ) | |||||||||||||||||||
USD Currency |
Bank of America N.A. | Put | TRY | 2.04 | 7/14/14 | USD | 8,117 | (373 | ) | |||||||||||||||||||
USD Currency |
Barclays Bank PLC | Put | MXN | 12.95 | 8/07/14 | USD | 10,300 | (62,077 | ) | |||||||||||||||||||
USD Currency |
Goldman Sachs International | Put | MXN | 12.60 | 8/07/14 | USD | 10,300 | (4,500 | ) | |||||||||||||||||||
AUD Currency |
Barclays Bank PLC | Put | USD | 0.93 | 8/21/14 | AUD | 10,980 | (47,727 | ) | |||||||||||||||||||
AUD Currency |
Barclays Bank PLC | Put | USD | 0.88 | 12/19/14 | AUD | 21,955 | (99,606 | ) | |||||||||||||||||||
Total |
$ | (315,123 | ) | |||||||||||||||||||||||||
|
|
| OTC structured options as of June 30, 2014 were as follows: |
Description | Counterparty | Expiration Date |
Units | Market Value |
||||||||||
Call on Global Dispersion, Strike=9.8% |
Bank of America N.A. | 1/23/15 | 8,610,000 | $ | 130,011 |
22 | MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2014 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio |
| Centrally cleared credit default swaps - buy protection outstanding as of June 30, 2014 were as follows: |
Issuer/Index | Pay Fixed Rate |
Clearinghouse | Expiration Date |
Notional (000) |
Unrealized Depreciation |
|||||||||||||||
iTraxx Europe Crossover Series 20 Version 1 |
5.00 | % | InterContinental Exchange | 12/20/18 | EUR | 3,340 | $ | (118,385 | ) | |||||||||||
iTraxx Europe Crossover Series 21 Version 1 |
5.00 | % | InterContinental Exchange | 6/20/19 | EUR | 20,895 | (556,671 | ) | ||||||||||||
CDX.NA.HY Series 22 Version 2 |
5.00 | % | Chicago Mercantile | 6/20/19 | USD | 31,066 | (615,143 | ) | ||||||||||||
Total |
$ | (1,290,199 | ) | |||||||||||||||||
|
|
| Centrally cleared credit default swaps - sold protection outstanding as of June 30, 2014 were as follows: |
Issuer/Index | Receive Fixed Rate |
Clearinghouse | Expiration Date |
Credit Rating1 |
Notional Amount (000)2 |
Unrealized Appreciation |
||||||||||||||||||
CDX.NA.HY Series 21 Version 2 |
5.00 | % | Chicago Mercantile | 12/20/18 | B+ | USD | 4,554 | $ | 91,698 | |||||||||||||||
iTraxx Europe Series 21 Version 1 |
1.00 | % | InterContinental Exchange | 6/20/19 | A- | EUR | 6,955 | 8,085 | ||||||||||||||||
Total |
$ | 99,783 | ||||||||||||||||||||||
|
|
1 | Using S&Ps 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. |
| Centrally cleared interest rate swaps outstanding as of June 30, 2014 were as follows: |
Fixed Rate | Floating Rate |
Clearinghouse | Effective Date |
Expiration Date |
Notional (000) |
Unrealized Appreciation (Depreciation) |
||||||||||||
0.65%1 |
3-month LIBOR | Chicago Mercantile | N/A | 11/26/16 | USD | 12,695 | $ | 31,706 | ||||||||||
2.26%1 |
3-month Canadian Bankers Acceptance | Chicago Mercantile | 5/02/162 | 5/02/18 | CAD | 8,850 | (24,519 | ) | ||||||||||
2.28%1 |
3-month Canadian Bankers Acceptance | Chicago Mercantile | 5/02/162 | 5/02/18 | CAD | 8,800 | (28,274 | ) | ||||||||||
2.28%3 |
3-month LIBOR | Chicago Mercantile | 5/06/162 | 5/06/18 | USD | 8,000 | 31,417 | |||||||||||
2.40%3 |
3-month LIBOR | Chicago Mercantile | 5/07/162 | 5/07/18 | USD | 8,000 | 50,065 | |||||||||||
2.22%1 |
3-month Canadian Bankers Acceptance | Chicago Mercantile | 6/17/162 | 6/17/18 | CAD | 8,000 | (10,291 | ) | ||||||||||
2.38%3 |
3-month LIBOR | Chicago Mercantile | 6/19/162 | 6/19/18 | USD | 7,300 | 28,986 | |||||||||||
1.72%1 |
3-month LIBOR | Chicago Mercantile | 10/03/142 | 11/30/18 | USD | 94,050 | (505,518 | ) | ||||||||||
0.82%1 |
6-month JPY LIBOR | Chicago Mercantile | N/A | 11/25/23 | JPY | 1,675,380 | (262,293 | ) | ||||||||||
0.79%1 |
6-month JPY LIBOR | Chicago Mercantile | N/A | 11/28/23 | JPY | 1,827,685 | (238,834 | ) | ||||||||||
2.79%1 |
6-month LIBOR | Chicago Mercantile | N/A | 2/26/24 | GBP | 10,060 | (193,541 | ) | ||||||||||
2.82%1 |
6-month LIBOR | Chicago Mercantile | N/A | 4/07/24 | GBP | 2,844 | (84,413 | ) | ||||||||||
2.72%3 |
3-month LIBOR | Chicago Mercantile | N/A | 6/17/24 | USD | 3,200 | 35,992 | |||||||||||
Total |
$ | (1,169,517 | ) | |||||||||||||||
|
|
1 | Master Portfolio pays the fixed rate and receives the floating rate. |
2 | Forward swap. |
3 | Master Portfolio pays the floating rate and receives the fixed rate. |
| OTC credit default swaps - buy protection outstanding as of June 30, 2014 were as follows: |
Issuer/Index | Pay Fixed Rate |
Counterparty | Expiration Date |
Notional (000) |
Market Value |
Premiums Paid (Received) |
Unrealized (Depreciation) |
|||||||||||||||||||||
Republic of Portugal |
1.00 | % | JPMorgan Chase Bank N.A. | 6/20/15 | USD | 12,800 | $ | (46,385 | ) | $ | 364,882 | $ | (411,267 | ) | ||||||||||||||
Republic of Portugal |
1.00 | % | Barclays Bank PLC | 12/20/15 | USD | 1,200 | (4,452 | ) | 54,813 | (59,265 | ) | |||||||||||||||||
Republic of Portugal |
1.00 | % | Deutsche Bank AG | 12/20/15 | USD | 1,350 | (5,009 | ) | 61,665 | (66,674 | ) | |||||||||||||||||
Banca Monte dei Paschi di Siena SpA |
5.00 | % | Deutsche Bank AG | 12/20/16 | EUR | 750 | (78,843 | ) | 83,484 | (162,327 | ) | |||||||||||||||||
Transocean Worldwide, Inc. |
1.00 | % | Goldman Sachs Bank USA | 12/20/16 | USD | 5,750 | (126,848 | ) | (27,225 | ) | (99,623 | ) | ||||||||||||||||
Jaguar Land Rover Automotive PLC |
5.00 | % | Credit Suisse International | 3/20/17 | EUR | 130 | (20,368 | ) | (17,232 | ) | (3,136 | ) | ||||||||||||||||
Jaguar Land Rover Automotive PLC |
5.00 | % | Credit Suisse International | 3/20/17 | EUR | 130 | (20,368 | ) | (17,232 | ) | (3,136 | ) |
MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2014 | 23 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio |
| OTC credit default swaps buy protection outstanding as of June 30, 2014 were as follows: (continued) |
Issuer/Index | Pay Fixed Rate |
Counterparty | Expiration Date |
Notional Amount (000) |
Market Value |
Premiums Paid (Received) |
Unrealized (Depreciation) |
|||||||||||||||||||||
Jaguar Land Rover Automotive PLC |
5.00 | % | Credit Suisse International | 3/20/17 | EUR | 120 | $ | (18,801 | ) | $ | (16,233 | ) | $ | (2,568 | ) | |||||||||||||
Banca Monte dei Paschi di Siena SpA |
5.00 | % | JPMorgan Chase Bank N.A. | 3/20/17 | EUR | 3,800 | (427,855 | ) | 351,347 | (779,202 | ) | |||||||||||||||||
Republic of Ireland |
1.00 | % | Citibank N.A. | 3/20/17 | USD | 2,000 | (41,606 | ) | 204,576 | (246,182 | ) | |||||||||||||||||
Republic of Portugal |
1.00 | % | Citibank N.A. | 6/20/17 | USD | 6,000 | 22,513 | 1,190,397 | (1,167,884 | ) | ||||||||||||||||||
CDX.NA.IG Series 18 Version 1 |
1.00 | % | Credit Suisse International | 6/20/17 | USD | 103,800 | (2,148,302 | ) | (7,328 | ) | (2,140,974 | ) | ||||||||||||||||
Peugeot SA |
5.00 | % | BNP Paribas S.A. | 9/20/17 | EUR | 2,975 | (432,837 | ) | 236,628 | (669,465 | ) | |||||||||||||||||
Finmeccanica SpA |
5.00 | % | Bank of America N.A. | 3/20/18 | EUR | 470 | (86,841 | ) | (31,399 | ) | (55,442 | ) | ||||||||||||||||
Deutsche Bank AG |
1.00 | % | Barclays Bank PLC | 3/20/18 | EUR | 3,200 | (70,745 | ) | (1,357 | ) | (69,388 | ) | ||||||||||||||||
Deutsche Bank AG |
1.00 | % | Citibank N.A. | 3/20/18 | EUR | 1,250 | (27,635 | ) | (1,064 | ) | (26,571 | ) | ||||||||||||||||
Marks & Spencer PLC |
1.00 | % | Credit Suisse International | 3/20/18 | EUR | 1,330 | (15,334 | ) | 50,911 | (66,245 | ) | |||||||||||||||||
Republic of Ireland |
1.00 | % | Bank of America N.A. | 3/20/18 | USD | 800 | (19,812 | ) | 22,025 | (41,837 | ) | |||||||||||||||||
Republic of Italy |
1.00 | % | Barclays Bank PLC | 3/20/18 | USD | 6,000 | (55,086 | ) | 274,151 | (329,237 | ) | |||||||||||||||||
Republic of Ireland |
1.00 | % | Deutsche Bank AG | 3/20/18 | USD | 900 | (22,289 | ) | 24,778 | (47,067 | ) | |||||||||||||||||
AXA SA |
1.00 | % | Barclays Bank PLC | 6/20/18 | EUR | 1,810 | (47,192 | ) | 39,125 | (86,317 | ) | |||||||||||||||||
AXA SA |
1.00 | % | BNP Paribas S.A. | 6/20/18 | EUR | 925 | (24,117 | ) | 40,166 | (64,283 | ) | |||||||||||||||||
iTraxx Europe Series 9 3-6% |
5.00 | % | Citibank N.A. | 6/20/18 | EUR | 3,780 | (458,730 | ) | 412,966 | (871,696 | ) | |||||||||||||||||
AXA SA |
1.00 | % | Credit Suisse International | 6/20/18 | EUR | 995 | (25,943 | ) | 44,083 | (70,026 | ) | |||||||||||||||||
Finmeccanica SpA |
5.00 | % | Credit Suisse International | 6/20/18 | EUR | 570 | (108,656 | ) | (31,706 | ) | (76,950 | ) | ||||||||||||||||
Finmeccanica SpA |
5.00 | % | Goldman Sachs International | 6/20/18 | EUR | 90 | (17,156 | ) | (8,683 | ) | (8,473 | ) | ||||||||||||||||
Credit Agricole SA |
3.00 | % | JPMorgan Chase Bank N.A. | 6/20/18 | EUR | 960 | (125,856 | ) | (36,761 | ) | (89,095 | ) | ||||||||||||||||
Finmeccanica SpA |
5.00 | % | JPMorgan Chase Bank N.A. | 6/20/18 | EUR | 1,290 | (245,905 | ) | (113,481 | ) | (132,424 | ) | ||||||||||||||||
Société Générale SA |
3.00 | % | JPMorgan Chase Bank N.A. | 6/20/18 | EUR | 960 | (121,332 | ) | (35,854 | ) | (85,478 | ) | ||||||||||||||||
Republic of France |
0.25 | % | Barclays Bank PLC | 6/20/18 | USD | 2,530 | 2,709 | 36,137 | (33,428 | ) | ||||||||||||||||||
Republic of France |
0.25 | % | Citibank N.A. | 6/20/18 | USD | 2,740 | 2,934 | 44,325 | (41,391 | ) | ||||||||||||||||||
Republic of France |
0.25 | % | JPMorgan Chase Bank N.A. | 6/20/18 | USD | 2,735 | 2,929 | 33,970 | (31,041 | ) | ||||||||||||||||||
Pernod-Ricard SA |
1.00 | % | Barclays Bank PLC | 9/20/18 | EUR | 100 | (3,130 | ) | 116 | (3,246 | ) | |||||||||||||||||
Peugeot SA |
5.00 | % | Barclays Bank PLC | 9/20/18 | EUR | 2,975 | (469,156 | ) | 89,835 | (558,991 | ) | |||||||||||||||||
Finmeccanica SpA |
5.00 | % | Barclays Bank PLC | 12/20/18 | EUR | 530 | (106,127 | ) | (53,776 | ) | (52,351 | ) | ||||||||||||||||
iTraxx Financials Series 20 Version 1 |
1.00 | % | Barclays Bank PLC | 12/20/18 | EUR | 1,450 | (35,117 | ) | (8,234 | ) | (26,883 | ) | ||||||||||||||||
iTraxx Financials Series 20 Version 1 |
1.00 | % | Citibank N.A. | 12/20/18 | EUR | 3,120 | (75,560 | ) | (17,370 | ) | (58,190 | ) | ||||||||||||||||
Marks & Spencer PLC |
1.00 | % | Barclays Bank PLC | 3/20/19 | EUR | 136 | 330 | 3,653 | (3,323 | ) | ||||||||||||||||||
Koninklijke KPN NV |
1.00 | % | Citibank N.A. | 3/20/19 | EUR | 30 | (368 | ) | 310 | (678 | ) | |||||||||||||||||
Koninklijke KPN NV |
1.00 | % | Credit Suisse International | 3/20/19 | EUR | 20 | (244 | ) | 185 | (429 | ) | |||||||||||||||||
Banco Bilbao Vizcaya Argentaria SA |
3.00 | % | Deutsche Bank AG | 3/20/19 | EUR | 45 | (6,137 | ) | (3,912 | ) | (2,225 | ) | ||||||||||||||||
Koninklijke KPN NV |
1.00 | % | Deutsche Bank AG | 3/20/19 | EUR | 15 | (183 | ) | 146 | (329 | ) | |||||||||||||||||
Tesco PLC |
1.00 | % | Goldman Sachs International | 3/20/19 | EUR | 20 | (358 | ) | (95 | ) | (263 | ) | ||||||||||||||||
Banco Bilbao Vizcaya Argentaria SA |
3.00 | % | HSBC Bank PLC | 3/20/19 | EUR | 75 | (10,230 | ) | (6,591 | ) | (3,639 | ) | ||||||||||||||||
Banco Bilbao Vizcaya Argentaria SA |
3.00 | % | HSBC Bank PLC | 3/20/19 | EUR | 50 | (6,820 | ) | (4,317 | ) | (2,503 | ) | ||||||||||||||||
Banco Bilbao Vizcaya Argentaria SA |
3.00 | % | HSBC Bank PLC | 3/20/19 | EUR | 30 | (4,092 | ) | (2,608 | ) | (1,484 | ) | ||||||||||||||||
GDF Suez |
1.00 | % | Bank of America N.A. | 6/20/19 | EUR | 795 | (27,213 | ) | (25,325 | ) | (1,888 | ) | ||||||||||||||||
GKN Holdings PLC |
1.00 | % | Bank of America N.A. | 6/20/19 | EUR | 90 | (1,494 | ) | (819 | ) | (675 | ) | ||||||||||||||||
GKN Holdings PLC |
1.00 | % | Barclays Bank PLC | 6/20/19 | EUR | 105 | (1,742 | ) | (886 | ) | (856 | ) | ||||||||||||||||
Koninklijke KPN NV |
1.00 | % | Barclays Bank PLC | 6/20/19 | EUR | 1,035 | (9,959 | ) | 4,242 | (14,201 | ) | |||||||||||||||||
GKN Holdings PLC |
1.00 | % | BNP Paribas S.A. | 6/20/19 | EUR | 150 | (2,490 | ) | (1,266 | ) | (1,224 | ) |
24 | MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2014 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio |
| OTC credit default swaps buy protection outstanding as of June 30, 2014 were as follows: (concluded) |
Issuer/Index | Pay Fixed Rate |
Counterparty | Expiration Date |
Notional (000) |
Market Value |
Premiums Paid (Received) |
Unrealized (Depreciation) |
|||||||||||||||||||||
Iberdrola SA |
1.00 | % | BNP Paribas S.A. | 6/20/19 | EUR | 315 | $ | (7,806 | ) | $ | (2,651 | ) | $ | (5,155 | ) | |||||||||||||
GDF Suez |
1.00 | % | Citibank N.A. | 6/20/19 | EUR | 455 | (15,574 | ) | (13,267 | ) | (2,307 | ) | ||||||||||||||||
GKN Holdings PLC |
1.00 | % | Citibank N.A. | 6/20/19 | EUR | 135 | (2,240 | ) | (1,219 | ) | (1,021 | ) | ||||||||||||||||
Iberdrola SA |
1.00 | % | Credit Suisse International | 6/20/19 | EUR | 315 | (7,807 | ) | (2,835 | ) | (4,972 | ) | ||||||||||||||||
Koninklijke KPN NV |
1.00 | % | Credit Suisse International | 6/20/19 | EUR | 554 | (5,362 | ) | 2,970 | (8,332 | ) | |||||||||||||||||
GDF Suez |
1.00 | % | Deutsche Bank AG | 6/20/19 | EUR | 450 | (15,403 | ) | (14,335 | ) | (1,068 | ) | ||||||||||||||||
Tesco PLC |
1.00 | % | Deutsche Bank AG | 6/20/19 | EUR | 300 | (4,749 | ) | (1,144 | ) | (3,605 | ) | ||||||||||||||||
Tesco PLC |
1.00 | % | Deutsche Bank AG | 6/20/19 | EUR | 290 | (4,590 | ) | (532 | ) | (4,058 | ) | ||||||||||||||||
Enel SpA |
1.00 | % | JPMorgan Chase Bank N.A. | 6/20/19 | EUR | 475 | (8,981 | ) | (4,275 | ) | (4,706 | ) | ||||||||||||||||
Gas Natural SDG SA |
1.00 | % | JPMorgan Chase Bank N.A. | 6/20/19 | EUR | 475 | (11,933 | ) | (4,310 | ) | (7,623 | ) | ||||||||||||||||
Koninklijke KPN NV |
1.00 | % | JPMorgan Chase Bank N.A. | 6/20/19 | EUR | 1,160 | (11,161 | ) | 4,995 | (16,156 | ) | |||||||||||||||||
Federative Republic of Brazil |
1.00 | % | Bank of America N.A. | 6/20/19 | USD | 1,187 | 19,023 | 46,302 | (27,279 | ) | ||||||||||||||||||
Federative Republic of Brazil |
1.00 | % | Citibank N.A. | 6/20/19 | USD | 1,155 | 18,510 | 52,391 | (33,881 | ) | ||||||||||||||||||
MCDX.NA. Series 22 Version 1 |
1.00 | % | Citibank N.A. | 6/20/19 | USD | 13,700 | (197,658 | ) | (141,219 | ) | (56,439 | ) | ||||||||||||||||
United Mexican States |
1.00 | % | BNP Paribas S.A. | 9/20/19 | USD | 3,900 | (68,116 | ) | (62,069 | ) | (6,047 | ) | ||||||||||||||||
United Mexican States |
1.00 | % | Deutsche Bank AG | 9/20/19 | USD | 2,850 | (49,777 | ) | (48,525 | ) | (1,252 | ) | ||||||||||||||||
Total |
$ | (5,946,932 | ) | $ | 3,008,439 | $ | (8,955,371 | ) | ||||||||||||||||||||
|
|
|
|
|
|
| OTC credit default swaps sold protection outstanding as of June 30, 2014 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 | $ | (8,097 | ) | $ | (53,698 | ) | $ | 45,601 | |||||||||||||||||
Banca Monte dei Paschi di Siena SpA |
3.00 | % | BNP Paribas S.A. | 9/20/16 | Not Rated | EUR | 2,000 | 73,605 | (161,647 | ) | 235,252 | |||||||||||||||||||||
Banca Monte dei Paschi di Siena SpA |
5.00 | % | Deutsche Bank AG | 9/20/16 | Not Rated | EUR | 750 | 73,429 | (17,261 | ) | 90,690 | |||||||||||||||||||||
Banca Monte dei Paschi di Siena SpA |
3.00 | % | JPMorgan Chase Bank N.A. | 9/20/16 | Not Rated | EUR | 2,200 | 80,965 | (103,066 | ) | 184,031 | |||||||||||||||||||||
CDX.NA.IG Series 18 Version 1 |
1.00 | % | Citibank N.A. | 6/20/17 | BBB+ | USD | 103,800 | 2,148,303 | 69,682 | 2,078,621 | ||||||||||||||||||||||
Ardagh Packaging Finance PLC |
5.00 | % | Barclays Bank PLC | 9/20/17 | CCC+ | EUR | 370 | 44,559 | (23,888 | ) | 68,447 | |||||||||||||||||||||
Ardagh Packaging Finance PLC |
5.00 | % | Credit Suisse International | 9/20/17 | CCC+ | EUR | 550 | 66,235 | (36,494 | ) | 102,729 | |||||||||||||||||||||
ThyssenKrupp AG |
1.00 | % | Credit Suisse International | 12/20/17 | BB | EUR | 1,500 | (17,316 | ) | (113,663 | ) | 96,347 | ||||||||||||||||||||
ThyssenKrupp AG |
1.00 | % | Goldman Sachs International | 12/20/17 | BB | EUR | 180 | (2,079 | ) | (14,165 | ) | 12,086 | ||||||||||||||||||||
Ardagh Packaging Finance PLC |
5.00 | % | Credit Suisse International | 3/20/18 | CCC+ | EUR | 300 | 34,995 | 2,671 | 32,324 | ||||||||||||||||||||||
Ardagh Packaging Finance PLC |
5.00 | % | Deutsche Bank AG | 3/20/18 | CCC+ | EUR | 310 | 36,161 | 2,883 | 33,278 | ||||||||||||||||||||||
Republic of Italy |
1.00 | % | Barclays Bank PLC | 3/20/18 | BBB | EUR | 4,500 | 76,684 | (207,255 | ) | 283,939 | |||||||||||||||||||||
Republic of Italy |
1.00 | % | Barclays Bank PLC | 3/20/18 | BBB | USD | 37 | 339 | (2,216 | ) | 2,555 | |||||||||||||||||||||
Schaeffler Finance BV |
5.00 | % | Barclays Bank PLC | 3/20/18 | B | EUR | 660 | 122,387 | 30,737 | 91,650 | ||||||||||||||||||||||
Schaeffler Finance BV |
5.00 | % | Barclays Bank PLC | 3/20/18 | B | EUR | 650 | 120,532 | 23,524 | 97,008 | ||||||||||||||||||||||
Schaeffler Finance BV |
5.00 | % | Credit Suisse International | 3/20/18 | B | EUR | 660 | 122,387 | 30,737 | 91,650 | ||||||||||||||||||||||
Swiss Reinsurance Co. Ltd. |
1.00 | % | Barclays Bank PLC | 3/20/18 | AA- | EUR | 3,200 | 104,205 | 5,186 | 99,019 | ||||||||||||||||||||||
Swiss Reinsurance Co. Ltd. |
1.00 | % | Citibank N.A. | 3/20/18 | AA- | EUR | 1,250 | 40,705 | 1,663 | 39,042 | ||||||||||||||||||||||
Aviva PLC |
1.00 | % | Barclays Bank PLC | 6/20/18 | Not Rated | EUR | 1,810 | 45,968 | (36,569 | ) | 82,537 | |||||||||||||||||||||
Aviva PLC |
1.00 | % | BNP Paribas S.A. | 6/20/18 | Not Rated | EUR | 925 | 23,492 | (39,757 | ) | 63,249 | |||||||||||||||||||||
Aviva PLC |
1.00 | % | Credit Suisse International | 6/20/18 | Not Rated | EUR | 995 | 25,270 | (42,545 | ) | 67,815 | |||||||||||||||||||||
Deutsche Bank AG |
1.00 | % | Barclays Bank PLC | 6/20/18 | A | EUR | 1,260 | 27,797 | (3,372 | ) | 31,169 |
MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2014 | 25 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio |
| OTC credit default swaps sold protection outstanding as of June 30, 2014 were as follows: (continued) |
Issuer/Index | Receive Fixed Rate |
Counterparty | Expiration Date |
Credit Rating1 |
Notional Amount (000)2 |
Market Value |
Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||||||||
Muenchener Rueckversicherungs AG |
1.00 | % | JPMorgan Chase Bank N.A. | 6/20/18 | AA- | EUR | 2,110 | $ | 78,226 | $ | 14,927 | $ | 63,299 | |||||||||||||||||||
RWE AG |
1.00 | % | JPMorgan Chase Bank N.A. | 6/20/18 | BBB+ | EUR | 1,190 | 37,143 | 11,343 | 25,800 | ||||||||||||||||||||||
Techem GmbH |
5.00 | % | Credit Suisse International | 6/20/18 | B+ | EUR | 530 | 83,379 | 40,849 | 42,530 | ||||||||||||||||||||||
Tesco PLC |
1.00 | % | Goldman Sachs International | 6/20/18 | BBB+ | EUR | 1,180 | 27,142 | 16,009 | 11,133 | ||||||||||||||||||||||
RWE AG |
1.00 | % | Barclays Bank PLC | 9/20/18 | BBB+ | EUR | 100 | 3,142 | 93 | 3,049 | ||||||||||||||||||||||
Bayerische Landesbank Gtd. |
1.00 | % | Barclays Bank PLC | 12/20/18 | Not Rated | EUR | 790 | 13,419 | 2,260 | 11,159 | ||||||||||||||||||||||
iTraxx Sub Financials Series 20 Version 1 |
5.00 | % | Barclays Bank PLC | 12/20/18 | BBB+ | EUR | 1,160 | 288,361 | 251,168 | 37,193 | ||||||||||||||||||||||
iTraxx Sub Financials Series 20 Version 1 |
5.00 | % | Citibank N.A. | 12/20/18 | BBB+ | EUR | 1,660 | 412,654 | 356,183 | 56,471 | ||||||||||||||||||||||
iTraxx Sub Financials Series 20 Version 1 |
5.00 | % | Deutsche Bank AG | 12/20/18 | BBB+ | EUR | 830 | 206,327 | 178,903 | 27,424 | ||||||||||||||||||||||
Norske Skogindustrier ASA |
5.00 | % | Credit Suisse International | 12/20/18 | CCC+ | EUR | 130 | (67,647 | ) | (60,200 | ) | (7,447 | ) | |||||||||||||||||||
Banco Santander SA |
3.00 | % | Deutsche Bank AG | 3/20/19 | BBB+ | EUR | 45 | 6,336 | 3,969 | 2,367 | ||||||||||||||||||||||
Banco Santander SA |
3.00 | % | HSBC Bank PLC | 3/20/19 | BBB | EUR | 75 | 10,561 | 6,615 | 3,946 | ||||||||||||||||||||||
Banco Santander SA |
3.00 | % | HSBC Bank PLC | 3/20/19 | BBB+ | EUR | 50 | 7,040 | 4,380 | 2,660 | ||||||||||||||||||||||
Banco Santander SA |
3.00 | % | HSBC Bank PLC | 3/20/19 | BBB | EUR | 30 | 4,224 | 2,646 | 1,578 | ||||||||||||||||||||||
CNH Industrial NV |
5.00 | % | Citibank N.A. | 3/20/19 | BB+ | EUR | 240 | 52,514 | 46,434 | 6,080 | ||||||||||||||||||||||
CNH Industrial NV |
5.00 | % | Citibank N.A. | 3/20/19 | BB+ | EUR | 240 | 52,514 | 47,336 | 5,178 | ||||||||||||||||||||||
J Sainsbury PLC |
1.00 | % | Goldman Sachs International | 3/20/19 | Not Rated | EUR | 20 | 102 | (149 | ) | 251 | |||||||||||||||||||||
Transocean, Inc. |
1.00 | % | Barclays Bank PLC | 3/20/19 | BBB- | USD | 4,531 | (54,179 | ) | (84,246 | ) | 30,067 | ||||||||||||||||||||
Transocean, Inc. |
1.00 | % | JPMorgan Chase Bank N.A. | 3/20/19 | BBB- | USD | 3,880 | (46,393 | ) | (92,703 | ) | 46,310 | ||||||||||||||||||||
Trionista Holdco GmbH |
5.00 | % | Citibank N.A. | 3/20/19 | Not Rated | EUR | 80 | 13,024 | 8,047 | 4,977 | ||||||||||||||||||||||
Astaldi SpA |
5.00 | % | Barclays Bank PLC | 6/20/19 | B+ | EUR | 48 | 5,526 | 932 | 4,594 | ||||||||||||||||||||||
Astaldi SpA |
5.00 | % | Credit Suisse International | 6/20/19 | B+ | EUR | 125 | 14,391 | 6,444 | 7,947 | ||||||||||||||||||||||
Astaldi SpA |
5.00 | % | Credit Suisse International | 6/20/19 | B+ | EUR | 72 | 8,290 | 546 | 7,744 | ||||||||||||||||||||||
Astaldi SpA |
5.00 | % | Credit Suisse International | 6/20/19 | B+ | EUR | 50 | 5,757 | 1,943 | 3,814 | ||||||||||||||||||||||
Astaldi SpA |
5.00 | % | Deutsche Bank AG | 6/20/19 | B+ | EUR | 47 | 5,426 | 1,969 | 3,457 | ||||||||||||||||||||||
Astaldi SpA |
5.00 | % | Goldman Sachs International | 6/20/19 | B+ | EUR | 73 | 8,389 | 2,832 | 5,557 | ||||||||||||||||||||||
Barrick Gold Corp. |
1.00 | % | JPMorgan Chase Bank N.A. | 6/20/19 | BBB | USD | 2,385 | (27,848 | ) | (65,384 | ) | 37,536 | ||||||||||||||||||||
British Telecommunications PLC |
1.00 | % | Bank of America N.A. | 6/20/19 | BBB | EUR | 550 | 17,409 | 14,165 | 3,244 | ||||||||||||||||||||||
British Telecommunications PLC |
1.00 | % | HSBC Bank PLC | 6/20/19 | BBB | EUR | 915 | 28,963 | 22,574 | 6,389 | ||||||||||||||||||||||
E. ON SE |
1.00 | % | BNP Paribas S.A. | 6/20/19 | A- | EUR | 315 | 9,286 | 4,520 | 4,766 | ||||||||||||||||||||||
E. ON SE |
1.00 | % | JPMorgan Chase Bank N.A. | 6/20/19 | A- | EUR | 475 | 14,002 | 7,095 | 6,907 | ||||||||||||||||||||||
Hochtief AG |
5.00 | % | Citibank N.A. | 6/20/19 | Not Rated | EUR | 70 | 13,436 | 10,112 | 3,324 | ||||||||||||||||||||||
Hochtief AG |
5.00 | % | Credit Suisse International | 6/20/19 | Not Rated | EUR | 460 | 88,297 | 67,868 | 20,429 | ||||||||||||||||||||||
Hochtief AG |
5.00 | % | Credit Suisse International | 6/20/19 | Not Rated | EUR | 155 | 29,751 | 23,655 | 6,096 | ||||||||||||||||||||||
Hochtief AG |
5.00 | % | Credit Suisse International | 6/20/19 | Not Rated | EUR | 155 | 29,752 | 23,866 | 5,886 | ||||||||||||||||||||||
iTraxx Financials Series 21 Version 1 |
1.00 | % | Citibank N.A. | 6/20/19 | A | EUR | 170 | 3,916 | 342 | 3,574 | ||||||||||||||||||||||
J Sainsbury PLC |
1.00 | % | Deutsche Bank AG | 6/20/19 | Not Rated | EUR | 300 | 477 | (3,575 | ) | 4,052 | |||||||||||||||||||||
J Sainsbury PLC |
1.00 | % | Deutsche Bank AG | 6/20/19 | Not Rated | EUR | 300 | 476 | (2,987 | ) | 3,463 | |||||||||||||||||||||
MCDX.NA. Series 12 |
1.00 | % | Citibank N.A. | 6/20/19 | AA | USD | 13,700 | (83,732 | ) | (102,791 | ) | 19,059 | ||||||||||||||||||||
Rexel SA |
5.00 | % | Citibank N.A. | 6/20/19 | BB | EUR | 150 | 25,329 | 20,817 | 4,512 | ||||||||||||||||||||||
Rexel SA |
5.00 | % | Citibank N.A. | 6/20/19 | BB | EUR | 115 | 19,419 | 16,583 | 2,836 | ||||||||||||||||||||||
Rexel SA |
5.00 | % | Citibank N.A. | 6/20/19 | BB | EUR | 50 | 8,443 | 7,226 | 1,217 |
26 | MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2014 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio |
| OTC credit default swaps sold protection outstanding as of June 30, 2014 were as follows: (concluded) |
Issuer/Index | Receive Fixed Rate |
Counterparty | Expiration Date |
Credit Rating1 |
Notional Amount (000)2 |
Market Value |
Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||||||||
Rexel SA |
5.00 | % | Deutsche Bank AG | 6/20/19 | BB | EUR | 115 | $ | 19,419 | $ | 17,194 | $ | 2,225 | |||||||||||||||||||
RWE AG |
1.00 | % | Credit Suisse International | 6/20/19 | BBB+ | EUR | 315 | 9,168 | 4,080 | 5,088 | ||||||||||||||||||||||
RWE AG |
1.00 | % | JPMorgan Chase Bank N.A. | 6/20/19 | BBB+ | EUR | 475 | 13,825 | 6,188 | 7,637 | ||||||||||||||||||||||
Teck Resources Ltd. |
1.00 | % | Barclays Bank PLC | 6/20/19 | BBB | USD | 1,170 | (15,202 | ) | (42,349 | ) | 27,147 | ||||||||||||||||||||
Transocean, Inc. |
1.00 | % | Citibank N.A. | 6/20/19 | BBB- | USD | 1,610 | (27,796 | ) | (44,293 | ) | 16,497 | ||||||||||||||||||||
Transocean, Inc. |
1.00 | % | Goldman Sachs International | 6/20/19 | BBB- | USD | 2,250 | (38,844 | ) | (70,181 | ) | 31,337 | ||||||||||||||||||||
Transocean, Inc. |
1.00 | % | Goldman Sachs International | 6/20/19 | BBB- | USD | 350 | (6,042 | ) | (10,902 | ) | 4,860 | ||||||||||||||||||||
TUI AG |
5.00 | % | Barclays Bank PLC | 6/20/19 | B | EUR | 60 | 12,904 | 10,079 | 2,825 | ||||||||||||||||||||||
TUI AG |
5.00 | % | Citibank N.A. | 6/20/19 | B | EUR | 150 | 32,259 | 25,492 | 6,767 | ||||||||||||||||||||||
TUI AG |
5.00 | % | Credit Suisse International | 6/20/19 | B | EUR | 150 | 32,259 | 25,404 | 6,855 | ||||||||||||||||||||||
TUI AG |
5.00 | % | Credit Suisse International | 6/20/19 | B | EUR | 150 | 32,258 | 25,503 | 6,755 | ||||||||||||||||||||||
TUI AG |
5.00 | % | JPMorgan Chase Bank N.A. | 6/20/19 | B | EUR | 150 | 32,259 | 26,259 | 6,000 | ||||||||||||||||||||||
TUI AG |
5.00 | % | JPMorgan Chase Bank N.A. | 6/20/19 | B | EUR | 90 | 19,355 | 15,424 | 3,931 | ||||||||||||||||||||||
Vodafone Group PLC |
1.00 | % | Bank of America N.A. | 6/20/19 | A- | EUR | 805 | 25,296 | 19,601 | 5,695 | ||||||||||||||||||||||
Vodafone Group PLC |
1.00 | % | Barclays Bank PLC | 6/20/19 | A- | EUR | 1,045 | 32,837 | 25,069 | 7,768 | ||||||||||||||||||||||
Vodafone Group PLC |
1.00 | % | Morgan Stanley Capital Services LLC | 6/20/19 | A- | EUR | 910 | 28,596 | 22,824 | 5,772 | ||||||||||||||||||||||
British Sky Broadcasting Group PLC |
1.00 | % | Credit Suisse International | 9/20/19 | BBB+ | EUR | 665 | 637 | 4,423 | (3,786 | ) | |||||||||||||||||||||
British Sky Broadcasting Group PLC |
1.00 | % | Credit Suisse International | 9/20/19 | BBB+ | EUR | 370 | 355 | 1,793 | (1,438 | ) | |||||||||||||||||||||
Barrick Gold Corp. |
1.00 | % | Goldman Sachs International | 6/20/21 | BBB | USD | 3,172 | (167,247 | ) | (261,125 | ) | 93,878 | ||||||||||||||||||||
Glencore International AG |
1.00 | % | BNP Paribas S.A. | 6/20/21 | BBB | EUR | 160 | (12,507 | ) | (19,962 | ) | 7,455 | ||||||||||||||||||||
Glencore International AG |
1.00 | % | Citibank N.A. | 6/20/21 | BBB | EUR | 320 | (25,014 | ) | (41,095 | ) | 16,081 | ||||||||||||||||||||
Republic of France |
0.25 | % | Barclays Bank PLC | 6/20/23 | AA | USD | 1,550 | (54,521 | ) | (107,668 | ) | 53,147 | ||||||||||||||||||||
Republic of France |
0.25 | % | Citibank N.A. | 6/20/23 | AA | USD | 1,670 | (58,742 | ) | (122,508 | ) | 63,766 | ||||||||||||||||||||
Republic of France |
0.25 | % | JPMorgan Chase Bank N.A. | 6/20/23 | AA | USD | 1,670 | (58,741 | ) | (113,832 | ) | 55,091 | ||||||||||||||||||||
CMBX.NA Series 7 AAA |
0.50 | % | Goldman Sachs International | 1/17/47 | AAA | USD | 2,130 | (50,116 | ) | (80,337 | ) | 30,221 | ||||||||||||||||||||
CMBX.NA Series 3 AM |
0.50 | % | Credit Suisse International | 12/13/49 | BBB- | USD | 920 | (32,756 | ) | (88,615 | ) | 55,859 | ||||||||||||||||||||
CMBX.NA Series 3 AM |
0.50 | % | JPMorgan Chase Bank N.A. | 12/13/49 | BBB- | USD | 5,000 | (178,021 | ) | (462,772 | ) | 284,751 | ||||||||||||||||||||
CMBX.NA Series 3 AM |
0.50 | % | Royal Bank of Scotland PLC | 12/13/49 | BBB- | USD | 2,320 | (82,602 | ) | (226,289 | ) | 143,687 | ||||||||||||||||||||
CMBX.NA Series 4 AM |
0.50 | % | Deutsche Bank AG | 2/17/51 | BB | USD | 2,000 | (89,108 | ) | (290,615 | ) | 201,507 | ||||||||||||||||||||
Total |
$ | 3,987,738 | $ | (1,629,107 | ) | $ | 5,616,845 | |||||||||||||||||||||||||
|
|
|
|
|
|
1 | Using S&Ps 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. |
| OTC interest rate swaps outstanding as of June 30, 2014 were as follows: |
Fixed Rate | Floating Rate |
Counterparty | Effective Date |
Expiration Date |
Notional Amount (000) |
Market Value |
Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||||
10.84%1 |
1-day BZDIOVER | Deutsche Bank AG | N/A | 7/01/14 | BRL | 337,891 | $ | (12,929 | ) | $ | 335 | $ | (13,264 | ) | ||||||||||||||
12.05%2 |
1-day BZDIOVER | Credit Suisse International | N/A | 1/04/16 | BRL | 30,665 | 237,670 | (825 | ) | 238,495 | ||||||||||||||||||
11.77%2 |
1-day BZDIOVER | Deutsche Bank AG | N/A | 1/04/16 | BRL | 28,932 | 210,168 | (10,351 | ) | 220,519 | ||||||||||||||||||
11.87%2 |
1-day BZDIOVER | Deutsche Bank AG | N/A | 1/04/16 | BRL | 27,200 | 156,275 | (1,443 | ) | 157,718 |
MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2014 | 27 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio |
| OTC interest rate swaps outstanding as of June 30, 2014 were as follows: (concluded) |
Fixed Rate | Floating Rate |
Counterparty | Effective Date |
Expiration Date |
Notional Amount (000) |
Market Value |
Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||||
11.83%2 |
1-day BZDIOVER | JPMorgan Chase Bank N.A. | N/A | 1/04/16 | BRL | 27,175 | $ | 155,511 | $ | (1,169 | ) | $ | 156,680 | |||||||||||||||
11.76%2 |
1-day BZDIOVER | JPMorgan Chase Bank N.A. | N/A | 1/04/16 | BRL | 26,591 | 126,704 | (531 | ) | 127,235 | ||||||||||||||||||
11.22%2 |
1-day BZDIOVER | JPMorgan Chase Bank N.A. | N/A | 1/04/16 | BRL | 21,750 | 9,246 | (222 | ) | 9,468 | ||||||||||||||||||
11.91%2 |
1-day BZDIOVER | JPMorgan Chase Bank N.A. | N/A | 1/04/16 | BRL | 11,845 | 76,937 | (277 | ) | 77,214 | ||||||||||||||||||
7.08%2 |
3-month JIBAR | JPMorgan Chase Bank N.A. | 5/14/153 | 5/14/16 | ZAR | 159,190 | (15,427,925 | ) | (15,410,455 | ) | (17,470 | ) | ||||||||||||||||
7.09%2 |
3-month JIBAR | Deutsche Bank AG | 5/15/153 | 5/15/16 | ZAR | 159,195 | (15,338,105 | ) | (15,321,944 | ) | (16,161 | ) | ||||||||||||||||
7.05%2 |
3-month JIBAR | HSBC Bank PLC | 5/23/153 | 5/23/16 | ZAR | 149,000 | (14,487,856 | ) | (14,466,019 | ) | (21,837 | ) | ||||||||||||||||
11.59%2 |
1-day BZDIOVER | Bank of America N.A. | N/A | 1/02/17 | BRL | 9,928 | 8,646 | (379 | ) | 9,025 | ||||||||||||||||||
11.34%2 |
1-day BZDIOVER | Barclays Bank PLC | N/A | 1/02/17 | BRL | 8,998 | (18,657 | ) | (120 | ) | (18,537 | ) | ||||||||||||||||
11.50%2 |
1-day BZDIOVER | Credit Suisse International | N/A | 1/02/17 | BRL | 6,373 | (92 | ) | (110 | ) | 18 | |||||||||||||||||
11.51%2 |
1-day BZDIOVER | Deutsche Bank AG | N/A | 1/02/17 | BRL | 17,727 | (1,142 | ) | (307 | ) | (835 | ) | ||||||||||||||||
11.49%2 |
1-day BZDIOVER | JPMorgan Chase Bank N.A. | N/A | 1/02/17 | BRL | 8,248 | (2,759 | ) | (139 | ) | (2,620 | ) | ||||||||||||||||
4.04%1 |
7-day China Fixing Repo Rates | Barclays Bank PLC | N/A | 6/27/19 | CNY | 26,960 | 10,090 | 145 | 9,945 | |||||||||||||||||||
4.05%1 |
7-day China Fixing Repo Rates | Barclays Bank PLC | N/A | 6/27/19 | CNY | 18,083 | 5,842 | | 5,842 | |||||||||||||||||||
4.04%1 |
7-day China Fixing Repo Rates | Bank of America N.A. | N/A | 6/30/19 | CNY | 18,689 | 7,639 | | 7,639 | |||||||||||||||||||
4.04%1 |
7-day China Fixing Repo Rates | Bank of America N.A. | N/A | 6/30/19 | CNY | 17,154 | 7,012 | 16 | 6,996 | |||||||||||||||||||
4.03%1 |
7-day China Fixing Repo Rates | Bank of America N.A. | N/A | 6/30/19 | CNY | 13,107 | 6,552 | | 6,552 | |||||||||||||||||||
4.05%1 |
7-day China Fixing Repo Rates | Morgan Stanley Capital Services LLC | N/A | 6/30/19 | CNY | 17,754 | 5,851 | 17 | 5,834 | |||||||||||||||||||
3.27%1 |
3-month LIBOR | Deutsche Bank AG | N/A | 5/16/21 | USD | 9,510 | (731,489 | ) | | (731,489 | ) | |||||||||||||||||
Total |
$ | (44,996,811 | ) | $ | (45,213,778 | ) | $ | 216,967 | ||||||||||||||||||||
|
|
|
|
|
|
1 | Master Portfolio pays the fixed rate and receives the floating rate. |
2 | Master Portfolio pays the floating rate and receives the fixed rate. |
3 | Forward swap. |
| OTC total return swaps outstanding as of June 30, 2014 were as follows: |
Reference Entity | Fixed Rate/ Floating Rate |
Counterparty | Expiration Date |
Notional (000) |
Market Value |
Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||
iBoxx GBP Corporate Index |
3-month LIBOR1 | JPMorgan Chase Bank N.A. | 9/20/14 | GBP | 3,160 | $ | 5,336,015 | $ | 5,245,600 | $ | 90,415 | |||||||||||||||
Telecom Italia SpA |
3-month EURIBOR minus 0.25% | JPMorgan Chase Bank N.A. | 11/08/14 | EUR | 1,244 | (2,081,259 | ) | (1,658,869 | ) | (422,390 | ) |
28 | MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2014 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio |
| OTC total return swaps outstanding as of June 30, 2014 were as follows: (continued) |
Reference Entity | Fixed Rate/ Floating Rate |
Counterparty | Expiration Date |
Notional (000) |
Market Value |
Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||
Repsol SA |
3-month EURIBOR minus 0.50% | Citibank N.A. | 11/12/14 | EUR | 51 | $ | (38,131 | ) | $ | 67,667 | $ | (105,798 | ) | |||||||||||||
iBoxx GBP Corporate Index |
3-month LIBOR1 | JPMorgan Chase Bank N.A. | 12/20/14 | GBP | 11,760 | 19,997,533 | 19,992,000 | 5,533 | ||||||||||||||||||
Repsol SA |
3-month EURIBOR minus 0.50% | Citibank N.A. | 1/19/15 | EUR | 1 | (38,949 | ) | (1,854 | ) | (37,095 | ) | |||||||||||||||
UniCredit SpA |
3-month EURIBOR plus 0.10% | Bank of America N.A. | 1/21/15 | EUR | 49 | (77,718 | ) | (66,216 | ) | (11,502 | ) | |||||||||||||||
Volkswagen AG |
3-month EURIBOR minus 0.25% | BNP Paribas S.A. | 1/30/15 | EUR | 2 | (8,262 | ) | (3,072 | ) | (5,190 | ) | |||||||||||||||
Volkswagen AG |
3-month EURIBOR minus 0.25% | BNP Paribas S.A. | 1/30/15 | EUR | 2 | 3,933 | 2,554 | 1,379 | ||||||||||||||||||
Volkswagen AG |
3-month EURIBOR minus 0.25% | BNP Paribas S.A. | 2/02/15 | EUR | 3 | (9,093 | ) | (4,473 | ) | (4,620 | ) | |||||||||||||||
Volkswagen AG |
3-month EURIBOR minus 0.10% | JPMorgan Chase Bank N.A. | 4/02/15 | EUR | 7 | 9,853 | 9,538 | 315 | ||||||||||||||||||
Volkswagen AG |
3-month EURIBOR minus 0.10% | JPMorgan Chase Bank N.A. | 4/02/15 | EUR | 6 | (9,844 | ) | (8,890 | ) | (954 | ) | |||||||||||||||
Volkswagen AG |
3-month EURIBOR minus 0.10% | JPMorgan Chase Bank N.A. | 4/02/15 | EUR | 4 | 8,141 | 4,861 | 3,280 | ||||||||||||||||||
Volkswagen AG |
3-month EURIBOR minus 0.10% | JPMorgan Chase Bank N.A. | 4/02/15 | EUR | 0 | 3,796 | (550 | ) | 4,346 | |||||||||||||||||
Banco Santander SA |
3-month EURIBOR minus 0.30% | Bank of America N.A. | 4/09/15 | EUR | 58 | 43,549 | 80,883 | (37,334 | ) | |||||||||||||||||
Telecom Italia SpA |
3-month EURIBOR minus 0.40% | Citibank N.A. | 5/04/15 | EUR | 804 | 1,132,547 | 1,116,140 | 16,407 | ||||||||||||||||||
Telecom Italia SpA |
3-month EURIBOR minus 0.40% | Citibank N.A. | 5/07/15 | EUR | 809 | 1,140,178 | 1,123,649 | 16,529 | ||||||||||||||||||
Volkswagen AG |
3-month EURIBOR minus 0.20% | Bank of America N.A. | 5/22/15 | EUR | 3 | (8,028 | ) | (4,768 | ) | (3,260 | ) | |||||||||||||||
Volkswagen AG |
3-month EURIBOR minus 0.40% | Bank of America N.A. | 5/22/15 | EUR | 3 | (4,861 | ) | (4,768 | ) | (93 | ) | |||||||||||||||
Telecom Italia SpA |
3-month EURIBOR minus 0.25% | BNP Paribas S.A. | 6/11/15 | EUR | 112 | 161,971 | 150,676 | 11,295 | ||||||||||||||||||
Telecom Italia SpA |
3-month EURIBOR minus 0.25% | BNP Paribas S.A. | 6/12/15 | EUR | 297 | 431,285 | 400,830 | 30,455 | ||||||||||||||||||
Return on Markit IOS 4.00%, 30-year, fixed rate Fannie Mae |
1-month LIBOR2 | Bank of America N.A. | 1/12/41 | USD | 957 | (541 | ) | (612 | ) | 71 | ||||||||||||||||
Return on Markit IOS 4.00%, 30-year, fixed rate Fannie Mae |
1-month LIBOR2 | Bank of America N.A. | 1/12/41 | USD | 912 | (515 | ) | (855 | ) | 340 |
MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2014 | 29 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio |
| OTC total return swaps outstanding as of June 30, 2014 were as follows: (continued) |
Reference Entity | Fixed Rate/ Floating Rate |
Counterparty | Expiration Date |
Notional (000) |
Market Value |
Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||
Return on Markit IOS 4.00%, 30-year, fixed rate Fannie Mae |
1-month LIBOR2 | Bank of America N.A. | 1/12/41 | USD | 729 | $ | (411 | ) | $ | 1,140 | $ | (1,551 | ) | |||||||||||||
Return on Markit IOS 4.00%, 30-year, fixed rate Fannie Mae |
1-month LIBOR3 | Citibank N.A. | 1/12/41 | USD | 2,325 | (1,312 | ) | (2,527 | ) | 1,215 | ||||||||||||||||
Return on Markit IOS 4.00%, 30-year, fixed rate Fannie Mae |
1-month LIBOR3 | Citibank N.A. | 1/12/41 | USD | 2,051 | (1,158 | ) | 5,197 | (6,355 | ) | ||||||||||||||||
Return on Markit IOS 4.00%, 30-year, fixed rate Fannie Mae |
1-month LIBOR2 | Citibank N.A. | 1/12/41 | USD | 2,006 | (1,133 | ) | (3,131 | ) | 1,998 | ||||||||||||||||
Return on Markit IOS 4.00%, 30-year, fixed rate Fannie Mae |
1-month LIBOR2 | Citibank N.A. | 1/12/41 | USD | 1,869 | (1,056 | ) | 1,399 | (2,455 | ) | ||||||||||||||||
Return on Markit IOS 4.00%, 30-year, fixed rate Fannie Mae |
1-month LIBOR3 | Citibank N.A. | 1/12/41 | USD | 1,504 | (849 | ) | (5,273 | ) | 4,424 | ||||||||||||||||
Return on Markit IOS 4.00%, 30-year, fixed rate Fannie Mae |
1-month LIBOR3 | Credit Suisse International | 1/12/41 | USD | 2,416 | (1,364 | ) | (1,872 | ) | 508 | ||||||||||||||||
Return on Markit IOS 4.00%, 30-year, fixed rate Fannie Mae |
1-month LIBOR3 | Credit Suisse International | 1/12/41 | USD | 2,370 | (1,339 | ) | (26,115 | ) | 24,776 | ||||||||||||||||
Return on Markit IOS 4.00%, 30-year, fixed rate Fannie Mae |
1-month LIBOR2 | Credit Suisse International | 1/12/41 | USD | 2,051 | (1,158 | ) | (5,506 | ) | 4,348 | ||||||||||||||||
Return on Markit IOS 4.00%, 30-year, fixed rate Fannie Mae |
1-month LIBOR3 | Credit Suisse International | 1/12/41 | USD | 2,006 | 1,132 | (848 | ) | 1,980 | |||||||||||||||||
Return on Markit IOS 4.00%, 30-year, fixed rate Fannie Mae |
1-month LIBOR3 | Credit Suisse International | 1/12/41 | USD | 1,869 | 1,055 | (1,865 | ) | 2,920 | |||||||||||||||||
Return on Markit IOS 4.00%, 30-year, fixed rate Fannie Mae |
1-month LIBOR2 | Credit Suisse International | 1/12/41 | USD | 1,413 | (798 | ) | 2,208 | (3,006 | ) | ||||||||||||||||
Return on Markit IOS 4.00%, 30-year, fixed rate Fannie Mae |
1-month LIBOR2 | Credit Suisse International | 1/12/41 | USD | 1,048 | (592 | ) | 6,232 | (6,824 | ) | ||||||||||||||||
Return on Markit IOS 4.00%, 30-year, fixed rate Fannie Mae |
1-month LIBOR2 | Credit Suisse International | 1/12/41 | USD | 1,003 | (566 | ) | (6,897 | ) | 6,331 | ||||||||||||||||
Return on Markit IOS 4.00%, 30-year, fixed rate Fannie Mae |
1-month LIBOR2 | Credit Suisse International | 1/12/41 | USD | 1,003 | (566 | ) | (3,319 | ) | 2,753 | ||||||||||||||||
Return on Markit IOS 4.00%, 30-year, fixed rate Fannie Mae |
1-month LIBOR3 | Credit Suisse International | 1/12/41 | USD | 1,003 | 566 | 812 | (246 | ) |
30 | MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2014 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio |
| OTC total return swaps outstanding as of June 30, 2014 were as follows: (continued) |
Reference Entity | Fixed Rate/ Floating Rate |
Counterparty | Expiration Date |
Notional Amount/ Contract Amount (000) |
Market Value |
Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||
Return on Markit IOS 4.00%, 30-year, fixed rate Fannie Mae |
1-month LIBOR2 | Credit Suisse International | 1/12/41 | USD | 1,003 | $ | (566 | ) | $ | 164 | $ | (730 | ) | |||||||||||||
Return on Markit IOS 4.00%, 30-year, fixed rate Fannie Mae |
1-month LIBOR2 | Credit Suisse International | 1/12/41 | USD | 957 | (540 | ) | 4 | (544 | ) | ||||||||||||||||
Return on Markit IOS 4.00%, 30-year, fixed rate Fannie Mae |
1-month LIBOR2 | Credit Suisse International | 1/12/41 | USD | 957 | (540 | ) | 2,393 | (2,933 | ) | ||||||||||||||||
Return on Markit IOS 4.00%, 30-year, fixed rate Fannie Mae |
1-month LIBOR3 | Credit Suisse International | 1/12/41 | USD | 912 | 515 | (3,198 | ) | 3,713 | |||||||||||||||||
Return on Markit IOS 4.00%, 30-year, fixed rate Fannie Mae |
1-month LIBOR2 | Credit Suisse International | 1/12/41 | USD | 820 | (463 | ) | 2,660 | (3,123 | ) | ||||||||||||||||
Return on Markit IOS 4.00%, 30-year, fixed rate Fannie Mae |
1-month LIBOR2 | Credit Suisse International | 1/12/41 | USD | 729 | (411 | ) | 1,140 | (1,551 | ) | ||||||||||||||||
Return on Markit IOS 4.00%, 30-year, fixed rate Fannie Mae |
1-month LIBOR3 | Deutsche Bank AG | 1/12/41 | USD | 1,823 | 1,029 | (4,118 | ) | 5,147 | |||||||||||||||||
Return on Markit IOS 4.00%, 30-year, fixed rate Fannie Mae |
1-month LIBOR3 | Deutsche Bank AG | 1/12/41 | USD | 912 | 515 | (1,774 | ) | 2,289 | |||||||||||||||||
Return on Markit IOS 4.00%, 30-year, fixed rate Fannie Mae |
1-month LIBOR3 | Goldman Sachs Bank USA | 1/12/41 | USD | 2,552 | (1,441 | ) | (16,588 | ) | 15,147 | ||||||||||||||||
Return on Markit IOS 4.00%, 30-year, fixed rate Fannie Mae |
1-month LIBOR2 | Goldman Sachs Bank USA | 1/12/41 | USD | 2,051 | (1,158 | ) | (7,984 | ) | 6,826 | ||||||||||||||||
Return on Markit IOS 4.00%, 30-year, fixed rate Fannie Mae |
1-month LIBOR3 | Goldman Sachs Bank USA | 1/12/41 | USD | 957 | 541 | (1,254 | ) | 1,795 | |||||||||||||||||
Return on Markit IOS 4.00%, 30-year, fixed rate Fannie Mae |
1-month LIBOR3 | Goldman Sachs Bank USA | 1/12/41 | USD | 912 | 514 | (2,914 | ) | 3,428 | |||||||||||||||||
Return on Markit IOS 4.00%, 30-year, fixed rate Fannie Mae |
1-month LIBOR2 | Goldman Sachs Bank USA | 1/12/41 | USD | 684 | (386 | ) | 1,068 | (1,454 | ) | ||||||||||||||||
Return on Markit IOS 4.00%, 30-year, fixed rate Fannie Mae |
1-month LIBOR2 | JPMorgan Chase Bank N.A. | 1/12/41 | USD | 2,142 | (1,210 | ) | 3,286 | (4,496 | ) | ||||||||||||||||
Return on Markit IOS 4.00%, 30-year, fixed rate Fannie Mae |
1-month LIBOR2 | JPMorgan Chase Bank N.A. | 1/12/41 | USD | 1,094 | (618 | ) | (4,304 | ) | 3,686 | ||||||||||||||||
Return on Markit IOS 4.00%, 30-year, fixed rate Fannie Mae |
1-month LIBOR2 | JPMorgan Chase Bank N.A. | 1/12/41 | USD | 1,003 | (567 | ) | (2,379 | ) | 1,812 |
MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2014 | 31 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio |
| OTC total return swaps outstanding as of June 30, 2014 were as follows: (continued) |
Reference Entity | Fixed Rate/ Floating Rate |
Counterparty | Expiration Date |
Notional Amount/ Contract Amount (000) |
Market Value |
Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||
Return on Markit IOS 4.50%, 30-year, fixed rate Fannie Mae |
1-month LIBOR2 | Credit Suisse International | 1/12/41 | USD | 905 | $ | (131 | ) | $ | 4,742 | $ | (4,873 | ) | |||||||||||||
Return on Markit IOS 4.50%, 30-year, fixed rate Fannie Mae |
1-month LIBOR2 | Deutsche Bank AG | 1/12/41 | USD | 1,811 | (261 | ) | 7,221 | (7,482 | ) | ||||||||||||||||
Return on Markit IOS 4.00%, 30-year, fixed rate Fannie Mae |
1-month LIBOR3 | Credit Suisse International | 2/12/41 | USD | 912 | 515 | 120 | 395 | ||||||||||||||||||
Return on Markit IOS 4.00%, 30-year, fixed rate Fannie Mae |
1-month LIBOR3 | Credit Suisse International | 2/12/41 | USD | 912 | 515 | 120 | 395 | ||||||||||||||||||
Return on Markit IOS 4.00%, 30-year, fixed rate Fannie Mae |
1-month LIBOR3 | Goldman Sachs Bank USA | 2/12/41 | USD | 912 | 5,147 | 900 | 4,247 | ||||||||||||||||||
Return on Markit IOS 4.50%, 30-year, fixed rate Fannie Mae |
1-month LIBOR2 | Credit Suisse International | 2/12/41 | USD | 905 | (131 | ) | 893 | (1,024 | ) | ||||||||||||||||
Return on Markit IOS 4.50%, 30-year, fixed rate Fannie Mae |
1-month LIBOR2 | Credit Suisse International | 2/12/41 | USD | 905 | (131 | ) | 1,176 | (1,307 | ) | ||||||||||||||||
Return on Markit IOS 4.50%, 30-year, fixed rate Fannie Mae |
1-month LIBOR2 | Goldman Sachs Bank USA | 2/12/41 | USD | 905 | (131 | ) | (243 | ) | 112 | ||||||||||||||||
Return on Markit IOS 3.00%, 30-year, fixed rate Fannie Mae |
1-month LIBOR2 | Credit Suisse International | 1/12/43 | USD | 0 | | | | ||||||||||||||||||
Return on Markit IOS 4.00%, 30-year, fixed rate Fannie Mae |
1-month LIBOR3 | Credit Suisse International | 1/12/44 | USD | 2,105 | 5,136 | 7,459 | (2,323 | ) | |||||||||||||||||
Return on Markit IOS 4.00%, 30-year, fixed rate Fannie Mae |
1-month LIBOR2 | Credit Suisse International | 1/12/44 | USD | 2,009 | (4,903 | ) | 221 | (5,124 | ) | ||||||||||||||||
Return on Markit IOS 4.00%, 30-year, fixed rate Fannie Mae |
1-month LIBOR3 | Credit Suisse International | 1/12/44 | USD | 1,052 | 2,568 | 1,637 | 931 | ||||||||||||||||||
Return on Markit IOS 4.00%, 30-year, fixed rate Fannie Mae |
1-month LIBOR3 | Credit Suisse International | 1/12/44 | USD | 1,052 | 2,568 | 4,634 | (2,066 | ) | |||||||||||||||||
Return on Markit IOS 4.00%, 30-year, fixed rate Fannie Mae |
1-month LIBOR2 | Credit Suisse International | 1/12/44 | USD | 957 | (2,335 | ) | (2,120 | ) | (215 | ) | |||||||||||||||
Return on Markit IOS 4.00%, 30-year, fixed rate Fannie Mae |
1-month LIBOR3 | Credit Suisse International | 1/12/44 | USD | 957 | 2,335 | (2,840 | ) | 5,175 | |||||||||||||||||
Return on Markit IOS 4.00%, 30-year, fixed rate Fannie Mae |
1-month LIBOR3 | Credit Suisse International | 1/12/44 | USD | 957 | 2,335 | 2,689 | (354 | ) |
32 | MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2014 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio |
| OTC total return swaps outstanding as of June 30, 2014 were as follows: (concluded) |
Reference Entity | Fixed Rate/ Floating Rate |
Counterparty | Expiration Date |
Notional Amount/ Contract Amount (000) |
Market Value |
Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||
Return on Markit IOS 4.00%, 30-year, fixed rate Fannie Mae |
1-month LIBOR3 | Credit Suisse International | 1/12/44 | USD | 957 | $ | 2,335 | $ | 3,752 | $ | (1,417 | ) | ||||||||||||||
Return on Markit IOS 4.00%, 30-year, fixed rate Fannie Mae |
1-month LIBOR3 | Credit Suisse International | 1/12/44 | USD | 957 | 2,335 | 4,649 | (2,314 | ) | |||||||||||||||||
Return on Markit IOS 4.00%, 30-year, fixed rate Fannie Mae |
1-month LIBOR3 | Credit Suisse International | 1/12/44 | USD | 957 | 2,335 | 10,019 | (7,684 | ) | |||||||||||||||||
Total |
$ | 25,997,366 | $ | 26,410,337 | $ | (412,971 | ) | |||||||||||||||||||
|
|
1 | Master Portfolio receives the total return of the reference entity and pays the fixed rate. Net payment made at termination. |
2 | Master Portfolio pays the floating rate and receives the total return of the reference entity. |
3 | Master Portfolio pays the total return of the reference entity and receives the floating rate. |
| OTC total return variance swaps outstanding as of June 30, 2014 were as follows: |
Index |
Variance |
Counterparty | Expiration Date |
Notional Amount (000) |
Market Value |
Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||||||||||
EURO STOXX 50 Index |
EUR | 460.10 | BNP Paribas S.A. | 3/20/15 | EUR | 1 | $ | (196,952 | ) | | $ | (196,952 | ) | |||||||||||||||||||||
S&P 500 Index |
USD | 336.72 | BNP Paribas S.A. | 3/20/15 | USD | 1 | 174,476 | | 174,476 | |||||||||||||||||||||||||
Total |
$ | (22,476 | ) | | $ | (22,476 | ) | |||||||||||||||||||||||||||
|
|
1 | At expiration, the Master Portfolio pays or receives the difference between the realized variance and predefined variance strike price multiplied by the notional amount. |
| Fair Value Measurements Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial reporting purposes as follows: |
| Level 1 unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Master Portfolio has the ability to access |
| Level 2 other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other marketcorroborated inputs) |
| Level 3 unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Master Portfolios own assumptions used in determining the fair value of investments and derivative financial instruments) |
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 Master Portfolios policy regarding valuation of investments and derivative financial instruments, please refer to the Master Portfolios most recent financial statements as contained in its semi-annual report.
MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2014 | 33 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio |
The following tables summarize the Master Portfolios investments and derivative financial instruments categorized in the disclosure hierarchy as of June 30, 2014:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: |
||||||||||||||||
Investments: |
||||||||||||||||
Long-Term Investments: |
||||||||||||||||
Asset-Backed Securities |
| $ | 489,896,017 | $ | 54,239,962 | $ | 544,135,979 | |||||||||
Common Stocks |
| 2,054,730 | | 2,054,730 | ||||||||||||
Corporate Bonds |
| 1,169,661,904 | | 1,169,661,904 | ||||||||||||
Floating Rate Loan Interests |
| 58,136,688 | 17,245,624 | 75,382,312 | ||||||||||||
Foreign Agency Obligations |
| 33,653,481 | | 33,653,481 | ||||||||||||
Foreign Government Obligations |
| 264,157,966 | | 264,157,966 | ||||||||||||
Non-Agency Mortgage-Backed Securities |
| 356,460,807 | 33,891,808 | 390,352,615 | ||||||||||||
Other Interests |
| | 1 | 1 | ||||||||||||
Preferred Securities |
$ | 9,960,358 | 55,905,914 | | 65,866,272 | |||||||||||
Taxable Municipal Bonds |
| 177,885,907 | | 177,885,907 | ||||||||||||
U.S. Government Sponsored Agency Securities |
| 2,091,006,593 | 18,074,564 | 2,109,081,157 | ||||||||||||
U.S. Treasury Obligations |
| 1,017,022,953 | | 1,017,022,953 | ||||||||||||
Short-Term Securities: |
||||||||||||||||
Borrowed Bond Agreements |
| 78,263,729 | | 78,263,729 | ||||||||||||
Options Purchased: |
||||||||||||||||
Equity Contracts |
134,607 | 130,011 | | 264,618 | ||||||||||||
Foreign Currency Exchange Contracts |
| 388,077 | | 388,077 | ||||||||||||
Interest Rate Contracts |
2,004,057 | 383,403 | | 2,387,460 | ||||||||||||
Liabilities: |
||||||||||||||||
Investments in Securities: |
||||||||||||||||
TBA Sale Commitments |
| (982,018,992 | ) | | (982,018,992 | ) | ||||||||||
Borrowed Bonds |
| (79,273,084 | ) | | (79,273,084 | ) | ||||||||||
Total |
$ | 12,099,022 | $ | 4,733,716,104 | $ | 123,451,959 | $ | 4,869,267,085 | ||||||||
|
|
|||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Derivative Financial Instruments1 |
||||||||||||||||
Assets: |
||||||||||||||||
Credit contracts |
| $ | 3,038,150 | | $ | 3,038,150 | ||||||||||
Equity contracts |
$ | 171,602 | 3,045,579 | | 3,217,181 | |||||||||||
Foreign currency exchange contracts |
| 5,810,131 | | 5,810,131 | ||||||||||||
Interest rate contracts |
1,312,326 | 1,324,108 | | 2,636,434 | ||||||||||||
Liabilities: |
||||||||||||||||
Credit contracts |
| (4,444,381 | ) | | (4,444,381 | ) | ||||||||||
Equity contracts |
(193,666 | ) | (6,639,048 | ) | | (6,832,714 | ) | |||||||||
Foreign currency exchange contracts |
| (5,371,020 | ) | | (5,371,020 | ) | ||||||||||
Interest rate contracts |
(3,672,168 | ) | (2,543,415 | ) | | (6,215,583 | ) | |||||||||
Total |
$ | (2,381,906 | ) | $ | (5,779,896 | ) | | $ | (8,161,802 | ) | ||||||
|
|
|||||||||||||||
1 Derivative financial instruments are swaps, financial futures contracts, forward foreign currency exchange contracts and options written. Swaps, financial futures contracts and forward foreign currency exchange contracts are valued at the unrealized appreciation/depreciation on the instrument and options written are shown at value. |
|
34 | MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2014 |
Consolidated Schedule of Investments (concluded) | Master Total Return Portfolio |
The carrying amount or face value, including accrued interest, for certain of the Master Portfolios assets and/or liabilities approximates fair value for financial reporting purposes. As of June 30, 2014, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: |
||||||||||||||||
Cash |
$ | 3,630,510 | | | $ | 3,630,510 | ||||||||||
Foreign currency at value |
2,213,805 | | | 2,213,805 | ||||||||||||
Cash pledged for financial futures contracts |
5,297,000 | | | 5,297,000 | ||||||||||||
Cash pledged as collateral for OTC derivatives |
3,780,000 | | | 3,780,000 | ||||||||||||
Cash pledged for centrally cleared swaps |
3,705,000 | | | 3,705,000 | ||||||||||||
Cash pledged as collateral for borrowed bond agreements |
2,533,080 | | | 2,533,080 | ||||||||||||
Liabilities: |
||||||||||||||||
Reverse repurchase agreements |
| $ | (1,555,189,506 | ) | | (1,555,189,506 | ) | |||||||||
Cash received as collateral for OTC derivatives |
| (1,900,000 | ) | | (1,900,000 | ) | ||||||||||
Cash received as collateral for reverse repurchase agreements |
| (625,000 | ) | | (625,000 | ) | ||||||||||
Cash received as collateral for TBA commitments |
| (673,000 | ) | | (673,000 | ) | ||||||||||
Total |
$ | 21,159,395 | $ | (1,557,714,506 | ) | | $ | (1,536,555,111 | ) | |||||||
|
|
There were no transfers between Level 1 and Level 2 during the period ended June 30, 2014.
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, 2013 |
$ | 179,198,390 | $ | 7,684,364 | $ | 19,411,401 | $ | 36,708,955 | $ | 1 | | $ | 243,003,111 | |||||||||||||||
Transfers into Level 3 |
| | 179,192 | 22,039 | | | 201,231 | |||||||||||||||||||||
Transfers out of Level 31 |
(94,309,781 | ) | (754,774 | ) | | (8,643,477 | ) | | | (103,708,032 | ) | |||||||||||||||||
Accrued discounts/premiums |
15,796 | | 17,923 | 5,841 | 1 | $ | (6,604 | ) | 32,957 | |||||||||||||||||||
Net realized gain (loss) |
586,105 | | 9,391 | 85,051 | | (8,801 | ) | 671,746 | ||||||||||||||||||||
Net change in unrealized appreciation/depreciation2,3 |
(247,258 | ) | 10,410 | 62,711 | 108,882 | (1 | ) | 259,775 | 194,519 | |||||||||||||||||||
Purchases |
38,709,840 | | | 12,546,644 | | 17,992,105 | 69,248,589 | |||||||||||||||||||||
Sales |
(69,713,130 | ) | (6,940,000 | ) | (2,434,994 | ) | (6,942,127 | ) | | (161,911 | ) | (86,192,162 | ) | |||||||||||||||
Closing Balance, as of June 30, 2014 |
$ | 54,239,962 | | $ | 17,245,624 | $ | 33,891,808 | $ | 1 | $ | 18,074,564 | $ | 123,451,959 | |||||||||||||||
Net change in unrealized appreciation/depreciation on investments still held at June 30, 20143 |
$ | (94,562 | ) | | $ | 62,711 | $ | 258,985 | $ | (1 | ) | $ | 259,775 | $ | 486,908 | |||||||||||||
|
1 | As of September 30, 2013, the Master Portfolio used significant unobservable inputs in determining the value of certain investments. As of June 30, 2014, 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 $103,708,032 transferred from Level 3 to Level 2 in the disclosure hierarchy. |
2 | Included in the related net change in unrealized appreciation/depreciation in the Consolidated Statement of Operations. |
3 | Any difference between Net change in unrealized appreciation/depreciation and Net change in unrealized appreciation/depreciation on investments still held at June 30, 2014 is generally due to investments no longer held or categorized as Level 3 at period end. |
The Master Portfolios 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 | JUNE 30, 2014 | 35 |
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 |
2
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 26, 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: August 26, 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: August 26, 2014
3
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 26, 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: August 26, 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 |