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: 09/30/2016
Date of reporting period: 06/30/2016
Item 1 Schedule of Investments
Schedule of Investments June 30, 2016 (Unaudited) | BlackRock Balanced Capital Fund, Inc. | |||
(Percentages shown are based on Net Assets) |
Notes to Schedule of Investments |
* | As of June 30, 2016, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows: |
Tax cost |
$ | 856,735,713 | ||
|
|
|||
Gross unrealized appreciation |
$ | 94,775,410 | ||
Gross unrealized depreciation |
(192,096 | ) | ||
|
|
|||
Net unrealized appreciation |
$ | 94,583,314 | ||
|
|
(a) | During the period ended June 30, 2016, investments in issuers considered to be an affiliate of the Fund 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, 2015 |
Shares Purchased |
Shares Sold |
Shares Held at June 30, 2016 |
Value at June 30, 2016 |
Income | Realized Gain |
|||||||||||||||||||
iShares Core S&P 500 ETF |
| 104,400 | | 104,400 | $ | 21,997,080 | $ | 104,175 | | |||||||||||||||||
iShares Core U.S. Aggregate Bond ETF |
| 198,247 | | 198,247 | 22,316,665 | | | |||||||||||||||||||
BlackRock Liquidity Funds, TempFund, Institutional |
||||||||||||||||||||||||||
Class |
4,220,698 | 42,257,223 | 1 | | 46,477,921 | 46,477,921 | 54,283 | $ | 524 | |||||||||||||||||
Total |
$ | 90,791,666 | $ | 158,458 | $ | 524 | ||||||||||||||||||||
|
|
1 | Represents net shares purchased. |
(b) | Current yield as of period end. |
BlackRock Balanced Capital Fund, Inc. (the Fund) seeks to achieve its investment objective by investing a significant amount 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 period end, the value of the investments and the percentage owned by the Fund of Master Large Cap Core Portfolio and Master Total Return Portfolio was $538,936,269 and $321,591,092, respectively and 25.9% and 3.4%, respectively.
Derivative Financial Instruments Outstanding as of Period End |
Futures Contracts | ||||||||||||||||||
Contracts Long |
Issue | Expiration | Notional Value |
Unrealized Appreciation |
||||||||||||||
177 | S&P 500 E-Mini Index | September 2016 | USD | 18,498,270 | $ | 25,635 | ||||||||||||
150 | U.S. Treasury Notes (5 Year) | September 2016 | USD | 18,324,609 | 334,931 | |||||||||||||
Total | $ | 360,566 | ||||||||||||||||
|
|
BLACKROCK BALANCED CAPITAL FUND, INC. | JUNE 30, 2016 | 1 |
Schedule of Investments (concluded) | BlackRock Balanced Capital Fund, Inc. |
Fair Value Hierarchy as of Period End |
Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a fair value 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 Fund 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 Funds 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. The significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments are typically categorized as Level 3.
Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. In accordance with the Master Portfolios policy, transfers between different levels of the fair value 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 investments 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, refer to the Master Portfolios most recent financial statements as contained in its semi-annual report.
The following tables summarize the Funds investments and derivative financial instruments in the disclosure hierarchy:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||||||
Assets: |
||||||||||||||||||||
Investments: |
||||||||||||||||||||
Long-Term Investments: |
||||||||||||||||||||
Investment Companies |
$ | 44,313,745 | | | $ | 44,313,745 | ||||||||||||||
Mutual Funds |
| $ | 860,527,361 | | 860,527,361 | |||||||||||||||
Short-Term Securities |
46,477,921 | | | 46,477,921 | ||||||||||||||||
|
|
|||||||||||||||||||
Total |
$ | 90,791,666 | $ | 860,527,361 | $ | | $ | 951,319,027 | ||||||||||||
|
|
|||||||||||||||||||
Derivative Financial Instruments1 |
||||||||||||||||||||
Assets: |
||||||||||||||||||||
Equity contracts |
$ | 25,635 | | | $ | 25,635 | ||||||||||||||
Interest rate contracts |
334,931 | | | 334,931 | ||||||||||||||||
|
|
|||||||||||||||||||
Total |
$ | 360,566 | | | $ | 360,566 | ||||||||||||||
|
|
|||||||||||||||||||
1 Derivative financial instruments are futures contracts, which are valued at the unrealized appreciation (depreciation) on the instrument. |
The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial reporting purposes. As of period end, collateral pledged for futures contracts of $879,000 is categorized as Level 1 within the disclosure hierarchy.
During the period ended June 30, 2016, there were no transfers between levels.
2 | BLACKROCK BALANCED CAPITAL FUND, INC. | JUNE 30, 2016 |
Schedule of Investments June 30, 2016 (Unaudited) | Master Large Cap Core Portfolio | |||
(Percentages shown are based on Net Assets) |
Portfolio Abbreviation | ||
ADR | American Depositary Receipts |
BLACKROCK LARGE CAP SERIES FUNDS, INC. | JUNE 30, 2016 | 1 |
Schedule of Investments (continued) | Master Large Cap Core Portfolio | |||
Notes to Schedule of Investments |
* | As of June 30, 2016, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows: |
Tax cost |
$ | 1,643,132,534 | ||
|
|
|||
Gross unrealized appreciation |
$ | 455,070,382 | ||
Gross unrealized depreciation |
(43,695,728 | ) | ||
|
|
|||
Net unrealized appreciation |
$ | 411,374,654 | ||
|
|
(a) | Non-income producing security. |
(b) | During the period ended June 30, 2016, investments in issuers considered to be affiliates of the Portfolio 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, 2015 |
Net Activity |
Shares/Beneficial Interest Held at June 30, 2016 |
Value at June 30, 2016 |
Income | Realized Gain |
||||||||||||||||||
BlackRock Liquidity Funds, TempFund, Institutional Class |
29,818,476 | (21,001,355 | ) | 8,817,121 | $ | 8,817,121 | $ | 104,114 | $ | 500 | ||||||||||||||
BlackRock Liquidity Series, LLC, Money Market Series |
| | | | 7,211 | 1 | | |||||||||||||||||
Total |
$ | 8,817,121 | $ | 111,325 | $ | 500 | ||||||||||||||||||
|
|
1 | Represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities. |
2 | BLACKROCK LARGE CAP SERIES FUNDS, INC. | JUNE 30, 2016 |
Schedule of Investments (concluded) | Master Large Cap Core Portfolio |
(c) | Current yield as of period end. |
| For Portfolio compliance purposes, the Portfolios industry classifications refer to 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 adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease. |
Fair Value Hierarchy as of Period End |
Various inputs are used in determining the fair value of investments. These inputs to valuation techniques are categorized into a fair value 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 Fund 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 Funds 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. The significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments are typically categorized as Level 3.
Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. In accordance with the Funds policy, transfers between different levels of the fair value 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 investments 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, refer to the Funds most recent financial statements as contained in its semi-annual report.
The following table summarizes the Portfolios investments categorized in the disclosure hierarchy:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: |
||||||||||||||||
Investments: |
||||||||||||||||
Long-Term Investments1 |
$ | 2,045,690,067 | | | $ | 2,045,690,067 | ||||||||||
Short-Term Securities |
8,817,121 | | | 8,817,121 | ||||||||||||
|
|
|||||||||||||||
Total |
$ | 2,054,507,188 | | | $ | 2,054,507,188 | ||||||||||
|
|
1 | See above Schedule of Investments for values in each industry. |
During the period ended June 30, 2016, there were no transfers between levels.
BLACKROCK LARGE CAP SERIES FUNDS, INC. | JUNE 30, 2016 | 3 |
Consolidated Schedule of Investments June 30, 2016 (Unaudited) | Master Total Return Portfolio | |||
(Percentages shown are based on Net Assets) |
Portfolio Abbreviations | ||||||||||
ABS | Asset-Backed Security | DKK | Danish Krone | PIK | Payment-in-kind | |||||
ADR | American Depositary Receipt | ETF | Exchange-Traded Fund | PLN | Polish Zloty | |||||
AKA | Also Known As | EUR | Euro | RB | Revenue Bonds | |||||
AMBAC | American Municipal Bond Assurance Corporation | FKA | Formerly Known As | REMIC | Real Estate Mortgage Investment Conduit | |||||
AGM | Assured Guaranty Municipal Corp. | GBP | British Pound | RUB | Russian Ruble | |||||
AUD | Australian Dollar | GO | General Obligation | S&P | Standard & Poors | |||||
BRL | Brazilian Real | HKD | Hong Kong Dollar | SAR | Saudi Arabian Riyal | |||||
BZDIOVER | Overnight Brazil CETIP - Interbank Rate | IDR | Indonesian Rupiah | SEK | Swedish Krona | |||||
CAD | Canadian Dollar | INR | Indian Rupee | SGD | Singapore Dollar | |||||
CBOE | Chicago Board Options Exchange | JPY | Japanese Yen | TBA | To-be-announced | |||||
CDO | Collateralized Debt Obligation | KRW | South Korean Won | TRY | Turkish Lira | |||||
CHF | Swiss Franc | LIBOR | London Interbank Offered Rate | TWD | Taiwan New Dollar | |||||
CLO | Collateralized Loan Obligation | MXIBTIIE | Mexico Interbank TIIE 28-Day Rate | USD | U.S. Dollar | |||||
CNH | Chinese Yuan Offshore | MXN | Mexican Peso | WIBOR | Warsaw Interbank Offered Rate | |||||
CNY | Chinese Yuan | MYR | Malaysian Ringgit | WTI | West Texas Intermediate | |||||
COOIS | Colombia Overnight Interbank Reference Rate | OTC | Over-the-counter | ZAR | South African Rand | |||||
COP | Columbian Peso |
MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2016 | 1 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio | |||
2 | MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2016 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio | |||
MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2016 | 3 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio | |||
4 | MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2016 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio | |||
MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2016 | 5 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio | |||
6 | MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2016 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio | |||
MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2016 | 7 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio | |||
8 | MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2016 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio | |||
MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2016 | 9 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio | |||
10 | MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2016 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio | |||
MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2016 | 11 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio | |||
12 | MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2016 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio | |||
MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2016 | 13 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio | |||
14 | MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2016 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio | |||
MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2016 | 15 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio | |||
16 | MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2016 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio | |||
MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2016 | 17 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio | |||
18 | MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2016 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio | |||
MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2016 | 19 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio | |||
20 | MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2016 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio | |||
MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2016 | 21 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio | |||
22 | MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2016 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio | |||
MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2016 | 23 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio | |||
24 | MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2016 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio | |||
MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2016 | 25 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio | |||
26 | MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2016 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio | |||
MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2016 | 27 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio | |||
28 | MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2016 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio | |||
MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2016 | 29 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio |
Notes to Consolidated Schedule of Investments |
* | As of June 30, 2016, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows: |
Tax cost |
$ | 14,927,348,302 | ||
|
|
|||
Gross unrealized appreciation |
$ | 261,813,955 | ||
Gross unrealized depreciation |
(69,771,026 | ) | ||
|
|
|||
Net unrealized appreciation |
$ | 192,042,929 | ||
|
|
(a) | Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
(b) | Variable rate security. Rate as of period end. |
(c) | Step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate as of period end. |
(d) | Non-income producing security. |
(e) | Security contractually bound to one or more other securities to form a single saleable unit which cannot be sold separately. |
(f) | Security, or a portion of security, is on loan. |
(g) | 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. |
(h) | Convertible security. |
(i) | Zero-coupon bond. |
(j) | Issuer filed for bankruptcy and/or is in default of interest payments. |
(k) | All or a portion of security has been pledged as collateral in connection with outstanding reverse repurchase agreements. |
(l) | Perpetual security with no stated maturity date. |
(m) | During the six months ended June 30, 2016, investments in issuers considered to be affiliates of the Master Portfolio 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, 2015 |
Par/Shares/ Beneficial Interest Purchased |
Par/Shares Sold |
Par/Shares Held at June 30, 2016 |
Value at June 30, 2016 |
Income | Realized Loss / Capital Gain |
|||||||||||||||||||||
BlackRock Capital Finance LP, Series 1997-R2, Class AP |
$ 7,237 | | $ (217 | ) | $ 7,020 | $ 6,576 | $ 51 | $ 1 | ||||||||||||||||||||
BlackRock Liquidity Funds, TempFund, Institutional Class |
| 15,916,1461 | | 15,916,146 | 15,916,146 | 43,724 | 645 | |||||||||||||||||||||
BlackRock Liquidity Series, LLC, Money Market Series |
| $80,589,4691 | | $80,589,469 | 80,589,469 | 157,3942 | | |||||||||||||||||||||
iShares iBoxx $ High Yield Corporate Bond ETF |
424,587 | 3,340,249 | (2,706,343 | ) | 1,058,493 | 89,643,772 | 3,586,204 | (5,966,052 | ) | |||||||||||||||||||
iShares U.S. Preferred Stock ETF |
| 1,100,000 | (550,000 | ) | 550,000 | 21,939,500 | 508,728 | 445,798 | ||||||||||||||||||||
Total |
$208,095,463 | $4,296,101 | $(5,519,608 | ) | ||||||||||||||||||||||||
|
|
1 | Represents net shares/beneficial interest purchased. |
2 | Represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities. |
(n) | Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities. |
(o) | When-issued security. |
(p) | Represents or includes a TBA transaction. As of period end, unsettled TBA transactions were as follows: |
Counterparty | Value | Unrealized Appreciation (Depreciation) |
||||||
Barclays Capital, Inc. |
$(173,666,690 | ) | $(1,673,445 | ) | ||||
BNP Paribas Securities Corp. |
$ 11,256,205 | $ 54,932 | ||||||
Citigroup Global Markets, Inc. |
$ 82,382,161 | $ 598,047 | ||||||
Credit Suisse Securities (USA) LLC |
$ 314,639,066 | $ 2,484,652 | ||||||
Daiwa Capital Markets America, Inc. |
$ 56,160,051 | $ 431,895 | ||||||
Deutsche Bank Securities, Inc. |
$ (21,266,821 | ) | $ (388,792 | ) | ||||
Goldman Sachs & Co. |
$(261,190,770 | ) | $(3,778,210 | ) | ||||
J.P. Morgan Securities LLC |
$ 93,348,597 | $ (354,910 | ) | |||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. |
$ 22,497,819 | $ (325,495 | ) | |||||
Morgan Stanley & Co. LLC |
$ 125,115,141 | $ 352,563 | ||||||
Nomura Securities International, Inc. |
$ (25,283,098 | ) | $ (294,470 | ) | ||||
RBC Capital Markets, LLC |
$ (2,141,476 | ) | $ (170,055 | ) | ||||
Wells Fargo Securities, LLC |
$ 40,017,889 | $ 176,785 |
(q) | All or a portion of security has been pledged as collateral in connection with outstanding TBA commitments. |
(r) | All or a portion of security has been pledged as collateral in connection with outstanding borrowed bonds. |
(s) | Certain agreements have no stated maturity and can be terminated by either party at any time. |
(t) | The amount to be repurchased assumes the maturity will be the day after the period end. |
(u) | Current yield as of period end. |
30 | MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2016 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio |
(v) | Security was purchased with the cash collateral from loaned securities. The Master Portfolio may withdraw up to 25% of its investment daily, although the manager of the BlackRock Liquidity Series, LLC, Money Market Series, in its sole discretion, may permit an investor to withdraw more than 25% on any one day. |
| 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
Counterparty | Interest Rate |
Trade Date |
Maturity Date1 |
Face Value |
Face Value Interest |
Type of Underlying Collateral |
Remaining Contractual Maturity of the Agreements |
|||||||||||||||||||||
Barclays Capital, Inc. |
(1.00%) | 11/23/15 | Open | $ | 349,375 | $ | 347,240 | Corporate Bonds | Open/Demand1 | |||||||||||||||||||
Credit Agricole Corporate and Investment Bank S.A. |
0.39% | 5/02/16 | Open | 59,700,000 | 59,738,805 | U.S. Treasury Obligations | Open/Demand1 | |||||||||||||||||||||
Credit Agricole Corporate and Investment Bank S.A. |
0.43% | 5/17/16 | Open | 40,250,000 | 40,271,634 | U.S. Treasury Obligations | Open/Demand1 | |||||||||||||||||||||
Credit Agricole Corporate and Investment Bank S.A. |
0.31% | 5/23/16 | Open | 180,000,000 | 180,060,450 | U.S. Treasury Obligations | Open/Demand1 | |||||||||||||||||||||
Deutsche Bank Securities, Inc. |
0.47% | 6/03/16 | 7/06/16 | 8,797,994 | 8,800,865 | U.S. Treasury Obligations | Up to 30 Days | |||||||||||||||||||||
Nomura Securities International, Inc. |
0.40% | 6/08/16 | Open | 249,375,000 | 249,438,729 | U.S. Treasury Obligations | Open/Demand1 | |||||||||||||||||||||
Nomura Securities International, Inc. |
0.43% | 6/09/16 | Open | 24,968,750 | 24,975,311 | U.S. Treasury Obligations | Open/Demand1 | |||||||||||||||||||||
Bank of Montreal |
0.46% | 6/28/16 | Open | 38,190,000 | 38,191,464 | U.S. Treasury Obligations | Open/Demand1 | |||||||||||||||||||||
Bank of Montreal |
0.70% | 6/28/16 | Open | 101,375,000 | 101,380,914 | U.S. Treasury Obligations | Open/Demand1 | |||||||||||||||||||||
Deutsche Bank Securities, Inc. |
0.70% | 6/29/16 | 7/01/16 | 202,175,750 | 202,179,681 | U.S. Treasury Obligations | Overnight | |||||||||||||||||||||
RBC Capital Markets, LLC |
| 6/29/16 | Open | 433,550 | 433,550 | Corporate Bonds | Open/Demand1 | |||||||||||||||||||||
Credit Suisse Securities (USA) LLC |
0.90% | 6/30/16 | 7/01/16 | 145,906,250 | 145,909,898 | U.S. Treasury Obligations | Overnight | |||||||||||||||||||||
Amherst Pierport Securities LLC |
0.15% | 6/30/16 | 7/01/16 | 99,773,465 | 99,773,881 | U.S. Treasury Obligations | Overnight | |||||||||||||||||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. |
0.73% | 6/30/16 | 7/01/16 | 191,420,850 | 191,424,732 | U.S. Treasury Obligations | Overnight | |||||||||||||||||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. |
0.67% | 6/30/16 | 7/01/16 | 100,851,500 | 100,853,377 | U.S. Treasury Obligations | Overnight | |||||||||||||||||||||
Total |
$ | 1,443,567,484 | $ | 1,443,780,531 | ||||||||||||||||||||||||
|
|
1 | Certain agreements have no stated maturity and can be terminated by either party at any time. |
Derivative Financial Instruments Outstanding as of Period End |
Futures Contracts
Contracts Long/ (Short) |
Issue | Expiration |
Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||
162 |
CBOE Volatility Index | August 2016 | USD | 2,968,650 | $(130,365 | ) | ||||||||||
Euro-Bund 8.5 to 10.5-Year Bond Futures Put Options, Strike Price EUR | ||||||||||||||||
192 |
165.50 | August 2016 | USD | 59,660 | (34,279 | ) | ||||||||||
201 |
Canadian Government Bonds (10 Year) | September 2016 | USD | 23,031,882 | 226,608 | |||||||||||
(568) |
Euro-Bobl | September 2016 | USD | 84,213,517 | (600,490 | ) | ||||||||||
(659) |
Euro-BTP Italian Government Bond | September 2016 | USD | 104,294,740 | (965,753 | ) | ||||||||||
(760) |
Euro-Bund | September 2016 | USD | 140,951,282 | (897,060 | ) | ||||||||||
Euro-Bund 8.5 to 10.5-Year Bond Futures Put Options, Strike Price EUR | ||||||||||||||||
(196) |
157 | September 2016 | USD | 4,350 | 73,763 | |||||||||||
Euro-Bund 8.5 to 10.5-Year Bond Futures Put Options, Strike Price EUR | ||||||||||||||||
96 |
160 | September 2016 | USD | 7,458 | (79,996 | ) | ||||||||||
Euro-Bund 8.5 to 10.5-Year Bond Futures Put Options, Strike Price EUR | ||||||||||||||||
(200) |
161.50 | September 2016 | USD | 28,854 | 99,683 | |||||||||||
Euro-Bund 8.5 to 10.5-Year Bond Futures Put Options, Strike Price EUR | ||||||||||||||||
200 |
163 | September 2016 | USD | 55,488 | (162,220 | ) | ||||||||||
(9) |
Euro-Schatz | September 2016 | USD | 1,119,282 | (2,705 | ) | ||||||||||
(43) |
Long Gilt British | September 2016 | USD | 7,355,288 | (342,989 | ) |
MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2016 | 31 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio |
Contracts Long/ (Short) |
Issue | Expiration |
Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||
(5) |
Nikkei 225 Index | September 2016 | USD | 753,886 | $ (16,965 | ) | ||||||||||
(160) |
S&P 500 E-Mini Index | September 2016 | USD | 16,721,600 | (158,577 | ) | ||||||||||
694 |
U.S. Treasury Bonds (30 Year) | September 2016 | USD | 119,606,563 | 6,352,042 | |||||||||||
(1,912) |
U.S. Treasury Notes (10 Year) | September 2016 | USD | 254,266,125 | 172,070 | |||||||||||
1,861 |
U.S. Treasury Notes (2 Year) | September 2016 | USD | 408,169,642 | 2,377,763 | |||||||||||
263 |
U.S. Treasury Notes (5 Year) | September 2016 | USD | 32,129,149 | (6,499 | ) | ||||||||||
10 |
U.S. Ultra Treasury Bonds | September 2016 | USD | 1,863,750 | (6,563 | ) | ||||||||||
(125) |
WTI Light Sweet Crude Oil | September 2016 | USD | 6,126,250 | 172,124 | |||||||||||
(168) |
Euro Dollar | December 2016 | USD | 41,716,500 | (126,098 | ) | ||||||||||
130 |
WTI Light Sweet Crude Oil | December 2016 | USD | 6,580,600 | (141,151 | ) | ||||||||||
(517) |
Euro Dollar | March 2018 | USD | 128,131,988 | (372,411 | ) | ||||||||||
Total |
$5,429,932 | |||||||||||||||
|
|
1 | All or a portion of security is held by a wholly owned subsidiary. See Note 1 of the Notes to Consolidated Financial Statements for details on the wholly owned subsidiary. |
Forward Foreign Currency Exchange Contracts |
Currency Purchased |
Currency Sold |
Counterparty | Settlement Date |
Unrealized Appreciation (Depreciation) |
||||||||||||||||
EUR | 1,600,000 | USD | 1,787,416 | Bank of America N.A. | 7/01/16 | $ (11,742 | ) | |||||||||||||
EUR | 1,720,000 | USD | 1,895,077 | Barclays Bank PLC | 7/01/16 | 13,772 | ||||||||||||||
EUR | 2,290,000 | USD | 2,517,855 | Barclays Bank PLC | 7/01/16 | 23,579 | ||||||||||||||
EUR | 3,430,000 | USD | 3,787,663 | Citibank N.A. | 7/01/16 | 18,938 | ||||||||||||||
EUR | 2,290,000 | USD | 2,530,290 | Deutsche Bank AG | 7/01/16 | 11,144 | ||||||||||||||
GBP | 1,200,000 | USD | 1,729,152 | Barclays Bank PLC | 7/01/16 | (131,630 | ) | |||||||||||||
TRY | 5,815,169 | USD | 1,960,000 | BNP Paribas S.A. | 7/01/16 | 61,109 | ||||||||||||||
TRY | 28,214,623 | USD | 9,700,000 | Deutsche Bank AG | 7/01/16 | 106,222 | ||||||||||||||
TRY | 1,451,589 | USD | 490,000 | HSBC Bank PLC | 7/01/16 | 14,512 | ||||||||||||||
TRY | 28,174,445 | USD | 9,700,000 | Morgan Stanley & Co. International PLC | 7/01/16 | 92,258 | ||||||||||||||
USD | 10,719,541 | EUR | 9,730,000 | Barclays Bank PLC | 7/01/16 | (78,778 | ) | |||||||||||||
USD | 1,787,926 | EUR | 1,600,000 | Goldman Sachs International | 7/01/16 | 12,252 | ||||||||||||||
USD | 1,747,884 | GBP | 1,200,000 | Barclays Bank PLC | 7/01/16 | 150,362 | ||||||||||||||
USD | 19,400,000 | TRY | 56,946,372 | Morgan Stanley & Co. International PLC | 7/01/16 | (392,176 | ) | |||||||||||||
USD | 2,450,000 | TRY | 7,191,681 | Morgan Stanley & Co. International PLC | 7/01/16 | (49,527 | ) | |||||||||||||
AUD | 13,400,694 | USD | 10,000,000 | Credit Suisse International | 7/05/16 | (7,649 | ) | |||||||||||||
BRL | 5,314,354 | USD | 1,539,500 | Goldman Sachs International | 7/05/16 | 112,207 | ||||||||||||||
BRL | 7,845,761 | USD | 2,198,000 | Goldman Sachs International | 7/05/16 | 240,471 | ||||||||||||||
BRL | 9,541,640 | USD | 2,630,000 | Goldman Sachs International | 7/05/16 | 335,553 | ||||||||||||||
BRL | 20,445,810 | USD | 5,671,200 | HSBC Bank PLC | 7/05/16 | 683,381 | ||||||||||||||
BRL | 5,391,329 | USD | 1,539,500 | JPMorgan Chase Bank N.A. | 7/05/16 | 136,131 | ||||||||||||||
BRL | 10,440,889 | USD | 3,252,816 | Morgan Stanley & Co. International PLC | 7/05/16 | (7,776 | ) | |||||||||||||
BRL | 10,468,600 | USD | 3,079,000 | Morgan Stanley & Co. International PLC | 7/05/16 | 174,653 | ||||||||||||||
BRL | 634,121 | USD | 175,852 | Royal Bank of Scotland PLC | 7/05/16 | 21,234 | ||||||||||||||
BRL | 7,902,390 | USD | 2,186,000 | Royal Bank of Scotland PLC | 7/05/16 | 270,072 | ||||||||||||||
CAD | 3,218,005 | USD | 2,475,000 | Deutsche Bank AG | 7/05/16 | 15,863 | ||||||||||||||
CAD | 24,807,892 | USD | 19,080,000 | Deutsche Bank AG | 7/05/16 | 122,292 | ||||||||||||||
CAD | 12,983,700 | USD | 10,000,000 | Royal Bank of Scotland PLC | 7/05/16 | 49,898 | ||||||||||||||
COP | 5,285,016,720 | USD | 1,749,600 | Credit Suisse International | 7/05/16 | 57,635 | ||||||||||||||
EUR | 9,005,845 | USD | 10,000,000 | Credit Suisse International | 7/05/16 | (3,847 | ) | |||||||||||||
EUR | 2,217,708 | USD | 2,450,000 | Morgan Stanley & Co. International PLC | 7/05/16 | 11,573 |
32 | MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2016 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio |
Currency Purchased |
Currency Sold |
Counterparty | Settlement Date |
Unrealized Appreciation (Depreciation) |
||||||||||||||||
EUR | 2,450,000 | USD | 2,706,675 | Morgan Stanley & Co. International PLC | 7/05/16 | $ 12,734 | ||||||||||||||
EUR | 17,560,623 | USD | 19,400,000 | Morgan Stanley & Co. International PLC | 7/05/16 | 91,639 | ||||||||||||||
EUR | 19,400,000 | USD | 21,432,448 | Morgan Stanley & Co. International PLC | 7/05/16 | 100,833 | ||||||||||||||
GBP | 14,145,911 | USD | 19,400,000 | JPMorgan Chase Bank N.A. | 7/05/16 | (567,329 | ) | |||||||||||||
GBP | 1,786,468 | USD | 2,450,000 | JPMorgan Chase Bank N.A. | 7/05/16 | (71,647 | ) | |||||||||||||
JPY | 1,986,783,100 | USD | 19,400,000 | Goldman Sachs International | 7/05/16 | (157,327 | ) | |||||||||||||
JPY | 250,908,175 | USD | 2,450,000 | Goldman Sachs International | 7/05/16 | (19,869 | ) | |||||||||||||
MXN | 76,043,110 | USD | 4,384,000 | JPMorgan Chase Bank N.A. | 7/05/16 | (226,670 | ) | |||||||||||||
MXN | 102,877,241 | USD | 5,621,400 | JPMorgan Chase Bank N.A. | 7/05/16 | 2,971 | ||||||||||||||
RUB | 131,305,815 | USD | 1,980,000 | BNP Paribas S.A. | 7/05/16 | 70,572 | ||||||||||||||
RUB | 32,840,627 | USD | 495,000 | Citibank N.A. | 7/05/16 | 17,864 | ||||||||||||||
RUB | 603,786,110 | USD | 9,360,000 | Société Générale | 7/05/16 | 69,186 | ||||||||||||||
RUB | 627,794,291 | USD | 9,720,000 | Société Générale | 7/05/16 | 84,116 | ||||||||||||||
SEK | 20,909,282 | USD | 2,450,000 | BNP Paribas S.A. | 7/05/16 | 21,889 | ||||||||||||||
SEK | 165,567,379 | USD | 19,400,000 | BNP Paribas S.A. | 7/05/16 | 173,323 | ||||||||||||||
USD | 4,094,015 | AUD | 5,565,129 | Deutsche Bank AG | 7/05/16 | (55,674 | ) | |||||||||||||
USD | 2,942,120 | AUD | 4,000,816 | Goldman Sachs International | 7/05/16 | (41,125 | ) | |||||||||||||
USD | 2,963,865 | AUD | 4,027,751 | Goldman Sachs International | 7/05/16 | (39,465 | ) | |||||||||||||
USD | 11,047,290 | BRL | 36,953,183 | Goldman Sachs International | 7/05/16 | (437,801 | ) | |||||||||||||
USD | 1,813,762 | BRL | 6,600,280 | Goldman Sachs International | 7/05/16 | (237,612 | ) | |||||||||||||
USD | 3,079,000 | BRL | 10,299,255 | Goldman Sachs International | 7/05/16 | (122,020 | ) | |||||||||||||
USD | 3,079,000 | BRL | 10,440,889 | Morgan Stanley & Co. International PLC | 7/05/16 | (166,040 | ) | |||||||||||||
USD | 3,261,449 | BRL | 10,468,600 | Morgan Stanley & Co. International PLC | 7/05/16 | 7,797 | ||||||||||||||
USD | 197,558 | BRL | 634,121 | Royal Bank of Scotland PLC | 7/05/16 | 472 | ||||||||||||||
USD | 2,461,957 | BRL | 7,902,390 | Royal Bank of Scotland PLC | 7/05/16 | 5,885 | ||||||||||||||
USD | 495,000 | CAD | 642,738 | JPMorgan Chase Bank N.A. | 7/05/16 | (2,505 | ) | |||||||||||||
USD | 10,000,000 | CAD | 13,063,900 | Royal Bank of Canada | 7/05/16 | (111,976 | ) | |||||||||||||
USD | 9,720,000 | CAD | 12,432,492 | Royal Bank of Scotland PLC | 7/05/16 | 96,758 | ||||||||||||||
USD | 1,980,000 | CAD | 2,596,364 | State Street Bank and Trust Co. | 7/05/16 | (29,689 | ) | |||||||||||||
USD | 9,360,000 | CAD | 12,000,587 | State Street Bank and Trust Co. | 7/05/16 | 71,070 | ||||||||||||||
USD | 1,749,600 | COP | 5,497,925,544 | Credit Suisse International | 7/05/16 | (130,440 | ) | |||||||||||||
USD | 9,700,000 | EUR | 8,573,896 | Citibank N.A. | 7/05/16 | 183,295 | ||||||||||||||
USD | 490,000 | EUR | 437,679 | Goldman Sachs International | 7/05/16 | 4,192 | ||||||||||||||
USD | 21,484,418 | EUR | 19,400,000 | Morgan Stanley & Co. International PLC | 7/05/16 | (48,862 | ) | |||||||||||||
USD | 2,713,238 | EUR | 2,450,000 | Morgan Stanley & Co. International PLC | 7/05/16 | (6,171 | ) | |||||||||||||
USD | 9,700,000 | EUR | 8,590,362 | Morgan Stanley & Co. International PLC | 7/05/16 | 165,017 | ||||||||||||||
USD | 10,000,000 | EUR | 9,053,100 | State Street Bank and Trust Co. | 7/05/16 | (48,605 | ) | |||||||||||||
USD | 1,960,000 | EUR | 1,755,888 | State Street Bank and Trust Co. | 7/05/16 | 11,030 | ||||||||||||||
USD | 1,960,000 | GBP | 1,333,195 | Barclays Bank PLC | 7/05/16 | 185,097 | ||||||||||||||
USD | 490,000 | GBP | 334,408 | HSBC Bank PLC | 7/05/16 | 44,797 | ||||||||||||||
USD | 9,700,000 | GBP | 6,596,813 | HSBC Bank PLC | 7/05/16 | 917,561 | ||||||||||||||
USD | 9,700,000 | GBP | 6,600,377 | Northern Trust Corp. | 7/05/16 | 912,815 | ||||||||||||||
USD | 9,700,000 | JPY | 1,011,791,868 | Citibank N.A. | 7/05/16 | (99,550 | ) | |||||||||||||
USD | 490,000 | JPY | 53,710,649 | Citibank N.A. | 7/05/16 | (30,206 | ) | |||||||||||||
USD | 1,960,000 | JPY | 215,762,876 | HSBC Bank PLC | 7/05/16 | (129,737 | ) | |||||||||||||
USD | 9,700,000 | JPY | 1,014,696,145 | Morgan Stanley & Co. International PLC | 7/05/16 | (127,679 | ) | |||||||||||||
USD | 4,754,400 | MXN | 88,348,163 | Citibank N.A. | 7/05/16 | (75,656 | ) | |||||||||||||
USD | 2,192,000 | MXN | 39,880,590 | Goldman Sachs International | 7/05/16 | 11,700 |
MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2016 | 33 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio |
Currency Purchased |
Currency Sold |
Counterparty | Settlement Date |
Unrealized Appreciation (Depreciation) |
||||||||||||||||
USD | 3,059,000 | MXN | 55,982,759 | JPMorgan Chase Bank N.A. | 7/05/16 | $ (1,617 | ) | |||||||||||||
USD | 21,555,000 | RUB | 1,417,241,250 | Morgan Stanley & Co. International PLC | 7/05/16 | (608,008 | ) | |||||||||||||
USD | 1,960,000 | SEK | 16,254,411 | Barclays Bank PLC | 7/05/16 | 38,409 | ||||||||||||||
USD | 9,700,000 | SEK | 80,300,706 | Barclays Bank PLC | 7/05/16 | 206,876 | ||||||||||||||
USD | 9,700,000 | SEK | 79,990,633 | Deutsche Bank AG | 7/05/16 | 243,533 | ||||||||||||||
USD | 490,000 | SEK | 4,056,656 | Morgan Stanley & Co. International PLC | 7/05/16 | 10,423 | ||||||||||||||
BRL | 1,774,290 | USD | 490,000 | Credit Suisse International | 7/06/16 | 61,273 | ||||||||||||||
BRL | 7,037,968 | USD | 1,960,000 | Credit Suisse International | 7/06/16 | 226,703 | ||||||||||||||
BRL | 32,810,250 | USD | 9,700,000 | Goldman Sachs International | 7/06/16 | 494,173 | ||||||||||||||
BRL | 32,926,650 | USD | 9,700,000 | Royal Bank of Scotland PLC | 7/06/16 | 530,339 | ||||||||||||||
COP | 13,046,325,000 | USD | 4,415,000 | BNP Paribas S.A. | 7/06/16 | 45,184 | ||||||||||||||
COP | 13,172,152,500 | USD | 4,415,000 | BNP Paribas S.A. | 7/06/16 | 88,201 | ||||||||||||||
COP | 1,503,320,000 | USD | 490,000 | Credit Suisse International | 7/06/16 | 23,944 | ||||||||||||||
COP | 6,025,040,000 | USD | 1,960,000 | Credit Suisse International | 7/06/16 | 99,798 | ||||||||||||||
COP | 15,755,642,000 | USD | 5,285,000 | Credit Suisse International | 7/06/16 | 101,426 | ||||||||||||||
COP | 15,622,460,000 | USD | 5,285,000 | HSBC Bank PLC | 7/06/16 | 55,895 | ||||||||||||||
EUR | 2,708,051 | RUB | 194,627,652 | Deutsche Bank AG | 7/06/16 | (32,675 | ) | |||||||||||||
EUR | 2,500,000 | USD | 2,805,099 | State Street Bank and Trust Co. | 7/06/16 | (30,087 | ) | |||||||||||||
GBP | 1,000,000 | USD | 1,343,840 | Morgan Stanley & Co. International PLC | 7/06/16 | (12,513 | ) | |||||||||||||
MXN | 43,233,264 | USD | 2,338,881 | Citibank N.A. | 7/06/16 | 24,484 | ||||||||||||||
MXN | 44,970,918 | USD | 2,492,421 | HSBC Bank PLC | 7/06/16 | (34,065 | ) | |||||||||||||
MXN | 49,059,803 | USD | 2,637,000 | Morgan Stanley & Co. International PLC | 7/06/16 | 44,876 | ||||||||||||||
MXN | 16,062,209 | USD | 869,000 | State Street Bank and Trust Co. | 7/06/16 | 9,048 | ||||||||||||||
MXN | 40,050,613 | USD | 2,149,895 | UBS AG | 7/06/16 | 39,490 | ||||||||||||||
RUB | 205,310,915 | EUR | 2,708,051 | Deutsche Bank AG | 7/06/16 | 199,467 | ||||||||||||||
RUB | 181,221,350 | USD | 2,719,000 | Deutsche Bank AG | 7/06/16 | 110,318 | ||||||||||||||
RUB | 183,260,600 | USD | 2,719,000 | Deutsche Bank AG | 7/06/16 | 142,156 | ||||||||||||||
USD | 19,400,000 | BRL | 66,930,000 | Morgan Stanley & Co. International PLC | 7/06/16 | (1,395,209 | ) | |||||||||||||
USD | 2,450,000 | BRL | 8,452,500 | Morgan Stanley & Co. International PLC | 7/06/16 | (176,199 | ) | |||||||||||||
USD | 26,700 | CAD | 35,000 | Citibank N.A. | 7/06/16 | (392 | ) | |||||||||||||
USD | 195,008 | CAD | 254,000 | Royal Bank of Canada | 7/06/16 | (1,599 | ) | |||||||||||||
USD | 3,430,000 | COP | 10,238,550,000 | BNP Paribas S.A. | 7/06/16 | (70,282 | ) | |||||||||||||
USD | 435,000 | COP | 1,298,475,000 | BNP Paribas S.A. | 7/06/16 | (8,913 | ) | |||||||||||||
USD | 8,585,000 | COP | 25,732,593,150 | Credit Suisse International | 7/06/16 | (212,275 | ) | |||||||||||||
USD | 1,085,000 | COP | 3,252,168,150 | Credit Suisse International | 7/06/16 | (26,828 | ) | |||||||||||||
USD | 3,440,000 | COP | 10,285,600,000 | HSBC Bank PLC | 7/06/16 | (76,368 | ) | |||||||||||||
USD | 435,000 | COP | 1,300,650,000 | HSBC Bank PLC | 7/06/16 | (9,657 | ) | |||||||||||||
USD | 3,945,000 | COP | 11,775,825,000 | Royal Bank of Scotland PLC | 7/06/16 | (80,835 | ) | |||||||||||||
USD | 495,000 | COP | 1,477,575,000 | Royal Bank of Scotland PLC | 7/06/16 | (10,143 | ) | |||||||||||||
USD | 170,369 | EUR | 150,000 | Bank of New York Mellon | 7/06/16 | 3,868 | ||||||||||||||
USD | 211,480,552 | EUR | 189,385,000 | Barclays Bank PLC | 7/06/16 | 1,262,338 | ||||||||||||||
USD | 680,181 | EUR | 600,000 | Citibank N.A. | 7/06/16 | 14,179 | ||||||||||||||
USD | 947,527 | EUR | 836,000 | Citibank N.A. | 7/06/16 | 19,563 | ||||||||||||||
USD | 332,252 | EUR | 300,000 | Morgan Stanley & Co. International PLC | 7/06/16 | (749 | ) | |||||||||||||
USD | 130,817 | EUR | 115,000 | Morgan Stanley & Co. International PLC | 7/06/16 | 3,166 | ||||||||||||||
USD | 564,094 | EUR | 497,000 | Morgan Stanley & Co. International PLC | 7/06/16 | 12,422 | ||||||||||||||
USD | 113,762 | EUR | 100,000 | State Street Bank and Trust Co. | 7/06/16 | 2,762 | ||||||||||||||
USD | 328,692 | EUR | 288,000 | State Street Bank and Trust Co. | 7/06/16 | 9,010 |
34 | MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2016 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio |
Currency Purchased |
Currency Sold |
Counterparty | Settlement Date |
Unrealized Appreciation (Depreciation) |
||||||||||||||||
USD | 1,489,489 | EUR | 1,320,000 | State Street Bank and Trust Co. | 7/06/16 | $ 24,283 | ||||||||||||||
USD | 1,023,861 | EUR | 900,000 | State Street Bank and Trust Co. | 7/06/16 | 24,857 | ||||||||||||||
USD | 1,974,913 | EUR | 1,736,000 | State Street Bank and Trust Co. | 7/06/16 | 47,945 | ||||||||||||||
USD | 30,577,358 | GBP | 20,879,000 | Barclays Bank PLC | 7/06/16 | 2,780,575 | ||||||||||||||
USD | 176,142 | GBP | 122,000 | Citibank N.A. | 7/06/16 | 13,720 | ||||||||||||||
USD | 72,894 | GBP | 50,000 | Morgan Stanley & Co. International PLC | 7/06/16 | 6,327 | ||||||||||||||
USD | 1,641,860 | GBP | 1,129,000 | Morgan Stanley & Co. International PLC | 7/06/16 | 138,792 | ||||||||||||||
USD | 144,586 | HKD | 1,123,000 | State Street Bank and Trust Co. | 7/06/16 | (178 | ) | |||||||||||||
USD | 585,837 | JPY | 65,069,750 | Bank of America N.A. | 7/06/16 | (44,406 | ) | |||||||||||||
USD | 851,314 | JPY | 92,891,000 | Citibank N.A. | 7/06/16 | (48,396 | ) | |||||||||||||
USD | 586,098 | JPY | 65,069,750 | Morgan Stanley & Co. International PLC | 7/06/16 | (44,145 | ) | |||||||||||||
USD | 1,173,772 | JPY | 130,139,500 | UBS AG | 7/06/16 | (86,713 | ) | |||||||||||||
USD | 2,411,091 | MXN | 43,233,264 | BNP Paribas S.A. | 7/06/16 | 47,725 | ||||||||||||||
USD | 2,430,846 | MXN | 43,587,506 | BNP Paribas S.A. | 7/06/16 | 48,116 | ||||||||||||||
USD | 3,506,000 | MXN | 65,450,555 | Citibank N.A. | 7/06/16 | (71,884 | ) | |||||||||||||
USD | 2,795,629 | MXN | 52,323,000 | HSBC Bank PLC | 7/06/16 | (64,631 | ) | |||||||||||||
USD | 2,283,873 | MXN | 41,434,025 | UBS AG | 7/06/16 | 18,863 | ||||||||||||||
USD | 2,719,000 | RUB | 178,415,342 | BNP Paribas S.A. | 7/06/16 | (66,509 | ) | |||||||||||||
USD | 2,719,000 | RUB | 176,055,250 | Deutsche Bank AG | 7/06/16 | (29,662 | ) | |||||||||||||
MXN | 48,750,535 | USD | 2,637,000 | Goldman Sachs International | 7/07/16 | 27,714 | ||||||||||||||
MXN | 49,320,242 | USD | 2,592,800 | Goldman Sachs International | 7/07/16 | 103,054 | ||||||||||||||
USD | 2,592,800 | MXN | 48,427,502 | Deutsche Bank AG | 7/07/16 | (54,257 | ) | |||||||||||||
USD | 879,000 | MXN | 16,449,342 | Deutsche Bank AG | 7/07/16 | (20,124 | ) | |||||||||||||
USD | 879,000 | MXN | 16,455,601 | Royal Bank of Scotland PLC | 7/07/16 | (20,466 | ) | |||||||||||||
USD | 879,000 | MXN | 16,444,341 | UBS AG | 7/07/16 | (19,851 | ) | |||||||||||||
USD | 544,613 | SGD | 750,000 | State Street Bank and Trust Co. | 7/07/16 | (12,105 | ) | |||||||||||||
EUR | 9,730,000 | USD | 10,722,802 | Barclays Bank PLC | 7/08/16 | 78,353 | ||||||||||||||
EUR | 570,000 | USD | 631,462 | Deutsche Bank AG | 7/08/16 | 1,288 | ||||||||||||||
EUR | 1,544,602 | USD | 1,717,875 | Goldman Sachs International | 7/08/16 | (3,232 | ) | |||||||||||||
EUR | 8,095,398 | USD | 9,004,188 | Morgan Stanley & Co. International PLC | 7/08/16 | (17,585 | ) | |||||||||||||
MXN | 41,126,777 | USD | 2,224,600 | Royal Bank of Scotland PLC | 7/08/16 | 23,182 | ||||||||||||||
TRY | 7,998,471 | USD | 2,701,000 | BNP Paribas S.A. | 7/08/16 | 74,098 | ||||||||||||||
TRY | 5,398,196 | USD | 1,858,000 | Morgan Stanley & Co. International PLC | 7/08/16 | 14,923 | ||||||||||||||
USD | 5,536,860 | GBP | 4,200,000 | Citibank N.A. | 7/08/16 | (54,814 | ) | |||||||||||||
USD | 22,623,160 | GBP | 17,200,000 | State Street Bank and Trust Co. | 7/08/16 | (276,075 | ) | |||||||||||||
USD | 2,267,312 | MXN | 41,126,777 | State Street Bank and Trust Co. | 7/08/16 | 19,530 | ||||||||||||||
USD | 1,858,000 | TRY | 5,397,676 | BNP Paribas S.A. | 7/08/16 | (14,743 | ) | |||||||||||||
USD | 2,701,000 | TRY | 8,041,531 | Deutsche Bank AG | 7/08/16 | (89,037 | ) | |||||||||||||
USD | 2,337,608 | ZAR | 37,094,209 | Citibank N.A. | 7/08/16 | (176,797 | ) | |||||||||||||
USD | 336,514 | ZAR | 5,342,466 | Citibank N.A. | 7/08/16 | (25,621 | ) | |||||||||||||
USD | 5,844,020 | ZAR | 92,718,866 | HSBC Bank PLC | 7/08/16 | (440,863 | ) | |||||||||||||
ZAR | 53,110,919 | USD | 3,469,200 | BNP Paribas S.A. | 7/08/16 | 130,886 | ||||||||||||||
ZAR | 34,615,183 | USD | 2,312,800 | Goldman Sachs International | 7/08/16 | 33,566 | ||||||||||||||
ZAR | 41,568,564 | USD | 2,736,142 | Morgan Stanley & Co. International PLC | 7/08/16 | 81,554 | ||||||||||||||
CNH | 41,869,139 | USD | 6,273,000 | BNP Paribas S.A. | 7/11/16 | 5,961 | ||||||||||||||
IDR | 128,816,000,000 | USD | 9,700,000 | JPMorgan Chase Bank N.A. | 7/11/16 | 32,809 | ||||||||||||||
IDR | 6,690,950,000 | USD | 490,000 | Standard Chartered Bank | 7/11/16 | 15,541 | ||||||||||||||
IDR | 128,845,100,000 | USD | 9,700,000 | Standard Chartered Bank | 7/11/16 | 35,008 |
MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2016 | 35 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio |
Currency Purchased |
Currency Sold |
Counterparty | Settlement Date |
Unrealized Appreciation (Depreciation) |
||||||||||||||||
IDR | 26,940,200,000 | USD | 1,960,000 | Standard Chartered Bank | 7/11/16 | $ 75,491 | ||||||||||||||
USD | 926,949 | CNH | 6,118,497 | Citibank N.A. | 7/11/16 | 9,380 | ||||||||||||||
USD | 3,584,254 | EUR | 3,215,858 | Morgan Stanley & Co. International PLC | 7/11/16 | 13,968 | ||||||||||||||
USD | 19,400,000 | IDR | 261,512,000,000 | Standard Chartered Bank | 7/11/16 | (358,775 | ) | |||||||||||||
USD | 2,450,000 | IDR | 33,026,000,000 | Standard Chartered Bank | 7/11/16 | (45,309 | ) | |||||||||||||
USD | 749,660 | JPY | 83,250,000 | BNP Paribas S.A. | 7/11/16 | (56,797 | ) | |||||||||||||
USD | 1,858,032 | JPY | 198,932,947 | JPMorgan Chase Bank N.A. | 7/11/16 | (69,065 | ) | |||||||||||||
USD | 626,971 | EUR | 550,844 | Standard Chartered Bank | 7/12/16 | 15,394 | ||||||||||||||
USD | 346,148 | KRW | 412,723,163 | Goldman Sachs International | 7/12/16 | (12,121 | ) | |||||||||||||
EUR | 5,617,250 | USD | 6,429,695 | Goldman Sachs International | 7/13/16 | (192,884 | ) | |||||||||||||
INR | 232,513,980 | USD | 3,459,000 | JPMorgan Chase Bank N.A. | 7/13/16 | (22,147 | ) | |||||||||||||
MXN | 5,729,793 | USD | 309,693 | BNP Paribas S.A. | 7/13/16 | 3,318 | ||||||||||||||
MXN | 49,133,277 | USD | 2,644,283 | Citibank N.A. | 7/13/16 | 39,806 | ||||||||||||||
MXN | 53,590,045 | USD | 2,884,428 | Citibank N.A. | 7/13/16 | 43,128 | ||||||||||||||
MXN | 27,609,557 | USD | 1,492,231 | Goldman Sachs International | 7/13/16 | 16,044 | ||||||||||||||
MXN | 102,384,337 | USD | 5,508,088 | Royal Bank of Scotland PLC | 7/13/16 | 85,038 | ||||||||||||||
MXN | 55,315,895 | USD | 2,965,994 | State Street Bank and Trust Co. | 7/13/16 | 55,843 | ||||||||||||||
USD | 6,350,779 | EUR | 5,617,250 | Royal Bank of Scotland PLC | 7/13/16 | 113,968 | ||||||||||||||
USD | 1,523,333 | IDR | 20,325,836,622 | HSBC Bank PLC | 7/13/16 | (11,924 | ) | |||||||||||||
USD | 3,046,667 | IDR | 40,657,766,711 | JPMorgan Chase Bank N.A. | 7/13/16 | (24,309 | ) | |||||||||||||
USD | 3,459,000 | INR | 236,007,570 | Standard Chartered Bank | 7/13/16 | (29,493 | ) | |||||||||||||
USD | 4,428,098 | MXN | 81,111,685 | JPMorgan Chase Bank N.A. | 7/13/16 | (2,930 | ) | |||||||||||||
USD | 3,679,280 | MXN | 67,395,209 | JPMorgan Chase Bank N.A. | 7/13/16 | (2,435 | ) | |||||||||||||
USD | 2,125,126 | MXN | 38,926,994 | JPMorgan Chase Bank N.A. | 7/13/16 | (1,406 | ) | |||||||||||||
USD | 1,507,278 | MXN | 27,609,557 | JPMorgan Chase Bank N.A. | 7/13/16 | (997 | ) | |||||||||||||
USD | 2,087,212 | MXN | 38,668,847 | Morgan Stanley & Co. International PLC | 7/13/16 | (25,218 | ) | |||||||||||||
USD | 2,148,325 | MXN | 40,050,613 | UBS AG | 7/13/16 | (39,590 | ) | |||||||||||||
USD | 2,045,000 | ZAR | 30,439,825 | BNP Paribas S.A. | 7/13/16 | (16,187 | ) | |||||||||||||
USD | 2,045,000 | ZAR | 30,138,654 | Morgan Stanley & Co. International PLC | 7/13/16 | 4,206 | ||||||||||||||
ZAR | 30,628,783 | USD | 2,045,000 | Citibank N.A. | 7/13/16 | 28,982 | ||||||||||||||
ZAR | 30,969,664 | USD | 2,045,000 | Goldman Sachs International | 7/13/16 | 52,064 | ||||||||||||||
CAD | 2,568,946 | USD | 1,979,500 | Deutsche Bank AG | 7/14/16 | 9,039 | ||||||||||||||
CAD | 2,555,309 | USD | 1,979,500 | Royal Bank of Canada | 7/14/16 | (1,517 | ) | |||||||||||||
CAD | 1,285,892 | USD | 989,750 | Royal Bank of Scotland PLC | 7/14/16 | 5,618 | ||||||||||||||
EUR | 3,156,000 | USD | 3,566,990 | Royal Bank of Scotland PLC | 7/14/16 | (62,764 | ) | |||||||||||||
INR | 308,741,460 | USD | 4,593,000 | JPMorgan Chase Bank N.A. | 7/14/16 | (30,228 | ) | |||||||||||||
JPY | 369,985,057 | USD | 3,451,000 | Citibank N.A. | 7/14/16 | 133,444 | ||||||||||||||
JPY | 1,125,833,933 | USD | 10,502,000 | Standard Chartered Bank | 7/14/16 | 405,165 | ||||||||||||||
KRW | 6,191,801,200 | USD | 5,351,600 | Morgan Stanley & Co. International PLC | 7/14/16 | 23,165 | ||||||||||||||
KRW | 3,128,010,200 | USD | 2,675,800 | Standard Chartered Bank | 7/14/16 | 39,455 | ||||||||||||||
MYR | 7,048,923 | USD | 1,729,500 | JPMorgan Chase Bank N.A. | 7/14/16 | 17,274 | ||||||||||||||
RUB | 146,847,290 | USD | 2,252,000 | BNP Paribas S.A. | 7/14/16 | 35,653 | ||||||||||||||
RUB | 295,801,673 | USD | 4,509,000 | BNP Paribas S.A. | 7/14/16 | 99,131 | ||||||||||||||
RUB | 297,188,190 | USD | 4,509,000 | Deutsche Bank AG | 7/14/16 | 120,731 | ||||||||||||||
USD | 1,979,500 | CAD | 2,535,747 | Morgan Stanley & Co. International PLC | 7/14/16 | 16,659 | ||||||||||||||
USD | 3,590,971 | EUR | 3,156,000 | Morgan Stanley & Co. International PLC | 7/14/16 | 86,745 | ||||||||||||||
USD | 2,445,052 | INR | 165,542,251 | Citibank N.A. | 7/14/16 | (1,433 | ) | |||||||||||||
USD | 2,147,948 | INR | 145,416,074 | HSBC Bank PLC | 7/14/16 | (1,100 | ) |
36 | MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2016 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio |
Currency Purchased |
Currency Sold |
Counterparty | Settlement Date |
Unrealized Appreciation (Depreciation) |
||||||||||||||||
USD | 13,953,000 | JPY | 1,489,410,194 | Royal Bank of Scotland PLC | 7/14/16 | $(476,520 | ) | |||||||||||||
USD | 13,379,000 | KRW | 15,560,445,950 | JPMorgan Chase Bank N.A. | 7/14/16 | (128,175 | ) | |||||||||||||
USD | 4,058,100 | RUB | 261,788,031 | Deutsche Bank AG | 7/14/16 | (20,151 | ) | |||||||||||||
USD | 2,254,500 | RUB | 150,600,600 | Morgan Stanley & Co. International PLC | 7/14/16 | (91,623 | ) | |||||||||||||
USD | 2,252,000 | RUB | 145,501,720 | Société Générale | 7/14/16 | (14,691 | ) | |||||||||||||
USD | 3,459,000 | TWD | 111,500,865 | JPMorgan Chase Bank N.A. | 7/14/16 | 1,423 | ||||||||||||||
EUR | 570,000 | USD | 626,900 | Deutsche Bank AG | 7/15/16 | 6,017 | ||||||||||||||
EUR | 2,300,000 | USD | 2,529,595 | Deutsche Bank AG | 7/15/16 | 24,277 | ||||||||||||||
GBP | 4,200,000 | USD | 5,537,532 | Citibank N.A. | 7/15/16 | 54,489 | ||||||||||||||
USD | 631,600 | EUR | 570,000 | Deutsche Bank AG | 7/15/16 | (1,316 | ) | |||||||||||||
USD | 2,559,489 | EUR | 2,300,000 | Morgan Stanley & Co. International PLC | 7/15/16 | 5,616 | ||||||||||||||
USD | 342,248 | GBP | 250,000 | Morgan Stanley & Co. International PLC | 7/15/16 | 9,390 | ||||||||||||||
USD | 5,741,499 | GBP | 4,200,000 | Morgan Stanley & Co. International PLC | 7/15/16 | 149,478 | ||||||||||||||
USD | 1,943,627 | MXN | 36,082,121 | Bank of America N.A. | 7/19/16 | (26,359 | ) | |||||||||||||
USD | 2,031,973 | MXN | 37,671,134 | Bank of America N.A. | 7/19/16 | (24,769 | ) | |||||||||||||
MXN | 43,086,657 | USD | 2,327,627 | Goldman Sachs International | 7/20/16 | 24,562 | ||||||||||||||
MXN | 43,561,425 | USD | 2,411,685 | HSBC Bank PLC | 7/20/16 | (33,577 | ) | |||||||||||||
USD | 2,257,522 | MXN | 41,920,915 | State Street Bank and Trust Co. | 7/20/16 | (31,027 | ) | |||||||||||||
USD | 2,433,817 | MXN | 44,727,167 | State Street Bank and Trust Co. | 7/20/16 | (7,931 | ) | |||||||||||||
USD | 563,749 | RUB | 37,251,157 | JPMorgan Chase Bank N.A. | 7/20/16 | (15,618 | ) | |||||||||||||
TRY | 9,518,076 | USD | 3,247,200 | HSBC Bank PLC | 7/22/16 | 43,680 | ||||||||||||||
TRY | 4,795,140 | USD | 1,623,600 | Royal Bank of Scotland PLC | 7/22/16 | 34,322 | ||||||||||||||
USD | 4,870,800 | TRY | 14,162,825 | Citibank N.A. | 7/22/16 | (26,005 | ) | |||||||||||||
MXN | 24,736,275 | USD | 1,305,000 | BNP Paribas S.A. | 7/28/16 | 44,369 | ||||||||||||||
CNH | 404,200,740 | USD | 60,360,000 | JPMorgan Chase Bank N.A. | 7/29/16 | 216,166 | ||||||||||||||
USD | 25,302,000 | CNH | 170,813,802 | Bank of America N.A. | 7/29/16 | (297,273 | ) | |||||||||||||
USD | 38,464,000 | CNH | 253,570,074 | Barclays Bank PLC | 7/29/16 | 462,331 | ||||||||||||||
USD | 44,000,000 | CNH | 299,268,200 | HSBC Bank PLC | 7/29/16 | (850,289 | ) | |||||||||||||
USD | 28,415,000 | CNH | 189,243,900 | Standard Chartered Bank | 7/29/16 | 53,672 | ||||||||||||||
COP | 6,513,687,500 | USD | 2,225,000 | Credit Suisse International | 8/01/16 | (11,664 | ) | |||||||||||||
COP | 6,566,760,000 | USD | 2,220,000 | Credit Suisse International | 8/01/16 | 11,370 | ||||||||||||||
COP | 9,108,568,000 | USD | 3,110,000 | Standard Chartered Bank | 8/01/16 | (14,929 | ) | |||||||||||||
COP | 13,126,085,000 | USD | 4,445,000 | Standard Chartered Bank | 8/01/16 | 15,214 | ||||||||||||||
BRL | 10,379,001 | USD | 3,079,000 | Goldman Sachs International | 8/02/16 | 117,977 | ||||||||||||||
BRL | 37,239,308 | USD | 11,047,290 | Goldman Sachs International | 8/02/16 | 423,295 | ||||||||||||||
USD | 214,048,082 | EUR | 192,645,200 | Morgan Stanley & Co. International PLC | 8/03/16 | (12,653 | ) | |||||||||||||
USD | 24,260,346 | GBP | 18,016,000 | Royal Bank of Scotland PLC | 8/03/16 | 269,146 | ||||||||||||||
USD | 1,752,357 | JPY | 179,890,000 | Bank of America N.A. | 8/03/16 | 8,463 | ||||||||||||||
EUR | 5,547,197 | USD | 6,278,845 | Royal Bank of Scotland PLC | 8/12/16 | (112,998 | ) | |||||||||||||
USD | 6,339,248 | EUR | 5,547,197 | Royal Bank of Scotland PLC | 8/12/16 | 173,401 | ||||||||||||||
EUR | 1,630,400 | RUB | 118,644,208 | Deutsche Bank AG | 8/16/16 | (19,322 | ) | |||||||||||||
EUR | 2,742,084 | USD | 3,081,075 | Citibank N.A. | 8/16/16 | (32,743 | ) | |||||||||||||
EUR | 3,156,000 | USD | 3,577,841 | Deutsche Bank AG | 8/16/16 | (69,365 | ) | |||||||||||||
EUR | 2,029,050 | USD | 2,251,718 | JPMorgan Chase Bank N.A. | 8/16/16 | 3,945 | ||||||||||||||
EUR | 1,233,188 | USD | 1,391,316 | Morgan Stanley & Co. International PLC | 8/16/16 | (20,400 | ) | |||||||||||||
EUR | 764,151 | USD | 865,869 | Morgan Stanley & Co. International PLC | 8/16/16 | (16,374 | ) | |||||||||||||
EUR | 1,117,784 | USD | 1,239,391 | Morgan Stanley & Co. International PLC | 8/16/16 | 3,232 | ||||||||||||||
EUR | 1,433,096 | USD | 1,589,047 | Morgan Stanley & Co. International PLC | 8/16/16 | 4,103 |
MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2016 | 37 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio |
Currency Purchased |
Currency Sold |
Counterparty |
Settlement Date |
Unrealized Appreciation (Depreciation) |
||||||||||||||||
EUR | 5,617,250 | USD | 6,357,739 | Royal Bank of Scotland PLC | 8/16/16 | $(113,130 | ) | |||||||||||||
JPY | 1,487,966,058 | USD | 13,953,000 | Royal Bank of Scotland PLC | 8/16/16 | 477,882 | ||||||||||||||
MXN | 88,712,982 | USD | 4,754,400 | Citibank N.A. | 8/16/16 | 75,029 | ||||||||||||||
MXN | 48,627,593 | USD | 2,592,800 | Deutsche Bank AG | 8/16/16 | 54,428 | ||||||||||||||
MXN | 50,292,244 | USD | 2,639,000 | Deutsche Bank AG | 8/16/16 | 98,850 | ||||||||||||||
MXN | 48,946,071 | USD | 2,610,000 | Royal Bank of Scotland PLC | 8/16/16 | 54,566 | ||||||||||||||
PLN | 34,894,993 | USD | 8,816,876 | BNP Paribas S.A. | 8/16/16 | 17,321 | ||||||||||||||
PLN | 32,938,192 | USD | 8,504,458 | JPMorgan Chase Bank N.A. | 8/16/16 | (165,654 | ) | |||||||||||||
PLN | 76,586,141 | USD | 19,128,005 | Royal Bank of Scotland PLC | 8/16/16 | 260,940 | ||||||||||||||
PLN | 77,647,143 | USD | 20,037,973 | State Street Bank and Trust Co. | 8/16/16 | (380,419 | ) | |||||||||||||
RUB | 120,026,787 | EUR | 1,630,400 | Deutsche Bank AG | 8/16/16 | 40,669 | ||||||||||||||
RUB | 285,942,960 | USD | 4,412,700 | Deutsche Bank AG | 8/16/16 | 2,129 | ||||||||||||||
RUB | 211,709,000 | USD | 3,175,000 | Deutsche Bank AG | 8/16/16 | 93,691 | ||||||||||||||
USD | 437,100 | EUR | 394,283 | Goldman Sachs International | 8/16/16 | (1,218 | ) | |||||||||||||
USD | 1,074,426 | EUR | 966,082 | HSBC Bank PLC | 8/16/16 | 447 | ||||||||||||||
USD | 628,460 | EUR | 571,520 | Morgan Stanley & Co. International PLC | 8/16/16 | (6,890 | ) | |||||||||||||
USD | 2,237,093 | EUR | 2,029,050 | Royal Bank of Scotland PLC | 8/16/16 | (18,570 | ) | |||||||||||||
USD | 3,570,762 | EUR | 3,156,000 | Royal Bank of Scotland PLC | 8/16/16 | 62,286 | ||||||||||||||
USD | 4,137,962 | EUR | 3,657,252 | Royal Bank of Scotland PLC | 8/16/16 | 72,252 | ||||||||||||||
USD | 4,700,016 | EUR | 4,153,937 | Royal Bank of Scotland PLC | 8/16/16 | 82,150 | ||||||||||||||
USD | 6,279,644 | EUR | 5,547,197 | Royal Bank of Scotland PLC | 8/16/16 | 112,912 | ||||||||||||||
USD | 269,926 | GBP | 200,000 | Barclays Bank PLC | 8/16/16 | 3,562 | ||||||||||||||
USD | 2,222,054 | GBP | 1,645,000 | BNP Paribas S.A. | 8/16/16 | 31,207 | ||||||||||||||
USD | 2,222,133 | GBP | 1,645,000 | BNP Paribas S.A. | 8/16/16 | 31,286 | ||||||||||||||
USD | 2,981,138 | GBP | 2,246,900 | Citibank N.A. | 8/16/16 | (11,332 | ) | |||||||||||||
USD | 2,223,717 | GBP | 1,650,000 | Deutsche Bank AG | 8/16/16 | 26,210 | ||||||||||||||
USD | 1,957,390 | GBP | 1,450,000 | JPMorgan Chase Bank N.A. | 8/16/16 | 26,248 | ||||||||||||||
USD | 2,223,272 | GBP | 1,645,000 | JPMorgan Chase Bank N.A. | 8/16/16 | 32,425 | ||||||||||||||
USD | 884,859 | GBP | 655,000 | Royal Bank of Scotland PLC | 8/16/16 | 12,515 | ||||||||||||||
USD | 2,911,500 | JPY | 299,500,182 | BNP Paribas S.A. | 8/16/16 | 6,829 | ||||||||||||||
USD | 4,065,000 | JPY | 417,638,100 | BNP Paribas S.A. | 8/16/16 | 14,581 | ||||||||||||||
USD | 2,911,500 | JPY | 299,258,527 | Goldman Sachs International | 8/16/16 | 9,173 | ||||||||||||||
USD | 4,065,000 | JPY | 418,125,900 | Morgan Stanley & Co. International PLC | 8/16/16 | 9,850 | ||||||||||||||
USD | 2,639,000 | MXN | 50,400,353 | Citibank N.A. | 8/16/16 | (104,735 | ) | |||||||||||||
USD | 2,329,370 | MXN | 43,233,264 | Citibank N.A. | 8/16/16 | (24,198 | ) | |||||||||||||
USD | 2,183,200 | MXN | 40,935,467 | Goldman Sachs International | 8/16/16 | (45,278 | ) | |||||||||||||
USD | 2,637,000 | MXN | 48,944,302 | Goldman Sachs International | 8/16/16 | (27,469 | ) | |||||||||||||
USD | 2,321,442 | MXN | 43,086,657 | Goldman Sachs International | 8/16/16 | (24,144 | ) | |||||||||||||
USD | 1,487,227 | MXN | 27,609,557 | Goldman Sachs International | 8/16/16 | (15,804 | ) | |||||||||||||
USD | 2,216,006 | MXN | 41,126,777 | Royal Bank of Scotland PLC | 8/16/16 | (22,887 | ) | |||||||||||||
USD | 869,000 | MXN | 16,128,328 | State Street Bank and Trust Co. | 8/16/16 | (9,007 | ) | |||||||||||||
USD | 66,376,909 | PLN | 258,963,863 | Royal Bank of Scotland PLC | 8/16/16 | 816,272 | ||||||||||||||
USD | 5,039,845 | PLN | 19,537,464 | State Street Bank and Trust Co. | 8/16/16 | 93,639 | ||||||||||||||
USD | 4,412,700 | RUB | 294,658,043 | Deutsche Bank AG | 8/16/16 | (136,686 | ) | |||||||||||||
USD | 3,175,000 | RUB | 207,010,000 | JPMorgan Chase Bank N.A. | 8/16/16 | (21,140 | ) | |||||||||||||
USD | 18,508,576 | IDR | 248,662,723,340 | Nomura International PLC | 8/22/16 | (134,416 | ) | |||||||||||||
EUR | 76,733 | USD | 85,408 | Barclays Bank PLC | 9/06/16 | (38 | ) | |||||||||||||
EUR | 2,753 | USD | 3,058 | BNP Paribas S.A. | 9/06/16 | 5 |
38 | MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2016 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio |
Currency Purchased |
Currency Sold |
Counterparty |
Settlement Date |
Unrealized Appreciation (Depreciation) |
||||||||||||||||
EUR | 3,671 | USD | 4,075 | BNP Paribas S.A. | 9/06/16 | $ 9 | ||||||||||||||
EUR | 4,589 | USD | 5,087 | BNP Paribas S.A. | 9/06/16 | 18 | ||||||||||||||
EUR | 6,987 | USD | 7,749 | BNP Paribas S.A. | 9/06/16 | 24 | ||||||||||||||
EUR | 12,500 | USD | 13,980 | Citibank N.A. | 9/06/16 | (73 | ) | |||||||||||||
EUR | 143,080 | USD | 160,977 | Deutsche Bank AG | 9/06/16 | (1,792 | ) | |||||||||||||
EUR | 12,500 | USD | 13,962 | Deutsche Bank AG | 9/06/16 | (55 | ) | |||||||||||||
EUR | 12,500 | USD | 13,946 | Deutsche Bank AG | 9/06/16 | (40 | ) | |||||||||||||
EUR | 12,500 | USD | 13,940 | Deutsche Bank AG | 9/06/16 | (33 | ) | |||||||||||||
EUR | 65,134 | USD | 73,357 | HSBC Bank PLC | 9/06/16 | (891 | ) | |||||||||||||
EUR | 51,786 | USD | 58,202 | JPMorgan Chase Bank N.A. | 9/06/16 | (587 | ) | |||||||||||||
EUR | 178,267 | USD | 198,627 | UBS AG | 9/06/16 | (295 | ) | |||||||||||||
USD | 9,104 | EUR | 8,000 | Barclays Bank PLC | 9/06/16 | 204 | ||||||||||||||
USD | 306,684 | EUR | 270,000 | Credit Suisse International | 9/06/16 | 6,294 | ||||||||||||||
USD | 559,655 | EUR | 500,000 | JPMorgan Chase Bank N.A. | 9/06/16 | 3,376 | ||||||||||||||
AUD | 66,179,000 | USD | 48,931,098 | Bank of America N.A. | 9/21/16 | 274,259 | ||||||||||||||
AUD | 62,060,000 | USD | 45,921,297 | Morgan Stanley & Co. International PLC | 9/21/16 | 221,505 | ||||||||||||||
CNH | 253,068,948 | USD | 37,867,000 | HSBC Bank PLC | 9/21/16 | (29,276 | ) | |||||||||||||
USD | 94,251,177 | AUD | 128,239,000 | State Street Bank and Trust Co. | 9/21/16 | (1,096,982 | ) | |||||||||||||
USD | 25,980,057 | EUR | 23,004,000 | Royal Bank of Scotland PLC | 9/21/16 | 371,643 | ||||||||||||||
CHF | 648,586 | EUR | 604,500 | Citibank N.A. | 9/28/16 | (5,429 | ) | |||||||||||||
CHF | 1,726,756 | EUR | 1,610,000 | Royal Bank of Scotland PLC | 9/28/16 | (15,142 | ) | |||||||||||||
CHF | 1,513,467 | EUR | 1,410,500 | UBS AG | 9/28/16 | (12,567 | ) | |||||||||||||
EUR | 3,625,000 | CHF | 3,913,188 | UBS AG | 9/28/16 | 8,041 | ||||||||||||||
USD | 22,469,000 | CNH | 148,331,350 | Deutsche Bank AG | 11/07/16 | 344,218 | ||||||||||||||
USD | 25,316,000 | SAR | 96,555,224 | BNP Paribas S.A. | 11/23/16 | (330,159 | ) | |||||||||||||
USD | 25,703,333 | SAR | 97,981,107 | Citibank N.A. | 11/23/16 | (321,556 | ) | |||||||||||||
USD | 19,029,000 | SAR | 72,319,715 | Citibank N.A. | 11/23/16 | (179,934 | ) | |||||||||||||
USD | 4,000,000 | SGD | 5,394,028 | Barclays Bank PLC | 12/15/16 | 3,045 | ||||||||||||||
HKD | 135,373,250 | USD | 17,245,000 | HSBC Bank PLC | 2/03/17 | 223,132 | ||||||||||||||
USD | 17,245,000 | HKD | 134,597,225 | HSBC Bank PLC | 2/03/17 | (122,996 | ) | |||||||||||||
HKD | 69,472,537 | USD | 8,965,000 | HSBC Bank PLC | 2/27/17 | (1,418 | ) | |||||||||||||
USD | 18,000,000 | HKD | 140,211,000 | HSBC Bank PLC | 2/27/17 | (90,497 | ) | |||||||||||||
HKD | 132,970,084 | USD | 16,790,000 | Goldman Sachs International | 1/19/18 | 326,758 | ||||||||||||||
USD | 16,790,000 | HKD | 131,339,775 | Goldman Sachs International | 1/19/18 | (116,894 | ) | |||||||||||||
Total |
|
$ 6,968,925 | ||||||||||||||||||
|
|
Interest Indexed Caps Purchased
|
Description | Exercise Rate | Counterparty | Expiration Date |
Notional Amount (000) |
Value | Premiums Received |
Unrealized Depreciation |
|||||||||||||||||
10Y-2Y CMS Index Cap1 |
1.30% | Bank of America N.A. | 10/20/16 | USD 187,100 | $ | 3,907 | $74,172 | $(70,265 | ) |
1 | Master Portfolio pays the upfront premium and receives the greater of the exercise rate minus the difference of the 10-year CMS Index and 2-year CMS Index. |
MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2016 | 39 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio |
Exchange-Traded Options Purchased
|
||||||||||||||||||||||||
Description |
Put/ Call |
Expiration Date |
Strike Price |
Contracts | Value | |||||||||||||||||||
SPDR S&P 500 ETF Trust Futures |
Call | 7/01/16 | USD | 213.00 | 291 | $ 437 | ||||||||||||||||||
Nikkei 225 Index |
Call | 7/08/16 | JPY | 17,000.00 | 102 | 2,963 | ||||||||||||||||||
Nikkei 225 Index |
Call | 7/08/16 | JPY | 17,500.00 | 100 | 1,937 | ||||||||||||||||||
SPDR S&P 500 ETF Trust Futures |
Call | 7/08/16 | USD | 209.00 | 560 | 91,840 | ||||||||||||||||||
Alibaba Group Holding Ltd. |
Call | 7/15/16 | USD | 82.5 | 288 | 12,240 | ||||||||||||||||||
E-Mini S&P 500 Index Futures |
Call | 7/15/16 | USD | 1,950.00 | 125 | 889,063 | ||||||||||||||||||
E-Mini S&P 500 Index Futures |
Call | 7/15/16 | USD | 2,050.00 | 125 | 315,625 | ||||||||||||||||||
E-Mini S&P 500 Index Futures |
Call | 7/15/16 | USD | 2,150.00 | 40 | 3,050 | ||||||||||||||||||
Financial Select Sector SPDR Fund |
Call | 7/15/16 | USD | 24.00 | 35,866 | 71,732 | ||||||||||||||||||
SPDR Gold Trust ETF Futures |
Call | 7/15/16 | USD | 127.00 | 612 | 94,554 | ||||||||||||||||||
iShares iBoxx $ High Yield Corporate Bond ETF |
Call | 8/19/16 | USD | 85.00 | 7,900 | 521,400 | ||||||||||||||||||
SPDR S&P 500 ETF Trust Futures |
Call | 9/16/16 | USD | 230.00 | 4,161 | 24,966 | ||||||||||||||||||
E-Mini S&P 500 Index Futures |
Put | 7/01/16 | USD | 2,060.00 | 205 | 8,713 | ||||||||||||||||||
Euro-Bund Futures |
Put | 7/22/16 | EUR | 160.00 | 155 | 1,720 | ||||||||||||||||||
U.S. Treasury Notes (10 Year) Futures |
Put | 7/22/16 | USD | 132.00 | 1,305 | 346,641 | ||||||||||||||||||
U.S. Treasury Notes (10 Year) Futures |
Put | 7/22/16 | USD | 130.50 | 1,092 | 85,313 | ||||||||||||||||||
Fortescue Metals Group Ltd. | Put | 7/28/16 | AUD | 2.70 | 2,741 | 5,111 | ||||||||||||||||||
Total |
$2,477,305 | |||||||||||||||||||||||
|
|
1 | All or a portion of security is held by a wholly owned subsidiary. |
OTC Barrier Options Purchased
|
Description | Put/ Call |
Type of Option |
Counterparty | Expiration Date |
Strike Price |
Barrier Price |
Notional Amount (000) |
Value | ||||||||||||||||||||
USD Currency |
Call | Up-and-Out | Deutsche Bank AG | 7/07/16 | CNH | 6.62 | CNH | 6.88 | USD | 6,273 | $ 51,101 | |||||||||||||||||
GBP Currency |
Put | Down-and-Out | BNP Paribas S.A. | 7/27/16 | USD | 1.34 | USD | 1.25 | GBP | 57,413 | 620,957 | |||||||||||||||||
GBP Currency |
Put | Down-and-Out | BNP Paribas S.A. | 8/03/16 | USD | 1.33 | USD | 1.26 | GBP | 250 | 87,884 | |||||||||||||||||
GBP Currency |
Put | Down-and-Out | BNP Paribas S.A. | 8/03/16 | USD | 1.32 | USD | 1.25 | GBP | 250 | 81,694 | |||||||||||||||||
GBP Currency |
Put | Down-and-Out | BNP Paribas S.A. | 9/02/16 | USD | 1.32 | USD | 1.24 | GBP | 250 | 70,852 | |||||||||||||||||
GBP Currency | Put | Down-and-Out | BNP Paribas S.A. | 9/02/16 | USD | 1.30 | USD | 1.22 | GBP | 250 | 57,100 | |||||||||||||||||
Total |
$969,588 | |||||||||||||||||||||||||||
|
OTC Options Purchased
|
| |||||||||||||||||||||||||
Description | Put/ Call |
Counterparty |
Expiration Date |
Strike Price |
Contracts |
Notional Amount (000) |
Value | |||||||||||||||||||
GBP Currency |
Call | BNP Paribas S.A. | 7/01/16 | USD | 1.46 | | GBP | 9,900 | $ 1 | |||||||||||||||||
GBP Currency |
Call | Citibank N.A. | 7/01/16 | USD | 1.50 | | GBP | 11,800 | 2 | |||||||||||||||||
USD Currency |
Call | Citibank N.A. | 7/01/16 | MXN | 17.65 | | USD | 4,268 | 187,939 | |||||||||||||||||
USD Currency |
Call | Morgan Stanley & Co. International PLC | 7/01/16 | BRL | 3.57 | | USD | 4,640 | | |||||||||||||||||
USD Currency |
Call | Morgan Stanley Capital Services LLC | 7/01/16 | TRY | 2.95 | | USD | 8,118 | 41 | |||||||||||||||||
USD Currency |
Call | UBS AG | 7/01/16 | RUB | 64.50 | | USD | 6,836 | 7,723 | |||||||||||||||||
USD Currency |
Call | BNP Paribas S.A. | 7/08/16 | ZAR | 15.00 | | USD | 6,704 | 32,010 | |||||||||||||||||
USD Currency |
Call | Goldman Sachs Bank USA | 7/12/16 | CAD | 1.29 | | USD | 3,959 | 42,433 | |||||||||||||||||
USD Currency |
Call | Barclays Bank PLC | 7/14/16 | JPY | 110.00 | | USD | 3,762 | 49 | |||||||||||||||||
USD Currency |
Call | Goldman Sachs International | 7/18/16 | MXN | 19.25 | | USD | 6,090 | 19,994 | |||||||||||||||||
USD Currency |
Call | UBS AG | 7/18/16 | MXN | 19.25 | | USD | 3,480 | 11,425 | |||||||||||||||||
USD Currency |
Call | UBS AG | 7/18/16 | MXN | 19.00 | | USD | 2,610 | 14,314 | |||||||||||||||||
USD Currency |
Call | BNP Paribas S.A. | 7/19/16 | JPY | 124.00 | | USD | 17,000 | 2 |
40 | MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2016 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio |
Description | Put/ Call |
Counterparty |
Expiration Date |
Strike Price |
Contracts |
Notional Amount (000) |
Value | |||||||||||||||||||||
USD Currency |
Call | Deutsche Bank AG | 7/19/16 | JPY | 124.00 | | USD | 17,000 | $ | 2 | ||||||||||||||||||
USD Currency |
Call | JPMorgan Chase Bank N.A. | 7/19/16 | JPY | 120.00 | | USD | 17,000 | 2 | |||||||||||||||||||
EUR Currency |
Call | HSBC Bank PLC | 7/22/16 | CHF | 1.13 | | EUR | 2,470 | 305 | |||||||||||||||||||
EUR Currency |
Call | UBS AG | 7/22/16 | CHF | 1.11 | | EUR | 9,910 | 7,164 | |||||||||||||||||||
USD Currency |
Call | HSBC Bank PLC | 7/29/16 | CNH | 6.75 | | USD | 110,000 | 297,451 | |||||||||||||||||||
USD Currency |
Call | Deutsche Bank AG | 8/05/16 | JPY | 106.00 | | USD | 4,398 | 20,735 | |||||||||||||||||||
USD Currency |
Call | HSBC Bank PLC | 8/09/16 | CHF | 1.05 | | USD | 19,215 | 1,018 | |||||||||||||||||||
USD Currency |
Call | Royal Bank of Scotland PLC | 8/09/16 | CHF | 1.04 | | USD | 38,120 | 3,705 | |||||||||||||||||||
USD Currency |
Call | Bank of America N.A. | 8/12/16 | CNH | 7.00 | | USD | 17,500 | 12,502 | |||||||||||||||||||
USD Currency |
Call | Deutsche Bank AG | 8/12/16 | CNY | 7.00 | | USD | 17,500 | 12,502 | |||||||||||||||||||
USD Currency |
Call | Deutsche Bank AG | 8/12/16 | CNH | 7.25 | | USD | 17,500 | 1,008 | |||||||||||||||||||
USD Currency |
Call | BNP Paribas S.A. | 8/15/16 | SAR | 3.79 | | USD | 26,190 | 30,726 | |||||||||||||||||||
USD Currency |
Call | BNP Paribas S.A. | 8/16/16 | SAR | 3.78 | | USD | 37,400 | 54,525 | |||||||||||||||||||
USD Currency |
Call | Citibank N.A. | 8/16/16 | SAR | 3.78 | | USD | 37,440 | 54,584 | |||||||||||||||||||
EUR Currency |
Call | HSBC Bank PLC | 8/24/16 | CHF | 1.13 | | EUR | 2,476 | 2,369 | |||||||||||||||||||
EUR Currency |
Call | UBS AG | 8/24/16 | CHF | 1.11 | | EUR | 9,910 | 26,045 | |||||||||||||||||||
USD Currency |
Call | Deutsche Bank AG | 8/24/16 | CNH | 6.70 | | USD | 7,123 | 51,679 | |||||||||||||||||||
USD Currency |
Call | Deutsche Bank AG | 8/24/16 | CNH | 7.15 | | USD | 7,123 | 3,281 | |||||||||||||||||||
USD Currency |
Call | Deutsche Bank AG | 9/06/16 | CHF | 1.03 | | USD | 20,000 | 19,792 | |||||||||||||||||||
USD Currency |
Call | Deutsche Bank AG | 9/06/16 | CHF | 1.08 | | USD | 20,000 | 1,184 | |||||||||||||||||||
USD Currency |
Call | BNP Paribas S.A. | 9/09/16 | CAD | 1.31 | | USD | 9,910 | 128,240 | |||||||||||||||||||
USD Currency |
Call | HSBC Bank PLC | 9/23/16 | CNH | 6.70 | | USD | 29,700 | 308,099 | |||||||||||||||||||
EUR Currency |
Call | HSBC Bank PLC | 9/27/16 | CHF | 1.15 | | EUR | 12,000 | 11,626 | |||||||||||||||||||
USD Currency |
Call | BNP Paribas S.A. | 9/27/16 | HKD | 7.80 | | USD | 37,360 | 36,747 | |||||||||||||||||||
USD Currency |
Call | Bank of America N.A. | 10/27/16 | CAD | 1.32 | | USD | 10,770 | 165,589 | |||||||||||||||||||
USD Currency |
Call | Deutsche Bank AG | 10/27/16 | CAD | 1.32 | | USD | 13,800 | 212,175 | |||||||||||||||||||
USD Currency |
Call | Deutsche Bank AG | 12/06/16 | CHF | 1.05 | | USD | 20,000 | 55,568 | |||||||||||||||||||
USD Currency |
Call | Deutsche Bank AG | 12/06/16 | CHF | 1.10 | | USD | 8,571 | 6,236 | |||||||||||||||||||
USD Currency |
Call | Deutsche Bank AG | 12/15/16 | CNH | 6.75 | | USD | 6,551 | 104,767 | |||||||||||||||||||
EUR Currency |
Put | Citibank N.A. | 7/01/16 | USD | 1.12 | | EUR | 10,300 | 112,430 | |||||||||||||||||||
EUR Currency |
Put | Citibank N.A. | 7/01/16 | USD | 1.10 | | EUR | 5,600 | 2,660 | |||||||||||||||||||
KOSPI 200 Index |
Put | Citibank N.A. | 7/14/16 | KRW | 237.43 | 15 | | 4,185 | ||||||||||||||||||||
USD Currency |
Put | JPMorgan Chase Bank N.A. | 7/15/16 | MXN | 18.50 | | USD | 17,472 | 242,712 | |||||||||||||||||||
USD Currency |
Put | JPMorgan Chase Bank N.A. | 7/15/16 | MXN | 18.30 | | USD | 6,626 | 57,770 | |||||||||||||||||||
GBP Currency |
Put | Deutsche Bank AG | 7/27/16 | USD | 1.45 | | GBP | 3,406 | 398,288 | |||||||||||||||||||
GBP Currency |
Put | HSBC Bank PLC | 7/27/16 | USD | 1.35 | | GBP | 3,406 | 104,189 | |||||||||||||||||||
USD Currency |
Put | Deutsche Bank AG | 7/27/16 | MXN | 19.40 | | USD | 20,380 | 1,067,900 | |||||||||||||||||||
USD Currency |
Put | Deutsche Bank AG | 7/27/16 | MXN | 18.40 | | USD | 20,380 | 281,700 | |||||||||||||||||||
USD Currency |
Put | JPMorgan Chase Bank N.A. | 9/30/16 | JPY | 115.00 | | USD | 9,700 | 1,229,503 | |||||||||||||||||||
Total |
$ | 5,446,896 | ||||||||||||||||||||||||||
|
|
OTC Credit Default Swaptions Purchased
|
| |||||||||||||||||||||||||||
Description | Counterparty |
Put/ Call |
Strike Price | Pay/Receive Floating Rate Index |
Floating Rate Index |
Expiration Date |
Notional Amount (000) |
Value | ||||||||||||||||||||
Bought protection on 5-Year Credit Default Swaps |
JPMorgan Chase Bank N.A. | Put | 375.00% | Receive | iTraxx Crossover Series 25 Version 1 |
9/21/16 | EUR | 10,790 | $264,664 |
MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2016 | 41 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio |
OTC Interest Rate Swaptions Purchased
|
| |||||||||||||||||||||||||||||||||
Description | Counterparty | Put/ Call |
Exercise Rate | Pay/Receive Exercise Rate |
Floating Rate Index |
Expiration Date |
Notional Amount (000) |
Market Value |
||||||||||||||||||||||||||
5-Year Interest Rate Swap |
Citibank N.A. | Put | 1.45% | Pay | 3-month LIBOR | 9/26/16 | USD | 30,000 | $ 33,770 | |||||||||||||||||||||||||
20-Year Interest Rate Swap |
Goldman Sachs International | Put | 0.61% | Pay |
|
6-month JPY LIBOR |
|
10/12/16 | JPY | 2,265,310 | 111,619 | |||||||||||||||||||||||
Total |
$145,389 | |||||||||||||||||||||||||||||||||
|
|
Exchange-Traded Options Written
|
Description | Put/ Call |
Expiration Date |
Strike Price |
Contracts | Value | |||||||||||||||||||
Nikkei 225 Index |
Call | 7/08/16 | JPY | 18,500.00 | 100 | $(1,937 | ) | |||||||||||||||||
Nikkei 225 Index |
Call | 7/08/16 | JPY | 17,750.00 | 105 | (2,034 | ) | |||||||||||||||||
E-Mini S&P 500 Index Futures |
Call | 7/15/16 | USD | 2,000.00 | 246 | (1,162,350 | ) | |||||||||||||||||
SPDR Gold Trust ETF Futures |
Call | 7/15/16 | USD | 131.00 | 734 | (33,764 | ) | |||||||||||||||||
SPDR S&P 500 ETF Trust Futures |
Call | 7/15/16 | USD | 211.00 | 3,003 | (360,360 | ) | |||||||||||||||||
CBOE Volatility Index |
Call | 7/20/16 | USD | 19.00 | 1,001 | (102,602 | ) | |||||||||||||||||
CBOE Volatility Index |
Call | 7/20/16 | USD | 20.00 | 3,002 | (255,170 | ) | |||||||||||||||||
U.S. Treasury Notes (10 Year) Futures |
Call | 7/22/16 | USD | 135.00 | 1,305 | (163,125 | ) | |||||||||||||||||
E-Mini S&P 500 Index Futures |
Put | 7/01/16 | USD | 2,050.00 | 205 | (5,125 | ) | |||||||||||||||||
SPDR S&P 500 ETF Trust Futures |
Put | 7/15/16 | USD | 199.00 | 3,003 | (102,102 | ) | |||||||||||||||||
Euro-Bund Futures |
Put | 7/22/16 | EUR | 157.00 | 155 | (1,720 | ) | |||||||||||||||||
SPDR S&P 500 ETF Trust Futures |
Put | 9/16/16 | USD | 180.00 | 198 | (18,315 | ) | |||||||||||||||||
Total |
$ | (2,208,604 | ) | |||||||||||||||||||||
|
|
OTC Options Written
|
Description | Put/ Call |
Counterparty | Expiration Date |
Strike Price |
Notional Amount (000) |
Value | ||||||||||||||||||||
GBP Currency |
Call | BNP Paribas S.A. | 7/01/16 | USD | 1.50 | GBP | 11,800 | $ | (2 | ) | ||||||||||||||||
GBP Currency |
Call | Citibank N.A. | 7/01/16 | USD | 1.46 | GBP | 9,900 | (1 | ) | |||||||||||||||||
USD Currency |
Call | Morgan Stanley & Co. International PLC | 7/01/16 | BRL | 3.57 | USD | 4,640 | | ||||||||||||||||||
USD Currency |
Call | Barclays Bank PLC | 7/14/16 | JPY | 114.00 | USD | 3,762 | | ||||||||||||||||||
USD Currency |
Call | JPMorgan Chase Bank N.A. | 7/18/16 | MXN | 19.25 | USD | 3,480 | (11,425 | ) | |||||||||||||||||
USD Currency |
Call | JPMorgan Chase Bank N.A. | 7/18/16 | MXN | 19.25 | USD | 6,090 | (19,994 | ) | |||||||||||||||||
USD Currency |
Call | Deutsche Bank AG | 7/19/16 | JPY | 120.00 | USD | 17,000 | (2 | ) | |||||||||||||||||
USD Currency |
Call | JPMorgan Chase Bank N.A. | 7/19/16 | JPY | 124.00 | USD | 34,000 | (3 | ) | |||||||||||||||||
EUR Currency |
Call | UBS AG | 7/22/16 | CHF | 1.13 | EUR | 12,380 | (1,528 | ) | |||||||||||||||||
USD Currency |
Call | Deutsche Bank AG | 7/29/16 | CNH | 6.75 | USD | 110,000 | (297,451 | ) | |||||||||||||||||
USD Currency |
Call | UBS AG | 8/09/16 | CHF | 1.05 | USD | 19,215 | (1,018 | ) | |||||||||||||||||
USD Currency |
Call | UBS AG | 8/09/16 | CHF | 1.04 | USD | 38,120 | (3,705 | ) | |||||||||||||||||
USD Currency |
Call | Bank of America N.A. | 8/12/16 | CNH | 7.25 | USD | 17,500 | (730 | ) | |||||||||||||||||
USD Currency |
Call | Deutsche Bank AG | 8/12/16 | CNY | 7.25 | USD | 17,500 | (730 | ) | |||||||||||||||||
USD Currency |
Call | Deutsche Bank AG | 8/12/16 | CNH | 7.00 | USD | 17,500 | (14,215 | ) | |||||||||||||||||
EUR Currency |
Call | UBS AG | 8/24/16 | CHF | 1.13 | EUR | 12,380 | (11,843 | ) | |||||||||||||||||
USD Currency |
Call | Deutsche Bank AG | 8/24/16 | CNH | 7.00 | USD | 7,123 | (9,486 | ) | |||||||||||||||||
USD Currency |
Call | Deutsche Bank AG | 8/24/16 | CNH | 6.85 | USD | 7,123 | (20,679 | ) | |||||||||||||||||
EUR Currency |
Call | Deutsche Bank AG | 8/25/16 | CHF | 1.09 | EUR | 5,100 | (39,245 | ) | |||||||||||||||||
USD Currency |
Call | Deutsche Bank AG | 9/06/16 | CHF | 1.08 | USD | 20,000 | (1,184 | ) | |||||||||||||||||
USD Currency |
Call | Deutsche Bank AG | 9/06/16 | CHF | 1.03 | USD | 20,000 | (19,792 | ) | |||||||||||||||||
USD Currency |
Call | BNP Paribas S.A. | 9/09/16 | CAD | 1.34 | USD | 9,910 | (64,719 | ) | |||||||||||||||||
USD Currency |
Call | HSBC Bank PLC | 9/23/16 | CNH | 7.00 | USD | 39,600 | (111,652 | ) | |||||||||||||||||
EUR Currency |
Call | Deutsche Bank AG | 9/27/16 | CHF | 1.15 | EUR | 12,000 | (11,626 | ) | |||||||||||||||||
EUR Currency |
Call | UBS AG | 9/27/16 | CHF | 1.10 | EUR | 5,100 | (35,178 | ) |
42 | MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2016 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio |
Description | Put/ Call |
Counterparty |
Expiration Date |
Strike Price |
Notional Amount (000) |
Value | ||||||||||||||||||
USD Currency |
Call | BNP Paribas S.A. | 9/27/16 | HKD | 8.00 | USD | 37,360 | $ | (5,578 | ) | ||||||||||||||
USD Currency |
Call | Bank of America N.A. | 10/27/16 | CAD | 1.37 | USD | 10,770 | (70,646 | ) | |||||||||||||||
USD Currency |
Call | Deutsche Bank AG | 10/27/16 | CAD | 1.37 | USD | 19,200 | (125,942 | ) | |||||||||||||||
USD Currency |
Call | Deutsche Bank AG | 12/06/16 | CHF | 1.10 | USD | 20,000 | (14,552 | ) | |||||||||||||||
USD Currency |
Call | Deutsche Bank AG | 12/15/16 | CNH | 7.10 | USD | 6,551 | (39,929 | ) | |||||||||||||||
GBP Currency |
Put | Deutsche Bank AG | 7/27/16 | USD | 1.35 | GBP | 3,406 | (104,189 | ) | |||||||||||||||
GBP Currency |
Put | HSBC Bank PLC | 7/27/16 | USD | 1.45 | GBP | 3,406 | (398,289 | ) | |||||||||||||||
USD Currency |
Put | Deutsche Bank AG | 7/27/16 | MXN | 18.80 | USD | 20,380 | (543,433 | ) | |||||||||||||||
USD Currency |
Put | Deutsche Bank AG | 7/27/16 | MXN | 19.00 | USD | 20,380 | (704,386 | ) | |||||||||||||||
EUR Currency |
Put | Deutsche Bank AG | 8/25/16 | CHF | 1.07 | EUR | 5,100 | (43,041 | ) | |||||||||||||||
EUR Currency |
Put | UBS AG | 9/27/16 | CHF | 1.08 | EUR | 5,100 | (79,394 | ) | |||||||||||||||
USD Currency |
Put | JPMorgan Chase Bank N.A. | 9/30/16 | JPY | 117.50 | USD | 9,700 | (1,462,072 | ) | |||||||||||||||
Total |
$ | (4,267,659 | ) | |||||||||||||||||||||
|
|
OTC Credit Default Swaptions Written
|
| |||||||||||||||||||||||||||
Description | Counterparty | Put/ Call |
Strike Price | Pay/Receive Floating Rate Index |
Floating Rate Index |
Credit Rating1 |
Expiration Date |
Notional Amount2 (000) |
Value | |||||||||||||||||||
Bought protection on 5-Year Credit Default Swaps |
JPMorgan Chase Bank N.A. | Call | 350.00% | Receive | iTraxx Crossover Series 25 Version 1 | B+ | 9/21/16 | EUR | 10,790 | $(133,441 | ) | |||||||||||||||||
Sold protection on 5-Year Credit Default Swaps |
JPMorgan Chase Bank N.A. | Put | 450.00% | Pay | iTraxx Crossover Series 25 Version 1 |
B+ | 9/21/16 | EUR | 10,790 | (137,631 | ) | |||||||||||||||||
Total |
$(271,072 | ) | ||||||||||||||||||||||||||
|
|
Centrally Cleared Credit Default Swaps Buy Protection
|
Index | Pay Fixed Rate |
Expiration Date |
Notional Amount (000) |
Unrealized Depreciation |
||||||||||||||||
iTraxx Europe Crossover Series 25 Version 1 |
5.00% | 6/20/21 | EUR | 59,448 | $791,091 |
Centrally Cleared Credit Default Swaps Sell Protection
|
| |||||||||||||||||||||||
Index | Receive Fixed Rate |
Expiration Date |
Credit Rating1 |
Notional Amount (000)2 |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||
iTraxx Europe Series 21 Version 1 |
1.00% | 6/20/19 | BBB+ | EUR | 1,445 | $ (133 | ) | |||||||||||||||||
iTraxx Europe Series 23 Version 1 |
1.00% | 6/20/20 | BBB+ | EUR | 2,628 | (21,004 | ) | |||||||||||||||||
CDX.NA.HY Series 26 Version 1 |
5.00% | 6/20/21 | B+ | USD | 61,296 | 870,358 | ||||||||||||||||||
CDX.NA.IG Series 26 Version 1 |
1.00% | 6/20/21 | BBB+ | USD | 960,814 | 3,002,297 | ||||||||||||||||||
iTraxx Europe Series 25 Version 1 |
1.00% | 6/20/21 | BBB+ | EUR | 4,467 | 9,180 | ||||||||||||||||||
iTraxx Financials Series 25 Version 1 |
1.00% | 6/20/21 | A | EUR | 4,570 | (47,729 | ) | |||||||||||||||||
Total |
$3,812,969 | |||||||||||||||||||||||
|
|
1 | Using S&Ps rating of the underlying securities of the index. |
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
|
| |||||||||||||||||
Fixed Rate | Floating Rate | Effective Date | Expiration Date | Notional Amount (000) |
Unrealized Appreciation (Depreciation) |
|||||||||||||
0.65%1 |
3-month LIBOR | N/A | 11/26/16 | USD | 12,695 | $ | 9,052 | |||||||||||
1.26%1 |
3-month LIBOR | N/A | 1/12/17 | USD | 283,520 | (2,192,069 | ) | |||||||||||
0.62%2 |
3-month Canadian Bankers Acceptance | N/A | 1/14/18 | CAD | 68,254 | (255,744 | ) | |||||||||||
0.88%1 |
3-month Canadian Bankers Acceptance | N/A | 1/14/21 | CAD | 22,917 | 18,644 | ||||||||||||
1.44%1 |
3-month LIBOR | 6/14/203 | 6/14/21 | USD | 496,475 | (451,130 | ) |
MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2016 | 43 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio |
Fixed Rate | Floating Rate | Effective Date | Expiration Date |
Notional Amount (000) |
Unrealized Appreciation (Depreciation) |
|||||||||||||
1.51%1 |
3-month LIBOR | 6/14/203 | 6/14/21 | USD | 492,245 | $ (954,736 | ) | |||||||||||
2.13%2 |
3-month LIBOR | N/A | 8/25/25 | USD | 2,360 | 184,096 | ||||||||||||
2.27%1 |
3-month LIBOR | N/A | 9/11/25 | USD | 1,800 | (162,663 | ) | |||||||||||
1.46%1 |
3-month LIBOR | N/A | 6/28/26 | USD | 9,714 | (78,489 | ) | |||||||||||
1.46%1 |
3-month LIBOR | N/A | 6/28/26 | USD | 2,428 | (19,720 | ) | |||||||||||
2.46%1 |
3-month LIBOR | N/A | 1/15/46 | USD | 24,040 | (3,837,094 | ) | |||||||||||
2.26%2 |
3-month LIBOR | N/A | 2/10/46 | USD | 24,040 | 2,633,742 | ||||||||||||
Total |
$(5,106,111 | ) | ||||||||||||||||
|
|
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 Credit Default Swaps Buy Protection
|
Issuer/Index | Pay Fixed Rate |
Counterparty | Expiration Date |
Notional Amount (000) |
Value | Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||
Banca Monte dei Paschi di Siena SpA |
5.00 | % | Deutsche Bank AG | 12/20/16 | EUR | 750 | $ 48,707 | $ 27,660 | $ 21,047 | |||||||||||||||||
Numericable SFR SA |
5.00 | % | Citibank N.A. | 12/20/16 | EUR | 780 | (18,960 | ) | (16,848 | ) | (2,112 | ) | ||||||||||||||
Stena AB |
5.00 | % | Credit Suisse International | 12/20/16 | EUR | 800 | (13,672 | ) | (8,244 | ) | (5,428 | ) | ||||||||||||||
Banca Monte dei Paschi di Siena SpA |
5.00 | % | JPMorgan Chase Bank N.A. | 3/20/17 | EUR | 3,800 | 296,130 | 119,658 | 176,472 | |||||||||||||||||
Republic of Ireland |
1.00 | % | Citibank N.A. | 3/20/17 | USD | 2,000 | (10,667 | ) | 53,977 | (64,644 | ) | |||||||||||||||
CDX.NA.IG Series 18 Version 1 |
1.00 | % | Credit Suisse International | 6/20/17 | USD | 103,800 | (831,428 | ) | (2,391 | ) | (829,037 | ) | ||||||||||||||
Buoni Poliennali Del Tesoro |
1.00 | % | Barclays Bank PLC | 3/20/18 | USD | 6,000 | (9,073 | ) | 126,578 | (135,651 | ) | |||||||||||||||
iTraxx Europe Series 9 3-6% |
5.00 | % | Citibank N.A. | 6/20/18 | EUR | 3,780 | (239,628 | ) | 225,484 | (465,112 | ) | |||||||||||||||
iTraxx Financials Series 19 Version 1 |
1.00 | % | Citibank N.A. | 6/20/18 | EUR | 8,200 | (68,502 | ) | (99,787 | ) | 31,285 | |||||||||||||||
Republic of France |
0.25 | % | Barclays Bank PLC | 6/20/18 | USD | 2,530 | (4,534 | ) | 17,919 | (22,453 | ) | |||||||||||||||
Republic of France |
0.25 | % | Citibank N.A. | 6/20/18 | USD | 2,740 | (4,910 | ) | 21,979 | (26,889 | ) | |||||||||||||||
Republic of France |
0.25 | % | JPMorgan Chase Bank N.A. | 6/20/18 | USD | 2,735 | (4,901 | ) | 16,844 | (21,745 | ) | |||||||||||||||
iTraxx Financials Series 20 Version 1 |
1.00 | % | Barclays Bank PLC | 12/20/18 | EUR | 1,450 | (12,439 | ) | (5,125 | ) | (7,314 | ) | ||||||||||||||
iTraxx Financials Series 20 Version 1 |
1.00 | % | Citibank N.A. | 12/20/18 | EUR | 5,900 | (50,616 | ) | (78,967 | ) | 28,351 | |||||||||||||||
iTraxx Financials Series 20 Version 1 |
1.00 | % | Citibank N.A. | 12/20/18 | EUR | 3,120 | (26,766 | ) | (10,809 | ) | (15,957 | ) | ||||||||||||||
Federative Republic of Brazil |
1.00 | % | Bank of America N.A. | 6/20/19 | USD | 1,187 | 32,041 | 27,653 | 4,388 | |||||||||||||||||
Federative Republic of Brazil |
1.00 | % | Citibank N.A. | 6/20/19 | USD | 1,155 | 31,178 | 31,290 | (112 | ) | ||||||||||||||||
Republic of Portugal |
1.00 | % | BNP Paribas S.A. | 9/20/19 | USD | 875 | 38,767 | 16,597 | 22,170 | |||||||||||||||||
Boyd Gaming Corp. |
5.00 | % | Citibank N.A. | 6/20/20 | USD | 1,300 | (131,747 | ) | (58,124 | ) | (73,623 | ) | ||||||||||||||
Boyd Gaming Corp. |
5.00 | % | JPMorgan Chase Bank N.A. | 6/20/20 | USD | 1,200 | (121,613 | ) | (58,330 | ) | (63,283 | ) | ||||||||||||||
United Mexican States |
1.00 | % | JPMorgan Chase Bank N.A. | 6/20/20 | USD | 7,452 | 83,082 | 52,109 | 30,973 | |||||||||||||||||
Boyd Gaming Corp. |
5.00 | % | Citibank N.A. | 9/20/20 | USD | 1,160 | (113,349 | ) | (96,672 | ) | (16,677 | ) | ||||||||||||||
United Mexican States |
1.00 | % | Bank of America N.A. | 9/20/20 | USD | 7,452 | 115,337 | 79,169 | 36,168 | |||||||||||||||||
Australia & New Zealand Banking Group Ltd. |
1.00 | % | JPMorgan Chase Bank N.A. | 12/20/20 | USD | 1,000 | (10,685 | ) | (323 | ) | (10,362 | ) | ||||||||||||||
Australia and New Zealand Banking Group Ltd. |
1.00 | % | JPMorgan Chase Bank N.A. | 12/20/20 | USD | 1,205 | (12,873 | ) | (5,027 | ) | (7,846 | ) | ||||||||||||||
Australia and New Zealand Banking Group Ltd. |
1.00 | % | JPMorgan Chase Bank N.A. | 12/20/20 | USD | 795 | (8,498 | ) | (3,656 | ) | (4,842 | ) | ||||||||||||||
AutoZone, Inc. |
1.00 | % | JPMorgan Chase Bank N.A. | 12/20/20 | USD | 3,300 | (98,139 | ) | (96,781 | ) | (1,358 | ) |
44 | MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2016 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio |
Issuer/Index | Pay Fixed Rate |
Counterparty | Expiration Date |
Notional Amount (000) |
Value | Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||
Banco Comercial Portugues SA |
5.00 | % | BNP Paribas S.A. | 12/20/20 | EUR | 216 | $ | 18,036 | $ (3,400 | ) | $ 21,436 | |||||||||||||||
Bank of America Corp. |
1.00 | % | BNP Paribas S.A. | 12/20/20 | USD | 1,200 | (6,340 | ) | (1,916 | ) | (4,424 | ) | ||||||||||||||
Barrick Gold Corp. |
1.00 | % | JPMorgan Chase Bank N.A. | 12/20/20 | USD | 2,800 | 15,997 | 106,002 | (90,005 | ) | ||||||||||||||||
BNP Paribas SA |
1.00 | % | Citibank N.A. | 12/20/20 | EUR | 800 | (3,953 | ) | (7,272 | ) | 3,319 | |||||||||||||||
Boeing Co. |
1.00 | % | JPMorgan Chase Bank N.A. | 12/20/20 | USD | 1,200 | (34,974 | ) | (37,870 | ) | 2,896 | |||||||||||||||
Boeing Co. |
1.00 | % | JPMorgan Chase Bank N.A. | 12/20/20 | USD | 1,200 | (34,974 | ) | (37,367 | ) | 2,393 | |||||||||||||||
Boyd Gaming Corp. |
5.00 | % | BNP Paribas S.A. | 12/20/20 | USD | 1,000 | (93,889 | ) | (69,094 | ) | (24,795 | ) | ||||||||||||||
Boyd Gaming Corp. |
5.00 | % | Citibank N.A. | 12/20/20 | USD | 800 | (75,111 | ) | (55,275 | ) | (19,836 | ) | ||||||||||||||
Boyd Gaming Corp. |
5.00 | % | Citibank N.A. | 12/20/20 | USD | 500 | (46,944 | ) | (34,595 | ) | (12,349 | ) | ||||||||||||||
Boyd Gaming Corp. |
5.00 | % | Citibank N.A. | 12/20/20 | USD | 500 | (46,944 | ) | (31,712 | ) | (15,232 | ) | ||||||||||||||
Caterpillar, Inc. |
1.00 | % | JPMorgan Chase Bank N.A. | 12/20/20 | USD | 4,200 | (55,802 | ) | 25,302 | (81,104 | ) | |||||||||||||||
Citigroup, Inc. |
1.00 | % | BNP Paribas S.A. | 12/20/20 | USD | 1,200 | (6,138 | ) | 2,643 | (8,781 | ) | |||||||||||||||
Clariant AG |
1.00 | % | Barclays Bank PLC | 12/20/20 | EUR | 42 | (312 | ) | 555 | (867 | ) | |||||||||||||||
Clariant AG |
1.00 | % | Barclays Bank PLC | 12/20/20 | EUR | 42 | (312 | ) | 555 | (867 | ) | |||||||||||||||
Clariant AG |
1.00 | % | Barclays Bank PLC | 12/20/20 | EUR | 42 | (313 | ) | 593 | (906 | ) | |||||||||||||||
Clariant AG |
1.00 | % | Barclays Bank PLC | 12/20/20 | EUR | 41 | (305 | ) | 542 | (847 | ) | |||||||||||||||
Clariant AG |
1.00 | % | BNP Paribas S.A. | 12/20/20 | EUR | 250 | (1,859 | ) | 4,103 | (5,962 | ) | |||||||||||||||
Clariant AG |
1.00 | % | BNP Paribas S.A. | 12/20/20 | EUR | 83 | (617 | ) | 400 | (1,017 | ) | |||||||||||||||
Commonwealth Bank of Australia |
1.00 | % | JPMorgan Chase Bank N.A. | 12/20/20 | USD | 1,150 | (12,054 | ) | (3,773 | ) | (8,281 | ) | ||||||||||||||
Commonwealth Bank of Australia |
1.00 | % | JPMorgan Chase Bank N.A. | 12/20/20 | USD | 1,000 | (10,482 | ) | (2,420 | ) | (8,062 | ) | ||||||||||||||
Credit Suisse Group Funding Guernsey Ltd. |
1.00 | % | Goldman Sachs International | 12/20/20 | EUR | 700 | 20,716 | 2,790 | 17,926 | |||||||||||||||||
Dow Chemical Co. |
1.00 | % | BNP Paribas S.A. | 12/20/20 | USD | 1,400 | (17,827 | ) | (15,589 | ) | (2,238 | ) | ||||||||||||||
Dow Chemical Co. |
1.00 | % | JPMorgan Chase Bank N.A. | 12/20/20 | USD | 1,200 | (15,280 | ) | 1,149 | (16,429 | ) | |||||||||||||||
EI du Pont de Nemours & Co. |
1.00 | % | BNP Paribas S.A. | 12/20/20 | USD | 1,400 | (38,504 | ) | (31,576 | ) | (6,928 | ) | ||||||||||||||
EI du Pont de Nemours & Co. |
1.00 | % | JPMorgan Chase Bank N.A. | 12/20/20 | USD | 1,200 | (33,004 | ) | (15,712 | ) | (17,292 | ) | ||||||||||||||
Halliburton Co. |
1.00 | % | Barclays Bank PLC | 12/20/20 | USD | 408 | (1,036 | ) | 14,338 | (15,374 | ) | |||||||||||||||
Halliburton Co. |
1.00 | % | Barclays Bank PLC | 12/20/20 | USD | 204 | (518 | ) | 6,517 | (7,035 | ) | |||||||||||||||
Halliburton Co. |
1.00 | % | Barclays Bank PLC | 12/20/20 | USD | 204 | (519 | ) | 7,987 | (8,506 | ) | |||||||||||||||
Halliburton Co. |
1.00 | % | BNP Paribas S.A. | 12/20/20 | USD | 423 | (1,075 | ) | 16,492 | (17,567 | ) | |||||||||||||||
Halliburton Co. |
1.00 | % | JPMorgan Chase Bank N.A. | 12/20/20 | USD | 779 | (1,979 | ) | 20,964 | (22,943 | ) | |||||||||||||||
Halliburton Co. |
1.00 | % | JPMorgan Chase Bank N.A. | 12/20/20 | USD | 593 | (1,506 | ) | 23,121 | (24,627 | ) | |||||||||||||||
Halliburton Co. |
1.00 | % | JPMorgan Chase Bank N.A. | 12/20/20 | USD | 365 | (927 | ) | 12,827 | (13,754 | ) | |||||||||||||||
Halliburton Co. |
1.00 | % | Morgan Stanley Capital Services LLC | 12/20/20 | USD | 424 | (1,078 | ) | 12,631 | (13,709 | ) | |||||||||||||||
Home Depot, Inc. |
1.00 | % | Goldman Sachs International | 12/20/20 | USD | 3,300 | (108,195 | ) | (118,042 | ) | 9,847 | |||||||||||||||
Home Depot, Inc. |
1.00 | % | Goldman Sachs International | 12/20/20 | USD | 2,475 | (81,146 | ) | (80,925 | ) | (221 | ) | ||||||||||||||
Home Depot, Inc. |
1.00 | % | Goldman Sachs International | 12/20/20 | USD | 2,475 | (81,146 | ) | (76,431 | ) | (4,715 | ) | ||||||||||||||
Home Depot, Inc. |
1.00 | % | JPMorgan Chase Bank N.A. | 12/20/20 | USD | 4,950 | (162,292 | ) | (168,159 | ) | 5,867 | |||||||||||||||
Iberdrola International BV |
1.00 | % | Barclays Bank PLC | 12/20/20 | EUR | 150 | (1,226 | ) | 526 | (1,752 | ) | |||||||||||||||
Iberdrola International BV |
1.00 | % | JPMorgan Chase Bank N.A. | 12/20/20 | EUR | 600 | (4,903 | ) | 1,523 | (6,426 | ) | |||||||||||||||
Itochu Corp. |
1.00 | % | Goldman Sachs International | 12/20/20 | JPY | 32,023 | (7,620 | ) | (2,211 | ) | (5,409 | ) | ||||||||||||||
Itochu Corp. |
1.00 | % | Goldman Sachs International | 12/20/20 | JPY | 29,326 | (6,978 | ) | (1,927 | ) | (5,051 | ) | ||||||||||||||
Itochu Corp. |
1.00 | % | Goldman Sachs International | 12/20/20 | JPY | 29,326 | (6,978 | ) | (1,818 | ) | (5,160 | ) | ||||||||||||||
Itochu Corp. |
1.00 | % | Goldman Sachs International | 12/20/20 | JPY | 29,326 | (6,977 | ) | (1,398 | ) | (5,579 | ) | ||||||||||||||
ITV PLC |
5.00 | % | Barclays Bank PLC | 12/20/20 | EUR | 230 | (43,645 | ) | (39,766 | ) | (3,879 | ) |
MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2016 | 45 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio |
Issuer/Index | Pay Fixed Rate |
Counterparty | Expiration Date |
Notional (000) |
Value | Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||
ITV PLC |
5.00 | % | BNP Paribas S.A. | 12/20/20 | EUR | 230 | $ | (43,646 | ) | $ (40,544 | ) | $ (3,102 | ) | |||||||||||||
ITV PLC |
5.00 | % | JPMorgan Chase Bank N.A. | 12/20/20 | EUR | 240 | (45,544 | ) | (42,167 | ) | (3,377 | ) | ||||||||||||||
JPMorgan Chase & Co. |
1.00 | % | BNP Paribas S.A. | 12/20/20 | USD | 1,200 | (19,371 | ) | (4,975 | ) | (14,396 | ) | ||||||||||||||
JPMorgan Chase and Co. |
1.00 | % | BNP Paribas S.A. | 12/20/20 | USD | 1,400 | (22,600 | ) | (7,652 | ) | (14,948 | ) | ||||||||||||||
Ladbrokes PLC |
1.00 | % | Citibank N.A. | 12/20/20 | EUR | 79 | 7,640 | 5,069 | 2,571 | |||||||||||||||||
Lanxess AG |
1.00 | % | Bank of America N.A. | 12/20/20 | EUR | 24 | (423 | ) | 284 | (707 | ) | |||||||||||||||
Lanxess AG |
1.00 | % | Citibank N.A. | 12/20/20 | EUR | 366 | (6,456 | ) | 6,615 | (13,071 | ) | |||||||||||||||
Lanxess AG |
1.00 | % | Citibank N.A. | 12/20/20 | EUR | 215 | (3,793 | ) | (595 | ) | (3,198 | ) | ||||||||||||||
Lanxess AG |
1.00 | % | Citibank N.A. | 12/20/20 | EUR | 194 | (3,422 | ) | 1,920 | (5,342 | ) | |||||||||||||||
Lanxess AG |
1.00 | % | Goldman Sachs International | 12/20/20 | EUR | 367 | (6,473 | ) | 6,808 | (13,281 | ) | |||||||||||||||
Lanxess AG |
1.00 | % | JPMorgan Chase Bank N.A. | 12/20/20 | EUR | 367 | (6,474 | ) | 7,204 | (13,678 | ) | |||||||||||||||
Lanxess AG |
1.00 | % | JPMorgan Chase Bank N.A. | 12/20/20 | EUR | 317 | (5,591 | ) | 5,205 | (10,796 | ) | |||||||||||||||
Lanxess AG |
1.00 | % | JPMorgan Chase Bank N.A. | 12/20/20 | EUR | 317 | (5,591 | ) | 5,205 | (10,796 | ) | |||||||||||||||
Loews Corp. |
1.00 | % | Barclays Bank PLC | 12/20/20 | USD | 4,245 | (124,684 | ) | (133,934 | ) | 9,250 | |||||||||||||||
Macquarie Bank Ltd. |
1.00 | % | Deutsche Bank AG | 12/20/20 | USD | 700 | 12,652 | 49,374 | (36,722 | ) | ||||||||||||||||
Melia Hotels International SA |
5.00 | % | Citibank N.A. | 12/20/20 | EUR | 260 | (47,150 | ) | (47,356 | ) | 206 | |||||||||||||||
Melia Hotels International SA |
5.00 | % | Goldman Sachs International | 12/20/20 | EUR | 360 | (65,285 | ) | (64,133 | ) | (1,152 | ) | ||||||||||||||
Meliá Hotels International SA |
5.00 | % | Citibank N.A. | 12/20/20 | EUR | 250 | (45,337 | ) | (42,860 | ) | (2,477 | ) | ||||||||||||||
Mitsubishi Corp. |
1.00 | % | Barclays Bank PLC | 12/20/20 | JPY | 47,573 | (12,216 | ) | (6,952 | ) | (5,264 | ) | ||||||||||||||
Mitsubishi Corp. |
1.00 | % | Goldman Sachs International | 12/20/20 | JPY | 29,326 | (7,530 | ) | (3,794 | ) | (3,736 | ) | ||||||||||||||
Mitsui & Co. Ltd. |
1.00 | % | Goldman Sachs International | 12/20/20 | JPY | 58,651 | (13,883 | ) | (2,981 | ) | (10,902 | ) | ||||||||||||||
Mitsui & Co. Ltd. |
1.00 | % | Goldman Sachs International | 12/20/20 | JPY | 29,326 | (6,942 | ) | (1,069 | ) | (5,873 | ) | ||||||||||||||
Monitchem HoldCo 3 SA |
5.00 | % | Credit Suisse International | 12/20/20 | EUR | 291 | (9,885 | ) | (23,149 | ) | 13,264 | |||||||||||||||
Monitchem HoldCo 3 SA |
5.00 | % | Credit Suisse International | 12/20/20 | EUR | 219 | (7,414 | ) | (17,058 | ) | 9,644 | |||||||||||||||
Monitchem HoldCo 3 SA |
5.00 | % | Goldman Sachs International | 12/20/20 | EUR | 240 | (8,140 | ) | (8,883 | ) | 743 | |||||||||||||||
Morgan Stanley |
1.00 | % | BNP Paribas S.A. | 12/20/20 | USD | 1,200 | 1,235 | 3,148 | (1,913 | ) | ||||||||||||||||
National Australia Bank Ltd. |
1.00 | % | JPMorgan Chase Bank N.A. | 12/20/20 | USD | 1,000 | (10,837 | ) | (1,221 | ) | (9,616 | ) | ||||||||||||||
New Look |
5.00 | % | Credit Suisse International | 12/20/20 | EUR | 280 | 15,224 | (4,367 | ) | 19,591 | ||||||||||||||||
New Look |
5.00 | % | Credit Suisse International | 12/20/20 | EUR | 120 | 6,524 | (2,394 | ) | 8,918 | ||||||||||||||||
Peoples Republic of China |
1.00 | % | Citibank N.A. | 12/20/20 | USD | 3,900 | 14,212 | 78,102 | (63,890 | ) | ||||||||||||||||
Peoples Republic of China |
1.00 | % | Goldman Sachs International | 12/20/20 | USD | 1,900 | 6,924 | 24,334 | (17,410 | ) | ||||||||||||||||
Royal Caribbean Cruises Ltd. |
5.00 | % | Credit Suisse International | 12/20/20 | USD | 1,000 | (130,391 | ) | (140,808 | ) | 10,417 | |||||||||||||||
Royal Caribbean Cruises Ltd. |
5.00 | % | JPMorgan Chase Bank N.A. | 12/20/20 | USD | 1,400 | (182,547 | ) | (122,762 | ) | (59,785 | ) | ||||||||||||||
Royal Caribbean Cruises Ltd. |
5.00 | % | JPMorgan Chase Bank N.A. | 12/20/20 | USD | 1,100 | (143,430 | ) | (135,299 | ) | (8,131 | ) | ||||||||||||||
Royal Caribbean Cruises Ltd. |
5.00 | % | JPMorgan Chase Bank N.A. | 12/20/20 | USD | 800 | (104,313 | ) | (106,624 | ) | 2,311 | |||||||||||||||
Southwest Airlines Co. |
1.00 | % | Goldman Sachs International | 12/20/20 | USD | 3,300 | (58,951 | ) | (50,621 | ) | (8,330 | ) | ||||||||||||||
Standard Chartered PLC |
1.00 | % | BNP Paribas S.A. | 12/20/20 | EUR | 810 | 18,994 | 18,608 | 386 | |||||||||||||||||
Standard Chartered PLC |
1.00 | % | BNP Paribas S.A. | 12/20/20 | EUR | 460 | 10,787 | 11,018 | (231 | ) | ||||||||||||||||
Standard Chartered PLC |
1.00 | % | Goldman Sachs International | 12/20/20 | EUR | 610 | 14,304 | 6,242 | 8,062 | |||||||||||||||||
Standard Chartered PLC |
1.00 | % | Morgan Stanley & Co. International PLC | 12/20/20 | EUR | 240 | 5,628 | 5,861 | (233 | ) | ||||||||||||||||
Statoil ASA |
1.00 | % | JPMorgan Chase Bank N.A. | 12/20/20 | EUR | 500 | (13,245 | ) | 5,653 | (18,898 | ) | |||||||||||||||
STMicroelectronics NV |
1.00 | % | Bank of America N.A. | 12/20/20 | EUR | 400 | 10,053 | 2,866 | 7,187 |
46 | MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2016 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio |
Issuer/Index | Pay Fixed Rate |
Counterparty | Expiration Date |
Notional Amount (000) |
Value | Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||
STMicroelectronics NV |
1.00 | % | Barclays Bank PLC | 12/20/20 | EUR | 192 | $ | 4,829 | $ 1,912 | $ 2,917 | ||||||||||||||||
STMicroelectronics NV |
1.00 | % | Citibank N.A. | 12/20/20 | EUR | 296 | 7,441 | 2,809 | 4,632 | |||||||||||||||||
Sumitomo Mitsui Banking Corp. |
1.00 | % | Barclays Bank PLC | 12/20/20 | JPY | 24,938 | (5,455 | ) | 1,115 | (6,570 | ) | |||||||||||||||
Sumitomo Mitsui Banking Corp. |
1.00 | % | JPMorgan Chase Bank N.A. | 12/20/20 | JPY | 25,316 | (5,538 | ) | 1,888 | (7,426 | ) | |||||||||||||||
Target Corp. |
1.00 | % | Goldman Sachs International | 12/20/20 | USD | 1,976 | (54,431 | ) | (60,165 | ) | 5,734 | |||||||||||||||
Target Corp. |
1.00 | % | Goldman Sachs International | 12/20/20 | USD | 1,976 | (54,431 | ) | (60,141 | ) | 5,710 | |||||||||||||||
Target Corp. |
1.00 | % | Goldman Sachs International | 12/20/20 | USD | 1,317 | (36,278 | ) | (42,950 | ) | 6,672 | |||||||||||||||
Target Corp. |
1.00 | % | Goldman Sachs International | 12/20/20 | USD | 1,317 | (36,278 | ) | (41,261 | ) | 4,983 | |||||||||||||||
Target Corp. |
1.00 | % | JPMorgan Chase Bank N.A. | 12/20/20 | USD | 4,950 | (136,353 | ) | (150,352 | ) | 13,999 | |||||||||||||||
Valero Energy Corp. |
1.00 | % | Morgan Stanley Capital Services LLC | 12/20/20 | USD | 4,450 | 100,390 | 98,298 | 2,092 | |||||||||||||||||
Wells Fargo & Co. |
1.00 | % | BNP Paribas S.A. | 12/20/20 | USD | 1,200 | (24,380 | ) | (16,849 | ) | (7,531 | ) | ||||||||||||||
Westpac Banking Corp. |
1.00 | % | Citibank N.A. | 12/20/20 | USD | 1,000 | (11,907 | ) | (2,846 | ) | (9,061 | ) | ||||||||||||||
Australia & New Zealand Banking Group Ltd. |
1.00 | % | Deutsche Bank AG | 6/20/21 | USD | 28,743 | (226,843 | ) | 299,438 | (526,281 | ) | |||||||||||||||
Australia & New Zealand Banking Group Ltd. |
1.00 | % | Goldman Sachs International | 6/20/21 | USD | 42,133 | (332,515 | ) | 348,719 | (681,234 | ) | |||||||||||||||
Australia & New Zealand Banking Group Ltd. |
1.00 | % | JPMorgan Chase Bank N.A. | 6/20/21 | USD | 18,489 | (145,916 | ) | 191,819 | (337,735 | ) | |||||||||||||||
Australia & New Zealand Banking Group Ltd. |
1.00 | % | JPMorgan Chase Bank N.A. | 6/20/21 | USD | 8,937 | (70,530 | ) | 93,366 | (163,896 | ) | |||||||||||||||
Barclays Bank PLC |
1.00 | % | BNP Paribas S.A. | 6/20/21 | EUR | 1,100 | 23,832 | 14,666 | 9,166 | |||||||||||||||||
Barclays Bank PLC |
1.00 | % | Citibank N.A. | 6/20/21 | EUR | 5,310 | 115,044 | 49,589 | 65,455 | |||||||||||||||||
Cable & Wireless International Finance BV |
5.00 | % | Goldman Sachs International | 6/20/21 | EUR | 450 | (57,294 | ) | (57,528 | ) | 234 | |||||||||||||||
CBS Corp. |
1.00 | % | Barclays Bank PLC | 6/20/21 | USD | 1,000 | (6,600 | ) | 2,472 | (9,072 | ) | |||||||||||||||
Commonwealth Bank of Australia |
1.00 | % | Deutsche Bank AG | 6/20/21 | USD | 15,960 | (125,773 | ) | 156,513 | (282,286 | ) | |||||||||||||||
Commonwealth Bank of Australia |
1.00 | % | Deutsche Bank AG | 6/20/21 | USD | 4,517 | (35,596 | ) | 79,300 | (114,896 | ) | |||||||||||||||
Commonwealth Bank of Australia |
1.00 | % | JPMorgan Chase Bank N.A. | 6/20/21 | USD | 13,933 | (109,799 | ) | 139,181 | (248,980 | ) | |||||||||||||||
Credit Agricole SA |
1.00 | % | Barclays Bank PLC | 6/20/21 | EUR | 3,000 | (9,756 | ) | (24,135 | ) | 14,379 | |||||||||||||||
Federation of Malaysia |
1.00 | % | Barclays Bank PLC | 6/20/21 | USD | 5,694 | 145,011 | 153,175 | (8,164 | ) | ||||||||||||||||
Federation of Malaysia |
1.00 | % | Citibank N.A. | 6/20/21 | USD | 403 | 10,251 | 11,092 | (841 | ) | ||||||||||||||||
Federation of Malaysia |
1.00 | % | Citibank N.A. | 6/20/21 | USD | 147 | 3,754 | 3,492 | 262 | |||||||||||||||||
Federation of Malaysia |
1.00 | % | Deutsche Bank AG | 6/20/21 | USD | 410 | 10,436 | 12,541 | (2,105 | ) | ||||||||||||||||
Federation of Malaysia |
1.00 | % | HSBC Bank PLC | 6/20/21 | USD | 601 | 15,314 | 17,509 | (2,195 | ) | ||||||||||||||||
Federation of Malaysia |
1.00 | % | Morgan Stanley & Co. International PLC | 6/20/21 | USD | 184 | 4,696 | 5,723 | (1,027 | ) | ||||||||||||||||
HSBC Bank PLC |
1.00 | % | Bank of America N.A. | 6/20/21 | EUR | 11,710 | (1,377 | ) | 693 | (2,070 | ) | |||||||||||||||
HSBC Bank PLC |
1.00 | % | Bank of America N.A. | 6/20/21 | EUR | 9,298 | (1,093 | ) | (19,455 | ) | 18,362 | |||||||||||||||
HSBC Bank PLC |
1.00 | % | Citibank N.A. | 6/20/21 | EUR | 9,360 | (1,100 | ) | (21,594 | ) | 20,494 | |||||||||||||||
HSBC Bank PLC |
1.00 | % | Citibank N.A. | 6/20/21 | EUR | 4,856 | (570 | ) | (11,203 | ) | 10,633 | |||||||||||||||
HSBC Bank PLC |
1.00 | % | Citibank N.A. | 6/20/21 | EUR | 3,844 | (452 | ) | (8,869 | ) | 8,417 | |||||||||||||||
HSBC Bank PLC |
1.00 | % | Citibank N.A. | 6/20/21 | EUR | 2,515 | (296 | ) | (5,803 | ) | 5,507 | |||||||||||||||
HSBC Bank PLC |
1.00 | % | Citibank N.A. | 6/20/21 | EUR | 2,387 | (280 | ) | (5,507 | ) | 5,227 | |||||||||||||||
HSBC Bank PLC |
1.00 | % | Citibank N.A. | 6/20/21 | EUR | 1,285 | (151 | ) | (2,965 | ) | 2,814 | |||||||||||||||
HSBC Bank PLC |
1.00 | % | Credit Suisse International | 6/20/21 | EUR | 2,850 | (337 | ) | 12,881 | (13,218 | ) | |||||||||||||||
HSBC Bank PLC |
1.00 | % | JPMorgan Chase Bank N.A. | 6/20/21 | EUR | 6,500 | (764 | ) | (25,872 | ) | 25,108 | |||||||||||||||
HSBC Bank PLC |
1.00 | % | JPMorgan Chase Bank N.A. | 6/20/21 | EUR | 1,565 | (184 | ) | (1,901 | ) | 1,717 | |||||||||||||||
HSBC Bank PLC |
1.00 | % | JPMorgan Chase Bank N.A. | 6/20/21 | EUR | 328 | (39 | ) | (1,306 | ) | 1,267 |
MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2016 | 47 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio |
Issuer/Index | Pay Fixed Rate |
Counterparty | Expiration Date |
Notional Amount (000) |
Value | Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||
HSBC Bank PLC |
1.00 | % | Société Générale | 6/20/21 | EUR | 14,436 | $ | (1,697 | ) | $ 842 | $ (2,539 | ) | ||||||||||||||
HSBC Bank PLC |
1.00 | % | Société Générale | 6/20/21 | EUR | 14,013 | (1,647 | ) | 817 | (2,464 | ) | |||||||||||||||
Ladbrokes Group Finance PLC |
1.00 | % | BNP Paribas S.A. | 6/20/21 | EUR | 355 | 41,923 | 29,798 | 12,125 | |||||||||||||||||
Lloyds TSB Bank PLC |
1.00 | % | Citibank N.A. | 6/20/21 | EUR | 5,310 | 53,439 | (10,958 | ) | 64,397 | ||||||||||||||||
Lloyds TSB Bank PLC |
1.00 | % | Citibank N.A. | 6/20/21 | EUR | 1,100 | 11,071 | 3,569 | 7,502 | |||||||||||||||||
Louis Dreyfus Commodities BV |
5.00 | % | Goldman Sachs International | 6/20/21 | EUR | 564 | (10,184 | ) | 30,178 | (40,362 | ) | |||||||||||||||
Marks & Spencer PLC |
1.00 | % | Barclays Bank PLC | 6/20/21 | EUR | 1,000 | 38,363 | 27,932 | 10,431 | |||||||||||||||||
Marks & Spencer PLC |
1.00 | % | BNP Paribas S.A. | 6/20/21 | EUR | 650 | 24,937 | 28,214 | (3,277 | ) | ||||||||||||||||
Marks & Spencer PLC |
1.00 | % | BNP Paribas S.A. | 6/20/21 | EUR | 327 | 12,546 | 13,699 | (1,153 | ) | ||||||||||||||||
Marks & Spencer PLC |
1.00 | % | BNP Paribas S.A. | 6/20/21 | EUR | 327 | 12,546 | 13,699 | (1,153 | ) | ||||||||||||||||
Marks & Spencer PLC |
1.00 | % | BNP Paribas S.A. | 6/20/21 | EUR | 326 | 12,507 | 13,492 | (985 | ) | ||||||||||||||||
Marks & Spencer PLC |
1.00 | % | JPMorgan Chase Bank N.A. | 6/20/21 | EUR | 330 | 12,660 | 14,324 | (1,664 | ) | ||||||||||||||||
Marks & Spencer PLC |
1.00 | % | JPMorgan Chase Bank N.A. | 6/20/21 | EUR | 320 | 12,277 | 13,890 | (1,613 | ) | ||||||||||||||||
National Australia Bank Ltd. |
1.00 | % | JPMorgan Chase Bank N.A. | 6/20/21 | USD | 10,640 | (86,943 | ) | 111,158 | (198,101 | ) | |||||||||||||||
New Look Senior Issuer PLC |
5.00 | % | Société Générale | 6/20/21 | EUR | 400 | 30,991 | (4,638 | ) | 35,629 | ||||||||||||||||
Penerbangan Malaysia BHD |
1.00 | % | HSBC Bank PLC | 6/20/21 | USD | 902 | 22,971 | 26,071 | (3,100 | ) | ||||||||||||||||
Prudential Financial, Inc. |
1.00 | % | Citibank N.A. | 6/20/21 | USD | 12,903 | 171,936 | 169,101 | 2,835 | |||||||||||||||||
Prudential Financial, Inc. |
1.00 | % | Citibank N.A. | 6/20/21 | USD | 5,130 | 68,359 | 67,232 | 1,127 | |||||||||||||||||
Republic of Chile |
1.00 | % | Citibank N.A. | 6/20/21 | USD | 7,800 | (13,523 | ) | (17,701 | ) | 4,178 | |||||||||||||||
Republic of Indonesia |
1.00 | % | Barclays Bank PLC | 6/20/21 | USD | 404 | 15,679 | 18,757 | (3,078 | ) | ||||||||||||||||
Republic of Indonesia |
1.00 | % | BNP Paribas S.A. | 6/20/21 | USD | 305 | 11,864 | 13,330 | (1,466 | ) | ||||||||||||||||
Republic of Indonesia |
1.00 | % | HSBC Bank PLC | 6/20/21 | USD | 420 | 16,313 | 17,044 | (731 | ) | ||||||||||||||||
Republic of Indonesia |
1.00 | % | JPMorgan Chase Bank N.A. | 6/20/21 | USD | 198 | 7,676 | 8,452 | (776 | ) | ||||||||||||||||
Republic of South Africa |
1.00 | % | Bank of America N.A. | 6/20/21 | USD | 3,375 | 276,277 | 350,114 | (73,837 | ) | ||||||||||||||||
Republic of South Africa |
1.00 | % | Barclays Bank PLC | 6/20/21 | USD | 7,900 | 646,693 | 852,030 | (205,337 | ) | ||||||||||||||||
Republic of South Africa |
1.00 | % | Barclays Bank PLC | 6/20/21 | USD | 4,045 | 331,123 | 406,453 | (75,330 | ) | ||||||||||||||||
Republic of South Africa |
1.00 | % | BNP Paribas S.A. | 6/20/21 | USD | 6,000 | 491,159 | 541,059 | (49,900 | ) | ||||||||||||||||
Republic of South Africa |
1.00 | % | BNP Paribas S.A. | 6/20/21 | USD | 2,125 | 173,952 | 232,072 | (58,120 | ) | ||||||||||||||||
Republic of South Africa |
1.00 | % | BNP Paribas S.A. | 6/20/21 | USD | 1,955 | 160,036 | 207,293 | (47,257 | ) | ||||||||||||||||
Republic of South Africa |
1.00 | % | Citibank N.A. | 6/20/21 | USD | 6,243 | 511,034 | 510,295 | 739 | |||||||||||||||||
Republic of South Africa |
1.00 | % | Citibank N.A. | 6/20/21 | USD | 2,213 | 181,156 | 225,038 | (43,882 | ) | ||||||||||||||||
Republic of South Africa |
1.00 | % | Citibank N.A. | 6/20/21 | USD | 68 | 5,567 | 6,966 | (1,399 | ) | ||||||||||||||||
Republic of South Africa |
1.00 | % | Goldman Sachs International | 6/20/21 | USD | 2,090 | 171,087 | 228,642 | (57,555 | ) | ||||||||||||||||
Republic of South Africa |
1.00 | % | HSBC Bank PLC | 6/20/21 | USD | 2,275 | 186,231 | 250,426 | (64,195 | ) | ||||||||||||||||
Republic of South Africa |
1.00 | % | HSBC Bank PLC | 6/20/21 | USD | 2,170 | 177,636 | 231,247 | (53,611 | ) | ||||||||||||||||
Republic of South Africa |
1.00 | % | JPMorgan Chase Bank N.A. | 6/20/21 | USD | 4,845 | 396,611 | 496,798 | (100,187 | ) | ||||||||||||||||
Republic of the Philippines |
1.00 | % | Barclays Bank PLC | 6/20/21 | USD | 5,269 | 33,483 | 32,415 | 1,068 | |||||||||||||||||
Republic of the Philippines |
1.00 | % | Barclays Bank PLC | 6/20/21 | USD | 3,161 | 20,090 | 20,923 | (833 | ) | ||||||||||||||||
Republic of the Philippines |
1.00 | % | Barclays Bank PLC | 6/20/21 | USD | 2,641 | 16,786 | 16,381 | 405 | |||||||||||||||||
Republic of the Philippines |
1.00 | % | Barclays Bank PLC | 6/20/21 | USD | 2,201 | 13,988 | 14,678 | (690 | ) | ||||||||||||||||
Republic of the Philippines |
1.00 | % | Barclays Bank PLC | 6/20/21 | USD | 2,180 | 13,856 | 14,407 | (551 | ) | ||||||||||||||||
Republic of the Philippines |
1.00 | % | Barclays Bank PLC | 6/20/21 | USD | 2,180 | 13,856 | 14,407 | (551 | ) | ||||||||||||||||
Republic of the Philippines |
1.00 | % | Barclays Bank PLC | 6/20/21 | USD | 2,180 | 13,856 | 16,419 | (2,563 | ) | ||||||||||||||||
Republic of the Philippines |
1.00 | % | Barclays Bank PLC | 6/20/21 | USD | 2,107 | 13,393 | 12,966 | 427 | |||||||||||||||||
Republic of the Philippines |
1.00 | % | Barclays Bank PLC | 6/20/21 | USD | 2,107 | 13,393 | 13,949 | (556 | ) | ||||||||||||||||
Republic of the Philippines |
1.00 | % | Barclays Bank PLC | 6/20/21 | USD | 1,761 | 11,190 | 10,922 | 268 | |||||||||||||||||
Republic of the Philippines |
1.00 | % | Citibank N.A. | 6/20/21 | USD | 2,865 | 18,210 | 18,965 | (755 | ) | ||||||||||||||||
Republic of the Philippines |
1.00 | % | Citibank N.A. | 6/20/21 | USD | 2,504 | 15,911 | 14,360 | 1,551 | |||||||||||||||||
Republic of the Philippines |
1.00 | % | JPMorgan Chase Bank N.A. | 6/20/21 | USD | 7,939 | 50,454 | 42,644 | 7,810 | |||||||||||||||||
Republic of the Philippines |
1.00 | % | JPMorgan Chase Bank N.A. | 6/20/21 | USD | 2,707 | 17,203 | 15,559 | 1,644 |
48 | MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2016 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio |
Issuer/Index | Pay Fixed Rate |
Counterparty | Expiration Date |
Notional Amount (000) |
Value | Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||||||
Republic of the Philippines |
1.00 | % | JPMorgan Chase Bank N.A. | 6/20/21 | USD | 698 | $ | 4,433 | $ | 4,285 | $ 148 | |||||||||||||||||||
Russian Federation |
1.00 | % | Bank of America N.A. | 6/20/21 | USD | 2,319 | 139,552 | 147,131 | (7,579 | ) | ||||||||||||||||||||
Russian Federation |
1.00 | % | Barclays Bank PLC | 6/20/21 | USD | 3,200 | 193,012 | 305,409 | (112,397 | ) | ||||||||||||||||||||
Standard Chartered Bank |
1.00 | % | Goldman Sachs International | 6/20/21 | EUR | 890 | 85,146 | 96,476 | (11,330 | ) | ||||||||||||||||||||
Standard Chartered PLC |
1.00 | % | Bank of America N.A. | 6/20/21 | EUR | 10,350 | 307,406 | 229,666 | 77,740 | |||||||||||||||||||||
Standard Chartered PLC |
1.00 | % | Bank of America N.A. | 6/20/21 | EUR | 1,371 | 40,721 | 30,423 | 10,298 | |||||||||||||||||||||
Standard Chartered PLC |
1.00 | % | BNP Paribas S.A. | 6/20/21 | EUR | 2,221 | 65,966 | 59,514 | 6,452 | |||||||||||||||||||||
Standard Chartered PLC |
1.00 | % | BNP Paribas S.A. | 6/20/21 | EUR | 1,758 | 52,214 | 47,107 | 5,107 | |||||||||||||||||||||
Standard Chartered PLC |
1.00 | % | BNP Paribas S.A. | 6/20/21 | EUR | 1,356 | 40,684 | 36,335 | 4,349 | |||||||||||||||||||||
Standard Chartered PLC |
1.00 | % | BNP Paribas S.A. | 6/20/21 | EUR | 679 | 20,167 | 18,195 | 1,972 | |||||||||||||||||||||
Standard Chartered PLC |
1.00 | % | Citibank N.A. | 6/20/21 | EUR | 1,431 | 42,503 | 66,765 | (24,262 | ) | ||||||||||||||||||||
Standard Chartered PLC |
1.00 | % | JPMorgan Chase Bank N.A. | 6/20/21 | EUR | 3,031 | 90,938 | 158,658 | (67,720 | ) | ||||||||||||||||||||
Techem GmbH |
5.00 | % | Credit Suisse International | 6/20/21 | EUR | 390 | (67,937 | ) | (73,174 | ) | 5,237 | |||||||||||||||||||
Techem GmbH |
5.00 | % | Credit Suisse International | 6/20/21 | EUR | 260 | (45,291 | ) | (49,853 | ) | 4,562 | |||||||||||||||||||
CMBX.NA Series 8 AAA |
0.50 | % | Credit Suisse International | 10/17/57 | USD | 2,360 | 87,978 | 106,673 | (18,695 | ) | ||||||||||||||||||||
CMBX.NA Series 9 A |
2.00 | % | J.P. Morgan Securities LLC | 9/17/58 | USD | 2,160 | 284,754 | 305,007 | (20,253 | ) | ||||||||||||||||||||
CMBX.NA Series 9 A |
2.00 | % | Morgan Stanley & Co. International PLC | 9/17/58 | USD | 1,780 | 234,658 | 231,435 | 3,223 | |||||||||||||||||||||
Total |
$ | 1,777,803 | $ | 7,173,734 | $(5,395,931 | ) | ||||||||||||||||||||||||
|
|
OTC Credit Default Swaps Sell Protection
Issuer/Index | Receive Fixed Rate |
Counterparty | Expiration Date |
Credit Rating1 |
Notional Amount (000)2 |
Value | Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||||
Banca Monte dei Paschi di Siena SpA |
3.00% | BNP Paribas S.A. | 9/20/16 | Not Rated | EUR | 2,000 | $ (70,200 | ) | $ (51,904 | ) | $ (18,296 | ) | ||||||||||||||||
Banca Monte dei Paschi di Siena SpA |
5.00% | Deutsche Bank AG | 9/20/16 | Not Rated | EUR | 750 | (22,157 | ) | (5,550 | ) | (16,607 | ) | ||||||||||||||||
Banca Monte dei Paschi di Siena SpA |
3.00% | JPMorgan Chase Bank N.A. | 9/20/16 | Not Rated | EUR | 2,200 | (77,220 | ) | (38,276 | ) | (38,944 | ) | ||||||||||||||||
CDX.NA.IG Series 18 Version 1 |
1.00% | Citibank N.A. | 6/20/17 | BBB+ | USD | 103,800 | 831,428 | 22,735 | 808,693 | |||||||||||||||||||
SAS AB |
5.00% | Goldman Sachs International | 12/20/17 | Not Rated | EUR | 270 | (5,846 | ) | (8,684 | ) | 2,838 | |||||||||||||||||
Buoni Poliennali Del Tesoro |
1.00% | Barclays Bank PLC | 3/20/18 | BBB- | EUR | 4,500 | 20,791 | (110,257 | ) | 131,048 | ||||||||||||||||||
Buoni Poliennali Del Tesoro |
1.00% | Barclays Bank PLC | 3/20/18 | BBB- | USD | 37 | 56 | (1,023 | ) | 1,079 | ||||||||||||||||||
iTraxx Sub Financials Series 19 Version 1 |
5.00% | Citibank N.A. | 6/20/18 | BBB | EUR | 5,900 | 509,253 | 541,255 | (32,002 | ) | ||||||||||||||||||
iTraxx Sub Financials Series 20 Version 1 |
5.00% | Barclays Bank PLC | 12/20/18 | BBB | EUR | 1,160 | 118,524 | 156,266 | (37,742 | ) | ||||||||||||||||||
iTraxx Sub Financials Series 20 Version 1 |
5.00% | Citibank N.A. | 12/20/18 | BBB | EUR | 4,600 | 470,008 | 510,053 | (40,045 | ) | ||||||||||||||||||
iTraxx Sub Financials Series 20 Version 1 |
5.00% | Citibank N.A. | 12/20/18 | BBB | EUR | 1,660 | 169,612 | 221,601 | (51,989 | ) | ||||||||||||||||||
iTraxx Sub Financials Series 20 Version 1 |
5.00% | Deutsche Bank AG | 12/20/18 | BBB | EUR | 830 | 84,806 | 111,307 | (26,501 | ) | ||||||||||||||||||
CNH Industrial NV |
5.00% | Citibank N.A. | 3/20/19 | BB+ | EUR | 240 | 20,153 | 29,560 | (9,407 | ) | ||||||||||||||||||
CNH Industrial NV |
5.00% | Citibank N.A. | 3/20/19 | BB+ | EUR | 240 | 20,154 | 30,135 | (9,981 | ) | ||||||||||||||||||
SAS AB |
5.00% | Goldman Sachs International | 6/20/19 | Not Rated | EUR | 1,000 | (66,763 | ) | (85,155 | ) | 18,392 | |||||||||||||||||
Transocean Ltd. |
1.00% | Goldman Sachs International | 6/20/19 | BB- | USD | 350 | (52,887 | ) | (6,511 | ) | (46,376 | ) | ||||||||||||||||
Transocean Ltd. |
1.00% | Barclays Bank PLC | 3/20/20 | BB- | USD | 1,100 | (247,299 | ) | (176,954 | ) | (70,345 | ) | ||||||||||||||||
United Mexican States |
1.00% | Bank of America N.A. | 6/20/20 | BBB+ | USD | 7,452 | (83,082 | ) | (60,401 | ) | (22,681 | ) | ||||||||||||||||
Peoples Republic of China |
1.00% | Barclays Bank PLC | 9/20/20 | AA- | USD | 1,000 | (836 | ) | (6,849 | ) | 6,013 | |||||||||||||||||
Peoples Republic of China |
1.00% | Goldman Sachs International | 9/20/20 | AA- | USD | 1,000 | (836 | ) | (7,243 | ) | 6,407 | |||||||||||||||||
United Mexican States |
1.00% | JPMorgan Chase Bank N.A. | 9/20/20 | BBB+ | USD | 7,452 | (115,338 | ) | (68,970 | ) | (46,368 | ) |
MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2016 | 49 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio |
Issuer/Index | Receive Fixed Rate |
Counterparty | Expiration Date |
Credit Rating1 |
Notional Amount (000)2 |
Value | Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||||
Fiat Industrial Finance Europe SA |
5.00% | BNP Paribas S.A. | 12/20/20 | BB+ | EUR | 43 | $ 4,123 | $ 4,430 | $ (307 | ) | ||||||||||||||||||
iTraxx Asia ex-Japan IG Series 24 Version 1 |
1.00% | Goldman Sachs International | 12/20/20 | A- | USD | 1,825 | (17,134 | ) | (45,621 | ) | 28,487 | |||||||||||||||||
Republic of Indonesia |
1.00% | HSBC Bank PLC | 12/20/20 | BB+ | USD | 1,800 | (50,585 | ) | (109,744 | ) | 59,159 | |||||||||||||||||
BHP Billiton Finance (USA) Ltd. |
1.00% | BNP Paribas S.A. | 6/20/21 | A | USD | 2,000 | (46,754 | ) | (67,643 | ) | 20,889 | |||||||||||||||||
BHP Billiton Finance (USA) Ltd. |
1.00% | Citibank N.A. | 6/20/21 | A | USD | 2,000 | (46,754 | ) | (70,255 | ) | 23,501 | |||||||||||||||||
BHP Billiton Finance (USA) Ltd. |
1.00% | Goldman Sachs International | 6/20/21 | A | USD | 3,000 | (70,131 | ) | (97,484 | ) | 27,353 | |||||||||||||||||
BHP Billiton Finance (USA) Ltd. |
1.00% | JPMorgan Chase Bank N.A. | 6/20/21 | A | USD | 3,000 | (70,131 | ) | (105,383 | ) | 35,252 | |||||||||||||||||
BHP Billiton Ltd. |
1.00% | JPMorgan Chase Bank N.A. | 6/20/21 | A | USD | 1,900 | (44,416 | ) | (53,505 | ) | 9,089 | |||||||||||||||||
BNP Paribas S.A. |
1.00% | Citibank N.A. | 6/20/21 | A | EUR | 5,310 | 12,964 | 43,101 | (30,137 | ) | ||||||||||||||||||
CNH Industrial NV |
5.00% | Goldman Sachs International | 6/20/21 | BB+ | EUR | 100 | 9,629 | 9,886 | (257 | ) | ||||||||||||||||||
Credit Suisse Group AG |
1.00% | Citibank N.A. | 6/20/21 | BBB+ | EUR | 5,310 | (187,110 | ) | (97,829 | ) | (89,281 | ) | ||||||||||||||||
Federative Republic of Brazil |
1.00% | Barclays Bank PLC | 6/20/21 | BB | USD | 2,676 | (257,306 | ) | (291,967 | ) | 34,661 | |||||||||||||||||
Freeport-McMoRan Copper & Gold, Inc. |
1.00% | Goldman Sachs International | 6/20/21 | BB | USD | 2,400 | (443,486 | ) | (499,587 | ) | 56,101 | |||||||||||||||||
Freeport-McMoRan Copper & Gold, Inc. |
1.00% | Goldman Sachs International | 6/20/21 | BB | USD | 2,400 | (443,487 | ) | (493,913 | ) | 50,426 | |||||||||||||||||
Freeport-McMoRan Copper & Gold, Inc. |
1.00% | Goldman Sachs International | 6/20/21 | BB | USD | 2,400 | (443,486 | ) | (483,801 | ) | 40,315 | |||||||||||||||||
Republic of the Philippines |
1.00% | Bank of America N.A. | 6/20/21 | BBB | USD | 80 | (506 | ) | (383 | ) | (123 | ) | ||||||||||||||||
Rio Tinto Finance USA Ltd. |
1.00% | Goldman Sachs International | 6/20/21 | A- | USD | 4,700 | (134,008 | ) | (141,969 | ) | 7,961 | |||||||||||||||||
Rio Tinto Finance USA Ltd. |
1.00% | JPMorgan Chase Bank N.A. | 6/20/21 | A- | USD | 4,700 | (134,009 | ) | (152,910 | ) | 18,901 | |||||||||||||||||
Rio Tinto Finance USA Ltd. |
1.00% | JPMorgan Chase Bank N.A. | 6/20/21 | A- | USD | 1,900 | (54,174 | ) | (69,563 | ) | 15,389 | |||||||||||||||||
Telecom Italia SpA |
1.00% | BNP Paribas S.A. | 6/20/21 | BB+ | EUR | 1,140 | (75,121 | ) | (54,706 | ) | (20,415 | ) | ||||||||||||||||
Telecom Italia SpA |
1.00% | BNP Paribas S.A. | 6/20/21 | BB+ | EUR | 1,000 | (65,896 | ) | (42,230 | ) | (23,666 | ) | ||||||||||||||||
Wind Acquisition Finance SA |
5.00% | Goldman Sachs International | 6/20/21 | B | EUR | 270 | 7,794 | 10,223 | (2,429 | ) | ||||||||||||||||||
Wind Acquisition Finance SA |
5.00% | JPMorgan Chase Bank N.A. | 6/20/21 | B | EUR | 40 | 1,155 | 1,326 | (171 | ) | ||||||||||||||||||
Republic of France |
0.25% | Barclays Bank PLC | 6/20/23 | AA | USD | 1,550 | (32,642 | ) | (83,644 | ) | 51,002 | |||||||||||||||||
Republic of France |
0.25% | Citibank N.A. | 6/20/23 | AA | USD | 1,670 | (35,169 | ) | (95,172 | ) | 60,003 | |||||||||||||||||
Republic of France |
0.25% | JPMorgan Chase Bank N.A. | 6/20/23 | AA | USD | 1,670 | (35,168 | ) | (88,432 | ) | 53,264 | |||||||||||||||||
CMBX.NA Series 7 A |
2.00% | Deutsche Bank AG | 1/17/47 | A- | USD | 1,700 | (116,901 | ) | (134,965 | ) | 18,064 | |||||||||||||||||
CMBX.NA Series 7 AAA |
0.50% | Morgan Stanley Capital Services LLC | 1/17/47 | AAA | USD | 5,000 | (129,123 | ) | (165,531 | ) | 36,408 | |||||||||||||||||
CMBX.NA Series 3 AM |
0.50% | Credit Suisse International | 12/13/49 | BBB | USD | 920 | (18,864 | ) | (83,612 | ) | 64,748 | |||||||||||||||||
CMBX.NA Series 3 AM |
0.50% | Goldman Sachs International | 12/13/49 | BBB | USD | 2,320 | (47,570 | ) | (213,515 | ) | 165,945 | |||||||||||||||||
CMBX.NA Series 3 AM |
0.50% | JPMorgan Chase Bank N.A. | 12/13/49 | BBB | USD | 5,000 | (102,521 | ) | (436,647 | ) | 334,126 | |||||||||||||||||
CMBX.NA Series 4 AM |
0.50% | Deutsche Bank AG | 2/17/51 | BB+ | USD | 2,000 | (55,233 | ) | (274,737 | ) | 219,504 | |||||||||||||||||
CMBX.NA Series 8 A |
2.00% | Goldman Sachs International | 10/17/57 | Not Rated | USD | 2,140 | (231,358 | ) | (223,637 | ) | (7,721 | ) | ||||||||||||||||
CMBX.NA Series 8 A |
2.00% | Morgan Stanley & Co. International PLC | 10/17/57 | Not Rated | USD | 1,800 | (194,600 | ) | (194,393 | ) | (207 | ) | ||||||||||||||||
CMBX.NA Series 8 A |
2.00% | Morgan Stanley & Co. International PLC | 10/17/57 | Not Rated | USD | 1,780 | (192,437 | ) | (199,366 | ) | 6,929 | |||||||||||||||||
CMBX.NA Series 8 A |
2.00% | Morgan Stanley & Co. International PLC | 10/17/57 | Not Rated | USD | 930 | (100,543 | ) | (82,083 | ) | (18,460 | ) | ||||||||||||||||
CMBX.NA Series 8 A |
2.00% | Morgan Stanley & Co. International PLC | 10/17/57 | Not Rated | USD | 890 | (96,219 | ) | (106,042 | ) | 9,823 | |||||||||||||||||
CMBX.NA Series 8 A |
2.00% | Morgan Stanley & Co. International PLC | 10/17/57 | Not Rated | USD | 860 | (92,976 | ) | (131,473 | ) | 38,497 |
50 | MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2016 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio |
Issuer/Index | Receive Fixed Rate |
Counterparty | Expiration Date |
Credit Rating1 |
Notional Amount (000)2 |
Value | Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||||||||||
CMBX.NA Series 8 A |
2.00% | Morgan Stanley & Co. International PLC | 10/17/57 | Not Rated | USD | 850 | $ | (91,894 | ) | $ | (129,780 | ) | $ 37,886 | |||||||||||||||||||||
CMBX.NA Series 8 A |
2.00% | Morgan Stanley & Co. International PLC | 10/17/57 | Not Rated | USD | 800 | (86,489 | ) | (76,120 | ) | (10,369 | ) | ||||||||||||||||||||||
CMBX.NA Series 8 A |
2.00% | Morgan Stanley & Co. International PLC | 10/17/57 | Not Rated | USD | 800 | (86,489 | ) | (75,586 | ) | (10,903 | ) | ||||||||||||||||||||||
CMBX.NA Series 8 A |
2.00% | Morgan Stanley & Co. International PLC | 10/17/57 | Not Rated | USD | 450 | (48,650 | ) | (49,095 | ) | 445 | |||||||||||||||||||||||
CMBX.NA Series 8 AA |
1.50% | Goldman Sachs International | 10/17/57 | Not Rated | USD | 1,610 | (116,586 | ) | (161,434 | ) | 44,848 | |||||||||||||||||||||||
CMBX.NA Series 9 A |
2.00% | Credit Suisse International | 9/17/58 | Not Rated | USD | 1,200 | (158,196 | ) | (173,060 | ) | 14,864 | |||||||||||||||||||||||
CMBX.NA Series 9 A |
2.00% | Deutsche Bank AG | 9/17/58 | Not Rated | USD | 1,850 | (243,885 | ) | (197,674 | ) | (46,211 | ) | ||||||||||||||||||||||
CMBX.NA Series 9 A |
2.00% | J.P. Morgan Securities LLC | 9/17/58 | Not Rated | USD | 551 | (72,695 | ) | (70,044 | ) | (2,651 | ) | ||||||||||||||||||||||
CMBX.NA Series 9 A |
2.00% | Morgan Stanley & Co. International PLC | 9/17/58 | Not Rated | USD | 1,210 | (159,515 | ) | (172,820 | ) | 13,305 | |||||||||||||||||||||||
CMBX.NA Series 9 A |
2.00% | Morgan Stanley & Co. International PLC | 9/17/58 | Not Rated | USD | 820 | (108,101 | ) | (89,468 | ) | (18,633 | ) | ||||||||||||||||||||||
CMBX.NA Series 9 A |
2.00% | Morgan Stanley & Co. International PLC | 9/17/58 | Not Rated | USD | 710 | (93,599 | ) | (88,557 | ) | (5,042 | ) | ||||||||||||||||||||||
CMBX.NA Series 9 BBB- |
3.00% | Credit Suisse International | 9/17/58 | Not Rated | USD | 1,810 | (405,484 | ) | (353,750 | ) | (51,734 | ) | ||||||||||||||||||||||
Total |
$ | (4,199,415 | ) | $ | (5,965,029 | ) | $1,765,614 | |||||||||||||||||||||||||||
|
|
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
Fixed Rate |
Floating Rate |
Counterparty | Effective Date |
Expiration Date |
Notional Amount (000) |
Value | Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
||||||||||||||||
6.51%1 | 1-day COOIS | Credit Suisse International | N/A | 7/06/16 | COP | 107,516,043 | $ | 20,587 | $ (8 | ) | $ 20,595 | |||||||||||||
6.64%1 | 1-day COOIS | Credit Suisse International | N/A | 8/22/16 | COP | 42,569,344 | 31,655 | | 31,655 | |||||||||||||||
1.92%1 | 3-month KRW Certificate of Deposit | Deutsche Bank AG | N/A | 11/10/17 | KRW | 10,139,328 | 82,820 | 18,412 | 64,408 | |||||||||||||||
1.69%2 | 3-month KRW Certificate of Deposit | Deutsche Bank AG | N/A | 11/10/17 | KRW | 10,139,328 | (52,644 | ) | | (52,644 | ) | |||||||||||||
4.30%2 | 28-day MXIBTIIE | Bank of America N.A. | N/A | 12/07/17 | MXN | 23,670 | 11,231 | 27 | 11,204 | |||||||||||||||
4.55%2 | 28-day MXIBTIIE | Barclays Bank PLC | N/A | 3/21/18 | MXN | 39,525 | 14,824 | 505 | 14,319 | |||||||||||||||
4.85%2 | 28-day MXIBTIIE | Bank of America N.A. | N/A | 11/01/18 | MXN | 23,232 | 6,524 | 49 | 6,475 | |||||||||||||||
4.77%2 | 28-day MXIBTIIE | Citibank N.A. | N/A | 12/05/18 | MXN | 16,034 | 6,797 | 30 | 6,767 | |||||||||||||||
4.70%2 | 28-day MXIBTIIE | Bank of America N.A. | N/A | 12/06/18 | MXN | 16,034 | 8,261 | 29 | 8,232 | |||||||||||||||
4.76%2 | 28-day MXIBTIIE | Citibank N.A. | N/A | 12/06/18 | MXN | 16,034 | 7,028 | 30 | 6,998 | |||||||||||||||
12.24%1 | 1-day BZDIOVER | Bank of America N.A. | N/A | 1/02/19 | BRL | 64,343 | (25,739 | ) | | (25,739 | ) | |||||||||||||
12.46%1 | 1-day BZDIOVER | Bank of America N.A. | N/A | 1/02/19 | BRL | 31,391 | 21,603 | | 21,603 | |||||||||||||||
12.29%1 | 1-day BZDIOVER | Bank of America N.A. | N/A | 1/02/19 | BRL | 31,325 | (12,989 | ) | | (12,989 | ) | |||||||||||||
12.52%1 | 1-day BZDIOVER | JPMorgan Chase Bank N.A. | N/A | 1/02/19 | BRL | 31,370 | 35,395 | | 35,395 | |||||||||||||||
12.31%1 | 1-day BZDIOVER | JPMorgan Chase Bank N.A. | N/A | 1/02/19 | BRL | 17,559 | 17,837 | | 17,837 | |||||||||||||||
11.41%2 | 1-day BZDIOVER | Bank of America N.A. | N/A | 1/04/21 | BRL | 4,756 | 88,951 | | 88,951 | |||||||||||||||
12.05%1 | 1-day BZDIOVER | Bank of America N.A. | N/A | 1/04/21 | BRL | 2,974 | (17,796 | ) | | (17,796 | ) | |||||||||||||
12.75%1 | 1-day BZDIOVER | Citibank N.A. | N/A | 1/04/21 | BRL | 19,068 | 185,645 | | 185,645 | |||||||||||||||
11.84%1 | 1-day BZDIOVER | HSBC Bank PLC | N/A | 1/04/21 | BRL | 1,990 | (20,101 | ) | | (20,101 | ) | |||||||||||||
12.74%1 | 1-day BZDIOVER | JPMorgan Chase Bank N.A. | N/A | 1/04/21 | BRL | 13,055 | 124,877 | | 124,877 | |||||||||||||||
1.92%1 | 6-month WIBOR | Goldman Sachs International | N/A | 4/29/21 | PLN | 37,320 | 68,336 | | 68,336 | |||||||||||||||
2.77%1 | 7-day China Fixing Repo Rates | Bank of America N.A. | N/A | 5/12/21 | CNY | 32,310 | 47,344 | (49 | ) | 47,393 | ||||||||||||||
2.75%1 | 7-day China Fixing Repo Rates | Bank of America N.A. | N/A | 5/12/21 | CNY | 25,850 | 33,846 | (37 | ) | 33,883 | ||||||||||||||
2.75%1 | 7-day China Fixing Repo Rates | Bank of America N.A. | N/A | 5/12/21 | CNY | 25,845 | 33,839 | (37 | ) | 33,876 |
MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2016 | 51 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio |
Fixed Rate |
Floating Rate | Counterparty | Effective Date |
Expiration Date |
Notional (000) |
Value | Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
||||||||||||||||
2.74%1 | 7-day China Fixing Repo Rates | Bank of America N.A. | N/A | 5/12/21 | CNY | 20,710 | $ | 26,177 | $ (116 | ) | $ 26,293 | |||||||||||||
2.75%1 | 7-day China Fixing Repo Rates | Bank of America N.A. | N/A | 5/12/21 | CNY | 20,708 | 27,643 | (119 | ) | 27,762 | ||||||||||||||
2.75%1 | 7-day China Fixing Repo Rates | Bank of America N.A. | N/A | 5/12/21 | CNY | 12,925 | 16,922 | (19 | ) | 16,941 | ||||||||||||||
2.73%1 | 7-day China Fixing Repo Rates | Bank of America N.A. | N/A | 5/12/21 | CNY | 12,925 | 14,632 | (17 | ) | 14,649 | ||||||||||||||
3.27%2 | 3-month LIBOR | Deutsche Bank AG | N/A | 5/16/21 | USD | 9,510 | (1,079,017 | ) | | (1,079,017 | ) | |||||||||||||
12.92%1 | 1-day BZDIOVER | Bank of America N.A. | N/A | 1/02/23 | BRL | 17,806 | 293,824 | | 293,824 | |||||||||||||||
12.62%1 | 1-day BZDIOVER | Bank of America N.A. | N/A | 1/02/23 | BRL | 4,743 | 50,835 | | 50,835 | |||||||||||||||
12.73%1 | 1-day BZDIOVER | Bank of America N.A. | N/A | 1/02/23 | BRL | 4,077 | 52,425 | | 52,425 | |||||||||||||||
12.37%1 | 1-day BZDIOVER | Citibank N.A. | N/A | 1/02/23 | BRL | 7,897 | 48,013 | | 48,013 | |||||||||||||||
12.75%1 | 1-day BZDIOVER | Citibank N.A. | N/A | 1/02/23 | BRL | 4,151 | 55,011 | | 55,011 | |||||||||||||||
5.73%2 | 28-day MXIBTIIE | Bank of America N.A. | N/A | 1/03/25 | MXN | 23,376 | 18,120 | 283 | 17,837 | |||||||||||||||
6.33%1 | 28-day MXIBTIIE | Citibank N.A. | N/A | 6/09/25 | MXN | 14,869 | 20,295 | (82 | ) | 20,377 | ||||||||||||||
6.33%1 | 28-day MXIBTIIE | Citibank N.A. | N/A | 7/17/25 | MXN | 36,610 | 47,254 | (174 | ) | 47,428 | ||||||||||||||
6.32%1 | 28-day MXIBTIIE | Morgan Stanley Capital Services LLC | N/A | 7/17/25 | MXN | 73,475 | 93,415 | (347 | ) | 93,762 | ||||||||||||||
6.32%1 | 28-day MXIBTIIE | Goldman Sachs International | N/A | 8/06/25 | MXN | 109,616 | 141,191 | (512 | ) | 141,703 | ||||||||||||||
6.31%2 | 28-day MXIBTIIE | Bank of America N.A. | N/A | 8/11/25 | MXN | 36,783 | (45,091 | ) | 166 | (45,257 | ) | |||||||||||||
6.31%2 | 28-day MXIBTIIE | Bank of America N.A. | N/A | 8/11/25 | MXN | 36,783 | (45,091 | ) | 166 | (45,257 | ) | |||||||||||||
6.31%2 | 28-day MXIBTIIE | Deutsche Bank AG | N/A | 8/11/25 | MXN | 136,536 | (165,872 | ) | 614 | (166,486 | ) | |||||||||||||
6.27%1 | 28-day MXIBTIIE | Bank of America N.A. | N/A | 12/05/25 | MXN | 4,348 | 4,633 | (57 | ) | 4,690 | ||||||||||||||
6.30%1 | 28-day MXIBTIIE | Goldman Sachs International | N/A | 6/15/26 | MXN | 264,046 | 254,315 | (854 | ) | 255,169 | ||||||||||||||
Total | $ | 547,765 | $17,883 | $ 529,882 | ||||||||||||||||||||
|
|
1 | Master Portfolio pays the floating rate and receives the fixed rate. |
2 | Master Portfolio pays the fixed rate and receives the floating rate. |
OTC Total Return Swaps
|
| |||||||||||||||||||||||||
Reference Entity |
Fixed Rate/ Floating Rate |
Counterparty | Expiration Date |
Contract Amount |
Value | Premiums Paid (Received) |
Unrealized Depreciation |
|||||||||||||||||||
LyondellBasell Industries NV |
|
3-month LIBOR minus 0.30% |
|
Bank of America N.A. | 12/15/16 | USD | 30 | $ (13,040 | ) | | $ (13,040 | ) | ||||||||||||||
BHP Billiton Ltd. |
|
3-month LIBOR minus 1.15% |
|
Bank of America N.A. | 12/30/16 | USD | 49 | (118,859 | ) | | (118,859 | ) | ||||||||||||||
Market Vector Semiconductor ETF | |
3-month LIBOR minus 0.75%1 |
|
Bank of America N.A. | 12/30/16 | USD | 18 | (34,783 | ) | | (34,783 | ) | ||||||||||||||
Return on Markit IOS 3.50%, 30-year, fixed rate Fannie Mae |
1-month LIBOR | Credit Suisse International | 1/12/45 | USD | 3,494 | (50,235 | ) | $ 1,357 | (51,592 | ) | ||||||||||||||||
Return on Markit IOS 3.50%, 30-year, fixed rate Fannie Mae |
1-month LIBOR | Credit Suisse International | 1/12/45 | USD | 3,423 | 49,224 | (4,304 | ) | 53,528 | |||||||||||||||||
Return on Markit IOS 3.50%, 30-year, fixed rate Fannie Mae |
1-month LIBOR | Credit Suisse International | 1/12/45 | USD | 3,423 | 49,224 | 10,371 | 38,853 | ||||||||||||||||||
Return on Markit IOS 3.50%, 30-year, fixed rate Fannie Mae |
1-month LIBOR | Credit Suisse International | 1/12/45 | USD | 3,353 | (48,213 | ) | 11,895 | (60,108 | ) | ||||||||||||||||
Total |
$(166,682 | ) | $19,319 | $(186,001 | ) | |||||||||||||||||||||
|
|
1 | Master Portfolio pays the total return of the reference entity and receives the floating rate.Net payment made at termination. |
52 | MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2016 |
Consolidated Schedule of Investments (continued) | Master Total Return Portfolio |
OTC Total Return Swaps1
|
| |||||||||||||||||
Reference Entity | Counterparty | Expiration Dates |
Net Notional |
Unrealized Depreciation |
Net Value of Reference Entities |
|||||||||||||
Equity Securities Long/Short |
Bank of America N.A. | x/xx/xx | USD 261,062 | $(399,748 | )2 | $(138,686) |
1 | The Master Portfolio receives or pays the total return on a portfolio of long and short positions underlying the total return swap. In addition, the Master Portfolio pays or receives a variable rate of interest, based on a specified benchmark, plus or minus a spread in a range of 15-115 basis points. The benchmark and spread are determined based upon the country and/or currency of the individual underlying positions. The following are the specified benchmarks used in determining the variable rate of interest: |
Intercontinental Exchange 1 Week EUR LIBOR |
Intercontinental Exchange 1 Week GBP LIBOR |
2 | Amount includes $0 of dividends. |
The following tables represents the individual long and short positions and related values of equity securities underlying the total return swap with Bank of America N.A., as of June 30, 2016, expiration date 4/12/17:
Shares | Value | |||||||
Reference Entity Long | ||||||||
Banco Santander SA |
79,597 | $ 302,894 | ||||||
BNP Paribas SA |
6,204 | 272,081 | ||||||
Eurobank Ergasias SA |
496,645 | 314,387 | ||||||
ING Groep NV CVA |
18,040 | 186,641 | ||||||
Intesa Sanpaolo SpA |
84,269 | 160,509 | ||||||
Ladbrokes PLC |
337,564 | 504,016 | ||||||
Numericable-SFR SA |
24,858 | 621,200 | ||||||
Société Générale SA |
3,904 | 122,219 | ||||||
Total Reference Entity Long |
2,483,947 | |||||||
Shares | Value | |||||||
Reference Entity Short | ||||||||
Anglo American PLC |
(127,617) | $(1,250,939) | ||||||
APERAM SA |
(3,482) | (121,888) | ||||||
Banco Bilbao Vizcaya Argentaria SA |
(10,451) | (59,879) | ||||||
Lloyds Banking Group PLC |
(1,642,878) | (1,189,927) | ||||||
Total Reference Entity Short |
(2,622,633) | |||||||
Net Value of Reference Entity Bank of America N.A. |
$(138,686) |
Fair Value Hierarchy as of Period End |
Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a fair value 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. The significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments are typically categorized as Level 3.
Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. In accordance with the Master Portfolios policy, transfers between different levels of the fair value 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 investments and derivative financial instruments 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, 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, 2016 | 53 |
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:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: |
||||||||||||||||
Investments: |
||||||||||||||||
Long-Term Investments: |
||||||||||||||||
Asset-Backed Securities |
| $ | 771,269,870 | $ | 190,852,590 | $ | 962,122,460 | |||||||||
Common Stocks |
$ | 8,113,248 | 1,265,378 | | 9,378,626 | |||||||||||
Corporate Bonds |
| 2,540,343,082 | 282,320 | 2,540,625,402 | ||||||||||||
Floating Rate Loan Interests |
| 56,837,344 | 807,014 | 57,644,358 | ||||||||||||
Foreign Agency Obligations |
| 50,347,905 | | 50,347,905 | ||||||||||||
Foreign Government Obligations |
| 265,029,801 | | 265,029,801 | ||||||||||||
Investment Companies |
116,586,252 | | | 116,586,252 | ||||||||||||
Non-Agency Mortgage-Backed Securities |
| 624,601,414 | 59,228,587 | 683,830,001 | ||||||||||||
Other Interests |
| | 1 | 1 | ||||||||||||
Preferred Securities |
18,331,431 | 50,659,581 | 1,467,014 | 70,458,026 | ||||||||||||
Taxable Municipal Bonds |
| 402,974,793 | | 402,974,793 | ||||||||||||
U.S. Government Sponsored Agency Securities |
| 6,397,931,701 | 3,873,822 | 6,401,805,523 | ||||||||||||
U.S. Treasury Obligations |
| 3,206,120,376 | | 3,206,120,376 | ||||||||||||
Short-Term Securities: |
||||||||||||||||
Borrowed Bond Agreements |
| 246,658,250 | | 246,658,250 | ||||||||||||
Money Market Funds |
15,916,146 | 80,589,469 | | 96,505,615 | ||||||||||||
Options Purchased: |
||||||||||||||||
Credit contracts |
| 264,664 | | 264,664 | ||||||||||||
Equity contracts |
827,180 | 4,185 | | 831,365 | ||||||||||||
Foreign currency exchange contracts |
| 6,412,299 | | 6,412,299 | ||||||||||||
Interest rate contracts |
1,650,125 | 145,389 | | 1,795,514 | ||||||||||||
Liabilities: |
||||||||||||||||
Investments: |
||||||||||||||||
Investments Sold Short |
| (18,321,309 | ) | | (18,321,309 | ) | ||||||||||
TBA Sale Commitments |
| (3,500,661,432 | ) | | (3,500,661,432 | ) | ||||||||||
Borrowed Bonds |
| (249,699,727 | ) | | (249,699,727 | ) | ||||||||||
|
|
|||||||||||||||
Total |
$ | 161,424,382 | $ | 10,932,773,033 | $ | 256,511,348 | $ | 11,350,708,763 | ||||||||
|
|
|||||||||||||||
|
||||||||||||||||
Derivative Financial Instruments1 |
||||||||||||||||
Assets: |
||||||||||||||||
Commodity contracts |
$ 172,124 | | | $ 172,124 | ||||||||||||
Credit contracts |
| $ 8,258,634 | | 8,258,634 | ||||||||||||
Foreign currency exchange contracts |
| 22,188,626 | | 22,188,626 | ||||||||||||
Interest rate contracts |
9,301,929 | 4,933,083 | | 14,235,012 | ||||||||||||
Liabilities: |
||||||||||||||||
Commodity contracts |
(141,151) | | | (141,151) | ||||||||||||
Credit contracts |
| (7,555,963) | | (7,555,963) | ||||||||||||
Equity contracts |
(2,349,666) | (566,430) | | (2,916,096) | ||||||||||||
Foreign currency exchange contracts |
| (19,492,345) | | (19,492,345) | ||||||||||||
Interest rate contracts |
(3,761,908) | (9,598,896) | | (13,360,804) | ||||||||||||
|
|
|||||||||||||||
Total |
$ 3,221,328 | $ (1,833,291) | | $ 1,388,037 | ||||||||||||
|
|
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. |
54 | MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2016 |
Consolidated Schedule of Investments (concluded) | Master Total Return Portfolio |
The Master Portfolio may hold assets and/or liabilities in which the fair value approximates the carrying amount or face value, including accrued interest, for financial reporting purposes. As of period end, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: |
||||||||||||||||
Cash |
$ | 35,226,185 | | | $ | 35,226,185 | ||||||||||
Cash pledged: |
||||||||||||||||
Collateral - borrowed bond agreements |
1,349,000 | | | 1,349,000 | ||||||||||||
Collateral - OTC derivatives |
7,633,000 | | | 7,633,000 | ||||||||||||
Futures contracts |
8,574,010 | | | 8,574,010 | ||||||||||||
Centrally cleared swaps |
29,162,630 | | | 29,162,630 | ||||||||||||
Foreign currency at value |
23,315,744 | | | 23,315,744 | ||||||||||||
Liabilities: |
||||||||||||||||
Cash received: |
||||||||||||||||
Collateral - borrowed bond agreements |
| $ | (4,461,000 | ) | | (4,461,000 | ) | |||||||||
Collateral - OTC derivatives |
| (4,030,000 | ) | | (4,030,000 | ) | ||||||||||
Collateral - TBA commitments |
| (3,479,000 | ) | | (3,479,000 | ) | ||||||||||
Collateral on securities loaned at value |
| (80,589,469 | ) | | (80,589,469 | ) | ||||||||||
Reverse repurchase agreements |
| (1,443,780,531 | ) | | (1,443,780,531 | ) | ||||||||||
Total |
$ | 105,260,569 | $ | (1,536,340,000 | ) | | $ | (1,431,079,431 | ) | |||||||
|
|
During the period ended June 30, 2016, there were no transfers between Level 1 and Level 2.
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 |
Preferred Securities |
U.S. Government Sponsored Agency Securities |
Total | |||||||||||||||||||||||||
Assets: |
||||||||||||||||||||||||||||||||
Opening Balance, as of September 30, 2015 |
$140,664,025 | | $ 9,415,789 | $ 48,193,804 | $ 1 | $1,504,998 | | $ | 199,778,617 | |||||||||||||||||||||||
Transfers into Level 3 |
3,664,804 | $ 1,459,492 | | | | | $4,111,216 | 9,235,512 | ||||||||||||||||||||||||
Transfers out of Level 3 |
(59,269,693 | ) | | (8,730,055 | ) | (15,484,281 | ) | | | | (83,484,029 | ) | ||||||||||||||||||||
Accrued discounts/premiums |
134,474 | 5,326 | 1,424 | 225,483 | | | 5 | 366,712 | ||||||||||||||||||||||||
Net realized gain (loss) |
239,186 | 49,411 | 1,593 | 136,956 | | | 8 | 427,154 | ||||||||||||||||||||||||
Net change in unrealized appreciation (depreciation)1 |
(930,082 | ) | (49,560 | ) | 62,659 | (432,157 | ) | | (37,984 | ) | 41,198 | (1,345,926 | ) | |||||||||||||||||||
Purchases |
139,984,047 | | 745,216 | 49,785,272 | | | | 190,514,535 | ||||||||||||||||||||||||
Sales |
(33,634,171 | ) | (1,182,349 | ) | (689,612 | ) | (23,196,490 | ) | | | (278,605 | ) | (58,981,227 | ) | ||||||||||||||||||
|
|
|||||||||||||||||||||||||||||||
Closing Balance, as of June 30, 2016 |
$190,852,590 | $ 282,320 | $ 807,014 | $ 59,228,587 | $ 1 | $1,467,014 | $3,873,822 | $ | 256,511,348 | |||||||||||||||||||||||
|
|
|||||||||||||||||||||||||||||||
Net change in unrealized appreciation (depreciation) on investments still held at June 30, 20161 |
$ 10,892 | $ (49,560 | ) | $ 60,863 | $ (348,370 | ) | | $ (37,984 | ) | $ 41,198 | $ | (322,961 | ) | |||||||||||||||||||
|
|
1 | Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at June 30, 2016, 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 of such Level 3 investments.
MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC | JUNE 30, 2016 | 55 |
Item 2 Controls and Procedures
2(a) |
The registrants principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrants disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the 1940 Act)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 15d-15(b) under the Securities Exchange Act of 1934, as amended. | |
2(b) |
There were no changes in the registrants internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrants last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrants internal control over financial reporting. |
Item 3 Exhibits
Certifications Attached hereto
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, each registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
BlackRock Balanced Capital Fund, Inc., Master Large Cap Core Portfolio of Master Large Cap Series, LLC and Master Total Return Portfolio of Master Bond LLC
By: |
/s/ John M. Perlowski |
|||
John M. Perlowski |
||||
Chief Executive Officer (principal executive officer) of | ||||
BlackRock Balanced Capital Fund, Inc., Master Large Cap Core Portfolio of Master Large Cap Series, LLC and Master Total Return Portfolio of Master Bond LLC | ||||
Date: |
August 24, 2016 |
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 24, 2016 |
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 24, 2016 |
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 24, 2016 | /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 24, 2016 |
/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