BLACKROCK BALANCED CAPITAL FUND, INC.
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 Advantage 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
Advantage 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: 09/30/2018
Date of reporting period: 12/31/2017
Item 1 Schedule of Investments
|
|
|
Schedule of Investments (unaudited)
December 31, 2017 |
|
BlackRock Balanced Capital Fund, Inc.
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
Security |
|
Shares/
Investment Value |
|
|
Value |
|
Investment Companies 2.0% |
|
BlackRock Total Factor Fund(b) |
|
|
97,858 |
|
|
$ |
997,178 |
|
iShares Edge MSCI Multifactor USA ETF(b) |
|
|
620,540 |
|
|
|
19,726,966 |
|
|
|
|
|
|
|
|
|
|
|
|
Total Investment Companies 2.0% (Cost: $21,062,657) |
|
|
|
20,724,144 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Mutual Funds 90.9% |
|
|
|
|
|
|
|
|
Master Advantage Large Cap Core Portfolio of Master Large Cap Series LLC(b) |
|
$ |
608,814,847 |
|
|
|
608,814,847 |
|
Master Total Return Portfolio of Master Bond LLC(b)
|
|
|
355,262,625 |
|
|
|
355,262,625 |
|
|
|
|
|
|
|
|
|
|
Total Mutual Funds 90.9% (Cost: $875,969,144) |
|
|
|
|
|
|
964,077,472 |
|
|
|
|
|
|
|
|
|
|
Total Long-Term Investments 92.9% (Cost: $897,031,801) |
|
|
|
984,801,616 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
Shares |
|
|
Value |
|
Short-Term Securities 7.1% |
|
|
|
|
|
|
|
|
BlackRock Liquidity Funds, T-Fund, Institutional Class, 1.17%(a)(b) |
|
|
74,898,283 |
|
|
$ |
74,898,283 |
|
|
|
|
|
|
|
|
|
|
Total Short-Term Securities 7.1% (Cost: $74,898,283) |
|
|
|
|
|
|
74,898,283 |
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments 100.0% (Cost: $971,930,084) |
|
|
|
1,059,699,899 |
|
Other Assets Less Liabilities 0.0% |
|
|
|
|
|
|
254,134 |
|
|
|
|
|
|
|
|
|
|
Net Assets 100.0% |
|
|
|
|
|
$ |
1,059,954,033 |
|
|
|
|
|
|
|
|
|
|
(a) |
Annualized 7-day yield as of period end. |
(b) |
During the period ended December 31, 2017, investments in issuers considered to be affiliates of the Fund for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, and/or related
parties of the Fund were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Affiliate |
|
Shares/ Investment Value Held at 09/30/17 |
|
|
Shares/ Investment Value Purchased |
|
|
Shares/ Investment Value
Sold |
|
|
Shares/ Investment Value Held at 12/31/17 |
|
|
Value at
12/31/17 |
|
|
Income |
|
|
Net Realized
Gain (Loss) (a) |
|
|
Change in Unrealized Appreciation (Depreciation) |
|
BlackRock Liquidity Funds, T-Fund, Institutional Class |
|
|
106,283,056 |
|
|
|
|
|
|
|
(31,384,773 |
)(b) |
|
|
74,898,283 |
|
|
$ |
74,898,283 |
|
|
$ |
274,062 |
|
|
$ |
461 |
|
|
$ |
|
|
BlackRock Total Factor Fund |
|
|
|
|
|
|
97,858 |
|
|
|
|
|
|
|
97,858 |
|
|
|
997,178 |
|
|
|
|
|
|
|
44,029 |
|
|
|
(46,859 |
) |
iShares Core U.S. Aggregate Bond ETF |
|
|
226,789 |
|
|
|
|
|
|
|
(226,789 |
) |
|
|
|
|
|
|
|
|
|
|
155,609 |
|
|
|
(320,827 |
) |
|
|
134,289 |
|
iShares Edge MSCI Multifactor USA ETF |
|
|
|
|
|
|
620,540 |
|
|
|
|
|
|
|
620,540 |
|
|
|
19,726,966 |
|
|
|
96,525 |
|
|
|
|
|
|
|
(291,654 |
) |
Master Advantage Large Cap Core Portfolio of Master Large Cap Series LLC |
|
$ |
614,070,118 |
|
|
|
|
|
|
$ |
(5,255,271 |
)(b)(c) |
|
$ |
608,814,847 |
|
|
|
608,814,847 |
|
|
|
2,330,192 |
|
|
|
24,029,918 |
|
|
|
20,819,357 |
|
Master Total Return Portfolio of Master Bond LLC |
|
$ |
276,947,940 |
|
|
$ |
78,314,685 |
(c)(d) |
|
|
|
|
|
$ |
355,262,625 |
|
|
|
355,262,625 |
|
|
|
2,772,624 |
|
|
|
336,220 |
|
|
|
5,334,124 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
1,059,699,899 |
|
|
$ |
5,629,012 |
|
|
$ |
24,089,801 |
|
|
$ |
25,949,257 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) |
Includes net capital gain distributions, if applicable. |
|
|
(b) |
Represents net shares/investment value sold. |
|
|
(c) |
Inclusive of income, expense, realized and unrealized gains and losses allocated from the Master Portfolio. |
|
|
(d) |
Represents net investment value purchased. |
|
BlackRock Balanced Capital Fund, Inc. (the Fund) seeks to achieve its investment objective by investing a significant
amount of its assets in Master Advantage 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 Advantage Large Cap Core Portfolio and Master Total Return Portfolio was $608,814,847 and $355,262,625, respectively and 21.6% and
2.9%, respectively.
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Number
of Contracts |
|
|
Expiration Date |
|
|
Notional Amount
(000) |
|
Value/ Unrealized Appreciation (Depreciation) |
|
Long Contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Nikkei 225 Index |
|
|
106 |
|
|
|
March 2018 |
|
|
$21,402 |
|
$ |
14,846 |
|
U.S. Treasury Notes (10 Year) |
|
|
678 |
|
|
|
March 2018 |
|
|
84,104 |
|
|
303,670 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
318,516 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SCHEDULE OF INVESTMENTS |
|
|
1 |
|
|
|
|
Schedule of Investments (unaudited) (continued)
December 31, 2017 |
|
BlackRock Balanced Capital Fund, Inc. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Number
of Contracts |
|
|
Expiration Date |
|
|
Notional
Amount (000) |
|
Value/ Unrealized Appreciation (Depreciation) |
|
Short Contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
E-Mini S&P 500 Index |
|
|
60 |
|
|
|
March 2018 |
|
|
$ 8,028 |
|
$ |
(162,973 |
) |
U.S. Ultra Treasury Bonds |
|
|
555 |
|
|
|
March 2018 |
|
|
93,049 |
|
|
(1,672,355 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1,835,328 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(1,516,812 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Portfolio Abbreviations
ETF Exchange-Traded Fund
S&P Standard & Poors
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. Investments classified within Level 3 have significant unobservable inputs used by the BlackRock Global Valuation Methodologies Committee (the Global Valuation Committee) in
determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by privately held companies or funds. There may not be a secondary market, and/or there are a limited number of investors. Level 3
investments may also be adjusted to reflect illiquidity and/or non-transferability, with the amount of such discount estimated by the Global Valuation Committee in the absence of market information.
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 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 Funds policy regarding valuation of investments and
derivative financial instruments, refer to the Funds most recent financial statements as contained in its 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: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment Companies |
|
$ |
20,724,144 |
|
|
$ |
|
|
|
$ |
|
|
|
|
20,724,144 |
|
Short-Term Securities |
|
|
74,898,283 |
|
|
|
|
|
|
|
|
|
|
|
74,898,283 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Subtotal |
|
$ |
95,622,427 |
|
|
$ |
|
|
|
$ |
|
|
|
$ |
95,622,427 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments Valued at NAV(a) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
964,077,472 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments |
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
1,059,699,899 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Derivative Financial Instruments(b) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Equity contracts |
|
$ |
14,846 |
|
|
$ |
|
|
|
$ |
|
|
|
$ |
14,846 |
|
Interest rate contracts |
|
|
303,670 |
|
|
|
|
|
|
|
|
|
|
|
303,670 |
|
Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Equity contracts |
|
|
(162,973 |
) |
|
|
|
|
|
|
|
|
|
|
(162,973 |
) |
Interest rate contracts |
|
|
(1,672,355 |
) |
|
|
|
|
|
|
|
|
|
|
(1,672,355 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
$ |
(1,516,812 |
) |
|
$ |
|
|
|
$ |
|
|
|
$ |
(1,516,812 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) |
As of December 31, 2017, certain investments of the Fund were fair valued using net asset value per share or its equivalent as no quoted market value is available and therefore have been excluded from the fair
value hierarchy. |
|
|
(b) |
Derivative financial instruments are futures contracts, which are valued at the unrealized appreciation (depreciation) on the instrument. |
|
During the period ended December 31, 2017, there were no transfers between levels.
|
|
|
2 |
|
2017 BLACKROCK QUARTERLY REPORT TO SHAREHOLDERS |
|
|
|
Schedule of Investments (unaudited)
December 31, 2017 |
|
Master Advantage Large Cap Core Portfolio
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
Security |
|
Shares |
|
|
Value |
|
Common Stocks 98.9% |
|
|
Aerospace & Defense 3.2% |
|
Boeing Co. |
|
|
134,622 |
|
|
$ |
39,701,374 |
|
Lockheed Martin Corp. |
|
|
35,043 |
|
|
|
11,250,555 |
|
Orbital ATK, Inc. |
|
|
6,359 |
|
|
|
836,208 |
|
Raytheon Co. |
|
|
192,560 |
|
|
|
36,172,396 |
|
Rockwell Collins, Inc. |
|
|
17,946 |
|
|
|
2,433,837 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
90,394,370 |
|
Auto Components 1.6% |
|
Aptiv PLC |
|
|
117,352 |
|
|
|
9,954,970 |
|
BorgWarner, Inc. |
|
|
620,080 |
|
|
|
31,679,887 |
|
Delphi Technologies PLC(a) |
|
|
39,117 |
|
|
|
2,052,469 |
|
Tenneco, Inc. |
|
|
10,058 |
|
|
|
588,795 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
44,276,121 |
|
Banks 6.1% |
|
Bank of America Corp. |
|
|
1,705,038 |
|
|
|
50,332,722 |
|
Citigroup, Inc. |
|
|
240,960 |
|
|
|
17,929,834 |
|
Citizens Financial Group, Inc. |
|
|
660,850 |
|
|
|
27,742,483 |
|
First Horizon National Corp. |
|
|
423,254 |
|
|
|
8,460,847 |
|
First Republic Bank |
|
|
372,947 |
|
|
|
32,312,128 |
|
JPMorgan Chase & Co. |
|
|
92,869 |
|
|
|
9,931,411 |
|
SunTrust Banks, Inc. |
|
|
262,489 |
|
|
|
16,954,164 |
|
Synovus Financial Corp. |
|
|
94,166 |
|
|
|
4,514,318 |
|
Western Alliance Bancorp(a) |
|
|
29,770 |
|
|
|
1,685,577 |
|
Wintrust Financial Corp. |
|
|
10,729 |
|
|
|
883,748 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
170,747,232 |
|
Beverages 0.8% |
|
Coca-Cola European Partners PLC |
|
|
217,923 |
|
|
|
8,684,232 |
|
Dr. Pepper Snapple Group, Inc. |
|
|
58,915 |
|
|
|
5,718,290 |
|
Molson Coors Brewing Co., Class B |
|
|
106,826 |
|
|
|
8,767,210 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
23,169,732 |
|
Biotechnology 3.6% |
|
AbbVie, Inc. |
|
|
492,455 |
|
|
|
47,625,323 |
|
Amgen, Inc. |
|
|
12,276 |
|
|
|
2,134,796 |
|
Celgene Corp.(a) |
|
|
166,434 |
|
|
|
17,369,052 |
|
Gilead Sciences, Inc. |
|
|
465,883 |
|
|
|
33,375,858 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
100,505,029 |
|
Capital Markets 3.6% |
|
CME Group, Inc. |
|
|
43,791 |
|
|
|
6,395,676 |
|
Evercore, Inc., Class A |
|
|
86,195 |
|
|
|
7,757,550 |
|
Intercontinental Exchange, Inc. |
|
|
509,852 |
|
|
|
35,975,157 |
|
Invesco Ltd. |
|
|
53,528 |
|
|
|
1,955,913 |
|
S&P Global, Inc. |
|
|
169,132 |
|
|
|
28,650,961 |
|
SEI Investments Co. |
|
|
290,286 |
|
|
|
20,859,952 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
101,595,209 |
|
Chemicals 2.2% |
|
Air Products & Chemicals, Inc. |
|
|
212,964 |
|
|
|
34,943,133 |
|
Celanese Corp., Series A |
|
|
16,181 |
|
|
|
1,732,661 |
|
Eastman Chemical Co. |
|
|
225,920 |
|
|
|
20,929,229 |
|
NewMarket Corp. |
|
|
1,167 |
|
|
|
463,754 |
|
WR Grace & Co. |
|
|
62,304 |
|
|
|
4,369,379 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
62,438,156 |
|
Commercial Services & Supplies 0.1% |
|
Brinks Co. |
|
|
15,416 |
|
|
|
1,213,239 |
|
KAR Auction Services, Inc. |
|
|
8,934 |
|
|
|
451,256 |
|
LSC Communications, Inc. |
|
|
60,295 |
|
|
|
913,469 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,577,964 |
|
Communications Equipment 0.3% |
|
InterDigital, Inc. |
|
|
87,083 |
|
|
|
6,631,370 |
|
Palo Alto Networks, Inc.(a) |
|
|
12,907 |
|
|
|
1,870,741 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,502,111 |
|
Containers & Packaging 0.4% |
|
Crown Holdings, Inc.(a) |
|
|
18,155 |
|
|
|
1,021,219 |
|
|
|
|
|
|
|
|
|
|
Security |
|
Shares |
|
|
Value |
|
Containers & Packaging (continued) |
|
WestRock Co. |
|
|
143,841 |
|
|
$ |
9,092,190 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,113,409 |
|
Diversified Consumer Services 0.3% |
|
H&R Block, Inc. |
|
|
333,748 |
|
|
|
8,750,873 |
|
|
|
|
|
|
|
|
|
|
Diversified Financial Services 0.7% |
|
Berkshire Hathaway, Inc., Class B(a) |
|
|
99,011 |
|
|
|
19,625,960 |
|
|
|
|
|
|
|
|
|
|
Diversified Telecommunication Services 0.3% |
|
Zayo Group Holdings, Inc.(a) |
|
|
248,676 |
|
|
|
9,151,277 |
|
|
|
|
|
|
|
|
|
|
Electric Utilities 1.7% |
|
Portland General Electric Co. |
|
|
330,695 |
|
|
|
15,073,078 |
|
PPL Corp. |
|
|
34,648 |
|
|
|
1,072,356 |
|
Westar Energy, Inc. |
|
|
456,367 |
|
|
|
24,096,178 |
|
Xcel Energy, Inc. |
|
|
146,467 |
|
|
|
7,046,527 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
47,288,139 |
|
Electrical Equipment 1.8% |
|
AMETEK, Inc. |
|
|
75,088 |
|
|
|
5,441,627 |
|
Hubbell, Inc. |
|
|
141,788 |
|
|
|
19,189,588 |
|
Rockwell Automation, Inc. |
|
|
133,722 |
|
|
|
26,256,315 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
50,887,530 |
|
Electronic Equipment, Instruments & Components 1.1% |
|
Amphenol Corp., Class A |
|
|
62,167 |
|
|
|
5,458,263 |
|
CDW Corp. |
|
|
72,096 |
|
|
|
5,009,951 |
|
Dolby Laboratories, Inc., Class A |
|
|
58,858 |
|
|
|
3,649,196 |
|
IPG Photonics Corp.(a) |
|
|
30,175 |
|
|
|
6,461,373 |
|
SYNNEX Corp. |
|
|
32,602 |
|
|
|
4,432,242 |
|
TE Connectivity, Ltd. |
|
|
18,311 |
|
|
|
1,740,277 |
|
Zebra Technologies Corp., Class A(a) |
|
|
43,095 |
|
|
|
4,473,261 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
31,224,563 |
|
Energy Equipment & Services 0.2% |
|
Baker Hughes a GE Co. |
|
|
16,261 |
|
|
|
514,498 |
|
Halliburton Co. |
|
|
82,629 |
|
|
|
4,038,079 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,552,577 |
|
Equity Real Estate Investment Trusts (REITs) 2.7% |
|
Alexandria Real Estate Equities, Inc. |
|
|
136,124 |
|
|
|
17,776,433 |
|
Gaming and Leisure Properties, Inc. |
|
|
128,380 |
|
|
|
4,750,060 |
|
National Retail Properties, Inc. |
|
|
18,005 |
|
|
|
776,556 |
|
Outfront Media, Inc. |
|
|
411,146 |
|
|
|
9,538,587 |
|
Prologis, Inc. |
|
|
122,696 |
|
|
|
7,915,119 |
|
Simon Property Group, Inc. |
|
|
90,087 |
|
|
|
15,471,541 |
|
Ventas, Inc. |
|
|
222,980 |
|
|
|
13,381,030 |
|
Weingarten Realty Investors |
|
|
197,413 |
|
|
|
6,488,965 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
76,098,291 |
|
Food & Staples Retailing 1.2% |
|
Performance Food Group Co.(a) |
|
|
434,039 |
|
|
|
14,366,691 |
|
Wal-Mart Stores, Inc. |
|
|
198,052 |
|
|
|
19,557,635 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
33,924,326 |
|
Food Products 2.8% |
|
Archer-Daniels-Midland Co. |
|
|
568,729 |
|
|
|
22,794,658 |
|
Bunge, Ltd. |
|
|
236,896 |
|
|
|
15,890,984 |
|
Hershey Co. |
|
|
161,438 |
|
|
|
18,324,827 |
|
Kellogg Co. |
|
|
180,792 |
|
|
|
12,290,240 |
|
Tyson Foods, Inc., Class A |
|
|
133,263 |
|
|
|
10,803,631 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
80,104,340 |
|
Gas Utilities 0.2% |
|
UGI Corp. |
|
|
107,864 |
|
|
|
5,064,215 |
|
|
|
|
|
|
|
|
|
|
Health Care Equipment & Supplies 3.7% |
|
Abbott Laboratories |
|
|
110,527 |
|
|
|
6,307,776 |
|
Baxter International, Inc. |
|
|
421,528 |
|
|
|
27,247,570 |
|
Danaher Corp. |
|
|
393,584 |
|
|
|
36,532,467 |
|
Edwards Lifesciences Corp.(a) |
|
|
116,259 |
|
|
|
13,103,552 |
|
|
|
|
4 |
|
2017 BLACKROCK QUARTERLY REPORT TO SHAREHOLDERS |
|
|
|
Schedule of Investments (unaudited) (continued)
December 31, 2017 |
|
Master Advantage Large Cap Core Portfolio
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
Security |
|
Shares |
|
|
Value |
|
Health Care Equipment & Supplies (continued) |
|
IDEXX Laboratories, Inc.(a) |
|
|
131,651 |
|
|
$ |
20,587,583 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
103,778,948 |
|
Health Care Providers & Services 2.4% |
|
Aetna, Inc. |
|
|
35,295 |
|
|
|
6,366,865 |
|
AmerisourceBergen Corp. |
|
|
100,264 |
|
|
|
9,206,240 |
|
Humana, Inc. |
|
|
108,765 |
|
|
|
26,981,334 |
|
McKesson Corp. |
|
|
62,186 |
|
|
|
9,697,907 |
|
UnitedHealth Group, Inc. |
|
|
65,027 |
|
|
|
14,335,852 |
|
WellCare Health Plans, Inc.(a) |
|
|
3,579 |
|
|
|
719,773 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
67,307,971 |
|
Health Care Technology 0.4% |
|
Veeva Systems, Inc., Class A(a) |
|
|
220,051 |
|
|
|
12,164,419 |
|
|
|
|
|
|
|
|
|
|
Hotels, Restaurants & Leisure 3.0% |
|
Carnival Corp. |
|
|
485,875 |
|
|
|
32,247,524 |
|
Choice Hotels International, Inc. |
|
|
8,106 |
|
|
|
629,026 |
|
Extended Stay America, Inc. |
|
|
207,668 |
|
|
|
3,945,692 |
|
International Game Technology PLC |
|
|
55,199 |
|
|
|
1,463,325 |
|
McDonalds Corp. |
|
|
265,922 |
|
|
|
45,770,495 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
84,056,062 |
|
Household Durables 0.0% |
|
Whirlpool Corp. |
|
|
1,668 |
|
|
|
281,292 |
|
|
|
|
|
|
|
|
|
|
Industrial Conglomerates 1.8% |
|
3M Co. |
|
|
196,689 |
|
|
|
46,294,690 |
|
General Electric Co. |
|
|
317,026 |
|
|
|
5,532,104 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
51,826,794 |
|
Insurance 3.5% |
|
Allstate Corp. |
|
|
65,814 |
|
|
|
6,891,384 |
|
Aon PLC |
|
|
7,041 |
|
|
|
943,494 |
|
Athene Holding Ltd., Class A(a) |
|
|
65,578 |
|
|
|
3,391,038 |
|
First American Financial Corp. |
|
|
77,295 |
|
|
|
4,331,612 |
|
Hartford Financial Services Group, Inc. |
|
|
258,517 |
|
|
|
14,549,337 |
|
Lincoln National Corp. |
|
|
321,193 |
|
|
|
24,690,106 |
|
Marsh & McLennan Cos., Inc. |
|
|
160,215 |
|
|
|
13,039,899 |
|
Principal Financial Group, Inc. |
|
|
15,052 |
|
|
|
1,062,069 |
|
Prudential Financial, Inc. |
|
|
179,819 |
|
|
|
20,675,589 |
|
Reinsurance Group of America, Inc. |
|
|
5,796 |
|
|
|
903,770 |
|
Unum Group |
|
|
137,657 |
|
|
|
7,555,993 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
98,034,291 |
|
Internet & Direct Marketing Retail 1.6% |
|
Amazon.com, Inc.(a) |
|
|
37,391 |
|
|
|
43,727,653 |
|
Netflix, Inc.(a) |
|
|
3,493 |
|
|
|
670,516 |
|
Priceline Group, Inc.(a) |
|
|
868 |
|
|
|
1,508,358 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
45,906,527 |
|
Internet Software & Services 5.1% |
|
Alphabet, Inc., Class A(a) |
|
|
25,469 |
|
|
|
26,829,045 |
|
Alphabet, Inc., Class C(a) |
|
|
33,447 |
|
|
|
34,998,941 |
|
Facebook, Inc., Class A(a) |
|
|
431,097 |
|
|
|
76,071,377 |
|
VeriSign, Inc.(a) |
|
|
39,451 |
|
|
|
4,514,772 |
|
Yelp, Inc.(a) |
|
|
41 |
|
|
|
1,720 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
142,415,855 |
|
IT Services 4.4% |
|
Booz Allen Hamilton Holding Corp. |
|
|
53,181 |
|
|
|
2,027,791 |
|
Broadridge Financial Solutions, Inc. |
|
|
133,737 |
|
|
|
12,113,897 |
|
EPAM Systems, Inc.(a) |
|
|
18,168 |
|
|
|
1,951,788 |
|
Euronet Worldwide, Inc.(a) |
|
|
30,591 |
|
|
|
2,577,904 |
|
Fidelity National Information Services, Inc. |
|
|
100,349 |
|
|
|
9,441,837 |
|
International Business Machines Corp. |
|
|
130,686 |
|
|
|
20,049,846 |
|
Mastercard, Inc., Class A |
|
|
307,639 |
|
|
|
46,564,239 |
|
Total System Services, Inc. |
|
|
56,294 |
|
|
|
4,452,292 |
|
Visa, Inc., Class A |
|
|
215,701 |
|
|
|
24,594,228 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
123,773,822 |
|
|
|
|
|
|
|
|
|
|
Security |
|
Shares |
|
|
Value |
|
Leisure Products 0.1% |
|
Hasbro, Inc. |
|
|
25,422 |
|
|
$ |
2,310,606 |
|
|
|
|
|
|
|
|
|
|
Life Sciences Tools & Services 0.1% |
|
Agilent Technologies, Inc. |
|
|
21,529 |
|
|
|
1,441,797 |
|
Waters Corp.(a) |
|
|
11,478 |
|
|
|
2,217,435 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,659,232 |
|
Machinery 3.8% |
|
Cummins, Inc. |
|
|
66,142 |
|
|
|
11,683,323 |
|
Graco, Inc. |
|
|
8,751 |
|
|
|
395,720 |
|
Illinois Tool Works, Inc. |
|
|
146,149 |
|
|
|
24,384,961 |
|
Ingersoll-Rand PLC |
|
|
61,452 |
|
|
|
5,480,904 |
|
Oshkosh Corp. |
|
|
95,633 |
|
|
|
8,692,083 |
|
PACCAR, Inc. |
|
|
470,299 |
|
|
|
33,428,853 |
|
Xylem, Inc. |
|
|
314,144 |
|
|
|
21,424,621 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
105,490,465 |
|
Media 2.6% |
|
Comcast Corp., Class A |
|
|
69,401 |
|
|
|
2,779,510 |
|
John Wiley & Sons, Inc., Class A |
|
|
283,427 |
|
|
|
18,635,325 |
|
Scripps Networks Interactive, Inc., Class A |
|
|
9,540 |
|
|
|
814,525 |
|
Time Warner, Inc. |
|
|
85,927 |
|
|
|
7,859,743 |
|
Walt Disney Co. |
|
|
394,502 |
|
|
|
42,412,910 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
72,502,013 |
|
Metals & Mining 1.2% |
|
Newmont Mining Corp. |
|
|
891,944 |
|
|
|
33,465,739 |
|
|
|
|
|
|
|
|
|
|
Multiline Retail 1.1% |
|
Kohls Corp. |
|
|
97,885 |
|
|
|
5,308,304 |
|
Target Corp. |
|
|
396,143 |
|
|
|
25,848,331 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
31,156,635 |
|
Multi-Utilities 1.5% |
|
CMS Energy Corp. |
|
|
687,600 |
|
|
|
32,523,480 |
|
Vectren Corp. |
|
|
148,763 |
|
|
|
9,672,570 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
42,196,050 |
|
Oil, Gas & Consumable Fuels 5.2% |
|
Anadarko Petroleum Corp. |
|
|
218,698 |
|
|
|
11,730,961 |
|
ConocoPhillips |
|
|
690,398 |
|
|
|
37,895,946 |
|
Exxon Mobil Corp. |
|
|
195,008 |
|
|
|
16,310,469 |
|
Marathon Petroleum Corp. |
|
|
192,811 |
|
|
|
12,721,670 |
|
Occidental Petroleum Corp. |
|
|
253,407 |
|
|
|
18,665,960 |
|
ONEOK, Inc. |
|
|
50,972 |
|
|
|
2,724,453 |
|
Suncor Energy, Inc. |
|
|
229,503 |
|
|
|
8,427,350 |
|
Valero Energy Corp. |
|
|
324,554 |
|
|
|
29,829,758 |
|
Williams Cos., Inc. |
|
|
269,159 |
|
|
|
8,206,658 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
146,513,225 |
|
Personal Products 1.2% |
|
Estee Lauder Cos., Inc., Class A |
|
|
266,060 |
|
|
|
33,853,474 |
|
Herbalife Ltd.(a) |
|
|
6,477 |
|
|
|
438,622 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
34,292,096 |
|
Pharmaceuticals 3.3% |
|
Bristol-Myers Squibb Co. |
|
|
575,425 |
|
|
|
35,262,044 |
|
Catalent, Inc.(a) |
|
|
143,078 |
|
|
|
5,877,644 |
|
Johnson & Johnson |
|
|
88,172 |
|
|
|
12,319,392 |
|
Merck & Co., Inc. |
|
|
207,651 |
|
|
|
11,684,522 |
|
Zoetis, Inc. |
|
|
391,222 |
|
|
|
28,183,633 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
93,327,235 |
|
Real Estate Management & Development 0.7% |
|
CBRE Group, Inc., Class A(a) |
|
|
405,833 |
|
|
|
17,576,627 |
|
Jones Lang LaSalle, Inc. |
|
|
9,748 |
|
|
|
1,451,770 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
19,028,397 |
|
Road & Rail 0.2% |
|
Norfolk Southern Corp. |
|
|
43,038 |
|
|
|
6,236,206 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SCHEDULE OF INVESTMENTS |
|
|
5 |
|
|
|
|
Schedule of Investments (unaudited) (continued)
December 31, 2017 |
|
Master Advantage Large Cap Core Portfolio
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
Security |
|
Shares |
|
|
Value |
|
Semiconductors & Semiconductor Equipment 3.6% |
|
Intel Corp. |
|
|
149,831 |
|
|
$ |
6,916,199 |
|
KLA-Tencor Corp. |
|
|
21,999 |
|
|
|
2,311,435 |
|
Lam Research Corp. |
|
|
8,048 |
|
|
|
1,481,395 |
|
Maxim Integrated Products, Inc. |
|
|
614,217 |
|
|
|
32,111,265 |
|
QUALCOMM, Inc. |
|
|
162,675 |
|
|
|
10,414,453 |
|
Skyworks Solutions, Inc. |
|
|
61,265 |
|
|
|
5,817,112 |
|
Texas Instruments, Inc. |
|
|
404,438 |
|
|
|
42,239,505 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
101,291,364 |
|
Software 4.2% |
|
Activision Blizzard, Inc. |
|
|
437,932 |
|
|
|
27,729,854 |
|
Adobe Systems, Inc.(a) |
|
|
105,591 |
|
|
|
18,503,767 |
|
Intuit, Inc. |
|
|
19,583 |
|
|
|
3,089,806 |
|
Microsoft Corp. |
|
|
467,564 |
|
|
|
39,995,425 |
|
Oracle Corp. |
|
|
530,644 |
|
|
|
25,088,848 |
|
Synopsys, Inc.(a) |
|
|
30,600 |
|
|
|
2,608,344 |
|
Verint Systems, Inc.(a) |
|
|
31,962 |
|
|
|
1,337,610 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
118,353,654 |
|
Specialty Retail 2.0% |
|
Aarons, Inc. |
|
|
109,746 |
|
|
|
4,373,378 |
|
Lowes Cos., Inc. |
|
|
345,521 |
|
|
|
32,112,722 |
|
Penske Automotive Group, Inc. |
|
|
418,182 |
|
|
|
20,010,009 |
|
Tiffany & Co. |
|
|
5,336 |
|
|
|
554,677 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
57,050,786 |
|
Technology Hardware, Storage & Peripherals 4.1% |
|
Apple Inc. |
|
|
647,790 |
|
|
|
109,625,502 |
|
HP Inc. |
|
|
265,512 |
|
|
|
5,578,407 |
|
Pure Storage, Inc., Class A(a) |
|
|
72,017 |
|
|
|
1,142,190 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
116,346,099 |
|
Textiles, Apparel & Luxury Goods 0.5% |
|
Ralph Lauren Corp. |
|
|
29,797 |
|
|
|
3,089,651 |
|
|
|
|
|
|
|
|
|
|
Security |
|
Shares |
|
|
Value |
|
Textiles, Apparel & Luxury Goods (continued) |
|
|
|
|
Skechers U.S.A., Inc., Class A(a) |
|
|
293,902 |
|
|
$ |
11,121,252 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14,210,903 |
|
Thrifts & Mortgage Finance 0.4% |
|
|
|
|
Essent Group Ltd.(a) |
|
|
264,805 |
|
|
|
11,497,833 |
|
|
|
|
|
|
|
|
|
|
Tobacco 1.1% |
|
|
|
|
Altria Group, Inc. |
|
|
452,308 |
|
|
|
32,299,314 |
|
|
|
|
|
|
|
|
|
|
Wireless Telecommunication Services 1.2% |
|
|
|
|
Sprint Corp.(a) |
|
|
895,791 |
|
|
|
5,276,209 |
|
Telephone & Data Systems, Inc. |
|
|
156,692 |
|
|
|
4,356,038 |
|
T-Mobile U.S.,
Inc.(a) |
|
|
359,009 |
|
|
|
22,800,662 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
32,432,909 |
|
|
|
|
|
|
|
|
|
|
Total Long-Term Investments 98.9% (Cost: $2,466,516,329) |
|
|
|
2,784,198,166 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Short-Term Securities 1.1% |
|
|
|
|
|
|
|
|
BlackRock Liquidity Funds, T-Fund, Institutional Class, 1.17%(b)(c) |
|
|
29,475,194 |
|
|
|
29,475,194 |
|
|
|
|
|
|
|
|
|
|
Total Short-Term Investments 1.1% (Cost: $29,475,194) |
|
|
|
29,475,194 |
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments 100.0% (Cost: $2,495,991,523) |
|
|
$ |
2,813,673,360 |
|
|
|
|
|
|
|
|
|
|
Other Assets Less Liabilities 0.0% |
|
|
|
|
|
|
498,820 |
|
|
|
|
|
|
|
|
|
|
Net Assets 100.0% |
|
|
|
|
|
$ |
2,814,172,180 |
|
|
|
|
|
|
|
|
|
|
Notes to Schedule of Investments
(a) |
Non-income producing security. |
(b) |
Annualized 7-day yield as of period end. |
(c) |
During the year ended December 31, 2017, 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 Held at 09/30/17 |
|
|
Net Activity |
|
|
Shares Held at 12/31/17 |
|
|
Value at 12/31/17 |
|
|
Income |
|
|
Net Realized Gain (Loss)(a) |
|
|
Change in Unrealized Appreciation (Depreciation) |
|
BlackRock Liquidity Funds, T-Fund, Institutional Class |
|
|
20,828,948 |
|
|
|
8,646,246 |
|
|
|
29,475,194 |
|
|
$ |
29,475,194 |
|
|
$ |
95,089 |
|
|
$ |
89 |
|
|
$ |
|
|
SL Liquidity Series, LLC, Money Market Series |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
633 |
(b) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
29,475,194 |
|
|
$ |
95,722 |
|
|
$ |
89 |
|
|
$ |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) |
Includes net capital gain distributions. |
|
|
(b) |
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. |
|
Portfolio Abbreviation
S&P
Standard & Poors
|
|
|
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. |
|
|
|
6 |
|
2017 BLACKROCK QUARTERLY REPORT TO SHAREHOLDERS |
|
|
|
Schedule of Investments (unaudited) (continued)
December 31, 2017 |
|
Master Advantage Large Cap Core Portfolio |
Derivative Financial Instruments Outstanding as of Period End
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures Contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Number of Contracts |
|
|
Expiration Date |
|
|
Notional Amount (000) |
|
|
Value/ Unrealized Appreciation (Depreciation) |
|
Long Contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
E-Mini S&P 500
Index |
|
|
266 |
|
|
|
March 2018 |
|
|
$ |
35,591 |
|
|
|
(205 |
) |
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
market-corroborated inputs) |
|
|
|
Level 3 Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including each 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. Investments classified within Level 3 have significant unobservable inputs used by the BlackRock Global Valuation Methodologies Committee (the Global Valuation Committee) in determining the price
for Fair Valued Investments. Level 3 investments include equity or debt issued by privately held companies or funds. There may not be a secondary market, and/or there are a limited number of investors. Level 3 investments may also be
adjusted to reflect illiquidity and/or non-transferability, with the amount of such discount estimated by the Global Valuation Committee in the absence of market information.
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 annual report.
The following tables summarize the Portfolios investments categorized in the disclosure hierarchy:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
Investments |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Long-Term Investments |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Common Stocks(a) |
|
$ |
2,784,198,166 |
|
|
$ |
|
|
|
$ |
|
|
|
$ |
2,784,198,166 |
|
Short-Term Securities |
|
|
29,475,194 |
|
|
|
|
|
|
|
|
|
|
|
29,475,194 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Subtotal |
|
$ |
2,813,673,360 |
|
|
$ |
|
|
|
$ |
|
|
|
$ |
2,813,673,360 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Derivative Financial Instruments(b) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Equity contracts |
|
$ |
(205 |
) |
|
$ |
|
|
|
$ |
|
|
|
$ |
(205 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) |
See above Schedule of Investments for values in each industry. |
|
|
(b) |
Derivative financial instruments are futures contracts which are valued at the unrealized appreciation (depreciation) on the instrument. |
|
During the period ended December 31, 2017, there were no transfers between levels.
|
|
|
|
|
SCHEDULE OF INVESTMENTS |
|
|
7 |
|
|
|
|
Consolidated Schedule of Investments (unaudited) |
|
Master Total Return Portfolio of Master Bond LLC |
December 31, 2017 |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
|
|
|
Par (000) |
|
|
Value |
|
Asset-Backed Securities 12.5% |
|
Accredited Mortgage Loan Trust, Series 2006-1, Class M2, (1
mo. LIBOR US + 0.340%), 1.89%, 04/25/36(a) |
|
|
USD |
|
|
|
5,510 |
|
|
$ |
2,853,096 |
|
ACE Securities Corp. Home Equity Loan Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2003-OP1, Class A2, (1 mo. LIBOR US +
0.720%), 2.27%, 12/25/33(a) |
|
|
|
|
|
|
581 |
|
|
|
561,329 |
|
Series 2006-CW1, Class A2C, (1 mo. LIBOR US +
0.140%), 1.69%, 07/25/36(a) |
|
|
|
|
|
|
620 |
|
|
|
496,952 |
|
Series 2007-HE4, Class A2A, (1 mo. LIBOR US +
0.130%), 1.68%, 05/25/37(a) |
|
|
|
|
|
|
2,997 |
|
|
|
994,702 |
|
Adagio V CLO Designated Activity Co., Series V-X, Class E, (3
mo. EURIBOR + 6.700%), 6.70%, 10/15/29(a) |
|
|
EUR |
|
|
|
340 |
|
|
|
417,392 |
|
Adams Mill CLO Ltd., Series 2014-1A, Class A2R, (3 mo. LIBOR US
+ 1.100%), 2.46%, 07/15/26(a)(b) |
|
|
USD |
|
|
|
4,730 |
|
|
|
4,744,325 |
|
Ajax Mortgage Loan Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2016-1, Class A, 4.25%, 07/25/47(b)(c) |
|
|
|
|
|
|
2,227 |
|
|
|
2,207,330 |
|
Series 2016-B, Class A, 4.00%, 09/25/65(b)(c) |
|
|
|
|
|
|
3,043 |
|
|
|
3,038,655 |
|
Series 2016-C, Class A, 4.00%, 10/25/57(b)(c) |
|
|
|
|
|
|
2,068 |
|
|
|
2,082,979 |
|
Series 2017-A, Class A, 3.47%, 04/25/57(b)(c) |
|
|
|
|
|
|
10,010 |
|
|
|
10,024,556 |
|
Series 2017-D, Class A, 3.75%, 12/25/57(b)(d)(e) |
|
|
|
|
|
|
14,160 |
|
|
|
14,160,000 |
|
Series 2017-D, Class B, 0.00%, 12/25/57(b)(d)(e) |
|
|
|
|
|
|
2,080 |
|
|
|
1,290,848 |
|
Allegro CLO II Ltd., Series 2014-1A, Class A1R, (3 mo. LIBOR US
+ 1.310%), 2.67%, 01/21/27(a)(b) |
|
|
|
|
|
|
2,340 |
|
|
|
2,350,612 |
|
Allegro CLO V Ltd., Series 2017-1A, Class A, (3 mo. LIBOR US
+ 1.240%), 2.61%, 10/16/30(a)(b) |
|
|
|
|
|
|
1,100 |
|
|
|
1,099,540 |
|
Allegro CLO VI Ltd., Series 2017-2A, Class A, (3 mo. LIBOR US
+ 1.130%), 0.00%, 01/16/30(a)(b)(d) |
|
|
|
|
|
|
4,000 |
|
|
|
4,000,000 |
|
ALM V Ltd.: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2012-5A, Class A1R3, (3 mo. LIBOR US +
0.910%), 2.26%, 10/18/27(a)(b) |
|
|
|
|
|
|
4,410 |
|
|
|
4,412,835 |
|
Series 2012-5A, Class A2R3, (3 mo. LIBOR US +
1.250%), 2.61%, 10/18/27(a)(b) |
|
|
|
|
|
|
1,600 |
|
|
|
1,601,410 |
|
Series 2012-5A, Class BR3, (3 mo. LIBOR US +
1.650%), 3.00%, 10/18/27(a)(b) |
|
|
|
|
|
|
2,140 |
|
|
|
2,142,645 |
|
ALM VI Ltd., Series 2012-6A, Class A2RR, (3 mo. LIBOR US
+ 1.600%), 2.96%, 07/15/26(a)(b) |
|
|
|
|
|
|
1,264 |
|
|
|
1,264,833 |
|
ALM XI Ltd., Series 2014-11A, Class A1R, (3 mo. LIBOR US
+ 1.140%), 2.49%, 10/17/26(a)(b) |
|
|
|
|
|
|
14,020 |
|
|
|
14,073,213 |
|
ALM XII Ltd.: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2015-12A, Class A1R, (3 mo. LIBOR US +
1.050%), 2.41%, 04/16/27(a)(b) |
|
|
|
|
|
|
10,010 |
|
|
|
10,032,514 |
|
Series 2015-12A, Class BR, (3 mo. LIBOR US +
2.050%), 3.41%, 04/16/27(a)(b) |
|
|
|
|
|
|
3,635 |
|
|
|
3,661,102 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
|
|
|
Par (000) |
|
|
Value |
|
ALM XIV Ltd.: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2014-14A, Class A1R, (3 mo. LIBOR US +
1.150%), 2.53%, 07/28/26(a)(b) |
|
|
USD |
|
|
|
10,785 |
|
|
$ |
10,787,487 |
|
Series 2014-14A, Class BR, (3 mo. LIBOR US +
2.100%), 3.48%, 07/28/26(a)(b) |
|
|
|
|
|
|
1,236 |
|
|
|
1,236,112 |
|
ALM XVI Ltd./ALM XVI LLC, Series 2015-16A, Class BR, (3 mo.
LIBOR US + 2.050%), 3.41%, 07/15/27(a)(b) |
|
|
|
|
|
|
2,060 |
|
|
|
2,075,684 |
|
ALME Loan Funding V BV, Series 5X, Class E, (3 mo. EURIBOR + 6.000%), 6.00%, 07/15/29(a) |
|
|
EUR |
|
|
|
1,080 |
|
|
|
1,309,997 |
|
AMMC CLO 17 Ltd., Series 2015-17A, Class B, (3 mo. LIBOR US
+ 2.300%), 3.72%, 11/15/27(a)(b) |
|
|
USD |
|
|
|
1,180 |
|
|
|
1,190,707 |
|
AMMC CLO 18 Ltd., Series 2016-18A, Class AL1, (3 mo. LIBOR US
+ 1.570%), 3.03%, 05/26/28(a)(b) |
|
|
|
|
|
|
5,320 |
|
|
|
5,354,545 |
|
AMMC CLO 19 Ltd., Series 2016-19A, Class C, (3 mo. LIBOR US
+ 2.800%), 4.16%, 10/15/28(a)(b) |
|
|
|
|
|
|
720 |
|
|
|
731,533 |
|
AMMC CLO 21 Ltd., Series 2017-21A, Class A, (3 mo. LIBOR US
+ 1.250%), 2.64%, 11/02/30(a)(b) |
|
|
|
|
|
|
750 |
|
|
|
754,510 |
|
AMMC CLO XII Ltd., Series 2013-12A, Class AR, (3 mo. LIBOR US
+ 1.200%), 2.61%, 11/10/30(a)(b) |
|
|
|
|
|
|
540 |
|
|
|
543,331 |
|
AMMC CLO XIII Ltd., Series 2013-13A, Class A1LR, (3 mo. LIBOR US
+ 1.260%), 2.62%, 07/24/29(a)(b) |
|
|
|
|
|
|
2,620 |
|
|
|
2,639,672 |
|
AMMC CLO XIV Ltd., Series 2014-14A, Class A1LR, (3 mo. LIBOR US
+ 1.250%), 2.62%, 07/25/29(a)(b) |
|
|
|
|
|
|
5,470 |
|
|
|
5,517,684 |
|
Anchorage Capital CLO 3 Ltd.: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2014-3A, Class A2AR, (3 mo. LIBOR US +
2.050%), 3.43%, 04/28/26(a)(b) |
|
|
|
|
|
|
1,620 |
|
|
|
1,627,175 |
|
Series 2014-3A, Class BR, (3 mo. LIBOR US + 2.650%), 4.03%,
04/28/26(a)(b) |
|
|
|
|
|
|
500 |
|
|
|
501,285 |
|
Anchorage Capital CLO 4 Ltd., Series 2014-4A, Class A1AR, (3
mo. LIBOR US + 1.140%), 2.52%, 07/28/26(a)(b) |
|
|
|
|
|
|
3,080 |
|
|
|
3,086,859 |
|
Anchorage Capital CLO 5 Ltd., Series 2014-5A, Class CR, (3
mo. LIBOR US + 2.200%), 3.56%, 10/15/26(a)(b) |
|
|
|
|
|
|
1,690 |
|
|
|
1,690,037 |
|
Anchorage Capital CLO 6 Ltd., Series 2015-6A, Class AR, (3
mo. LIBOR US + 1.270%), 2.63%, 07/15/30(a)(b) |
|
|
|
|
|
|
4,010 |
|
|
|
4,038,381 |
|
Anchorage Capital CLO 7 Ltd.: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2015-7A, Class AR, (3 mo. LIBOR US + 0.960%),
2.32%, 10/15/27(a)(b) |
|
|
|
|
|
|
21,810 |
|
|
|
21,820,342 |
|
Series 2015-7A, Class B1R, (3 mo. LIBOR US +
1.300%), 2.66%, 10/15/27(a)(b) |
|
|
|
|
|
|
3,470 |
|
|
|
3,474,737 |
|
Series 2015-7A, Class CR, (3 mo. LIBOR US + 1.700%), 3.06%,
10/15/27(a)(b) |
|
|
|
|
|
|
1,180 |
|
|
|
1,182,079 |
|
Anchorage Capital CLO Ltd.: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2013-1A, Class A1R, (3 mo. LIBOR US +
1.250%), 2.61%, 10/13/30(a)(b) |
|
|
|
|
|
|
2,005 |
|
|
|
2,012,505 |
|
Series 2013-1A, Class BR, (3 mo. LIBOR US + 2.150%),
3.51%, 10/13/30(a)(b) |
|
|
|
|
|
|
1,410 |
|
|
|
1,426,407 |
|
Series 2014-5RA, Class B, (3 mo. LIBOR US + 1.450%),
0.00%, 01/15/30(a)(b)(d) |
|
|
|
|
|
|
7,580 |
|
|
|
7,580,000 |
|
|
|
|
|
|
CONSOLIDATED SCHEDULE OF INVESTMENTS |
|
|
1 |
|
|
|
|
Consolidated Schedule of Investments (unaudited) (continued) |
|
Master Total Return Portfolio of Master Bond LLC |
December 31, 2017 |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
|
|
|
Par (000) |
|
|
Value |
|
Anchorage Capital CLO Ltd.: (continued) |
|
Series 2014-5RA, Class C, (3 mo. LIBOR US + 1.850%), 0.00%,
01/15/30(a)(b)(d) |
|
|
USD |
|
|
|
2,790 |
|
|
$ |
2,790,000 |
|
Apidos CLO XII, Series 2013-12A, Class A, (3 mo. LIBOR US
+ 1.100%), 2.46%, 04/15/25(a)(b) |
|
|
|
|
|
|
13,300 |
|
|
|
13,325,829 |
|
Apidos CLO XV, Series 2013-15A, Class A1R, (3 mo. LIBOR US
+ 1.100%), 2.46%, 10/20/25(a)(b) |
|
|
|
|
|
|
1,080 |
|
|
|
1,081,561 |
|
Apidos CLO XVI, Series 2013-16A, Class A1R, (3 mo. LIBOR US
+ 0.980%), 2.34%, 01/19/25(a)(b) |
|
|
|
|
|
|
2,965 |
|
|
|
2,970,009 |
|
Apidos CLO XVIII, Series 2014-18A, Class A1R, (3 mo. LIBOR US
+ 1.120%), 2.48%, 07/22/26(a)(b) |
|
|
|
|
|
|
880 |
|
|
|
883,954 |
|
Apidos CLO XX, Series 2015-20A, Class A1R, (3 mo. LIBOR US
+ 1.330%), 2.69%, 01/16/27(a)(b) |
|
|
|
|
|
|
2,250 |
|
|
|
2,268,790 |
|
Aqueduct European CLO DAC: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2017-2X, Class B1, (3 mo. EURIBOR +
1.200%), 1.20%, 10/15/30(a)(d) |
|
|
EUR |
|
|
|
1,259 |
|
|
|
1,512,495 |
|
Series 2017-2X, Class E, (3 mo. EURIBOR + 4.400%),
4.40%, 10/15/30(a)(d) |
|
|
|
|
|
|
289 |
|
|
|
336,353 |
|
Arbor Realty CLO Ltd., Series 2015-FL2A, Class A, (1 mo. LIBOR US + 1.750%), 3.23%, 09/15/25(a)(b) |
|
|
USD |
|
|
|
2,220 |
|
|
|
2,238,003 |
|
Arbor Realty Collateralized Loan Obligation Ltd., Series 2017-FL3,
Class A, (1 mo. LIBOR US + 0.990%), 2.23%, 11/15/22(a)(b)(d) |
|
|
|
|
|
|
3,740 |
|
|
|
3,742,356 |
|
Arbor Realty Commercial Real Estate Notes Ltd.: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2016-FL1A, Class A, (1 mo. LIBOR US + 1.700%), 3.18%, 09/15/26(a)(b) |
|
|
|
|
|
|
3,940 |
|
|
|
4,002,611 |
|
Series 2017-FL2, Class A, (1 mo. LIBOR US + 0.990%),
2.47%, 08/15/27(a)(b) |
|
|
|
|
|
|
1,660 |
|
|
|
1,662,262 |
|
Arbour CLO IV DAC, Series 4X, Class E, (3 mo. EURIBOR + 5.600%), 5.60%, 01/15/30(a) |
|
|
EUR |
|
|
|
550 |
|
|
|
671,450 |
|
Arbour CLO Ltd., Series 2014-1X, Class E, (3 mo. EURIBOR
+ 5.000%), 5.00%, 07/15/27(a) |
|
|
|
|
|
|
238 |
|
|
|
287,436 |
|
ARES European CLO VIII BV, Series 8X, Class E, (3 mo. EURIBOR + 6.350%), 6.35%, 02/17/30(a) |
|
|
|
|
|
|
281 |
|
|
|
346,050 |
|
ARES XXVIII CLO Ltd.: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2013-3A, Class B1R, (3 mo. LIBOR US + 1.500%),
2.85%, 10/17/24(a)(b) |
|
|
USD |
|
|
|
2,150 |
|
|
|
2,157,256 |
|
Series 2013-3A, Class C1R, (3 mo. LIBOR US + 2.100%),
3.45%, 10/17/24(a)(b) |
|
|
|
|
|
|
1,850 |
|
|
|
1,850,205 |
|
ARES XXXIII CLO Ltd.: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2015-1A, Class A2R, (3 mo. LIBOR US + 1.950%),
3.44%, 12/05/25(a)(b) |
|
|
|
|
|
|
1,420 |
|
|
|
1,436,202 |
|
Series 2015-1A, Class B2R, (3 mo. LIBOR US + 2.800%),
4.29%, 12/05/25(a)(b) |
|
|
|
|
|
|
500 |
|
|
|
511,153 |
|
ARES XXXVII CLO Ltd., Series 2015-4A, Class A1R, (3 mo. LIBOR US
+ 1.170%), 2.54%, 10/15/30(a)(b) |
|
|
|
|
|
|
1,150 |
|
|
|
1,157,711 |
|
Argent Mortgage Loan Trust, Series 2005-W1, Class A2, (1 mo.
LIBOR US + 0.240%), 1.79%, 05/25/35(a)(d) |
|
|
|
|
|
|
4,915 |
|
|
|
3,759,655 |
|
ArrowMark Colorado Holdings: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2017-8A, Class A1, (3 mo. LIBOR US + 1.160%),
0.00%, 10/25/30(a)(b) |
|
|
|
|
|
|
2,320 |
|
|
|
2,320,000 |
|
Series 2017-8A, Class C, (3 mo. LIBOR US + 2.050%),
0.00%, 10/25/30(a)(b) |
|
|
|
|
|
|
1,125 |
|
|
|
1,125,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
|
|
|
Par (000) |
|
|
Value |
|
Atlas Senior Loan Fund IV Ltd.: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2013-2A, Class A1LR, (3 mo. LIBOR US + 0.980%),
2.40%, 02/17/26(a)(b) |
|
|
USD |
|
|
|
7,030 |
|
|
$ |
7,036,768 |
|
Series 2013-2A, Class A2LR, (3 mo. LIBOR US + 1.450%),
2.87%, 02/17/26(a)(b) |
|
|
|
|
|
|
3,000 |
|
|
|
3,001,895 |
|
Atlas Senior Loan Fund VI Ltd., Series 2014-6A, Class CR, (3 mo.
LIBOR US + 2.400%), 3.76%, 10/15/26(a)(b) |
|
|
|
|
|
|
930 |
|
|
|
932,314 |
|
Atrium X: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 10A, Class B1R, (3 mo. LIBOR US + 1.450%), 2.81%, 07/16/25(a)(b) |
|
|
|
|
|
|
4,300 |
|
|
|
4,301,999 |
|
Series 10A, Class CR, (3 mo. LIBOR US + 1.950%), 3.31%, 07/16/25(a)(b) |
|
|
|
|
|
|
2,070 |
|
|
|
2,078,707 |
|
Atrium XI, Series 11A, Class A1R, (3 mo. LIBOR US + 1.140%), 2.50%, 10/23/25(a)(b) |
|
|
|
|
|
|
1,060 |
|
|
|
1,063,992 |
|
Atrium XII, Series 12A, Class CR, (3 mo. LIBOR US + 1.650%), 3.02%, 04/22/27(a)(b) |
|
|
|
|
|
|
2,381 |
|
|
|
2,382,826 |
|
Avery Point V CLO Ltd.: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2014-5A, Class AR, (3 mo. LIBOR US + 0.980%), 2.33%,
07/17/26(a)(b) |
|
|
|
|
|
|
3,620 |
|
|
|
3,631,083 |
|
Series 2014-5A, Class BR, (3 mo. LIBOR US + 1.500%), 2.85%,
07/17/26(a)(b) |
|
|
|
|
|
|
2,250 |
|
|
|
2,259,675 |
|
Avery Point VII CLO Ltd., Series 2015-7A, Class A1, (3 mo. LIBOR
US + 1.500%), 2.86%, 01/15/28(a)(b) |
|
|
|
|
|
|
7,916 |
|
|
|
7,996,158 |
|
Avoca Capital CLO X Ltd., Series 10X, Class ER, (3 mo. EURIBOR + 6.050%), 6.05%, 01/15/30(a) |
|
|
EUR |
|
|
|
600 |
|
|
|
743,474 |
|
Avoca CLO XIV Designated Activity Co.: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 14X, Class ER, (3 mo. EURIBOR + 4.700%), 4.70%, 01/12/31(a) |
|
|
|
|
|
|
690 |
|
|
|
808,397 |
|
Series 14X, Class FR, (3 mo. EURIBOR + 6.350%), 6.35%, 01/12/31(a) |
|
|
|
|
|
|
900 |
|
|
|
1,036,925 |
|
Avoca CLO XIV Ltd., Series 14X, Class SUB, 0.00%, 07/12/28(e) |
|
|
|
|
|
|
1,290 |
|
|
|
1,230,843 |
|
Avoca CLO XV DAC, Series 15X, Class E, (3 mo. EURIBOR + 5.000%), 5.00%, 01/15/29(a) |
|
|
|
|
|
|
470 |
|
|
|
561,623 |
|
Avoca CLO XV Ltd.: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 15X, Class F, (3 mo. EURIBOR + 6.750%), 6.75%, 01/15/29(a) |
|
|
|
|
|
|
585 |
|
|
|
687,209 |
|
Series 15X, Class M1, 0.00%, 01/15/29(e) |
|
|
|
|
|
|
1,100 |
|
|
|
943,797 |
|
Avoca CLO XVII DAC, Series 17X, Class E, (3 mo. EURIBOR + 5.950%), 5.95%, 01/15/30(a) |
|
|
|
|
|
|
546 |
|
|
|
657,243 |
|
B2R Mortgage Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2015-1, Class A1, 2.52%, 05/15/48(b) |
|
|
USD |
|
|
|
777 |
|
|
|
773,390 |
|
Series 2015-2, Class A, 3.34%, 11/15/48(b) |
|
|
|
|
|
|
1,133 |
|
|
|
1,144,491 |
|
Babson CLO Ltd., Series 2015-2A, Class AR, (3 mo. LIBOR US
+ 1.190%), 2.55%, 10/20/30(a)(b) |
|
|
|
|
|
|
2,590 |
|
|
|
2,611,501 |
|
Ballyrock CLO Ltd., Series 2016-1A, Class A, (3 mo. LIBOR US
+ 1.590%), 2.95%, 10/15/28(a)(b) |
|
|
|
|
|
|
1,935 |
|
|
|
1,965,527 |
|
BankAmerica Manufactured Housing Contract |
|
|
|
|
|
|
|
|
|
|
|
|
Trust, Series 1998-2, Class B1, 7.93%, 12/10/25(e) |
|
|
|
|
|
|
2,790 |
|
|
|
2,028,768 |
|
Battalion CLO IV Ltd., Series 2013-4A, Class A1R, (3 mo. LIBOR
US + 1.140%), 2.50%, 10/22/25(a)(b) |
|
|
|
|
|
|
4,715 |
|
|
|
4,718,703 |
|
|
|
|
2 |
|
2017 BLACKROCK QUARTERLY REPORT TO SHAREHOLDERS |
|
|
|
Consolidated Schedule of Investments (unaudited) (continued) |
|
Master Total Return Portfolio of Master Bond LLC |
December 31, 2017 |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
|
|
|
Par (000) |
|
|
Value |
|
Bayview Financial Revolving Asset Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2004-B, Class A1, (1 mo. LIBOR US +
0.500%), 2.56%, 05/28/39(a)(b) |
|
|
USD |
|
|
|
7,633 |
|
|
$ |
6,994,512 |
|
Series 2004-B, Class A2, (1 mo. LIBOR US +
0.650%), 2.86%, 05/28/39(a)(b)(d) |
|
|
|
|
|
|
733 |
|
|
|
484,573 |
|
Series 2005-A, Class A1, (1 mo. LIBOR US +
1.000%), 2.56%, 02/28/40(a)(b) |
|
|
|
|
|
|
3,630 |
|
|
|
3,248,587 |
|
Series 2005-E, Class A1, (1 mo. LIBOR US +
1.000%), 2.56%, 12/28/40(a)(b) |
|
|
|
|
|
|
1,545 |
|
|
|
1,397,933 |
|
BCMSC Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2000-A, Class A2, 7.58%, 06/15/30(e) |
|
|
|
|
|
|
1,674 |
|
|
|
689,607 |
|
Series 2000-A, Class A3, 7.83%, 06/15/30(e) |
|
|
|
|
|
|
1,554 |
|
|
|
661,589 |
|
Series 2000-A, Class A4, 8.29%, 06/15/30(e) |
|
|
|
|
|
|
2,661 |
|
|
|
1,199,533 |
|
Bear Stearns Asset-Backed Securities I Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2004-HE7, Class M2, (1 mo. LIBOR US +
1.730%), 3.28%, 08/25/34(a) |
|
|
|
|
|
|
292 |
|
|
|
289,323 |
|
Series 2006-HE1, Class 1M4, (1 mo. LIBOR US +
0.680%), 2.23%, 12/25/35(a) |
|
|
|
|
|
|
1,978 |
|
|
|
2,232,563 |
|
Series 2006-HE7, Class 1A2, (1 mo. LIBOR US +
0.170%), 1.72%, 09/25/36(a) |
|
|
|
|
|
|
4,086 |
|
|
|
4,494,998 |
|
Series 2007-FS1, Class 1A3, (1 mo. LIBOR US +
0.170%), 1.72%, 05/25/35(a) |
|
|
|
|
|
|
1,220 |
|
|
|
1,241,696 |
|
Series 2007-HE1, Class 21A2, (1 mo. LIBOR US +
0.160%), 1.71%, 01/25/37(a) |
|
|
|
|
|
|
894 |
|
|
|
873,788 |
|
Series 2007-HE2, Class 1A4, (1 mo. LIBOR US +
0.320%), 1.87%, 03/25/37(a) |
|
|
|
|
|
|
1,072 |
|
|
|
784,259 |
|
Series 2007-HE2, Class 22A, (1 mo. LIBOR US +
0.140%), 1.69%, 03/25/37(a) |
|
|
|
|
|
|
1,177 |
|
|
|
1,120,577 |
|
Series 2007-HE2, Class 23A, (1 mo. LIBOR US +
0.140%), 1.69%, 03/25/37(a) |
|
|
|
|
|
|
2,327 |
|
|
|
2,254,212 |
|
Series 2007-HE3, Class 1A3, (1 mo. LIBOR US +
0.250%), 1.80%, 04/25/37(a) |
|
|
|
|
|
|
1,162 |
|
|
|
1,180,649 |
|
Series 2007-HE3, Class 1A4, (1 mo. LIBOR US +
0.350%), 1.90%, 04/25/37(a) |
|
|
|
|
|
|
6,452 |
|
|
|
5,077,716 |
|
Bear Stearns Asset-Backed Securities Trust, Series 2005-4,
Class M2, (1 mo. LIBOR US + 1.200%), 2.53%, 01/25/36(a) |
|
|
|
|
|
|
491 |
|
|
|
482,048 |
|
Bear Stearns Second Lien Trust, Series 2007-SV1A, Class M1, (1 mo. LIBOR US + 1.200%), 2.75%,
12/25/36(a)(b) |
|
|
|
|
|
|
1,200 |
|
|
|
1,161,726 |
|
Benefit Street Partners CLO IV Ltd., Series 2014-IVA,
Class A1R, (3 mo. LIBOR US + 1.490%), 2.85%, 01/20/29(a)(b) |
|
|
|
|
|
|
4,020 |
|
|
|
4,053,137 |
|
Benefit Street Partners CLO VI Ltd.: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2015-VIA, Class A1R, (3 mo. LIBOR US +
1.240%), 2.59%, 10/18/29(a)(b) |
|
|
|
|
|
|
11,030 |
|
|
|
11,044,868 |
|
Series 2015-VIA, Class A2R, (3 mo. LIBOR US +
1.720%), 3.07%, 10/18/29(a)(b) |
|
|
|
|
|
|
3,320 |
|
|
|
3,354,202 |
|
Benefit Street Partners CLO VIII Ltd., Series 2015-8A,
Class A2, (3 mo. LIBOR US + 2.250%), 3.61%, 01/20/28(a)(b) |
|
|
|
|
|
|
3,990 |
|
|
|
3,997,588 |
|
Betony CLO Ltd., Series 2015-1A, Class CR, (3 mo. LIBOR US
+ 2.850%), 4.21%, 04/15/27(a)(b) |
|
|
|
|
|
|
1,230 |
|
|
|
1,234,032 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
|
|
|
Par (000) |
|
|
Value |
|
BlueMountain CLO Ltd.: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2013-2A, Class A1R, (3 mo. LIBOR US + 1.180%),
2.54%, 10/22/30(a)(b) |
|
|
USD |
|
|
|
850 |
|
|
$ |
854,821 |
|
Series 2013-3A, Class AR, (3 mo. LIBOR US + 0.890%), 2.27%,
10/29/25(a)(b) |
|
|
|
|
|
|
2,480 |
|
|
|
2,480,511 |
|
Series 2013-3A, Class B1R, (3 mo. LIBOR US + 1.400%),
2.78%, 10/29/25(a)(b) |
|
|
|
|
|
|
750 |
|
|
|
750,253 |
|
Series 2013-3A, Class CR, (3 mo. LIBOR US + 1.900%), 3.28%,
10/29/25(a)(b) |
|
|
|
|
|
|
3,030 |
|
|
|
3,032,031 |
|
Series 2013-4A, Class AR, (3 mo. LIBOR US + 1.010%), 2.37%,
04/15/25(a)(b) |
|
|
|
|
|
|
7,590 |
|
|
|
7,611,036 |
|
Series 2014-1A, Class A1R, (3 mo. LIBOR US + 1.260%),
2.64%, 04/30/26(a)(b) |
|
|
|
|
|
|
2,400 |
|
|
|
2,416,353 |
|
Series 2014-2A, Class AR, (3 mo. LIBOR US + 0.930%), 2.29%,
07/20/26(a)(b) |
|
|
|
|
|
|
670 |
|
|
|
671,129 |
|
Series 2014-4A, Class A1R, (3 mo. LIBOR US + 1.350%),
2.82%, 11/30/26(a)(b) |
|
|
|
|
|
|
3,020 |
|
|
|
3,038,937 |
|
Series 2015-3A, Class A1, (3 mo. LIBOR US + 1.480%), 2.84%,
10/20/27(a)(b) |
|
|
|
|
|
|
2,000 |
|
|
|
2,013,486 |
|
BlueMountain EUR CLO DAC, Series 2016-1X, Class E, (3 mo.
EURIBOR + 6.600%), 6.60%, 04/25/30(a) |
|
|
EUR |
|
|
|
1,200 |
|
|
|
1,442,022 |
|
Bowman Park CLO Ltd., Series 2014-1A, Class AR, (3 mo. LIBOR US
+ 1.180%), 2.64%, 11/23/25(a)(b) |
|
|
USD |
|
|
|
5,500 |
|
|
|
5,527,834 |
|
Brookside Mill CLO Ltd., Series 2013-1A, Class A1, (3 mo. LIBOR
US + 1.150%), 2.50%, 04/17/25(a)(b) |
|
|
|
|
|
|
3,717 |
|
|
|
3,719,773 |
|
BSPRT Issuer Ltd., Series 2017-FL1, Class A, (1 mo. LIBOR US
+ 1.350%), 2.83%, 06/15/27(a)(b)(d) |
|
|
|
|
|
|
3,790 |
|
|
|
3,798,338 |
|
Cadogan Square CLO VII BV, Series 7X, Class E, (3 mo. EURIBOR + 6.000%), 6.00%, 05/25/29(a) |
|
|
EUR |
|
|
|
1,000 |
|
|
|
1,214,479 |
|
Cadogan Square CLO X DAC, Series 10X, Class M, 0.00%, 10/15/30(d)(e) |
|
|
|
|
|
|
300 |
|
|
|
332,957 |
|
Cairn CLO VI BV, Series 2016-6X, Class E, (3 mo. EURIBOR
+ 6.250%), 6.25%, 07/25/29(a) |
|
|
|
|
|
|
600 |
|
|
|
727,934 |
|
Canyon Capital CLO Ltd., Series 2006-1A, Class A1, (3 mo. LIBOR
US + 0.250%), 1.84%, 12/15/20(a)(b) |
|
|
USD |
|
|
|
624 |
|
|
|
624,316 |
|
Carlyle Global Market Strategies CLO Ltd.: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2012-4A, Class AR, (3 mo. LIBOR US + 1.450%), 2.81%,
01/20/29(a)(b) |
|
|
|
|
|
|
6,630 |
|
|
|
6,725,945 |
|
Series 2013-2A, Class AR, (3 mo. LIBOR US + 0.890%), 2.24%,
01/18/29(a)(b)(d) |
|
|
|
|
|
|
1,490 |
|
|
|
1,490,000 |
|
Series 2013-4A, Class A1, (3 mo. LIBOR US + 1.470%), 2.83%,
10/15/25(a)(b) |
|
|
|
|
|
|
1,880 |
|
|
|
1,881,267 |
|
Series 2014-1A, Class CR, (3 mo. LIBOR US + 2.750%), 4.10%,
04/17/25(a)(b) |
|
|
|
|
|
|
1,740 |
|
|
|
1,743,581 |
|
Series 2014-3A, Class BR, (3 mo. LIBOR US + 2.150%), 3.52%,
07/27/26(a)(b) |
|
|
|
|
|
|
750 |
|
|
|
750,822 |
|
Series 2015-1A, Class CR, (3 mo. LIBOR US + 2.000%), 3.36%,
04/20/27(a)(b) |
|
|
|
|
|
|
1,160 |
|
|
|
1,163,358 |
|
Carlyle Global Market Strategies Euro CLO DAC, Series 2015-3X,
Class D, (3 mo. EURIBOR + 5.550%), 5.55%, 01/15/29(a) |
|
|
EUR |
|
|
|
1,200 |
|
|
|
1,441,047 |
|
Carlyle U.S. CLO Ltd., Series 2017-4A, Class A1, (3 mo. LIBOR US
+ 1.180%), 2.67%, 01/15/30(a)(b) |
|
|
USD |
|
|
|
4,620 |
|
|
|
4,622,982 |
|
Carrington Mortgage Loan Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2005-FRE1, Class M1, (1 mo. LIBOR US + 0.470%), 2.02%, 12/25/35(a) |
|
|
|
|
|
|
2,317 |
|
|
|
2,302,004 |
|
|
|
|
|
|
CONSOLIDATED SCHEDULE OF INVESTMENTS |
|
|
3 |
|
|
|
|
Consolidated Schedule of Investments (unaudited) (continued) |
|
Master Total Return Portfolio of Master Bond LLC |
December 31, 2017 |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
|
|
|
Par (000) |
|
|
Value |
|
Carrington Mortgage Loan Trust: (continued) |
|
Series 2006-FRE2, Class A2, (1 mo. LIBOR US + 0.120%), 1.67%, 10/25/36(a) |
|
|
USD |
|
|
|
1,111 |
|
|
$ |
738,472 |
|
Series 2006-FRE2, Class A3, (1 mo. LIBOR US + 0.160%), 1.71%, 10/25/36(a) |
|
|
|
|
|
|
3,698 |
|
|
|
2,468,932 |
|
Series 2006-FRE2, Class A5, (1 mo. LIBOR US + 0.080%), 1.63%, 10/25/36(a) |
|
|
|
|
|
|
938 |
|
|
|
620,692 |
|
Series 2006-NC1, Class M2, (1 mo. LIBOR US + 0.420%),
1.97%, 01/25/36(a) |
|
|
|
|
|
|
610 |
|
|
|
444,317 |
|
Series 2006-NC2, Class A3, (1 mo. LIBOR US + 0.150%),
1.70%, 06/25/36(a) |
|
|
|
|
|
|
3,195 |
|
|
|
3,158,727 |
|
Series 2006-NC3, Class A4, (1 mo. LIBOR US + 0.240%),
1.79%, 08/25/36(a) |
|
|
|
|
|
|
2,003 |
|
|
|
1,299,288 |
|
Series 2006-NC4, Class A3, (1 mo. LIBOR US + 0.160%),
1.71%, 10/25/36(a) |
|
|
|
|
|
|
1,180 |
|
|
|
1,051,931 |
|
Series 2006-NC5, Class A3, (1 mo. LIBOR US + 0.150%),
1.70%, 01/25/37(a) |
|
|
|
|
|
|
7,250 |
|
|
|
5,224,130 |
|
Series 2006-NC5, Class A5, (1 mo. LIBOR US + 0.060%),
1.61%, 01/25/37(a) |
|
|
|
|
|
|
359 |
|
|
|
332,249 |
|
Series 2007-HE1, Class A2, (1 mo. LIBOR US + 0.150%),
1.70%, 06/25/37(a) |
|
|
|
|
|
|
854 |
|
|
|
844,706 |
|
Series 2007-RFC1, Class A4, (1 mo. LIBOR US + 0.220%), 1.77%, 10/25/36(a) |
|
|
|
|
|
|
1,440 |
|
|
|
1,012,144 |
|
Catamaran CLO Ltd., Series 2012-1A, Class BR, (3 mo. LIBOR US
+ 1.950%), 3.58%, 12/20/23(a)(b) |
|
|
|
|
|
|
2,830 |
|
|
|
2,834,029 |
|
CBAM Ltd.: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2017-1A, Class A1, (3 mo. LIBOR US + 1.250%),
2.58%, 07/20/30(a)(b) |
|
|
|
|
|
|
6,050 |
|
|
|
6,102,593 |
|
Series 2017-2A, Class B1, (3 mo. LIBOR US + 1.750%),
3.14%, 10/17/29(a)(b) |
|
|
|
|
|
|
2,955 |
|
|
|
2,978,056 |
|
Series 2017-3A, Class A, (3 mo. LIBOR US + 1.230%),
2.60%, 10/17/29(a)(b) |
|
|
|
|
|
|
3,780 |
|
|
|
3,801,165 |
|
Series 2017-3A, Class B1, (3 mo. LIBOR US + 1.700%),
3.07%, 10/17/29(a)(b) |
|
|
|
|
|
|
1,000 |
|
|
|
1,006,936 |
|
C-BASS Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2006-CB7, Class A4, (1 mo. LIBOR US + 0.160%),
1.71%, 10/25/36(a) |
|
|
|
|
|
|
731 |
|
|
|
522,631 |
|
Series 2006-CB9, Class A2, (1 mo. LIBOR US + 0.110%),
1.66%, 11/25/36(a) |
|
|
|
|
|
|
1,238 |
|
|
|
809,604 |
|
Series 2006-CB9, Class A4, (1 mo. LIBOR US + 0.230%),
1.78%, 11/25/36(a) |
|
|
|
|
|
|
208 |
|
|
|
138,795 |
|
Series 2007-CB1, Class AF2, 3.71%, 01/25/37(c) |
|
|
|
|
|
|
6,182 |
|
|
|
3,054,166 |
|
Series 2007-CB1, Class AF4, 3.71%, 01/25/37(c) |
|
|
|
|
|
|
465 |
|
|
|
229,681 |
|
Series 2007-CB5, Class A2, (1 mo. LIBOR US +
0.170%), 1.50%, 04/25/37(a) |
|
|
|
|
|
|
1,110 |
|
|
|
836,637 |
|
Cedar Funding IV CLO Ltd., Series 2014-4A, Class AR, (3 mo.
LIBOR US + 1.230%), 2.59%, 07/23/30(a)(b) |
|
|
|
|
|
|
1,200 |
|
|
|
1,206,611 |
|
Cedar Funding V CLO Ltd., Series 2016-5A, Class A1, (3 mo. LIBOR
US + 1.610%), 2.96%, 07/17/28(a)(b) |
|
|
|
|
|
|
1,880 |
|
|
|
1,891,810 |
|
Cedar Funding VIII CLO Ltd.: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2017-8A, Class A1, (3 mo. LIBOR US + 1.250%),
2.62%, 10/17/30(a)(b) |
|
|
|
|
|
|
14,920 |
|
|
|
14,995,149 |
|
Series 2017-8A, Class B, (3 mo. LIBOR US + 1.700%),
3.07%, 10/17/30(a)(b) |
|
|
|
|
|
|
2,628 |
|
|
|
2,646,680 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
|
|
|
Par (000) |
|
|
Value |
|
Cedar Funding VIII CLO Ltd.: (continued) |
|
Series 2017-8A, Class C, (3 mo. LIBOR US + 2.250%), 3.62%,
10/17/30(a)(b) |
|
|
USD |
|
|
|
750 |
|
|
$ |
751,980 |
|
CIFC Funding Ltd.: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2013-1A, Class A2R, (3 mo. LIBOR US +
1.750%), 3.11%, 07/16/30(a)(b) |
|
|
|
|
|
|
500 |
|
|
|
504,353 |
|
Series 2013-2A, Class A1LR, (3 mo. LIBOR US +
1.210%), 2.56%, 10/18/30(a)(b) |
|
|
|
|
|
|
6,290 |
|
|
|
6,342,459 |
|
Series 2013-4A, Class B1R, (3 mo. LIBOR US +
1.500%), 2.96%, 11/27/24(a)(b) |
|
|
|
|
|
|
4,270 |
|
|
|
4,278,892 |
|
Series 2014-1A, Class AR, (3 mo. LIBOR US +
1.050%), 2.40%, 04/18/25(a)(b) |
|
|
|
|
|
|
3,590 |
|
|
|
3,598,650 |
|
Series 2014-2A, Class A1LR, (3 mo. LIBOR US +
1.200%), 2.65%, 05/24/26(a)(b) |
|
|
|
|
|
|
8,484 |
|
|
|
8,527,201 |
|
Series 2014-3A, Class B1R, (3 mo. LIBOR US +
1.500%), 2.86%, 07/22/26(a)(b) |
|
|
|
|
|
|
710 |
|
|
|
711,919 |
|
Series 2014-3A, Class C1R, (3 mo. LIBOR US +
1.900%), 3.26%, 07/22/26(a)(b) |
|
|
|
|
|
|
1,120 |
|
|
|
1,124,611 |
|
Series 2014-4A, Class A1R, (3 mo. LIBOR US +
1.380%), 2.73%, 10/17/26(a)(b) |
|
|
|
|
|
|
6,270 |
|
|
|
6,282,713 |
|
Series 2014-5A, Class A1R, (3 mo. LIBOR US +
1.400%), 2.75%, 01/17/27(a)(b) |
|
|
|
|
|
|
26,215 |
|
|
|
26,307,660 |
|
Series 2014-5A, Class CR, (3 mo. LIBOR US +
2.700%), 4.05%, 01/17/27(a)(b) |
|
|
|
|
|
|
710 |
|
|
|
714,051 |
|
Series 2015-1A, Class ARR, (3 mo. LIBOR US +
1.110%), 2.47%, 01/22/31(a)(b)(d) |
|
|
|
|
|
|
1,520 |
|
|
|
1,520,000 |
|
Series 2015-2A, Class AR, (3 mo. LIBOR US +
0.780%), 2.42%, 04/15/27(a)(b)(d) |
|
|
|
|
|
|
2,710 |
|
|
|
2,707,279 |
|
Series 2015-2A, Class CR, (3 mo. LIBOR US +
1.700%), 3.34%, 04/15/27(a)(b)(d) |
|
|
|
|
|
|
4,620 |
|
|
|
4,620,000 |
|
Series 2015-3A, Class A, (3 mo. LIBOR US +
1.420%), 2.78%, 10/19/27(a)(b) |
|
|
|
|
|
|
3,160 |
|
|
|
3,179,231 |
|
Citicorp Residential Mortgage Trust, Series 2007-2, Class M1,
5.24%, 06/25/37(c) |
|
|
|
|
|
|
2,830 |
|
|
|
2,723,246 |
|
Citigroup Mortgage Loan Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2006-NC1, Class A2D, (1 mo. LIBOR US + 0.250%),
1.80%, 08/25/36(a) |
|
|
|
|
|
|
3,550 |
|
|
|
2,887,096 |
|
Series 2007-AHL2, Class A3B, (1 mo. LIBOR US + 0.200%), 1.75%, 05/25/37(a) |
|
|
|
|
|
|
7,946 |
|
|
|
5,908,535 |
|
Series 2007-AHL2, Class A3C, (1 mo. LIBOR US + 0.270%), 1.82%, 05/25/37(a) |
|
|
|
|
|
|
3,610 |
|
|
|
2,704,667 |
|
Citigroup Mortgage Loan Trust, Inc., |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2006-WFH4, Class M3, (1 mo. LIBOR US + 0.320%), 1.87%, 11/25/36(a) |
|
|
|
|
|
|
3,007 |
|
|
|
2,552,385 |
|
Colony American Homes, Series 2015-1A, Class A, (1 mo. LIBOR US
+ 1.200%), 2.63%, 07/17/32(a)(b) |
|
|
|
|
|
|
8,033 |
|
|
|
8,060,176 |
|
Conseco Finance Corp.: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 1998-4, Class M1, 6.83%, 04/01/30(e) |
|
|
|
|
|
|
356 |
|
|
|
314,888 |
|
Series 1998-8, Class M1, 6.98%, 09/01/30(e) |
|
|
|
|
|
|
2,784 |
|
|
|
2,321,397 |
|
Series 2001-D, Class B1, (1 mo. LIBOR US + 2.500%), 3.98%,
11/15/32(a) |
|
|
|
|
|
|
2,038 |
|
|
|
2,030,324 |
|
Conseco Finance Securitizations Corp.: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2000-1, Class A5, 8.06%, 09/01/29(e) |
|
|
|
|
|
|
1,639 |
|
|
|
898,781 |
|
Series 2000-4, Class A5, 7.97%, 05/01/32 |
|
|
|
|
|
|
5,541 |
|
|
|
2,853,737 |
|
|
|
|
4 |
|
2017 BLACKROCK QUARTERLY REPORT TO SHAREHOLDERS |
|
|
|
Consolidated Schedule of Investments (unaudited) (continued) |
|
Master Total Return Portfolio of Master Bond LLC |
December 31, 2017 |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
|
|
|
Par (000) |
|
|
Value |
|
Conseco Finance Securitizations Corp.: (continued) |
|
Series 2000-4, Class A6, 8.31%, 05/01/32(e) |
|
|
USD |
|
|
|
1,391 |
|
|
$ |
746,297 |
|
Series 2000-5, Class A6, 7.96%, 05/01/31 |
|
|
|
|
|
|
2,398 |
|
|
|
1,585,243 |
|
Series 2000-5, Class A7, 8.20%, 05/01/31 |
|
|
|
|
|
|
4,375 |
|
|
|
2,967,707 |
|
Conseco Financial Corp.: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 1997-3, Class M1, 7.53%, 03/15/28(e) |
|
|
|
|
|
|
2,201 |
|
|
|
2,183,217 |
|
Series 1997-6, Class M1, 7.21%, 01/15/29(e) |
|
|
|
|
|
|
416 |
|
|
|
407,183 |
|
Series 1998-8, Class A1, 6.28%, 09/01/30 |
|
|
|
|
|
|
1,252 |
|
|
|
1,309,706 |
|
Series 1999-5, Class A5, 7.86%, 03/01/30(e) |
|
|
|
|
|
|
1,645 |
|
|
|
1,324,298 |
|
Series 1999-5, Class A6, 7.50%, 03/01/30(e) |
|
|
|
|
|
|
1,203 |
|
|
|
938,707 |
|
Countrywide Asset-Backed Certificates: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2003-BC3, Class A2, (1 mo. LIBOR US + 0.620%),
2.17%, 09/25/33(a) |
|
|
|
|
|
|
662 |
|
|
|
647,673 |
|
Series 2004-5, Class A, (1 mo. LIBOR US + 0.900%), 2.45%,
10/25/34(a) |
|
|
|
|
|
|
722 |
|
|
|
730,732 |
|
Series 2005-16, Class 1AF, 5.07%, 05/25/36(e) |
|
|
|
|
|
|
4,918 |
|
|
|
6,094,201 |
|
Series 2006-11, Class 3AV2, (1 mo. LIBOR US + 0.160%),
1.49%, 09/25/46(a) |
|
|
|
|
|
|
338 |
|
|
|
332,867 |
|
Series 2006-17, Class 2A2, (1 mo. LIBOR US + 0.150%),
1.70%, 03/25/47(a) |
|
|
|
|
|
|
348 |
|
|
|
335,466 |
|
Series 2006-8, Class 2A3, (1 mo. LIBOR US + 0.160%),
1.71%, 01/25/46(a) |
|
|
|
|
|
|
915 |
|
|
|
906,469 |
|
Series 2006-S10, Class A3, (1 mo. LIBOR US + 0.320%),
1.87%, 10/25/36(a) |
|
|
|
|
|
|
8,702 |
|
|
|
8,208,516 |
|
Series 2006-S3, Class A4, 7.02%, 01/25/29(c) |
|
|
|
|
|
|
786 |
|
|
|
874,697 |
|
Series 2006-SPS1, Class A, (1 mo. LIBOR US + 0.220%), 1.77%, 12/25/25(a) |
|
|
|
|
|
|
250 |
|
|
|
274,379 |
|
Series 2007-S3, Class A3, (1 mo. LIBOR US + 0.380%),
1.93%, 05/25/37(a) |
|
|
|
|
|
|
3,210 |
|
|
|
2,898,487 |
|
Credit Suisse First Boston Mortgage Securities Corp., Series 2001-MH29, Class B1, 8.10%, 09/25/31(e) |
|
|
|
|
|
|
1,750 |
|
|
|
1,875,499 |
|
Credit-Based Asset Servicing & Securitization LLC: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2006-CB2, Class AF4, 3.43%, 12/25/36(c) |
|
|
|
|
|
|
528 |
|
|
|
442,164 |
|
Series 2006-MH1, Class B1, 6.25%, 10/25/36(b)(c) |
|
|
|
|
|
|
852 |
|
|
|
876,338 |
|
Series 2006-SL1, Class A2, 5.56%, 09/25/36(b)(c) |
|
|
|
|
|
|
3,349 |
|
|
|
689,375 |
|
Series 2007-CB6, Class A4, (1 mo. LIBOR US +
0.340%), 1.58%, 07/25/37(a)(b) |
|
|
|
|
|
|
799 |
|
|
|
540,087 |
|
Series 2007-RP1, Class A, (1 mo. LIBOR US +
0.310%), 1.86%, 05/25/46(a)(b) |
|
|
|
|
|
|
756 |
|
|
|
662,772 |
|
CVC Cordatus Loan Fund VI DAC, Series 6X, Class SUB, 0.00%, 04/15/29(e) |
|
|
EUR |
|
|
|
2,385 |
|
|
|
2,572,652 |
|
CVC Cordatus Loan Fund VII DAC, Series 7X, Class E, (3 mo. EURIBOR + 7.000%), 7.00%, 08/15/29(a) |
|
|
|
|
|
|
560 |
|
|
|
694,484 |
|
CVC Cordatus Loan Fund VIII DAC, Series 8X, |
|
|
|
|
|
|
|
|
|
|
|
|
Class E, (3 mo. EURIBOR + 5.700%),
5.70%, 04/23/30(a) |
|
|
|
|
|
|
300 |
|
|
|
367,598 |
|
CWABS Asset-Backed Certificates Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2005-16, Class 2AF3, 4.59%, 05/25/36(e) |
|
|
USD |
|
|
|
1,240 |
|
|
|
1,554,144 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
|
|
|
Par (000) |
|
|
Value |
|
CWABS Asset-Backed Certificates Trust: (continued) |
|
Series 2005-17, Class 1AF4, 4.61%, 05/25/36(c) |
|
|
USD |
|
|
|
3,021 |
|
|
$ |
3,587,813 |
|
CWABS Revolving Home Equity Loan Trust, Series 2004-U, Class 2A,
(1 mo. LIBOR US + 0.270%), 1.75%, 03/15/34(a) |
|
|
|
|
|
|
1,177 |
|
|
|
1,057,251 |
|
CWHEQ Home Equity Loan Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2006-S5, Class A4, 5.84%, 06/25/35 |
|
|
|
|
|
|
513 |
|
|
|
598,774 |
|
Series 2006-S5, Class A5, 6.16%, 06/25/35 |
|
|
|
|
|
|
634 |
|
|
|
702,723 |
|
Series 2007-S1, Class A3, 5.81%, 11/25/36(e) |
|
|
|
|
|
|
988 |
|
|
|
986,043 |
|
CWHEQ Revolving Home Equity Loan Resuritization Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2006-RES, Class 4Q1B, (1 mo. LIBOR US +
0.300%), 1.78%, 12/15/33(a)(b)(d) |
|
|
|
|
|
|
1,240 |
|
|
|
1,141,077 |
|
Series 2006-RES, Class 5B1A, (1 mo. LIBOR US +
0.190%), 1.67%, 05/15/35(a)(b) |
|
|
|
|
|
|
775 |
|
|
|
742,772 |
|
Series 2006-RES, Class 5B1B, (1 mo. LIBOR US +
0.190%), 1.67%, 05/15/35(a)(b)(d) |
|
|
|
|
|
|
420 |
|
|
|
373,756 |
|
Series 2006-RES, Class 5F1A, (1 mo. LIBOR US +
0.240%), 1.72%, 12/15/35(a)(b) |
|
|
|
|
|
|
2,614 |
|
|
|
2,378,668 |
|
CWHEQ Revolving Home Equity Loan Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2005-B, Class 2A, (1 mo. LIBOR US + 0.180%),
1.66%, 05/15/35(a) |
|
|
|
|
|
|
1,048 |
|
|
|
972,761 |
|
Series 2006-H, Class 1A, (1 mo. LIBOR US + 0.150%),
1.63%, 11/15/36(a) |
|
|
|
|
|
|
2,811 |
|
|
|
2,241,736 |
|
DCP Rights LLC, Series 2014-1A, Class A, 5.46%, 10/25/44(b) |
|
|
|
|
|
|
7,878 |
|
|
|
8,109,205 |
|
Dryden 34 Senior Loan Fund, Series 2014-34A, Class AR, (3 mo.
LIBOR US + 1.160%), 2.52%, 10/15/26(a)(b) |
|
|
|
|
|
|
1,250 |
|
|
|
1,257,413 |
|
Dryden 41 Senior Loan Fund, Series 2015-41A, Class A, (3 mo.
LIBOR US + 1.500%), 2.86%, 01/15/28(a)(b) |
|
|
|
|
|
|
2,250 |
|
|
|
2,262,009 |
|
Dryden 46 Euro CLO BV, Series 2016-46X, Class E, (3 mo. EURIBOR
+ 5.750%), 5.75%, 01/15/30(a) |
|
|
EUR |
|
|
|
364 |
|
|
|
443,756 |
|
Dryden 53 CLO Ltd., Series 2017-53A, Class A, (3 mo. LIBOR US
+ 1.120%), 0.00%, 01/15/31(a)(b) |
|
|
USD |
|
|
|
18,720 |
|
|
|
18,720,000 |
|
Dryden 56 Euro CLO BV, Series 2017-56X, Class E, (3 mo. EURIBOR
+ 4.720%), 4.72%, 01/15/32(a) |
|
|
EUR |
|
|
|
585 |
|
|
|
676,021 |
|
Dryden XXV Senior Loan Fund: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2012-25A, Class ARR, (3 mo. LIBOR US +
0.900%), 2.26%, 10/15/27(a)(b) |
|
|
USD |
|
|
|
9,270 |
|
|
|
9,288,788 |
|
Series 2012-25A, Class CRR, (3 mo. LIBOR US +
1.850%), 3.21%, 10/15/27(a)(b) |
|
|
|
|
|
|
1,340 |
|
|
|
1,350,172 |
|
Dryden XXVIII Senior Loan Fund, Series 2013-28A, Class A1LR,
(3 mo. LIBOR US + 1.200%), 2.62%, 08/15/30(a)(b) |
|
|
|
|
|
|
2,090 |
|
|
|
2,105,957 |
|
|
|
|
|
|
CONSOLIDATED SCHEDULE OF INVESTMENTS |
|
|
5 |
|
|
|
|
Consolidated Schedule of Investments (unaudited) (continued) |
|
Master Total Return Portfolio of Master Bond LLC |
December 31, 2017 |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
|
|
|
Par (000) |
|
|
Value |
|
Euro-Galaxy V CLO BV, Series 2016-5X, Class E, (3 mo. EURIBOR
+ 6.300%), 6.30%, 11/10/30(a) |
|
|
EUR |
|
|
|
400 |
|
|
$ |
491,882 |
|
Fannie Mae REMIC Trust, Series 2003-W5, Class A, (1 mo. LIBOR US
+ 0.110%), 1.66%, 04/25/33(a) |
|
|
USD |
|
|
|
3 |
|
|
|
2,671 |
|
First Franklin Mortgage Loan Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2004-FFH3, Class M3, (1 mo. LIBOR US + 1.050%), 2.60%, 10/25/34(a) |
|
|
|
|
|
|
1,000 |
|
|
|
885,821 |
|
Series 2006-FF16, Class 2A3, (1 mo. LIBOR US + 0.140%), 1.69%, 12/25/36(a) |
|
|
|
|
|
|
14,865 |
|
|
|
9,253,865 |
|
Series 2006-FF17, Class A5, (1 mo. LIBOR US + 0.150%), 1.70%, 12/25/36(a) |
|
|
|
|
|
|
21,948 |
|
|
|
18,183,318 |
|
Series 2006-FF5, Class 2A3, (1 mo. LIBOR US +
0.160%), 1.71%, 04/25/36(a) |
|
|
|
|
|
|
1,211 |
|
|
|
1,143,944 |
|
Series 2006-FFH1, Class M2, (1 mo. LIBOR US + 0.400%), 1.95%, 01/25/36(a) |
|
|
|
|
|
|
3,556 |
|
|
|
2,199,463 |
|
Flatiron CLO Ltd., Series 2015-1A, Class AR, (3 mo. LIBOR US
+ 0.890%), 2.25%, 04/15/27(a)(b) |
|
|
|
|
|
|
2,750 |
|
|
|
2,753,940 |
|
Fremont Home Loan Trust, Series 2006-3, Class 1A1, (1 mo. LIBOR
US + 0.140%), 1.69%, 02/25/37(a) |
|
|
|
|
|
|
8,197 |
|
|
|
6,594,176 |
|
Galaxy XV CLO Ltd., Series 2013-15A, Class AR, (3 mo. LIBOR US
+ 1.200%), 2.56%, 10/15/30(a)(b) |
|
|
|
|
|
|
1,350 |
|
|
|
1,360,749 |
|
Galaxy XVI CLO Ltd., Series 2013-16A, Class CR, (3 mo. LIBOR US
+ 2.250%), 3.67%, 11/16/25(a)(b) |
|
|
|
|
|
|
1,000 |
|
|
|
1,003,533 |
|
GCAT LLC, Series 2017-4, Class A1, 3.23%, 05/25/22(b)(c) |
|
|
|
|
|
|
2,472 |
|
|
|
2,472,296 |
|
GE-WMC Asset-Backed Pass-Through Certificates: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2005-2, Class A2C, (1 mo. LIBOR US +
0.250%), 1.80%, 12/25/35(a) |
|
|
|
|
|
|
623 |
|
|
|
625,840 |
|
Series 2005-2, Class M1, (1 mo. LIBOR US +
0.440%), 1.99%, 12/25/35(a) |
|
|
|
|
|
|
5,290 |
|
|
|
3,151,008 |
|
GE-WMC Mortgage Securities Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2006-1, Class A2A, (1 mo. LIBOR US +
0.040%), 1.59%, 08/25/36(a) |
|
|
|
|
|
|
1,159 |
|
|
|
720,757 |
|
Series 2006-1, Class A2B, (1 mo. LIBOR US +
0.150%), 1.70%, 08/25/36(a) |
|
|
|
|
|
|
21,006 |
|
|
|
13,394,134 |
|
Series 2006-1, Class A2C, (1 mo. LIBOR US +
0.240%), 1.79%, 08/25/36(a) |
|
|
|
|
|
|
1,532 |
|
|
|
996,857 |
|
GMACM Home Equity Loan Trust, Series 2006-HE4, Class A2, (1 mo.
LIBOR US + 0.180%), 1.51%, 12/25/36(a) |
|
|
|
|
|
|
137 |
|
|
|
132,726 |
|
Goldentree Loan Opportunities XI Ltd., Series 2015-11A,
Class AR2, (3 mo. LIBOR US + 1.070%), 2.60%, 01/19/31(a)(b)(d) |
|
|
|
|
|
|
1,100 |
|
|
|
1,100,000 |
|
Greenpoint Manufactured Housing: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 1999-5, Class M1B, 8.29%, 12/15/29(e) |
|
|
|
|
|
|
870 |
|
|
|
935,021 |
|
Series 1999-5, Class M2, 9.23%, 12/15/29(e) |
|
|
|
|
|
|
1,266 |
|
|
|
1,083,492 |
|
Greystone Commercial Real Estate Notes Ltd., Series 2017-FL1A, Class A, (1 mo. LIBOR US +
1.550%), 3.03%, 03/15/27(a)(b)(d) |
|
|
|
|
|
|
1,010 |
|
|
|
1,009,899 |
|
Greywolf CLO IV Ltd., Series 2014-2A, Class BR, (3 mo. LIBOR US
+ 2.350%), 3.70%, 01/17/27(a)(b) |
|
|
|
|
|
|
930 |
|
|
|
933,545 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
|
|
|
Par (000) |
|
|
Value |
|
GSAA Home Equity Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2006-5, Class 2A1, (1 mo. LIBOR US +
0.070%), 1.62%, 03/25/36(a) |
|
|
USD |
|
|
|
18 |
|
|
$ |
10,569 |
|
Series 2007-4, Class A3B, (1 mo. LIBOR US +
0.350%), 1.90%, 03/25/37(a) |
|
|
|
|
|
|
3,550 |
|
|
|
492,353 |
|
GSAA Trust, Series 2007-2, Class AF3, 5.92%, 03/25/37(e) |
|
|
|
|
|
|
558 |
|
|
|
228,436 |
|
GSAMP Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2006-FM2, Class A2B, (1 mo. LIBOR US +
0.120%), 1.67%, 09/25/36(a) |
|
|
|
|
|
|
2,885 |
|
|
|
1,373,184 |
|
Series 2007-H1, Class A1B, (1 mo. LIBOR US +
0.200%), 1.75%, 01/25/47(a) |
|
|
|
|
|
|
1,134 |
|
|
|
776,788 |
|
Series 2007-HS1, Class M6, (1 mo. LIBOR US +
2.250%), 3.80%, 02/25/47(a) |
|
|
|
|
|
|
1,300 |
|
|
|
1,327,709 |
|
GT Loan Financing I Ltd., Series 2013-1A, Class A, (3 mo. LIBOR
US + 1.270%), 2.65%, 10/28/24(a)(b) |
|
|
|
|
|
|
5,105 |
|
|
|
5,113,563 |
|
Harvest CLO XVI DAC, Series 16X, Class E, (3 mo. EURIBOR + 6.400%), 6.40%, 10/15/29(a) |
|
|
EUR |
|
|
|
480 |
|
|
|
580,960 |
|
Highbridge Loan Management Ltd.: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 5A-2015, Class C1R, (3 mo. LIBOR US +
2.100%), 3.48%, 01/29/26(a)(b) |
|
|
USD |
|
|
|
1,920 |
|
|
|
1,931,615 |
|
Series 5A-2015, Class C2R, (3 mo. LIBOR US +
2.100%), 3.48%, 01/29/26(a)(b) |
|
|
|
|
|
|
750 |
|
|
|
752,612 |
|
Series 6A-2015, Class A, (3 mo. LIBOR US +
1.450%), 2.84%, 05/05/27(a)(b) |
|
|
|
|
|
|
7,500 |
|
|
|
7,511,200 |
|
Home Equity Asset Trust, Series 2007-1, Class 2A3, (1 mo.
LIBOR US + 0.150%), 1.70%, 05/25/37(a) |
|
|
|
|
|
|
2,490 |
|
|
|
2,053,208 |
|
Home Equity Mortgage Loan Asset-Backed Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2004-A, Class M2, (1 mo. LIBOR US +
2.030%), 3.58%, 07/25/34(a) |
|
|
|
|
|
|
716 |
|
|
|
722,082 |
|
Series 2007-B, Class 2A3, (1 mo. LIBOR US +
0.200%), 1.75%, 07/25/37(a) |
|
|
|
|
|
|
3,645 |
|
|
|
2,469,541 |
|
Home Equity Mortgage Trust, Series 2006-2, Class 1A1, 5.87%,
07/25/36(c) |
|
|
|
|
|
|
2,895 |
|
|
|
1,129,695 |
|
Home Loan Mortgage Loan Trust, Series 2005-1, Class A3, (1
mo. LIBOR US + 0.720%), 2.20%, 04/15/36(a) |
|
|
|
|
|
|
1,566 |
|
|
|
1,438,784 |
|
Invitation Homes Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2015-SFR3, Class A, (1 mo. LIBOR US + 1.300%), 2.76%, 08/17/32(a)(b) |
|
|
|
|
|
|
9,023 |
|
|
|
9,079,441 |
|
Series 2015-SFR3, Class E, (1 mo. LIBOR US + 3.750%), 5.21%, 08/17/32(a)(b) |
|
|
|
|
|
|
1,582 |
|
|
|
1,605,753 |
|
Irwin Home Equity Loan Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2006-2, Class 2A2, 6.24%, 02/25/36(b)(c) |
|
|
|
|
|
|
65 |
|
|
|
64,828 |
|
Series 2006-3, Class 2A3, 6.03%, 09/25/37(b)(c) |
|
|
|
|
|
|
1,266 |
|
|
|
1,229,120 |
|
JPMorgan Mortgage Acquisition Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2006-CW1, Class M1, (1 mo. LIBOR US +
0.270%), 1.82%, 05/25/36(a) |
|
|
|
|
|
|
1,170 |
|
|
|
1,105,609 |
|
Series 2006-WF1, Class A3A, 5.83%, 07/25/36(c) |
|
|
|
|
|
|
807 |
|
|
|
439,610 |
|
Series 2006-WF1, Class A5, 6.41%, 07/25/36(c) |
|
|
|
|
|
|
1,101 |
|
|
|
598,933 |
|
Series 2006-WF1, Class A6, 6.00%, 07/25/36(c) |
|
|
|
|
|
|
809 |
|
|
|
440,282 |
|
Jubilee CDO VIII BV, Series VIII-X, Class SUB, (6 mo. EURIBOR
+ 5.000%), 4.73%, 01/15/24(a)(d) |
|
|
EUR |
|
|
|
464 |
|
|
|
|
|
|
|
|
6 |
|
2017 BLACKROCK QUARTERLY REPORT TO SHAREHOLDERS |
|
|
|
Consolidated Schedule of Investments (unaudited) (continued) |
|
Master Total Return Portfolio of Master Bond LLC |
December 31, 2017 |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
|
|
|
Par (000) |
|
|
Value |
|
LCM 26 Ltd., Series 26A, Class A1, (3 mo. LIBOR US + 1.070%), 0.00%, 01/20/31(a)(b)(d) |
|
|
USD |
|
|
|
8,120 |
|
|
$ |
8,120,000 |
|
LCM XIV LP, Series 14A, Class A, (3 mo. LIBOR US + 1.150%), 2.51%, 07/15/25(a)(b) |
|
|
|
|
|
|
2,622 |
|
|
|
2,627,709 |
|
LCM XVIII LP: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 18A, Class B1, (3 mo. LIBOR US + 2.300%), 3.66%, 04/20/27(a)(b) |
|
|
|
|
|
|
2,400 |
|
|
|
2,403,269 |
|
Series 18A, Class C1, (3 mo. LIBOR US + 3.150%), 4.51%, 04/20/27(a)(b) |
|
|
|
|
|
|
500 |
|
|
|
500,261 |
|
LCM XXIV Ltd., Series 24A, Class A, (3 mo. LIBOR US + 1.310%), 2.67%, 03/20/30(a)(b) |
|
|
|
|
|
|
500 |
|
|
|
502,131 |
|
Lehman ABS Manufactured Housing Contract Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2001-B, Class M1, 6.63%, 04/15/40(e) |
|
|
|
|
|
|
4,790 |
|
|
|
4,991,810 |
|
Series 2002-A, Class C, 0.00%, 06/15/33 . |
|
|
|
|
|
|
544 |
|
|
|
443,347 |
|
Lehman ABS Mortgage Loan Trust, Series 2007-1, Class 2A1, (1 mo.
LIBOR US + 0.090%), 1.64%, 06/25/37(a)(b) |
|
|
|
|
|
|
563 |
|
|
|
393,058 |
|
Lendmark Funding Trust, Series 2017-1A,
Class A, 2.83%, 01/22/24(b) |
|
|
|
|
|
|
14,780 |
|
|
|
14,745,634 |
|
Lime Street CLO Ltd., Series 2007-1A, Class B, (3 mo. LIBOR US
+ 0.550%), 2.18%, 06/20/21(a)(b) |
|
|
|
|
|
|
202 |
|
|
|
202,026 |
|
Litigation Fee Residual Funding LLC, Series 2015-1,
Class A, 4.00%, 10/01/27(b)(d). |
|
|
|
|
|
|
5,128 |
|
|
|
5,109,049 |
|
Long Beach Mortgage Loan Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2006-1, Class 1A, (1 mo. LIBOR US + 0.220%),
1.77%, 02/25/36(a) |
|
|
|
|
|
|
3,893 |
|
|
|
3,713,835 |
|
Series 2006-10, Class 2A3, (1 mo. LIBOR US + 0.160%),
1.71%, 11/25/36(a) |
|
|
|
|
|
|
4,243 |
|
|
|
2,111,087 |
|
Series 2006-10, Class 2A4, (1 mo. LIBOR US + 0.220%),
1.77%, 11/25/36(a) |
|
|
|
|
|
|
2,521 |
|
|
|
1,265,630 |
|
Series 2006-2, Class 2A3, (1 mo. LIBOR US + 0.190%),
1.74%, 03/25/46(a) |
|
|
|
|
|
|
22,441 |
|
|
|
11,456,305 |
|
Series 2006-2, Class 2A4, (1 mo. LIBOR US + 0.290%),
1.84%, 03/25/46(a) |
|
|
|
|
|
|
10,360 |
|
|
|
5,396,776 |
|
Series 2006-3, Class 2A3, (1 mo. LIBOR US + 0.180%),
1.73%, 05/25/46(a) |
|
|
|
|
|
|
12,114 |
|
|
|
5,648,155 |
|
Series 2006-3, Class 2A4, (1 mo. LIBOR US + 0.270%),
1.82%, 05/25/46(a) |
|
|
|
|
|
|
1,162 |
|
|
|
551,171 |
|
Series 2006-4, Class 2A3, (1 mo. LIBOR US + 0.160%),
1.71%, 05/25/36(a) |
|
|
|
|
|
|
12,788 |
|
|
|
6,587,886 |
|
Series 2006-4, Class 2A4, (1 mo. LIBOR US + 0.260%),
1.81%, 05/25/36(a) |
|
|
|
|
|
|
9,581 |
|
|
|
5,025,314 |
|
Series 2006-5, Class 2A3, (1 mo. LIBOR US + 0.150%),
1.70%, 06/25/36(a) |
|
|
|
|
|
|
1,959 |
|
|
|
1,160,223 |
|
Series 2006-7, Class 2A3, (1 mo. LIBOR US + 0.160%),
1.71%, 08/25/36(a) |
|
|
|
|
|
|
6,852 |
|
|
|
3,935,340 |
|
Series 2006-8, Class 2A3, (1 mo. LIBOR US + 0.160%),
1.71%, 09/25/36(a) |
|
|
|
|
|
|
3,399 |
|
|
|
1,575,511 |
|
Series 2006-9, Class 2A2, (1 mo. LIBOR US + 0.110%),
1.66%, 10/25/36(a) |
|
|
|
|
|
|
1,804 |
|
|
|
893,291 |
|
Series 2006-9, Class 2A3, (1 mo. LIBOR US + 0.160%),
1.71%, 10/25/36(a) |
|
|
|
|
|
|
11,488 |
|
|
|
5,725,680 |
|
Series 2006-9, Class 2A4, (1 mo. LIBOR US + 0.230%),
1.78%, 10/25/36(a) |
|
|
|
|
|
|
1,816 |
|
|
|
913,364 |
|
Madison Avenue Manufactured Housing Contract Trust, Series 2002-A,
Class B2, (1 mo. LIBOR US + 3.250%), 4.80%, 03/25/32(a) |
|
|
|
|
|
|
1,510 |
|
|
|
1,550,373 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
|
|
|
Par (000) |
|
|
Value |
|
Madison Park Funding XIV Ltd., Series 2014-14A, Class A2R, (3
mo. LIBOR US + 1.120%), 2.48%, 07/20/26(a)(b) |
|
|
USD |
|
|
|
26,018 |
|
|
$ |
26,111,899 |
|
Madison Park Funding XVIII Ltd., Series 2015-18A, Class A1R, (3
mo. LIBOR US + 1.190%), 2.55%, 10/21/30(a)(b) |
|
|
|
|
|
|
14,970 |
|
|
|
15,053,085 |
|
Madison Park Funding XXVI Ltd., Series 2017-26A, Class AR, (3
mo. LIBOR US + 1.200%), 2.52%, 07/29/30(a)(b) |
|
|
|
|
|
|
6,150 |
|
|
|
6,197,976 |
|
Marble Point CLO XI Ltd., Series 2017-2A, Class A, (3 mo. LIBOR
US + 1.180%), 2.79%, 12/18/30(a)(b) |
|
|
|
|
|
|
2,500 |
|
|
|
2,501,932 |
|
MASTR Asset-Backed Securities Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2006-AM2, Class A4, (1 mo. LIBOR US +
0.260%), 1.81%, 06/25/36(a)(b) |
|
|
|
|
|
|
2,059 |
|
|
|
1,645,481 |
|
Series 2006-HE2, Class A3, (1 mo. LIBOR US +
0.150%), 1.70%, 06/25/36(a) |
|
|
|
|
|
|
6,479 |
|
|
|
3,782,647 |
|
Series 2007-HE1, Class A4, (1 mo. LIBOR US +
0.280%), 1.83%, 05/25/37(a) |
|
|
|
|
|
|
1,318 |
|
|
|
1,097,609 |
|
MASTR Specialized Loan Trust, Series 2006-3, Class A, (1 mo.
LIBOR US + 0.260%), 1.81%, 06/25/46(a)(b) |
|
|
|
|
|
|
671 |
|
|
|
628,505 |
|
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-2,
Class A2C, (1 mo. LIBOR US + 0.240%), 1.79%, 05/25/37(a) |
|
|
|
|
|
|
2,297 |
|
|
|
1,608,420 |
|
Merrill Lynch Mortgage Investors Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2006-OPT1, Class M1, (1 mo. LIBOR US + 0.260%), 1.81%, 08/25/37(a) |
|
|
|
|
|
|
529 |
|
|
|
143,312 |
|
Series 2006-RM3, Class A2B, (1 mo. LIBOR US + 0.090%),
1.64%, 06/25/37(a) |
|
|
|
|
|
|
989 |
|
|
|
301,082 |
|
Morgan Stanley ABS Capital I, Inc. Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2005-HE1, Class A2MZ, (1 mo. LIBOR US + 0.600%),
2.15%, 12/25/34(a) |
|
|
|
|
|
|
820 |
|
|
|
799,415 |
|
Series 2005-HE5, Class M4, (1 mo. LIBOR US + 0.870%),
2.42%, 09/25/35(a) |
|
|
|
|
|
|
4,403 |
|
|
|
2,018,328 |
|
Series 2007-NC1, Class A1, (1 mo. LIBOR US + 0.130%),
1.68%, 11/25/36(a) |
|
|
|
|
|
|
14,823 |
|
|
|
9,466,459 |
|
Morgan Stanley IXIS Real Estate Capital Trust, Series 2006-2,
Class A2, (1 mo. LIBOR US + 0.110%), 1.66%, 11/25/36(a) |
|
|
|
|
|
|
1,222 |
|
|
|
603,587 |
|
Morgan Stanley Mortgage Loan Trust, Series 2007-9SL, Class A, (1
mo. LIBOR US + 0.320%), 1.87%, 07/25/37(a) |
|
|
|
|
|
|
1,683 |
|
|
|
1,512,499 |
|
Mountain Hawk I CLO Ltd., Series 2013-1A, Class B1, (3 mo. LIBOR
US + 2.180%), 3.54%, 01/20/24(a)(b) |
|
|
|
|
|
|
3,020 |
|
|
|
3,055,923 |
|
Mountain Hawk II CLO Ltd., Series 2013-2A, Class A1, (3 mo.
LIBOR US + 1.160%), 2.52%, 07/22/24(a)(b) |
|
|
|
|
|
|
1,467 |
|
|
|
1,470,027 |
|
MP CLO III Ltd., Series 2013-1A, Class AR, (3 mo. LIBOR US
+ 1.250%), 2.61%, 10/20/30(a)(b) |
|
|
|
|
|
|
2,820 |
|
|
|
2,832,603 |
|
MP CLO VIII Ltd., Series 2015-2A, Class B, (3 mo. LIBOR US
+ 2.250%), 3.63%, 10/28/27(a)(b) |
|
|
|
|
|
|
3,250 |
|
|
|
3,253,735 |
|
Nationstar Home Equity Loan Trust, Series 2007-C, Class 2AV3, (1
mo. LIBOR US + 0.180%), 1.73%, 06/25/37(a) |
|
|
|
|
|
|
417 |
|
|
|
413,772 |
|
|
|
|
|
|
CONSOLIDATED SCHEDULE OF INVESTMENTS |
|
|
7 |
|
|
|
|
Consolidated Schedule of Investments (unaudited) (continued) |
|
Master Total Return Portfolio of Master Bond LLC |
December 31, 2017 |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
|
|
|
Par (000) |
|
|
Value |
|
Navient Private Education Loan Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2014-AA, Class B, 3.50%, 08/15/44(b) |
|
|
USD |
|
|
|
6,000 |
|
|
$ |
5,815,733 |
|
Series 2014-CTA, Class B, (1 mo. LIBOR US + 1.750%), 3.23%,
10/17/44(a)(b) |
|
|
|
|
|
|
8,550 |
|
|
|
8,681,330 |
|
Series 2016-AA, Class B, 3.50%, 12/16/58(b)(e) |
|
|
|
|
|
|
2,040 |
|
|
|
1,972,091 |
|
Neuberger Berman CLO XVI Ltd., Series 2014-16A, Class B2R, (3
mo. LIBOR US + 2.170%), 3.53%, 04/15/26(a)(b) |
|
|
|
|
|
|
1,875 |
|
|
|
1,876,831 |
|
Neuberger Berman CLO XVI-S Ltd., Series 2017-16SA, Class A, (3
mo. LIBOR US + 0.850%), 0.00%, 01/15/28(a)(b) |
|
|
|
|
|
|
1,200 |
|
|
|
1,200,000 |
|
Neuberger Berman Loan Advisers CLO 26 Ltd., Series 2017-26A,
Class A, (3 mo. LIBOR US + 1.170%), 2.56%, 10/18/30(a)(b) |
|
|
|
|
|
|
3,350 |
|
|
|
3,364,944 |
|
Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2006-S5,
Class A1, (1 mo. LIBOR US + 0.400%), 1.95%, 10/25/36(a)(b) |
|
|
|
|
|
|
431 |
|
|
|
384,570 |
|
Oak Hill Credit Partners IX Ltd., Series 2013-9A, Class DR, (3
mo. LIBOR US + 1.010%), 2.37%, 10/20/25(a)(b) |
|
|
|
|
|
|
540 |
|
|
|
540,389 |
|
Oak Hill Credit Partners VIII Ltd., Series 2013-8A, Class A, (3
mo. LIBOR US + 1.120%), 2.48%, 04/20/25(a)(b) |
|
|
|
|
|
|
3,633 |
|
|
|
3,639,328 |
|
Oak Hill European Credit Partners IV Designated Activity Co., Series
2015-4X, Class F, (6 mo. EURIBOR + 6.650%), 6.65%, 01/20/30(a) |
|
|
EUR |
|
|
|
670 |
|
|
|
801,741 |
|
Oaktree CLO Ltd., Series 2015-1A, Class A1R, (3 mo. LIBOR US
+ 0.870%), 0.10%, 10/20/27(a)(b)(d) |
|
|
USD |
|
|
|
500 |
|
|
|
500,000 |
|
Oakwood Mortgage Investors, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2001-D, Class A2, 5.26%, 01/15/19(e) |
|
|
|
|
|
|
900 |
|
|
|
711,312 |
|
Series 2001-D, Class A4, 6.93%, 09/15/31(e) |
|
|
|
|
|
|
572 |
|
|
|
511,175 |
|
Series 2002-B, Class M1, 7.62%, 06/15/32(e) |
|
|
|
|
|
|
4,564 |
|
|
|
3,797,957 |
|
OCP CLO Ltd.: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2014-5A, Class A1, (3 mo. LIBOR US + 1.000%), 2.37%,
04/26/26(a)(b) |
|
|
|
|
|
|
330 |
|
|
|
330,019 |
|
Series 2014-5A, Class A2, (3 mo. LIBOR US + 1.720%), 3.09%,
04/26/26(a)(b) |
|
|
|
|
|
|
610 |
|
|
|
610,000 |
|
Series 2015-10A, Class A1R, (3 mo. LIBOR US + 0.820%),
2.19%, 10/26/27(a)(b) |
|
|
|
|
|
|
820 |
|
|
|
820,443 |
|
Series 2015-10A, Class BR, (3 mo. LIBOR US + 1.850%),
3.22%, 10/26/27(a)(b) |
|
|
|
|
|
|
1,120 |
|
|
|
1,120,518 |
|
Series 2015-8A, Class A1R, (3 mo. LIBOR US + 0.850%),
2.20%, 04/17/27(a)(b) |
|
|
|
|
|
|
5,725 |
|
|
|
5,726,524 |
|
Series 2016-12A, Class A1, (3 mo. LIBOR US + 1.570%),
2.92%, 10/18/28(a)(b) |
|
|
|
|
|
|
1,350 |
|
|
|
1,365,193 |
|
Series 2017-13A, Class A1A, (3 mo. LIBOR US + 1.260%),
2.56%, 07/15/30(a)(b) |
|
|
|
|
|
|
9,170 |
|
|
|
9,244,343 |
|
Series 2017-14A, Class B, (3 mo. LIBOR US + 1.950%), 3.49%,
11/20/30(a)(b)(d) |
|
|
|
|
|
|
500 |
|
|
|
500,000 |
|
OCP Euro CLO DAC: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2017-2X, Class A, (3 mo. EURIBOR + 0.820%), 0.82%,
01/15/32(a) |
|
|
EUR |
|
|
|
600 |
|
|
|
721,726 |
|
Series 2017-2X, Class B, (3 mo. EURIBOR + 1.350%), 1.35%,
01/15/32(a) |
|
|
|
|
|
|
750 |
|
|
|
902,770 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
|
|
|
Par (000) |
|
|
Value |
|
OCP Euro CLO DAC: (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2017-2X, Class E, (3 mo. EURIBOR + 5.000%), 5.00%,
01/15/32(a) |
|
|
EUR |
|
|
|
447 |
|
|
$ |
527,151 |
|
Series 2017-2X, Class F, (3 mo. EURIBOR + 6.400%), 6.40%,
01/15/32(a) |
|
|
|
|
|
|
300 |
|
|
|
338,520 |
|
OCP Euro DAC, Series 2017-1X, Class E, (3 mo. EURIBOR +
5.350%), 5.35%, 06/18/30(a) |
|
|
|
|
|
|
200 |
|
|
|
241,358 |
|
Octagon Investment Partners 24 Ltd.: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2015-1A, Class A1R, (3 mo. LIBOR US + 0.900%),
2.34%, 05/21/27(a)(b) |
|
|
USD |
|
|
|
13,710 |
|
|
|
13,716,667 |
|
Series 2015-1A, Class A2AR, (3 mo. LIBOR US + 1.350%),
2.79%, 05/21/27(a)(b) |
|
|
|
|
|
|
9,100 |
|
|
|
9,106,174 |
|
Octagon Investment Partners 33 Ltd., Series 2017-1A, Class A1,
(3 mo. LIBOR US + 1.190%), 2.59%, 01/20/31(a)(b) |
|
|
|
|
|
|
1,310 |
|
|
|
1,312,893 |
|
Octagon Investment Partners XIX Ltd., Series 2014-1A, Class AR,
(3 mo. LIBOR US + 1.100%), 2.46%, 04/15/26(a)(b) |
|
|
|
|
|
|
3,100 |
|
|
|
3,102,297 |
|
Octagon Investment Partners XVI Ltd., Series 2013-1A, Class A,
(3 mo. LIBOR US + 1.120%), 2.47%, 07/17/25(a)(b) |
|
|
|
|
|
|
5,257 |
|
|
|
5,266,330 |
|
Octagon Investment Partners XVII Ltd., Series 2013-1A,
Class A2R, (3 mo. LIBOR US + 1.680%), 3.05%, 10/25/25(a)(b) |
|
|
|
|
|
|
7,240 |
|
|
|
7,260,727 |
|
OFSI Fund VI Ltd., Series 2014-6A, Class A2, (3 mo. LIBOR US
+ 1.900%), 3.26%, 03/20/25(a)(b) |
|
|
|
|
|
|
10,508 |
|
|
|
10,522,410 |
|
OHA Loan Funding LLC, Series 2014-1A, Class A1R, (3 mo. LIBOR US
+ 1.150%), 2.51%, 10/20/26(a)(b) |
|
|
|
|
|
|
2,844 |
|
|
|
2,855,090 |
|
OHA Loan Funding Ltd., Series 2013-2A, Class A, (3 mo. LIBOR US
+ 1.270%), 2.58%, 08/23/24(a)(b) |
|
|
|
|
|
|
5,005 |
|
|
|
5,009,155 |
|
OneMain Financial Issuance Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2014-2A, Class B, 3.02%, 09/18/24(b) |
|
|
|
|
|
|
2,805 |
|
|
|
2,806,251 |
|
Series 2014-2A, Class D, 5.31%, 09/18/24(b) |
|
|
|
|
|
|
1,885 |
|
|
|
1,902,942 |
|
Series 2015-1A, Class C, 5.12%, 03/18/26(b) |
|
|
|
|
|
|
1,536 |
|
|
|
1,553,622 |
|
Series 2015-2A, Class C, 4.32%, 07/18/25(b) |
|
|
|
|
|
|
4,830 |
|
|
|
4,846,903 |
|
Series 2016-2A, Class A, 4.10%, 03/20/28(b) |
|
|
|
|
|
|
3,248 |
|
|
|
3,289,959 |
|
Option One Mortgage Acceptance Corp. Asset-Backed Certificates, Series
2003-4, Class A2, (1 mo. LIBOR US + 0.640%), 2.19%, 07/25/33(a) |
|
|
|
|
|
|
1,049 |
|
|
|
1,038,576 |
|
Option One Mortgage Loan Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2006-3, Class 1A1, (1 mo. LIBOR US + 0.140%), 1.69%,
02/25/37(a) |
|
|
|
|
|
|
1,483 |
|
|
|
1,092,231 |
|
Series 2007-CP1, Class 2A3, (1 mo. LIBOR US + 0.210%),
1.76%, 03/25/37(a) |
|
|
|
|
|
|
2,360 |
|
|
|
1,654,400 |
|
Series 2007-FXD2, Class 1A1, 5.82%, 03/25/37(c)
|
|
|
|
|
|
|
14,629 |
|
|
|
14,386,483 |
|
Origen Manufactured Housing Contract Trust: Series 2001-A,
Class M1, 7.82%, 03/15/32(e) |
|
|
|
|
|
|
1,571 |
|
|
|
1,548,665 |
|
|
|
|
8 |
|
2017 BLACKROCK QUARTERLY REPORT TO SHAREHOLDERS |
|
|
|
Consolidated Schedule of Investments (unaudited) (continued) |
|
Master Total Return Portfolio of Master Bond LLC |
December 31, 2017 |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
|
|
|
Par (000) |
|
|
Value |
|
Origen Manufactured Housing Contract Trust: (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2007-B, Class A1, (1 mo. LIBOR US + 1.200%), 2.68%,
10/15/37(a)(b) |
|
|
USD |
|
|
|
3,344 |
|
|
$ |
3,284,676 |
|
Ownit Mortgage Loan Trust Series, Series 2006-2, Class A2C,
6.00%, 01/25/37(c) |
|
|
|
|
|
|
1,990 |
|
|
|
1,839,566 |
|
OZLM Funding II Ltd., Series 2012-2A, Class A1R, (3 mo. LIBOR US
+ 1.440%), 2.82%, 10/30/27(a)(b) |
|
|
|
|
|
|
19,348 |
|
|
|
19,394,085 |
|
OZLM Funding IV Ltd.: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2013-4A, Class A1R, (3 mo. LIBOR US + 1.250%),
2.61%, 10/22/30(a)(b) |
|
|
|
|
|
|
13,035 |
|
|
|
13,120,334 |
|
Series 2013-4A, Class A2R, (3 mo. LIBOR US + 1.700%),
3.06%, 10/22/30(a)(b) |
|
|
|
|
|
|
2,120 |
|
|
|
2,142,993 |
|
OZLM Funding V Ltd., Series 2013-5A, Class BR, (3 mo. LIBOR US
+ 2.350%), 3.70%, 01/17/26(a)(b) |
|
|
|
|
|
|
3,720 |
|
|
|
3,725,778 |
|
OZLM IX Ltd., Series 2014-9A, Class CR, (3 mo. LIBOR US +
3.550%), 4.91%, 01/20/27(a)(b) |
|
|
|
|
|
|
4,360 |
|
|
|
4,373,888 |
|
OZLM VI Ltd., Series 2014-6A, Class BR, (3 mo. LIBOR US +
2.700%), 4.05%, 04/17/26(a)(b) |
|
|
|
|
|
|
2,360 |
|
|
|
2,365,165 |
|
OZLM VII Ltd.: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2014-7A, Class A1BR, (3 mo. LIBOR US + 1.150%),
2.50%, 07/17/26(a)(b) |
|
|
|
|
|
|
250 |
|
|
|
250,973 |
|
Series 2014-7A, Class B1R, (3 mo. LIBOR US + 2.250%),
3.60%, 07/17/26(a)(b) |
|
|
|
|
|
|
1,400 |
|
|
|
1,403,558 |
|
OZLM VIII Ltd.: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2014-8A, Class A1AR, (3 mo. LIBOR US + 1.130%),
2.48%, 10/17/26(a)(b) |
|
|
|
|
|
|
3,370 |
|
|
|
3,379,247 |
|
Series 2014-8A, Class BR, (3 mo. LIBOR US + 2.250%), 3.60%,
10/17/26(a)(b) |
|
|
|
|
|
|
1,160 |
|
|
|
1,162,991 |
|
OZLM XI Ltd., Series 2015-11A, Class A1R, (3 mo. LIBOR US +
1.250%), 2.63%, 10/30/30(a)(b) |
|
|
|
|
|
|
9,443 |
|
|
|
9,519,839 |
|
OZLM XII Ltd., Series 2015-12A, Class A1, (3 mo. LIBOR US +
1.450%), 2.83%, 04/30/27(a)(b) |
|
|
|
|
|
|
570 |
|
|
|
573,672 |
|
OZLM XIV Ltd., Series 2015-14A, Class B1, (3 mo. LIBOR US +
3.150%), 4.51%, 01/15/29(a)(b) |
|
|
|
|
|
|
1,710 |
|
|
|
1,711,485 |
|
OZLM XIX Ltd., Series 2017-19A, Class A1, (3 mo. LIBOR US +
1.220%), 2.59%, 11/22/30(a)(b) |
|
|
|
|
|
|
2,160 |
|
|
|
2,163,128 |
|
OZLM XV Ltd.: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2016-15A, Class A1, (3 mo. LIBOR US + 1.490%),
2.85%, 01/20/29(a)(b) |
|
|
|
|
|
|
4,740 |
|
|
|
4,793,203 |
|
Series 2016-15A, Class A2A, (3 mo. LIBOR US + 2.100%),
3.46%, 01/20/29(a)(b) |
|
|
|
|
|
|
1,940 |
|
|
|
1,965,992 |
|
OZLM XXI Ltd., Series 2017-21A, Class B, (3 mo. LIBOR US +
1.900%), 0.00%, 01/20/31(a)(b) |
|
|
|
|
|
|
930 |
|
|
|
930,000 |
|
OZLME BV, Series 1X, Class E, (3 mo. EURIBOR + 6.450%), 6.45%, 01/18/30(a) |
|
|
EUR |
|
|
|
475 |
|
|
|
584,931 |
|
OZLME II DAC, Series 2X, Class E, (3 mo. EURIBOR + 4.900%), 4.90%, 10/15/30(a) |
|
|
|
|
|
|
422 |
|
|
|
490,430 |
|
OZLME III DAC: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 3X, Class A1, (3 mo. EURIBOR + 0.750%), 0.00%, 08/24/30(a) |
|
|
|
|
|
|
2,300 |
|
|
|
2,759,647 |
|
Series 3X, Class E, (3 mo. EURIBOR + 4.800%), 0.00%, 08/24/30(a) |
|
|
|
|
|
|
900 |
|
|
|
1,053,297 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
|
|
|
Par (000) |
|
|
Value |
|
OZLME III DAC: (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
Series 3X, Class SUB, (3 mo. EURIBOR + 0.000%), 0.00%, 08/24/30(a) |
|
|
EUR |
|
|
|
1,500 |
|
|
$ |
1,619,793 |
|
Palmer Square CLO Ltd.: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2013-1A, Class A2R, (3 mo. LIBOR US + 1.500%),
2.92%, 05/15/25(a)(b) |
|
|
USD |
|
|
|
5,311 |
|
|
|
5,312,045 |
|
Series 2013-2A, Class A1AR, (3 mo. LIBOR US + 1.220%),
2.57%, 10/17/27(a)(b) |
|
|
|
|
|
|
2,280 |
|
|
|
2,290,687 |
|
Series 2013-2A, Class BR, (3 mo. LIBOR US + 2.250%), 3.60%,
10/17/27(a)(b) |
|
|
|
|
|
|
890 |
|
|
|
896,923 |
|
Series 2014-1A, Class A1R2, (3 mo. LIBOR US + 1.130%),
2.86%, 01/17/31(a)(b)(d) |
|
|
|
|
|
|
250 |
|
|
|
250,000 |
|
Palmer Square Loan Funding Ltd.: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2017-1A, Class A1, (3 mo. LIBOR US + 0.740%), 2.06%,
10/15/25(a)(b) |
|
|
|
|
|
|
12,010 |
|
|
|
12,011,740 |
|
Series 2017-1A, Class A2, (3 mo. LIBOR US + 1.300%), 2.62%,
10/15/25(a)(b) |
|
|
|
|
|
|
6,400 |
|
|
|
6,412,922 |
|
Park Avenue Institutional Advisers CLO Ltd.: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2017-1A, Class A1, (3 mo. LIBOR US + 1.220%), 2.63%,
11/14/29(a)(b) |
|
|
|
|
|
|
6,970 |
|
|
|
6,994,019 |
|
Series 2017-1A, Class A2, (3 mo. LIBOR US + 1.700%), 3.11%,
11/14/29(a)(b) |
|
|
|
|
|
|
2,940 |
|
|
|
2,949,992 |
|
Preston Ridge Partners Mortgage LLC, Series 2017-1A, Class A1,
4.25%, 01/25/22(b)(c)(d) |
|
|
|
|
|
|
584 |
|
|
|
585,711 |
|
Pretium Mortgage Credit Partners I LLC, Series 2017-NPL2, Class A1, 3.25%, 03/28/57(b)(c) |
|
|
|
|
|
|
4,753 |
|
|
|
4,757,600 |
|
Progress Residential Trust: Series 2015-SFR2, Class A, 2.74%, 06/12/32(b) |
|
|
|
|
|
|
1,724 |
|
|
|
1,719,958 |
|
Series 2015-SFR3, Class F, 6.64%, 11/12/32(b)
|
|
|
|
|
|
|
500 |
|
|
|
527,473 |
|
Series 2016-SFR1, Class A, (1 mo. LIBOR US + 1.500%), 2.96%, 09/17/33(a)(b) |
|
|
|
|
|
|
4,311 |
|
|
|
4,359,482 |
|
Series 2016-SFR1, Class E, (1 mo. LIBOR US + 3.850%), 5.31%, 09/17/33(a)(b) |
|
|
|
|
|
|
2,940 |
|
|
|
3,017,729 |
|
Series 2016-SFR2, Class E, (1 mo. LIBOR US + 3.550%), 5.01%, 01/17/34(a)(b) |
|
|
|
|
|
|
1,590 |
|
|
|
1,631,320 |
|
Series 2017-SFR1, Class A, 2.77%, 08/17/34(b)
|
|
|
|
|
|
|
2,645 |
|
|
|
2,625,028 |
|
Series 2017-SFR1, Class D, 3.57%, 08/17/22(b)
|
|
|
|
|
|
|
330 |
|
|
|
327,484 |
|
Series 2017-SFR1, Class E, 4.26%, 08/17/22(b)
|
|
|
|
|
|
|
500 |
|
|
|
502,016 |
|
Race Point IX CLO Ltd., Series 2015-9A, Class A1AR, (3 mo. LIBOR
US + 1.210%), 2.57%, 10/15/30(a)(b) |
|
|
|
|
|
|
830 |
|
|
|
834,049 |
|
Race Point X CLO Ltd., Series 2016-10A, Class A, (3 mo. LIBOR US
+ 1.600%), 2.97%, 07/25/28(a)(b) |
|
|
|
|
|
|
5,550 |
|
|
|
5,601,555 |
|
RAMP Series Trust, Series 2007-RS1, Class A3, (1 mo. LIBOR US
+ 0.170%), 1.72%, 02/25/37(a) |
|
|
|
|
|
|
2,283 |
|
|
|
1,261,121 |
|
RAMP Trust, Series 2006-RS6, Class A4, (1 mo. LIBOR US +
0.270%), 1.82%, 11/25/36(a) |
|
|
|
|
|
|
6,881 |
|
|
|
5,763,457 |
|
RCO Mortgage LLC, Series 2015-NQM1, Class A, (1 mo. LIBOR US + 3.500%), 5.05%, 11/25/45(a)(b) |
|
|
|
|
|
|
172 |
|
|
|
171,817 |
|
Rockford Tower CLO Ltd.: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2017-1A, Class A, (3 mo. LIBOR US + 1.370%), 2.73%,
04/15/29(a)(b) |
|
|
|
|
|
|
9,130 |
|
|
|
9,195,584 |
|
|
|
|
|
|
CONSOLIDATED SCHEDULE OF INVESTMENTS |
|
|
9 |
|
|
|
|
Consolidated Schedule of Investments (unaudited) (continued) |
|
Master Total Return Portfolio of Master Bond LLC |
December 31, 2017 |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
|
|
|
Par (000) |
|
|
Value |
|
Rockford Tower CLO Ltd.: (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2017-1A, Class B, (3 mo. LIBOR US + 1.800%), 3.16%,
04/15/29(a)(b) |
|
|
USD |
|
|
|
3,870 |
|
|
$ |
3,893,352 |
|
Series 2017-2A, Class B, (3 mo. LIBOR US + 1.750%), 2.99%,
10/15/29(a)(b) |
|
|
|
|
|
|
2,600 |
|
|
|
2,621,144 |
|
Series 2017-2A, Class C, (3 mo. LIBOR US + 2.300%), 3.54%,
10/15/29(a)(b) |
|
|
|
|
|
|
940 |
|
|
|
942,082 |
|
Series 2017-3A, Class A, (3 mo. LIBOR US + 1.190%), 2.80%,
10/20/30(a)(b) |
|
|
|
|
|
|
4,510 |
|
|
|
4,504,784 |
|
SACO I Trust, Series 2006-9, Class A1, (1 mo. LIBOR US +
0.300%), 1.85%, 08/25/36(a) |
|
|
|
|
|
|
705 |
|
|
|
1,240,239 |
|
Saxon Asset Securities Trust, Series 2007-1, Class M1, (1 mo.
LIBOR US + 0.290%), 1.84%, 01/25/47(a) |
|
|
|
|
|
|
1,814 |
|
|
|
1,094,767 |
|
Securitized Asset-Backed Receivables LLC Trust, Series 2006-WM4,
Class A1, (1 mo. LIBOR US + 0.190%), 1.74%, 11/25/36(a)(b) |
|
|
|
|
|
|
3,173 |
|
|
|
1,987,736 |
|
Security National Mortgage Loan Trust, Series 2007-1A, Class 2A,
(1 mo. LIBOR US + 0.350%), 1.90%, 04/25/37(a)(b) |
|
|
|
|
|
|
1,217 |
|
|
|
1,167,159 |
|
SG Mortgage Securities Trust, Series 2006-FRE2, Class A2C, (1 mo. LIBOR US + 0.160%), 1.71%,
07/25/36(a) |
|
|
|
|
|
|
1,025 |
|
|
|
375,978 |
|
Shackleton CLO Ltd., Series 2014-5A, Class AR, (3 mo. LIBOR US
+ 1.140%), 2.53%, 05/07/26(a)(b) |
|
|
|
|
|
|
14,446 |
|
|
|
14,468,127 |
|
Silver Creek CLO Ltd., Series 2014-1A, Class AR, (3 mo. LIBOR US
+ 1.240%), 2.60%, 07/20/30(a)(b) |
|
|
|
|
|
|
3,920 |
|
|
|
3,946,603 |
|
SLC Private Student Loan Trust, Series 2006-A, Class C, (3 mo.
LIBOR US + 0.450%), 1.81%, 07/15/36(a) |
|
|
|
|
|
|
2,010 |
|
|
|
1,917,305 |
|
SLM Private Credit Student Loan Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2004-A, Class A3, (3 mo. LIBOR US + 0.400%), 1.99%,
06/15/33(a) |
|
|
|
|
|
|
3,169 |
|
|
|
3,108,369 |
|
Series 2004-B, Class A3, (3 mo. LIBOR US + 0.330%), 1.92%,
03/15/24(a) |
|
|
|
|
|
|
15,358 |
|
|
|
15,308,309 |
|
Series 2006-B, Class A5, (3 mo. LIBOR US + 0.270%), 1.86%,
12/15/39(a) |
|
|
|
|
|
|
747 |
|
|
|
733,860 |
|
SLM Private Education Loan Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2013-A, Class B, 2.50%, 03/15/47(b) |
|
|
|
|
|
|
620 |
|
|
|
616,138 |
|
Series 2013-B, Class B, 3.00%, 05/16/44(b) |
|
|
|
|
|
|
2,095 |
|
|
|
2,094,093 |
|
Series 2013-C, Class A2B, (1 mo. LIBOR US + 1.400%), 2.88%,
10/15/31(a)(b) |
|
|
|
|
|
|
327 |
|
|
|
330,141 |
|
SMB Private Education Loan Trust, Series 2015-B, Class B, 3.50%,
12/17/40(b) |
|
|
|
|
|
|
3,830 |
|
|
|
3,833,762 |
|
Sound Point CLO II Ltd., Series 2013-1A, Class A1L, (3 mo. LIBOR
US + 1.200%), 2.57%, 04/26/25(a)(b) |
|
|
|
|
|
|
375 |
|
|
|
375,716 |
|
Sound Point CLO IV Ltd., Series 2013-3A, Class CR, (3 mo. LIBOR
US + 2.250%), 3.61%, 01/21/26(a)(b) |
|
|
|
|
|
|
1,480 |
|
|
|
1,485,205 |
|
Sound Point CLO V Ltd., Series 2014-1A, Class CR, (3 mo. LIBOR
US + 2.400%), 3.75%, 04/18/26(a)(b) |
|
|
|
|
|
|
937 |
|
|
|
939,167 |
|
Sound Point CLO VII Ltd., Series 2014-3A, Class AR, (3 mo. LIBOR
US + 1.300%), 2.66%, 01/23/27(a)(b) |
|
|
|
|
|
|
6,225 |
|
|
|
6,267,183 |
|
Sound Point CLO XI Ltd., Series 2016-1A, Class A, (3 mo. LIBOR
US + 1.650%), 3.01%, 07/20/28(a)(b) |
|
|
|
|
|
|
5,730 |
|
|
|
5,778,060 |
|
Sound Point CLO XII Ltd., Series 2016-2A, Class A, (3 mo. LIBOR
US + 1.660%), 3.02%, 10/20/28(a)(b) |
|
|
|
|
|
|
3,010 |
|
|
|
3,040,550 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
|
|
|
Par (000) |
|
|
Value |
|
Sound Point CLO XIV Ltd.: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2016-3A, Class A, (3 mo. LIBOR US + 1.530%), 2.89%,
01/23/29(a)(b) |
|
|
USD |
|
|
|
7,330 |
|
|
$ |
7,396,152 |
|
Series 2016-3A, Class C, (3 mo. LIBOR US + 2.650%), 4.01%,
01/23/29(a)(b) |
|
|
|
|
|
|
1,000 |
|
|
|
1,017,660 |
|
Sound Point CLO XV Ltd., Series 2017-1A, Class A, (3 mo. LIBOR
US + 1.390%), 2.75%, 01/23/29(a)(b) |
|
|
|
|
|
|
1,240 |
|
|
|
1,248,808 |
|
Sound Point CLO XVIII Ltd.: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2017-4A, Class A1, (3 mo. LIBOR US + 1.120%), 0.00%,
01/20/31(a)(b)(d) |
|
|
|
|
|
|
4,020 |
|
|
|
4,020,000 |
|
Series 2017-4A, Class B, (3 mo. LIBOR US + 1.800%), 0.00%,
01/20/31(a)(b)(d) |
|
|
|
|
|
|
500 |
|
|
|
498,250 |
|
Soundview Home Loan Trust, Series 2004-WMC1, Class M2, (1 mo. LIBOR US + 0.800%), 2.35%, 01/25/35(a) |
|
|
|
|
|
|
126 |
|
|
|
119,218 |
|
SpringCastle America Funding LLC, Series 2016-AA, Class A,
3.05%, 04/25/29(b) . |
|
|
|
|
|
|
9,948 |
|
|
|
10,010,053 |
|
Springleaf Funding Trust, Series 2015-AA, Class B, 3.62%,
11/15/24(b) |
|
|
|
|
|
|
3,952 |
|
|
|
3,965,057 |
|
St. Pauls CLO VI DAC, Series 6X, Class D, (3 mo. EURIBOR + 6.500%), 6.50%, 07/22/29(a) |
|
|
EUR |
|
|
|
680 |
|
|
|
832,464 |
|
Stanwich Mortgage Loan Co. LLC: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2016-NPL2, Class NOTE, 3.72%,
08/16/46(b)(c)(d) |
|
|
USD |
|
|
|
3,664 |
|
|
|
3,664,329 |
|
Series 2017-NPB1, Class A1, 3.60%, 05/17/22(b)(c)(d)
|
|
|
|
|
|
|
16,205 |
|
|
|
16,238,895 |
|
Steele Creek CLO Ltd., Series 2017-1A, Class A, (3 mo. LIBOR US
+ 1.250%), 2.88%, 01/15/30(a)(b) |
|
|
|
|
|
|
2,040 |
|
|
|
2,040,737 |
|
Stewart Park CLO Ltd., Series 2015-1A, Class CR, (3 mo. LIBOR US
+ 1.800%), 3.52%, 01/15/30(a)(b)(d) |
|
|
|
|
|
|
2,700 |
|
|
|
2,700,000 |
|
Structured Asset Securities Corp. Assistance Loan Trust, Series
2003-AL2, Class A, 3.36%, 01/25/31(b) |
|
|
|
|
|
|
464 |
|
|
|
456,619 |
|
Structured Asset Securities Corp. Mortgage Pass-Through Certificates, Series 2004-23XS, Class 2A1, (1
mo. LIBOR US + 0.300%), 1.85%, 01/25/35(a) |
|
|
|
|
|
|
754 |
|
|
|
735,541 |
|
Symphony CLO VIII LP, Series 2012-8A, Class CR, (3 mo. LIBOR US
+ 3.050%), 4.75%, 01/09/23(a)(b) |
|
|
|
|
|
|
750 |
|
|
|
751,311 |
|
Symphony CLO XII Ltd., Series 2013-12A, Class AR, (3 mo. LIBOR
US + 1.030%), 2.39%, 10/15/25(a)(b) |
|
|
|
|
|
|
3,000 |
|
|
|
3,004,510 |
|
TCI-Flatiron CLO Ltd., Series
2017-1A, Class A, (3 mo. LIBOR US + 1.200%), 2.15%, 11/17/30(a)(b) |
|
|
|
|
|
|
3,290 |
|
|
|
3,307,345 |
|
THL Credit Wind River CLO Ltd., Series 2014-2A, Class A2, (3 mo.
LIBOR US + 1.450%), 2.81%, 07/15/26(a)(b) |
|
|
|
|
|
|
5,080 |
|
|
|
5,082,979 |
|
TIAA CLO II Ltd., Series 2017-1A, Class A, (3 mo. LIBOR US
+ 1.280%), 2.64%, 04/20/29(a)(b) |
|
|
|
|
|
|
2,340 |
|
|
|
2,355,557 |
|
TIAA CLO III Ltd., Series 2017-2A, Class A, (3 mo. LIBOR US
+ 1.150%), 2.63%, 01/16/31(a)(b)(d) |
|
|
|
|
|
|
5,840 |
|
|
|
5,840,000 |
|
TICP CLO I Ltd., Series 2015-1A, Class A, (3 mo. LIBOR US +
1.500%), 2.86%, 07/20/27(a)(b) |
|
|
|
|
|
|
1,000 |
|
|
|
999,872 |
|
TICP CLO III Ltd., Series 2014-3A, Class AR, (3 mo. LIBOR US
+ 1.180%), 2.54%, 01/20/27(a)(b) |
|
|
|
|
|
|
4,474 |
|
|
|
4,493,763 |
|
|
|
|
10 |
|
2017 BLACKROCK QUARTERLY REPORT TO SHAREHOLDERS |
|
|
|
Consolidated Schedule of Investments (unaudited) (continued) |
|
Master Total Return Portfolio of Master Bond LLC |
December 31, 2017 |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
Security |
|
|
|
Par (000) |
|
|
Value |
|
Treman Park CLO Ltd., Series 2015-1A, Class AR, (3 mo. LIBOR US
+ 1.370%), 2.73%, 04/20/27(a)(b) |
|
USD |
|
|
2,000 |
|
|
$ |
2,001,497 |
|
Velocity Commercial Capital Loan Trust: |
|
|
|
|
|
|
|
|
|
|
Series 2017-1, Class AFL, (1 mo. LIBOR US + 1.250%),
2.80%, 05/25/47(a)(b) |
|
|
|
|
3,974 |
|
|
|
4,001,560 |
|
Series 2017-1, Class M1, 3.55%, 05/25/47(b)(e) |
|
|
|
|
420 |
|
|
|
422,029 |
|
Series 2017-1, Class M2, 4.45%, 05/25/47(b)(e) |
|
|
|
|
410 |
|
|
|
405,331 |
|
Series 2017-1, Class M3, 5.35%, 05/25/47(b)(e) |
|
|
|
|
410 |
|
|
|
411,635 |
|
Series 2017-2, Class M3, 4.24%, 11/25/47(b)(e) |
|
|
|
|
406 |
|
|
|
406,301 |
|
Series 2017-2, Class M4, 5.00%, 11/25/47(b)(e) |
|
|
|
|
485 |
|
|
|
485,829 |
|
Venture XIX CLO Ltd.: |
|
|
|
|
|
|
|
|
|
|
Series 2014-19A, Class AR, (3 mo. LIBOR US + 1.370%),
2.73%, 01/15/27(a)(b) |
|
|
|
|
1,020 |
|
|
|
1,021,365 |
|
Series 2014-19A, Class BR, (3 mo. LIBOR US + 2.000%),
3.36%, 01/15/27(a)(b) |
|
|
|
|
1,800 |
|
|
|
1,813,986 |
|
Venture XVII CLO Ltd., Series 2014-17A, Class B2R, (3 mo. LIBOR
US + 1.600%), 2.96%, 07/15/26(a)(b) |
|
|
|
|
1,970 |
|
|
|
1,976,464 |
|
Venture XVIII CLO Ltd., Series 2014-18A, Class AR, (3 mo. LIBOR
US + 1.220%), 2.58%, 10/15/29 (a)(b) |
|
|
|
|
9,820 |
|
|
|
9,833,300 |
|
Vibrant CLO III Ltd.: |
|
|
|
|
|
|
|
|
|
|
Series 2015-3A, Class A1R, (3 mo. LIBOR US + 1.480%),
2.84%, 04/20/26(a)(b) |
|
|
|
|
1,390 |
|
|
|
1,394,061 |
|
Series 2015-3A, Class A2R, (3 mo. LIBOR US + 2.050%),
3.41%, 04/20/26(a)(b) |
|
|
|
|
710 |
|
|
|
714,237 |
|
Vibrant CLO V Ltd., Series 2016-5A, Class A, (3 mo. LIBOR
US + 1.550%), 2.91%, 01/20/29(a)(b) |
|
|
|
|
2,480 |
|
|
|
2,501,834 |
|
Voya CLO Ltd.: |
|
|
|
|
|
|
|
|
|
|
Series 2013-3A, Class A1R, (3 mo. LIBOR US + 1.050%),
2.40%, 01/18/26(a)(b) |
|
|
|
|
7,925 |
|
|
|
7,941,630 |
|
Series 2013-3A, Class A2R, (3 mo. LIBOR US + 1.500%),
2.85%, 01/18/26(a)(b) |
|
|
|
|
3,145 |
|
|
|
3,145,560 |
|
Series 2014-3A, Class A1R, (3 mo. LIBOR US + 0.720%),
2.24%, 07/25/26(a)(b)(d) |
|
|
|
|
2,480 |
|
|
|
2,480,000 |
|
Series 2014-4A, Class A1R, (3 mo. LIBOR US + 0.950%),
2.31%, 10/14/26(a)(b) |
|
|
|
|
4,740 |
|
|
|
4,751,311 |
|
Series 2014-4A, Class BR, (3 mo. LIBOR US + 2.000%),
3.36%, 10/14/26(a)(b) |
|
|
|
|
1,360 |
|
|
|
1,364,055 |
|
Series 2017-4A, Class A1, (3 mo. LIBOR US + 1.130%),
2.51%, 10/15/30(a)(b) |
|
|
|
|
3,340 |
|
|
|
3,345,210 |
|
Voya Investment Management CLO Ltd., Series 2013-2A,
Class A1, (3 mo. LIBOR US + 1.150%), 2.52%, 04/25/25(a)(b) |
|
|
|
|
1,632 |
|
|
|
1,636,854 |
|
Wachovia Asset Securitization Issuance II LLC Trust, Series 2007-HE2A, Class A, (1 mo. LIBOR US
+ 0.130%), 1.68%, 07/25/37(a)(b) |
|
|
|
|
2,377 |
|
|
|
2,182,385 |
|
WaMu Asset-Backed Certificates Trust: |
|
|
|
|
|
|
|
|
|
|
Series 2007-HE2, Class 2A3, (1 mo. LIBOR US + 0.250%),
1.80%, 04/25/37(a) |
|
|
|
|
10,491 |
|
|
|
5,882,923 |
|
Series 2007-HE2, Class 2A4, (1 mo. LIBOR US + 0.360%),
1.91%, 04/25/37(a) |
|
|
|
|
1,127 |
|
|
|
639,721 |
|
Washington Mutual Asset-Backed Certificates Trust: |
|
|
|
|
|
|
|
|
|
|
Series 2006-HE4, Class 2A2, (1 mo. LIBOR US + 0.180%),
1.73%, 09/25/36(a) |
|
|
|
|
5,673 |
|
|
|
2,869,736 |
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
|
|
Par
(000) |
|
|
Value |
|
Washington Mutual Asset-Backed Certificates Trust: (continued) |
|
|
|
|
|
|
|
|
|
|
Series 2006-HE5, Class 1A, (1 mo. LIBOR US + 0.160%),
1.71%, 10/25/36(a) |
|
USD |
|
|
2,407 |
|
|
$ |
1,994,587 |
|
Series 2007-HE2, Class 2A2, (1 mo. LIBOR US + 0.220%),
1.77%, 02/25/37(a) |
|
|
|
|
5,858 |
|
|
|
2,565,078 |
|
Wellfleet CLO Ltd.: |
|
|
|
|
|
|
|
|
|
|
Series 2017-1A, Class A1, (3 mo. LIBOR US + 1.320%),
2.68%, 04/20/29(a)(b) |
|
|
|
|
2,160 |
|
|
|
2,174,342 |
|
Series 2017-3A, Class A1, (3 mo. LIBOR US + 1.150%),
2.88%, 01/17/31(a)(b) |
|
|
|
|
4,410 |
|
|
|
4,410,000 |
|
Series 2017-3A, Class B, (3 mo. LIBOR US + 1.950%),
0.00%, 01/17/31(a)(b) |
|
|
|
|
750 |
|
|
|
750,000 |
|
West CLO Ltd., Series 2013-1A, Class A1AR, (3 mo. LIBOR US
+ 1.160%), 2.55%, 11/07/25(a)(b) |
|
|
|
|
10,930 |
|
|
|
10,954,441 |
|
World Financial Network Credit Card Master Trust: |
|
|
|
|
|
|
|
|
|
|
Series 2012-C, Class B, 3.57%, 08/15/22 |
|
|
|
|
3,000 |
|
|
|
3,033,426 |
|
Series 2012-C, Class C, 4.55%, 08/15/22 |
|
|
|
|
5,030 |
|
|
|
5,121,252 |
|
Series 2012-D, Class B, 3.34%, 04/17/23 |
|
|
|
|
3,551 |
|
|
|
3,579,457 |
|
WVUE, Series 2015-1A, Class A, 7.50%, 09/25/20(b)(c)(d) |
|
|
|
|
634 |
|
|
|
633,683 |
|
Yale Mortgage Loan Trust, Series 2007-1, Class A, (1 mo.
LIBOR US + 0.400%), 1.95%, 06/25/37(a)(b) |
|
|
|
|
2,751 |
|
|
|
1,225,166 |
|
York CLO 1 Ltd., Series 2014-1A, Class CR, (3 mo. LIBOR US
+ 2.350%), 3.71%, 01/22/27(a)(b) |
|
|
|
|
500 |
|
|
|
501,738 |
|
York CLO-2 Ltd., Series
2015-1A, Class AR, (3 mo. LIBOR US + 1.150%), 2.61%, 01/22/31(a)(b)(d) |
|
|
|
|
2,200 |
|
|
|
2,200,000 |
|
York CLO-3 Ltd., Series
2016-1A, Class BR, (3 mo. LIBOR US + 1.750%), 3.11%, 10/20/29(a)(b) |
|
|
|
|
2,480 |
|
|
|
2,493,040 |
|
|
|
|
|
|
|
|
|
|
|
|
Total Asset-Backed Securities 12.5% (Cost: $1,527,291,009) |
|
|
|
|
|
|
1,539,961,973 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares |
|
|
|
|
|
Common Stocks 0.6% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Airlines 0.1% |
|
|
|
|
|
|
|
|
Delta Air Lines, Inc.(f) |
|
|
|
|
173,089 |
|
|
|
9,692,984 |
|
|
|
|
|
|
|
|
|
|
|
|
Banks 0.2% |
|
|
|
|
|
|
|
|
Bank of America Corp. |
|
|
|
|
269,859 |
|
|
|
7,966,238 |
|
Citigroup, Inc. |
|
|
|
|
53,380 |
|
|
|
3,972,006 |
|
JPMorgan Chase & Co. |
|
|
|
|
74,746 |
|
|
|
7,993,337 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
19,931,581 |
|
Capital Markets 0.0% |
|
|
|
|
|
|
|
|
Morgan Stanley |
|
|
|
|
51,755 |
|
|
|
2,715,585 |
|
|
|
|
|
|
|
|
|
|
|
|
Diversified Financial Services 0.1% |
|
|
|
|
Concrete Investment I SCA(d)(g)(h) |
|
|
|
|
22,592 |
|
|
|
365,944 |
|
Concrete Investment II SCA(d)(g)(h) |
|
|
|
|
12,471 |
|
|
|
|
|
Leisure Acquisition Corp. |
|
|
|
|
52,528 |
|
|
|
520,027 |
|
Sentinel Energy Services, Inc. |
|
|
|
|
616,364 |
|
|
|
6,145,149 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,031,120 |
|
Diversified Telecommunication Services 0.0% |
|
|
|
|
Telecom Italia SpA(g) |
|
|
|
|
786,112 |
|
|
|
678,883 |
|
|
|
|
|
|
|
|
|
|
|
|
Energy Equipment & Services 0.0% |
|
|
|
|
C&J Energy Services, Inc. |
|
|
|
|
110,904 |
|
|
|
3,711,957 |
|
|
|
|
|
|
CONSOLIDATED SCHEDULE OF INVESTMENTS |
|
|
11 |
|
|
|
|
Consolidated Schedule of Investments (unaudited) (continued) |
|
Master Total Return Portfolio of Master Bond LLC |
December 31, 2017 |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
Security |
|
|
|
Shares |
|
|
Value |
|
Energy Equipment & Services (continued) |
|
|
|
|
|
|
|
|
Vantage Drilling, Co.(g) |
|
|
|
|
311,000 |
|
|
$ |
2,892 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,714,849 |
|
Health Care Providers & Services 0.1% |
|
|
|
|
|
|
|
|
Centene Corp.(g) |
|
|
|
|
39,892 |
|
|
|
4,024,305 |
|
UnitedHealth Group, Inc. |
|
|
|
|
16,860 |
|
|
|
3,716,956 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,741,261 |
|
Internet Software & Services 0.0% |
|
|
|
|
|
|
|
|
Alibaba Group Holding Ltd. - ADR(g) |
|
|
|
|
11,046 |
|
|
|
1,904,662 |
|
|
|
|
|
|
|
|
|
|
|
|
Media 0.0% |
|
|
|
|
|
|
|
|
Altice USA, Inc., Class A |
|
|
|
|
120,464 |
|
|
|
2,557,451 |
|
|
|
|
|
|
|
|
|
|
|
|
Metals & Mining 0.0% |
|
|
|
|
|
|
|
|
Northern Graphite Corp.(g) |
|
|
|
|
99,612 |
|
|
|
38,434 |
|
|
|
|
|
|
|
|
|
|
|
|
Oil, Gas & Consumable Fuels 0.0% |
|
|
|
|
|
|
|
|
Matador Resources Co.(g)(i) |
|
|
|
|
127,594 |
|
|
|
3,972,001 |
|
|
|
|
|
|
|
|
|
|
|
|
Pharmaceuticals 0.0% |
|
|
|
|
|
|
|
|
Valeant Pharmaceuticals International, Inc. |
|
|
|
|
10,001 |
|
|
|
207,821 |
|
|
|
|
|
|
|
|
|
|
|
|
Real Estate Management & Development 0.0% |
|
|
|
|
Aroundtown SA |
|
|
|
|
125,201 |
|
|
|
963,824 |
|
|
|
|
|
|
|
|
|
|
|
|
Semiconductors & Semiconductor Equipment 0.1% |
|
|
|
|
Micron Technology, Inc.(f) |
|
|
|
|
18,538 |
|
|
|
762,283 |
|
NVIDIA Corp. |
|
|
|
|
12,140 |
|
|
|
2,349,090 |
|
NXP Semiconductors NV |
|
|
|
|
11,840 |
|
|
|
1,386,346 |
|
QUALCOMM, Inc. |
|
|
|
|
65,134 |
|
|
|
4,169,879 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,667,598 |
|
Specialty Retail 0.0% |
|
|
|
|
|
|
|
|
SMCP SAS |
|
|
|
|
13,282 |
|
|
|
306,775 |
|
|
|
|
|
|
|
|
|
|
|
|
Total Common Stocks 0.6% (Cost: $62,304,392) |
|
|
|
|
|
|
|
|
70,124,829 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Par (000) |
|
|
|
|
Corporate Bonds 29.1% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Aerospace & Defense 0.4% |
|
|
|
|
|
|
|
|
BAE Systems Holdings, Inc.: |
|
|
|
|
|
|
|
|
|
|
2.85%, 12/15/20(b) |
|
USD |
|
|
1,372 |
|
|
|
1,378,166 |
|
4.75%, 10/07/44(b) |
|
|
|
|
259 |
|
|
|
289,180 |
|
Lockheed Martin Corp.: |
|
|
|
|
|
|
|
|
|
|
3.55%, 01/15/26 |
|
|
|
|
1,596 |
|
|
|
1,657,247 |
|
3.60%, 03/01/35 |
|
|
|
|
4,194 |
|
|
|
4,227,787 |
|
4.50%, 05/15/36 |
|
|
|
|
632 |
|
|
|
708,661 |
|
4.07%, 12/15/42 |
|
|
|
|
2,100 |
|
|
|
2,210,755 |
|
4.09%, 09/15/52 |
|
|
|
|
2,073 |
|
|
|
2,170,030 |
|
Meccanica Holdings USA, Inc., 6.25%, 01/15/40(b)
|
|
|
|
|
117 |
|
|
|
136,020 |
|
Northrop Grumman Corp.: |
|
|
|
|
|
|
|
|
|
|
2.93%, 01/15/25 |
|
|
|
|
10,230 |
|
|
|
10,169,219 |
|
3.85%, 04/15/45 |
|
|
|
|
2,310 |
|
|
|
2,328,259 |
|
United Technologies Corp.: |
|
|
|
|
|
|
|
|
|
|
1.78%, 05/04/18(c) |
|
|
|
|
8,656 |
|
|
|
8,642,763 |
|
4.15%, 05/15/45 |
|
|
|
|
2,411 |
|
|
|
2,568,349 |
|
4.05%, 05/04/47 |
|
|
|
|
7,250 |
|
|
|
7,588,420 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
44,074,856 |
|
Air Freight & Logistics 0.1% |
|
|
|
|
|
|
|
|
FedEx Corp.: |
|
|
|
|
|
|
|
|
|
|
4.90%, 01/15/34 |
|
|
|
|
2,970 |
|
|
|
3,366,662 |
|
3.90%, 02/01/35 |
|
|
|
|
5,324 |
|
|
|
5,408,571 |
|
WFS Global Holding SAS, 9.50%, 07/15/22 |
|
EUR |
|
|
200 |
|
|
|
255,771 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,031,004 |
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
|
|
Par (000) |
|
|
Value |
|
Airlines 0.3% |
|
|
|
|
|
|
|
|
American Airlines Group, Inc., 4.63%, 03/01/20(b)
|
|
USD |
|
|
3,144 |
|
|
$ |
3,195,090 |
|
American Airlines Pass-Through Trust, Series 2015-1,
Class A, 3.38%, 05/01/27 |
|
|
|
|
7,935 |
|
|
|
7,926,723 |
|
ANA Holdings, Inc.: |
|
|
|
|
|
|
|
|
|
|
0.00%, 09/16/22(j)(k) |
|
JPY |
|
|
10,000 |
|
|
|
95,296 |
|
0.00%, 09/19/24(j)(k) |
|
|
|
|
60,000 |
|
|
|
577,768 |
|
Avianca Holdings SA/Avianca Leasing LLC/Grupo Taca Holdings Ltd., 8.38%, 05/10/20 |
|
USD |
|
|
1,017 |
|
|
|
1,023,356 |
|
Delta Air Lines, Inc., 2.88%, 03/13/20 |
|
|
|
|
23,797 |
|
|
|
23,935,088 |
|
Gol Finance, Inc., 7.00%, 01/31/25(b) |
|
|
|
|
1,919 |
|
|
|
1,886,396 |
|
Turkish Airlines Pass-Through Trust, Series 2015-1,
Class A, 4.20%, 03/15/27(b) |
|
|
|
|
1,689 |
|
|
|
1,642,964 |
|
United Airlines Pass-Through Trust, Series 2014-1, Class B,
4.75%, 10/11/23 |
|
|
|
|
407 |
|
|
|
420,480 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
40,703,161 |
|
Auto Components 0.1% |
|
|
|
|
|
|
|
|
Adient Global Holdings Ltd., 3.50%, 08/15/24 |
|
EUR |
|
|
520 |
|
|
|
665,760 |
|
Aptiv PLC: |
|
|
|
|
|
|
|
|
|
|
4.25%, 01/15/26 |
|
USD |
|
|
4,053 |
|
|
|
4,301,136 |
|
4.40%, 10/01/46 |
|
|
|
|
3,304 |
|
|
|
3,403,372 |
|
Grupo-Antolin Irausa SA, 3.25%, 04/30/24 |
|
EUR |
|
|
100 |
|
|
|
124,772 |
|
ZF North America Capital, Inc., 2.75%, 04/27/23 |
|
|
|
|
2,000 |
|
|
|
2,618,545 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,113,585 |
|
Automobiles 0.0% |
|
|
|
|
|
|
|
|
Volkswagen Leasing GmbH, 1.13%, 04/04/24 |
|
|
|
|
1,055 |
|
|
|
1,274,056 |
|
|
|
|
|
|
|
|
|
|
|
|
Banks 5.8% |
|
|
|
|
|
|
|
|
Asian Development Bank, 5.90%, 12/20/22 |
|
INR |
|
|
224,060 |
|
|
|
3,459,428 |
|
Banco Espirito Santo SA: |
|
|
|
|
|
|
|
|
|
|
2.63%, 05/08/17(g)(l) |
|
EUR |
|
|
400 |
|
|
|
143,982 |
|
4.75%, 01/15/18(g)(l) |
|
|
|
|
2,200 |
|
|
|
772,101 |
|
4.00%, 01/21/19(g)(l) |
|
|
|
|
6,300 |
|
|
|
2,267,710 |
|
Bank of America Corp.: |
|
|
|
|
|
|
|
|
|
|
2.25%, 04/21/20 |
|
USD |
|
|
7,485 |
|
|
|
7,490,229 |
|
(3 mo. LIBOR US + 0.000%), 2.37%, 07/21/21(m)
|
|
|
|
|
27,085 |
|
|
|
27,037,558 |
|
(3 mo. LIBOR US + 0.000%), 2.33%, 10/01/21(m)
|
|
|
|
|
52,140 |
|
|
|
51,993,012 |
|
3.30%, 01/11/23 |
|
|
|
|
7,777 |
|
|
|
7,955,871 |
|
3.88%, 08/01/25 |
|
|
|
|
13,368 |
|
|
|
14,100,952 |
|
3.50%, 04/19/26 |
|
|
|
|
10,681 |
|
|
|
10,920,286 |
|
3.25%, 10/21/27 |
|
|
|
|
4,930 |
|
|
|
4,892,134 |
|
4.18%, 11/25/27 |
|
|
|
|
13,350 |
|
|
|
13,940,956 |
|
(3 mo. LIBOR US + 0.000%), 3.59%, 07/21/28(m)
|
|
|
|
|
2,095 |
|
|
|
2,129,471 |
|
Bankia SA: |
|
|
|
|
|
|
|
|
|
|
(5 yr. Euro Swap + 0.000%), 4.00%, 05/22/24(m)
|
|
EUR |
|
|
1,600 |
|
|
|
1,996,610 |
|
(5 yr. Euro Swap + 0.000%), 3.38%, 03/15/27(m)
|
|
|
|
|
100 |
|
|
|
125,899 |
|
Barclays PLC, 4.95%, 01/10/47 |
|
USD |
|
|
7,178 |
|
|
|
7,965,177 |
|
BB&T Corp., 2.45%, 01/15/20 |
|
|
|
|
4,200 |
|
|
|
4,213,901 |
|
BNP Paribas SA: |
|
|
|
|
|
|
|
|
|
|
2.95%, 05/23/22(b) |
|
|
|
|
15,300 |
|
|
|
15,333,286 |
|
3.80%, 01/10/24(b) |
|
|
|
|
5,362 |
|
|
|
5,547,652 |
|
BPCE SA, 3.00%, 05/22/22(b) |
|
|
|
|
9,005 |
|
|
|
9,000,011 |
|
Branch Banking & Trust Co., 2.30%, 10/15/18 |
|
|
|
|
1,855 |
|
|
|
1,858,431 |
|
CaixaBank SA, (5 yr. Euro Swap + 0.000%), 2.75%, 07/14/28(m) |
|
EUR |
|
|
600 |
|
|
|
732,590 |
|
|
|
|
12 |
|
2017 BLACKROCK QUARTERLY REPORT TO SHAREHOLDERS |
|
|
|
Consolidated Schedule of Investments (unaudited) (continued) |
|
Master Total Return Portfolio of Master Bond LLC |
December 31, 2017 |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
Security |
|
|
|
Par (000) |
|
|
Value |
|
Banks (continued) |
|
|
|
|
|
|
|
|
Chong Hing Bank Ltd., (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 0.000%),
3.88%, 07/26/27(m) |
|
USD |
|
|
670 |
|
|
$ |
665,082 |
|
Citigroup, Inc.: |
|
|
|
|
|
|
|
|
|
|
1.80%, 02/05/18 |
|
|
|
|
6,961 |
|
|
|
6,960,271 |
|
2.50%, 07/29/19 |
|
|
|
|
10,612 |
|
|
|
10,644,566 |
|
2.90%, 12/08/21 |
|
|
|
|
17,940 |
|
|
|
18,058,059 |
|
3.50%, 05/15/23 |
|
|
|
|
4,389 |
|
|
|
4,467,512 |
|
3.88%, 03/26/25 |
|
|
|
|
4,740 |
|
|
|
4,852,094 |
|
(3 mo. LIBOR US + 0.000%), 3.89%, 01/10/28(m)
|
|
|
|
|
3,255 |
|
|
|
3,369,191 |
|
(3 mo. LIBOR US + 0.000%), 3.67%, 07/24/28(m)
|
|
|
|
|
17,145 |
|
|
|
17,394,450 |
|
4.13%, 07/25/28 |
|
|
|
|
16,343 |
|
|
|
16,843,997 |
|
Citizens Bank N.A.: |
|
|
|
|
|
|
|
|
|
|
2.30%, 12/03/18 |
|
|
|
|
2,754 |
|
|
|
2,755,884 |
|
2.25%, 03/02/20 |
|
|
|
|
14,776 |
|
|
|
14,705,633 |
|
2.65%, 05/26/22 |
|
|
|
|
15,070 |
|
|
|
14,932,181 |
|
Commonwealth Bank of Australia, 3.90%, 07/12/47 |
|
|
|
|
700 |
|
|
|
715,582 |
|
Credit Agricole SA, 3.25%, 10/04/24(b) |
|
|
|
|
14,160 |
|
|
|
14,064,736 |
|
Credit Mutuel Arkea SA, (5 yr. EURIBOR A (1100 Fft) + 0.000%), 1.88%, 10/25/29(m) |
|
EUR |
|
|
600 |
|
|
|
722,615 |
|
Dah Sing Bank Ltd., (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 0.000%),
4.25%, 11/30/26(m) |
|
USD |
|
|
350 |
|
|
|
354,027 |
|
Fifth Third Bank, 2.25%, 06/14/21 |
|
|
|
|
7,204 |
|
|
|
7,135,130 |
|
HSBC Holdings PLC: |
|
|
|
|
|
|
|
|
|
|
2.65%, 01/05/22 |
|
|
|
|
26,189 |
|
|
|
26,015,167 |
|
(3 mo. LIBOR US + 0.000%), 4.04%, 03/13/28(m)
|
|
|
|
|
4,077 |
|
|
|
4,248,803 |
|
ING Groep NV, (5 yr. Euro Swap + 0.000%), 1.63%, 09/26/29(m) |
|
EUR |
|
|
900 |
|
|
|
1,082,242 |
|
Intesa Sanpaolo SpA: |
|
|
|
|
|
|
|
|
|
|
3.13%, 07/14/22(b) |
|
USD |
|
|
13,725 |
|
|
|
13,626,028 |
|
5.02%, 06/26/24(b) |
|
|
|
|
15,696 |
|
|
|
16,071,493 |
|
Inversiones Atlantida SA, 8.25%, 07/28/22(b)
|
|
|
|
|
829 |
|
|
|
856,979 |
|
JPMorgan Chase & Co.: |
|
|
|
|
|
|
|
|
|
|
2.97%, 01/15/23 |
|
|
|
|
32,480 |
|
|
|
32,752,371 |
|
3.90%, 07/15/25 |
|
|
|
|
4,236 |
|
|
|
4,440,781 |
|
(3 mo. LIBOR US + 0.000%), 3.54%, 05/01/28(m)
|
|
|
|
|
6,390 |
|
|
|
6,500,844 |
|
(3 mo. LIBOR US + 0.000%), 3.88%, 07/24/38(m)
|
|
|
|
|
30,210 |
|
|
|
31,054,909 |
|
Lloyds Banking Group PLC, 3.75%, 01/11/27 |
|
|
|
|
5,024 |
|
|
|
5,102,037 |
|
Mitsubishi UFJ Financial Group, Inc., 3.00%, 02/22/22 |
|
|
|
|
12,326 |
|
|
|
12,404,303 |
|
Mizuho Financial Group, Inc., 2.95%, 02/28/22 . |
|
|
|
|
36,366 |
|
|
|
36,401,585 |
|
National Bank of Greece SA, 2.75%, 10/19/20 |
|
EUR |
|
|
2,750 |
|
|
|
3,329,086 |
|
Royal Bank of Scotland Group PLC: |
|
|
|
|
|
|
|
|
|
|
(3 mo. LIBOR US + 1.470%), 2.89%, 05/15/23(a)
|
|
USD |
|
|
16,090 |
|
|
|
16,266,252 |
|
(3 mo. LIBOR US + 0.000%), 3.50%, 05/15/23(m)
|
|
|
|
|
13,525 |
|
|
|
13,554,488 |
|
Santander Holdings USA, Inc.: |
|
|
|
|
|
|
|
|
|
|
3.70%, 03/28/22(b) |
|
|
|
|
3,310 |
|
|
|
3,349,832 |
|
3.40%, 01/18/23(b) |
|
|
|
|
11,595 |
|
|
|
11,549,820 |
|
Santander UK Group Holdings PLC, 2.88%, 08/05/21 |
|
|
|
|
14,289 |
|
|
|
14,253,992 |
|
Shizuoka Bank Ltd., 0.00%, 04/25/18(j)(k) |
|
|
|
|
800 |
|
|
|
791,000 |
|
Sumitomo Mitsui Trust Bank Ltd.: |
|
|
|
|
|
|
|
|
|
|
2.05%, 03/06/19(b) |
|
|
|
|
44,355 |
|
|
|
44,240,078 |
|
1.95%, 09/19/19(b) |
|
|
|
|
15,285 |
|
|
|
15,162,910 |
|
U.S. Bancorp: |
|
|
|
|
|
|
|
|
|
|
2.95%, 07/15/22 |
|
|
|
|
7,244 |
|
|
|
7,341,693 |
|
3.15%, 04/27/27 |
|
|
|
|
3,630 |
|
|
|
3,636,645 |
|
UniCredit SpA: |
|
|
|
|
|
|
|
|
|
|
6.95%, 10/31/22 |
|
EUR |
|
|
100 |
|
|
|
147,526 |
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
|
|
Par (000) |
|
|
Value |
|
Banks (continued) |
|
|
|
|
|
|
|
|
UniCredit SpA: (continued) |
|
|
|
|
|
|
|
|
|
|
(5 yr. Euro Swap + 0.000%), 5.75%, 10/28/25(m)
|
|
EUR |
|
|
1,410 |
|
|
$ |
1,880,654 |
|
(USD Swap Rate 11:00 am NY 1 + 0.000%),
5.86%, 06/19/32(b)(m) |
|
USD |
|
|
17,692 |
|
|
|
18,851,852 |
|
Union Bank of the Philippines, 3.37%, 11/29/22 . |
|
|
|
|
1,120 |
|
|
|
1,119,163 |
|
Washington Mutual Escrow Bonds, 0.00%(d)(g)(l)(n)
|
|
|
|
|
30,904 |
|
|
|
2 |
|
Wells Fargo & Co.: |
|
|
|
|
|
|
|
|
|
|
2.60%, 07/22/20 |
|
|
|
|
4,233 |
|
|
|
4,259,066 |
|
2.55%, 12/07/20 |
|
|
|
|
3,376 |
|
|
|
3,389,675 |
|
2.10%, 07/26/21 |
|
|
|
|
3,400 |
|
|
|
3,343,072 |
|
2.63%, 07/22/22 |
|
|
|
|
24,125 |
|
|
|
23,995,239 |
|
Wing Lung Bank Ltd., 3.75%, 11/22/27(e) |
|
|
|
|
1,230 |
|
|
|
1,217,577 |
|
Woori Bank, 4.75%, 04/30/24 |
|
|
|
|
1,800 |
|
|
|
1,885,567 |
|
Yamaguchi Financial Group, Inc., (3 mo. LIBOR US - 0.500%), 1.17%, 03/26/20(a)(j) |
|
|
|
|
1,000 |
|
|
|
1,043,250 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
717,684,238 |
|
Beverages 0.5% |
|
|
|
|
|
|
|
|
Anheuser-Busch InBev Finance, Inc.: |
|
|
|
|
|
|
|
|
|
|
2.65%, 02/01/21 |
|
|
|
|
11,072 |
|
|
|
11,127,556 |
|
3.30%, 02/01/23 |
|
|
|
|
6,425 |
|
|
|
6,574,659 |
|
3.65%, 02/01/26 |
|
|
|
|
32,500 |
|
|
|
33,539,270 |
|
4.70%, 02/01/36 |
|
|
|
|
4,315 |
|
|
|
4,824,815 |
|
Anheuser-Busch InBev SA/NV, 2.00%, 03/17/28 |
|
EUR |
|
|
690 |
|
|
|
883,999 |
|
Central American Bottling Corp., 5.75%, 01/31/27(b)
|
|
USD |
|
|
468 |
|
|
|
492,125 |
|
China Huiyuan Juice Group Ltd., 6.50%, 08/16/20 |
|
|
|
|
400 |
|
|
|
397,863 |
|
Coca-Cola Icecek AS, 4.22%, 09/19/24(b) |
|
|
|
|
1,270 |
|
|
|
1,289,242 |
|
Heineken NV, 1.50%, 10/03/29 |
|
EUR |
|
|
1,500 |
|
|
|
1,802,809 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
60,932,338 |
|
Biotechnology 0.8% |
|
|
|
|
|
|
|
|
AbbVie, Inc.: |
|
|
|
|
|
|
|
|
|
|
2.50%, 05/14/20 |
|
USD |
|
|
6,302 |
|
|
|
6,321,421 |
|
2.90%, 11/06/22 |
|
|
|
|
5,173 |
|
|
|
5,188,044 |
|
4.50%, 05/14/35 |
|
|
|
|
35,610 |
|
|
|
39,111,948 |
|
Amgen, Inc.: |
|
|
|
|
|
|
|
|
|
|
2.13%, 05/01/20 |
|
|
|
|
4,058 |
|
|
|
4,036,412 |
|
4.40%, 05/01/45 |
|
|
|
|
6,271 |
|
|
|
6,823,090 |
|
Baxalta, Inc., 4.00%, 06/23/25 |
|
|
|
|
9,045 |
|
|
|
9,348,711 |
|
Gilead Sciences, Inc.: |
|
|
|
|
|
|
|
|
|
|
2.35%, 02/01/20 |
|
|
|
|
1,209 |
|
|
|
1,214,655 |
|
2.50%, 09/01/23 |
|
|
|
|
3,486 |
|
|
|
3,441,457 |
|
4.60%, 09/01/35 |
|
|
|
|
1,057 |
|
|
|
1,191,000 |
|
4.00%, 09/01/36 |
|
|
|
|
17,640 |
|
|
|
18,661,860 |
|
4.50%, 02/01/45 |
|
|
|
|
2,446 |
|
|
|
2,718,546 |
|
4.15%, 03/01/47 |
|
|
|
|
2,451 |
|
|
|
2,607,070 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
100,664,214 |
|
Building Products 0.2% |
|
|
|
|
|
|
|
|
CRH America Finance, Inc., 3.40%, 05/09/27(b)
. |
|
|
|
|
5,790 |
|
|
|
5,788,685 |
|
Johnson Controls International PLC, 5.13%, 09/14/45 |
|
|
|
|
5,000 |
|
|
|
5,869,356 |
|
LIXIL Group Corp.: |
|
|
|
|
|
|
|
|
|
|
0.00%, 03/04/20(j)(k) |
|
JPY |
|
|
80,000 |
|
|
|
733,082 |
|
0.00%, 03/04/22(j)(k) |
|
|
|
|
30,000 |
|
|
|
283,426 |
|
Ply Gem Industries, Inc., 6.50%, 02/01/22 |
|
USD |
|
|
6,082 |
|
|
|
6,279,665 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
18,954,214 |
|
Capital Markets 1.5% |
|
|
|
|
|
|
|
|
Bagan Capital Ltd., 0.00%, 09/23/21(j)(k) |
|
|
|
|
1,800 |
|
|
|
1,874,700 |
|
CCTI 2017 Ltd., 3.63%, 08/08/22 |
|
|
|
|
1,675 |
|
|
|
1,648,639 |
|
CPUK Finance Ltd., 4.25%, 08/28/22 |
|
GBP |
|
|
150 |
|
|
|
206,185 |
|
Credit Suisse AG, 3.00%, 10/29/21 |
|
USD |
|
|
2,841 |
|
|
|
2,870,150 |
|
Credit Suisse Group AG, 4.28%, 01/09/28(b) |
|
|
|
|
2,313 |
|
|
|
2,411,533 |
|
|
|
|
|
|
CONSOLIDATED SCHEDULE OF INVESTMENTS |
|
|
13 |
|
|
|
|
Consolidated Schedule of Investments (unaudited) (continued) |
|
Master Total Return Portfolio of Master Bond LLC |
December 31, 2017 |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
Security |
|
|
|
Par
(000) |
|
|
Value |
|
Capital Markets (continued) |
|
|
|
|
|
|
|
|
Credit Suisse Group Funding Guernsey Ltd.: |
|
|
|
|
|
|
|
|
|
|
2.75%, 03/26/20 |
|
USD |
|
|
7,681 |
|
|
$ |
7,710,947 |
|
4.88%, 05/15/45 |
|
|
|
|
2,635 |
|
|
|
3,032,991 |
|
Goldman Sachs Group, Inc.: |
|
|
|
|
|
|
|
|
|
|
2.63%, 01/31/19 |
|
|
|
|
10,208 |
|
|
|
10,252,099 |
|
2.00%, 04/25/19 |
|
|
|
|
2,308 |
|
|
|
2,301,042 |
|
2.60%, 04/23/20 |
|
|
|
|
5,099 |
|
|
|
5,105,943 |
|
2.75%, 09/15/20 |
|
|
|
|
2,492 |
|
|
|
2,504,453 |
|
2.63%, 04/25/21 |
|
|
|
|
4,993 |
|
|
|
4,989,530 |
|
2.35%, 11/15/21 |
|
|
|
|
14,988 |
|
|
|
14,760,774 |
|
(3 mo. LIBOR US + 0.000%), 4.02%, 10/31/38(m)
|
|
|
|
|
4,160 |
|
|
|
4,278,109 |
|
Haitong International Securities Group Ltd.,
0.00%, 10/25/21(j)(k) |
|
HKD |
|
|
12,000 |
|
|
|
1,549,371 |
|
Lehman Brothers Holdings, Inc., 6.75%, 12/28/17(d)
|
|
USD |
|
|
7,360 |
|
|
|
1 |
|
Macquarie Group Ltd.: |
|
|
|
|
|
|
|
|
|
|
(3 mo. LIBOR US + 0.000%), 3.19%, 11/28/23(m)
|
|
|
|
|
1,900 |
|
|
|
1,886,776 |
|
(3 mo. LIBOR US + 0.000%), 3.76%, 11/28/28(m)
|
|
|
|
|
1,400 |
|
|
|
1,391,530 |
|
Modernland Overseas Pte Ltd., 6.95%, 04/13/24 |
|
|
|
|
500 |
|
|
|
510,321 |
|
Moodys Corp., 2.75%, 12/15/21 |
|
|
|
|
6,246 |
|
|
|
6,253,833 |
|
Morgan Stanley: |
|
|
|
|
|
|
|
|
|
|
2.80%, 06/16/20 |
|
|
|
|
8,614 |
|
|
|
8,691,721 |
|
2.75%, 05/19/22 |
|
|
|
|
34,460 |
|
|
|
34,333,510 |
|
3.75%, 02/25/23 |
|
|
|
|
5,956 |
|
|
|
6,172,568 |
|
3.70%, 10/23/24 |
|
|
|
|
6,314 |
|
|
|
6,524,430 |
|
(3 mo. LIBOR US + 0.000%), 3.59%, 07/22/28(m)
|
|
|
|
|
20,490 |
|
|
|
20,678,585 |
|
(3 mo. LIBOR US + 0.000%), 3.97%, 07/22/38(m)
|
|
|
|
|
7,355 |
|
|
|
7,616,061 |
|
Northern Trust Corp., (3 mo. LIBOR US + 0.000%), 3.38%, 05/08/32(m) |
|
|
|
|
5,200 |
|
|
|
5,180,724 |
|
SBI Holdings, Inc., 0.00%, 09/14/22(j)(k) |
|
JPY |
|
|
140,000 |
|
|
|
1,755,048 |
|
State Street Corp., 2.65%, 05/19/26 |
|
USD |
|
|
3,056 |
|
|
|
2,972,920 |
|
UBS Group Funding Switzerland AG: |
|
|
|
|
|
|
|
|
|
|
4.13%, 09/24/25(b) |
|
|
|
|
2,534 |
|
|
|
2,659,316 |
|
4.25%, 03/23/28(b) |
|
|
|
|
16,171 |
|
|
|
17,039,197 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
189,163,007 |
|
Chemicals 0.2% |
|
|
|
|
|
|
|
|
Agrium, Inc., 4.13%, 03/15/35(o) |
|
|
|
|
2,135 |
|
|
|
2,205,647 |
|
CTC BondCo GmbH, 5.25%, 12/15/25 |
|
EUR |
|
|
200 |
|
|
|
240,058 |
|
Cydsa SAB de CV, 6.25%, 10/04/27(b) |
|
USD |
|
|
1,904 |
|
|
|
1,920,660 |
|
Dow Chemical Co.: |
|
|
|
|
|
|
|
|
|
|
4.38%, 11/15/42 |
|
|
|
|
1,370 |
|
|
|
1,441,462 |
|
4.63%, 10/01/44 |
|
|
|
|
2,072 |
|
|
|
2,265,103 |
|
E.I. du Pont de Nemours & Co., 2.20%, 05/01/20 |
|
|
|
|
2,765 |
|
|
|
2,762,563 |
|
Eastman Chemical Co., 4.80%, 09/01/42 |
|
|
|
|
2,205 |
|
|
|
2,424,464 |
|
Kansai Paint Co. Ltd.: |
|
|
|
|
|
|
|
|
|
|
0.00%, 06/17/19(j)(k) |
|
JPY |
|
|
90,000 |
|
|
|
917,573 |
|
0.00%, 06/17/22(j)(k) |
|
|
|
|
80,000 |
|
|
|
785,445 |
|
Mexichem SAB de CV, 5.50%, 01/15/48(b) |
|
USD |
|
|
1,440 |
|
|
|
1,402,200 |
|
Mitsubishi Chemical Holdings Corp.: |
|
|
|
|
|
|
|
|
|
|
0.00%, 03/30/22(j)(k) |
|
JPY |
|
|
150,000 |
|
|
|
1,490,681 |
|
0.00%, 03/29/24(j)(k) |
|
|
|
|
40,000 |
|
|
|
408,254 |
|
Monsanto Co., 3.60%, 07/15/42 |
|
USD |
|
|
2,845 |
|
|
|
2,606,633 |
|
Rock International Investment, Inc., 6.63%, 03/27/20 |
|
|
|
|
562 |
|
|
|
538,162 |
|
Sherwin-Williams Co.: |
|
|
|
|
|
|
|
|
|
|
4.00%, 12/15/42 |
|
|
|
|
971 |
|
|
|
973,622 |
|
4.50%, 06/01/47 |
|
|
|
|
2,050 |
|
|
|
2,241,356 |
|
Tianqi Finco Co. Ltd., 3.75%, 11/28/22 |
|
|
|
|
292 |
|
|
|
287,755 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
|
|
|
Par (000) |
|
|
Value |
|
Chemicals (continued) |
|
|
|
|
|
|
|
|
|
Toray Industries, Inc., 0.00%, 08/30/19(j)(k) |
|
|
JPY |
|
|
|
50,000 |
|
|
$ |
540,271 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
25,451,909 |
|
Commercial Services & Supplies 0.4% |
|
|
|
|
|
|
|
Asia View Ltd., 1.50%, 08/08/19(j) |
|
|
USD |
|
|
|
500 |
|
|
|
548,625 |
|
Aviation Capital Group Corp., 2.88%, 09/17/18(b)
|
|
|
|
|
|
|
6,335 |
|
|
|
6,356,257 |
|
Cia Latinoamericana de Infraestructura & Servicios SA, 9.50%, 07/20/23(b) |
|
|
|
|
|
|
102 |
|
|
|
108,635 |
|
Northwestern University, 3.66%, 12/01/57 |
|
|
|
|
|
|
8,349 |
|
|
|
8,581,108 |
|
Pitney Bowes, Inc., 4.13%, 05/15/22 |
|
|
|
|
|
|
9,471 |
|
|
|
8,701,481 |
|
RAG-Stiftung, 0.00%, 12/31/18(j)(k) |
|
|
EUR |
|
|
|
1,200 |
|
|
|
1,482,348 |
|
Rentokil Initial PLC, 0.95%, 11/22/24 |
|
|
|
|
|
|
900 |
|
|
|
1,065,446 |
|
University of Notre Dame du Lac, 3.39%, 02/15/48 |
|
|
USD |
|
|
|
4,615 |
|
|
|
4,602,721 |
|
University of Southern California, 3.03%, 10/01/39 |
|
|
|
|
|
|
2,787 |
|
|
|
2,660,333 |
|
Waste Management, Inc., 3.90%, 03/01/35 |
|
|
|
|
|
|
10,726 |
|
|
|
11,244,773 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
45,351,727 |
|
Communications Equipment 0.0% |
|
|
|
|
|
|
|
|
|
Harris Corp., 2.70%, 04/27/20 |
|
|
|
|
|
|
1,299 |
|
|
|
1,304,222 |
|
Juniper Networks, Inc., 3.30%, 06/15/20 |
|
|
|
|
|
|
2,728 |
|
|
|
2,763,378 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,067,600 |
|
Construction & Engineering 0.0% |
|
|
|
|
|
|
|
|
|
China City Construction International Co. Ltd., 5.35%, 07/03/17 (g)(l) |
|
|
CNH |
|
|
|
340 |
|
|
|
36,312 |
|
China Singyes Solar Technologies Holdings Ltd., 7.95%, 02/15/19 |
|
|
USD |
|
|
|
550 |
|
|
|
550,058 |
|
GS Engineering & Construction Corp., 4.50%, 07/21/21(j) |
|
|
|
|
|
|
600 |
|
|
|
654,000 |
|
Kandenko Co. Ltd., 0.00%, 03/31/21(j)(k) |
|
|
JPY |
|
|
|
30,000 |
|
|
|
308,853 |
|
Shimizu Corp., 0.00%, 10/16/20(j)(k) |
|
|
|
|
|
|
50,000 |
|
|
|
482,805 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,032,028 |
|
Construction Materials 0.1% |
|
|
|
|
|
|
|
|
|
Buzzi Unicem SpA, 2.13%, 04/28/23 |
|
|
EUR |
|
|
|
1,000 |
|
|
|
1,262,136 |
|
LafargeHolcim Finance U.S. LLC, 4.75%, 09/22/46(b)
|
|
|
USD |
|
|
|
6,995 |
|
|
|
7,410,684 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,672,820 |
|
Consumer Finance 0.8% |
|
|
|
|
|
|
|
|
|
American Express Credit Corp.: |
|
|
|
|
|
|
|
|
|
|
|
|
2.25%, 08/15/19 |
|
|
|
|
|
|
6,261 |
|
|
|
6,274,080 |
|
3.30%, 05/03/27 |
|
|
|
|
|
|
2,465 |
|
|
|
2,501,414 |
|
Credivalores-Crediservicios SAS, 9.75%, 07/27/22(b)
|
|
|
|
|
|
|
1,882 |
|
|
|
1,952,575 |
|
Discover Financial Services, 4.10%, 02/09/27 |
|
|
|
|
|
|
3,062 |
|
|
|
3,136,503 |
|
Ford Motor Credit Co. LLC, 3.22%, 01/09/22 |
|
|
|
|
|
|
31,165 |
|
|
|
31,357,003 |
|
General Motors Financial Co., Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
3.10%, 01/15/19 |
|
|
|
|
|
|
1,546 |
|
|
|
1,554,274 |
|
3.70%, 11/24/20 |
|
|
|
|
|
|
4,313 |
|
|
|
4,427,652 |
|
3.20%, 07/06/21 |
|
|
|
|
|
|
15,382 |
|
|
|
15,532,143 |
|
3.15%, 06/30/22 |
|
|
|
|
|
|
15,215 |
|
|
|
15,203,167 |
|
4.00%, 01/15/25 |
|
|
|
|
|
|
6,362 |
|
|
|
6,536,763 |
|
Hyundai Capital Services, Inc., 3.00%, 08/29/22 |
|
|
|
|
|
|
1,150 |
|
|
|
1,126,482 |
|
Synchrony Financial: |
|
|
|
|
|
|
|
|
|
|
|
|
2.60%, 01/15/19 |
|
|
|
|
|
|
3,356 |
|
|
|
3,362,349 |
|
2.70%, 02/03/20 |
|
|
|
|
|
|
1,986 |
|
|
|
1,990,964 |
|
4.50%, 07/23/25 |
|
|
|
|
|
|
4,007 |
|
|
|
4,187,332 |
|
Tarjeta Naranja SA, (30 to 35 Days Argentina Deposit Rates Badlar Private Banks + 3.500%),
26.56%, 04/11/22(a)(b) |
|
|
|
|
|
|
3,141 |
|
|
|
3,054,622 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
102,197,323 |
|
|
|
|
14 |
|
2017 BLACKROCK QUARTERLY REPORT TO SHAREHOLDERS |
|
|
|
Consolidated Schedule of Investments (unaudited) (continued) |
|
Master Total Return Portfolio of Master Bond LLC |
December 31, 2017 |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
Security |
|
|
|
Par
(000) |
|
|
Value |
|
Containers & Packaging 0.2% |
|
|
|
|
|
|
|
|
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc., 6.75%, 05/15/24 |
|
EUR |
|
|
100 |
|
|
$ |
131,945 |
|
DS Smith PLC, 1.38%, 07/26/24 |
|
|
|
|
2,800 |
|
|
|
3,371,228 |
|
International Paper Co., 4.35%, 08/15/48 |
|
USD |
|
|
14,560 |
|
|
|
15,201,184 |
|
Kleopatra Holdings 1 SCA, 8.50% (8.50% Cash or 8.50% PIK), 06/30/23(p) |
|
EUR |
|
|
700 |
|
|
|
852,298 |
|
Overseas Chinese Town Asia Holdings Ltd., (3 yr. US Treasury Yield Curve Rate T Note Constant Maturity +
0.000%), 4.30%(m)(n) |
|
USD |
|
|
1,485 |
|
|
|
1,477,669 |
|
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Luxembourg SA,
5.75%, 10/15/20 |
|
|
|
|
5,984 |
|
|
|
6,074,004 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
27,108,328 |
|
Distributors 0.0% |
|
|
|
|
|
|
|
|
Docuformas SAPI de CV, 9.25%, 10/11/22(b) |
|
|
|
|
952 |
|
|
|
940,100 |
|
|
|
|
|
|
|
|
|
|
|
|
Diversified Consumer Services 0.0% |
|
|
|
|
|
|
|
|
Massachusetts Institute of Technology, 3.96%, 07/01/38 |
|
|
|
|
1,385 |
|
|
|
1,527,246 |
|
Wesleyan University, 4.78%, 07/01/16 |
|
|
|
|
2,607 |
|
|
|
2,767,434 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,294,680 |
|
Diversified Financial Services 1.8% |
|
|
|
|
|
|
|
|
AerCap Ireland Capital DAC/AerCap Global Aviation Trust: |
|
|
|
|
|
|
|
|
|
|
4.63%, 10/30/20 |
|
|
|
|
12,390 |
|
|
|
12,988,210 |
|
3.50%, 05/26/22 |
|
|
|
|
14,561 |
|
|
|
14,777,375 |
|
Altice Financing SA: |
|
|
|
|
|
|
|
|
|
|
6.63%, 02/15/23(b) |
|
|
|
|
200 |
|
|
|
209,420 |
|
7.50%, 05/15/26(b) |
|
|
|
|
3,690 |
|
|
|
3,929,850 |
|
Arrow Global Finance PLC, 5.13%, 09/15/24 |
|
GBP |
|
|
100 |
|
|
|
136,331 |
|
AYC Finance Ltd., 0.50%, 05/02/19(j) |
|
USD |
|
|
600 |
|
|
|
666,000 |
|
Banca IFIS SpA, (5 yr. Euro Swap + 0.000%), 4.50%, 10/17/27(m) |
|
EUR |
|
|
1,475 |
|
|
|
1,789,871 |
|
Baoxin Auto Finance I Ltd., (3 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 0.000%),
5.63%(m) |
|
USD |
|
|
1,400 |
|
|
|
1,380,866 |
|
BHP Billiton Finance USA Ltd., 5.00%, 09/30/43(q)
|
|
|
|
|
5,540 |
|
|
|
6,792,298 |
|
Blackstone Holdings Finance Co. LLC, 4.00%, 10/02/47(b)
|
|
|
|
|
6,920 |
|
|
|
6,892,513 |
|
BP Capital Markets PLC, 3.22%, 04/14/24 |
|
|
|
|
14,230 |
|
|
|
14,580,534 |
|
Cabot Financial Luxembourg SA, 7.50%, 10/01/23 |
|
GBP |
|
|
400 |
|
|
|
564,902 |
|
Capital Stage Finance BV, (5 yr. Euro Swap + 0.000%),
5.25%(j)(m)(n) |
|
EUR |
|
|
900 |
|
|
|
1,136,555 |
|
CK Hutchison International 17 II Ltd., 3.25%, 09/29/27 |
|
USD |
|
|
600 |
|
|
|
587,270 |
|
Deutsche Telekom International Finance BV,
3.60%, 01/19/27(b) |
|
|
|
|
3,640 |
|
|
|
3,657,659 |
|
EC Finance PLC, 2.38%, 11/15/22 |
|
EUR |
|
|
100 |
|
|
|
122,736 |
|
Enel Finance International NV: |
|
|
|
|
|
|
|
|
|
|
2.88%, 05/25/22(b) |
|
USD |
|
|
11,450 |
|
|
|
11,418,881 |
|
3.63%, 05/25/27(b) |
|
|
|
|
12,950 |
|
|
|
12,866,520 |
|
3.50%, 04/06/28(b) |
|
|
|
|
20,150 |
|
|
|
19,709,276 |
|
Energuate Trust, 5.88%, 05/03/27(b) |
|
|
|
|
747 |
|
|
|
772,137 |
|
Fidelity International Ltd., 2.50%, 11/04/26 |
|
EUR |
|
|
1,100 |
|
|
|
1,389,549 |
|
GE Capital International Funding Co. Unlimited Co., 4.42%, 11/15/35 |
|
USD |
|
|
16,425 |
|
|
|
17,776,064 |
|
Glencore Funding LLC, 4.00%, 03/27/27(b) |
|
|
|
|
12,200 |
|
|
|
12,249,014 |
|
Gohl Capital Ltd., 4.25%, 01/24/27 |
|
|
|
|
1,542 |
|
|
|
1,581,363 |
|
Guojing Capital BVI Ltd., 3.95%, 12/11/22 |
|
|
|
|
500 |
|
|
|
492,230 |
|
HPHT Finance 17 Ltd., 2.75%, 09/11/22 |
|
|
|
|
1,015 |
|
|
|
989,787 |
|
Huarong Universe Investment Holding Ltd., 1.63%, 12/05/22 |
|
EUR |
|
|
775 |
|
|
|
914,406 |
|
Hyundai Capital America, 2.55%, 04/03/20(b)
|
|
USD |
|
|
21,316 |
|
|
|
21,142,035 |
|
Jerrold Finco PLC: |
|
|
|
|
|
|
|
|
|
|
6.25%, 09/15/21 |
|
GBP |
|
|
700 |
|
|
|
977,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
|
|
|
Par (000) |
|
|
Value |
|
Diversified Financial Services (continued) |
|
|
|
|
|
|
|
|
|
Jerrold Finco PLC: (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
6.13%, 01/15/24 |
|
|
GBP |
|
|
|
1,100 |
|
|
$ |
1,514,552 |
|
Ladbrokes Group Finance PLC, 5.13%, 09/08/23 |
|
|
|
|
|
|
1,100 |
|
|
|
1,610,658 |
|
LHC3 PLC, 4.13% (4.13% Cash or 4.88% PIK), 08/15/24(p)
|
|
|
EUR |
|
|
|
1,138 |
|
|
|
1,394,441 |
|
Minejesa Capital BV: |
|
|
|
|
|
|
|
|
|
|
|
|
4.63%, 08/10/30 |
|
|
USD |
|
|
|
1,325 |
|
|
|
1,355,051 |
|
5.63%, 08/10/37 |
|
|
|
|
|
|
200 |
|
|
|
213,244 |
|
New Lion Bridge Co. Ltd., 9.75%, 10/10/20 |
|
|
|
|
|
|
430 |
|
|
|
435,375 |
|
ORIX Corp., 2.90%, 07/18/22 |
|
|
|
|
|
|
4,455 |
|
|
|
4,439,409 |
|
Pearl Holding III Ltd., 9.50%, 12/11/22 |
|
|
|
|
|
|
600 |
|
|
|
597,839 |
|
Prime Bloom Holdings Ltd., 6.95%, 07/05/22 |
|
|
|
|
|
|
890 |
|
|
|
838,825 |
|
Santos Finance Ltd., 4.13%, 09/14/27 |
|
|
|
|
|
|
2,200 |
|
|
|
2,169,957 |
|
Shell International Finance BV: |
|
|
|
|
|
|
|
|
|
|
|
|
4.13%, 05/11/35 |
|
|
|
|
|
|
7,018 |
|
|
|
7,655,635 |
|
3.63%, 08/21/42 |
|
|
|
|
|
|
2,135 |
|
|
|
2,107,927 |
|
3.75%, 09/12/46 |
|
|
|
|
|
|
7,015 |
|
|
|
7,154,742 |
|
Shop Direct Funding PLC, 7.75%, 11/15/22 |
|
|
GBP |
|
|
|
2,300 |
|
|
|
2,902,954 |
|
SPARC EM SPC Panama Metro Line 2 SP,
0.00%, 12/05/22(b)(k) |
|
|
USD |
|
|
|
518 |
|
|
|
475,265 |
|
Virgin Media Secured Finance PLC: |
|
|
|
|
|
|
|
|
|
|
|
|
5.50%, 01/15/25 |
|
|
GBP |
|
|
|
90 |
|
|
|
126,039 |
|
6.25%, 03/28/29 |
|
|
|
|
|
|
1,584 |
|
|
|
2,289,450 |
|
Volcan Holdings II PLC, 3.88%, 10/10/20(j)
|
|
|
|
|
|
|
1,300 |
|
|
|
1,952,650 |
|
Volcan Holdings PLC, 4.13%, 04/11/20(j) |
|
|
|
|
|
|
3,600 |
|
|
|
5,808,333 |
|
Woodside Finance Ltd., 3.65%, 03/05/25(b) |
|
|
USD |
|
|
|
562 |
|
|
|
565,408 |
|
Yunnan Energy Investment Overseas Finance Co. Ltd., 4.25%, 11/14/22 |
|
|
|
|
|
|
520 |
|
|
|
516,578 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
218,614,984 |
|
Diversified Telecommunication Services 1.4% |
|
|
|
|
Altice Finco SA, 4.75%, 01/15/28 |
|
|
EUR |
|
|
|
1,000 |
|
|
|
1,142,854 |
|
AT&T Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
4.25%, 03/01/27 |
|
|
USD |
|
|
|
6,635 |
|
|
|
6,763,829 |
|
3.90%, 08/14/27 |
|
|
|
|
|
|
8,965 |
|
|
|
9,024,902 |
|
4.30%, 02/15/30(b) |
|
|
|
|
|
|
4,243 |
|
|
|
4,231,140 |
|
5.25%, 03/01/37 |
|
|
|
|
|
|
6,954 |
|
|
|
7,354,716 |
|
5.15%, 02/14/50 |
|
|
|
|
|
|
24,260 |
|
|
|
24,562,383 |
|
Axtel SAB de CV, 6.38%, 11/14/24(b) |
|
|
|
|
|
|
1,880 |
|
|
|
1,936,400 |
|
British Telecommunications PLC, 1.00%, 11/21/24 |
|
|
EUR |
|
|
|
425 |
|
|
|
505,990 |
|
Cellnex Telecom SA, 2.38%, 01/16/24 |
|
|
|
|
|
|
900 |
|
|
|
1,090,228 |
|
OTE PLC, 3.50%, 07/09/20 |
|
|
|
|
|
|
100 |
|
|
|
126,170 |
|
Telecom Italia Finance SA, 7.75%, 01/24/33 |
|
|
|
|
|
|
780 |
|
|
|
1,437,156 |
|
Telecom Italia SpA, 1.13%, 03/26/22(j) |
|
|
|
|
|
|
5,200 |
|
|
|
6,235,707 |
|
Telenet Finance VI Luxembourg SCA, 4.88%, 07/15/27 |
|
|
|
|
|
|
100 |
|
|
|
130,196 |
|
Verizon Communications, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
(3 mo. LIBOR US + 0.550%), 2.00%, 05/22/20(a)
|
|
|
USD |
|
|
|
81,350 |
|
|
|
81,822,990 |
|
1.38%, 10/27/26 |
|
|
EUR |
|
|
|
1,270 |
|
|
|
1,514,144 |
|
4.13%, 03/16/27 |
|
|
USD |
|
|
|
12,210 |
|
|
|
12,731,525 |
|
1.88%, 10/26/29 |
|
|
EUR |
|
|
|
600 |
|
|
|
716,631 |
|
4.50%, 08/10/33 |
|
|
USD |
|
|
|
11,380 |
|
|
|
11,935,681 |
|
4.40%, 11/01/34 |
|
|
|
|
|
|
2,549 |
|
|
|
2,597,531 |
|
2.88%, 01/15/38 |
|
|
EUR |
|
|
|
750 |
|
|
|
911,290 |
|
Ziggo Bond Finance BV, 4.63%, 01/15/25 |
|
|
|
|
|
|
255 |
|
|
|
315,091 |
|
Ziggo Secured Finance BV, 4.25%, 01/15/27 |
|
|
|
|
|
|
150 |
|
|
|
186,798 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
177,273,352 |
|
Electric Utilities 0.9% |
|
|
|
|
|
|
|
|
|
1MDB Energy Ltd., 5.99%, 05/11/22 |
|
|
USD |
|
|
|
1,000 |
|
|
|
1,080,914 |
|
Baltimore Gas & Electric Co., 3.50%, 08/15/46 |
|
|
|
|
|
|
2,327 |
|
|
|
2,279,942 |
|
Chugoku Electric Power Co., Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
0.00%, 03/25/20(j)(k) |
|
|
JPY |
|
|
|
10,000 |
|
|
|
87,775 |
|
0.00%, 01/25/22(j)(k) |
|
|
|
|
|
|
60,000 |
|
|
|
547,149 |
|
Duke Energy Corp.: |
|
|
|
|
|
|
|
|
|
|
|
|
4.80%, 12/15/45 |
|
|
USD |
|
|
|
6,485 |
|
|
|
7,494,622 |
|
3.75%, 09/01/46 |
|
|
|
|
|
|
6,955 |
|
|
|
6,877,876 |
|
|
|
|
|
|
CONSOLIDATED SCHEDULE OF INVESTMENTS |
|
|
15 |
|
|
|
|
Consolidated Schedule of Investments (unaudited) (continued) |
|
Master Total Return Portfolio of Master Bond LLC |
December 31, 2017 |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
|
|
|
Par
(000) |
|
|
Value |
|
Electric Utilities (continued) |
|
|
|
|
|
|
|
|
|
Emera U.S. Finance LP: |
|
|
|
|
|
|
|
|
|
|
|
|
2.15%, 06/15/19 |
|
|
USD |
|
|
|
4,838 |
|
|
$ |
4,819,179 |
|
2.70%, 06/15/21 |
|
|
|
|
|
|
7,299 |
|
|
|
7,281,222 |
|
Entergy Corp., 2.95%, 09/01/26 |
|
|
|
|
|
|
6,108 |
|
|
|
5,942,743 |
|
Eversource Energy, 2.90%, 10/01/24 |
|
|
|
|
|
|
8,685 |
|
|
|
8,618,921 |
|
Exelon Corp.: |
|
|
|
|
|
|
|
|
|
|
|
|
2.85%, 06/15/20 |
|
|
|
|
|
|
6,160 |
|
|
|
6,217,438 |
|
2.45%, 04/15/21 |
|
|
|
|
|
|
1,306 |
|
|
|
1,300,079 |
|
4.95%, 06/15/35 |
|
|
|
|
|
|
1,409 |
|
|
|
1,606,746 |
|
4.45%, 04/15/46 |
|
|
|
|
|
|
13,500 |
|
|
|
14,670,769 |
|
FirstEnergy Corp., 4.85%, 07/15/47 |
|
|
|
|
|
|
6,765 |
|
|
|
7,549,661 |
|
Generacion Mediterranea SA/Generacion Frias SA/Central Termica Roca SA, 9.63%, 07/27/23(b) |
|
|
|
|
|
|
2,861 |
|
|
|
3,195,880 |
|
ITC Holdings Corp., 2.70%, 11/15/22(b) |
|
|
|
|
|
|
4,730 |
|
|
|
4,721,449 |
|
Kyushu Electric Power Co., Inc., 0.00%, 03/31/22(j)(k)
|
|
|
JPY |
|
|
|
30,000 |
|
|
|
271,578 |
|
MidAmerican Energy Co., 4.40%, 10/15/44 |
|
|
USD |
|
|
|
2,689 |
|
|
|
3,061,447 |
|
Northern States Power Co., 3.40%, 08/15/42 |
|
|
|
|
|
|
4,895 |
|
|
|
4,844,512 |
|
Oncor Electric Delivery Co. LLC, 4.55%, 12/01/41 |
|
|
|
|
|
|
3,475 |
|
|
|
4,016,463 |
|
Pampa Energia SA: |
|
|
|
|
|
|
|
|
|
|
|
|
7.38%, 07/21/23(b) |
|
|
|
|
|
|
1,527 |
|
|
|
1,664,430 |
|
7.50%, 01/24/27(b) |
|
|
|
|
|
|
1,398 |
|
|
|
1,531,006 |
|
Southern Co., 4.40%, 07/01/46 |
|
|
|
|
|
|
6,780 |
|
|
|
7,220,514 |
|
Tohoku Electric Power Co., Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
0.00%, 12/03/18(j)(k) |
|
|
JPY |
|
|
|
10,000 |
|
|
|
87,752 |
|
0.00%, 12/03/20(j)(k) |
|
|
|
|
|
|
110,000 |
|
|
|
974,063 |
|
Trans-Allegheny Interstate Line Co., 3.85%, 06/01/25(b)
|
|
|
USD |
|
|
|
6,547 |
|
|
|
6,791,437 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
114,755,567 |
|
Electrical Equipment 0.0% |
|
|
|
|
|
|
|
|
|
AE-Rotor Holding BV, 4.97%, 03/28/18 |
|
|
|
|
|
|
35 |
|
|
|
34,955 |
|
Suzlon Energy Ltd., 5.75%, 07/16/19(c)(j) |
|
|
|
|
|
|
500 |
|
|
|
512,500 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
547,455 |
|
Electronic Equipment, Instruments & Components 0.1% |
|
Amphenol Corp., 3.20%, 04/01/24 |
|
|
|
|
|
|
3,096 |
|
|
|
3,116,932 |
|
Belden, Inc., 2.88%, 09/15/25 |
|
|
EUR |
|
|
|
150 |
|
|
|
180,056 |
|
Hon Hai Precision Industry Co. Ltd.,
0.00%, 11/06/22(j)(k) |
|
|
USD |
|
|
|
600 |
|
|
|
598,500 |
|
Hosiden Corp., 0.00%, 09/20/24(j)(k) |
|
|
JPY |
|
|
|
30,000 |
|
|
|
292,212 |
|
TPK Holding Co. Ltd., 0.00%, 04/08/20(j)(k)
|
|
|
USD |
|
|
|
1,750 |
|
|
|
1,798,125 |
|
Zhen Ding Technology Holding Ltd.,
0.00%, 06/26/19(j)(k) |
|
|
|
|
|
|
600 |
|
|
|
605,250 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,591,075 |
|
Energy Equipment & Services 0.3% |
|
|
|
|
|
|
|
|
|
Anton Oilfield Services Group, 9.75%, 12/05/20 |
|
|
|
|
|
|
800 |
|
|
|
813,000 |
|
Halliburton Co., 3.80%, 11/15/25 |
|
|
|
|
|
|
22,440 |
|
|
|
23,321,134 |
|
Nabors Industries, Inc., 5.50%, 01/15/23 |
|
|
|
|
|
|
2 |
|
|
|
1,940 |
|
Schlumberger Holdings Corp., 3.00%, 12/21/20(b)
|
|
|
|
|
|
|
5,877 |
|
|
|
5,953,123 |
|
SEACOR Holdings, Inc., 3.00%, 11/15/28(j) |
|
|
|
|
|
|
4,204 |
|
|
|
3,970,153 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
34,059,350 |
|
Equity Real Estate Investment Trusts (REITs) 0.6% |
|
|
|
|
American Tower Corp.: |
|
|
|
|
|
|
|
|
|
|
|
|
3.30%, 02/15/21 |
|
|
|
|
|
|
2,758 |
|
|
|
2,808,570 |
|
3.45%, 09/15/21 |
|
|
|
|
|
|
2,787 |
|
|
|
2,848,555 |
|
3.50%, 01/31/23 |
|
|
|
|
|
|
783 |
|
|
|
800,618 |
|
3.00%, 06/15/23 |
|
|
|
|
|
|
29,080 |
|
|
|
29,003,843 |
|
5.00%, 02/15/24 |
|
|
|
|
|
|
785 |
|
|
|
859,863 |
|
4.40%, 02/15/26 |
|
|
|
|
|
|
541 |
|
|
|
568,907 |
|
Boston Properties LP, 3.65%, 02/01/26 |
|
|
|
|
|
|
8,125 |
|
|
|
8,254,078 |
|
Cromwell SPV Finance Property Ltd., 2.00%, 02/04/20(j)
|
|
|
EUR |
|
|
|
800 |
|
|
|
958,677 |
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
|
|
Par (000) |
|
|
Value |
|
Equity Real Estate Investment Trusts (REITs) (continued) |
|
|
|
|
Crown Castle International Corp.: |
|
|
|
|
|
|
|
|
|
|
3.40%, 02/15/21 |
|
USD |
|
|
1,628 |
|
|
$ |
1,662,577 |
|
2.25%, 09/01/21 |
|
|
|
|
5,986 |
|
|
|
5,885,027 |
|
3.20%, 09/01/24 |
|
|
|
|
11,755 |
|
|
|
11,633,114 |
|
Emirates Reit Sukuk Ltd., 5.13%, 12/12/22 |
|
|
|
|
600 |
|
|
|
599,106 |
|
Equinix, Inc., 2.88%, 10/01/25 |
|
EUR |
|
|
501 |
|
|
|
605,631 |
|
GLP Capital LP/GLP Financing II, Inc., 4.38%, 11/01/18 |
|
USD |
|
|
935 |
|
|
|
942,012 |
|
Inmobiliaria Colonial Socimi SA: |
|
|
|
|
|
|
|
|
|
|
1.63%, 11/28/25 |
|
EUR |
|
|
700 |
|
|
|
831,228 |
|
2.50%, 11/28/29 |
|
|
|
|
900 |
|
|
|
1,068,286 |
|
Iron Mountain, Inc., 3.00%, 01/15/25 |
|
|
|
|
200 |
|
|
|
243,533 |
|
SELP Finance S.à r.l., 1.50%, 11/20/25 |
|
|
|
|
600 |
|
|
|
717,009 |
|
Suntec Real Estate Investment Trust, 1.75%, 11/30/24(j)
|
|
SGD |
|
|
1,500 |
|
|
|
1,140,671 |
|
Trust F/1401, 6.95%, 01/30/44 |
|
USD |
|
|
700 |
|
|
|
761,250 |
|
Wereldhave NV, 1.00%, 05/22/19(j) |
|
EUR |
|
|
600 |
|
|
|
727,107 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
72,919,662 |
|
Food & Staples Retailing 0.2% |
|
|
|
|
|
|
|
|
CVS Health Corp.: |
|
|
|
|
|
|
|
|
|
|
4.00%, 12/05/23 |
|
USD |
|
|
6,885 |
|
|
|
7,158,437 |
|
5.13%, 07/20/45 |
|
|
|
|
3,655 |
|
|
|
4,188,974 |
|
Picard Groupe SAS, (3 mo. EURIBOR + 3.000%), 3.00%, 11/30/23(a) |
|
EUR |
|
|
419 |
|
|
|
503,992 |
|
Walgreens Boots Alliance, Inc.: |
|
|
|
|
|
|
|
|
|
|
4.80%, 11/18/44 |
|
USD |
|
|
9,857 |
|
|
|
10,612,494 |
|
4.65%, 06/01/46 |
|
|
|
|
267 |
|
|
|
281,271 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
22,745,168 |
|
Food Products 0.1% |
|
|
|
|
|
|
|
|
Arcor SAIC, 6.00%, 07/06/23(b) |
|
|
|
|
661 |
|
|
|
701,486 |
|
CP Foods Holdings Ltd., 0.50%, 09/22/21(j)
|
|
|
|
|
1,200 |
|
|
|
1,326,000 |
|
Ezaki Glico Co. Ltd., 0.00%, 01/30/24(j)(k)
|
|
JPY |
|
|
10,000 |
|
|
|
93,299 |
|
Kraft Heinz Foods Co.: |
|
|
|
|
|
|
|
|
|
|
4.13%, 07/01/27 |
|
GBP |
|
|
600 |
|
|
|
901,980 |
|
4.38%, 06/01/46 |
|
USD |
|
|
7,895 |
|
|
|
7,820,389 |
|
Marfrig Holdings Europe BV,
8.00%, 06/08/23(b) |
|
|
|
|
451 |
|
|
|
470,167 |
|
Tyson Foods, Inc., 3.95%, 08/15/24 |
|
|
|
|
5,440 |
|
|
|
5,721,093 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
17,034,414 |
|
Health Care Equipment & Supplies 0.7% |
|
|
|
|
|
|
|
|
Abbott Laboratories: |
|
|
|
|
|
|
|
|
|
|
2.80%, 09/15/20 |
|
|
|
|
2,980 |
|
|
|
3,000,042 |
|
3.88%, 09/15/25 |
|
|
|
|
952 |
|
|
|
984,675 |
|
3.75%, 11/30/26 |
|
|
|
|
29,785 |
|
|
|
30,585,208 |
|
Becton Dickinson and Co.: |
|
|
|
|
|
|
|
|
|
|
2.13%, 06/06/19 |
|
|
|
|
16,315 |
|
|
|
16,278,347 |
|
2.68%, 12/15/19 |
|
|
|
|
4,549 |
|
|
|
4,565,441 |
|
2.89%, 06/06/22 |
|
|
|
|
11,575 |
|
|
|
11,502,594 |
|
4.69%, 12/15/44 |
|
|
|
|
703 |
|
|
|
768,728 |
|
Boston Scientific Corp., 2.65%, 10/01/18 |
|
|
|
|
3,738 |
|
|
|
3,752,752 |
|
Medtronic, Inc., 4.38%, 03/15/35 |
|
|
|
|
7,820 |
|
|
|
8,815,594 |
|
Stryker Corp., 4.63%, 03/15/46 |
|
|
|
|
2,325 |
|
|
|
2,640,303 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
82,893,684 |
|
Health Care Providers & Services 0.9% |
|
|
|
|
|
|
|
|
Aetna, Inc.: |
|
|
|
|
|
|
|
|
|
|
4.50%, 05/15/42 |
|
|
|
|
2,824 |
|
|
|
3,024,463 |
|
4.13%, 11/15/42 |
|
|
|
|
1,329 |
|
|
|
1,345,975 |
|
4.75%, 03/15/44 |
|
|
|
|
1,703 |
|
|
|
1,901,245 |
|
3.88%, 08/15/47 |
|
|
|
|
6,240 |
|
|
|
6,149,633 |
|
AHS Hospital Corp., 5.02%, 07/01/45 |
|
|
|
|
1,432 |
|
|
|
1,733,039 |
|
Anthem, Inc.: |
|
|
|
|
|
|
|
|
|
|
1.88%, 01/15/18 |
|
|
|
|
9,949 |
|
|
|
9,948,325 |
|
2.30%, 07/15/18 |
|
|
|
|
14,113 |
|
|
|
14,143,802 |
|
Baylor Scott & White Holdings, 4.19%, 11/15/45 |
|
|
|
|
1,525 |
|
|
|
1,634,641 |
|
|
|
|
16 |
|
2017 BLACKROCK QUARTERLY REPORT TO SHAREHOLDERS |
|
|
|
Consolidated Schedule of Investments (unaudited) (continued) |
|
Master Total Return Portfolio of Master Bond LLC |
December 31, 2017 |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
|
|
|
Par
(000) |
|
|
Value |
|
Health Care Providers & Services (continued) |
|
|
|
|
Catholic Health Initiatives, 4.35%, 11/01/42 |
|
|
USD |
|
|
|
1,075 |
|
|
$ |
1,037,779 |
|
Cigna Corp., 3.25%, 04/15/25 |
|
|
|
|
|
|
7,074 |
|
|
|
7,108,493 |
|
Constantin Investissement 3 SASU, 5.38%, 04/15/25 |
|
|
EUR |
|
|
|
100 |
|
|
|
121,066 |
|
HCA, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
3.75%, 03/15/19 |
|
|
USD |
|
|
|
6,175 |
|
|
|
6,229,031 |
|
6.50%, 02/15/20 |
|
|
|
|
|
|
9,556 |
|
|
|
10,129,360 |
|
Kaiser Foundation Hospitals, 4.15%, 05/01/47 |
|
|
|
|
|
|
8,799 |
|
|
|
9,507,684 |
|
Laboratory Corp. of America Holdings, 2.63%, 02/01/20 |
|
|
|
|
|
|
2,946 |
|
|
|
2,953,757 |
|
New York & Presbyterian Hospital, 3.56%, 08/01/36 |
|
|
|
|
|
|
1,321 |
|
|
|
1,331,327 |
|
Northwell Healthcare, Inc., 4.26%, 11/01/47 |
|
|
|
|
|
|
1,674 |
|
|
|
1,711,874 |
|
Ochsner Clinic Foundation, 5.90%, 05/15/45 |
|
|
|
|
|
|
1,305 |
|
|
|
1,703,918 |
|
RWJ Barnabas Health, Inc., 3.95%, 07/01/46 |
|
|
|
|
|
|
848 |
|
|
|
864,484 |
|
Southern Baptist Hospital of Florida, Inc., 4.86%, 07/15/45 |
|
|
|
|
|
|
1,250 |
|
|
|
1,439,472 |
|
SSM Health Care Corp., 3.82%, 06/01/27 |
|
|
|
|
|
|
8,447 |
|
|
|
8,759,682 |
|
Tenet Healthcare Corp., 6.00%, 10/01/20 |
|
|
|
|
|
|
10,660 |
|
|
|
11,270,818 |
|
Trinity Health Corp., 4.13%, 12/01/45 |
|
|
|
|
|
|
3,449 |
|
|
|
3,657,006 |
|
UnitedHealth Group, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
2.70%, 07/15/20 |
|
|
|
|
|
|
1,721 |
|
|
|
1,740,897 |
|
4.63%, 07/15/35 |
|
|
|
|
|
|
689 |
|
|
|
802,396 |
|
4.20%, 01/15/47 |
|
|
|
|
|
|
3,410 |
|
|
|
3,674,464 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
113,924,631 |
|
Hotels, Restaurants & Leisure 0.3% |
|
|
|
|
|
|
|
Burger King France SAS, (3 mo. EURIBOR + 5.250%), 5.25%, 05/01/23(a) |
|
|
EUR |
|
|
|
461 |
|
|
|
564,125 |
|
Caesars Growth Properties Holdings LLC/Caesars Growth Properties Finance, Inc., 9.38%, 05/01/22 |
|
|
USD |
|
|
|
7,682 |
|
|
|
8,219,740 |
|
China Lodging Group Ltd., 0.38%, 11/01/22(b)(j)
|
|
|
|
|
|
|
1,100 |
|
|
|
1,194,875 |
|
Codere Finance 2 Luxembourg SA: |
|
|
|
|
|
|
|
|
|
|
|
|
6.75%, 11/01/21 |
|
|
EUR |
|
|
|
800 |
|
|
|
1,011,941 |
|
7.63%, 11/01/21(b) |
|
|
USD |
|
|
|
200 |
|
|
|
203,040 |
|
HIS Co. Ltd.: |
|
|
|
|
|
|
|
|
|
|
|
|
0.00%, 08/30/19(j)(k) |
|
|
JPY |
|
|
|
110,000 |
|
|
|
1,042,157 |
|
0.00%, 11/15/24(j)(k) |
|
|
|
|
|
|
50,000 |
|
|
|
482,583 |
|
McDonalds Corp.: |
|
|
|
|
|
|
|
|
|
|
|
|
0.63%, 01/29/24 |
|
|
EUR |
|
|
|
400 |
|
|
|
476,230 |
|
4.70%, 12/09/35 |
|
|
USD |
|
|
|
7,860 |
|
|
|
8,927,939 |
|
4.88%, 12/09/45 |
|
|
|
|
|
|
1,005 |
|
|
|
1,164,241 |
|
Pizzaexpress Financing 2 PLC, 6.63%, 08/01/21 |
|
|
GBP |
|
|
|
520 |
|
|
|
673,993 |
|
Resorttrust, Inc., 0.00%, 12/01/21(j)(k) |
|
|
JPY |
|
|
|
120,000 |
|
|
|
1,134,236 |
|
REXLot Holdings Ltd., 4.50%, 04/17/19(j) |
|
|
HKD |
|
|
|
1,161 |
|
|
|
118,865 |
|
Schumann SpA, 7.00%, 07/31/23 |
|
|
EUR |
|
|
|
1,180 |
|
|
|
1,447,707 |
|
Scientific Games International, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
7.00%, 01/01/22(b) |
|
|
USD |
|
|
|
2,341 |
|
|
|
2,466,829 |
|
10.00%, 12/01/22 |
|
|
|
|
|
|
3,613 |
|
|
|
3,965,268 |
|
Unique Pub Finance Co. PLC: |
|
|
|
|
|
|
|
|
|
|
|
|
Series A4, 4.90%, 06/30/27 |
|
|
GBP |
|
|
|
2,264 |
|
|
|
3,453,672 |
|
Series N, 6.46%, 03/30/32 |
|
|
|
|
|
|
1,273 |
|
|
|
1,696,770 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
38,244,211 |
|
Household Durables 0.2% |
|
|
|
|
|
|
|
|
|
Harvest International Co., 0.00%, 11/21/22(j)(k)
|
|
|
HKD |
|
|
|
14,000 |
|
|
|
1,775,344 |
|
Iida Group Holdings Co. Ltd., 0.00%, 06/18/20(j)(k)
|
|
|
JPY |
|
|
|
100,000 |
|
|
|
930,774 |
|
K Hovnanian Enterprises, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
10.00%, 07/15/22(b) |
|
|
USD |
|
|
|
3,774 |
|
|
|
4,151,400 |
|
10.50%, 07/15/24(b) |
|
|
|
|
|
|
2,016 |
|
|
|
2,313,360 |
|
Newell Brands, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
2.88%, 12/01/19 |
|
|
|
|
|
|
6,986 |
|
|
|
7,042,126 |
|
5.38%, 04/01/36 |
|
|
|
|
|
|
2,155 |
|
|
|
2,522,183 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
18,735,187 |
|
Independent Power and Renewable Electricity Producers 0.2% |
|
AES Panama SRL, 6.00%, 06/25/22(b) |
|
|
|
|
|
|
527 |
|
|
|
552,691 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
|
|
|
Par (000) |
|
|
Value |
|
Independent Power and Renewable Electricity Producers (continued) |
|
China Yangtze Power International BVI 1 Ltd., 0.00%, 11/09/21(j)(k) |
|
|
USD |
|
|
|
1,600 |
|
|
$ |
1,754,400 |
|
Colbun SA, 3.95%, 10/11/27(b) |
|
|
|
|
|
|
1,355 |
|
|
|
1,351,612 |
|
Genneia SA, 8.75%, 01/20/22(b) |
|
|
|
|
|
|
1,884 |
|
|
|
2,070,497 |
|
Inkia Energy Ltd., 5.88%, 11/09/27(b) |
|
|
|
|
|
|
1,662 |
|
|
|
1,671,573 |
|
Orazul Energy Egenor S en C por A, 5.63%, 04/28/27(b)
|
|
|
|
|
|
|
1,497 |
|
|
|
1,473,048 |
|
Stoneway Capital Corp., 10.00%, 03/01/27(b)
|
|
|
|
|
|
|
3,898 |
|
|
|
4,144,704 |
|
Talen Energy Supply LLC: |
|
|
|
|
|
|
|
|
|
|
|
|
6.50%, 06/01/25 |
|
|
|
|
|
|
4,411 |
|
|
|
3,561,882 |
|
10.50%, 01/15/26(b) |
|
|
|
|
|
|
3,042 |
|
|
|
3,010,972 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
19,591,379 |
|
Industrial Conglomerates 0.1% |
|
|
|
|
|
|
|
|
|
Eaton Corp., 2.75%, 11/02/22 |
|
|
|
|
|
|
3,529 |
|
|
|
3,539,322 |
|
General Electric Co., 4.50%, 03/11/44 |
|
|
|
|
|
|
5,863 |
|
|
|
6,494,857 |
|
Grupo KUO SAB de CV, 5.75%, 07/07/27(b) |
|
|
|
|
|
|
1,244 |
|
|
|
1,288,174 |
|
Honeywell International, Inc., 3.81%, 11/21/47(b)
|
|
|
|
|
|
|
1,550 |
|
|
|
1,611,771 |
|
Tyco Electronics Group SA: |
|
|
|
|
|
|
|
|
|
|
|
|
3.45%, 08/01/24 |
|
|
|
|
|
|
865 |
|
|
|
889,229 |
|
3.13%, 08/15/27 |
|
|
|
|
|
|
1,860 |
|
|
|
1,856,175 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
15,679,528 |
|
Insurance 0.4% |
|
|
|
|
|
|
|
|
|
Allstate Corp., 4.20%, 12/15/46 |
|
|
|
|
|
|
3,745 |
|
|
|
4,086,094 |
|
American International Group, Inc., 3.88%, 01/15/35 |
|
|
|
|
|
|
2,099 |
|
|
|
2,106,916 |
|
Aon PLC, 4.75%, 05/15/45 |
|
|
|
|
|
|
1,475 |
|
|
|
1,640,043 |
|
BNP Paribas Cardif SA, (3 mo. EURIBOR + 0.000%),
4.03%(m)(n) |
|
|
EUR |
|
|
|
700 |
|
|
|
947,912 |
|
China Reinsurance Finance Corp. Ltd., 3.38%, 03/09/22 |
|
|
USD |
|
|
|
1,311 |
|
|
|
1,291,652 |
|
CNP Assurances, (3 mo. EURIBOR + 0.000%), 4.50%, 06/10/47(m) |
|
|
EUR |
|
|
|
|
|
|
|
|
|
Delta Lloyd NV, (3 mo. EURIBOR + 0.000%), 4.38%(m)
|
|
|
|
|
|
|
400 |
|
|
|
535,563 |
|
KIRS Midco 3 PLC, 8.38%, 07/15/23 |
|
|
GBP |
|
|
|
1,700 |
|
|
|
2,328,348 |
|
Marsh & McLennan Cos., Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
3.75%, 03/14/26 |
|
|
USD |
|
|
|
672 |
|
|
|
701,823 |
|
4.35%, 01/30/47 |
|
|
|
|
|
|
751 |
|
|
|
831,867 |
|
MetLife, Inc., 4.60%, 05/13/46 |
|
|
|
|
|
|
4,810 |
|
|
|
5,486,573 |
|
Principal Financial Group, Inc., 4.30%, 11/15/46 |
|
|
|
|
|
|
7,100 |
|
|
|
7,594,155 |
|
QBE Insurance Group Ltd., (10 yr. Swap Semi 30/360 US + 0.000%), 5.88%, 06/17/46(m) |
|
|
|
|
|
|
450 |
|
|
|
488,862 |
|
Travelers Cos., Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
4.60%, 08/01/43 |
|
|
|
|
|
|
3,289 |
|
|
|
3,797,315 |
|
4.00%, 05/30/47 |
|
|
|
|
|
|
4,555 |
|
|
|
4,850,360 |
|
Union Life Insurance Co. Ltd., 3.00%, 09/19/21 |
|
|
|
|
|
|
657 |
|
|
|
628,340 |
|
Willis North America, Inc., 3.60%, 05/15/24 |
|
|
|
|
|
|
15,850 |
|
|
|
16,113,160 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
53,428,983 |
|
Internet & Direct Marketing Retail 0.4% |
|
|
|
|
Amazon.com, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
3.88%, 08/22/37(b) |
|
|
|
|
|
|
17,165 |
|
|
|
18,213,770 |
|
4.95%, 12/05/44 |
|
|
|
|
|
|
22,100 |
|
|
|
26,863,973 |
|
4.05%, 08/22/47(b) |
|
|
|
|
|
|
1,900 |
|
|
|
2,047,662 |
|
Ctrip.com International Ltd., 1.25%, 09/15/22(j)
|
|
|
|
|
|
|
162 |
|
|
|
165,442 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
47,290,847 |
|
Internet Software & Services 0.0% |
|
|
|
|
|
|
|
|
|
United Group BV, (3 mo. EURIBOR + 4.380%), 4.38%, 07/01/23(a) |
|
|
EUR |
|
|
|
100 |
|
|
|
120,724 |
|
VeriSign, Inc., 4.63%, 05/01/23 |
|
|
USD |
|
|
|
2,056 |
|
|
|
2,109,970 |
|
Weibo Corp., 1.25%, 11/15/22(j) |
|
|
|
|
|
|
957 |
|
|
|
1,050,906 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,281,600 |
|
IT Services 0.2% |
|
|
|
|
|
|
|
|
|
DXC Technology Co., 2.88%, 03/27/20 |
|
|
|
|
|
|
3,373 |
|
|
|
3,389,408 |
|
|
|
|
|
|
CONSOLIDATED SCHEDULE OF INVESTMENTS |
|
|
17 |
|
|
|
|
Consolidated Schedule of Investments (unaudited) (continued) |
|
Master Total Return Portfolio of Master Bond LLC |
December 31, 2017 |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
Security |
|
|
|
Par
(000) |
|
|
Value |
|
IT Services (continued) |
|
|
|
|
|
|
|
|
Fidelity National Information Services, Inc.: |
|
|
|
|
|
|
|
|
|
|
3.63%, 10/15/20 |
|
USD |
|
|
277 |
|
|
$ |
284,610 |
|
4.50%, 08/15/46 |
|
|
|
|
1,179 |
|
|
|
1,228,963 |
|
Total System Services, Inc., 4.80%, 04/01/26 |
|
|
|
|
8,040 |
|
|
|
8,698,425 |
|
Transcosmos, Inc., 0.00%, 12/22/20(j)(k) |
|
JPY |
|
|
40,000 |
|
|
|
360,772 |
|
Vantiv LLC/Vanity Issuer Corp., 3.88%, 11/15/25(b)
|
|
GBP |
|
|
1,267 |
|
|
|
1,724,322 |
|
Visa, Inc., 4.15%, 12/14/35 |
|
USD |
|
|
6,159 |
|
|
|
6,838,091 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
22,524,591 |
|
Leisure Products 0.0% |
|
|
|
|
|
|
|
|
Universal Entertainment Corp., 8.50% (6.00% Cash and 2.50% PIK), 08/24/20(b)(p) |
|
|
|
|
2,152 |
|
|
|
2,227,316 |
|
|
|
|
|
|
|
|
|
|
|
|
Life Sciences Tools & Services 0.2% |
|
|
|
|
|
|
|
|
Eurofins Scientific SE, 2.13%, 07/25/24 |
|
EUR |
|
|
775 |
|
|
|
949,023 |
|
Thermo Fisher Scientific, Inc.: |
|
|
|
|
|
|
|
|
|
|
4.15%, 02/01/24 |
|
USD |
|
|
10,480 |
|
|
|
11,116,709 |
|
3.65%, 12/15/25 |
|
|
|
|
11,529 |
|
|
|
11,831,297 |
|
1.95%, 07/24/29 |
|
EUR |
|
|
540 |
|
|
|
650,553 |
|
2.88%, 07/24/37 |
|
|
|
|
700 |
|
|
|
851,952 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
25,399,534 |
|
Machinery 0.1% |
|
|
|
|
|
|
|
|
CRRC Corp Ltd., 0.00%, 02/05/21(j)(k) |
|
USD |
|
|
1,250 |
|
|
|
1,348,188 |
|
Haitian International Holdings Ltd., 2.00%, 02/13/19(j)
|
|
|
|
|
1,000 |
|
|
|
1,121,250 |
|
Ingersoll-Rand Luxembourg Finance SA, 4.65%, 11/01/44 |
|
|
|
|
598 |
|
|
|
662,084 |
|
Platin 1426 GmbH, 5.38%, 06/15/23 |
|
EUR |
|
|
2,767 |
|
|
|
3,311,675 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,443,197 |
|
Marine 0.0% |
|
|
|
|
|
|
|
|
CMA CGM SA, 5.25%, 01/15/25 |
|
|
|
|
973 |
|
|
|
1,158,695 |
|
|
|
|
|
|
|
|
|
|
|
|
Media 1.3% |
|
|
|
|
|
|
|
|
Cablevision SA, 6.50%, 06/15/21(b) |
|
USD |
|
|
661 |
|
|
|
702,108 |
|
CBS Corp., 2.30%, 08/15/19 |
|
|
|
|
4,291 |
|
|
|
4,287,998 |
|
Charter Communications Operating LLC/Charter Communications Operating Capital: |
|
|
|
|
|
|
|
|
|
|
4.46%, 07/23/22 |
|
|
|
|
13,691 |
|
|
|
14,284,493 |
|
4.91%, 07/23/25 |
|
|
|
|
2,254 |
|
|
|
2,396,419 |
|
3.75%, 02/15/28 |
|
|
|
|
12,830 |
|
|
|
12,293,812 |
|
6.38%, 10/23/35 |
|
|
|
|
4,126 |
|
|
|
4,817,621 |
|
6.48%, 10/23/45 |
|
|
|
|
3,595 |
|
|
|
4,191,518 |
|
5.38%, 05/01/47 |
|
|
|
|
10,860 |
|
|
|
11,135,294 |
|
Comcast Corp.: |
|
|
|
|
|
|
|
|
|
|
3.38%, 08/15/25 |
|
|
|
|
5,533 |
|
|
|
5,678,430 |
|
4.25%, 01/15/33 |
|
|
|
|
1,265 |
|
|
|
1,378,806 |
|
4.40%, 08/15/35 |
|
|
|
|
5,694 |
|
|
|
6,225,218 |
|
3.20%, 07/15/36 |
|
|
|
|
11,931 |
|
|
|
11,345,390 |
|
4.75%, 03/01/44 |
|
|
|
|
3,118 |
|
|
|
3,575,626 |
|
4.60%, 08/15/45 |
|
|
|
|
1,887 |
|
|
|
2,116,579 |
|
3.40%, 07/15/46 |
|
|
|
|
2,021 |
|
|
|
1,912,181 |
|
Cox Communications, Inc., 3.15%, 08/15/24(b)
|
|
|
|
|
9,645 |
|
|
|
9,499,211 |
|
CSC Holdings LLC, 7.63%, 07/15/18 |
|
|
|
|
5,615 |
|
|
|
5,741,337 |
|
Discovery Communications LLC, 3.80%, 03/13/24 |
|
|
|
|
4,497 |
|
|
|
4,561,966 |
|
Interpublic Group of Cos., Inc., 4.00%, 03/15/22 |
|
|
|
|
2,564 |
|
|
|
2,650,093 |
|
Kakao Corp., 0.00%, 05/11/21(j)(k) |
|
KRW |
|
|
1,000,000 |
|
|
|
1,066,041 |
|
NBCUniversal Media LLC, 4.45%, 01/15/43 |
|
USD |
|
|
3,047 |
|
|
|
3,324,938 |
|
SFR Group SA: |
|
|
|
|
|
|
|
|
|
|
5.38%, 05/15/22 |
|
EUR |
|
|
100 |
|
|
|
123,440 |
|
7.38%, 05/01/26(b) |
|
USD |
|
|
3,300 |
|
|
|
3,386,625 |
|
TDF Infrastructure SAS, 2.50%, 04/07/26 |
|
EUR |
|
|
1,300 |
|
|
|
1,631,829 |
|
Time Warner Cable LLC: |
|
|
|
|
|
|
|
|
|
|
5.00%, 02/01/20 |
|
USD |
|
|
2,900 |
|
|
|
3,026,462 |
|
4.13%, 02/15/21 |
|
|
|
|
5,862 |
|
|
|
6,036,589 |
|
4.00%, 09/01/21 |
|
|
|
|
911 |
|
|
|
938,274 |
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
|
|
Par (000) |
|
|
Value |
|
Media (continued) |
|
|
|
|
|
|
|
|
Time Warner Cable LLC: (continued) |
|
|
|
|
|
|
|
|
|
|
5.50%, 09/01/41 |
|
USD |
|
|
2,025 |
|
|
$ |
2,110,633 |
|
4.50%, 09/15/42 |
|
|
|
|
314 |
|
|
|
294,600 |
|
Time Warner, Inc.: |
|
|
|
|
|
|
|
|
|
|
2.10%, 06/01/19 |
|
|
|
|
9,144 |
|
|
|
9,126,303 |
|
3.60%, 07/15/25 |
|
|
|
|
2,168 |
|
|
|
2,172,849 |
|
4.85%, 07/15/45 |
|
|
|
|
4,515 |
|
|
|
4,741,808 |
|
Unitymedia GmbH, 3.75%, 01/15/27 |
|
EUR |
|
|
2,230 |
|
|
|
2,726,094 |
|
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH: |
|
|
|
|
|
|
|
|
|
|
4.00%, 01/15/25 |
|
|
|
|
200 |
|
|
|
253,264 |
|
4.63%, 02/15/26 |
|
|
|
|
300 |
|
|
|
386,907 |
|
3.50%, 01/15/27 |
|
|
|
|
1,920 |
|
|
|
2,377,470 |
|
Viacom, Inc.: |
|
|
|
|
|
|
|
|
|
|
2.75%, 12/15/19 |
|
USD |
|
|
1,328 |
|
|
|
1,326,008 |
|
4.50%, 03/01/21 |
|
|
|
|
3,389 |
|
|
|
3,527,954 |
|
Virgin Media Receivables Financing Notes I DAC, 5.50%, 09/15/24 |
|
GBP |
|
|
1,819 |
|
|
|
2,472,127 |
|
Ziggo Bond Co. BV, 7.13%, 05/15/24 |
|
EUR |
|
|
2,786 |
|
|
|
3,670,564 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
163,514,879 |
|
Metals & Mining 0.3% |
|
|
|
|
|
|
|
|
Anglo American Capital PLC, 3.63%, 09/11/24(b)
|
|
USD |
|
|
7,445 |
|
|
|
7,409,337 |
|
Barrick Gold Corp., 5.25%, 04/01/42 |
|
|
|
|
5,990 |
|
|
|
6,905,871 |
|
Constellium NV, 4.25%, 02/15/26 |
|
EUR |
|
|
100 |
|
|
|
119,997 |
|
Newmont Mining Corp.: |
|
|
|
|
|
|
|
|
|
|
3.50%, 03/15/22 |
|
USD |
|
|
6,890 |
|
|
|
7,033,817 |
|
4.88%, 03/15/42 |
|
|
|
|
5,045 |
|
|
|
5,598,454 |
|
Nucor Corp., 5.20%, 08/01/43 |
|
|
|
|
1,640 |
|
|
|
1,986,914 |
|
Nyrstar Netherlands Holdings BV, 6.88%, 03/15/24 |
|
EUR |
|
|
1,252 |
|
|
|
1,584,739 |
|
Ovako AB, 5.00%, 10/05/22 |
|
|
|
|
1,000 |
|
|
|
1,220,064 |
|
Rio Tinto Finance USA PLC,
4.13%, 08/21/42(q) |
|
USD |
|
|
3,660 |
|
|
|
3,916,611 |
|
Shandong Iron And Steel Xinheng International Co. Ltd., 6.50%, 06/14/21 |
|
|
|
|
285 |
|
|
|
285,000 |
|
Steel Dynamics, Inc., 5.13%, 10/01/21 |
|
|
|
|
2,954 |
|
|
|
3,027,850 |
|
Vedanta Resources PLC: |
|
|
|
|
|
|
|
|
|
|
8.25%, 06/07/21 |
|
|
|
|
333 |
|
|
|
367,965 |
|
7.13%, 05/31/23 |
|
|
|
|
775 |
|
|
|
834,132 |
|
VM Holding SA, 5.38%, 05/04/27(b) |
|
|
|
|
1,494 |
|
|
|
1,583,640 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
41,874,391 |
|
Multiline Retail 0.1% |
|
|
|
|
|
|
|
|
Takashimaya Co. Ltd., 0.00%, 12/11/18(j)(k) |
|
JPY |
|
|
30,000 |
|
|
|
269,913 |
|
Target Corp., 2.50%, 04/15/26 |
|
USD |
|
|
6,800 |
|
|
|
6,537,946 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,807,859 |
|
Multi-Utilities 0.3% |
|
|
|
|
|
|
|
|
Dominion Energy Gas Holdings LLC, 4.60%, 12/15/44 |
|
|
|
|
2,822 |
|
|
|
3,104,712 |
|
NiSource Finance Corp., 3.49%, 05/15/27 |
|
|
|
|
5,615 |
|
|
|
5,715,178 |
|
Pacific Gas & Electric Co.: |
|
|
|
|
|
|
|
|
|
|
3.30%, 12/01/27(b) |
|
|
|
|
5,360 |
|
|
|
5,309,860 |
|
3.95%, 12/01/47(b) |
|
|
|
|
2,245 |
|
|
|
2,231,293 |
|
Virginia Electric & Power Co.: |
|
|
|
|
|
|
|
|
|
|
3.50%, 03/15/27 |
|
|
|
|
7,943 |
|
|
|
8,212,226 |
|
4.45%, 02/15/44 |
|
|
|
|
1,674 |
|
|
|
1,888,642 |
|
4.20%, 05/15/45 |
|
|
|
|
2,462 |
|
|
|
2,674,405 |
|
4.00%, 11/15/46 |
|
|
|
|
3,275 |
|
|
|
3,505,090 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
32,641,406 |
|
Oil, Gas & Consumable Fuels 2.0% |
|
|
|
|
|
|
|
|
ABM Investama Tbk PT, 7.13%, 08/01/22 |
|
|
|
|
250 |
|
|
|
257,526 |
|
Andeavor Logistics LP/Tesoro Logistics Finance Corp.: |
|
|
|
|
|
|
|
|
|
|
4.25%, 12/01/27 |
|
|
|
|
1,615 |
|
|
|
1,628,861 |
|
5.20%, 12/01/47 |
|
|
|
|
1,455 |
|
|
|
1,517,501 |
|
|
|
|
18 |
|
2017 BLACKROCK QUARTERLY REPORT TO SHAREHOLDERS |
|
|
|
Consolidated Schedule of Investments (unaudited) (continued) |
|
Master Total Return Portfolio of Master Bond LLC |
December 31, 2017 |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
Security |
|
|
|
Par
(000) |
|
|
Value |
|
Oil, Gas & Consumable Fuels (continued) |
|
|
|
|
|
|
|
|
Apache Corp.: |
|
|
|
|
|
|
|
|
|
|
2.63%, 01/15/23 |
|
USD |
|
|
5,216 |
|
|
$ |
5,115,003 |
|
4.25%, 01/15/44 |
|
|
|
|
16,010 |
|
|
|
15,510,076 |
|
Bukit Makmur Mandiri Utama PT, 7.75%, 02/13/22 |
|
|
|
|
500 |
|
|
|
536,271 |
|
Bumi Investment Property Ltd., 10.75%, 10/06/17(g)(l)
|
|
|
|
|
1,521 |
|
|
|
828,945 |
|
Cenovus Energy, Inc., 4.25%, 04/15/27 |
|
|
|
|
7,575 |
|
|
|
7,556,755 |
|
Cheniere Energy, Inc., 4.88% (4.88 Cash or 4.88% PIK),
05/28/21(b)(j)(p) |
|
|
|
|
3,890 |
|
|
|
3,945,919 |
|
Chesapeake Energy Corp., 8.00%, 12/15/22(b) . |
|
|
|
|
1,680 |
|
|
|
1,812,300 |
|
Concho Resources, Inc.: |
|
|
|
|
|
|
|
|
|
|
3.75%, 10/01/27 |
|
|
|
|
17,340 |
|
|
|
17,566,401 |
|
4.88%, 10/01/47 |
|
|
|
|
1,910 |
|
|
|
2,076,988 |
|
Corral Petroleum Holdings AB, 11.75% (11.75% Cash or 11.75% PIK), 05/15/21(p) |
|
EUR |
|
|
100 |
|
|
|
133,087 |
|
Eclipse Resources Corp., 8.88%, 07/15/23 |
|
USD |
|
|
4,770 |
|
|
|
4,895,212 |
|
Enbridge, Inc.: |
|
|
|
|
|
|
|
|
|
|
2.90%, 07/15/22 |
|
|
|
|
5,945 |
|
|
|
5,909,017 |
|
3.70%, 07/15/27 |
|
|
|
|
4,740 |
|
|
|
4,759,985 |
|
Endeavor Energy Resources LP/EER Finance, Inc.: |
|
|
|
|
|
|
|
|
|
|
7.00%, 08/15/21(b) |
|
|
|
|
6,175 |
|
|
|
6,395,447 |
|
5.50%, 01/30/26(b) |
|
|
|
|
595 |
|
|
|
605,412 |
|
Enercoal Resources Pte Ltd., 9.25%, 04/07/18(g)(j)(l)
|
|
|
|
|
300 |
|
|
|
114,000 |
|
Energy Resources LLC, 8.00%, 09/30/22(e) |
|
|
|
|
336 |
|
|
|
343,144 |
|
Enterprise Products Operating LLC: |
|
|
|
|
|
|
|
|
|
|
5.10%, 02/15/45 |
|
|
|
|
1,248 |
|
|
|
1,424,051 |
|
4.90%, 05/15/46 |
|
|
|
|
5,273 |
|
|
|
5,809,765 |
|
EOG Resources, Inc.: |
|
|
|
|
|
|
|
|
|
|
4.15%, 01/15/26 |
|
|
|
|
2,601 |
|
|
|
2,768,243 |
|
3.90%, 04/01/35 |
|
|
|
|
1,670 |
|
|
|
1,704,526 |
|
Extraction Oil & Gas, Inc./Extraction Finance Corp., 7.88%, 07/15/21(b) |
|
|
|
|
1,745 |
|
|
|
1,845,337 |
|
Exxon Mobil Corp.: |
|
|
|
|
|
|
|
|
|
|
1.82%, 03/15/19 |
|
|
|
|
7,393 |
|
|
|
7,381,194 |
|
4.11%, 03/01/46 |
|
|
|
|
4,075 |
|
|
|
4,560,886 |
|
Geopark Ltd., 6.50%, 09/21/24(b) |
|
|
|
|
1,878 |
|
|
|
1,926,283 |
|
Hess Corp., 5.80%, 04/01/47 |
|
|
|
|
11,560 |
|
|
|
12,863,874 |
|
Kinder Morgan Energy Partners LP: |
|
|
|
|
|
|
|
|
|
|
4.30%, 05/01/24 |
|
|
|
|
8,341 |
|
|
|
8,684,297 |
|
4.25%, 09/01/24 |
|
|
|
|
11,509 |
|
|
|
11,919,645 |
|
Kinder Morgan, Inc., 5.05%, 02/15/46 |
|
|
|
|
15,105 |
|
|
|
15,678,029 |
|
Marathon Petroleum Corp., 5.85%, 12/15/45 |
|
|
|
|
3,665 |
|
|
|
4,221,613 |
|
Matador Resources Co., 6.88%, 04/15/23 |
|
|
|
|
989 |
|
|
|
1,040,922 |
|
Medco Straits Services Pte Ltd., 8.50%, 08/17/22 |
|
|
|
|
1,000 |
|
|
|
1,060,673 |
|
MPLX LP: |
|
|
|
|
|
|
|
|
|
|
4.13%, 03/01/27 |
|
|
|
|
6,280 |
|
|
|
6,432,217 |
|
5.20%, 03/01/47 |
|
|
|
|
1,844 |
|
|
|
2,023,654 |
|
Oasis Petroleum, Inc.: |
|
|
|
|
|
|
|
|
|
|
7.25%, 02/01/19 |
|
|
|
|
423 |
|
|
|
423,000 |
|
6.88%, 03/15/22 |
|
|
|
|
2,503 |
|
|
|
2,568,704 |
|
Odebrecht Offshore Drilling Finance Ltd.: |
|
|
|
|
|
|
|
|
|
|
6.72%, 12/01/22(b)(d) |
|
|
|
|
424 |
|
|
|
181,668 |
|
7.72% (7.72% Cash or 7.72% PIK), 12/01/26(b)(d)(p)
|
|
|
|
|
1,164 |
|
|
|
498,731 |
|
Odebrecht Oil & Gas Finance
Ltd., 0.00%(b)(d)(k)(n) |
|
|
|
|
192 |
|
|
|
82,265 |
|
Pioneer Natural Resources Co., 4.45%, 01/15/26 |
|
|
|
|
1,600 |
|
|
|
1,714,938 |
|
PTTEP Treasury Center Co. Ltd., (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 0.000%),
4.60%(m)(n) |
|
|
|
|
825 |
|
|
|
836,688 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
|
|
|
Par (000) |
|
|
Value |
|
Oil, Gas & Consumable Fuels (continued) |
|
|
|
|
|
|
|
|
|
Raffinerie Heide GmbH, 6.38%, 12/01/22 |
|
|
EUR |
|
|
|
550 |
|
|
$ |
682,089 |
|
Resolute Energy Corp., 8.50%, 05/01/20 |
|
|
USD |
|
|
|
10,385 |
|
|
|
10,566,738 |
|
Rockies Express Pipeline LLC, 6.00%, 01/15/19(b)
|
|
|
|
|
|
|
1,210 |
|
|
|
1,243,275 |
|
RSP Permian, Inc., 6.63%, 10/01/22 |
|
|
|
|
|
|
425 |
|
|
|
445,719 |
|
Sable Permian Resources Land LLC, 13.00%, 11/30/20(b)
|
|
|
|
|
|
|
1,400 |
|
|
|
1,610,000 |
|
Spectra Energy Partners LP, 4.50%, 03/15/45 |
|
|
|
|
|
|
6,470 |
|
|
|
6,671,378 |
|
Sunoco Logistics Partners Operations LP, 5.40%, 10/01/47 |
|
|
|
|
|
|
7,945 |
|
|
|
7,998,654 |
|
Tesoro Logistics LP/Tesoro Logistics Finance Corp., 5.50%, 10/15/19 |
|
|
|
|
|
|
6,175 |
|
|
|
6,409,773 |
|
TransCanada PipeLines Ltd.: |
|
|
|
|
|
|
|
|
|
|
|
|
1.88%, 01/12/18 |
|
|
|
|
|
|
2,030 |
|
|
|
2,029,960 |
|
2.50%, 08/01/22 |
|
|
|
|
|
|
2,481 |
|
|
|
2,465,230 |
|
Tullow Oil Jersey Ltd., 6.63%, 07/12/21(j) |
|
|
|
|
|
|
1,800 |
|
|
|
2,223,000 |
|
Valero Energy Corp., 3.65%, 03/15/25 |
|
|
|
|
|
|
8,755 |
|
|
|
8,990,162 |
|
Whiting Petroleum Corp.: |
|
|
|
|
|
|
|
|
|
|
|
|
5.00%, 03/15/19 |
|
|
|
|
|
|
4,110 |
|
|
|
4,214,805 |
|
1.25%, 04/01/20(j) |
|
|
|
|
|
|
210 |
|
|
|
193,200 |
|
Williams Partners LP, 4.00%, 09/15/25 |
|
|
|
|
|
|
9,010 |
|
|
|
9,219,153 |
|
Yankuang Group Cayman Ltd., 4.75%, 11/30/20 |
|
|
|
|
|
|
770 |
|
|
|
761,465 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
244,883,654 |
|
Paper & Forest Products 0.0% |
|
|
|
|
|
|
|
|
|
Daio Paper Corp., 0.00%, 09/17/20(j)(k) |
|
|
JPY |
|
|
|
180,000 |
|
|
|
1,721,322 |
|
Georgia-Pacific LLC, 7.38%, 12/01/25 |
|
|
USD |
|
|
|
3,288 |
|
|
|
4,184,826 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,906,148 |
|
Pharmaceuticals 0.4% |
|
|
|
|
|
|
|
|
|
Allergan Funding SCS: |
|
|
|
|
|
|
|
|
|
|
|
|
2.35%, 03/12/18 |
|
|
|
|
|
|
9,237 |
|
|
|
9,244,317 |
|
3.80%, 03/15/25 |
|
|
|
|
|
|
14,824 |
|
|
|
15,091,525 |
|
Glenmark Pharmaceuticals Ltd., 2.00%, 06/28/22(j)
|
|
|
|
|
|
|
500 |
|
|
|
552,500 |
|
Merck & Co., Inc., 3.60%, 09/15/42 |
|
|
|
|
|
|
4,855 |
|
|
|
4,956,407 |
|
Pfizer, Inc., 4.00%, 12/15/36 |
|
|
|
|
|
|
14,880 |
|
|
|
16,300,765 |
|
Teva Pharmaceutical Finance Netherlands III BV, 1.70%, 07/19/19 |
|
|
|
|
|
|
521 |
|
|
|
506,202 |
|
Valeant Pharmaceuticals International, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
5.38%, 03/15/20(b) |
|
|
|
|
|
|
301 |
|
|
|
301,376 |
|
7.50%, 07/15/21(b) |
|
|
|
|
|
|
1,056 |
|
|
|
1,074,480 |
|
5.50%, 11/01/25(b) |
|
|
|
|
|
|
629 |
|
|
|
640,007 |
|
9.00%, 12/15/25(b) |
|
|
|
|
|
|
1,215 |
|
|
|
1,266,273 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
49,933,852 |
|
Real Estate Management & Development 0.2% |
|
|
|
|
ADLER Real Estate AG, 2.13%, 02/06/24 |
|
|
EUR |
|
|
|
2,070 |
|
|
|
2,456,724 |
|
ATF Netherlands BV, 1.88%, 01/19/26 |
|
|
|
|
|
|
2,000 |
|
|
|
2,450,319 |
|
CFLD Cayman Investment Ltd., 6.50%, 12/21/20 |
|
|
USD |
|
|
|
1,200 |
|
|
|
1,199,124 |
|
China Aoyuan Property Group Ltd., 5.38%, 09/13/22 |
|
|
|
|
|
|
232 |
|
|
|
222,350 |
|
China Evergrande Group: |
|
|
|
|
|
|
|
|
|
|
|
|
7.50%, 06/28/23 |
|
|
|
|
|
|
1,746 |
|
|
|
1,774,687 |
|
8.75%, 06/28/25 |
|
|
|
|
|
|
1,109 |
|
|
|
1,149,409 |
|
China Overseas Finance Investment Cayman V Ltd., 0.00%,
01/05/23(j)(k) |
|
|
|
|
|
|
1,400 |
|
|
|
1,471,750 |
|
CPI Property Group SA, 2.13%, 10/04/24 |
|
|
EUR |
|
|
|
675 |
|
|
|
811,540 |
|
Fantasia Holdings Group Co. Ltd.: |
|
|
|
|
|
|
|
|
|
|
|
|
7.38%, 10/04/21 |
|
|
USD |
|
|
|
645 |
|
|
|
639,701 |
|
7.95%, 07/05/22 |
|
|
|
|
|
|
1,070 |
|
|
|
1,072,678 |
|
Future Land Development Holdings Ltd., 5.00%, 02/16/20 |
|
|
|
|
|
|
400 |
|
|
|
396,075 |
|
|
|
|
|
|
CONSOLIDATED SCHEDULE OF INVESTMENTS |
|
|
19 |
|
|
|
|
Consolidated Schedule of Investments (unaudited) (continued) |
|
Master Total Return Portfolio of Master Bond LLC |
December 31, 2017 |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
Security |
|
|
|
Par (000) |
|
|
Value |
|
Real Estate Management & Development (continued) |
|
|
|
|
Guorui Properties Ltd., 7.00%, 03/21/20 |
|
USD |
|
|
411 |
|
|
$ |
396,634 |
|
Huzhou City Investment Development Group Co. Ltd., 4.88%, 12/20/20 |
|
|
|
|
460 |
|
|
|
461,867 |
|
Jiayuan International Group Ltd., 8.25%, 11/14/18 |
|
|
|
|
310 |
|
|
|
310,309 |
|
Kaisa Group Holdings Ltd.: |
|
|
|
|
|
|
7.25%, 06/30/20 |
|
|
|
|
800 |
|
|
|
780,376 |
|
8.50%, 06/30/22 |
|
|
|
|
1,014 |
|
|
|
981,581 |
|
KWG Property Holding Ltd., 5.88%, 11/10/24 |
|
|
|
|
800 |
|
|
|
779,329 |
|
Lodha Developers International Ltd., 12.00%, 03/13/20 |
|
|
|
|
200 |
|
|
|
213,152 |
|
Oceanwide Holdings International 2017 Co. Ltd., 7.75%, 07/27/20 |
|
|
|
|
350 |
|
|
|
336,927 |
|
Redco Properties Group Ltd., 7.00%, 11/14/18 |
|
|
|
|
250 |
|
|
|
251,875 |
|
Shui On Development Holding Ltd., (5 yr. Swap Semi 30/360 US + 0.000%), 7.50%(j)(m)(n) |
|
|
|
|
500 |
|
|
|
559,000 |
|
Singha Estate PCL, 2.00%, 07/20/22(j) |
|
|
|
|
1,000 |
|
|
|
993,750 |
|
Times Property Holdings Ltd., 6.60%, 03/02/23 |
|
|
|
|
1,100 |
|
|
|
1,090,425 |
|
TLG Immobilien AG, 1.38%, 11/27/24 |
|
EUR |
|
|
1,400 |
|
|
|
1,673,185 |
|
Vanke Real Estate Hong Kong Co. Ltd., 3.98%, 11/09/27 |
|
USD |
|
|
1,220 |
|
|
|
1,214,559 |
|
VICI Properties 1 LLC/VICI FC, Inc., (3 mo. LIBOR US + 3.500%), 4.85%, 10/15/22(a) |
|
|
|
|
4,204 |
|
|
|
4,204,000 |
|
VLL International, Inc., 5.75%, 11/28/24 |
|
|
|
|
375 |
|
|
|
380,779 |
|
Yuzhou Properties Co. Ltd., (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 0.000%),
5.38%(m)(n) |
|
|
|
|
800 |
|
|
|
764,404 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
29,036,509 |
|
Road & Rail 0.3% |
|
|
|
|
|
Burlington Northern Santa Fe LLC: |
|
|
|
|
|
|
4.15%, 04/01/45 |
|
|
|
|
1,419 |
|
|
|
1,542,017 |
|
4.70%, 09/01/45 |
|
|
|
|
1,265 |
|
|
|
1,482,052 |
|
4.13%, 06/15/47 |
|
|
|
|
4,080 |
|
|
|
4,470,545 |
|
CSX Corp., 4.25%, 11/01/66 |
|
|
|
|
3,523 |
|
|
|
3,520,133 |
|
Europcar Groupe SA, 4.13%, 11/15/24 |
|
EUR |
|
|
100 |
|
|
|
119,985 |
|
Nagoya Railroad Co. Ltd., 0.00%, 12/11/24(j)(k)
|
|
JPY |
|
|
80,000 |
|
|
|
783,315 |
|
Norfolk Southern Corp., 4.05%, 08/15/52(b) |
|
USD |
|
|
3,247 |
|
|
|
3,365,409 |
|
Penske Truck Leasing Co. LP/PTL Finance Corp., 3.40%,
11/15/26(b) |
|
|
|
|
7,682 |
|
|
|
7,585,026 |
|
Union Pacific Corp.: |
|
|
|
|
|
|
3.38%, 02/01/35 |
|
|
|
|
1,864 |
|
|
|
1,887,971 |
|
3.60%, 09/15/37 |
|
|
|
|
5,030 |
|
|
|
5,211,397 |
|
3.88%, 02/01/55 |
|
|
|
|
4,114 |
|
|
|
4,179,771 |
|
Union Pacific Railroad Co. Pass-Through Trust, Series 2014-1,
3.23%, 05/14/26 |
|
|
|
|
3,009 |
|
|
|
3,068,135 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
37,215,756 |
|
Semiconductors & Semiconductor Equipment 1.2% |
|
|
|
|
Analog Devices, Inc.: |
|
|
|
|
|
|
|
|
|
|
3.90%, 12/15/25 |
|
|
|
|
680 |
|
|
|
710,864 |
|
3.50%, 12/05/26 |
|
|
|
|
12,390 |
|
|
|
12,538,402 |
|
5.30%, 12/15/45 |
|
|
|
|
694 |
|
|
|
824,820 |
|
Applied Materials, Inc.: |
|
|
|
|
|
|
|
|
|
|
3.30%, 04/01/27 |
|
|
|
|
5,932 |
|
|
|
6,033,428 |
|
4.35%, 04/01/47 |
|
|
|
|
3,508 |
|
|
|
3,935,233 |
|
Broadcom Corp./Broadcom Cayman Finance Ltd.: |
|
|
|
|
|
|
|
|
|
|
2.38%, 01/15/20(b) |
|
|
|
|
49,264 |
|
|
|
48,930,835 |
|
2.20%, 01/15/21(b) |
|
|
|
|
4,190 |
|
|
|
4,097,306 |
|
3.00%, 01/15/22(b) |
|
|
|
|
37,159 |
|
|
|
36,844,252 |
|
3.63%, 01/15/24(b) |
|
|
|
|
6,960 |
|
|
|
6,920,918 |
|
Lam Research Corp.: |
|
|
|
|
|
|
|
|
|
|
2.75%, 03/15/20 |
|
|
|
|
3,359 |
|
|
|
3,382,778 |
|
2.80%, 06/15/21 |
|
|
|
|
3,933 |
|
|
|
3,957,683 |
|
Neo Solar Power Corp., 0.00%, 10/27/19(j)(k) |
|
|
|
|
700 |
|
|
|
699,125 |
|
NXP BV/NXP Funding LLC, 4.13%, 06/01/21(b) |
|
|
|
|
452 |
|
|
|
461,040 |
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
|
|
Par (000) |
|
|
Value |
|
Semiconductors & Semiconductor Equipment (continued) |
|
QUALCOMM, Inc.: |
|
|
|
|
|
|
|
|
|
|
2.60%, 01/30/23 |
|
USD |
|
|
7,895 |
|
|
$ |
7,700,913 |
|
4.80%, 05/20/45 |
|
|
|
|
2,164 |
|
|
|
2,327,483 |
|
Xilinx, Inc., 2.95%, 06/01/24 |
|
|
|
|
3,360 |
|
|
|
3,339,019 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
142,704,099 |
|
Software 0.8% |
|
|
|
|
|
|
|
|
Autodesk, Inc., 3.50%, 06/15/27 |
|
|
|
|
12,270 |
|
|
|
12,035,960 |
|
CDK Global, Inc., 3.80%, 10/15/19 |
|
|
|
|
2,000 |
|
|
|
2,040,000 |
|
Microsoft Corp.: |
|
|
|
|
|
|
|
|
|
|
3.50%, 02/12/35 |
|
|
|
|
5,373 |
|
|
|
5,590,409 |
|
3.45%, 08/08/36 |
|
|
|
|
16,580 |
|
|
|
17,093,813 |
|
4.25%, 02/06/47 |
|
|
|
|
14,850 |
|
|
|
16,977,562 |
|
Oracle Corp.: |
|
|
|
|
|
|
|
|
|
|
3.25%, 05/15/30 |
|
|
|
|
4,289 |
|
|
|
4,335,673 |
|
3.90%, 05/15/35 |
|
|
|
|
5,276 |
|
|
|
5,588,820 |
|
4.00%, 07/15/46 |
|
|
|
|
5,854 |
|
|
|
6,228,720 |
|
VMware, Inc., 2.30%, 08/21/20 |
|
|
|
|
33,240 |
|
|
|
33,051,532 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
102,942,489 |
|
Specialty Retail 0.1% |
|
|
|
|
|
|
|
|
Home Depot, Inc.: |
|
|
|
|
|
|
|
|
|
|
5.88%, 12/16/36 |
|
|
|
|
3,435 |
|
|
|
4,648,271 |
|
3.50%, 09/15/56 |
|
|
|
|
5,900 |
|
|
|
5,675,710 |
|
Lowes Cos., Inc., 4.38%, 09/15/45 |
|
|
|
|
4,380 |
|
|
|
4,841,085 |
|
Masaria Investments SAU, 5.00%, 09/15/24 |
|
EUR |
|
|
915 |
|
|
|
1,103,349 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
16,268,415 |
|
Technology Hardware, Storage & Peripherals 0.7% |
|
Apple Inc.: |
|
|
|
|
|
|
|
|
|
|
3.00%, 02/09/24 |
|
USD |
|
|
7,371 |
|
|
|
7,464,561 |
|
2.85%, 05/11/24 |
|
|
|
|
30,460 |
|
|
|
30,596,452 |
|
3.45%, 02/09/45 |
|
|
|
|
1,934 |
|
|
|
1,887,445 |
|
4.65%, 02/23/46 |
|
|
|
|
13,559 |
|
|
|
15,878,059 |
|
Hewlett Packard Enterprise Co.: |
|
|
|
|
|
|
|
|
|
|
2.85%, 10/05/18 |
|
|
|
|
7,345 |
|
|
|
7,380,397 |
|
2.10%, 10/04/19(b) |
|
|
|
|
12,285 |
|
|
|
12,200,913 |
|
3.60%, 10/15/20 |
|
|
|
|
6,500 |
|
|
|
6,636,493 |
|
HP, Inc., 3.75%, 12/01/20 |
|
|
|
|
728 |
|
|
|
751,240 |
|
Proven Glory Capital Ltd., 3.25%, 02/21/22 |
|
|
|
|
1,875 |
|
|
|
1,867,946 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
84,663,506 |
|
Textiles, Apparel & Luxury Goods 0.0% |
|
|
|
|
|
|
|
|
PVH Corp., 3.13%, 12/15/27 |
|
EUR |
|
|
1,285 |
|
|
|
1,561,727 |
|
|
|
|
|
|
|
|
|
Thrifts & Mortgage Finance 0.1% |
|
|
|
|
|
|
|
|
Korea Housing Finance Corp., 3.00%, 10/31/22 . |
|
USD |
|
|
2,175 |
|
|
|
2,157,448 |
|
Nationwide Building Society, 4.13%, 10/18/32(b)(e)
|
|
|
|
|
8,460 |
|
|
|
8,462,862 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,620,310 |
|
Tobacco 0.3% |
|
|
|
|
|
|
|
|
BAT Capital Corp., 4.39%, 08/15/37(b) |
|
|
|
|
10,080 |
|
|
|
10,585,036 |
|
Philip Morris International, Inc., 1.88%, 11/06/37 |
|
EUR |
|
|
475 |
|
|
|
552,553 |
|
Reynolds American, Inc.: |
|
|
|
|
|
|
|
|
|
|
2.30%, 06/12/18 |
|
USD |
|
|
2,460 |
|
|
|
2,462,885 |
|
3.25%, 06/12/20 |
|
|
|
|
1,044 |
|
|
|
1,060,803 |
|
4.45%, 06/12/25 |
|
|
|
|
17,165 |
|
|
|
18,302,104 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
32,963,381 |
|
Trading Companies & Distributors 0.2% |
|
|
|
|
|
|
|
|
Air Lease Corp., 2.63%, 07/01/22 |
|
|
|
|
11,975 |
|
|
|
11,813,508 |
|
GATX Corp.: |
|
|
|
|
|
|
|
|
|
|
2.60%, 03/30/20 |
|
|
|
|
2,962 |
|
|
|
2,961,248 |
|
3.85%, 03/30/27 |
|
|
|
|
2,336 |
|
|
|
2,375,033 |
|
Iwatani Corp., 0.00%, 10/22/20(j)(k) |
|
JPY |
|
|
120,000 |
|
|
|
1,142,223 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
18,292,012 |
|
|
|
|
20 |
|
2017 BLACKROCK QUARTERLY REPORT TO SHAREHOLDERS |
|
|
|
Consolidated Schedule of Investments (unaudited) (continued) |
|
Master Total Return Portfolio of Master Bond LLC |
December 31, 2017 |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
|
|
|
Par (000) |
|
|
Value |
|
Transportation Infrastructure 0.1% |
|
Aeropuertos Argentina 2000 SA, 6.88%, 02/01/27(b) |
|
|
USD |
|
|
|
706 |
|
|
$ |
763,348 |
|
Aeropuertos Dominicanos Siglo XXI SA, 6.75%, 03/30/29(b)
|
|
|
|
|
|
|
706 |
|
|
|
773,070 |
|
Jasa Marga Persero Tbk PT, 7.50%, 12/11/20 |
|
|
IDR |
|
|
|
7,760,000 |
|
|
|
576,423 |
|
Newcastle Coal Infrastructure Group Pty Ltd., 4.40%, 09/29/27 |
|
|
USD |
|
|
|
675 |
|
|
|
676,054 |
|
Rumo Luxembourg S.à r.l., 7.38%, 02/09/24(b)
|
|
|
|
|
|
|
2,818 |
|
|
|
3,032,450 |
|
Shanghai Port Group BVI Holding Co. Ltd., 0.00%,
08/09/22(j)(k) |
|
|
|
|
|
|
2,600 |
|
|
|
2,525,250 |
|
Swissport Financing S.à r.l., 9.75%, 12/15/22 |
|
|
EUR |
|
|
|
1,350 |
|
|
|
1,683,020 |
|
Zhejiang Expressway Co. Ltd., 0.00%, 04/21/22(j)(k)
|
|
|
|
|
|
|
1,900 |
|
|
|
2,226,705 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12,256,320 |
|
Wireless Telecommunication Services 0.2% |
|
Matterhorn Telecom SA, 4.00%, 11/15/27 |
|
|
|
|
|
|
675 |
|
|
|
785,599 |
|
Rogers Communications, Inc., 5.00%, 03/15/44 |
|
|
USD |
|
|
|
775 |
|
|
|
895,051 |
|
SoftBank Group Corp.: |
|
|
|
|
|
|
|
|
|
|
|
|
4.75%, 09/19/24 |
|
|
|
|
|
|
200 |
|
|
|
198,048 |
|
5.25%, 07/30/27 |
|
|
EUR |
|
|
|
1,170 |
|
|
|
1,573,753 |
|
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC, 3.36%, 03/20/23(b) |
|
|
USD |
|
|
|
18,945 |
|
|
|
19,063,406 |
|
Vodafone Group PLC, 0.00%, 11/26/20(j)(k) |
|
|
GBP |
|
|
|
1,700 |
|
|
|
2,275,167 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
24,791,024 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Corporate Bonds 29.1% (Cost: $3,538,434,766) |
|
|
|
3,587,953,335 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Floating Rate Loan Interests 1.0% |
|
|
|
|
|
Aerospace & Defense 0.0% |
|
|
|
|
Hensoldt Holding GmbH (FKA Kite Holding Germany GmbH), Facility B2, 02/28/24(r) |
|
|
EUR |
|
|
|
1,000 |
|
|
|
1,205,846 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Airlines 0.1% |
|
|
|
|
|
|
|
|
|
Gol Luxco SA, Term Loan, 6.50%, 08/31/20(d)(s)
|
|
|
USD |
|
|
|
7,462 |
|
|
|
7,629,895 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Capital Markets 0.4% |
|
|
|
|
|
|
|
|
|
LSTAR Securities Financing Vehicle I LLC, Term Loan, (1 mo. LIBOR + 2.50%), 3.56%, 05/10/25(d)(t) |
|
|
|
|
|
|
32,534 |
|
|
|
32,247,206 |
|
LSTAR Securities Financing Vehicle II LLC, Term Loan, (1 mo. LIBOR + 2.00%), 2.00%, 06/16/25(d)(t) |
|
|
|
|
|
|
14,721 |
|
|
|
14,556,370 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
46,803,576 |
|
Chemicals 0.1% |
|
|
|
|
|
|
|
|
|
Allnex (Luxembourg) & Cy SCA (FKA AI Chem & Cy SCA), Tranche
B-1 Term Loan, 09/13/23(r) |
|
|
EUR |
|
|
|
1,500 |
|
|
|
1,800,328 |
|
Axalta Coating Systems Dutch Holding B BV (Axalta Coating Systems U.S. Holdings, Inc.), Term B-1 Euro Loan, (3 mo. EURIBOR + 2.25%, 0.75% Floor), 3.00%, 02/01/23(t) |
|
|
|
|
|
|
990 |
|
|
|
1,190,485 |
|
Chemours Co., Tranche B-1 Euro Term Loan, (1 mo. EURIBOR +
2.25%, 0.75% Floor), 3.00%, 05/12/22(t) |
|
|
|
|
|
|
993 |
|
|
|
1,200,672 |
|
MacDermid Agricultural Solutions Holdings BV (Netherlands Agricultural Investment Partners LLC), Euro Tranche
C-5 Term Loan, (1 mo. EURIBOR + 2.75%, 0.75% Floor), 3.50%, 06/07/23(t) |
|
|
|
|
|
|
922 |
|
|
|
1,109,928 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
|
|
|
Par (000) |
|
|
Value |
|
Chemicals (continued) |
|
|
|
|
|
|
|
|
|
MacDermid, Inc. (Platform Specialty Products Corp.), Euro Tranche C-6
Term Loan, (1 mo. EURIBOR + 2.50%, 0.75% Floor), 3.25%, 06/07/20(t) |
|
|
EUR |
|
|
|
663 |
|
|
$ |
798,389 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,099,802 |
|
Commercial Services & Supplies 0.0% |
|
Bach Finance Ltd., Initial Euro Term Loan (First Lien), (3 mo. EURIBOR + 3.25%, 0.00% Floor), 3.25%,
06/26/24(t) |
|
|
|
|
|
|
1,000 |
|
|
|
1,198,215 |
|
Verisure Holding AB (Public), Facility B1E, 10/21/22(r)
|
|
|
|
|
|
|
1,500 |
|
|
|
1,786,613 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,984,828 |
|
Construction Materials 0.0% |
|
CTC AcquiCo GmbH, Term Loan, 11/29/24(r) |
|
|
|
|
|
|
1,200 |
|
|
|
1,440,795 |
|
LSF10 XL Bidco SCA, Facility B, 04/11/24(r) |
|
|
|
|
|
|
1,457 |
|
|
|
1,750,354 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,191,149 |
|
Consumer Finance 0.0% |
|
Nets Holding A/S, Term Loan B1E, 11/29/24(r) |
|
|
|
|
|
|
1,000 |
|
|
|
1,200,782 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Containers & Packaging 0.0% |
|
|
|
|
Klockner Pentaplast of America, Inc. (FKA Kleopatra Acquisition Corp.), Euro Term Loan, (3 mo. EURIBOR +
4.75%, 0.00% Floor), 4.75%, 06/30/22(t) |
|
|
|
|
|
|
1,500 |
|
|
|
1,801,695 |
|
Verallia Packaging (FKA Horizon Holdings III), Facility B4, 10/31/22(r) |
|
|
|
|
|
|
927 |
|
|
|
1,107,879 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,909,574 |
|
Diversified Financial Services 0.1% |
|
Tackle S.à r.l., New Facility B, 08/08/22(r)
|
|
|
|
|
|
|
1,000 |
|
|
|
1,197,411 |
|
Veritas U.S., Inc., New Euro Term B Loan, (3 mo. EURIBOR + 4.50%, 1.00% Floor), 5.50%, 01/27/23(t) |
|
|
|
|
|
|
1,661 |
|
|
|
2,005,752 |
|
Virgin Media SFA Finance Ltd., L Facility, (1 mo. LIBOR US + 3.25%, 0.00% Floor), 3.74%, 01/15/27(t) |
|
|
GBP |
|
|
|
2,000 |
|
|
|
2,688,818 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,891,981 |
|
Diversified Telecommunication Services 0.0% |
|
Eircom Finco S.à r.l., Facility B, (1 mo. EURIBOR + 3.25%, 0.00% Floor), 3.25%, 04/19/24(t) |
|
|
EUR |
|
|
|
1,899 |
|
|
|
2,274,795 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy Equipment & Services 0.0% |
|
Pioneer Energy Services Corp. (FKA Pioneer Drilling Co.), Term Loan, (1 mo. LIBOR US + 7.75%, 1.00%
Floor), 9.16%, 11/08/22(d)(t) |
|
|
USD |
|
|
|
5,012 |
|
|
|
5,099,710 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care Providers & Services 0.0% |
|
Diaverum Holding S.à r.l. (FKA Velox Bidco S.à r.l.), Facility B, 07/04/24(r) |
|
|
EUR |
|
|
|
1,000 |
|
|
|
1,195,503 |
|
Vedici Groupe, Term Loan B, 10/31/22(r) |
|
|
|
|
|
|
1,000 |
|
|
|
1,205,282 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,400,785 |
|
Hotels, Restaurants & Leisure 0.1% |
|
By The Blue Sea LLC (Neptunes Walk LLC), Loan, (1 mo. LIBOR US + 2.37%, 0.00% Floor),
3.61%, 06/09/24(d)(t) |
|
|
USD |
|
|
|
15,000 |
|
|
|
15,000,000 |
|
|
|
|
|
|
CONSOLIDATED SCHEDULE OF INVESTMENTS |
|
|
21 |
|
|
|
|
Consolidated Schedule of Investments (unaudited) (continued) |
|
Master Total Return Portfolio of Master Bond LLC |
December 31, 2017 |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
|
|
|
Par (000) |
|
|
Value |
|
Hotels, Restaurants & Leisure (continued) |
|
|
|
|
Cyan Blue Holdco 2 Ltd., 2017 B-1 Term Loan, (3 mo. LIBOR US +
4.25%, 0.00% Floor), 4.77%, 08/23/24(t) |
|
|
GBP |
|
|
|
500 |
|
|
$ |
678,557 |
|
GVC Holdings PLC, Facility B1, 03/02/23(r) |
|
|
EUR |
|
|
|
1,500 |
|
|
|
1,789,277 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
17,467,834 |
|
Insurance 0.0% |
|
|
|
|
Financiere CEP, Term Loan B, 12/13/24(r) |
|
|
|
|
|
|
1,000 |
|
|
|
1,182,605 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Life Sciences Tools & Services 0.0% |
|
Avantor, Inc., Initial Euro Term Loan, (1 mo EURIBOR + 4.25%, 0.00% Floor), 4.25%, 11/21/24(t) |
|
|
|
|
|
|
1,000 |
|
|
|
1,205,102 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Media 0.1% |
|
|
|
|
|
|
|
|
|
SFR Group SA (Ypso France SAS) (AKA Numericable U.S. LLC), Term Loan B11, 07/31/25(r) |
|
|
|
|
|
|
2,340 |
|
|
|
2,705,555 |
|
Springer Science+Business Media Deutschland GmbH (FKA Blitz
13-253 GmbH), Initial Term B12 Loan, (3 mo. EURIBOR + 3.25%, 0.50% Floor), 3.75%, 08/15/22(t) |
|
|
|
|
|
|
993 |
|
|
|
1,194,122 |
|
Tele Columbus AG, New Facility A, 10/15/24(r) |
|
|
|
|
|
|
1,500 |
|
|
|
1,796,548 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,696,225 |
|
Oil, Gas & Consumable Fuels 0.1% |
|
|
|
|
California Resources Corp., Initial Loan, 12/31/22(r)
|
|
|
USD |
|
|
|
5,498 |
|
|
|
5,470,510 |
|
Rain Carbon GmbH, Cov-Lite TLB, 12/11/24(r) |
|
|
EUR |
|
|
|
1,500 |
|
|
|
1,796,404 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,266,914 |
|
Personal Products 0.0% |
|
|
|
|
|
|
|
|
|
IWK UK Midco Ltd., Term Loan B, 11/28/24(r) |
|
|
|
|
|
|
1,000 |
|
|
|
1,200,446 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Professional Services 0.0% |
|
|
|
|
|
|
|
|
|
Sapphire Bidco BV, Term Loan B, 12/06/24(r) |
|
|
|
|
|
|
1,000 |
|
|
|
1,200,746 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Real Estate Management & Development 0.0% |
|
|
|
|
VICI Properties 1 LLC, Term B Loan, 12/20/24(r)
|
|
|
USD |
|
|
|
1,750 |
|
|
|
1,750,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Software 0.0% |
|
|
|
|
|
|
|
|
|
MA FinanceCo, LLC (AKA Micro Focus International PLC), Euro Tranche Term Loan, 06/21/24(r) |
|
|
EUR |
|
|
|
1,000 |
|
|
|
1,201,946 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Specialty Retail 0.0% |
|
|
|
|
|
|
|
|
|
Action Holding BV (FKA Peer Holdings BV), Facility B,
02/25/22(r) |
|
|
|
|
|
|
1,000 |
|
|
|
1,203,146 |
|
Intervias Finco Ltd. (FKA Optima Sub-Finco Ltd.), Term Facility D2 (EUR), (3 mo. EURIBOR + 4.00%, 0.00%
Floor), 4.00%, 01/30/23(t) |
|
|
|
|
|
|
1,018 |
|
|
|
1,225,157 |
|
Thom Europe, Original Senior Facility B, (3 mo. EURIBOR + 4.50%, 0.00% Floor), 4.50%, 08/07/24(t) |
|
|
|
|
|
|
1,000 |
|
|
|
1,199,103 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,627,406 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Floating Rate Loan Interests 1.0% (Cost: $127,232,306) |
|
|
129,491,947 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Foreign Agency Obligations 0.9% |
|
Argentina 0.1% |
|
|
|
|
|
|
|
|
|
YPF SA: 8.88%, 12/19/18(b) |
|
|
USD |
|
|
|
2,628 |
|
|
|
2,775,168 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
|
|
|
Par (000) |
|
|
Value |
|
Argentina (continued) |
|
|
|
|
|
|
|
|
|
YPF SA: (continued) 8.50%, 03/23/21(b) |
|
|
USD |
|
|
|
336 |
|
|
$ |
380,016 |
|
8.75%, 04/04/24 |
|
|
|
|
|
|
1,976 |
|
|
|
2,269,436 |
|
6.95%, 07/21/27(b) |
|
|
|
|
|
|
1,881 |
|
|
|
1,996,681 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,421,301 |
|
Bahrain 0.0% |
|
|
|
|
|
|
|
|
|
Oil and Gas Holding Co. BSCC, 7.50%, 10/25/27 |
|
|
|
|
|
|
475 |
|
|
|
486,390 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Brazil 0.2% |
|
|
|
|
|
|
|
|
|
Petrobras Global Finance BV: |
|
|
|
|
|
|
|
|
|
|
|
|
5.38%, 01/27/21 |
|
|
|
|
|
|
4,530 |
|
|
|
4,711,200 |
|
8.38%, 05/23/21 |
|
|
|
|
|
|
4,153 |
|
|
|
4,736,496 |
|
6.13%, 01/17/22 |
|
|
|
|
|
|
15,729 |
|
|
|
16,692,401 |
|
4.75%, 01/14/25 |
|
|
EUR |
|
|
|
800 |
|
|
|
1,060,661 |
|
5.30%, 01/27/25(b) |
|
|
USD |
|
|
|
737 |
|
|
|
739,211 |
|
7.38%, 01/17/27 |
|
|
|
|
|
|
755 |
|
|
|
831,255 |
|
6.00%, 01/27/28(b) |
|
|
|
|
|
|
751 |
|
|
|
752,877 |
|
5.38%, 10/01/29 |
|
|
GBP |
|
|
|
185 |
|
|
|
253,524 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
29,777,625 |
|
Cayman Islands 0.0% |
|
|
|
|
|
|
|
|
|
APICorp. Sukuk Ltd., 3.14%, 11/01/22 |
|
|
USD |
|
|
|
568 |
|
|
|
566,694 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
China 0.2% |
|
|
|
|
|
|
|
|
|
CDBL Funding 1: |
|
|
|
|
|
|
|
|
|
|
|
|
3.00%, 04/24/23 |
|
|
|
|
|
|
1,335 |
|
|
|
1,302,088 |
|
3.50%, 10/24/27 |
|
|
|
|
|
|
1,150 |
|
|
|
1,116,718 |
|
CGNPC International Ltd., 3.75%, 12/11/27 |
|
|
|
|
|
|
1,000 |
|
|
|
995,893 |
|
Chang Development International Ltd., 3.63%, 01/20/20 |
|
|
|
|
|
|
750 |
|
|
|
743,176 |
|
Charming Light Investments Ltd., 4.38%, 12/21/27 |
|
|
|
|
|
|
2,600 |
|
|
|
2,611,760 |
|
China Minmetals Corp., (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 0.000%), 3.75%(m)(n) |
|
|
|
|
|
|
1,400 |
|
|
|
1,376,187 |
|
China Railway Construction Corp. Ltd.: |
|
|
|
|
|
|
|
|
|
|
|
|
0.00%, 01/29/21(j)(k) |
|
|
|
|
|
|
500 |
|
|
|
530,550 |
|
1.50%, 12/21/21(j) |
|
|
CNH |
|
|
|
4,000 |
|
|
|
582,591 |
|
Chinalco Capital Holdings Ltd., 4.25%, 04/21/22 |
|
|
USD |
|
|
|
1,025 |
|
|
|
1,026,887 |
|
CNAC HK Synbridge Co. Ltd., 5.00%, 05/05/20 |
|
|
|
|
|
|
2,857 |
|
|
|
2,908,140 |
|
Export-Import Bank of China, 4.00%, 11/28/47 |
|
|
|
|
|
|
1,500 |
|
|
|
1,511,430 |
|
HeSteel Hong Kong Co. Ltd., 4.25%, 04/07/20 |
|
|
|
|
|
|
1,100 |
|
|
|
1,100,057 |
|
Huarong Finance 2017 Co. Ltd.: (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity +
0.000%), 4.00%(m)(n) |
|
|
|
|
|
|
1,320 |
|
|
|
1,307,364 |
|
4.75%, 04/27/27 |
|
|
|
|
|
|
500 |
|
|
|
511,615 |
|
4.25%, 11/07/27 |
|
|
|
|
|
|
2,190 |
|
|
|
2,159,237 |
|
Huarong Finance II Co. Ltd., 4.63%, 06/03/26 |
|
|
|
|
|
|
476 |
|
|
|
484,861 |
|
Industrial & Commercial Bank of China Ltd.: |
|
|
|
|
|
|
|
|
|
|
|
|
2.96%, 11/08/22 |
|
|
|
|
|
|
1,400 |
|
|
|
1,387,023 |
|
3.54%, 11/08/27 |
|
|
|
|
|
|
1,300 |
|
|
|
1,292,554 |
|
Inner Mongolia High-Grade High Way Construction And Development Co. Ltd., 4.38%, 12/04/20 |
|
|
|
|
|
|
600 |
|
|
|
597,834 |
|
|
|
|
22 |
|
2017 BLACKROCK QUARTERLY REPORT TO SHAREHOLDERS |
|
|
|
Consolidated Schedule of Investments (unaudited) (continued) |
|
Master Total Return Portfolio of Master Bond LLC |
December 31, 2017 |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
|
|
|
Par (000) |
|
|
Value |
|
China (continued) |
|
|
|
|
|
|
|
|
|
Jinan West City Investment & Development Group Co. Ltd., 3.13%, 10/11/21 |
|
|
USD |
|
|
|
300 |
|
|
$ |
289,857 |
|
Nanjing Yangzi State-owned Assets Investment Group Co. Ltd., 4.50%, 12/05/27 |
|
|
|
|
|
|
345 |
|
|
|
340,453 |
|
Shanhai Hong Kong International Investments Ltd., 3.88%, 04/20/20 |
|
|
|
|
|
|
465 |
|
|
|
464,094 |
|
Sinopec Group Overseas Development 2017 Ltd., 4.25%, 04/12/47 |
|
|
|
|
|
|
350 |
|
|
|
361,443 |
|
Wuhan State-Owned Assets Management Ltd. Co., 3.80%, 12/18/20 |
|
|
|
|
|
|
395 |
|
|
|
394,272 |
|
Yangzhou Urban Construction State-owned Asset Holding Group Co. Ltd., 4.38%, 12/19/20 |
|
|
|
|
|
|
210 |
|
|
|
210,853 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
25,606,937 |
|
France 0.1% |
|
|
|
|
|
|
|
|
|
Electricite de France SA, 4.63%, 04/26/30 |
|
|
EUR |
|
|
|
600 |
|
|
|
937,129 |
|
NEW Areva Holding SA, 4.88%, 09/23/24 |
|
|
|
|
|
|
4,250 |
|
|
|
5,708,291 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,645,420 |
|
Hong Kong 0.0% |
|
|
|
|
|
|
|
|
|
China Cinda Finance 2015 I Ltd., 4.25%, 04/23/25 |
|
|
USD |
|
|
|
1,000 |
|
|
|
1,023,743 |
|
China Cinda Finance 2017 I Ltd., 4.40%, 03/09/27 |
|
|
|
|
|
|
700 |
|
|
|
709,396 |
|
China Great Wall International Holdings III Ltd., 2.63%, 10/27/21 |
|
|
|
|
|
|
600 |
|
|
|
584,560 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,317,699 |
|
India 0.1% |
|
|
|
|
|
|
|
|
|
Export-Import Bank of India, 3.38%, 08/05/26 |
|
|
|
|
|
|
203 |
|
|
|
199,317 |
|
Greenko Dutch BV, 5.25%, 07/24/24 |
|
|
|
|
|
|
1,350 |
|
|
|
1,366,605 |
|
Greenko Investment Co., 4.88%, 08/16/23 |
|
|
|
|
|
|
989 |
|
|
|
979,130 |
|
Hindustan Petroleum Corp. Ltd., 4.00%, 07/12/27 |
|
|
|
|
|
|
695 |
|
|
|
696,086 |
|
Indian Railway Finance Corp. Ltd., 3.84%, 12/13/27 |
|
|
|
|
|
|
1,140 |
|
|
|
1,132,943 |
|
Power Finance Corp. Ltd., 3.75%, 12/06/27 |
|
|
|
|
|
|
1,300 |
|
|
|
1,272,244 |
|
Rural Electrification Corp. Ltd., 3.88%, 07/07/27 |
|
|
|
|
|
|
433 |
|
|
|
429,493 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,075,818 |
|
Indonesia 0.0% |
|
|
|
|
|
|
|
|
|
Pertamina Persero PT: |
|
|
|
|
|
|
|
|
|
|
|
|
5.63%, 05/20/43 |
|
|
|
|
|
|
1,148 |
|
|
|
1,248,799 |
|
6.45%, 05/30/44 |
|
|
|
|
|
|
1,890 |
|
|
|
2,263,230 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,512,029 |
|
Italy 0.0% |
|
|
|
|
|
|
|
|
|
A2A SpA, 1.63%, 10/19/27 |
|
|
EUR |
|
|
|
700 |
|
|
|
835,924 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Mexico 0.1% |
|
|
|
|
|
|
|
|
|
Mexico City Airport Trust, 5.50%, 07/31/47(b)
|
|
|
USD |
|
|
|
5,636 |
|
|
|
5,565,550 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
|
|
|
Par (000) |
|
|
Value |
|
Mexico (continued) |
|
|
|
|
|
|
|
|
|
Petroleos Mexicanos, 6.50%, 03/13/27(b) |
|
|
USD |
|
|
|
7,519 |
|
|
$ |
8,218,267 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13,783,817 |
|
Panama 0.0% |
|
|
|
|
|
|
|
|
|
Aeropuerto Internacional de Tocumen SA, 5.63%, 05/18/36(b)
|
|
|
|
|
|
|
1,806 |
|
|
|
1,945,965 |
|
South Korea 0.1% |
|
|
|
|
|
|
|
|
|
Export-Import Bank of Korea: (3 mo. LIBOR US + 0.930%), 2.30%, 11/01/22(a) |
|
|
|
|
|
|
2,100 |
|
|
|
2,105,710 |
|
3.00%, 11/01/22 |
|
|
|
|
|
|
1,800 |
|
|
|
1,790,492 |
|
Harvest Operations Corp., 3.00%, 09/21/22 |
|
|
|
|
|
|
1,505 |
|
|
|
1,485,962 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,382,164 |
|
United Arab Emirates 0.0% |
|
|
|
|
|
|
|
|
|
Abu Dhabi Crude Oil Pipeline LLC, 3.65%, 11/02/29 |
|
|
|
|
|
|
1,700 |
|
|
|
1,687,831 |
|
Abu Dhabi National Energy Co. PJSC, 3.63%, 01/12/23 |
|
|
|
|
|
|
1,000 |
|
|
|
1,011,500 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,699,331 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Foreign Agency Obligations 0.9% (Cost: $104,645,844) |
|
|
|
107,057,114 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Foreign Government Obligations 4.7% |
|
Argentina 0.4% |
|
|
|
|
|
|
|
|
|
Argentina Bonar Bonds: |
|
|
|
|
|
|
|
|
|
|
|
|
8.00%, 10/08/20 |
|
|
|
|
|
|
822 |
|
|
|
907,236 |
|
8.75%, 05/07/24 |
|
|
|
|
|
|
10,118 |
|
|
|
11,690,785 |
|
Argentine Republic of Argentina, 6.25%, 11/09/47 |
|
|
EUR |
|
|
|
3,672 |
|
|
|
4,463,905 |
|
Provincia de Rio Negro, 7.75%, 12/07/25(b) |
|
|
USD |
|
|
|
1,950 |
|
|
|
1,976,325 |
|
Republic of Argentina: |
|
|
|
|
|
|
|
|
|
|
|
|
6.25%, 04/22/19 |
|
|
|
|
|
|
22,183 |
|
|
|
23,147,960 |
|
3.38%, 10/12/20 |
|
|
CHF |
|
|
|
795 |
|
|
|
842,311 |
|
5.25%, 01/15/28 |
|
|
EUR |
|
|
|
860 |
|
|
|
1,072,668 |
|
7.82%, 12/31/33 |
|
|
|
|
|
|
1,108 |
|
|
|
1,546,314 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
45,647,504 |
|
Bahrain 0.0% |
|
|
|
|
|
|
|
|
|
Kingdom of Bahrain: |
|
|
|
|
|
|
|
|
|
|
|
|
6.75%, 09/20/29(b) |
|
|
USD |
|
|
|
3,478 |
|
|
|
3,426,651 |
|
6.00%, 09/19/44(b) |
|
|
|
|
|
|
952 |
|
|
|
806,131 |
|
7.50%, 09/20/47 |
|
|
|
|
|
|
1,663 |
|
|
|
1,587,899 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,820,681 |
|
Brazil 0.0% |
|
|
|
|
|
|
|
|
|
Brazil Letras do Tesouro Nacional, 0.00%, 01/01/19(k)
|
|
|
BRL |
|
|
|
11 |
|
|
|
2,980,146 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
China 0.0% |
|
|
|
|
|
|
|
|
|
Peoples Republic of China, 3.30%, 07/04/23 |
|
|
CNH |
|
|
|
3,500 |
|
|
|
510,455 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Colombia 0.2% |
|
|
|
|
|
|
|
|
|
Republic of Colombia, 3.88%, 04/25/27 |
|
|
USD |
|
|
|
24,770 |
|
|
|
25,215,860 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Egypt 0.1% |
|
|
|
|
|
|
|
|
|
Arab Republic of Egypt: |
|
|
|
|
|
|
|
|
|
|
|
|
5.75%, 04/29/20 |
|
|
|
|
|
|
4,231 |
|
|
|
4,423,874 |
|
8.50%, 01/31/47 |
|
|
|
|
|
|
2,223 |
|
|
|
2,552,226 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,976,100 |
|
|
|
|
|
|
CONSOLIDATED SCHEDULE OF INVESTMENTS |
|
|
23 |
|
|
|
|
Consolidated Schedule of Investments (unaudited) (continued) |
|
Master Total Return Portfolio of Master Bond LLC |
December 31, 2017 |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
Security |
|
|
|
Par (000) |
|
|
Value |
|
Hungary 0.1% |
|
|
|
|
|
|
|
|
Republic of Hungary, 5.38%, 03/25/24 |
|
USD |
|
|
8,660 |
|
|
$ |
9,796,365 |
|
|
|
|
|
|
|
|
|
|
|
|
Indonesia 0.7% |
|
|
|
|
|
|
|
|
Republic of Indonesia: |
|
|
|
|
|
|
|
|
|
|
2.95%, 01/11/23 |
|
|
|
|
2,674 |
|
|
|
2,653,188 |
|
8.38%, 03/15/24 |
|
IDR |
|
|
9,269,000 |
|
|
|
759,563 |
|
4.13%, 01/15/25 |
|
USD |
|
|
3,970 |
|
|
|
4,121,535 |
|
4.75%, 01/08/26 |
|
|
|
|
11,518 |
|
|
|
12,512,487 |
|
8.38%, 09/15/26 |
|
IDR |
|
|
83,204,000 |
|
|
|
6,928,963 |
|
4.35%, 01/08/27 |
|
USD |
|
|
3,807 |
|
|
|
4,029,245 |
|
7.00%, 05/15/27 |
|
IDR |
|
|
31,185,000 |
|
|
|
2,408,836 |
|
3.50%, 01/11/28 |
|
USD |
|
|
2,300 |
|
|
|
2,292,116 |
|
7.50%, 08/15/32 |
|
IDR |
|
|
210,278,000 |
|
|
|
16,386,480 |
|
8.38%, 03/15/34 |
|
|
|
|
77,710,000 |
|
|
|
6,386,339 |
|
8.25%, 05/15/36 |
|
|
|
|
305,696,000 |
|
|
|
25,122,612 |
|
7.50%, 05/15/38 |
|
|
|
|
102,705,000 |
|
|
|
7,929,500 |
|
4.35%, 01/11/48 |
|
USD |
|
|
1,100 |
|
|
|
1,115,985 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
92,646,849 |
|
Japan 0.2% |
|
|
|
|
|
|
|
|
Government of Japan (10-Year Bond), 0.30%, 12/20/24 |
|
JPY |
|
|
2,750,000 |
|
|
|
25,007,122 |
|
|
|
|
|
|
|
|
|
|
|
|
Lebanon 0.1% |
|
|
|
|
|
|
|
|
Lebanese Republic: |
|
|
|
|
|
|
|
|
|
|
6.10%, 10/04/22 |
|
USD |
|
|
6,351 |
|
|
|
6,171,991 |
|
6.65%, 04/22/24 |
|
|
|
|
2,140 |
|
|
|
2,089,903 |
|
6.25%, 11/04/24 |
|
|
|
|
3,429 |
|
|
|
3,293,109 |
|
6.85%, 03/23/27 |
|
|
|
|
7,454 |
|
|
|
7,195,465 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
18,750,468 |
|
Maldives 0.0% |
|
|
|
|
|
|
|
|
Republic of Maldives, 7.00%, 06/07/22 |
|
|
|
|
775 |
|
|
|
775,126 |
|
|
|
|
|
|
|
|
|
|
|
|
Mexico 1.5% |
|
|
|
|
|
|
|
|
United Mexican States: |
|
|
|
|
|
|
|
|
|
|
Series M, 4.75%, 06/14/18 |
|
MXN |
|
|
1,119 |
|
|
|
5,616,085 |
|
Series M, 5.00%, 12/11/19 |
|
|
|
|
18,441 |
|
|
|
89,270,308 |
|
5.75%, 03/05/26 |
|
|
|
|
4,030 |
|
|
|
18,117,968 |
|
4.15%, 03/28/27 |
|
USD |
|
|
64,039 |
|
|
|
66,408,443 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
179,412,804 |
|
Mongolia 0.0% |
|
|
|
|
|
|
|
|
Mongolian Peoples Republic: |
|
|
|
|
|
|
|
|
|
|
7.50%, 06/30/18 |
|
CNH |
|
|
2,000 |
|
|
|
308,192 |
|
5.63%, 05/01/23 |
|
USD |
|
|
825 |
|
|
|
832,371 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,140,563 |
|
Pakistan 0.0% |
|
|
|
|
|
|
|
|
Islamic Republic of Pakistan, 6.88%, 12/05/27 |
|
|
|
|
400 |
|
|
|
401,050 |
|
|
|
|
|
|
|
|
|
|
|
|
Panama 0.1% |
|
|
|
|
|
|
|
|
Republic of Panama, 3.75%, 03/16/25 |
|
|
|
|
8,640 |
|
|
|
9,011,520 |
|
|
|
|
|
|
|
|
|
|
|
|
Peru 0.1% |
|
|
|
|
|
|
|
|
Republic of Peru, 7.35%, 07/21/25 |
|
|
|
|
6,920 |
|
|
|
8,964,860 |
|
|
|
|
|
|
|
|
|
|
|
|
Philippines 0.2% |
|
|
|
|
|
|
|
|
Republic of the Philippines, 5.50%, 03/30/26 |
|
|
|
|
18,950 |
|
|
|
22,370,285 |
|
|
|
|
|
|
|
|
|
|
|
|
Portugal 0.0% |
|
|
|
|
|
|
|
|
Republic of Portugal, 5.13%, 10/15/24 |
|
|
|
|
875 |
|
|
|
938,805 |
|
|
|
|
|
|
|
|
|
|
|
|
Russia 0.4% |
|
|
|
|
|
|
|
|
Russian Federation: |
|
|
|
|
|
|
|
|
|
|
6.40%, 05/27/20 |
|
RUB |
|
|
345,553 |
|
|
|
5,936,616 |
|
7.50%, 08/18/21 |
|
|
|
|
470,178 |
|
|
|
8,306,138 |
|
7.40%, 12/07/22 |
|
|
|
|
98,194 |
|
|
|
1,727,362 |
|
4.75%, 05/27/26 |
|
USD |
|
|
3,600 |
|
|
|
3,817,771 |
|
7.75%, 09/16/26 |
|
RUB |
|
|
187,393 |
|
|
|
3,327,059 |
|
8.15%, 02/03/27 |
|
|
|
|
489,844 |
|
|
|
8,951,076 |
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
|
|
Par (000) |
|
|
Value |
|
Russia (continued) |
|
|
|
|
|
|
|
|
Russian Federation: (continued) 4.25%, 06/23/27 |
|
USD |
|
|
8,600 |
|
|
$ |
8,853,700 |
|
7.05%, 01/19/28 |
|
RUB |
|
|
205,200 |
|
|
|
3,461,960 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
44,381,682 |
|
South Africa 0.3% |
|
|
|
|
|
|
|
|
Republic of South Africa: |
|
|
|
|
|
|
|
|
|
|
5.50%, 03/09/20 |
|
USD |
|
|
12,349 |
|
|
|
12,962,992 |
|
5.88%, 05/30/22 |
|
|
|
|
2,536 |
|
|
|
2,769,312 |
|
6.25%, 03/31/36 |
|
ZAR |
|
|
144,817 |
|
|
|
8,421,929 |
|
6.50%, 02/28/41 |
|
|
|
|
64,604 |
|
|
|
3,685,366 |
|
8.75%, 02/28/48 |
|
|
|
|
68,940 |
|
|
|
5,052,164 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
32,891,763 |
|
Sri Lanka 0.0% |
|
|
|
|
|
|
|
|
Republic of Sri Lanka: |
|
|
|
|
|
|
|
|
|
|
5.75%, 01/18/22 |
|
USD |
|
|
600 |
|
|
|
626,726 |
|
6.85%, 11/03/25 |
|
|
|
|
850 |
|
|
|
937,757 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,564,483 |
|
Tunisia 0.0% |
|
|
|
|
|
|
|
|
Banque Centrale de Tunisie International Bond, 4.50%, 06/22/20 |
|
EUR |
|
|
1,309 |
|
|
|
1,642,925 |
|
|
|
|
|
|
|
|
|
|
|
|
Turkey 0.2% |
|
|
|
|
|
|
|
|
Republic of Turkey: |
|
|
|
|
|
|
|
|
|
|
7.00%, 06/05/20 |
|
USD |
|
|
8,031 |
|
|
|
8,664,003 |
|
10.70%, 02/17/21 |
|
TRY |
|
|
13,300 |
|
|
|
3,344,737 |
|
5.63%, 03/30/21 |
|
USD |
|
|
2,885 |
|
|
|
3,036,745 |
|
5.13%, 03/25/22 |
|
|
|
|
750 |
|
|
|
777,375 |
|
7.38%, 02/05/25 |
|
|
|
|
5,679 |
|
|
|
6,539,596 |
|
6.00%, 03/25/27 |
|
|
|
|
4,973 |
|
|
|
5,294,833 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
27,657,289 |
|
United Arab Emirates 0.0% |
|
|
|
|
|
|
|
|
Emirate of Abu Dhabi, 4.13%, 10/11/47 |
|
|
|
|
3,075 |
|
|
|
3,041,544 |
|
|
|
|
|
|
|
|
|
|
|
|
Uruguay 0.1% |
|
|
|
|
|
|
|
|
Republic of Uruguay, 4.38%, 10/27/27 |
|
|
|
|
8,100 |
|
|
|
8,673,885 |
|
|
|
|
|
|
|
|
|
|
|
|
Total Foreign Government Obligations 4.7% (Cost: $582,151,944) |
|
|
|
|
|
|
576,220,134 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares |
|
|
|
|
Investment Companies 1.1% |
|
|
|
|
|
iShares Core MSCI Emerging Markets ETF(ad) |
|
|
|
|
296,312 |
|
|
|
13,962,221 |
|
iShares iBoxx $ High Yield Corporate Bond ETF(i)(ad)
|
|
|
|
|
1,370,820 |
|
|
|
119,617,753 |
|
SPDR Bloomberg Barclays High Yield Bond ETF(i) |
|
|
|
|
82,487 |
|
|
|
3,028,923 |
|
|
|
|
|
|
|
|
|
|
|
|
Total Investment Companies 1.1% (Cost: $134,473,790) |
|
|
|
|
|
|
136,608,897 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Par (000) |
|
|
|
|
Non-Agency Mortgage-Backed Securities
6.3% |
|
|
|
Collateralized Mortgage Obligations 2.2% |
|
|
|
|
Ajax Mortgage Loan Trust, Series 2016-A, Class A, 4.25%,
08/25/64(b)(c) |
|
USD |
|
|
3,785 |
|
|
|
3,843,632 |
|
|
|
|
24 |
|
2017 BLACKROCK QUARTERLY REPORT TO SHAREHOLDERS |
|
|
|
Consolidated Schedule of Investments (unaudited) (continued) |
|
Master Total Return Portfolio of Master Bond LLC |
December 31, 2017 |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
Par (000) |
|
|
Value |
|
Collateralized Mortgage Obligations (continued) |
|
|
|
|
|
|
|
American Home Mortgage Assets Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2006-3, Class 2A11, (12 mo. Federal Reserve Cumulative
Average US + 0.940%), 2.00%, 10/25/46(a) |
|
|
USD |
|
|
|
1,126 |
|
|
$ |
979,839 |
|
Series 2006-4, Class 1A12, (1 mo. LIBOR US + 0.210%),
1.76%, 10/25/46(a) |
|
|
|
|
|
|
3,295 |
|
|
|
2,410,470 |
|
Series 2006-5, Class A1, (12 mo. Federal Reserve Cumulative
Average US + 0.920%), 1.98%, 11/25/46(a) |
|
|
|
|
|
|
4,087 |
|
|
|
2,326,356 |
|
Series 2007-1, Class A1, (12 mo. Federal Reserve Cumulative
Average US + 0.700%), 1.76%, 02/25/47(a) |
|
|
|
|
|
|
948 |
|
|
|
605,003 |
|
Angel Oak Mortgage Trust I LLC, Series 2016-1, Class A1, 3.50%,
07/25/46(b)(c) |
|
|
|
|
|
|
1,782 |
|
|
|
1,789,842 |
|
Angel Oak Mortgage Trust LLC, Series 2015-1, Class A, 4.50%,
11/25/45(b)(c) |
|
|
|
|
|
|
202 |
|
|
|
200,473 |
|
APS Resecuritization Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2016-1, Class 1MZ, 6.00%, 07/31/57 (b)(e) |
|
|
|
|
|
|
6,476 |
|
|
|
2,097,272 |
|
Series 2016-3, Class 3A, (1 mo. LIBOR US + 2.850%), 4.40%,
09/27/46(a)(b)(d) |
|
|
|
|
|
|
7,859 |
|
|
|
7,937,188 |
|
Series 2016-3, Class 4A, (1 mo. LIBOR US + 2.600%), 4.15%,
04/27/47(a)(b)(d) |
|
|
|
|
|
|
2,215 |
|
|
|
2,236,912 |
|
ARI Investments LLC, (1 mo. LIBOR US + 0.000%),
Series 2017-1, Class A, 0.00%, 01/06/25(a)(d) |
|
|
|
|
|
|
3,620 |
|
|
|
3,620,000 |
|
Banc of America Funding Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2014-R2, Class 1C, 0.00%, 11/26/36(b)(d)(e) |
|
|
|
|
|
|
4,534 |
|
|
|
878,529 |
|
Series 2016-R2, Class 1A1, 4.70%, 05/01/33(b)(d)(e) |
|
|
|
|
|
|
1,745 |
|
|
|
1,783,315 |
|
Bear Stearns ALT-A Trust II, Series
2007-1, Class 1A1, 3.42%, 09/25/47(e) |
|
|
|
|
|
|
3,964 |
|
|
|
3,254,262 |
|
Bear Stearns Asset-Backed Securities I Trust, Series 2005-AC9,
Class A5, 6.25%, 12/25/35(c) |
|
|
|
|
|
|
346 |
|
|
|
339,022 |
|
Bear Stearns Mortgage Funding Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2006-SL1, Class A1, (1 mo. LIBOR US + 0.280%),
1.83%, 08/25/36(a) |
|
|
|
|
|
|
2,383 |
|
|
|
2,395,695 |
|
Series 2007-AR2, Class A1, (1 mo. LIBOR US + 0.170%),
1.72%, 03/25/37(a) |
|
|
|
|
|
|
589 |
|
|
|
526,073 |
|
Series 2007-AR3, Class 1A1, (1 mo. LIBOR US + 0.140%),
1.69%, 03/25/37(a) |
|
|
|
|
|
|
872 |
|
|
|
822,885 |
|
Series 2007-AR4, Class 1A1, (1 mo. LIBOR US + 0.200%),
1.75%, 09/25/47(a) |
|
|
|
|
|
|
3,336 |
|
|
|
3,103,670 |
|
Series 2007-AR4, Class 2A1, (1 mo. LIBOR US + 0.210%),
1.76%, 06/25/37(a) |
|
|
|
|
|
|
963 |
|
|
|
915,183 |
|
Berica 8 Residential MBS Srl, (6 mo. EURIBOR + 0.200%), Series 8, Class A, 0.00%, 03/31/48(a) |
|
|
EUR |
|
|
|
164 |
|
|
|
196,794 |
|
BlackRock Capital Finance LP, Series 1997-R2, Class AP, 1.56%,
12/25/35(b)(e)(ad) |
|
|
USD |
|
|
|
3 |
|
|
|
3,021 |
|
Chase Mortgage Finance Trust, Series 2007-S6, Class 1A1, 6.00%,
12/25/37 |
|
|
|
|
|
|
31,708 |
|
|
|
26,494,895 |
|
CIM Trust, Series 17-6, Class A1, 3.02%, 06/25/57(b)(e) |
|
|
|
|
|
|
19,031 |
|
|
|
18,834,284 |
|
Citicorp Mortgage Securities Trust, Series 2008-2,
Class 1A1, 6.50%, 06/25/38 |
|
|
|
|
|
|
9,257 |
|
|
|
7,990,717 |
|
Citigroup Mortgage Loan Trust, Series 2007-2, Class 2A, 6.00%,
11/25/36 |
|
|
|
|
|
|
35 |
|
|
|
35,787 |
|
Collateralized Mortgage Obligation Trust, Series 57, Class D, 9.90%, 02/01/19 |
|
|
|
|
|
|
1 |
|
|
|
529 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
Par (000) |
|
|
Value |
|
Collateralized Mortgage Obligations (continued) |
|
|
|
|
|
|
|
COLT LLC, (1 mo. LIBOR US + 3.000%), Series 2015-1,
Class A1V, 4.55%, 12/26/45(a)(b) |
|
|
USD |
|
|
|
381 |
|
|
$ |
382,618 |
|
Countrywide Alternative Loan Trust: Series 2005-22T1, Class A1, (1 mo. LIBOR US + 0.350%),
1.90%, 06/25/35(a) |
|
|
|
|
|
|
5,281 |
|
|
|
4,784,728 |
|
Series 2005-56, Class 4A1, (1 mo. LIBOR US + 0.310%),
1.64%, 11/25/35(a) |
|
|
|
|
|
|
2,526 |
|
|
|
2,358,086 |
|
Series 2005-72, Class A3, (1 mo. LIBOR US + 0.300%), 1.85%,
01/25/36(a) |
|
|
|
|
|
|
919 |
|
|
|
748,698 |
|
Series 2005-76, Class 2A1, (12 mo. Federal Reserve Cumulative
Average US + 1.000%), 2.06%, 02/25/36(a) |
|
|
|
|
|
|
1,076 |
|
|
|
975,352 |
|
Series 2006-11CB, Class 3A1, 6.50%, 05/25/36 |
|
|
|
|
|
|
2,326 |
|
|
|
1,802,128 |
|
Series 2006-15CB, Class A1, 6.50%, 06/25/36 |
|
|
|
|
|
|
516 |
|
|
|
411,502 |
|
Series 2006-23CB, Class 2A5, (1 mo. LIBOR US + 0.400%), 1.95%, 08/25/36(a) |
|
|
|
|
|
|
7,403 |
|
|
|
2,790,094 |
|
Series 2006-OA14, Class 1A1, (12 mo. Federal Reserve Cumulative Average US + 1.730%), 2.79%,
11/25/46(a) |
|
|
|
|
|
|
4,850 |
|
|
|
4,208,052 |
|
Series 2006-OA16, Class A4C, (1 mo. LIBOR US + 0.340%), 1.89%, 10/25/46(a) |
|
|
|
|
|
|
4,664 |
|
|
|
2,727,456 |
|
Series 2006-OA21, Class A1, (1 mo. LIBOR US + 0.190%), 1.69%, 03/20/47(a) |
|
|
|
|
|
|
12,606 |
|
|
|
10,747,749 |
|
Series 2006-OA6, Class 1A2, (1 mo. LIBOR US + 0.210%),
1.76%, 07/25/46(a) |
|
|
|
|
|
|
4,557 |
|
|
|
4,217,159 |
|
Series 2006-OA8, Class 1A1, (1 mo. LIBOR US + 0.190%),
1.74%, 07/25/46(a) |
|
|
|
|
|
|
691 |
|
|
|
643,654 |
|
Series 2006-OC10, Class 2A3, (1 mo. LIBOR US + 0.230%), 1.78%, 11/25/36(a) |
|
|
|
|
|
|
1,727 |
|
|
|
1,367,556 |
|
Series 2006-OC7, Class 2A3, (1 mo. LIBOR US + 0.250%),
1.80%, 07/25/46(a) |
|
|
|
|
|
|
2,638 |
|
|
|
2,086,550 |
|
Series 2007-3T1, Class 1A1, 6.00%, 04/25/37 |
|
|
|
|
|
|
498 |
|
|
|
375,120 |
|
Series 2007-OA2, Class 1A1, (12 mo. Federal Reserve Cumulative
Average US + 0.840%), 1.90%, 03/25/47(a) |
|
|
|
|
|
|
8,333 |
|
|
|
6,830,674 |
|
Series 2007-OA3, Class 1A1, (1 mo. LIBOR US + 0.140%),
1.69%, 04/25/47(a) |
|
|
|
|
|
|
1,446 |
|
|
|
1,269,806 |
|
Series 2007-OA3, Class 2A2, (1 mo. LIBOR US + 0.180%),
1.73%, 04/25/47(a) |
|
|
|
|
|
|
397 |
|
|
|
27,606 |
|
Series 2007-OA8, Class 2A1, (1 mo. LIBOR US + 0.180%),
1.73%, 06/25/47(a) |
|
|
|
|
|
|
544 |
|
|
|
432,989 |
|
Series 2007-OH2, Class A2A, (1 mo. LIBOR US + 0.240%),
1.79%, 08/25/47(a) |
|
|
|
|
|
|
868 |
|
|
|
665,360 |
|
Countrywide Home Loan Mortgage Pass-Through Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2004-29, Class 1A1, (1 mo. LIBOR US + 0.540%),
2.09%, 02/25/35(a) |
|
|
|
|
|
|
428 |
|
|
|
406,922 |
|
Series 2006-OA4, Class A1, (12 mo. Federal Reserve Cumulative
Average US + 0.960%), 2.02%, 04/25/46(a) |
|
|
|
|
|
|
1,647 |
|
|
|
871,218 |
|
Series 2006-OA5, Class 3A1, (1 mo. LIBOR US + 0.200%),
1.75%, 04/25/46(a) |
|
|
|
|
|
|
903 |
|
|
|
822,913 |
|
Series 2007-15, Class 2A2, 6.50%, 09/25/37 |
|
|
|
|
|
|
12,644 |
|
|
|
9,823,480 |
|
Credit Suisse Commercial Mortgage Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2014-4R, Class 16A3, (1 mo. LIBOR US + 0.200%),
1.44%, 02/27/36(a)(b) |
|
|
|
|
|
|
830 |
|
|
|
758,790 |
|
Series 2014-9R, Class 9A1, (1 mo. LIBOR US + 0.120%),
1.45%, 08/27/36(a)(b)(d) |
|
|
|
|
|
|
1,868 |
|
|
|
1,589,623 |
|
|
|
|
|
|
CONSOLIDATED SCHEDULE OF INVESTMENTS |
|
|
25 |
|
|
|
|
Consolidated Schedule of Investments (unaudited) (continued) |
|
Master Total Return Portfolio of Master Bond LLC |
December 31, 2017 |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
|
|
|
Par (000) |
|
|
Value |
|
Collateralized Mortgage Obligations (continued) |
|
Credit Suisse Mortgage Capital Certificates: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2009-12R, Class 3A1, 6.50%, 10/27/37(b) |
|
|
USD |
|
|
|
8,155 |
|
|
$ |
5,383,584 |
|
Series 2010-20R, Class 9A1, 3.45%, 01/27/36(b)(e) |
|
|
|
|
|
|
1,648 |
|
|
|
1,660,938 |
|
Series 2011-5R, Class 3A1, 3.63%, 09/27/47(b)(e) |
|
|
|
|
|
|
1,450 |
|
|
|
1,422,351 |
|
Series 2013-5R, Class 1A6, (1 mo. LIBOR US + 0.250%),
1.63%, 02/27/36(a)(b) |
|
|
|
|
|
|
1,755 |
|
|
|
1,621,175 |
|
Series 2014-11R, Class 16A1, 3.17%, 09/27/47(b)(e) |
|
|
|
|
|
|
2,452 |
|
|
|
2,474,575 |
|
Series 2015-6R, Class 5A1, (1 mo. LIBOR US + 0.180%),
1.51%, 03/27/36(a)(b) |
|
|
|
|
|
|
983 |
|
|
|
943,750 |
|
Series 2015-6R, Class 5A2, (1 mo. LIBOR US + 0.180%),
1.51%, 03/27/36(a)(b) |
|
|
|
|
|
|
2,721 |
|
|
|
1,485,111 |
|
CSFB Mortgage-Backed Pass-Through Certificates, (1 mo. LIBOR US + 1.350%), Series 2005-10, Class 10A1, 2.90%, 11/25/35(a) |
|
|
|
|
|
|
1,521 |
|
|
|
629,062 |
|
Deephaven Residential Mortgage Trust, Series 2016-1A,
Class A1, 4.00%, 07/25/46(b) |
|
|
|
|
|
|
2,256 |
|
|
|
2,289,054 |
|
Deutsche Alt-A Securities Mortgage Loan Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2007-OA4, Class 1A1B, (1 mo. LIBOR US + 0.130%),
1.68%, 08/25/47(a) |
|
|
|
|
|
|
813 |
|
|
|
767,372 |
|
Series 2007-OA4, Class A2A, (1 mo. LIBOR US + 0.170%),
1.72%, 08/25/47(a) |
|
|
|
|
|
|
2,326 |
|
|
|
1,647,611 |
|
Series 2007-RMP1, Class A2, (1 mo. LIBOR US + 0.150%), 1.70%, 12/25/36(a) |
|
|
|
|
|
|
3,403 |
|
|
|
3,108,856 |
|
Deutsche Alt-A Securities, Inc., (1 mo. LIBOR US + 0.500%),
Series 2007-RS1, Class A2, 2.05%, 01/27/37(a)(b) |
|
|
|
|
|
|
373 |
|
|
|
742,400 |
|
Deutsche Alt-B Securities Mortgage Loan Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2006-AB3, Class A3, 6.51%, 07/25/36(e) |
|
|
|
|
|
|
739 |
|
|
|
626,441 |
|
Series 2006-AB3, Class A8, 6.36%, 07/25/36(e) |
|
|
|
|
|
|
471 |
|
|
|
399,483 |
|
GreenPoint Mortgage Funding Trust, (12 mo. Federal Reserve Cumulative Average US + 2.000%), Series 2006-AR2, Class 4A1, 3.06%, 03/25/36(a) |
|
|
|
|
|
|
1,056 |
|
|
|
980,876 |
|
GSMPS Mortgage Loan Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2005-RP1, Class 1AF, (1 mo. LIBOR US + 0.350%),
1.90%, 01/25/35(a)(b) |
|
|
|
|
|
|
1,820 |
|
|
|
1,628,291 |
|
Series 2005-RP2, Class 1AF, (1 mo. LIBOR US + 0.350%),
1.90%, 03/25/35(a)(b) |
|
|
|
|
|
|
2,261 |
|
|
|
2,069,889 |
|
Series 2006-RP1, Class 1AF1, (1 mo. LIBOR US + 0.350%),
1.90%, 01/25/36(a)(b) |
|
|
|
|
|
|
1,723 |
|
|
|
1,485,230 |
|
HarborView Mortgage Loan Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2007-3, Class 2A1B, (1 mo. LIBOR US + 0.230%),
1.73%, 05/19/47(a) |
|
|
|
|
|
|
819 |
|
|
|
643,898 |
|
Series 2007-4, Class 2A2, (1 mo. LIBOR US + 0.250%), 1.75%,
07/19/47(a) |
|
|
|
|
|
|
1,119 |
|
|
|
975,067 |
|
Impac CMB Trust, (1 mo. LIBOR US + 0.520%), Series 2005-7,
Class A1, 2.07%, 11/25/35(a) . |
|
|
|
|
|
|
4,229 |
|
|
|
3,635,942 |
|
Impac Secured Assets CMN Owner Trust, (1 mo. LIBOR US + 0.800%), Series 2004-3, Class 1A4, 2.35%, 11/25/34(a) |
|
|
|
|
|
|
179 |
|
|
|
177,965 |
|
IndyMac IMJA Mortgage Loan Trust, Series 2007-A2,
Class 3A1, 7.00%, 10/25/37 |
|
|
|
|
|
|
4,713 |
|
|
|
3,401,022 |
|
IndyMac INDX Mortgage Loan Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2007-AR19, Class 3A1, 3.42%, 09/25/37(e)
|
|
|
|
|
|
|
3,816 |
|
|
|
2,705,938 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
|
|
|
Par (000) |
|
|
Value |
|
Collateralized Mortgage Obligations (continued) |
|
IndyMac INDX Mortgage Loan Trust: (continued) Series 2007-FLX5, Class 2A2, (1 mo. LIBOR US +
0.240%), 1.57%, 08/25/37(a) |
|
|
USD |
|
|
|
1,501 |
|
|
$ |
1,326,036 |
|
JPMorgan Alternative Loan Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2007-A1, Class 1A4, (1 mo. LIBOR US + 0.210%),
1.76%, 03/25/37(a) |
|
|
|
|
|
|
2,235 |
|
|
|
2,010,613 |
|
Series 2007-A2, Class 2A1, 3.67%, 05/25/37(e) |
|
|
|
|
|
|
528 |
|
|
|
528,460 |
|
JPMorgan Mortgage Trust, Series 2017-2, Class A6, 3.00%,
05/25/47(b)(e) |
|
|
|
|
|
|
2,376 |
|
|
|
2,380,429 |
|
Lehman XS Trust, (1 mo. LIBOR US + 1.150%), Series 2007-20N,
Class A1, 2.70%, 12/25/37(a) |
|
|
|
|
|
|
1,487 |
|
|
|
1,465,001 |
|
LSTAR Securities Investment Ltd.: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2017-2, Class A1, (1 mo. LIBOR US + 2.000%), 3.57%,
02/01/22(a)(b) |
|
|
|
|
|
|
5,838 |
|
|
|
5,851,934 |
|
Series 2017-3, Class A1, (1 mo. LIBOR US + 2.000%), 3.57%,
04/01/19(a)(b)(d) |
|
|
|
|
|
|
8,210 |
|
|
|
8,259,029 |
|
MASTR Resecuritization Trust, Series 2008-3, Class A1, 1.76%,
08/25/37(b)(d)(e) |
|
|
|
|
|
|
1,720 |
|
|
|
1,307,984 |
|
Merrill Lynch Alternative Note Asset Trust, (1 mo. LIBOR US + 0.210%), Series 2007-OAR2, Class A2,
1.76%, 04/25/37(a) |
|
|
|
|
|
|
2,651 |
|
|
|
2,211,139 |
|
Merrill Lynch Mortgage Investors Trust, Series 2006-A3,
Class 6A1, 3.77%, 05/25/36(e) |
|
|
|
|
|
|
2,708 |
|
|
|
2,596,173 |
|
Morgan Stanley Resecuritization Trust, (12 mo. Federal Reserve Cumulative Average US + 0.750%), Series 2014-R8, Class 3B1, 1.75%, 06/26/47(a)(b)(d) |
|
|
|
|
|
|
997 |
|
|
|
935,529 |
|
Mortgage Loan Resecuritization Trust, (1 mo. LIBOR US + 0.340%), Series
2009-RS1, Class A85, 1.59%, 04/16/36(a)(b) |
|
|
|
|
|
|
10,231 |
|
|
|
8,682,863 |
|
Nomura Asset Acceptance Corp. Alternative Loan Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2001-R1A, Class A, 6.82%, 02/19/30(b)(e) |
|
|
|
|
|
|
648 |
|
|
|
636,977 |
|
Series 2006-AF1, Class 1A4, 6.63%, 05/25/36(c) |
|
|
|
|
|
|
660 |
|
|
|
283,601 |
|
Series 2007-2, Class A4, (1 mo. LIBOR US + 0.420%), 1.97%,
04/25/47(a) |
|
|
|
|
|
|
600 |
|
|
|
484,590 |
|
Nomura Resecuritization Trust, Series 2014-3R, Class 3A9, 1.85%,
11/26/35(b)(e) |
|
|
|
|
|
|
1,700 |
|
|
|
1,554,684 |
|
Paragon Mortgages No. 13 PLC, (3 mo. LIBOR US + 0.180%), Series 13X, Class A2C, 1.54%,
01/15/39(a) |
|
|
|
|
|
|
380 |
|
|
|
363,632 |
|
RALI Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2006-QO6, Class A2, (1 mo. LIBOR US + 0.230%),
1.78%, 06/25/46(a) |
|
|
|
|
|
|
1,527 |
|
|
|
721,700 |
|
Series 2007-QH1, Class A1, (1 mo. LIBOR US + 0.160%),
1.71%, 02/25/37(a) |
|
|
|
|
|
|
1,222 |
|
|
|
1,114,599 |
|
Series 2007-QH6, Class A1, (1 mo. LIBOR US + 0.190%),
1.74%, 07/25/37(a) |
|
|
|
|
|
|
1,810 |
|
|
|
1,700,803 |
|
Series 2007-QH9, Class A1, 2.39%, 11/25/37(e) |
|
|
|
|
|
|
1,171 |
|
|
|
1,018,298 |
|
RBSSP Resecuritization Trust, (1 mo. LIBOR US + 0.200%), Series
2013-2, Class 1A2, 1.54%, 12/26/36(a)(b) |
|
|
|
|
|
|
1,104 |
|
|
|
1,051,539 |
|
Reperforming Loan REMIC Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2005-R2, Class 1AF1, (1 mo. LIBOR US + 0.340%),
1.89%, 06/25/35(a)(b) |
|
|
|
|
|
|
732 |
|
|
|
675,627 |
|
|
|
|
26 |
|
2017 BLACKROCK QUARTERLY REPORT TO SHAREHOLDERS |
|
|
|
Consolidated Schedule of Investments (unaudited) (continued) |
|
Master Total Return Portfolio of Master Bond LLC |
December 31, 2017 |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
|
|
|
Par (000) |
|
|
Value |
|
Collateralized Mortgage Obligations (continued) |
|
Reperforming Loan REMIC Trust: (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2005-R3, Class AF, (1 mo. LIBOR US +
0.400%), 1.95%, 09/25/35(a)(b) |
|
|
USD |
|
|
|
242 |
|
|
$ |
214,509 |
|
Seasoned Credit Risk Transfer Trust, Series 2017-3,
Class M2, 4.75%, 07/25/56(b)(e) |
|
|
|
|
|
|
1,550 |
|
|
|
1,505,264 |
|
Structured Adjustable Rate Mortgage Loan Trust, Series 2006-3,
Class 4A, 3.46%, 04/25/36(e) |
|
|
|
|
|
|
1,444 |
|
|
|
1,244,307 |
|
Structured Asset Mortgage Investments II Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2006-AR4, Class 3A1, (1 mo. LIBOR US +
0.190%), 1.74%, 06/25/36(a) |
|
|
|
|
|
|
3,818 |
|
|
|
3,570,479 |
|
Series 2006-AR5, Class 2A1, (1 mo. LIBOR US +
0.210%), 1.76%, 05/25/46(a) |
|
|
|
|
|
|
753 |
|
|
|
636,721 |
|
Structured Asset Securities Corp. Mortgage Loan Trust, Series
2006-RF4, Class 2A1, 6.00%, 10/25/36(b) |
|
|
|
|
|
|
1,565 |
|
|
|
1,351,698 |
|
Thornburg Mortgage Securities Trust, (1 mo. LIBOR US + 1.250%), Series 2007-3, Class 4A1, 3.34%, 06/25/47(a) |
|
|
|
|
|
|
1,237 |
|
|
|
1,106,397 |
|
WaMu Mortgage Pass-Through Certificates Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2005-AR2, Class B1, (1 mo. LIBOR US +
0.530%), 2.08%, 01/25/45(a) |
|
|
|
|
|
|
677 |
|
|
|
468,904 |
|
Series 2006-AR15, Class 2A, (Cost of Funds for the 11th District of San Franciso +
1.500%), 2.24%, 11/25/46(a) |
|
|
|
|
|
|
776 |
|
|
|
732,166 |
|
Washington Mutual Mortgage Pass-Through Certificates, Series 2006-4,
Class 3A1, 6.50%, 05/25/36(c) |
|
|
|
|
|
|
1,987 |
|
|
|
1,663,877 |
|
Washington Mutual Mortgage Pass-Through Certificates Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2006-4, Class 1A1, 6.00%, 04/25/36 |
|
|
|
|
|
|
5,368 |
|
|
|
4,875,438 |
|
Series 2006-8, Class A4, 4.51%, 10/25/36(c) . |
|
|
|
|
|
|
2,055 |
|
|
|
1,326,567 |
|
Wells Fargo Mortgage-Backed Securities Trust, Series 2005-AR16, Class CRB1, 3.53%, 10/25/35(e) |
|
|
|
|
|
|
1,112 |
|
|
|
975,850 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Collateralized Mortgage Obligations 2.2% (Cost: $263,738,522) |
|
|
|
269,486,829 |
|
|
Commercial Mortgage-Backed Securities 3.8% |
|
245 Park Avenue Trust, Series 2017-245P, Class E, 3.66%, 06/05/37(b)(e) |
|
|
|
|
|
|
15,520 |
|
|
|
14,584,979 |
|
280 Park Avenue Mortgage Trust, (1 mo. LIBOR US + 2.120%), Series 2017-280P, Class E, 3.60%,
09/15/34(a)(b) |
|
|
|
|
|
|
4,940 |
|
|
|
4,927,686 |
|
Americold LLC, Series 2010-ARTA, Class C, 6.81%,
01/14/29(b) |
|
|
|
|
|
|
700 |
|
|
|
764,452 |
|
AOA Mortgage Trust, Series 2015-1177, Class C, 3.01%, 12/13/29(b)(e) |
|
|
|
|
|
|
1,340 |
|
|
|
1,329,886 |
|
Atrium Hotel Portfolio Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2017-ATRM, Class D, (1 mo. LIBOR US + 1.950%), 3.43%, 11/15/19(a)(b)(d) |
|
|
|
|
|
|
5,690 |
|
|
|
5,624,565 |
|
Series 2017-ATRM, Class E, (1 mo. LIBOR US + 3.050%), 4.53%, 11/15/19(a)(b)(d) |
|
|
|
|
|
|
2,460 |
|
|
|
2,432,448 |
|
Aventura Mall Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2013-AVM, Class D, 3.74%, 12/05/32(b)(e) |
|
|
|
|
|
|
300 |
|
|
|
302,914 |
|
Series 2013-AVM, Class E, 3.74%, 12/05/32(b)(e) |
|
|
|
|
|
|
4,270 |
|
|
|
4,311,478 |
|
Banc of America Commercial Mortgage Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2007-1, Class AMFX, 5.48%, 01/15/49(e) |
|
|
|
|
|
|
239 |
|
|
|
241,656 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
|
|
|
Par (000) |
|
|
Value |
|
Commercial Mortgage-Backed Securities (continued) |
|
Banc of America Commercial Mortgage Trust: (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2007-5, Class AM, 5.77%, 02/10/51(e) |
|
|
USD |
|
|
|
156 |
|
|
$ |
156,420 |
|
Banc of America Merrill Lynch Commercial Mortgage Securities Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2013-DSNY, Class A, (1 mo. LIBOR US + 1.050%), 2.53%, 09/15/26(a)(b) |
|
|
|
|
|
|
3,914 |
|
|
|
3,921,860 |
|
Series 2013-DSNY, Class E, (1 mo. LIBOR US + 2.600%), 4.08%, 09/15/26(a)(b) |
|
|
|
|
|
|
100 |
|
|
|
100,055 |
|
Series 2013-DSNY, Class F, (1 mo. LIBOR US + 3.500%), 4.98%, 09/15/26(a)(b) |
|
|
|
|
|
|
2,303 |
|
|
|
2,300,640 |
|
Series 2015-200P, Class F, 3.60%, 04/14/33(b)(e)
|
|
|
|
|
|
|
2,481 |
|
|
|
2,379,334 |
|
Series 2015-ASHF, Class B, (1 mo. LIBOR US + 1.710%), 3.19%, 01/15/28(a)(b) |
|
|
|
|
|
|
1,190 |
|
|
|
1,192,516 |
|
Series 2015-ASHF, Class C, (1 mo. LIBOR US + 2.000%), 3.48%, 01/15/28(a)(b) |
|
|
|
|
|
|
420 |
|
|
|
420,475 |
|
Series 2016-ISQ, Class E, 3.61%, 08/14/34(b)(d)(e) |
|
|
|
|
|
|
6,140 |
|
|
|
5,537,992 |
|
Series 2017-SCH, Class CL, (1 mo. LIBOR US + 1.500%),
2.75%, 11/15/20(a)(b) |
|
|
|
|
|
|
970 |
|
|
|
970,270 |
|
Series 2017-SCH, Class DL, (1 mo. LIBOR US + 2.000%),
3.25%, 11/15/32(a)(b) |
|
|
|
|
|
|
1,930 |
|
|
|
1,929,996 |
|
BANK, Series 2017-BNK9, Class A4, 3.54%, 11/15/54 |
|
|
|
|
|
|
1,480 |
|
|
|
1,524,548 |
|
Barclays Commercial Mortgage Trust, Series 2015-SRCH, Class A1, 3.31%, 08/10/35(b) |
|
|
|
|
|
|
2,730 |
|
|
|
2,774,366 |
|
Bayview Commercial Asset Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2005-2A, Class A1, (1 mo. LIBOR US + 0.310%), 1.86%,
08/25/35(a)(b) |
|
|
|
|
|
|
1,722 |
|
|
|
1,632,768 |
|
Series 2005-4A, Class A1, (1 mo. LIBOR US + 0.300%), 1.85%,
01/25/36(a)(b) |
|
|
|
|
|
|
436 |
|
|
|
406,655 |
|
Series 2005-4A, Class A2, (1 mo. LIBOR US + 0.390%), 1.94%,
01/25/36(a)(b) |
|
|
|
|
|
|
123 |
|
|
|
115,182 |
|
Series 2005-4A, Class M1, (1 mo. LIBOR US + 0.450%), 2.00%,
01/25/36(a)(b) |
|
|
|
|
|
|
327 |
|
|
|
304,677 |
|
Series 2006-1A, Class A2, (1 mo. LIBOR US + 0.360%), 1.69%,
04/25/36(a)(b) |
|
|
|
|
|
|
468 |
|
|
|
444,786 |
|
Series 2006-3A, Class A1, (1 mo. LIBOR US + 0.250%), 1.80%,
10/25/36(a)(b) |
|
|
|
|
|
|
824 |
|
|
|
777,383 |
|
Series 2006-3A, Class A2, (1 mo. LIBOR US + 0.300%), 1.85%,
10/25/36(a)(b) |
|
|
|
|
|
|
575 |
|
|
|
543,238 |
|
Series 2006-4A, Class A1, (1 mo. LIBOR US + 0.230%), 1.78%,
12/25/36(a)(b) |
|
|
|
|
|
|
1,302 |
|
|
|
1,244,495 |
|
Series 2007-2A, Class A1, (1 mo. LIBOR US + 0.270%), 1.60%,
07/25/37(a)(b) |
|
|
|
|
|
|
1,522 |
|
|
|
1,453,148 |
|
Series 2007-4A, Class A1, (1 mo. LIBOR US + 0.450%), 2.00%,
09/25/37(a)(b) |
|
|
|
|
|
|
7,064 |
|
|
|
6,705,038 |
|
Series 2007-5A, Class A3, (1 mo. LIBOR US + 1.000%), 2.55%,
10/25/37(a)(b) |
|
|
|
|
|
|
435 |
|
|
|
419,257 |
|
Series 2007-6A, Class A4A, (1 mo. LIBOR US + 1.500%),
3.05%, 12/25/37(a)(b) |
|
|
|
|
|
|
1,980 |
|
|
|
1,461,897 |
|
Series 2008-4, Class A3, (1 mo. LIBOR US + 2.750%), 4.30%,
07/25/38(a)(b) |
|
|
|
|
|
|
126 |
|
|
|
139,661 |
|
BBCMS Trust, Series 2015-STP, Class E, 4.28%, 09/10/20(b)(e) |
|
|
|
|
|
|
100 |
|
|
|
96,892 |
|
BB-UBS Trust, Series 2012-SHOW, Class E, 4.03%, 11/05/36(b)(e) |
|
|
|
|
|
|
790 |
|
|
|
768,047 |
|
BHMS Mortgage Trust, (1 mo. LIBOR US + 1.500%), Series 2014-ATLS, Class AFL, 3.07%, 07/05/33(a)(b) |
|
|
|
|
|
|
17,814 |
|
|
|
17,897,055 |
|
|
|
|
|
|
CONSOLIDATED SCHEDULE OF INVESTMENTS |
|
|
27 |
|
|
|
|
Consolidated Schedule of Investments (unaudited) (continued) |
|
Master Total Return Portfolio of Master Bond LLC |
December 31, 2017 |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
Par (000) |
|
|
Value |
|
Commercial Mortgage-Backed Securities (continued) |
|
|
|
|
|
|
|
BWAY Mortgage Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2013-1515, Class D, 3.63%, 03/10/33(b)
|
|
|
USD |
|
|
|
1,400 |
|
|
$ |
1,400,060 |
|
Series 2013-1515, Class E, 3.72%, 03/10/33(b)
|
|
|
|
|
|
|
250 |
|
|
|
248,692 |
|
Series 2013-1515, Class F, 3.93%, 03/10/33(b)(e)
|
|
|
|
|
|
|
3,720 |
|
|
|
3,648,676 |
|
BXP Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2017-CC, Class D, 3.55%, 08/13/37(b)(d)(e) |
|
|
|
|
|
|
1,660 |
|
|
|
1,587,408 |
|
Series 2017-CC, Class E, 3.55%, 08/13/22(b)(d)(e) |
|
|
|
|
|
|
3,090 |
|
|
|
2,738,512 |
|
Series 2017-GM, Class A, 3.38%, 06/13/39(b) |
|
|
|
|
|
|
3,050 |
|
|
|
3,115,685 |
|
Series 2017-GM, Class D, 3.42%, 06/13/39(b)(e) |
|
|
|
|
|
|
9,060 |
|
|
|
8,689,575 |
|
Series 2017-GM, Class E, 3.42%, 06/13/39(b)(e) |
|
|
|
|
|
|
2,070 |
|
|
|
1,935,982 |
|
Caesars Palace Las Vegas Trust, Series 2017-VICI, Class D, 4.35%, 10/15/22(b)(e) |
|
|
|
|
|
|
1,270 |
|
|
|
1,295,999 |
|
CCRESG Commercial Mortgage Trust, Series 2016-HEAT, Class D, 5.49%, 04/10/29(b)(e) |
|
|
|
|
|
|
560 |
|
|
|
562,555 |
|
CCUBS Commercial Mortgage Trust, Series 2017-C1,
Class A4, 3.54%, 11/15/50(e) |
|
|
|
|
|
|
1,592 |
|
|
|
1,637,233 |
|
CFCRE Commercial Mortgage Trust, Series 2016-C3,
Class A3, 3.87%, 01/10/48 |
|
|
|
|
|
|
410 |
|
|
|
429,603 |
|
CGBAM Commercial Mortgage Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2015-SMRT, Class E, 3.79%, 04/10/28(b)(e)
|
|
|
|
|
|
|
1,590 |
|
|
|
1,587,089 |
|
Series 2015-SMRT, Class F, 3.79%, 04/10/28(b)(e)
|
|
|
|
|
|
|
230 |
|
|
|
227,228 |
|
CGDB Commercial Mortgage Trust, (1 mo. LIBOR US + 1.700%), Series
2017-BIO, Class D, 3.18%, 05/15/30(a)(b) |
|
|
|
|
|
|
147 |
|
|
|
147,000 |
|
CGDBB Commercial Mortgage Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2017-BIOC, Class A, (1 mo. LIBOR US + 0.790%), 2.27%, 07/15/28(a)(b) |
|
|
|
|
|
|
5,420 |
|
|
|
5,426,746 |
|
Series 2017-BIOC, Class D, (1 mo. LIBOR US + 1.600%), 3.08%, 07/15/28(a)(b) |
|
|
|
|
|
|
3,190 |
|
|
|
3,189,995 |
|
Series 2017-BIOC, Class E, (1 mo. LIBOR US + 2.150%), 3.63%, 07/15/19(a)(b) |
|
|
|
|
|
|
4,870 |
|
|
|
4,869,988 |
|
CGGS Commercial Mortgage Trust, Series 2016-RNDA, Class AFX, 2.76%, 02/10/33(b) |
|
|
|
|
|
|
2,473 |
|
|
|
2,476,726 |
|
CGMS Commercial Mortgage Trust, Series 2017-B1,
Class A4, 3.46%, 08/15/50 |
|
|
|
|
|
|
890 |
|
|
|
914,049 |
|
Chicago Skyscraper Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2017-SKY, Class D, (1 mo. LIBOR US + 2.250%), 3.73%,
02/15/30(a)(b) |
|
|
|
|
|
|
1,580 |
|
|
|
1,589,810 |
|
Series 2017-SKY, Class E, (1 mo. LIBOR US + 3.300%), 4.78%,
02/15/30(a)(b) |
|
|
|
|
|
|
3,390 |
|
|
|
3,411,044 |
|
Series 2017-SKY, Class F, (1 mo. LIBOR US + 4.100%), 5.58%,
02/15/30(a)(b) |
|
|
|
|
|
|
420 |
|
|
|
422,606 |
|
CHT Mortgage Trust, (1 mo. LIBOR US + 0.930%), Series 2017-CSMO, Class A, 2.31%, 11/15/19(a)(b) |
|
|
|
|
|
|
810 |
|
|
|
811,261 |
|
Citigroup Commercial Mortgage Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2013-375P, Class D, 3.52%, 05/10/35(b)(e)
|
|
|
|
|
|
|
240 |
|
|
|
239,598 |
|
Series 2013-375P, Class E, 3.52%, 05/10/35(b)(e)
|
|
|
|
|
|
|
1,795 |
|
|
|
1,733,686 |
|
Series 2013-GC11, Class D, 4.42%, 04/10/46(b)(e)
|
|
|
|
|
|
|
1,125 |
|
|
|
1,047,144 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
Par (000) |
|
|
Value |
|
Commercial Mortgage-Backed Securities (continued) |
|
|
|
|
|
|
|
Citigroup Commercial Mortgage Trust: (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2014-GC19, Class C, 4.90%, 03/10/47(e)
|
|
|
USD |
|
|
|
440 |
|
|
$ |
459,619 |
|
Series 2015-SHP2, Class F, (1 mo. LIBOR US + 5.200%), 6.68%, 07/15/27(a)(b) |
|
|
|
|
|
|
370 |
|
|
|
371,539 |
|
Series 2015-SSHP, Class A, (1 mo. LIBOR US + 1.150%), 2.63%, 09/15/27(a)(b) |
|
|
|
|
|
|
4,370 |
|
|
|
4,370,063 |
|
Series 2016-C1, Class C, 4.95%, 05/10/49(e) |
|
|
|
|
|
|
1,290 |
|
|
|
1,362,223 |
|
Series 2016-GC37, Class C, 4.92%, 04/10/49(e)
|
|
|
|
|
|
|
640 |
|
|
|
676,986 |
|
Series 2016-GC37, Class D, 2.79%, 04/10/49(b)
|
|
|
|
|
|
|
3,050 |
|
|
|
2,363,515 |
|
Series 2016-P3, Class C, 4.84%, 04/15/49(e) |
|
|
|
|
|
|
120 |
|
|
|
126,952 |
|
Series 2016-SMPL, Class D, 3.52%, 09/10/31(b)
|
|
|
|
|
|
|
320 |
|
|
|
319,675 |
|
Series 2016-SMPL, Class E, 4.51%, 09/10/31(b)
|
|
|
|
|
|
|
620 |
|
|
|
618,300 |
|
Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2017-CD3,
Class A4, 3.63%, 02/10/50 |
|
|
|
|
|
|
850 |
|
|
|
887,215 |
|
Citigroup/Deutsche Bank Mortgage Trust, Series 2006-CD3,
Class AM, 5.65%, 10/15/48 |
|
|
|
|
|
|
5,112 |
|
|
|
5,227,266 |
|
CLNS Trust, (1 mo. LIBOR US + 3.500%), Series 2017-IKPR, Class E, 4.93%, 06/11/32(a)(b) |
|
|
|
|
|
|
3,560 |
|
|
|
3,567,783 |
|
Commercial Mortgage Pass-Through Certificates: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2005-C6, Class F, 5.65%, 06/10/44(b)(e) |
|
|
|
|
|
|
470 |
|
|
|
481,386 |
|
Series 2013-GAM, Class A2, 3.37%, 02/10/28(b) |
|
|
|
|
|
|
1,656 |
|
|
|
1,670,557 |
|
Series 2013-WWP, Class D, 3.90%, 03/10/31(b) |
|
|
|
|
|
|
2,090 |
|
|
|
2,213,442 |
|
Series 2014-CR14, Class A4, 4.24%, 02/10/47(e)
|
|
|
|
|
|
|
855 |
|
|
|
914,457 |
|
Series 2014-CR15, Class C, 4.77%, 02/10/47(e)
|
|
|
|
|
|
|
260 |
|
|
|
271,133 |
|
Series 2014-CR16, Class A4, 4.05%, 04/10/47 |
|
|
|
|
|
|
4,806 |
|
|
|
5,095,402 |
|
Series 2014-CR17, Class A5, 3.98%, 05/10/47 |
|
|
|
|
|
|
7,062 |
|
|
|
7,465,920 |
|
Series 2014-CR18, Class A4, 3.55%, 07/15/47 |
|
|
|
|
|
|
390 |
|
|
|
403,699 |
|
Series 2014-CR18, Class C, 4.73%, 07/15/47(e)
|
|
|
|
|
|
|
2,974 |
|
|
|
3,023,061 |
|
Series 2014-CR19, Class A5, 3.80%, 08/10/47 |
|
|
|
|
|
|
1,391 |
|
|
|
1,458,860 |
|
Series 2014-CR21, Class C, 4.42%, 12/10/24(e)
|
|
|
|
|
|
|
1,010 |
|
|
|
1,006,083 |
|
Series 2014-PAT, Class E, (1 mo. LIBOR US + 3.150%), 4.58%,
08/13/27(a)(b) |
|
|
|
|
|
|
540 |
|
|
|
547,714 |
|
Series 2014-TWC, Class A, (1 mo. LIBOR US + 0.850%), 2.28%,
02/13/17(a)(b) |
|
|
|
|
|
|
1,715 |
|
|
|
1,716,588 |
|
Series 2014-TWC, Class B, (1 mo. LIBOR US + 1.600%), 3.03%,
02/13/32(a)(b) |
|
|
|
|
|
|
3,190 |
|
|
|
3,202,313 |
|
Series 2015-CR23, Class CMD, 3.68%, 05/10/48(b)(e)
|
|
|
|
|
|
|
5,250 |
|
|
|
5,190,713 |
|
Series 2015-CR25, Class A4, 3.76%, 08/10/48 |
|
|
|
|
|
|
2,850 |
|
|
|
2,985,766 |
|
Series 2015-CR25, Class C, 4.55%, 08/10/48(e)
|
|
|
|
|
|
|
1,010 |
|
|
|
1,035,175 |
|
Series 2015-CR25, Class D, 3.80%, 08/10/48(e)
|
|
|
|
|
|
|
310 |
|
|
|
259,698 |
|
|
|
|
28 |
|
2017 BLACKROCK QUARTERLY REPORT TO SHAREHOLDERS |
|
|
|
Consolidated Schedule of Investments (unaudited) (continued) |
|
Master Total Return Portfolio of Master Bond LLC |
December 31, 2017 |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
Par (000) |
|
|
Value |
|
Commercial Mortgage-Backed Securities (continued) |
|
Commercial Mortgage Pass-Through Certificates: (continued) |
|
|
|
|
|
|
|
|
|
Series 2015-LC19, Class C, 4.26%, 02/10/48(e)
|
|
|
USD |
|
|
|
700 |
|
|
$ |
713,106 |
|
Series 2015-LC19, Class D, 2.87%, 02/10/48(b)
|
|
|
|
|
|
|
1,980 |
|
|
|
1,635,970 |
|
Series 2015-LC21, Class C, 4.31%, 07/10/48(e)
|
|
|
|
|
|
|
1,600 |
|
|
|
1,579,164 |
|
Series 2017-COR2, Class D, 3.00%, 09/10/50(b)
|
|
|
|
|
|
|
520 |
|
|
|
420,596 |
|
Commercial Mortgage Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2014-LC15, Class A4, 4.01%, 04/10/47 |
|
|
|
|
|
|
1,020 |
|
|
|
1,077,607 |
|
Series 2014-PAT, Class A, (1 mo. LIBOR US + 0.800%), 2.23%,
08/13/27(a)(b) |
|
|
|
|
|
|
4,938 |
|
|
|
4,947,522 |
|
Series 2016-667M, Class D, 3.18%, 10/10/36(b)(e)
|
|
|
|
|
|
|
630 |
|
|
|
592,023 |
|
Series 2017-DLTA, Class E, (1 mo. LIBOR US + 1.960%), 3.44%, 08/15/35(a)(b) |
|
|
|
|
|
|
1,990 |
|
|
|
1,963,851 |
|
Series 2017-DLTA, Class F, (1 mo. LIBOR US + 2.580%), 4.06%, 08/15/35(a)(b) |
|
|
|
|
|
|
1,820 |
|
|
|
1,792,445 |
|
Core Industrial Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2015-CALW, Class G, 3.85%, 02/10/34(b)(e)
|
|
|
|
|
|
|
1,971 |
|
|
|
1,907,949 |
|
Series 2015-TEXW, Class A, 3.08%, 02/10/34(b)
|
|
|
|
|
|
|
2,970 |
|
|
|
3,017,813 |
|
Series 2015-TEXW, Class D, 3.85%, 02/10/34(b)(e)
|
|
|
|
|
|
|
1,330 |
|
|
|
1,353,908 |
|
Series 2015-TEXW, Class E, 3.85%, 02/10/34(b)(e)
|
|
|
|
|
|
|
250 |
|
|
|
251,462 |
|
Series 2015-TEXW, Class F, 3.85%, 02/10/34(b)(e)
|
|
|
|
|
|
|
5,869 |
|
|
|
5,770,363 |
|
Countrywide Commercial Mortgage Trust, Series 2007-MF1,
Class A, 6.29%, 11/12/43(b)(e) |
|
|
|
|
|
|
48 |
|
|
|
48,017 |
|
Credit Suisse Commercial Mortgage Trust, (1 mo. LIBOR US + 1.320%), Series 2015-DEAL,
Class A, 2.80%, 04/15/29(a)(b) |
|
|
|
|
|
|
4,009 |
|
|
|
4,008,842 |
|
Credit Suisse First Boston Mortgage Securities Corp., Series 2005-C3,
Class C, 4.95%, 07/15/37(e) |
|
|
|
|
|
|
200 |
|
|
|
204,777 |
|
Credit Suisse Mortgage Capital Certificates: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 17-1, Class A, 4.50%, 03/25/21(b) |
|
|
|
|
|
|
18,539 |
|
|
|
18,687,158 |
|
Series 17-1, Class CERT, 8.75%, 03/25/21(b)(d) |
|
|
|
|
|
|
13,452 |
|
|
|
9,662,111 |
|
Series 2015-DEAL, Class D, (1 mo. LIBOR US + 3.100%), 4.58%, 04/15/29(a)(b) |
|
|
|
|
|
|
1,205 |
|
|
|
1,205,000 |
|
Series 2015-GLPB, Class A, 3.64%, 11/15/34(b)
|
|
|
|
|
|
|
2,730 |
|
|
|
2,840,849 |
|
Series 2016-MFF, Class A, (1 mo. LIBOR US + 1.600%), 3.08%,
11/15/33(a)(b) |
|
|
|
|
|
|
690 |
|
|
|
694,253 |
|
Series 2017-CHOP, Class E, (1 mo. LIBOR US + 3.300%), 4.78%, 07/15/32(a)(b) |
|
|
|
|
|
|
2,133 |
|
|
|
2,138,292 |
|
CSMC Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2017-PFHP, Class A, (1 mo. LIBOR US + 0.950%), 2.43%, 12/15/19(a)(b) |
|
|
|
|
|
|
900 |
|
|
|
899,999 |
|
Series 2017-TIME, Class A, 3.65%, 11/13/27(b)
|
|
|
|
|
|
|
850 |
|
|
|
875,157 |
|
Deutsche Bank JPMorgan Mortgage Trust, Series 2016-C3,
Class D, 3.49%, 09/10/49(b)(e) |
|
|
|
|
|
|
3,608 |
|
|
|
2,968,040 |
|
Deutsche Bank UBS Mortgage Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2017-BRBK, Class A, 3.45%, 10/10/34(b)
|
|
|
|
|
|
|
2,540 |
|
|
|
2,595,095 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
|
|
|
Par (000) |
|
|
Value |
|
Commercial Mortgage-Backed Securities (continued) |
|
|
|
|
|
|
|
Deutsche Bank UBS Mortgage Trust: (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2017-BRBK, Class E, 3.53%, 10/10/24(b)(d)(e)
|
|
|
USD |
|
|
|
4,570 |
|
|
$ |
4,338,635 |
|
Series 2017-BRBK, Class F, 3.53%, 10/10/24(b)(d)(e)
|
|
|
|
|
|
|
880 |
|
|
|
801,284 |
|
Eleven Madison Trust Mortgage Trust, Series 2015-11MD, Class A, 3.55%, 09/10/35(b)(e) |
|
|
|
|
|
|
1,190 |
|
|
|
1,229,240 |
|
FREMF Mortgage Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2015-K48, Class B, 3.64%, 08/25/48(b)(e) |
|
|
|
|
|
|
780 |
|
|
|
788,523 |
|
Series 2017-K64, Class B, 3.98%, 03/25/27(b)(e) |
|
|
|
|
|
|
2,346 |
|
|
|
2,371,888 |
|
Series 2017-K69, Class C, 3.73%, 09/25/27(b)(e) |
|
|
|
|
|
|
371 |
|
|
|
353,936 |
|
Series 2017-K725, Class B, 3.88%, 02/25/24(b)(e)
|
|
|
|
|
|
|
4,620 |
|
|
|
4,702,745 |
|
GAHR Commercial Mortgage Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2015-NRF, Class AFL1, (1 mo. LIBOR US + 1.300%),
2.55%, 12/15/34(a)(b) |
|
|
|
|
|
|
478 |
|
|
|
477,951 |
|
Series 2015-NRF, Class EFX, 3.38%, 12/15/34(b)(e) |
|
|
|
|
|
|
2,571 |
|
|
|
2,554,886 |
|
Series 2015-NRF, Class FFX, 3.38%, 12/15/34(b)(e) |
|
|
|
|
|
|
3,750 |
|
|
|
3,702,246 |
|
GS Mortgage Securities Corp Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2017-500K, Class D, (1 mo. LIBOR US + 1.300%), 2.78%, 07/15/32(a)(b) |
|
|
|
|
|
|
230 |
|
|
|
230,231 |
|
Series 2017-500K, Class E, (1 mo. LIBOR US + 1.500%), 2.98%, 07/15/19(a)(b) |
|
|
|
|
|
|
480 |
|
|
|
480,416 |
|
Series 2017-500K, Class F, (1 mo. LIBOR US + 1.800%), 3.28%, 07/15/19(a)(b) |
|
|
|
|
|
|
200 |
|
|
|
200,290 |
|
Series 2017-500K, Class G, (1 mo. LIBOR US + 2.500%), 3.98%, 07/15/19(a)(b) |
|
|
|
|
|
|
130 |
|
|
|
130,037 |
|
GS Mortgage Securities Corp. II, Series 2013-KING, Class E, 3.44%, 12/10/27(b)(e) |
|
|
|
|
|
|
2,990 |
|
|
|
2,958,339 |
|
GS Mortgage Securities Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2010-C1, Class A1, 3.68%, 08/10/43(b) |
|
|
|
|
|
|
436 |
|
|
|
442,509 |
|
Series 2014-GC20, Class B, 4.53%, 04/10/47(e)
|
|
|
|
|
|
|
140 |
|
|
|
141,976 |
|
Series 2014-GC22, Class D, 4.65%, 06/10/47(b)(e)
|
|
|
|
|
|
|
240 |
|
|
|
202,317 |
|
Series 2014-GC24, Class A5, 3.93%, 09/10/47 |
|
|
|
|
|
|
882 |
|
|
|
934,686 |
|
Series 2015-GC32, Class C, 4.41%, 07/10/48(d)(e)
|
|
|
|
|
|
|
1,370 |
|
|
|
1,392,331 |
|
Series 2015-GC32, Class D, 3.35%, 07/10/48 |
|
|
|
|
|
|
610 |
|
|
|
504,719 |
|
Series 2016-RENT, Class C, 4.07%, 02/10/29(b)(e)
|
|
|
|
|
|
|
1,070 |
|
|
|
1,090,514 |
|
Series 2017-GS7, Class A4, 3.43%, 08/10/50 |
|
|
|
|
|
|
1,010 |
|
|
|
1,028,820 |
|
Series 2017-GS7, Class D, 3.00%, 08/10/50(b) |
|
|
|
|
|
|
530 |
|
|
|
456,901 |
|
Series 2017-GS7, Class E, 3.00%, 08/10/50(b) |
|
|
|
|
|
|
180 |
|
|
|
149,018 |
|
HMH Trust, Series 2017-NSS, Class A, 3.06%, 07/05/31(b) |
|
|
|
|
|
|
3,390 |
|
|
|
3,373,365 |
|
Hudson Yards Mortgage Trust, Series 2016-10HY, Class A, 2.84%, 08/10/38(b) |
|
|
|
|
|
|
760 |
|
|
|
742,043 |
|
|
|
|
|
|
CONSOLIDATED SCHEDULE OF INVESTMENTS |
|
|
29 |
|
|
|
|
Consolidated Schedule of Investments (unaudited) (continued) |
|
Master Total Return Portfolio of Master Bond LLC |
December 31, 2017 |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
Par (000) |
|
|
Value |
|
Commercial Mortgage-Backed Securities (continued) |
|
|
|
|
|
|
|
Impac CMB Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2004-11, Class 1A2, (1 mo. LIBOR US + 0.520%),
2.07%, 03/25/35(a) |
|
|
USD |
|
|
|
2,055 |
|
|
$ |
1,921,961 |
|
Series 2005-6, Class 1A1, (1 mo. LIBOR US + 0.500%), 2.05%,
10/25/35(a) |
|
|
|
|
|
|
1,453 |
|
|
|
1,304,206 |
|
IMT Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2017-APTS, Class AFX, 3.48%, 06/15/34(b)
|
|
|
|
|
|
|
1,540 |
|
|
|
1,571,618 |
|
Series 2017-APTS, Class DFX, 3.50%, 06/15/34(b)(e)
|
|
|
|
|
|
|
1,600 |
|
|
|
1,560,163 |
|
Series 2017-APTS, Class EFX, 3.50%, 06/15/24(b)(e)
|
|
|
|
|
|
|
810 |
|
|
|
778,731 |
|
JPMBB Commercial Mortgage Securities Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2014-C26, Class A4, 3.49%, 01/15/48 |
|
|
|
|
|
|
1,247 |
|
|
|
1,284,632 |
|
Series 2015-C28, Class B, 3.99%, 03/15/25 |
|
|
|
|
|
|
3,000 |
|
|
|
2,992,255 |
|
Series 2015-C33, Class D1, 4.12%, 12/15/48(b)(e) |
|
|
|
|
|
|
1,873 |
|
|
|
1,787,217 |
|
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2017-JP5,
Class D, 4.65%, 03/15/50(b)(e) |
|
|
|
|
|
|
1,650 |
|
|
|
1,629,354 |
|
JPMorgan Chase Commercial Mortgage Securities Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2003-PM1A, Class G, 6.14%, 08/12/40(b)(d)(e)
|
|
|
|
|
|
|
1,132 |
|
|
|
1,153,621 |
|
Series 2008-C2, Class A4FL, (1 mo. LIBOR US + 1.500%),
2.94%, 02/12/51(a) |
|
|
|
|
|
|
522 |
|
|
|
519,183 |
|
Series 2014-C21, Class A5, 3.77%, 08/15/47 |
|
|
|
|
|
|
1,420 |
|
|
|
1,487,100 |
|
Series 2014-C22, Class A4, 3.80%, 09/15/47 |
|
|
|
|
|
|
563 |
|
|
|
590,044 |
|
Series 2014-CBM, Class E, (1 mo. LIBOR US + 3.850%), 5.33%,
10/15/29(a)(b) |
|
|
|
|
|
|
670 |
|
|
|
670,000 |
|
Series 2014-DSTY, Class A, 3.43%, 06/10/27(b)
|
|
|
|
|
|
|
885 |
|
|
|
891,420 |
|
Series 2015-JP1, Class C, 4.74%, 01/15/49(e) |
|
|
|
|
|
|
4,710 |
|
|
|
4,949,417 |
|
Series 2015-SGP, Class A, (1 mo. LIBOR US + 1.700%), 3.18%,
07/15/36(a)(b) |
|
|
|
|
|
|
5,480 |
|
|
|
5,500,528 |
|
Series 2015-UES, Class C, 3.62%, 09/05/32(b)(e) |
|
|
|
|
|
|
3,431 |
|
|
|
3,477,163 |
|
Series 2015-UES, Class E, 3.62%, 09/05/32(b)(e) |
|
|
|
|
|
|
3,880 |
|
|
|
3,870,336 |
|
Series 2016-NINE, Class A, 2.85%, 10/06/38(b)(e)
|
|
|
|
|
|
|
4,650 |
|
|
|
4,554,748 |
|
Series 2016-WPT, Class A, (1 mo. LIBOR US + 1.450%), 2.93%,
10/15/33(a)(b) |
|
|
|
|
|
|
2,200 |
|
|
|
2,205,503 |
|
Series 2017-JP7, Class B, 4.05%, 09/15/50 |
|
|
|
|
|
|
320 |
|
|
|
327,312 |
|
Series 2017-MAUI, Class D, (1 mo. LIBOR US + 1.950%), 3.43%, 07/15/34(a)(b) |
|
|
|
|
|
|
470 |
|
|
|
470,150 |
|
Series 2017-MAUI, Class E, (1 mo. LIBOR US + 2.950%), 4.43%, 07/15/19(a)(b) |
|
|
|
|
|
|
2,580 |
|
|
|
2,580,826 |
|
Series 2017-MAUI, Class F, (1 mo. LIBOR US + 3.750%), 5.23%, 07/15/19(a)(b) |
|
|
|
|
|
|
240 |
|
|
|
240,152 |
|
Lehman Brothers Small Balance Commercial Mortgage Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2006-2A, Class M2, (1 mo. LIBOR US + 0.390%), 1.94%,
09/25/36(a)(b) |
|
|
|
|
|
|
670 |
|
|
|
623,836 |
|
Series 2007-1A, Class 1A, (1 mo. LIBOR US + 0.250%), 1.80%,
03/25/37(a)(b) |
|
|
|
|
|
|
1,913 |
|
|
|
1,782,244 |
|
Lone Star Portfolio Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2015-LSP, Class A1A2, (1 mo. LIBOR US + 1.800%),
3.28%, 09/15/28(a)(b) |
|
|
|
|
|
|
625 |
|
|
|
626,654 |
|
Series 2015-LSP, Class D, (1 mo. LIBOR US + 4.000%), 5.48%,
09/15/28(a)(b) |
|
|
|
|
|
|
691 |
|
|
|
700,112 |
|
Series 2015-LSP, Class E, (1 mo. LIBOR US + 5.600%), 7.08%,
09/15/28(a)(b) |
|
|
|
|
|
|
1,007 |
|
|
|
1,022,414 |
|
MAD Mortgage Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2017-330M, Class D, 3.98%, 08/15/34(b)(e)
|
|
|
|
|
|
|
1,085 |
|
|
|
1,088,754 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
Par (000) |
|
|
Value |
|
Commercial Mortgage-Backed Securities (continued) |
|
|
|
|
|
|
|
MAD Mortgage Trust: (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2017-330M, Class E, 4.03%, 08/15/24(b)(e)
|
|
|
USD |
|
|
|
3,010 |
|
|
$ |
2,891,918 |
|
Madison Avenue Trust, Series 2013-650M, Class D, 4.03%, 10/12/32(b)(e) |
|
|
|
|
|
|
3,054 |
|
|
|
3,096,610 |
|
Merrill Lynch Mortgage Investors Trust, Series 1998-C3,
Class G, 6.00%, 12/15/30(b) |
|
|
|
|
|
|
51 |
|
|
|
50,544 |
|
Merrill Lynch Mortgage Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2005-MKB2, Class F, 6.32%, 09/12/42(b)(e)
|
|
|
|
|
|
|
1,350 |
|
|
|
1,432,148 |
|
Series 2008-C1, Class AJ, 6.45%, 02/12/51(e) |
|
|
|
|
|
|
720 |
|
|
|
719,151 |
|
Morgan Stanley Bank of America Merrill Lynch Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2014-C16, Class A5, 3.89%, 06/15/47 |
|
|
|
|
|
|
2,530 |
|
|
|
2,663,827 |
|
Series 2015-C23, Class D, 4.13%, 07/15/50(b)(e) |
|
|
|
|
|
|
970 |
|
|
|
844,816 |
|
Series 2015-C24, Class A4, 3.73%, 05/15/48 . |
|
|
|
|
|
|
840 |
|
|
|
880,777 |
|
Series 2015-C25, Class C, 4.53%, 10/15/48(e) |
|
|
|
|
|
|
1,990 |
|
|
|
2,050,251 |
|
Series 2015-C25, Class D, 3.07%, 10/15/48 |
|
|
|
|
|
|
1,269 |
|
|
|
1,030,286 |
|
Series 2015-C26, Class A5, 3.53%, 10/15/48 |
|
|
|
|
|
|
810 |
|
|
|
837,082 |
|
Series 2015-C26, Class D, 3.06%, 10/15/48(b) |
|
|
|
|
|
|
1,935 |
|
|
|
1,561,529 |
|
Series 2017-C33, Class C, 4.56%, 05/15/50(e) |
|
|
|
|
|
|
840 |
|
|
|
862,219 |
|
Morgan Stanley Capital I Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2006-IQ11, Class C, 6.25%, 10/15/42(e)
|
|
|
|
|
|
|
1,601 |
|
|
|
1,701,733 |
|
Series 2014-CPT, Class E, 3.45%, 07/13/29(b)(e) |
|
|
|
|
|
|
250 |
|
|
|
249,119 |
|
Series 2014-CPT, Class F, 3.45%, 07/13/29(b)(e) |
|
|
|
|
|
|
2,230 |
|
|
|
2,208,350 |
|
Series 2014-CPT, Class G, 3.45%, 07/13/29(b)(e) |
|
|
|
|
|
|
1,290 |
|
|
|
1,260,460 |
|
Series 2015-MS1, Class C, 4.03%, 05/15/48(e) |
|
|
|
|
|
|
1,000 |
|
|
|
983,953 |
|
Series 2015-MS1, Class D, 4.03%, 06/15/25(b)(e) |
|
|
|
|
|
|
310 |
|
|
|
266,124 |
|
Series 2015-XLF2, Class AFSB, (1 mo. LIBOR US + 2.750%), 4.18%, 08/15/26(a)(b) |
|
|
|
|
|
|
600 |
|
|
|
600,000 |
|
Series 2017-CLS, Class F, (1 mo. LIBOR US + 2.600%), 3.85%,
11/15/34(a)(b) |
|
|
|
|
|
|
6,092 |
|
|
|
6,097,744 |
|
Series 2017-H1, Class A5, 3.53%, 06/15/50 |
|
|
|
|
|
|
1,090 |
|
|
|
1,125,632 |
|
Series 2017-H1, Class C, 4.28%, 06/15/50(e) |
|
|
|
|
|
|
950 |
|
|
|
961,414 |
|
Series 2017-H1, Class D, 2.55%, 06/15/50(b) |
|
|
|
|
|
|
4,190 |
|
|
|
3,405,925 |
|
Series 2017-PRME, Class D, (1 mo. LIBOR US + 3.400%), 4.88%, 02/15/34(a)(b) |
|
|
|
|
|
|
700 |
|
|
|
699,992 |
|
Morgan Stanley Capital I, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2017-HR2, Class A4, 3.59%, 12/15/27 |
|
|
|
|
|
|
2,900 |
|
|
|
2,990,608 |
|
Series 2017-HR2, Class D, 2.73%, 12/15/27 |
|
|
|
|
|
|
690 |
|
|
|
552,800 |
|
Series 2017-JWDR, Class D, (1 mo. LIBOR US + 1.950%), 3.20%, 11/15/34(a)(b) |
|
|
|
|
|
|
1,020 |
|
|
|
1,020,321 |
|
Series 2017-JWDR, Class E, (1 mo. LIBOR US + 3.050%), 4.30%, 11/15/19(a)(b) |
|
|
|
|
|
|
1,890 |
|
|
|
1,891,190 |
|
Olympic Tower Mortgage Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2017-OT, Class D, 3.95%, 05/10/39(b)(e) |
|
|
|
|
|
|
3,010 |
|
|
|
2,985,229 |
|
Series 2017-OT, Class E, 3.95%, 05/10/39(b)(e) |
|
|
|
|
|
|
5,660 |
|
|
|
5,407,150 |
|
RAIT Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2017-FL7, Class A, (1 mo. LIBOR US + 0.950%), 2.43%,
06/15/37(a)(b) |
|
|
|
|
|
|
3,530 |
|
|
|
3,531,820 |
|
Series 2017-FL7, Class C, (1 mo. LIBOR US + 2.500%), 3.98%,
06/15/37(a)(b) |
|
|
|
|
|
|
550 |
|
|
|
549,998 |
|
|
|
|
30 |
|
2017 BLACKROCK QUARTERLY REPORT TO SHAREHOLDERS |
|
|
|
Consolidated Schedule of Investments (unaudited) (continued) |
|
Master Total Return Portfolio of Master Bond LLC |
December 31, 2017 |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
|
|
|
Par (000) |
|
|
Value |
|
Commercial Mortgage-Backed Securities (continued) |
|
|
|
|
Resource Capital Corp. Ltd.: |
|
|
|
|
|
|
|
|
|
Series 2017-CRE5, Class A, (1 mo. LIBOR US + 0.800%), 2.28%, 07/15/34(a)(b) |
|
|
USD |
|
|
|
3,010 |
|
|
$ |
3,011,892 |
|
Series 2017-CRE5, Class B, (1 mo. LIBOR US + 2.000%), 3.48%, 07/15/34(a)(b) |
|
|
|
|
|
|
990 |
|
|
|
989,997 |
|
RSO, Series 17, Class REPO, 5.20%, 07/17/20(d)
|
|
|
|
|
|
|
10,410 |
|
|
|
10,382,934 |
|
STRIPs Ltd., Series 2012-1A, Class B, 0.50%, 12/25/44(b)(d) |
|
|
|
|
|
|
708 |
|
|
|
700,537 |
|
Velocity Commercial Capital Loan Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2015-1, Class AFL, (1 mo. LIBOR US +
2.430%), 3.98%, 06/25/45(a)(b) |
|
|
|
|
|
|
1,342 |
|
|
|
1,358,755 |
|
Series 2016-2, Class AFL, (1 mo. LIBOR US +
1.800%), 3.35%, 10/25/46(a) |
|
|
|
|
|
|
1,227 |
|
|
|
1,244,851 |
|
Series 2016-2, Class M1, 3.66%, 10/25/46(e) . |
|
|
|
|
|
|
360 |
|
|
|
336,977 |
|
Series 2016-2, Class M2, 4.46%, 10/25/46(e) . |
|
|
|
|
|
|
200 |
|
|
|
189,072 |
|
Series 2016-2, Class M3, 5.50%, 10/25/46(d)(e) |
|
|
|
|
|
|
340 |
|
|
|
324,630 |
|
Series 2016-2, Class M4, 7.23%, 10/25/46(e) . |
|
|
|
|
|
|
370 |
|
|
|
397,396 |
|
VNDO Mortgage Trust, Series 2013-PENN, Class D, 3.95%, 12/13/29(b)(e) |
|
|
|
|
|
|
550 |
|
|
|
558,055 |
|
VNDO Trust, Series 2016-350P, Class E, 3.90%,
01/10/35(b)(e) |
|
|
|
|
|
|
1,960 |
|
|
|
1,884,000 |
|
Wachovia Bank Commercial Mortgage Trust, Series 2006-C28,
Class AJ, 5.63%, 10/15/48(e) |
|
|
|
|
|
|
201 |
|
|
|
202,233 |
|
Waldorf Astoria Boca Raton Trust, (1 mo. LIBOR US + 1.350%), Series 2016-BOCA,
Class A, 2.83%, 06/15/29(a)(b) |
|
|
|
|
|
|
3,870 |
|
|
|
3,875,975 |
|
WaMu Mortgage Pass-Through Certificates Trust, (Cost of Funds for the 11th District of San Franciso +
1.500%), Series 2006-AR13, Class 2A, 2.24%, 10/25/46(a) |
|
|
|
|
|
|
5,891 |
|
|
|
5,776,336 |
|
Wells Fargo Commercial Mortgage Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2015-C27, Class C, 3.89%, 02/15/48 |
|
|
|
|
|
|
902 |
|
|
|
851,543 |
|
Series 2015-C31, Class A4, 3.70%, 11/15/48 |
|
|
|
|
|
|
1,800 |
|
|
|
1,878,182 |
|
Series 2015-NXS2, Class A5, 3.77%, 07/15/58(e)
|
|
|
|
|
|
|
3,050 |
|
|
|
3,196,128 |
|
Series 2015-NXS4, Class D, 3.60%, 12/15/48(e)
|
|
|
|
|
|
|
220 |
|
|
|
199,337 |
|
Series 2017-C38, Class A5, 3.45%, 07/15/50 . |
|
|
|
|
|
|
1,261 |
|
|
|
1,289,329 |
|
Series 2017-C39, Class C, 4.12%, 09/15/50 |
|
|
|
|
|
|
590 |
|
|
|
585,239 |
|
Series 2017-C39, Class D, 4.36%, 09/15/50(b)(e) |
|
|
|
|
|
|
430 |
|
|
|
408,979 |
|
Series 2017-HSDB, Class A, (1 mo. LIBOR US + 0.850%), 2.31%, 12/13/31(a)(b) |
|
|
|
|
|
|
1,508 |
|
|
|
1,511,207 |
|
WFRBS Commercial Mortgage Trust, Series 2014-C21,
Class A5, 3.68%, 08/15/47 . |
|
|
|
|
|
|
1,515 |
|
|
|
1,577,564 |
|
Worldwide Plaza Trust, Series 2017-WWP, Class E, 3.60%,
11/20/27(b)(e) |
|
|
|
|
|
|
1,660 |
|
|
|
1,534,812 |
|
|
|
|
|
|
|
|
|
|
Total Commercial Mortgage-Backed Securities 3.8% (Cost:
$468,582,193) |
|
|
|
472,285,317 |
|
Interest Only Collateralized Mortgage Obligations 0.0% |
|
Seasoned Credit Risk Transfer Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2017-3, Class B, 0.00%, 07/25/56 (b)(d)(k) |
|
|
|
|
|
|
1,630 |
|
|
|
108,983 |
|
Series 2017-3, Class BIO, 1.12%, 07/25/56(b)(e) |
|
|
|
|
|
|
3,299 |
|
|
|
328,006 |
|
|
|
|
|
|
|
|
|
|
Total Interest Only Collateralized Mortgage Obligations 0.0% (Cost:
$437,376) |
|
|
|
436,989 |
|
Interest Only Commercial Mortgage-Backed Securities 0.3% |
|
245 Park Avenue Trust, Series 2017-245P, Class XA, 0.15%, 06/05/37(b)(e) |
|
|
|
|
|
|
13,000 |
|
|
|
205,140 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
|
|
|
Par (000) |
|
|
Value |
|
Interest Only Commercial Mortgage-Backed Securities (continued) |
|
Banc of America Commercial Mortgage Trust: |
|
|
|
|
|
|
|
|
|
Series 2015-UBS7, Class XA, 0.90%, 09/15/48(e)
|
|
|
USD |
|
|
|
1,183 |
|
|
$ |
61,892 |
|
Series 2017-BNK3, Class XB, 0.63%, 02/15/50(e)
|
|
|
|
|
|
|
23,000 |
|
|
|
1,143,560 |
|
Series 2017-BNK3, Class XD, 1.29%, 02/15/50(b)(e)
|
|
|
|
|
|
|
5,000 |
|
|
|
446,750 |
|
Barclays Commercial Mortgage Trust, Series 2015-SRCH, Class XA, 0.96%, 08/10/35(b)(e) |
|
|
|
|
|
|
17,710 |
|
|
|
1,198,436 |
|
CFCRE Commercial Mortgage Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2016-C3, Class XD, 1.70%, 01/10/48(b)(e) |
|
|
|
|
|
|
5,497 |
|
|
|
595,710 |
|
Series 2016-C4, Class XA, 1.75%, 05/10/58(e) |
|
|
|
|
|
|
6,232 |
|
|
|
662,695 |
|
Series 2016-C4, Class XB, 0.73%, 05/10/58(e) |
|
|
|
|
|
|
5,810 |
|
|
|
302,120 |
|
Citigroup Commercial Mortgage Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2014-GC25, Class XE, 1.23%, 10/10/47(b)(e)
|
|
|
|
|
|
|
2,760 |
|
|
|
180,252 |
|
Series 2015-GC27, Class XA, 1.41%, 02/10/48(e)
|
|
|
|
|
|
|
7,477 |
|
|
|
568,927 |
|
Series 2016-P3, Class XA, 1.71%, 04/15/49(e) |
|
|
|
|
|
|
8,612 |
|
|
|
858,529 |
|
Series 2017-P8, Class XA, 0.93%, 09/15/50(e) |
|
|
|
|
|
|
7,143 |
|
|
|
494,508 |
|
Citigroup/Deutsche Bank Mortgage Trust, Series 2017-CD3,
Class XA, 1.04%, 02/10/50(e) |
|
|
|
|
|
|
8,916 |
|
|
|
657,753 |
|
Commercial Mortgage Pass-Through Certificates: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2013-CR6, Class XA, 1.10%, 03/10/46(e) |
|
|
|
|
|
|
22,197 |
|
|
|
806,258 |
|
Series 2015-3BP, Class XA, 0.06%, 02/10/35(b)(e) |
|
|
|
|
|
|
150,000 |
|
|
|
957,000 |
|
Series 2015-CR23, Class XA, 0.98%, 05/10/48(e)
|
|
|
|
|
|
|
29,135 |
|
|
|
1,372,518 |
|
Series 2015-CR24, Class XA, 0.81%, 08/10/48(e)
|
|
|
|
|
|
|
29,460 |
|
|
|
1,427,231 |
|
Series 2015-CR25, Class XA, 0.95%, 08/10/48(e)
|
|
|
|
|
|
|
23,640 |
|
|
|
1,284,486 |
|
Series 2016-DC2, Class XA, 1.06%, 02/10/49(e) |
|
|
|
|
|
|
11,051 |
|
|
|
693,481 |
|
Series 2017-COR2, Class XA, 1.19%, 09/10/50(e)
|
|
|
|
|
|
|
7,852 |
|
|
|
695,938 |
|
Core Industrial Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2015-TEXW, Class XA, 0.77%, 02/10/34(b)(e)
|
|
|
|
|
|
|
12,909 |
|
|
|
360,071 |
|
Series 2015-WEST, Class XA, 0.93%, 02/10/37(b)(e)
|
|
|
|
|
|
|
9,900 |
|
|
|
580,752 |
|
CSAIL Commercial Mortgage Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2016-C5, Class XA, 1.05%, 11/15/48(e) |
|
|
|
|
|
|
7,069 |
|
|
|
392,124 |
|
Series 2017-CX10, Class XB, 0.14%, 11/15/27(e)
|
|
|
|
|
|
|
12,490 |
|
|
|
222,322 |
|
Deutsche Bank JPMorgan Mortgage Trust, Series 2017-C6,
Class XD, 1.00%, 06/10/50(b)(e) |
|
|
|
|
|
|
5,780 |
|
|
|
401,363 |
|
FREMF Mortgage Trust, Series 2015-K718, Class X2A, 0.10%, 02/25/22(b)(e) |
|
|
|
|
|
|
93,585 |
|
|
|
307,249 |
|
GS Mortgage Securities Trust, Series 2016-GS3,
Class XA, 1.28%, 10/10/49(e) |
|
|
|
|
|
|
4,928 |
|
|
|
399,135 |
|
JPMBB Commercial Mortgage Securities Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2014-C23, Class XA, 0.83%, 09/15/47(e) |
|
|
|
|
|
|
40,845 |
|
|
|
1,238,543 |
|
|
|
|
|
|
CONSOLIDATED SCHEDULE OF INVESTMENTS |
|
|
31 |
|
|
|
|
Consolidated Schedule of Investments (unaudited) (continued) |
|
Master Total Return Portfolio of Master Bond LLC |
December 31, 2017 |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
|
|
|
Par (000) |
|
|
Value |
|
Interest Only Commercial Mortgage-Backed Securities (continued) |
|
JPMBB Commercial Mortgage Securities Trust: (continued) |
|
Series 2015-C29, Class XA, 0.93%, 05/15/48(e) |
|
|
USD |
|
|
|
3,023 |
|
|
$ |
105,301 |
|
Series 2016-C1, Class XA, 1.39%, 03/15/49(e) |
|
|
|
|
|
|
18,016 |
|
|
|
1,389,198 |
|
JPMDB Commercial Mortgage Securities Trust, Series 2016-C4,
Class XC, 0.75%, 12/15/49(b)(e) |
|
|
|
|
|
|
4,940 |
|
|
|
262,610 |
|
JPMorgan Chase Commercial Mortgage Securities Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2013-LC11, Class XB, 0.55%, 04/15/46(e)
|
|
|
|
|
|
|
4,570 |
|
|
|
118,070 |
|
Series 2014-C22, Class XA, 0.92%, 09/15/47(e) |
|
|
|
|
|
|
4,018 |
|
|
|
185,878 |
|
Series 2015-C27, Class XA, 1.35%, 02/15/48(e) |
|
|
|
|
|
|
37,245 |
|
|
|
2,246,843 |
|
Series 2016-JP3, Class XC, 0.75%, 08/15/49(b)(e) |
|
|
|
|
|
|
13,040 |
|
|
|
549,897 |
|
Series 2016-JP4, Class XA, 0.81%, 12/15/49(e) |
|
|
|
|
|
|
2,979 |
|
|
|
132,198 |
|
LSTAR Commercial Mortgage Trust, Series 2017-5,
Class X, 1.23%, 03/10/50(b)(e) |
|
|
|
|
|
|
3,991 |
|
|
|
198,641 |
|
Morgan Stanley Bank of America Merrill Lynch Trust: |
|
|
|
|
|
|
|
|
|
Series 2014-C19, Class XF, 1.19%, 12/15/47(b)(d)(e) |
|
|
|
|
|
|
4,370 |
|
|
|
263,358 |
|
Series 2015-C22, Class XA, 1.14%, 04/15/48(e) |
|
|
|
|
|
|
3,035 |
|
|
|
174,497 |
|
Series 2015-C26, Class XA, 1.11%, 10/15/48(e) |
|
|
|
|
|
|
12,091 |
|
|
|
762,835 |
|
Series 2015-C26, Class XD, 1.35%, 10/15/48(b)(e) |
|
|
|
|
|
|
4,490 |
|
|
|
402,169 |
|
Series 2016-C28, Class XA, 1.28%, 01/15/49(e) |
|
|
|
|
|
|
4,073 |
|
|
|
305,199 |
|
Series 2016-C29, Class XA, 1.64%, 05/15/49(e) |
|
|
|
|
|
|
7,790 |
|
|
|
767,843 |
|
Series 2016-C29, Class XB, 0.96%, 05/15/49(e) |
|
|
|
|
|
|
9,126 |
|
|
|
646,003 |
|
Series 2016-C31, Class XA, 1.46%, 11/15/49(e) |
|
|
|
|
|
|
2,640 |
|
|
|
237,314 |
|
Morgan Stanley Capital I Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2016-UBS9, Class XD, 1.54%, 03/15/49(b)(e)
|
|
|
|
|
|
|
13,984 |
|
|
|
1,402,735 |
|
Series 2017-H1, Class XD, 2.20%, 06/15/50(b)(e) |
|
|
|
|
|
|
3,293 |
|
|
|
505,871 |
|
Morgan Stanley Capital I, Inc., Series 2017-HR2,
Class XA, 0.81%, 12/15/50(e) |
|
|
|
|
|
|
15,582 |
|
|
|
998,280 |
|
Olympic Tower Mortgage Trust, Series 2017-OT,
Class XA, 0.38%, 05/10/39(b)(e) |
|
|
|
|
|
|
36,697 |
|
|
|
1,223,478 |
|
One Market Plaza Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2017-1MKT, Class XCP, 0.09%, 02/10/32(b)(e)
|
|
|
|
|
|
|
53,230 |
|
|
|
299,153 |
|
Series 2017-1MKT, Class XNCP, 0.00%, 02/10/32(b)(d)(e)
|
|
|
|
|
|
|
10,646 |
|
|
|
63,876 |
|
UBS Commercial Mortgage Trust, Series 2017-C1,
Class XA, 1.61%, 06/15/50(e) |
|
|
|
|
|
|
6,950 |
|
|
|
775,273 |
|
Wells Fargo Commercial Mortgage Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2015-C27, Class XA, 0.92%, 02/15/48(e) |
|
|
|
|
|
|
16,423 |
|
|
|
830,820 |
|
Series 2015-NXS1, Class XB, 0.36%, 05/15/48(e)
|
|
|
|
|
|
|
3,210 |
|
|
|
105,592 |
|
Series 2015-NXS4, Class XA, 0.95%, 12/15/48(e)
|
|
|
|
|
|
|
3,216 |
|
|
|
177,545 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
|
|
|
Par (000) |
|
|
Value |
|
Interest Only Commercial Mortgage-Backed Securities (continued) |
|
Wells Fargo Commercial Mortgage Trust: (continued) |
|
Series 2016-BNK1, Class XB, 1.34%, 08/15/49(e)
|
|
|
USD |
|
|
|
6,800 |
|
|
$ |
654,704 |
|
Series 2016-BNK1, Class XD, 1.27%, 08/15/49(b)(e)
|
|
|
|
|
|
|
3,420 |
|
|
|
288,716 |
|
Series 2016-C33, 1.80%, 03/15/59(e) |
|
|
|
|
|
|
16,149 |
|
|
|
1,629,093 |
|
Series 2016-LC25, Class XA, 1.09%, 12/15/59(e)
|
|
|
|
|
|
|
12,289 |
|
|
|
779,278 |
|
Series 2017-C41, Class XA, 1.24%, 11/15/50(e) |
|
|
|
|
|
|
17,540 |
|
|
|
1,605,913 |
|
WF-RBS Commercial Mortgage Trust, Series 2014-C20, Class XA, 1.13%, 05/15/47(e) |
|
|
|
|
|
|
4,905 |
|
|
|
226,086 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Interest Only Commercial Mortgage-Backed Securities 0.3% (Cost: $39,479,803) |
|
|
|
|
|
|
|
|
|
|
38,829,010 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Non-Agency Mortgage-Backed Securities
6.3% (Cost: $772,237,894) |
|
|
|
|
|
|
|
781,038,145 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Preferred Securities 0.7% |
|
|
Capital Trusts 0.6% |
|
Banks 0.4% |
|
|
|
|
|
|
|
|
|
ABN AMRO Bank NV, (5 yr. Euro Swap + 0.000%), 4.75%(m)(n)
|
|
|
EUR |
|
|
|
800 |
|
|
|
1,000,672 |
|
Banco Bilbao Vizcaya Argentaria SA, (5 yr. Euro Swap + 0.000%), 8.88%(m)(n) |
|
|
|
|
|
|
800 |
|
|
|
1,137,454 |
|
Banco Santander SA, (5 yr. Euro Swap + 0.000%),
6.75%(m)(n) |
|
|
|
|
|
|
3,100 |
|
|
|
4,222,225 |
|
Bank of East Asia Ltd.: |
|
|
|
|
|
|
|
|
|
|
|
|
(5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 0.000%), 5.50%(m)(n) |
|
|
USD |
|
|
|
688 |
|
|
|
701,089 |
|
(5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 0.000%), 5.63%(m)(n) |
|
|
|
|
|
|
995 |
|
|
|
1,023,793 |
|
Bankia SA, (5 yr. Euro Swap + 0.000%), 6.00%(m)
|
|
|
EUR |
|
|
|
600 |
|
|
|
751,764 |
|
China Construction Bank Corp., (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity +
0.000%), 4.65%(m) |
|
|
USD |
|
|
|
585 |
|
|
|
586,615 |
|
Danske Bank A/S, (5 yr. Euro Swap + 0.000%),
5.88%(m)(n) |
|
|
EUR |
|
|
|
850 |
|
|
|
1,157,913 |
|
Hongkong & Shanghai Banking Corp. Ltd., (3 mo. LIBOR US + 0.000%), 1.63%(a)(n) |
|
|
USD |
|
|
|
1,500 |
|
|
|
1,320,000 |
|
HSBC Holdings PLC, (USD Swap Rate 11:00 am NY 1 + 0.000%), 6.00%(m)(n) |
|
|
|
|
|
|
10,345 |
|
|
|
10,875,181 |
|
HSH Nordbank AG, 7.25%(n) |
|
|
|
|
|
|
2,658 |
|
|
|
1,378,226 |
|
Industrial & Commercial Bank of China Asia Ltd., (5 yr. US Treasury Yield Curve Rate T Note Constant
Maturity + 0.000%), 4.25%(m)(n) |
|
|
|
|
|
|
|
|
|
|
850 836,548 |
|
Intesa Sanpaolo SpA, (5 yr. Euro Swap + 0.000%),
7.00%(m)(n) |
|
|
EUR |
|
|
|
1,049 |
|
|
|
1,391,964 |
|
Itau Unibanco Holding SA, (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 0.000%), 6.13%(b)(m) |
|
|
USD |
|
|
|
556 |
|
|
|
555,825 |
|
Lehman Brothers Holdings Capital Trust VII,
5.86%(d)(n) |
|
|
|
|
|
|
1,888 |
|
|
|
|
|
Lloyds Banking Group PLC: |
|
|
|
|
|
|
|
|
|
|
|
|
(3 mo. LIBOR US + 0.000%), 6.41%(b)(m) |
|
|
|
|
|
|
500 |
|
|
|
576,250 |
|
(3 mo. LIBOR US + 0.000%), 6.66%(m) |
|
|
|
|
|
|
175 |
|
|
|
204,750 |
|
|
|
|
32 |
|
2017 BLACKROCK QUARTERLY REPORT TO SHAREHOLDERS |
|
|
|
Consolidated Schedule of Investments (unaudited) (continued)
December 31, 2017 |
|
Master Total Return Portfolio of Master Bond LLC
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
|
|
|
Par (000) |
|
|
Value |
|
Banks (continued) |
|
|
|
|
|
|
|
|
|
Lloyds Banking Group PLC: (continued) (3 mo. LIBOR US + 0.000%), 6.66%(b)(m) |
|
|
USD |
|
|
|
1,125 |
|
|
$ |
1,316,250 |
|
Macquarie Bank Ltd., (5 yr. Swap Semi 30/360 US + 0.000%), 6.13%(m)(n) |
|
|
|
|
|
|
1,304 |
|
|
|
1,354,530 |
|
Nanyang Commercial Bank Ltd., (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 0.000%),
5.00%(m)(n) |
|
|
|
|
|
|
1,500 |
|
|
|
1,497,977 |
|
National Westminster Bank PLC, 1.75%(e)(n) |
|
|
|
|
|
|
2,000 |
|
|
|
1,761,600 |
|
Postal Savings Bank of China Co. Ltd., (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity +
0.000%), 4.50%(m)(n) |
|
|
|
|
|
|
2,000 |
|
|
|
1,970,000 |
|
UniCredit SpA: |
|
|
|
|
|
|
|
|
|
|
|
|
(5 yr. Euro Swap + 0.000%), 6.63%(m) |
|
|
EUR |
|
|
|
600 |
|
|
|
781,100 |
|
(5 yr. Euro Swap + 0.000%), 6.75%(m)(n) |
|
|
|
|
|
|
400 |
|
|
|
517,643 |
|
(5 yr. Euro Swap + 0.000%), 9.25%(m)(n) |
|
|
|
|
|
|
700 |
|
|
|
1,017,152 |
|
United Overseas Bank Ltd., (5 yr. Swap Semi 30/360 US + 0.000%), 3.88%(m) |
|
|
USD |
|
|
|
1,070 |
|
|
|
1,067,564 |
|
Westpac Banking Corp., (USD Swap Rate 11:00 am NY 1 + 0.000%), 5.00%(m)(n) |
|
|
|
|
|
|
325 |
|
|
|
324,169 |
|
Woori Bank: |
|
|
|
|
|
|
|
|
|
|
|
|
(5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 0.000%), 4.50%(m)(n) . |
|
|
|
|
|
|
1,238 |
|
|
|
1,228,029 |
|
(5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 0.000%), 5.25%(m)(n)(q) |
|
|
|
|
|
|
1,975 |
|
|
|
2,009,549 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
42,565,832 |
|
Capital Markets 0.1% |
|
|
|
|
|
|
|
|
|
Bank of New York Mellon Corp., (3 mo. LIBOR US + 0.000%), 4.63%(m)(n) |
|
|
|
|
|
|
6,967 |
|
|
|
7,080,214 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commercial Services & Supplies 0.0% |
|
|
|
|
|
|
|
|
|
King Talent Management Ltd., 5.60%(e)(n) |
|
|
|
|
|
|
800 |
|
|
|
797,864 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Construction & Engineering 0.0% |
|
|
|
|
|
|
|
|
|
Chalieco Hong Kong Corp. Ltd., (3 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 0.000%),
5.70%(m)(n) |
|
|
|
|
|
|
200 |
|
|
|
203,977 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Diversified Financial Services 0.0% |
|
|
|
|
|
|
|
|
|
HBOS Capital Funding LP, 6.85%(n) |
|
|
|
|
|
|
2,046 |
|
|
|
2,093,979 |
|
Huarong Finance 2017 Co. Ltd., (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 0.000%),
4.50%(m)(n) |
|
|
|
|
|
|
399 |
|
|
|
402,844 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,496,823 |
|
Diversified Telecommunication Services 0.0% |
|
Koninklijke KPN NV, (5 yr. Euro Swap + 0.000%),
6.13%(m)(n) |
|
|
EUR |
|
|
|
400 |
|
|
|
499,166 |
|
Orange SA: |
|
|
|
|
|
|
|
|
|
|
|
|
(5 yr. Euro Swap + 0.000%), 4.00%(m)(n) |
|
|
|
|
|
|
1,300 |
|
|
|
1,724,359 |
|
(5 yr. Euro Swap + 0.000%), 5.25%(m)(n) |
|
|
|
|
|
|
1,090 |
|
|
|
1,552,639 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,776,164 |
|
Electric Utilities 0.0% |
|
|
|
|
|
|
|
|
|
Electricite de France SA, (8 yr. Euro Swap + 0.000%),
4.13%(m)(n) |
|
|
|
|
|
|
800 |
|
|
|
1,024,669 |
|
Enel SpA, (5 yr. Euro Swap + 0.000%), 5.00%,
01/15/75(m) |
|
|
|
|
|
|
100 |
|
|
|
130,267 |
|
Gas Natural Fenosa Finance BV: |
|
|
|
|
|
|
|
|
|
|
|
|
(9 yr. Euro Swap + 0.000%), 3.38%(m)(n) |
|
|
|
|
|
|
900 |
|
|
|
1,134,362 |
|
(8 yr. Euro Swap + 0.000%), 4.13%(m)(n) |
|
|
|
|
|
|
100 |
|
|
|
130,810 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,420,108 |
|
Insurance 0.0% |
|
|
|
|
|
|
|
|
|
Assicurazioni Generali SpA, (3 mo. LIBOR GBP + 0.000%), 6.42%(m)(n) |
|
|
GBP |
|
|
|
100 |
|
|
|
149,327 |
|
Ethias SA, 5.00%, 01/14/26 |
|
|
EUR |
|
|
|
800 |
|
|
|
1,108,119 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,257,446 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
|
|
|
Par
(000) |
|
|
Value |
|
Machinery 0.0% |
|
|
|
|
|
|
|
|
|
Weichai International Hong Kong Energy Group Co. Ltd., (5 yr. US Treasury Yield Curve Rate T Note Constant
Maturity + 0.000%), 3.75%(m)(n) |
|
|
USD |
|
|
|
278 |
|
|
$ |
273,180 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Media 0.0% |
|
|
|
|
|
|
|
|
|
NBCUniversal Enterprise, Inc., 5.25%(b)(n) |
|
|
|
|
|
|
3,770 |
|
|
|
4,005,625 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Metals & Mining 0.0% |
|
|
|
|
|
|
|
|
|
BHP Billiton Finance Ltd., (5 yr. Euro Swap + 0.000%), 5.63%, 10/22/79(m) |
|
|
EUR |
|
|
|
1,800 |
|
|
|
2,646,741 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Multi-Utilities 0.1% |
|
|
|
|
|
|
|
|
|
Dominion Energy, Inc., 2.58%, 07/01/20 |
|
|
USD |
|
|
|
6,650 |
|
|
|
6,652,781 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Real Estate Management & Development 0.0% |
|
AT Securities BV, (5 yr. Swap Semi 30/360 US + 0.000%), 5.25%(m)(n) |
|
|
|
|
|
|
1,250 |
|
|
|
1,265,625 |
|
ATF Netherlands BV, (5 yr. Euro Swap + 0.000%), 3.75%(m)
|
|
|
EUR |
|
|
|
700 |
|
|
|
894,066 |
|
Grand City Properties SA, (5 yr. Euro Swap + 0.000%),
3.75%(m)(n) |
|
|
|
|
|
|
800 |
|
|
|
1,025,149 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,184,840 |
|
Transportation Infrastructure 0.0% |
|
Royal Capital BV, (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 0.000%), 4.88%(m)(n) |
|
|
USD |
|
|
|
219 |
|
|
|
220,627 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Wireless Telecommunication Services 0.0% |
|
Telefonica Europe BV: |
|
|
|
|
|
|
|
|
|
|
|
|
(5 yr. Euro Swap + 0.000%), 3.75%(m)(n) |
|
|
EUR |
|
|
|
500 |
|
|
|
631,444 |
|
(5 yr. Euro Swap + 0.000%), 4.20%(m)(n) |
|
|
|
|
|
|
400 |
|
|
|
506,756 |
|
(10 yr. Euro Swap + 0.000%), 5.88%(m)(n) |
|
|
|
|
|
|
1,900 |
|
|
|
2,644,325 |
|
(8 yr. Euro Swap + 0.000%), 7.63%(m)(n) |
|
|
|
|
|
|
200 |
|
|
|
287,369 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,069,894 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Capital Trusts 0.6% (Cost: $76,876,718) |
|
|
|
|
|
|
|
|
|
|
81,652,116 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares |
|
|
|
|
Preferred Stocks 0.0% |
|
|
|
|
|
|
|
|
|
|
|
|
Diversified Financial Services 0.0% |
|
|
|
|
|
|
|
|
|
Concrete Investment II SCA, 0.00%, 08/27/44(d)(g)
|
|
|
|
|
|
|
12,471 |
|
|
|
404,009 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Preferred Stocks 0.0% (Cost: $1,088,511) |
|
|
|
|
|
|
|
|
|
|
404,009 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Trust Preferreds 0.1% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Banks 0.1% |
|
|
|
|
|
|
|
|
|
Citigroup Capital XIII, 8.14%, 10/30/40 |
|
|
|
|
|
|
349,440 |
|
|
|
9,602,611 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Trust Preferreds 0.1% (Cost: $9,587,771) |
|
|
|
|
|
|
|
|
|
|
9,602,611 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Preferred Securities 0.7% (Cost: $87,553,000) |
|
|
|
|
|
|
|
|
|
|
91,658,736 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Par
(000) |
|
|
|
|
Taxable Municipal Bonds 5.6% |
|
|
|
|
|
|
|
|
|
Adams & Weld Counties School District No. 27J Brighton, CO GO, 5.00%, 12/01/42 |
|
|
USD |
|
|
|
1,650 |
|
|
|
1,978,037 |
|
Alamo Community College District GO: |
|
|
|
|
|
|
|
|
|
|
|
|
5.00%, 08/15/30 |
|
|
|
|
|
|
1,130 |
|
|
|
1,390,759 |
|
5.00%, 08/15/31 |
|
|
|
|
|
|
1,130 |
|
|
|
1,384,205 |
|
5.00%, 08/15/34 |
|
|
|
|
|
|
1,130 |
|
|
|
1,370,125 |
|
5.00%, 08/15/35 |
|
|
|
|
|
|
1,260 |
|
|
|
1,524,159 |
|
5.00%, 08/15/36 |
|
|
|
|
|
|
1,650 |
|
|
|
1,992,787 |
|
5.00%, 08/15/37 |
|
|
|
|
|
|
1,600 |
|
|
|
1,927,856 |
|
|
|
|
|
|
CONSOLIDATED SCHEDULE OF INVESTMENTS |
|
|
33 |
|
|
|
|
Consolidated Schedule of Investments (unaudited) (continued) |
|
Master Total Return Portfolio of Master Bond LLC |
December 31, 2017 |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
|
|
|
Par (000) |
|
|
Value |
|
Alamo Community College District GO: (continued) |
|
5.00%, 08/15/38 |
|
|
USD |
|
|
|
1,570 |
|
|
$ |
1,888,741 |
|
Aldine Independent School District GO, 5.00%, 02/15/30 |
|
|
|
|
|
|
2,845 |
|
|
|
3,473,432 |
|
American Municipal Power, Inc. RB, 6.45%, 02/15/44 |
|
|
|
|
|
|
895 |
|
|
|
1,229,560 |
|
Arizona Health Facilities Authority RB, 1.95%, 01/01/37(e)
|
|
|
|
|
|
|
1,355 |
|
|
|
1,219,690 |
|
Bay Area Toll Authority RB: |
|
|
|
|
|
|
|
|
|
|
|
|
6.92%, 04/01/40 |
|
|
|
|
|
|
3,145 |
|
|
|
4,537,669 |
|
7.04%, 04/01/50 |
|
|
|
|
|
|
5,965 |
|
|
|
9,423,626 |
|
Buckeye Tobacco Settlement Financing Authority RB, 5.88%, 06/01/47 |
|
|
|
|
|
|
5,210 |
|
|
|
5,020,095 |
|
California Health Facilities Financing Authority RB, 5.00%, 08/15/33 |
|
|
|
|
|
|
1,190 |
|
|
|
1,422,359 |
|
California Pollution Control Financing Authority RB, 5.00%, 11/21/45(b) |
|
|
|
|
|
|
1,000 |
|
|
|
1,084,380 |
|
Central Texas Regional Mobility Authority RB: |
|
|
|
|
|
|
|
|
|
|
|
|
5.00%, 01/01/45 |
|
|
|
|
|
|
900 |
|
|
|
1,014,858 |
|
5.00%, 01/01/46 |
|
|
|
|
|
|
900 |
|
|
|
1,017,540 |
|
Chesapeake Bay Bridge & Tunnel District RB, 5.00%, 07/01/51 |
|
|
|
|
|
|
700 |
|
|
|
786,422 |
|
Chesapeake Bay Bridge & Tunnel District RB AGM, 5.00%, 07/01/41 |
|
|
|
|
|
|
880 |
|
|
|
1,022,569 |
|
City & County of Denver, CO Airport System Revenue RB: |
|
|
|
|
|
|
|
|
|
|
|
|
5.00%, 11/15/28 |
|
|
|
|
|
|
1,180 |
|
|
|
1,434,196 |
|
5.00%, 11/15/29 |
|
|
|
|
|
|
1,180 |
|
|
|
1,427,316 |
|
5.00%, 11/15/30 |
|
|
|
|
|
|
945 |
|
|
|
1,137,582 |
|
5.00%, 11/15/33 |
|
|
|
|
|
|
470 |
|
|
|
566,688 |
|
City & County of Honolulu, HI GO, 5.00%, 09/01/41 |
|
|
|
|
|
|
960 |
|
|
|
1,152,058 |
|
City of Aurora, CO Water Revenue RB, 5.00%, 08/01/46 |
|
|
|
|
|
|
1,700 |
|
|
|
2,006,119 |
|
City of Houston, TX Airport System Revenue RB, 5.00%, 07/01/24 |
|
|
|
|
|
|
700 |
|
|
|
789,194 |
|
City of Houston, TX Combined Utility System Revenue RB, 5.00%, 11/15/35 |
|
|
|
|
|
|
1,245 |
|
|
|
1,480,218 |
|
City of Long Beach, CA Harbor Revenue RB, 5.00%, 05/15/47 |
|
|
|
|
|
|
2,610 |
|
|
|
3,146,981 |
|
City of Los Angeles Department of Airports RB, 5.00%, 05/15/47 |
|
|
|
|
|
|
1,320 |
|
|
|
1,555,382 |
|
City of Miami Beach, FL Water & Sewer Revenue RB, 5.00%, 09/01/47 |
|
|
|
|
|
|
1,350 |
|
|
|
1,594,809 |
|
City of Philadelphia, PA Airport Revenue RB: |
|
|
|
|
|
|
|
|
|
|
|
|
5.00%, 07/01/42 |
|
|
|
|
|
|
2,400 |
|
|
|
2,776,848 |
|
5.00%, 07/01/47 |
|
|
|
|
|
|
2,490 |
|
|
|
2,869,899 |
|
City of Phoenix Civic Improvement Corp RB, 5.00%, 07/01/47 |
|
|
|
|
|
|
990 |
|
|
|
1,154,310 |
|
City of Riverside, CA Electric Revenue RB, 7.61%, 10/01/40 |
|
|
|
|
|
|
1,325 |
|
|
|
2,017,419 |
|
City Public Service Board of San Antonio, TX RB, 5.81%, 02/01/41 |
|
|
|
|
|
|
3,260 |
|
|
|
4,333,225 |
|
Clark County School District GO: |
|
|
|
|
|
|
|
|
|
|
|
|
5.00%, 06/15/23 |
|
|
|
|
|
|
545 |
|
|
|
628,412 |
|
5.00%, 06/15/24 |
|
|
|
|
|
|
680 |
|
|
|
797,470 |
|
5.00%, 06/15/27 |
|
|
|
|
|
|
365 |
|
|
|
437,398 |
|
5.00%, 06/15/28 |
|
|
|
|
|
|
705 |
|
|
|
840,875 |
|
Colorado Health Facilities Authority RB, 5.25%, 02/01/31 |
|
|
|
|
|
|
785 |
|
|
|
841,559 |
|
Commonwealth Financing Authority RB, 4.14%, 06/01/38 |
|
|
|
|
|
|
1,730 |
|
|
|
1,833,973 |
|
Commonwealth of Massachusetts GO: |
|
|
|
|
|
|
|
|
|
|
|
|
5.00%, 11/01/39 |
|
|
|
|
|
|
1,890 |
|
|
|
2,275,636 |
|
5.00%, 11/01/40 |
|
|
|
|
|
|
3,740 |
|
|
|
4,495,929 |
|
5.00%, 11/01/41 |
|
|
|
|
|
|
1,890 |
|
|
|
2,270,192 |
|
5.00%, 11/01/42 |
|
|
|
|
|
|
1,890 |
|
|
|
2,266,582 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
|
|
|
Par (000) |
|
|
Value |
|
Commonwealth of Massachusetts GO: (continued) |
|
5.00%, 11/01/44 |
|
|
USD |
|
|
|
3,780 |
|
|
$ |
4,525,945 |
|
5.00%, 11/01/45 |
|
|
|
|
|
|
1,890 |
|
|
|
2,261,158 |
|
5.00%, 11/01/46 |
|
|
|
|
|
|
2,580 |
|
|
|
3,081,758 |
|
Commonwealth of Massachusetts Transportation Fund Revenue RB: |
|
|
|
|
|
|
|
|
|
|
|
|
5.00%, 06/01/40 |
|
|
|
|
|
|
1,455 |
|
|
|
1,758,338 |
|
5.00%, 06/01/41 |
|
|
|
|
|
|
1,640 |
|
|
|
1,980,316 |
|
5.00%, 06/01/43 |
|
|
|
|
|
|
1,740 |
|
|
|
2,097,692 |
|
Commonwealth of Puerto Rico GO, 8.00%, 07/01/35(g)(l)
|
|
|
|
|
|
|
24,815 |
|
|
|
5,893,563 |
|
Connecticut State Health & Educational Facility Authority RB, 5.00%, 07/01/45 |
|
|
|
|
|
|
1,700 |
|
|
|
1,880,013 |
|
Contra Costa Community College District GO, 6.50%, 08/01/34 |
|
|
|
|
|
|
570 |
|
|
|
741,507 |
|
County of Clark Department of Aviation RB, 5.00%, 07/01/21 |
|
|
|
|
|
|
1,800 |
|
|
|
1,973,088 |
|
County of Fairfax, VA Sewer Revenue RB, 5.00%, 07/15/44 |
|
|
|
|
|
|
750 |
|
|
|
906,045 |
|
County of Miami-Dade, FL Aviation Revenue RB: |
|
|
|
|
|
|
|
|
|
|
|
|
2.50%, 10/01/24 |
|
|
|
|
|
|
2,490 |
|
|
|
2,405,440 |
|
3.35%, 10/01/29 |
|
|
|
|
|
|
560 |
|
|
|
552,462 |
|
3.45%, 10/01/30 |
|
|
|
|
|
|
1,030 |
|
|
|
1,041,217 |
|
3.50%, 10/01/31 |
|
|
|
|
|
|
965 |
|
|
|
976,483 |
|
5.00%, 10/01/38 |
|
|
|
|
|
|
1,600 |
|
|
|
1,836,272 |
|
County of Miami-Dade, FL GO: |
|
|
|
|
|
|
|
|
|
|
|
|
5.00%, 07/01/34 |
|
|
|
|
|
|
1,000 |
|
|
|
1,183,540 |
|
5.00%, 07/01/35 |
|
|
|
|
|
|
960 |
|
|
|
1,133,789 |
|
Dallas Area Rapid Transit RB: |
|
|
|
|
|
|
|
|
|
|
|
|
5.00%, 12/01/41 |
|
|
|
|
|
|
1,780 |
|
|
|
2,076,726 |
|
5.00%, 12/01/46 |
|
|
|
|
|
|
2,410 |
|
|
|
2,802,420 |
|
Dallas/Fort Worth International Airport RB: |
|
|
|
|
|
|
|
|
|
|
|
|
5.00%, 11/01/42 |
|
|
|
|
|
|
2,025 |
|
|
|
2,205,549 |
|
Series A, 5.00%, 11/01/43 |
|
|
|
|
|
|
60 |
|
|
|
64,035 |
|
5.00%, 11/01/45 |
|
|
|
|
|
|
3,670 |
|
|
|
3,914,716 |
|
5.00%, 11/01/45 |
|
|
|
|
|
|
2,650 |
|
|
|
2,883,226 |
|
District of Columbia RB: |
|
|
|
|
|
|
|
|
|
|
|
|
5.00%, 07/15/34 |
|
|
|
|
|
|
775 |
|
|
|
897,047 |
|
5.59%, 12/01/34 |
|
|
|
|
|
|
2,675 |
|
|
|
3,306,006 |
|
5.00%, 07/15/35 |
|
|
|
|
|
|
775 |
|
|
|
895,838 |
|
Dutchess County Local Development Corp. RB, 5.00%, 07/01/46 |
|
|
|
|
|
|
2,685 |
|
|
|
3,080,688 |
|
East Bay Municipal Utility District Water System Revenue RB, 5.00%, 06/01/45 |
|
|
|
|
|
|
840 |
|
|
|
1,014,334 |
|
Eastern Municipal Water District Financing Authority RB, 5.00%, 07/01/47 |
|
|
|
|
|
|
900 |
|
|
|
1,085,742 |
|
Golden State Tobacco Securitization Corp. RB, 5.13%, 06/01/47 |
|
|
|
|
|
|
4,095 |
|
|
|
4,091,724 |
|
Grant County Public Utility District No. 2 RB, 4.58%, 01/01/40 |
|
|
|
|
|
|
600 |
|
|
|
630,306 |
|
Great Lakes Water Authority Water Supply System Revenue RB, 5.25%, 07/01/33 |
|
|
|
|
|
|
755 |
|
|
|
913,656 |
|
Health & Educational Facilities Authority of the State of Missouri RB: |
|
|
|
|
|
|
|
|
|
|
|
|
5.00%, 11/15/29 |
|
|
|
|
|
|
840 |
|
|
|
990,797 |
|
3.65%, 08/15/57 |
|
|
|
|
|
|
2,895 |
|
|
|
2,942,333 |
|
Kentucky Economic Development Finance Authority RB, 5.25%, 06/01/50 |
|
|
|
|
|
|
850 |
|
|
|
937,006 |
|
Lexington County Health Services District, Inc. RB, 5.00%, 11/01/41 |
|
|
|
|
|
|
1,880 |
|
|
|
2,115,357 |
|
Los Angeles Community College District GO, 6.60%, 08/01/42 |
|
|
|
|
|
|
4,740 |
|
|
|
6,972,635 |
|
Los Angeles County Metropolitan Transportation Authority RB: |
|
|
|
|
|
|
|
|
|
|
|
|
5.00%, 07/01/32 |
|
|
|
|
|
|
2,070 |
|
|
|
2,558,189 |
|
5.00%, 07/01/40 |
|
|
|
|
|
|
3,760 |
|
|
|
4,574,905 |
|
5.00%, 07/01/41 |
|
|
|
|
|
|
2,500 |
|
|
|
3,039,475 |
|
|
|
|
34 |
|
2017 BLACKROCK QUARTERLY REPORT TO SHAREHOLDERS |
|
|
|
Consolidated Schedule of Investments (unaudited) (continued) |
|
Master Total Return Portfolio of Master Bond LLC |
December 31, 2017 |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
|
|
|
Par (000) |
|
|
Value |
|
Los Angeles County Metropolitan Transportation Authority RB: (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
5.00%, 07/01/42 |
|
|
USD |
|
|
|
4,500 |
|
|
$ |
5,466,780 |
|
5.00%, 07/01/42 |
|
|
|
|
|
|
3,560 |
|
|
|
4,308,063 |
|
Los Angeles Department of Water & Power RB, 6.60%, 07/01/50 |
|
|
|
|
|
|
1,065 |
|
|
|
1,654,360 |
|
Los Angeles Unified School District, 5.75%, 07/01/34 |
|
|
|
|
|
|
415 |
|
|
|
529,204 |
|
Los Angeles Unified School District GO, 6.76%, 07/01/34 |
|
|
|
|
|
|
4,355 |
|
|
|
6,014,778 |
|
Maryland Health & Higher Educational Facilities Authority RB, 5.25%, 07/01/27 |
|
|
|
|
|
|
815 |
|
|
|
940,135 |
|
Massachusetts Bay Transportation Authority RB: |
|
|
|
|
|
|
|
|
|
|
|
|
5.00%, 07/01/39 |
|
|
|
|
|
|
970 |
|
|
|
1,162,943 |
|
5.00%, 07/01/40 |
|
|
|
|
|
|
1,020 |
|
|
|
1,221,940 |
|
5.00%, 07/01/41 |
|
|
|
|
|
|
1,060 |
|
|
|
1,268,873 |
|
5.00%, 07/01/41 |
|
|
|
|
|
|
890 |
|
|
|
1,065,374 |
|
5.00%, 07/01/42 |
|
|
|
|
|
|
1,115 |
|
|
|
1,333,674 |
|
5.00%, 07/01/42 |
|
|
|
|
|
|
890 |
|
|
|
1,064,547 |
|
5.00%, 07/01/43 |
|
|
|
|
|
|
890 |
|
|
|
1,063,719 |
|
5.00%, 07/01/44 |
|
|
|
|
|
|
890 |
|
|
|
1,062,900 |
|
5.00%, 07/01/45 |
|
|
|
|
|
|
890 |
|
|
|
1,062,073 |
|
Massachusetts Clean Water Trust RB: |
|
|
|
|
|
|
|
|
|
|
|
|
5.00%, 02/01/27 |
|
|
|
|
|
|
670 |
|
|
|
822,592 |
|
5.00%, 02/01/28 |
|
|
|
|
|
|
1,140 |
|
|
|
1,394,870 |
|
Massachusetts Development Finance Agency RB, 5.00%, 07/01/47 |
|
|
|
|
|
|
1,260 |
|
|
|
1,455,905 |
|
Massachusetts Educational Financing Authority RB, 5.00%, 01/01/22 |
|
|
|
|
|
|
500 |
|
|
|
545,445 |
|
Mesquite Independent School District GO PSF, 5.00%, 08/15/42 |
|
|
|
|
|
|
1,700 |
|
|
|
2,014,551 |
|
Metropolitan Government Nashville & Davidson County Health & Educational Facilities Board
RB, 5.00%, 07/01/46 |
|
|
|
|
|
|
1,800 |
|
|
|
2,042,190 |
|
Metropolitan St. Louis Sewer District RB, 5.00%, 05/01/42 |
|
|
|
|
|
|
2,770 |
|
|
|
3,332,670 |
|
Metropolitan Transportation Authority RB: |
|
|
|
|
|
|
|
|
|
|
|
|
5.00%, 11/15/25 |
|
|
|
|
|
|
1,850 |
|
|
|
2,234,134 |
|
5.00%, 11/15/26 |
|
|
|
|
|
|
4,570 |
|
|
|
5,595,554 |
|
5.87%, 11/15/39 |
|
|
|
|
|
|
735 |
|
|
|
947,202 |
|
6.67%, 11/15/39 |
|
|
|
|
|
|
350 |
|
|
|
495,400 |
|
6.69%, 11/15/40 |
|
|
|
|
|
|
1,160 |
|
|
|
1,641,145 |
|
6.81%, 11/15/40 |
|
|
|
|
|
|
860 |
|
|
|
1,229,121 |
|
5.00%, 11/15/42 |
|
|
|
|
|
|
1,700 |
|
|
|
2,024,734 |
|
5.25%, 11/15/57 |
|
|
|
|
|
|
2,090 |
|
|
|
2,492,158 |
|
Metropolitan Washington Airports Authority Dulles Toll Road Revenue RB: |
|
|
|
|
|
|
|
|
|
|
|
|
7.46%, 10/01/46 |
|
|
|
|
|
|
1,060 |
|
|
|
1,626,347 |
|
5.00%, 10/01/53 |
|
|
|
|
|
|
1,000 |
|
|
|
1,079,930 |
|
Metropolitan Washington Airports Authority Dulles Toll Road Revenue RB AGC, 0.00%, 10/01/39(k) |
|
|
|
|
|
|
800 |
|
|
|
364,344 |
|
Metropolitan Washington Airports Authority RB, 5.00%, 10/01/32 |
|
|
|
|
|
|
2,710 |
|
|
|
3,194,792 |
|
Miami-Dade County Educational Facilities Authority RB, 5.07%, 04/01/50 |
|
|
|
|
|
|
1,300 |
|
|
|
1,456,520 |
|
Michigan Finance Authority RB: |
|
|
|
|
|
|
|
|
|
|
|
|
5.00%, 06/01/39 |
|
|
|
|
|
|
840 |
|
|
|
953,207 |
|
5.00%, 11/15/41 |
|
|
|
|
|
|
850 |
|
|
|
961,664 |
|
5.00%, 12/01/47 |
|
|
|
|
|
|
5,660 |
|
|
|
6,238,452 |
|
Mississippi Hospital Equipment & Facilities Authority RB, 5.00%, 09/01/46 |
|
|
|
|
|
|
1,610 |
|
|
|
1,771,338 |
|
Municipal Electric Authority of Georgia RB: |
|
|
|
|
|
|
|
|
|
|
|
|
5.00%, 01/01/20 |
|
|
|
|
|
|
1,630 |
|
|
|
1,727,441 |
|
6.64%, 04/01/57 |
|
|
|
|
|
|
1,610 |
|
|
|
2,063,762 |
|
New Jersey Educational Facilities Authority RB: |
|
|
|
|
|
|
|
|
|
|
|
|
5.00%, 07/01/26 |
|
|
|
|
|
|
1,200 |
|
|
|
1,493,736 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
|
|
|
Par (000) |
|
|
Value |
|
New Jersey Educational Facilities Authority RB: (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
5.00%, 07/01/34 |
|
|
USD |
|
|
|
1,200 |
|
|
$ |
1,471,488 |
|
5.00%, 07/01/35 |
|
|
|
|
|
|
2,025 |
|
|
|
2,477,344 |
|
New Jersey State Turnpike Authority RB, 7.41%, 01/01/40 |
|
|
|
|
|
|
2,329 |
|
|
|
3,594,858 |
|
New Jersey Transportation Trust Fund Authority RB, 5.00%, 06/15/29 |
|
|
|
|
|
|
915 |
|
|
|
1,039,714 |
|
New Orleans Aviation Board RB, 5.00%, 01/01/40 |
|
|
|
|
|
|
1,580 |
|
|
|
1,780,170 |
|
New York City Transitional Finance Authority Building Aid Revenue RB, 5.00%, 07/15/40 |
|
|
|
|
|
|
930 |
|
|
|
1,099,939 |
|
New York City Transitional Finance Authority Future Tax Secured Revenue RB: |
|
|
|
|
|
|
|
|
|
|
|
|
2.28%, 05/01/26 |
|
|
|
|
|
|
1,265 |
|
|
|
1,186,734 |
|
3.05%, 05/01/27 |
|
|
|
|
|
|
4,675 |
|
|
|
4,610,999 |
|
5.00%, 08/01/31 |
|
|
|
|
|
|
470 |
|
|
|
567,454 |
|
5.00%, 02/01/35 |
|
|
|
|
|
|
1,040 |
|
|
|
1,229,925 |
|
5.00%, 05/01/36 |
|
|
|
|
|
|
990 |
|
|
|
1,174,180 |
|
New York City Water & Sewer System RB: |
|
|
|
|
|
|
|
|
|
|
|
|
5.75%, 06/15/41 |
|
|
|
|
|
|
1,330 |
|
|
|
1,815,663 |
|
6.01%, 06/15/42 |
|
|
|
|
|
|
665 |
|
|
|
935,675 |
|
5.38%, 06/15/43 |
|
|
|
|
|
|
4,410 |
|
|
|
4,850,250 |
|
5.50%, 06/15/43 |
|
|
|
|
|
|
5,285 |
|
|
|
5,855,569 |
|
5.88%, 06/15/44 |
|
|
|
|
|
|
1,195 |
|
|
|
1,653,175 |
|
5.00%, 06/15/47 |
|
|
|
|
|
|
2,350 |
|
|
|
2,779,204 |
|
New York Convention Center Development Corp. RB: |
|
|
|
|
|
|
|
|
|
|
|
|
5.00%, 11/15/40 |
|
|
|
|
|
|
930 |
|
|
|
1,069,286 |
|
5.00%, 11/15/46 |
|
|
|
|
|
|
2,370 |
|
|
|
2,780,863 |
|
New York Liberty Development Corp RB, 5.25%, 10/01/35 |
|
|
|
|
|
|
1,030 |
|
|
|
1,350,361 |
|
New York State Dormitory Authority RB: |
|
|
|
|
|
|
|
|
|
|
|
|
5.00%, 02/15/27 |
|
|
|
|
|
|
870 |
|
|
|
1,067,899 |
|
5.00%, 02/15/28 |
|
|
|
|
|
|
870 |
|
|
|
1,063,297 |
|
5.00%, 02/15/31 |
|
|
|
|
|
|
780 |
|
|
|
939,011 |
|
5.00%, 03/15/32 |
|
|
|
|
|
|
1,395 |
|
|
|
1,671,322 |
|
5.00%, 02/15/34 |
|
|
|
|
|
|
1,870 |
|
|
|
2,260,269 |
|
5.00%, 02/15/35 |
|
|
|
|
|
|
1,870 |
|
|
|
2,254,939 |
|
5.00%, 02/15/36 |
|
|
|
|
|
|
1,870 |
|
|
|
2,251,405 |
|
5.00%, 02/15/37 |
|
|
|
|
|
|
1,870 |
|
|
|
2,246,113 |
|
5.00%, 02/15/38 |
|
|
|
|
|
|
1,870 |
|
|
|
2,242,597 |
|
5.00%, 02/15/39 |
|
|
|
|
|
|
1,870 |
|
|
|
2,240,840 |
|
5.00%, 02/15/40 |
|
|
|
|
|
|
3,870 |
|
|
|
4,633,822 |
|
5.39%, 03/15/40 |
|
|
|
|
|
|
1,470 |
|
|
|
1,854,743 |
|
5.00%, 02/15/41 |
|
|
|
|
|
|
1,870 |
|
|
|
2,237,343 |
|
5.00%, 02/15/42 |
|
|
|
|
|
|
3,450 |
|
|
|
4,124,475 |
|
5.00%, 02/15/43 |
|
|
|
|
|
|
3,430 |
|
|
|
4,097,341 |
|
New York State Urban Development Corp. RB: |
|
|
|
|
|
|
|
|
|
|
|
|
2.86%, 03/15/24 |
|
|
|
|
|
|
5,580 |
|
|
|
5,540,215 |
|
3.12%, 03/15/25 |
|
|
|
|
|
|
2,900 |
|
|
|
2,910,295 |
|
3.32%, 03/15/29 |
|
|
|
|
|
|
4,035 |
|
|
|
4,025,639 |
|
New York Transportation Development Corp. RB: |
|
|
|
|
|
|
|
|
|
|
|
|
5.00%, 08/01/20 |
|
|
|
|
|
|
2,200 |
|
|
|
2,342,670 |
|
5.00%, 07/01/46 |
|
|
|
|
|
|
730 |
|
|
|
801,555 |
|
5.25%, 01/01/50 |
|
|
|
|
|
|
3,450 |
|
|
|
3,827,602 |
|
North Texas Tollway Authority RB: |
|
|
|
|
|
|
|
|
|
|
|
|
5.00%, 01/01/35 |
|
|
|
|
|
|
1,520 |
|
|
|
1,792,202 |
|
5.00%, 01/01/39 |
|
|
|
|
|
|
1,070 |
|
|
|
1,266,805 |
|
5.00%, 01/01/39 |
|
|
|
|
|
|
1,030 |
|
|
|
1,203,720 |
|
5.00%, 01/01/43 |
|
|
|
|
|
|
3,150 |
|
|
|
3,711,393 |
|
5.00%, 01/01/43 |
|
|
|
|
|
|
940 |
|
|
|
1,093,681 |
|
Northwest Independent School District GO PSF, 5.00%, 02/15/42 |
|
|
|
|
|
|
2,285 |
|
|
|
2,685,720 |
|
Orange County Local Transportation Authority RB, 6.91%, 02/15/41 |
|
|
|
|
|
|
2,790 |
|
|
|
3,933,677 |
|
|
|
|
|
|
CONSOLIDATED SCHEDULE OF INVESTMENTS |
|
|
35 |
|
|
|
|
Consolidated Schedule of Investments (unaudited) (continued) |
|
Master Total Return Portfolio of Master Bond LLC |
December 31, 2017 |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
|
|
|
Par (000) |
|
|
Value |
|
Oregon School Boards Association GO: |
|
|
|
|
|
|
|
|
|
|
|
|
5.48%, 06/30/22 |
|
|
USD |
|
|
|
4,895 |
|
|
$ |
5,501,442 |
|
5.49%, 06/30/23 |
|
|
|
|
|
|
7,030 |
|
|
|
8,021,581 |
|
Oregon School Boards Association GO AMBAC, 4.76%, 06/30/28 |
|
|
|
|
|
|
4,460 |
|
|
|
4,911,263 |
|
Oxnard School District GO BAM, 5.00%, 08/01/45 |
|
|
|
|
|
|
1,270 |
|
|
|
1,499,768 |
|
Palm Beach County School District GO, 5.00%, 08/01/26 |
|
|
|
|
|
|
4,900 |
|
|
|
5,984,223 |
|
Pennsylvania Economic Development Financing Authority RB: |
|
|
|
|
|
|
|
|
|
|
|
|
5.00%, 12/31/22 |
|
|
|
|
|
|
1,000 |
|
|
|
1,125,700 |
|
5.00%, 12/31/38 |
|
|
|
|
|
|
320 |
|
|
|
361,773 |
|
Pennsylvania Turnpike Commission RB: |
|
|
|
|
|
|
|
|
|
|
|
|
5.00%, 06/01/42 |
|
|
|
|
|
|
830 |
|
|
|
943,328 |
|
5.25%, 06/01/47 |
|
|
|
|
|
|
830 |
|
|
|
963,638 |
|
Permanent University Fund University of Texas System RB, 3.38%, 07/01/47 |
|
|
|
|
|
|
3,945 |
|
|
|
3,962,516 |
|
Port Authority of New York & New Jersey RB: |
|
|
|
|
|
|
|
|
|
|
|
|
4.96%, 08/01/46 |
|
|
|
|
|
|
1,970 |
|
|
|
2,441,579 |
|
5.00%, 11/15/47 |
|
|
|
|
|
|
860 |
|
|
|
1,009,133 |
|
4.93%, 10/01/51 |
|
|
|
|
|
|
1,045 |
|
|
|
1,291,223 |
|
4.46%, 10/01/62 |
|
|
|
|
|
|
3,505 |
|
|
|
4,047,329 |
|
4.81%, 10/15/65 |
|
|
|
|
|
|
1,740 |
|
|
|
2,119,616 |
|
Public Power Generation Agency RB, 5.00%, 01/01/35 |
|
|
|
|
|
|
1,070 |
|
|
|
1,243,351 |
|
Regents of the University of California Medical Center Pooled Revenue RB: |
|
|
|
|
|
|
|
|
|
|
|
|
6.40%, 05/15/31 |
|
|
|
|
|
|
2,040 |
|
|
|
2,580,886 |
|
6.58%, 05/15/49 |
|
|
|
|
|
|
2,860 |
|
|
|
4,023,248 |
|
Richardson Independent School District GO PSF, 5.00%, 02/15/42 |
|
|
|
|
|
|
1,700 |
|
|
|
1,992,706 |
|
Royal Oak Hospital Finance Authority RB, 5.00%, 09/01/39 |
|
|
|
|
|
|
1,160 |
|
|
|
1,293,957 |
|
Salt Lake City Corp. Airport Revenue RB: |
|
|
|
|
|
|
|
|
|
|
|
|
5.00%, 07/01/47 |
|
|
|
|
|
|
2,960 |
|
|
|
3,432,712 |
|
5.00%, 07/01/47 |
|
|
|
|
|
|
1,100 |
|
|
|
1,294,513 |
|
Salt River Project Agricultural Improvement & Power District RB: |
|
|
|
|
|
|
|
|
|
|
|
|
5.00%, 01/01/30 |
|
|
|
|
|
|
750 |
|
|
|
936,728 |
|
5.00%, 01/01/31 |
|
|
|
|
|
|
370 |
|
|
|
458,375 |
|
5.00%, 01/01/34 |
|
|
|
|
|
|
940 |
|
|
|
1,152,280 |
|
5.00%, 01/01/35 |
|
|
|
|
|
|
510 |
|
|
|
623,654 |
|
5.00%, 01/01/36 |
|
|
|
|
|
|
1,110 |
|
|
|
1,355,166 |
|
5.00%, 12/01/36 |
|
|
|
|
|
|
1,280 |
|
|
|
1,508,506 |
|
5.00%, 01/01/37 |
|
|
|
|
|
|
2,890 |
|
|
|
3,519,760 |
|
5.00%, 01/01/38 |
|
|
|
|
|
|
1,400 |
|
|
|
1,702,302 |
|
5.00%, 01/01/39 |
|
|
|
|
|
|
1,020 |
|
|
|
1,239,249 |
|
San Antonio Education Facilities Corp. RB, 5.00%, 06/01/47 |
|
|
|
|
|
|
2,480 |
|
|
|
2,919,605 |
|
San Diego Public Facilities Financing Authority Sewer Revenue RB, 5.00%, 05/15/39 |
|
|
|
|
|
|
1,250 |
|
|
|
1,487,688 |
|
San Diego Unified School District GO: |
|
|
|
|
|
|
|
|
|
|
|
|
5.00%, 07/01/41 |
|
|
|
|
|
|
2,370 |
|
|
|
2,870,236 |
|
5.00%, 07/01/47 |
|
|
|
|
|
|
1,800 |
|
|
|
2,171,484 |
|
San Francisco City & County Airport Comm-San Francisco International Airport RB: |
|
|
|
|
|
|
|
|
|
|
|
|
5.00%, 05/01/41 |
|
|
|
|
|
|
1,690 |
|
|
|
1,956,243 |
|
5.00%, 05/01/46 |
|
|
|
|
|
|
830 |
|
|
|
957,438 |
|
San Francisco City & County Airport RB, 5.00%, 05/01/47 |
|
|
|
|
|
|
1,890 |
|
|
|
2,208,900 |
|
San Jose Redevelopment Agency Successor Agency TA: |
|
|
|
|
|
|
|
|
|
|
|
|
2.96%, 08/01/24 |
|
|
|
|
|
|
7,265 |
|
|
|
7,252,504 |
|
3.13%, 08/01/28 |
|
|
|
|
|
|
4,275 |
|
|
|
4,181,036 |
|
3.25%, 08/01/29 |
|
|
|
|
|
|
3,585 |
|
|
|
3,533,376 |
|
South Carolina Public Service Authority RB: |
|
|
|
|
|
|
|
|
|
|
|
|
2.39%, 12/01/23 |
|
|
|
|
|
|
2,692 |
|
|
|
2,562,703 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
|
|
|
Par (000) |
|
|
Value |
|
South Carolina Public Service Authority RB: (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
5.00%, 12/01/24 |
|
|
USD |
|
|
|
950 |
|
|
$ |
1,116,336 |
|
5.00%, 12/01/25 |
|
|
|
|
|
|
1,560 |
|
|
|
1,840,800 |
|
5.00%, 12/01/26 |
|
|
|
|
|
|
460 |
|
|
|
539,727 |
|
5.00%, 12/01/27 |
|
|
|
|
|
|
560 |
|
|
|
661,870 |
|
5.00%, 12/01/28 |
|
|
|
|
|
|
1,120 |
|
|
|
1,303,389 |
|
5.00%, 12/01/28 |
|
|
|
|
|
|
570 |
|
|
|
668,513 |
|
5.00%, 12/01/29 |
|
|
|
|
|
|
1,030 |
|
|
|
1,202,947 |
|
5.00%, 12/01/31 |
|
|
|
|
|
|
400 |
|
|
|
466,904 |
|
5.00%, 12/01/32 |
|
|
|
|
|
|
560 |
|
|
|
651,274 |
|
5.00%, 12/01/46 |
|
|
|
|
|
|
830 |
|
|
|
933,451 |
|
5.00%, 12/01/49 |
|
|
|
|
|
|
1,730 |
|
|
|
1,925,058 |
|
5.00%, 12/01/50 |
|
|
|
|
|
|
1,730 |
|
|
|
1,942,461 |
|
State Board of Administration Finance Corp. RB: |
|
|
|
|
|
|
|
|
|
|
|
|
3.00%, 07/01/20 |
|
|
|
|
|
|
3,770 |
|
|
|
3,819,349 |
|
2.64%, 07/01/21 |
|
|
|
|
|
|
4,400 |
|
|
|
4,404,532 |
|
State of California GO: |
|
|
|
|
|
|
|
|
|
|
|
|
5.00%, 09/01/27 |
|
|
|
|
|
|
250 |
|
|
|
309,815 |
|
7.50%, 04/01/34 |
|
|
|
|
|
|
2,210 |
|
|
|
3,272,612 |
|
7.55%, 04/01/39 |
|
|
|
|
|
|
3,715 |
|
|
|
5,845,961 |
|
7.30%, 10/01/39 |
|
|
|
|
|
|
820 |
|
|
|
1,223,325 |
|
7.35%, 11/01/39 |
|
|
|
|
|
|
1,320 |
|
|
|
1,980,950 |
|
7.60%, 11/01/40 |
|
|
|
|
|
|
6,115 |
|
|
|
9,765,227 |
|
State of Delaware GO, 5.00%, 01/01/24 |
|
|
|
|
|
|
1,180 |
|
|
|
1,399,551 |
|
State of Georgia GO, 5.00%, 07/01/26 |
|
|
|
|
|
|
855 |
|
|
|
1,062,765 |
|
State of Illinois GO, 5.10%, 06/01/33 |
|
|
|
|
|
|
8,190 |
|
|
|
8,176,405 |
|
State of Kansas Department of Transportation RB, 5.00%, 09/01/35 |
|
|
|
|
|
|
930 |
|
|
|
1,098,981 |
|
State of Maryland GO: |
|
|
|
|
|
|
|
|
|
|
|
|
5.00%, 08/01/24 |
|
|
|
|
|
|
4,670 |
|
|
|
5,593,025 |
|
5.00%, 08/01/26 |
|
|
|
|
|
|
1,600 |
|
|
|
1,988,000 |
|
State of Ohio GO: |
|
|
|
|
|
|
|
|
|
|
|
|
5.00%, 05/01/27 |
|
|
|
|
|
|
1,740 |
|
|
|
2,094,107 |
|
5.00%, 05/01/30 |
|
|
|
|
|
|
1,180 |
|
|
|
1,413,923 |
|
5.00%, 03/15/32 |
|
|
|
|
|
|
2,380 |
|
|
|
2,771,677 |
|
5.00%, 05/01/32 |
|
|
|
|
|
|
1,580 |
|
|
|
1,877,846 |
|
State of Texas GO, 5.00%, 10/01/36 |
|
|
|
|
|
|
4,970 |
|
|
|
5,928,464 |
|
State of Texas RB, 4.00%, 08/30/18 |
|
|
|
|
|
|
9,310 |
|
|
|
9,463,615 |
|
State of Washington GO: |
|
|
|
|
|
|
|
|
|
|
|
|
5.00%, 07/01/28 |
|
|
|
|
|
|
480 |
|
|
|
572,520 |
|
5.00%, 08/01/28 |
|
|
|
|
|
|
1,000 |
|
|
|
1,219,520 |
|
5.00%, 08/01/29 |
|
|
|
|
|
|
1,000 |
|
|
|
1,215,160 |
|
5.00%, 07/01/30 |
|
|
|
|
|
|
5,390 |
|
|
|
6,390,330 |
|
5.00%, 08/01/30 |
|
|
|
|
|
|
1,000 |
|
|
|
1,209,080 |
|
5.00%, 08/01/40 |
|
|
|
|
|
|
2,720 |
|
|
|
3,211,422 |
|
5.00%, 08/01/40 |
|
|
|
|
|
|
2,375 |
|
|
|
2,826,630 |
|
5.00%, 08/01/40 |
|
|
|
|
|
|
1,120 |
|
|
|
1,332,979 |
|
5.00%, 02/01/41 |
|
|
|
|
|
|
1,880 |
|
|
|
2,219,378 |
|
5.00%, 08/01/41 |
|
|
|
|
|
|
2,585 |
|
|
|
3,074,160 |
|
5.00%, 08/01/41 |
|
|
|
|
|
|
1,175 |
|
|
|
1,397,345 |
|
5.00%, 08/01/42 |
|
|
|
|
|
|
2,820 |
|
|
|
3,351,006 |
|
5.00%, 08/01/42 |
|
|
|
|
|
|
1,245 |
|
|
|
1,479,433 |
|
State of Wisconsin GO: |
|
|
|
|
|
|
|
|
|
|
|
|
5.00%, 11/01/29 |
|
|
|
|
|
|
2,960 |
|
|
|
3,652,581 |
|
5.00%, 11/01/31 |
|
|
|
|
|
|
2,890 |
|
|
|
3,533,458 |
|
5.00%, 05/01/32 |
|
|
|
|
|
|
1,040 |
|
|
|
1,232,182 |
|
5.00%, 05/01/33 |
|
|
|
|
|
|
940 |
|
|
|
1,110,920 |
|
5.00%, 11/01/33 |
|
|
|
|
|
|
1,520 |
|
|
|
1,845,645 |
|
5.00%, 05/01/34 |
|
|
|
|
|
|
1,220 |
|
|
|
1,438,221 |
|
5.00%, 05/01/36 |
|
|
|
|
|
|
1,520 |
|
|
|
1,786,289 |
|
5.00%, 05/01/38 |
|
|
|
|
|
|
1,530 |
|
|
|
1,792,426 |
|
State of Wisconsin RB, 3.15%, 05/01/27 |
|
|
|
|
|
|
4,780 |
|
|
|
4,846,824 |
|
Sumter Landing Community Development
|
|
|
|
|
|
|
|
|
|
|
|
|
District RB,4.17%, 10/01/47 |
|
|
|
|
|
|
920 |
|
|
|
997,446 |
|
Texas A&M University RB: |
|
|
|
|
|
|
|
|
|
|
|
|
2.76%, 05/15/26 |
|
|
|
|
|
|
5,045 |
|
|
|
4,943,242 |
|
|
|
|
36 |
|
2017 BLACKROCK QUARTERLY REPORT TO SHAREHOLDERS |
|
|
|
Consolidated Schedule of Investments (unaudited) (continued) |
|
Master Total Return Portfolio of Master Bond LLC |
December 31, 2017 |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
|
|
|
Par (000) |
|
|
Value |
|
Texas A&M University RB: (continued) 2.84%, 05/15/27 |
|
|
USD |
|
|
|
2,240 |
|
|
$ |
2,200,845 |
|
Texas Municipal Gas Acquisition & Supply Corp. RB, 6.25%, 12/15/26 |
|
|
|
|
|
|
850 |
|
|
|
1,021,088 |
|
Texas Private Activity Bond Surface Transportation Corp. RB, 5.00%, 12/31/55 |
|
|
|
|
|
|
370 |
|
|
|
408,140 |
|
Texas Water Development Board RB: |
|
|
|
|
|
|
|
|
|
|
|
|
5.00%, 10/15/40 |
|
|
|
|
|
|
1,590 |
|
|
|
1,871,971 |
|
5.00%, 10/15/42 |
|
|
|
|
|
|
3,100 |
|
|
|
3,735,934 |
|
5.00%, 10/15/45 |
|
|
|
|
|
|
1,360 |
|
|
|
1,592,778 |
|
Tobacco Settlement Finance Authority RB, 7.47%, 06/01/47 |
|
|
|
|
|
|
6,770 |
|
|
|
6,580,508 |
|
Tobacco Settlement Financing Corp. RB: |
|
|
|
|
|
|
|
|
|
|
|
|
5.00%, 06/01/41 |
|
|
|
|
|
|
3,580 |
|
|
|
3,474,104 |
|
6.71%, 06/01/46 |
|
|
|
|
|
|
3,325 |
|
|
|
2,998,285 |
|
TSASC, Inc. RB, 5.00%, 06/01/41 |
|
|
|
|
|
|
1,700 |
|
|
|
1,910,171 |
|
United Independent School District GO PSF, 5.00%, 08/15/47 |
|
|
|
|
|
|
1,510 |
|
|
|
1,798,153 |
|
University of California RB: |
|
|
|
|
|
|
|
|
|
|
|
|
3.06%, 07/01/25 |
|
|
|
|
|
|
1,865 |
|
|
|
1,885,310 |
|
4.60%, 05/15/31 |
|
|
|
|
|
|
1,950 |
|
|
|
2,167,347 |
|
5.00%, 05/15/47 |
|
|
|
|
|
|
2,300 |
|
|
|
2,749,880 |
|
4.86%, 05/15/12 |
|
|
|
|
|
|
1,415 |
|
|
|
1,579,480 |
|
University of Houston RB: |
|
|
|
|
|
|
|
|
|
|
|
|
5.00%, 02/15/33 |
|
|
|
|
|
|
955 |
|
|
|
1,124,770 |
|
5.00%, 02/15/34 |
|
|
|
|
|
|
875 |
|
|
|
1,027,749 |
|
5.00%, 02/15/35 |
|
|
|
|
|
|
1,990 |
|
|
|
2,332,638 |
|
5.00%, 02/15/36 |
|
|
|
|
|
|
2,560 |
|
|
|
2,996,685 |
|
University of Massachusetts Building Authority RB, 5.00%, 11/01/31 |
|
|
|
|
|
|
1,190 |
|
|
|
1,419,872 |
|
University of Virginia RB: |
|
|
|
|
|
|
|
|
|
|
|
|
5.00%, 04/01/44 |
|
|
|
|
|
|
1,970 |
|
|
|
2,372,392 |
|
5.00%, 04/01/46 |
|
|
|
|
|
|
1,820 |
|
|
|
2,188,423 |
|
4.18%, 09/01/99 |
|
|
|
|
|
|
2,470 |
|
|
|
2,575,765 |
|
Virginia Commonwealth Transportation Board RB: |
|
|
|
|
|
|
|
|
|
|
|
|
5.00%, 03/15/25 |
|
|
|
|
|
|
1,880 |
|
|
|
2,263,388 |
|
5.00%, 03/15/26 |
|
|
|
|
|
|
2,370 |
|
|
|
2,899,174 |
|
5.00%, 09/15/26 |
|
|
|
|
|
|
2,800 |
|
|
|
3,450,020 |
|
Virginia Small Business Financing Authority RB, 5.00%, 12/31/56 |
|
|
|
|
|
|
2,190 |
|
|
|
2,447,719 |
|
Weld County School District No. RE-4 GO, 5.25%, 12/01/41 |
|
|
|
|
|
|
1,560 |
|
|
|
1,888,286 |
|
West Virginia Hospital Finance Authority RB: |
|
|
|
|
|
|
|
|
|
|
|
|
5.00%, 06/01/19 |
|
|
|
|
|
|
895 |
|
|
|
934,711 |
|
5.00%, 06/01/20 |
|
|
|
|
|
|
965 |
|
|
|
1,033,592 |
|
5.00%, 06/01/21 |
|
|
|
|
|
|
960 |
|
|
|
1,052,496 |
|
5.00%, 06/01/22 |
|
|
|
|
|
|
1,050 |
|
|
|
1,177,375 |
|
5.00%, 06/01/23 |
|
|
|
|
|
|
870 |
|
|
|
993,853 |
|
5.00%, 06/01/24 |
|
|
|
|
|
|
935 |
|
|
|
1,087,751 |
|
Wisconsin Health & Educational Facilities Authority RB, 5.00%, 12/15/44 |
|
|
|
|
|
|
790 |
|
|
|
874,972 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Taxable Municipal Bonds 5.6% (Cost: $688,315,067) |
|
|
|
|
|
|
|
|
|
|
695,301,883 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Government Sponsored Agency Securities 67.2% |
|
Agency Obligations 0.1% |
|
|
|
|
|
|
|
|
|
Fannie Mae 6.63%, 11/15/30 |
|
|
|
|
|
|
1,450 |
|
|
|
2,039,144 |
|
Freddie Mac: |
|
|
|
|
|
|
|
|
|
|
|
|
4.88%, 06/13/18 |
|
|
|
|
|
|
4,300 |
|
|
|
4,362,380 |
|
3.75%, 03/27/19 |
|
|
|
|
|
|
3,650 |
|
|
|
3,735,352 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,136,876 |
|
Collateralized Mortgage Obligations 0.6% |
|
|
|
|
Fannie Mae: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2005-48, Class AR, 5.50%, 02/25/35 . |
|
|
|
|
|
|
4 |
|
|
|
3,828 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
|
|
|
Par (000) |
|
|
Value |
|
Collateralized Mortgage Obligations (continued) |
|
Fannie Mae: (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2017-C05, Class 1M2, (1 mo. LIBOR US + 2.200 %),
3.75%, 01/25/30(a) |
|
|
USD |
|
|
|
2,245 |
|
|
$ |
2,268,288 |
|
Series 2017-C04, Class 2M2, (1 mo. LIBOR US + 2.850 %),
4.40%, 11/25/29(a) |
|
|
|
|
|
|
1,585 |
|
|
|
1,647,670 |
|
Series 2017-C03, Class 1M2, (1 mo. LIBOR US +
3.000 %), 4.55%, 10/25/29(a) |
|
|
|
|
|
|
676 |
|
|
|
711,084 |
|
Series 2017-C01, Class 1M2, (1 mo. LIBOR US + 3.550 %),
5.10%, 07/25/29(a) |
|
|
|
|
|
|
3,204 |
|
|
|
3,481,916 |
|
Series 2017-C05, Class 1B1, (1 mo. LIBOR US + 3.600 %),
5.15%, 01/25/30(a) |
|
|
|
|
|
|
3,850 |
|
|
|
3,835,350 |
|
Series 2017-C07, Class 1B1, (1 mo. LIBOR US + 4.000 %),
5.55%, 05/25/30(a) |
|
|
|
|
|
|
3,464 |
|
|
|
3,591,868 |
|
Series 2016-C04, Class 1M2, (1 mo. LIBOR US + 4.250 %),
5.80%, 01/25/29(a) |
|
|
|
|
|
|
4,553 |
|
|
|
5,159,129 |
|
Series 2016-C06, Class 1M2, (1 mo. LIBOR US + 4.250 %),
5.80%, 04/25/29(a) |
|
|
|
|
|
|
4,038 |
|
|
|
4,592,982 |
|
Series 2017-C03, Class 1B1, (1 mo. LIBOR US + 4.850 %),
6.40%, 10/25/29(a) |
|
|
|
|
|
|
9,530 |
|
|
|
10,419,855 |
|
Series 2017-C01, Class 1B1, (1 mo. LIBOR US + 5.750 %),
7.30%, 07/25/29(a) |
|
|
|
|
|
|
1,713 |
|
|
|
1,995,892 |
|
Series 2016-C02, Class 1M2, (1 mo. LIBOR US + 6.000 %),
7.55%, 09/25/28(a) |
|
|
|
|
|
|
640 |
|
|
|
759,737 |
|
Freddie Mac: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2015-DN1, Class B, (1 mo. LIBOR US + 11.500 %),
13.05%, 01/25/25(a) |
|
|
|
|
|
|
504 |
|
|
|
730,542 |
|
Series 2017-HRP1, Class M2, (1 mo. LIBOR US + 2.450 %), 3.86%, 12/25/42(a) |
|
|
|
|
|
|
810 |
|
|
|
827,406 |
|
Series 2017-DNA3, Class M2, (1 mo. LIBOR US + 2.500 %), 4.05%, 03/25/30(a) |
|
|
|
|
|
|
7,630 |
|
|
|
7,902,371 |
|
Series 2017-HQA2, Class M2, (1 mo. LIBOR US + 2.650 %), 4.20%, 12/25/29(a) |
|
|
|
|
|
|
2,959 |
|
|
|
3,059,893 |
|
Series 2017-DNA1, Class M2, (1 mo. LIBOR US + 3.250 %), 4.80%, 07/25/29(a) |
|
|
|
|
|
|
3,290 |
|
|
|
3,525,712 |
|
Series 2017-DNA2, Class M2, (1 mo. LIBOR US + 3.450 %), 5.00%, 10/25/29(a) |
|
|
|
|
|
|
4,004 |
|
|
|
4,355,738 |
|
Series 2016-DNA4, Class M3, (1 mo. LIBOR US + 3.800 %), 5.35%, 03/25/29(a) |
|
|
|
|
|
|
3,200 |
|
|
|
3,571,729 |
|
Series 2017-DNA3, Class B1, (1 mo. LIBOR US + 4.450 %), 6.00%, 03/25/30(a) |
|
|
|
|
|
|
3,870 |
|
|
|
4,146,068 |
|
Series 2017-DNA2, Class B1, (1 mo. LIBOR US + 5.150 %), 6.70%, 10/25/29(a) |
|
|
|
|
|
|
2,180 |
|
|
|
2,427,200 |
|
Series 2015-HQ2, Class B, (1 mo. LIBOR US + 7.950 %),
9.50%, 05/25/25(a) |
|
|
|
|
|
|
530 |
|
|
|
651,011 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
69,665,269 |
|
Commercial Mortgage-Backed Securities 0.1% |
|
Fannie Mae: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2006-M2, Class A2A, 5.27%, 10/25/32(e) |
|
|
|
|
|
|
2,229 |
|
|
|
2,383,411 |
|
Series 2015-M10, Class A2, 3.09%, 04/25/27(e) |
|
|
|
|
|
|
1,000 |
|
|
|
1,012,892 |
|
Series 2017-M8, Class A2, 3.06%, 05/25/27(e) |
|
|
|
|
|
|
1,056 |
|
|
|
1,068,495 |
|
Freddie Mac: |
|
|
|
|
|
|
|
|
|
|
|
|
Series K034, Class A2, 3.53%, 07/25/23(e) |
|
|
|
|
|
|
1,220 |
|
|
|
1,281,446 |
|
Series K058, Class A2, 2.65%, 08/25/26 |
|
|
|
|
|
|
1,160 |
|
|
|
1,146,372 |
|
Series K059, Class A2, 3.12%, 09/25/26(e) |
|
|
|
|
|
|
2,860 |
|
|
|
2,923,346 |
|
Series K060, Class A2, 3.30%, 10/25/26 |
|
|
|
|
|
|
1,220 |
|
|
|
1,264,045 |
|
Series K061, Class A2, 3.35%, 11/25/26(e) |
|
|
|
|
|
|
1,400 |
|
|
|
1,455,707 |
|
Series K062, Class A2, 3.41%, 12/25/26 |
|
|
|
|
|
|
237 |
|
|
|
247,017 |
|
Series K069, Class A2, 3.19%, 09/25/27(e) |
|
|
|
|
|
|
1,170 |
|
|
|
1,199,749 |
|
Series KPLB, Class A, 2.77%, 05/25/25 |
|
|
|
|
|
|
2,700 |
|
|
|
2,691,702 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
16,674,182 |
|
|
|
|
|
|
CONSOLIDATED SCHEDULE OF INVESTMENTS |
|
|
37 |
|
|
|
|
Consolidated Schedule of Investments (unaudited) (continued) |
|
Master Total Return Portfolio of Master Bond LLC |
December 31, 2017 |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
|
|
|
Par (000) |
|
|
Value |
|
Interest Only Commercial Mortgage-Backed Securities 0.2% |
|
Fannie Mae: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2013-M5, Class X2, 2.18%, 01/25/22(e) |
|
|
USD |
|
|
|
10,385 |
|
|
$ |
515,125 |
|
Series 2014-M13, Class X2, 0.13%, 08/25/24(e) |
|
|
|
|
|
|
120,070 |
|
|
|
971,958 |
|
Series 2015-M4, Class X2, 0.56%, 07/25/22(e) |
|
|
|
|
|
|
38,898 |
|
|
|
810,989 |
|
Series 2016-M4, Class X2, 2.70%, 01/25/39(e) |
|
|
|
|
|
|
13,242 |
|
|
|
1,503,302 |
|
Series 2017-M12, Class X, 0.33%, 06/25/27(e) |
|
|
|
|
|
|
16,448 |
|
|
|
364,949 |
|
Freddie Mac: |
|
|
|
|
|
|
|
|
|
|
|
|
Series K045, Class X1, 0.46%, 01/25/25(e)
|
|
|
|
|
|
|
13,985 |
|
|
|
384,861 |
|
Series K056, Class X1, 1.27%, 05/25/26(e)
|
|
|
|
|
|
|
9,850 |
|
|
|
848,642 |
|
Series K064, Class X1, 0.61%, 03/25/27(e)
|
|
|
|
|
|
|
26,616 |
|
|
|
1,266,441 |
|
Series K065, Class X1, 0.68%, 04/25/27(e)
|
|
|
|
|
|
|
46,823 |
|
|
|
2,483,065 |
|
Series K718, Class X1, 0.64%, 01/25/22(e)
|
|
|
|
|
|
|
5,981 |
|
|
|
132,968 |
|
Series K721, Class X1, 0.34%, 08/25/22(e)
|
|
|
|
|
|
|
12,790 |
|
|
|
167,283 |
|
Series KIR1, Class X, 1.09%, 03/25/26(e)
|
|
|
|
|
|
|
9,176 |
|
|
|
651,627 |
|
Series KW03, Class X1, 0.85%, 06/25/27(e)
|
|
|
|
|
|
|
7,736 |
|
|
|
463,930 |
|
Ginnie Mae: |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2012-120, Class IO, 0.79%, 02/16/53(e) |
|
|
|
|
|
|
15,846 |
|
|
|
705,134 |
|
Series 2012-23, Class IO, 0.72%, 06/16/53(e) |
|
|
|
|
|
|
4,117 |
|
|
|
113,510 |
|
Series 2013-191, Class IO, 0.76%, 11/16/53(e) |
|
|
|
|
|
|
2,990 |
|
|
|
107,595 |
|
Series 2014-40, Class AI, 1.00%, 02/16/39 |
|
|
|
|
|
|
8,841 |
|
|
|
203,874 |
|
Series 2014-52, Class AI, 0.83%, 08/16/41 |
|
|
|
|
|
|
6,202 |
|
|
|
147,928 |
|
Series 2015-173, Class IO, 0.90%, 09/16/55(e) |
|
|
|
|
|
|
6,890 |
|
|
|
456,781 |
|
Series 2015-22, Class IO, 0.73%, 03/16/55(e) |
|
|
|
|
|
|
11,122 |
|
|
|
616,842 |
|
Series 2015-48, Class IO, 0.68%, 02/16/50(e) |
|
|
|
|
|
|
5,908 |
|
|
|
298,127 |
|
Series 2016-110, Class IO, 1.04%, 05/16/58(e) |
|
|
|
|
|
|
6,570 |
|
|
|
534,146 |
|
Series 2016-119, Class IO, 1.13%, 10/16/52(e) |
|
|
|
|
|
|
10,150 |
|
|
|
837,592 |
|
Series 2016-125, Class IO, 1.06%, 12/16/57(e) |
|
|
|
|
|
|
9,337 |
|
|
|
702,653 |
|
Series 2016-152, Class IO, 0.98%, 08/15/58(e) |
|
|
|
|
|
|
18,381 |
|
|
|
1,425,013 |
|
Series 2016-158, Class IO, 0.91%, 06/16/58(e) |
|
|
|
|
|
|
6,605 |
|
|
|
492,294 |
|
Series 2016-87, Class IO, 1.01%, 08/16/58(e) |
|
|
|
|
|
|
9,342 |
|
|
|
713,108 |
|
Series 2017-100, Class IO, 0.81%, 05/16/59(e) |
|
|
|
|
|
|
8,904 |
|
|
|
611,157 |
|
Series 2017-111, Class IO, 0.74%, 02/16/59(e) |
|
|
|
|
|
|
21,241 |
|
|
|
1,575,448 |
|
Series 2017-151, Class IO, 0.71%, 09/16/57(d)(e) |
|
|
|
|
|
|
13,770 |
|
|
|
903,205 |
|
Series 2017-173, Class IO, 1.37%, 09/16/57(e) |
|
|
|
|
|
|
8,487 |
|
|
|
812,121 |
|
Series 2017-69, Class IO, 0.80%, 07/16/59(e) |
|
|
|
|
|
|
5,685 |
|
|
|
402,345 |
|
Series 2017-86, Class IO, 0.77%, 05/16/59(e) |
|
|
|
|
|
|
6,161 |
|
|
|
432,136 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
22,656,149 |
|
Mortgage-Backed Securities 66.2% |
|
Fannie Mae Mortgage-Backed Securities: |
|
|
|
|
|
|
|
|
|
|
|
|
5.00%,
05/01/23-01/01/48(u) |
|
|
|
|
|
|
58,584 |
|
|
|
63,340,289 |
|
4.00%,
01/01/25-01/01/57(q)(u)(v) |
|
|
|
|
|
|
1,606,776 |
|
|
|
1,686,101,118 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
|
|
|
Par (000) |
|
|
Value |
|
Mortgage-Backed Securities (continued) |
|
Fannie Mae Mortgage-Backed Securities: (continued) |
|
4.50%,
02/01/25-02/01/57(u) |
|
|
USD |
|
|
|
413,765 |
|
|
$ |
445,375,800 |
|
3.50%,
08/01/26-01/01/48(u) |
|
|
|
|
|
|
504,486 |
|
|
|
521,624,118 |
|
3.00%,
01/01/27-01/01/48(v) |
|
|
|
|
|
|
1,751,621 |
|
|
|
1,762,595,773 |
|
2.50%,
09/01/27-01/01/33(d) |
|
|
|
|
|
|
768,234 |
|
|
|
767,763,553 |
|
5.50%,
12/01/32-01/01/47(u) |
|
|
|
|
|
|
34,595 |
|
|
|
38,301,753 |
|
6.00%,
02/01/34-01/01/47(u) |
|
|
|
|
|
|
21,013 |
|
|
|
23,512,850 |
|
6.50%, 05/01/40 |
|
|
|
|
|
|
3,896 |
|
|
|
4,355,531 |
|
5.05%, 09/01/44 |
|
|
|
|
|
|
5,089 |
|
|
|
5,521,364 |
|
Freddie Mac Mortgage-Backed Securities: |
|
|
|
|
|
|
|
|
|
|
|
|
2.50%,
02/01/24-01/01/33(q)(u) |
|
|
|
|
|
|
118,765 |
|
|
|
118,976,864 |
|
3.00%,
10/01/27-01/01/48(u) |
|
|
|
|
|
|
442,471 |
|
|
|
444,326,153 |
|
3.50%,
09/01/30-01/01/48(q)(u) |
|
|
|
|
|
|
383,850 |
|
|
|
396,565,324 |
|
5.50%, 02/01/35-06/01/41 |
|
|
|
|
|
|
4,523 |
|
|
|
4,996,944 |
|
5.00%, 07/01/35-11/01/41 |
|
|
|
|
|
|
14,709 |
|
|
|
16,042,411 |
|
4.50%,
02/01/39-01/01/48(u) |
|
|
|
|
|
|
150,274 |
|
|
|
162,017,470 |
|
4.00%,
01/01/40-01/01/48(q)(u)(v) |
|
|
|
|
|
|
247,136 |
|
|
|
260,019,367 |
|
6.00%, 01/01/48(u) |
|
|
|
|
|
|
7,800 |
|
|
|
8,716,195 |
|
Ginnie Mae Mortgage-Backed Securities: |
|
|
|
|
|
|
|
|
|
|
|
|
5.00%, 04/15/33-07/20/44 |
|
|
|
|
|
|
10,500 |
|
|
|
11,398,277 |
|
4.00%,
04/20/39-01/01/48(u) |
|
|
|
|
|
|
793,884 |
|
|
|
827,805,966 |
|
4.50%, 12/20/39-01/01/48 |
|
|
|
|
|
|
67,086 |
|
|
|
70,834,258 |
|
3.50%,
12/20/41-01/01/48(u) |
|
|
|
|
|
|
383,636 |
|
|
|
396,770,601 |
|
5.50%, 01/15/47(u) |
|
|
|
|
|
|
5,800 |
|
|
|
6,256,492 |
|
3.00%, 01/01/48(u) |
|
|
|
|
|
|
129,290 |
|
|
|
130,461,691 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,173,680,162 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total U.S. Government Sponsored Agency Securities 67.2% (Cost:
$8,306,145,031) |
|
|
|
8,292,812,638 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury Obligations 38.3% |
|
U.S. Treasury Bonds: |
|
|
|
|
|
|
|
|
|
|
|
|
4.25%, 05/15/39(q) |
|
|
|
|
|
|
21,157 |
|
|
|
26,741,291 |
|
4.50%, 08/15/39 |
|
|
|
|
|
|
20,531 |
|
|
|
26,819,421 |
|
4.38%, 11/15/39 |
|
|
|
|
|
|
20,611 |
|
|
|
26,519,755 |
|
3.13%, 02/15/43(q)(w) |
|
|
|
|
|
|
82,147 |
|
|
|
88,253,474 |
|
2.88%, 05/15/43-11/15/46 |
|
|
|
|
|
|
106,026 |
|
|
|
108,965,839 |
|
3.63%, 08/15/43(x) |
|
|
|
|
|
|
78,415 |
|
|
|
91,518,882 |
|
3.75%, 11/15/43(q)(v)(x) |
|
|
|
|
|
|
92,327 |
|
|
|
110,009,785 |
|
3.00%, 02/15/47 |
|
|
|
|
|
|
14,938 |
|
|
|
15,709,991 |
|
2.75%, 11/15/47(q) |
|
|
|
|
|
|
194,884 |
|
|
|
195,203,731 |
|
U.S. Treasury Inflation Indexed Notes, 0.13%, 04/15/21-04/15/22(q)(w) |
|
|
|
|
|
|
205,745 |
|
|
|
204,788,054 |
|
U.S. Treasury Notes: |
|
|
|
|
|
|
|
|
|
|
|
|
1.25%,
04/30/19-05/31/19(q) |
|
|
|
|
|
|
495,483 |
|
|
|
491,469,544 |
|
1.75%,
11/30/19-09/30/22(q) |
|
|
|
|
|
|
1,264,179 |
|
|
|
1,256,503,560 |
|
1.50%,
04/15/20-03/31/23(q) |
|
|
|
|
|
|
367,337 |
|
|
|
362,925,387 |
|
2.63%,
08/15/20-11/15/20(q)(w) |
|
|
|
|
|
|
376,523 |
|
|
|
383,269,778 |
|
1.88%,
12/15/20-04/30/22(q) |
|
|
|
|
|
|
198,475 |
|
|
|
196,584,032 |
|
1.63%, 11/15/22-04/30/23 |
|
|
|
|
|
|
107,726 |
|
|
|
104,822,490 |
|
2.00%,
11/30/22-11/15/26(q)(w)(x) |
|
|
|
|
|
|
678,186 |
|
|
|
666,576,750 |
|
2.13%,
11/30/24-05/15/25(q) |
|
|
|
|
|
|
153,328 |
|
|
|
151,231,555 |
|
2.25%,
11/15/25-11/15/27(q)(x) |
|
|
|
|
|
|
216,095 |
|
|
|
213,353,667 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total U.S. Treasury Obligations 38.3% (Cost: $4,729,387,625) |
|
|
|
4,721,266,986 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Long-Term Investments 168.0% (Cost: $20,660,172,668) |
|
|
|
20,729,496,617 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
38 |
|
2017 BLACKROCK QUARTERLY REPORT TO SHAREHOLDERS |
|
|
|
Consolidated Schedule of Investments (unaudited) (continued) |
|
Master Total Return Portfolio of Master Bond LLC |
December 31, 2017 |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
|
|
|
Par (000) |
|
|
Value |
|
Short-Term Securities 0.9% |
|
|
Borrowed Bond Agreements 0.9%(y) |
|
Barclays Bank PLC, (0.95)%, Open(z) (Purchased on
10/20/17 to be repurchased at EUR 405,472, collateralized by Dufry One Bv, 2.50% due at 10/15/24, par and fair value of EUR 400,000 and $488,336, respectively) |
|
|
EUR |
|
|
|
406 |
|
|
$ |
487,392 |
|
Barclays Bank PLC, (0.95)%, Open(z) (Purchased on
10/19/17 to be repurchased at EUR 507,015, collateralized by Dufry One Bv, 2.50% due at 10/15/24, par and fair value of EUR 500,000 and $610,419, respectively) |
|
|
|
|
|
|
508 |
|
|
|
609,450 |
|
Barclays Bank PLC, (0.95)%, Open (z) (Purchased on
10/19/17 to be repurchased at EUR 304,044, collateralized by Dufry One Bv, 2.50% due at 10/15/24, par and fair value of EUR 300,000 and $366,252, respectively) |
|
|
|
|
|
|
305 |
|
|
|
365,472 |
|
Barclays Bank PLC, (0.70)%, Open(z) (Purchased on
02/06/17 to be repurchased at EUR 2,775,653, collateralized by Kingdom of Spain, 5.40% due at 01/31/23, par and fair value of EUR 2,200,000 and $3,298,094, respectively) |
|
|
|
|
|
|
2,793 |
|
|
|
3,351,667 |
|
Barclays Bank PLC, (0.25)%, Open(z) (Purchased on
10/18/17 to be repurchased at $520,982, collateralized by Bank of Communications Co. Ltd., 5.00% (n), par and fair value of USD 500,000 and $506,500, respectively) |
|
|
USD |
|
|
|
521 |
|
|
|
521,250 |
|
Barclays Bank PLC, 0.20%, Open(z) (Purchased on
06/09/17 to be repurchased at GBP 23,659,404, collateralized by United Kingdom Gilt Inflation Linked Bonds, 0.13% due at 03/22/26, par and fair value of GBP 20,022,302 and $31,817,966, respectively) |
|
|
GBP |
|
|
|
23,633 |
|
|
|
31,907,693 |
|
Barclays Bank PLC, 0.90%, Open(z) (Purchased on
10/31/17 to be repurchased at $1,459,937, collateralized by Deutsche Bank AG, 6.25% (n), par and fair value of USD 1,400,000 and $1,396,360, respectively) |
|
|
USD |
|
|
|
1,458 |
|
|
|
1,457,750 |
|
Barclays Capital, Inc., (2.00)%, Open(z) (Purchased
on 10/23/17 to be repurchased at $1,279,875, collateralized by K Hovnanian Enterprises, Inc., 7.00% due at 01/15/19, par and fair value of USD 1,280,000 and $1,264,000, respectively) |
|
|
|
|
|
|
1,285 |
|
|
|
1,284,800 |
|
Barclays Capital, Inc., (0.25)%, Open(z) (Purchased
on 10/16/17 to be repurchased at $2,177,785, collateralized by Cemex SAB de CV, 7.75% due at 04/16/26, par and fair value of USD 1,903,000 and $2,155,148, respectively) |
|
|
|
|
|
|
2,179 |
|
|
|
2,178,935 |
|
Barclays Capital, Inc., 0.50%, Open(z) (Purchased on
12/22/17 to be repurchased at $2,057,790, collateralized by Cemex SAB de CV, 5.70% due at 01/11/25, par and fair value of USD 1,903,000 and $2,007,665, respectively) |
|
|
|
|
|
|
2,058 |
|
|
|
2,057,619 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
|
|
|
Par (000) |
|
|
Value |
|
Borrowed Bond Agreements (continued)(y) |
|
Barclays Capital, Inc., 1.00%, Open(z) (Purchased on
06/01/17 to be repurchased at $5,479,026, collateralized by Target Corp., 4.00% due at 07/01/42, par and fair value of USD 5,400,000 and $5,586,865, respectively) |
|
|
USD |
|
|
|
5,447 |
|
|
$ |
5,447,250 |
|
Barclays Capital, Inc., 1.00%, Open(z) (Purchased on
11/07/17 to be repurchased at $2,535,247, collateralized by Vine Oil & Gas LP/Vine Oil & Gas Finance Corp., 8.75% due at 04/15/23, par and fair value of USD 2,570,000 and $2,492,900, respectively) |
|
|
|
|
|
|
2,531 |
|
|
|
2,531,450 |
|
BNP Paribas Securities Corp., (2.86)%,
Open(z) (Purchased on 11/24/17 to be repurchased at EUR 644,971, collateralized by NEW Areva Holding SA, 4.38% due at 11/06/19, par and fair value of EUR 600,000 and $766,702,
respectively) |
|
|
EUR |
|
|
|
647 |
|
|
|
775,962 |
|
BNP Paribas Securities Corp., (1.20)%,
Open(z) (Purchased on 12/13/17 to be repurchased at EUR 310,758, collateralized by Altice Luxembourg SA, 7.25% due at 05/15/22, par and fair value of EUR 300,000 and $364,662,
respectively) |
|
|
|
|
|
|
311 |
|
|
|
373,073 |
|
Citigroup Global Markets, Inc., 0.90%,
Open(z) (Purchased on 10/12/17 to be repurchased at $9,782,163, collateralized by Target Corp., 3.63% due at 04/15/46, par and fair value of USD 10,143,000 and $9,872,305,
respectively) |
|
|
USD |
|
|
|
9,763 |
|
|
|
9,762,638 |
|
Citigroup Global Markets, Inc., 0.90%,
Open(z) (Purchased on 11/02/17 to be repurchased at $2,074,947, collateralized by Ecopetrol SA, 5.38% due at 06/26/26, par and fair value of USD 1,903,000 and $2,054,669, respectively) |
|
|
|
|
|
|
2,072 |
|
|
|
2,071,891 |
|
Citigroup Global Markets, Inc., 1.00%,
Open(z) (Purchased on 11/09/17 to be repurchased at $354,068, collateralized by El Puerto de Liverpool SAB de CV, 3.88% due at 10/06/26, par and fair value of USD 354,000 and $345,150,
respectively) |
|
|
|
|
|
|
354 |
|
|
|
353,558 |
|
Citigroup Global Markets, Inc., 1.10%,
Open(z) (Purchased on 04/24/17 to be repurchased at $7,054,984, collateralized by Walt Disney Co., 4.13% due at 06/01/44, par and fair value of USD 6,700,000 and $7,235,848,
respectively) |
|
|
|
|
|
|
7,002 |
|
|
|
7,001,500 |
|
Citigroup Global Markets, Inc., 1.10%,
Open(z) (Purchased on 06/01/17 to be repurchased at $5,475,410, collateralized by Target Corp., 4.00% due at 07/01/42, par and fair value of USD 5,400,000 and $5,586,865, respectively) |
|
|
|
|
|
|
5,441 |
|
|
|
5,440,500 |
|
Citigroup Global Markets, Inc., 1.10%,
Open(z) (Purchased on 11/03/17 to be repurchased at $5,456,920, collateralized by Netflix, Inc., 4.38% due at 11/15/26, par and fair value of USD 5,420,000 and $5,298,050,
respectively) |
|
|
|
|
|
|
5,447 |
|
|
|
5,447,100 |
|
|
|
|
|
|
CONSOLIDATED SCHEDULE OF INVESTMENTS |
|
|
39 |
|
|
|
|
Consolidated Schedule of Investments (unaudited) (continued) |
|
Master Total Return Portfolio of Master Bond LLC |
December 31, 2017 |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
|
|
|
Par (000) |
|
|
Value |
|
Borrowed Bond Agreements (continued)(y) |
|
Deutsche Bank AG, (1.00)%, Open(z) |
|
|
|
|
|
(Purchased on 01/31/17 to be repurchased at EUR 2,828,178, collateralized by Kingdom of Spain, 5.40% due at
01/31/23, par and fair value of EUR 2,200,000 and $3,298,094, respectively) |
|
|
EUR |
|
|
|
2,855 |
|
|
$ |
3,425,061 |
|
Deutsche Bank AG, (0.25)%, 1/12/18 |
|
|
|
|
|
(Purchased on 11/20/17 to be repurchased at JPY 1,076,610,973, collateralized by Government of Japan (20-Year Bond), 0.60% due at 09/20/37, par and fair value of JPY 1,070,000,000 and $9,561,864, respectively) |
|
|
JPY |
|
|
|
1,076,955 |
|
|
|
9,558,065 |
|
J.P. Morgan Securities PLC, (1.85)%,
Open(z) |
|
|
|
|
|
(Purchased on 10/26/17 to be repurchased at EUR 700,383, collateralized by Wind Tre SpA, 3.13% due at
01/20/25, par and fair value of EUR 700,000 and $817,535, respectively) |
|
|
EUR |
|
|
|
703 |
|
|
|
842,908 |
|
J.P. Morgan Securities PLC, (1.85)%,
Open(z) |
|
|
|
|
|
(Purchased on 10/25/17 to be repurchased at EUR 1,405,526, collateralized by Wind Tre SpA, 3.13% due at
01/20/25, par and fair value of EUR 1,400,000 and $1,635,069, respectively) |
|
|
|
|
|
|
1,410 |
|
|
|
1,691,543 |
|
J.P. Morgan Securities PLC, (1.65)%, Open
(z) |
|
|
|
|
|
(Purchased on 11/28/17 to be repurchased at EUR 760,782, collateralized by Saipem Finance International BV,
3.75% due at 09/08/23, par and fair value of EUR 700,000 and $890,555, respectively) |
|
|
|
|
|
|
762 |
|
|
|
914,162 |
|
J.P. Morgan Securities PLC, (1.35)%,
Open(z) |
|
|
|
|
|
(Purchased on 12/14/17 to be repurchased at EUR 854,344, collateralized by Altice Luxembourg SA, 7.25% due at
05/15/22, par and fair value of EUR 830,000 and $1,008,899, respectively) |
|
|
|
|
|
|
855 |
|
|
|
1,025,620 |
|
J.P. Morgan Securities PLC, (1.35)%,
Open(z) |
|
|
|
|
|
(Purchased on 12/14/17 to be repurchased at EUR 308,583, collateralized by Altice Luxembourg SA, 7.25% due at
05/15/22, par and fair value of EUR 300,000 and $364,662, respectively) |
|
|
|
|
|
|
309 |
|
|
|
370,489 |
|
J.P. Morgan Securities PLC, (1.10)%,
Open(z) |
|
|
|
|
|
(Purchased on 11/28/17 to be repurchased at EUR 102,853, collateralized by Syngenta Finance NV, 1.88% due at
11/02/21, par and fair value of EUR 100,000 and $122,549, respectively) |
|
|
|
|
|
|
103 |
|
|
|
123,529 |
|
J.P. Morgan Securities PLC, (1.00)%,
Open(z) |
|
|
|
|
|
(Purchased on 11/13/17 to be repurchased at EUR 674,647, collateralized by Wind Tre SpA, 2.63% due at
01/20/23, par and fair value of EUR 680,000 and $798,509, respectively) |
|
|
|
|
|
|
676 |
|
|
|
810,531 |
|
J.P. Morgan Securities PLC, 0.25%,
Open(z) |
|
|
|
|
|
(Purchased on 10/04/17 to be repurchased at $546,931, collateralized by Industrial & Commercial Bank
of China Ltd., 6.00% (n), par and fair value of USD 500,000 and $517,575, respectively) |
|
|
USD |
|
|
|
547 |
|
|
|
546,623 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
|
|
|
Par (000) |
|
|
Value |
|
Borrowed Bond Agreements (continued)(y) |
|
Nomura Securities International, Inc., (0.25)%,
Open(z) |
|
|
|
|
|
(Purchased on 11/15/17 to be repurchased at $324,036, collateralized by Alfa SAB de CV, 5.25% due at
03/25/24, par and fair value of USD 304,000 and $321,480, respectively) |
|
|
USD |
|
|
|
324 |
|
|
$ |
324,140 |
|
Nomura Securities International, Inc., (0.25)%,
Open(z) |
|
|
|
|
|
(Purchased on 11/14/17 to be repurchased at $1,700,381, collateralized by Alfa SAB de CV, 5.25% due at
03/25/24, par and fair value of USD 1,599,000 and $1,690,943, respectively) |
|
|
|
|
|
|
1,701 |
|
|
|
1,700,936 |
|
Nomura Securities International, Inc., 1.10%,
Open(z) |
|
|
|
|
|
(Purchased on 11/13/17 to be repurchased at $1,529,942, collateralized by El Puerto de Liverpool SAB de CV,
3.88% due at 10/06/26, par and fair value of USD 1,549,000 and $1,510,275, respectively) |
|
|
|
|
|
|
1,528 |
|
|
|
1,527,701 |
|
RBC Capital Markets, LLC, 0.85%, Open(z) |
|
|
|
|
|
|
|
|
|
|
|
|
(Purchased on 12/26/17 to be repurchased at $6,549,778, collateralized by Continental Resources, Inc., 3.80%
due at 06/01/24, par and fair value of USD 6,615,000 and $6,540,581, respectively) |
|
|
|
|
|
|
6,549 |
|
|
|
6,548,850 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Borrowed Bond Agreements 0.9% (Cost: $110,183,368) |
|
|
|
112,837,108 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Foreign Government Obligations 5.0% |
|
Government of Japan Treasury Bills: |
|
|
|
|
|
|
|
|
|
|
|
|
0.19%, 02/13/18(aa) |
|
|
JPY |
|
|
|
10,824,750 |
|
|
|
96,086,409 |
|
0.18%, 03/26/18(aa) |
|
|
|
|
|
|
57,872,100 |
|
|
|
513,790,738 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Foreign Agency Obligations 5.0% (Cost: $610,573,823) |
|
|
|
609,877,147 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares |
|
|
|
|
Mutual Funds 1.0% |
|
|
|
|
|
|
|
|
|
SL Liquidity Series, LLC, Money Market
Series, 1.53%(ab)(ac)(ad) |
|
|
|
|
|
|
125,887,950 |
|
|
|
125,875,362 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Short-Term Investments 5.9% (Cost: $846,636,622) |
|
|
|
848,589,617 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Options Purchased 0.2%
(Cost: $34,107,579) |
|
|
|
20,601,512 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments Before Options Written, TBA Sale Commitments, Borrowed Bonds and Investments
Sold Short 174.1% (Cost: $21,540,916,869) |
|
|
|
21,598,687,746 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
40 |
|
2017 BLACKROCK QUARTERLY REPORT TO SHAREHOLDERS |
|
|
|
Consolidated Schedule of Investments (unaudited) (continued) |
|
Master Total Return Portfolio of Master Bond LLC |
December 31, 2017 |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
|
|
|
Par
(000) |
|
|
Value |
|
TBA Sale Commitments
(38.5)%(u) |
|
|
Mortgage-Backed Securities (38.5)% |
|
Fannie Mae Mortgage-Backed Securities: |
|
|
|
|
|
|
|
|
|
|
|
|
2.50%, 01/01/33 |
|
|
USD |
|
|
|
93,128 |
|
|
$ |
(92,982,488 |
) |
3.00%, 01/01/33-01/01/48 |
|
|
|
|
|
|
1,345,243 |
|
|
|
(1,359,474,001 |
) |
3.50%, 01/01/33-01/01/48 |
|
|
|
|
|
|
847,556 |
|
|
|
(870,375,221 |
) |
4.00%, 01/01/48 |
|
|
|
|
|
|
1,171,098 |
|
|
|
(1,223,925,700 |
) |
4.50%, 01/01/48 |
|
|
|
|
|
|
157,272 |
|
|
|
(167,241,536 |
) |
Freddie Mac Mortgage-Backed Securities: |
|
|
|
|
|
|
|
|
|
|
|
|
3.50%, 01/01/33-01/01/48 |
|
|
|
|
|
|
97,364 |
|
|
|
(100,423,564 |
) |
3.00%, 01/01/48 |
|
|
|
|
|
|
161,326 |
|
|
|
(161,301,171 |
) |
4.00%, 01/01/48 |
|
|
|
|
|
|
61,409 |
|
|
|
(64,215,582 |
) |
Ginnie Mae Mortgage-Backed Securities: |
|
|
|
|
|
|
|
|
|
|
|
|
3.00%, 01/01/48 |
|
|
|
|
|
|
423,758 |
|
|
|
(427,598,307 |
) |
4.00%, 01/01/48 |
|
|
|
|
|
|
264,675 |
|
|
|
(275,903,016 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total TBA Sale Commitments (38.5)% (Proceeds: $4,743,051,140) |
|
|
|
(4,743,440,586 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Options Written (0.1)% (Premiums Received: $22,545,319) |
|
|
|
|
|
|
|
(16,301,158 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Borrowed Bonds (0.9)% |
|
|
|
|
|
Corporate Bonds (0.5)% |
|
|
|
|
|
|
|
|
|
Banks (0.0)% |
|
|
|
|
|
|
|
|
|
Bank of Communications Co. Ltd., |
|
|
|
|
|
|
|
|
|
|
|
|
5.00%(e)(n) |
|
|
|
|
|
|
500 |
|
|
|
(506,500 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Capital Markets (0.0)% |
|
|
|
|
|
|
|
|
|
Deutsche Bank AG, |
|
|
|
|
|
|
|
|
|
|
|
|
6.25%(e)(n) |
|
|
|
|
|
|
1,400 |
|
|
|
(1,396,360 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Construction Materials (0.0)% |
|
Cemex SAB de CV, |
|
|
|
|
|
|
|
|
|
|
|
|
5.70%, 01/11/25(b) |
|
|
|
|
|
|
1,903 |
|
|
|
(2,007,665 |
) |
7.75%, 04/16/26(b) |
|
|
|
|
|
|
1,903 |
|
|
|
(2,155,148 |
) |
Diversified Financial Services (0.0)% |
|
Saipem Finance International BV, |
|
|
|
|
|
|
|
|
|
|
|
|
3.75%, 09/08/23 |
|
|
EUR |
|
|
|
700 |
|
|
|
(890,555 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Syngenta Finance NV, |
|
|
|
|
|
|
|
|
|
|
|
|
1.88%, 11/02/21 |
|
|
|
|
|
|
100 |
|
|
|
(122,549 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1,013,104 |
) |
Diversified Telecommunication Services (0.0)% |
|
Wind Tre SpA, |
|
|
|
|
|
|
|
|
|
|
|
|
2.63%, 01/20/23 |
|
|
|
|
|
|
680 |
|
|
|
(798,509 |
) |
3.13%, 01/20/25 |
|
|
|
|
|
|
2,100 |
|
|
|
(2,452,604 |
) |
Hotels, Restaurants & Leisure (0.1)% |
|
Walt Disney Co., |
|
|
|
|
|
|
|
|
|
|
|
|
4.13%, 06/01/44 |
|
|
USD |
|
|
|
6,700 |
|
|
|
(7,235,848 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Household Durables (0.0)% |
|
|
|
|
|
|
|
|
|
|
|
|
K Hovnanian Enterprises, Inc., |
|
|
|
|
|
|
|
|
|
|
|
|
7.00%, 01/15/19(b) |
|
|
|
|
|
|
1,280 |
|
|
|
(1,264,000 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrial Conglomerates (0.0)% |
|
Alfa SAB de CV, |
|
|
|
|
|
|
|
|
|
|
|
|
5.25%, 03/25/24(b) |
|
|
|
|
|
|
1,903 |
|
|
|
(2,012,423 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Internet & Direct Marketing Retail (0.1)% |
|
Netflix, Inc., |
|
|
|
|
|
|
|
|
|
|
|
|
4.38%, 11/15/26 |
|
|
|
|
|
|
5,420 |
|
|
|
(5,298,050 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Media (0.0)% |
|
|
|
|
|
|
|
|
|
|
|
|
Altice Luxembourg SA, |
|
|
|
|
|
|
|
|
|
|
|
|
7.25%, 05/15/22 |
|
|
EUR |
|
|
|
1,430 |
|
|
|
(1,738,223 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Multiline Retail (0.2)% |
|
|
|
|
|
El Puerto de Liverpool SAB de CV, |
|
3.88%, 10/06/26(b) |
|
|
USD |
|
|
|
1,903 |
|
|
|
(1,855,425 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
|
|
|
Par
(000) |
|
|
Value |
|
Corporate Bonds (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
Multiline Retail (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
Target Corp., |
|
|
|
|
|
|
|
|
|
|
|
|
4.00%, 07/01/42 |
|
|
USD |
|
|
|
10,800 |
|
|
$ |
(11,173,730 |
) |
3.63%, 04/15/46 |
|
|
|
|
|
|
10,143 |
|
|
|
(9,872,305 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(22,901,460 |
) |
Oil, Gas & Consumable Fuels (0.1)% |
|
Continental Resources, Inc., |
|
|
|
|
|
|
|
|
|
|
|
|
3.80%, 06/01/24 |
|
|
|
|
|
|
6,615 |
|
|
|
(6,540,581 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Vine Oil & Gas LP/Vine Oil & Gas Finance Corp., |
|
|
|
|
|
|
|
|
|
|
|
|
8.75%, 04/15/23(b) |
|
|
|
|
|
|
2,570 |
|
|
|
(2,492,900 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Specialty Retail (0.0)% |
|
|
|
|
|
|
|
|
|
|
|
|
Dufry One Bv, |
|
|
|
|
|
|
|
|
|
|
|
|
2.50%, 10/15/24 |
|
|
EUR |
|
|
|
1,200 |
|
|
|
(1,465,007 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Corporate Bonds 0.0% (Proceeds $59,978,279) |
|
|
|
|
|
|
|
|
|
|
(61,278,382 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Foreign Agency Obligations (0.0)% |
|
|
|
|
|
France (0.0)% |
|
|
|
|
|
|
|
|
|
NEW Areva Holding SA, |
|
|
|
|
|
|
|
|
|
|
|
|
4.38%, 11/06/19 |
|
|
|
|
|
|
600 |
|
|
|
(766,702 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Hong Kong (0.0)% |
|
|
|
|
|
|
|
|
|
|
|
|
Industrial & Commercial Bank of China Ltd., |
|
|
|
|
|
6.00%(e)(n) |
|
|
USD |
|
|
|
500 |
|
|
|
(517,575 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Oil, Gas & Consumable Fuels (0.0)% |
|
Ecopetrol SA, |
|
|
|
|
|
|
|
|
|
|
|
|
5.38%, 06/26/26 |
|
|
|
|
|
|
1,903 |
|
|
|
(2,054,669 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Foreign Agency Obligations 0.0% (Proceeds $3,269,016) |
|
|
|
(3,338,946 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Foreign Government Obligations (0.4)% |
|
|
|
|
|
Japan (0.1)% |
|
|
|
|
|
|
|
|
|
Government of Japan (20-Year Bond), |
|
|
|
|
|
0.60%, 09/20/37 |
|
|
JPY |
|
|
|
1,070,000 |
|
|
|
(9,561,864 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Spain (0.0)% |
|
|
|
|
|
|
|
|
|
|
|
|
Kingdom of Spain, |
|
|
|
|
|
|
|
|
|
|
|
|
5.40%, 01/31/23(b) |
|
|
EUR |
|
|
|
4,400 |
|
|
|
(6,596,188 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
United Kingdom (0.3)% |
|
|
|
|
|
|
|
|
|
|
|
|
United Kingdom Gilt Inflation Linked Bonds, |
|
|
|
|
|
0.13%, 03/22/26 |
|
|
GBP |
|
|
|
20,022 |
|
|
|
(31,817,966 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Foreign Government Obligations 0.0% (Proceeds $45,618,404) |
|
|
|
(47,976,018 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Borrowed Bonds 0.0% (Proceeds $108,865,699) |
|
|
|
|
|
|
|
|
|
|
(112,593,346 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CONSOLIDATED SCHEDULE OF INVESTMENTS |
|
|
41 |
|
|
|
|
Consolidated Schedule of Investments (unaudited) (continued) |
|
Master Total Return Portfolio of Master Bond LLC |
December 31, 2017 |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
|
|
|
Par (000) |
|
|
Value |
|
Investments Sold Short (0.0)% |
|
|
|
|
|
Oil, Gas & Consumable Fuels (0.0)% |
|
|
|
|
|
|
|
|
|
Eterna Capital Pte Ltd., 6.00%, (6.00% Cash or 6.00% PIK), 12/11/22(p) |
|
|
USD |
|
|
|
164 |
|
|
$ |
(171,650 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments Sold Short 0.0% (Proceeds $173,518) |
|
|
|
|
|
|
|
|
|
|
(171,650 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments Net of Options Written, TBA Sale Commitments, Borrowed Bondsand Investments
Sold Short 135.6% |
|
|
|
16,726,181,006 |
|
Liabilities in Excess of Other Assets (35.6)% |
|
|
|
(4,389,622,131 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Assets 100.0% |
|
|
|
|
|
|
|
|
|
$ |
12,336,558,875 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) |
Floating rate security. Rate shown is the rate in effect as of period end. |
(b) |
Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.
|
(c) |
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) |
Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
(e) |
Variable or floating rate security, which interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period
end. |
(f) |
All or a portion of the security has been pledged and/or segregated as collateral in connection with outstanding exchange-traded options written. |
(g) |
Non-income producing security. |
(h) |
A security contractually bound to one or more other securities to form a single saleable unit which cannot be sold separately. |
(i) |
Security, or a portion of the security, is on loan. |
(j) |
Convertible security. |
(l) |
Issuer filed for bankruptcy and/or is in default. |
(m) |
Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end. |
(n) |
Perpetual security with no stated maturity date. |
(o) |
Issuer is a U.S. branch of a foreign domiciled bank. |
(p) |
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. |
(q) |
All or a portion of the security has been pledged as collateral in connection with outstanding reverse repurchase agreements. |
(r) |
Represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate. |
(t) |
Variable rate security. Rate shown is the rate in effect as of period end. |
(u) |
Represents or includes a TBA transaction. As of period end, unsettled TBA transactions were as follows: |
|
|
|
|
|
|
|
|
|
Counterparty |
|
Value |
|
|
Unrealized Appreciation (Depreciation) |
|
Barclays Capital, Inc. |
|
$ |
10,340,854 |
|
|
$ |
(52,529 |
) |
BNP Paribas Securities Corp. |
|
|
107,444,776 |
|
|
|
(311,855 |
) |
Citigroup Global Markets, Inc. |
|
|
(88,018,583 |
) |
|
|
(790,505 |
) |
Credit Suisse Securities (USA) LLC |
|
|
(146,924,251 |
) |
|
|
202,749 |
|
Daiwa Capital Markets America, Inc. |
|
|
189,443,000 |
|
|
|
118,402 |
|
Deutsche Bank Securities, Inc. |
|
|
(63,241,351 |
) |
|
|
44,510 |
|
Goldman Sachs & Co. |
|
|
171,677,704 |
|
|
|
(327,301 |
) |
Jefferies & Co., Inc. |
|
|
8,443,000 |
|
|
|
5,277 |
|
J.P. Morgan Securities LLC |
|
|
(300,267,684 |
) |
|
|
199,003 |
|
Merrill Lynch, Pierce, Fenner & Smith, Inc. |
|
|
140,864,871 |
|
|
|
(82,532 |
) |
Mizuho Securities Co. |
|
|
(105,423,474 |
) |
|
|
162,728 |
|
Morgan Stanley & Co. LLC |
|
|
(390,295,201 |
) |
|
|
(130,952 |
) |
Nomura Securities International, Inc. |
|
|
(97,643,148 |
) |
|
|
(286,941 |
) |
RBC Dominion Securities, Inc. |
|
|
5,942,142 |
|
|
|
(212,897 |
) |
Wells Fargo Securities, LLC |
|
|
283,229,364 |
|
|
|
(80,992 |
) |
(v) |
All or a portion of the security has been pledged as collateral in connection with outstanding TBA commitments. |
(w) |
All or a portion of the security has been pledged as collateral in connection with outstanding borrowed bonds. |
(x) |
All or a portion of the security has been pledged as collateral in connection with outstanding OTC derivatives. |
(y) |
Certain agreements have no stated maturity and can be terminated by either party at any time. |
(z) |
The amount to be repurchased assumes the maturity will be the day after the period end. |
(aa) |
Rates are discount rates or a range of discount rates at the time of purchase. |
(ab) |
Security was purchased with the cash collateral from loaned securities. |
(ac) |
Annualized 7-day yield as of period end. |
|
|
|
42 |
|
2017 BLACKROCK QUARTERLY REPORT TO SHAREHOLDERS |
|
|
|
Consolidated Schedule of Investments (unaudited) (continued) |
|
Master Total Return Portfolio of Master Bond LLC |
December 31, 2017 |
|
|
(ad) |
During the period ended December 31, 2017, 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, and/or
related parties of the Master Portfolio were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Affiliated persons
and/or related parties |
|
Par/Shares Held at 09/30/17 |
|
|
Par/Shares Purchased |
|
|
Par/Shares Sold |
|
|
Par/Shares Held at 12/31/17 |
|
|
Value at 12/31/17 |
|
|
Income |
|
|
Net
Realized Gain
(Loss) |
|
|
Change in Unrealized Appreciation (Depreciation) |
|
BlackRock Capital Finance LP, Series 1997-R2, Class AP |
|
$ |
3,374 |
|
|
$ |
|
|
|
$ |
|
|
|
$ |
3,374 |
|
|
$ |
3,021 |
|
|
$ |
|
|
|
$ |
|
|
|
$ |
38 |
|
iShares China Large-Cap ETF |
|
|
56,865 |
|
|
|
57,470 |
|
|
|
(114,335 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
414,744 |
|
|
|
(301,385 |
) |
iShares Core MSCI Emerging Markets ETF |
|
|
535,577 |
|
|
|
165,000 |
|
|
|
(404,265 |
) |
|
|
296,312 |
|
|
|
13,962,221 |
|
|
|
206,393 |
|
|
|
375,356 |
|
|
|
609,904 |
|
iShares iBoxx $ High Yield Corporate Bond ETF |
|
|
1,286,000 |
|
|
|
1,364,820 |
|
|
|
(1,280,000 |
) |
|
|
1,370,820 |
|
|
|
119,617,753 |
|
|
|
2,420,886 |
|
|
|
(1,659,281 |
) |
|
|
424,540 |
|
iShares Russell 2000 ETF |
|
|
|
|
|
|
311,420 |
|
|
|
(311,420 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(944,159 |
) |
|
|
|
|
SL Liquidity Series, LLC, Money Market Series |
|
|
105,456,022 |
|
|
|
20,431,928 |
(a) |
|
|
|
|
|
|
125,887,950 |
|
|
|
125,875,362 |
|
|
|
206,866 |
(b) |
|
|
(26,002 |
) |
|
|
(4,069 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
259,458,357 |
|
|
$ |
2,834,145 |
|
|
$ |
(1,839,342 |
) |
|
$ |
729,028 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) |
Represents net shares purchased. |
|
|
(b) |
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. |
|
For Master Portfolio compliance purposes, the Master 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.
Reverse Repurchase Agreements
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Counterparty |
|
Interest Rate |
|
Trade Date |
|
|
Maturity Date(a) |
|
Face
Value |
|
|
Face Value Including Accrued Interest |
|
|
Type of Non-Cash Underlying Collateral |
|
Remaining Contractual Maturity of the Agreements |
|
RBC Capital Markets, LLC |
|
1.84% |
|
|
04/06/17 |
|
|
Open |
|
$ |
432,400 |
|
|
$ |
438,345 |
|
|
Corporate Bonds |
|
|
Open/Demand(a |
) |
RBC Capital Markets, LLC |
|
1.84% |
|
|
04/06/17 |
|
|
Open |
|
|
2,458,140 |
|
|
|
2,491,937 |
|
|
Corporate Bonds |
|
|
Open/Demand(a |
) |
Credit Agricole Corporate & Investment Bank SA |
|
1.85% |
|
|
07/10/17 |
|
|
Open |
|
|
52,614,195 |
|
|
|
53,087,357 |
|
|
U.S. Treasury Obligations |
|
|
Open/Demand(a |
) |
Nomura Securities International, Inc. |
|
1.85% |
|
|
07/17/17 |
|
|
Open |
|
|
85,905,128 |
|
|
|
86,646,775 |
|
|
U.S. Treasury Obligations |
|
|
Open/Demand(a |
) |
Amherst Pierpont Securities LLC |
|
0.18% |
|
|
10/20/17 |
|
|
Open |
|
|
70,437,500 |
|
|
|
70,462,153 |
|
|
U.S. Treasury Obligations |
|
|
Open/Demand(a |
) |
Nomura Securities International, Inc. |
|
1.85% |
|
|
10/20/17 |
|
|
Open |
|
|
125,000,000 |
|
|
|
125,449,653 |
|
|
U.S. Treasury Obligations |
|
|
Open/Demand(a |
) |
Citigroup Global Markets, Inc. |
|
1.47% |
|
|
11/17/17 |
|
|
01/11/18 |
|
|
262,528,000 |
|
|
|
263,085,434 |
|
|
U.S. Government Sponsored Agency Securities |
|
|
Up to 30 Days |
|
Nomura Securities International, Inc. |
|
1.55% |
|
|
12/04/17 |
|
|
Open |
|
|
93,931,250 |
|
|
|
94,040,445 |
|
|
U.S. Treasury Obligations |
|
|
Open/Demand(a |
) |
Nomura Securities International, Inc. |
|
1.85% |
|
|
12/05/17 |
|
|
Open |
|
|
116,230,000 |
|
|
|
116,385,296 |
|
|
U.S. Treasury Obligations |
|
|
Open/Demand(a |
) |
Nomura Securities International, Inc. |
|
1.60% |
|
|
12/05/17 |
|
|
Open |
|
|
39,400,000 |
|
|
|
39,445,529 |
|
|
U.S. Treasury Obligations |
|
|
Open/Demand(a |
) |
Credit Agricole Corporate & Investment Bank SA |
|
1.47% |
|
|
12/05/17 |
|
|
01/08/18 |
|
|
196,275,000 |
|
|
|
196,539,481 |
|
|
U.S. Treasury Obligations |
|
|
Up to 30 Days |
|
Deutsche Bank Securities, Inc. |
|
1.50% |
|
|
12/05/17 |
|
|
01/08/18 |
|
|
103,220,000 |
|
|
|
103,361,928 |
|
|
U.S. Treasury Obligations |
|
|
Up to 30 Days |
|
J.P. Morgan Securities LLC |
|
(0.25%) |
|
|
12/08/17 |
|
|
Open |
|
|
1,471,500 |
|
|
|
1,471,285 |
|
|
Corporate Bonds |
|
|
Open/Demand(a |
) |
Morgan Stanley & Co. LLC |
|
1.58% |
|
|
12/11/17 |
|
|
01/12/18 |
|
|
100,687,500 |
|
|
|
100,824,491 |
|
|
U.S. Treasury Obligations |
|
|
Up to 30 Days |
|
Morgan Stanley & Co. LLC |
|
1.57% |
|
|
12/11/17 |
|
|
01/12/18 |
|
|
197,828,304 |
|
|
|
198,095,757 |
|
|
U.S. Treasury Obligations |
|
|
Up to 30 Days |
|
|
|
|
|
|
CONSOLIDATED SCHEDULE OF INVESTMENTS |
|
|
43 |
|
|
|
|
Consolidated Schedule of Investments (unaudited) (continued) |
|
Master Total Return Portfolio of Master Bond LLC |
December 31, 2017 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Counterparty |
|
Interest Rate |
|
|
Trade Date |
|
|
Maturity Date(a) |
|
|
Face
Value |
|
|
Face
Value Including Accrued
Interest |
|
|
Type of Non-Cash
Underlying Collateral |
|
Remaining Contractual Maturity of the Agreements |
|
Nomura Securities International, Inc. |
|
|
1.56% |
|
|
|
12/11/17 |
|
|
|
01/12/18 |
|
|
$ |
98,820,000 |
|
|
$ |
98,952,748 |
|
|
U.S. Treasury Obligations |
|
|
Up to 30 Days |
|
RBC Capital Markets, LLC |
|
|
1.62% |
|
|
|
12/14/17 |
|
|
|
01/17/18 |
|
|
|
178,706,000 |
|
|
|
178,947,253 |
|
|
U.S. Government Sponsored Agency Securities |
|
|
Up to 30 Days |
|
Bank of Montreal |
|
|
1.78% |
|
|
|
12/20/17 |
|
|
|
Open |
|
|
|
89,212,500 |
|
|
|
89,265,433 |
|
|
U.S. Treasury Obligations |
|
|
Open/Demand(a |
) |
Citigroup Global Markets, Inc. |
|
|
1.47% |
|
|
|
12/20/17 |
|
|
|
01/11/18 |
|
|
|
211,189,000 |
|
|
|
211,378,718 |
|
|
U.S. Government Sponsored Agency Securities |
|
|
Up to 30 Days |
|
HSBC Securities (USA), Inc. |
|
|
1.60% |
|
|
|
12/20/17 |
|
|
|
01/17/18 |
|
|
|
102,995,000 |
|
|
|
103,123,172 |
|
|
U.S. Government Sponsored Agency Securities |
|
|
Up to 30 Days |
|
RBC Capital Markets, LLC |
|
|
1.62% |
|
|
|
12/20/17 |
|
|
|
01/17/18 |
|
|
|
134,111,000 |
|
|
|
134,279,980 |
|
|
U.S. Government Sponsored Agency Securities |
|
|
Up to 30 Days |
|
Barclays Capital, Inc. |
|
|
0.75% |
|
|
|
12/29/17 |
|
|
|
01/02/18 |
|
|
|
87,808,500 |
|
|
|
87,815,817 |
|
|
U.S. Treasury Obligations |
|
|
Overnight |
|
Barclays Capital, Inc. |
|
|
1.00% |
|
|
|
12/29/17 |
|
|
|
01/02/18 |
|
|
|
52,990,193 |
|
|
|
52,996,080 |
|
|
U.S. Treasury Obligations |
|
|
Overnight |
|
BNP Paribas Securities Corp. |
|
|
1.15% |
|
|
|
12/29/17 |
|
|
|
01/02/18 |
|
|
|
649,187,500 |
|
|
|
649,270,452 |
|
|
U.S. Treasury Obligations |
|
|
Overnight |
|
BNP Paribas Securities Corp. |
|
|
1.92% |
|
|
|
12/29/17 |
|
|
|
01/02/18 |
|
|
|
141,066,368 |
|
|
|
141,096,462 |
|
|
U.S. Treasury Obligations |
|
|
Overnight |
|
Credit Suisse AG |
|
|
1.85% |
|
|
|
12/29/17 |
|
|
|
01/02/18 |
|
|
|
18,982,712 |
|
|
|
18,986,614 |
|
|
U.S. Treasury Obligations |
|
|
Overnight |
|
Credit Suisse AG |
|
|
1.85% |
|
|
|
12/29/17 |
|
|
|
01/02/18 |
|
|
|
238,355,822 |
|
|
|
238,404,818 |
|
|
U.S. Treasury Obligations |
|
|
Overnight |
|
Deutsche Bank Securities, Inc. |
|
|
1.50% |
|
|
|
12/29/17 |
|
|
|
01/02/18 |
|
|
|
194,884,000 |
|
|
|
194,916,481 |
|
|
U.S. Treasury Obligations |
|
|
Overnight |
|
Deutsche Bank Securities, Inc. |
|
|
0.75% |
|
|
|
12/29/17 |
|
|
|
01/02/18 |
|
|
|
310,172,475 |
|
|
|
310,198,323 |
|
|
U.S. Treasury Obligations |
|
|
Overnight |
|
J.P. Morgan Securities LLC |
|
|
1.85% |
|
|
|
12/29/17 |
|
|
|
01/02/18 |
|
|
|
143,898,480 |
|
|
|
143,928,059 |
|
|
U.S. Treasury Obligations |
|
|
Overnight |
|
Merrill Lynch, Pierce, Fenner & Smith, Inc. |
|
|
1.75% |
|
|
|
12/29/17 |
|
|
|
01/02/18 |
|
|
|
51,675,000 |
|
|
|
51,685,048 |
|
|
U.S. Treasury Obligations |
|
|
Overnight |
|
Merrill Lynch, Pierce, Fenner & Smith, Inc. |
|
|
1.10% |
|
|
|
12/29/17 |
|
|
|
01/02/18 |
|
|
|
81,440,072 |
|
|
|
81,450,026 |
|
|
U.S. Treasury Obligations |
|
|
Overnight |
|
Merrill Lynch, Pierce, Fenner & Smith, Inc. |
|
|
0.45% |
|
|
|
12/29/17 |
|
|
|
01/02/18 |
|
|
|
198,933,722 |
|
|
|
198,943,669 |
|
|
U.S. Treasury Obligations |
|
|
Overnight |
|
Merrill Lynch, Pierce, Fenner & Smith, Inc. |
|
|
1.85% |
|
|
|
12/29/17 |
|
|
|
01/02/18 |
|
|
|
32,501,875 |
|
|
|
32,508,556 |
|
|
U.S. Treasury Obligations |
|
|
Overnight |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
4,465,349,136 |
|
|
$ |
4,469,973,575 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) |
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
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Number of Contracts |
|
|
Expiration Date |
|
|
Notional Amount (000) |
|
|
Value/ Unrealized Appreciation (Depreciation) |
|
Long Contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
VSTOXX Mini |
|
|
462 |
|
|
|
January 2018 |
|
|
$ |
768 |
|
|
$ |
142,230 |
|
Euro-Bund 8.5 to 10.5-Year Bond Futures Put Options, Strike Price EUR 160 |
|
|
5,803 |
|
|
|
January 2018 |
|
|
|
1,393 |
|
|
|
(679,651 |
) |
VSTOXX Mini |
|
|
462 |
|
|
|
February 2018 |
|
|
|
912 |
|
|
|
(12,982 |
) |
Euro STOXX 50 Index |
|
|
81 |
|
|
|
March 2018 |
|
|
|
3,395 |
|
|
|
77,586 |
|
NASDAQ 100 E-Mini Index |
|
|
18 |
|
|
|
March 2018 |
|
|
|
2,307 |
|
|
|
44,260 |
|
U.S. Ultra Treasury Bonds |
|
|
33 |
|
|
|
March 2018 |
|
|
|
5,533 |
|
|
|
(400 |
) |
U.S. Treasury Notes (2 Year) |
|
|
143 |
|
|
|
March 2018 |
|
|
|
30,618 |
|
|
|
11,950 |
|
|
|
|
44 |
|
2017 BLACKROCK QUARTERLY REPORT TO SHAREHOLDERS |
|
|
|
Consolidated Schedule of Investments (unaudited) (continued) |
|
Master Total Return Portfolio of Master Bond LLC |
December 31, 2017 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Number of Contracts |
|
|
Expiration
Date |
|
|
Notional Amount (000) |
|
|
Value/ Unrealized Appreciation (Depreciation) |
|
U.S. Treasury Notes (5 Year) |
|
|
4,003 |
|
|
|
March 2018 |
|
|
$ |
465,005 |
|
|
$ |
(438,915 |
) |
WTI Light Sweet Crude Oil(a) |
|
|
279 |
|
|
|
June 2018 |
|
|
|
16,757 |
|
|
|
(756,943 |
) |
Three Month Sterling |
|
|
1,145 |
|
|
|
September 2018 |
|
|
|
191,848 |
|
|
|
(82,337 |
) |
Canadian Bankers Acceptance |
|
|
3,202 |
|
|
|
December 2018 |
|
|
|
622,855 |
|
|
|
(4,211 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1,699,413 |
) |
Short Contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CBOE Volatility Index |
|
|
54 |
|
|
|
January 2018 |
|
|
$ |
620 |
|
|
|
(141,618 |
) |
Euro-Bund 8.5 to 10.5-Year Bond Futures Put Options, Strike Price EUR 159 |
|
|
5,801 |
|
|
|
January 2018 |
|
|
|
557 |
|
|
|
233,772 |
|
CBOE Volatility Index |
|
|
54 |
|
|
|
February 2018 |
|
|
|
674 |
|
|
|
11,169 |
|
WTI Light Sweet Crude Oil(a) |
|
|
265 |
|
|
|
March 2018 |
|
|
|
16,017 |
|
|
|
758,133 |
|
Euro-Bobl |
|
|
495 |
|
|
|
March 2018 |
|
|
|
78,166 |
|
|
|
(413,072 |
) |
Euro-Bund |
|
|
1,282 |
|
|
|
March 2018 |
|
|
|
248,697 |
|
|
|
(2,503,814 |
) |
Euro-Buxl |
|
|
18 |
|
|
|
March 2018 |
|
|
|
3,539 |
|
|
|
(63,909 |
) |
Euro-OAT |
|
|
10 |
|
|
|
March 2018 |
|
|
|
1,862 |
|
|
|
(21,347 |
) |
Euro-Schatz |
|
|
39 |
|
|
|
March 2018 |
|
|
|
5,240 |
|
|
|
(1,838 |
) |
Japanese Government Bonds (10 Year) |
|
|
10 |
|
|
|
March 2018 |
|
|
|
13,382 |
|
|
|
(5,296 |
) |
E-Mini S&P 500 Index |
|
|
72 |
|
|
|
March 2018 |
|
|
|
9,634 |
|
|
|
(76,180 |
) |
U.S. Treasury Bonds (30 Year) |
|
|
713 |
|
|
|
March 2018 |
|
|
|
109,089 |
|
|
|
(22,552 |
) |
U.S. Treasury Notes (10 Year) |
|
|
11,334 |
|
|
|
March 2018 |
|
|
|
1,405,947 |
|
|
|
652,489 |
|
U.S. Ultra Treasury Bonds (10 Year) |
|
|
13 |
|
|
|
March 2018 |
|
|
|
1,736 |
|
|
|
(9,032 |
) |
Long Gilt British |
|
|
718 |
|
|
|
March 2018 |
|
|
|
121,331 |
|
|
|
1,596,503 |
|
Euro Dollar |
|
|
1,521 |
|
|
|
December 2018 |
|
|
|
372,094 |
|
|
|
39,325 |
|
Euro Dollar |
|
|
601 |
|
|
|
March 2019 |
|
|
|
146,937 |
|
|
|
(96,166 |
) |
Three Month Sterling |
|
|
1,145 |
|
|
|
September 2019 |
|
|
|
191,423 |
|
|
|
46,163 |
|
Euro Dollar |
|
|
1,001 |
|
|
|
December 2019 |
|
|
|
244,419 |
|
|
|
(142,151 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(159,421 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(1,858,834 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) |
All or a portion of the security is held by a wholly-owned subsidiary. |
Forward Foreign Currency Exchange Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Currency Purchased |
|
|
Currency Sold |
|
|
Counterparty |
|
Settlement Date |
|
|
|
|
|
Unrealized Appreciation (Depreciation) |
|
JPY |
|
|
744,986,192 |
|
|
USD |
|
|
6,613,000 |
|
|
Barclays Bank PLC |
|
|
01/04/18 |
|
|
|
|
|
|
$ |
751 |
|
TRY |
|
|
26,098,535 |
|
|
USD |
|
|
6,613,000 |
|
|
BNP Paribas S.A. |
|
|
01/04/18 |
|
|
|
|
|
|
|
259,850 |
|
USD |
|
|
3,806,500 |
|
|
BRL |
|
|
12,451,062 |
|
|
Barclays Bank PLC |
|
|
01/04/18 |
|
|
|
|
|
|
|
55,594 |
|
USD |
|
|
2,749,400 |
|
|
BRL |
|
|
9,117,010 |
|
|
BNP Paribas S.A. |
|
|
01/04/18 |
|
|
|
|
|
|
|
2,883 |
|
USD |
|
|
6,736,440 |
|
|
BRL |
|
|
22,196,570 |
|
|
BNP Paribas S.A. |
|
|
01/04/18 |
|
|
|
|
|
|
|
49,680 |
|
USD |
|
|
14,101,100 |
|
|
BRL |
|
|
46,463,125 |
|
|
BNP Paribas S.A. |
|
|
01/04/18 |
|
|
|
|
|
|
|
103,993 |
|
USD |
|
|
6,673,000 |
|
|
GBP |
|
|
4,922,990 |
|
|
BNP Paribas S.A. |
|
|
01/04/18 |
|
|
|
|
|
|
|
24,866 |
|
USD |
|
|
25,314,961 |
|
|
GBP |
|
|
18,744,950 |
|
|
Royal Bank of Scotland PLC |
|
|
01/04/18 |
|
|
|
|
|
|
|
1,294 |
|
USD |
|
|
6,613,000 |
|
|
JPY |
|
|
738,633,083 |
|
|
BNP Paribas S.A. |
|
|
01/04/18 |
|
|
|
|
|
|
|
55,649 |
|
USD |
|
|
409,384 |
|
|
MXN |
|
|
7,661,000 |
|
|
BNP Paribas S.A. |
|
|
01/04/18 |
|
|
|
|
|
|
|
20,222 |
|
USD |
|
|
16,106 |
|
|
MXN |
|
|
302,000 |
|
|
Goldman Sachs International |
|
|
01/04/18 |
|
|
|
|
|
|
|
765 |
|
USD |
|
|
490,642 |
|
|
MXN |
|
|
9,395,000 |
|
|
Goldman Sachs International |
|
|
01/04/18 |
|
|
|
|
|
|
|
13,397 |
|
USD |
|
|
6,613,000 |
|
|
MXN |
|
|
129,386,652 |
|
|
Goldman Sachs International |
|
|
01/04/18 |
|
|
|
|
|
|
|
40,452 |
|
USD |
|
|
6,613,000 |
|
|
TRY |
|
|
25,089,061 |
|
|
BNP Paribas S.A. |
|
|
01/04/18 |
|
|
|
|
|
|
|
5,987 |
|
USD |
|
|
6,613,000 |
|
|
ZAR |
|
|
81,882,166 |
|
|
BNP Paribas S.A. |
|
|
01/04/18 |
|
|
|
|
|
|
|
1,347 |
|
ZAR |
|
|
90,668,528 |
|
|
USD |
|
|
6,613,000 |
|
|
BNP Paribas S.A. |
|
|
01/04/18 |
|
|
|
|
|
|
|
708,116 |
|
AUD |
|
|
7,001,777 |
|
|
USD |
|
|
5,445,000 |
|
|
Morgan Stanley & Co. International PLC |
|
|
01/05/18 |
|
|
|
|
|
|
|
18,168 |
|
|
|
|
|
|
CONSOLIDATED SCHEDULE OF INVESTMENTS |
|
|
45 |
|
|
|
|
Consolidated Schedule of Investments (unaudited) (continued) |
|
Master Total Return Portfolio of Master Bond LLC |
December 31, 2017 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Currency
Purchased |
|
|
Currency
Sold |
|
|
|
|
Counterparty |
|
Settlement
Date |
|
Unrealized Appreciation (Depreciation) |
|
AUD |
|
|
28,021,306 |
|
|
USD |
|
|
21,779,000 |
|
|
Morgan Stanley & Co. International PLC |
|
01/05/18 |
|
|
$ 84,748 |
|
CAD |
|
|
27,495,334 |
|
|
USD |
|
|
21,779,000 |
|
|
Morgan Stanley & Co. International PLC |
|
01/05/18 |
|
|
97,093 |
|
CAD |
|
|
6,879,485 |
|
|
USD |
|
|
5,445,000 |
|
|
UBS AG |
|
01/05/18 |
|
|
28,520 |
|
COP |
|
|
15,264,763,200 |
|
|
USD |
|
|
5,088,000 |
|
|
Barclays Bank PLC |
|
01/05/18 |
|
|
23,254 |
|
EUR |
|
|
18,273,889 |
|
|
USD |
|
|
21,779,000 |
|
|
Barclays Bank PLC |
|
01/05/18 |
|
|
156,250 |
|
EUR |
|
|
4,568,585 |
|
|
USD |
|
|
5,445,000 |
|
|
Goldman Sachs International |
|
01/05/18 |
|
|
38,948 |
|
GBP |
|
|
4,058,036 |
|
|
USD |
|
|
5,445,000 |
|
|
Goldman Sachs International |
|
01/05/18 |
|
|
35,266 |
|
GBP |
|
|
16,205,759 |
|
|
USD |
|
|
21,779,000 |
|
|
HSBC Bank PLC |
|
01/05/18 |
|
|
106,430 |
|
USD |
|
|
2,381,247 |
|
|
AUD |
|
|
3,047,391 |
|
|
Citibank N.A. |
|
01/05/18 |
|
|
3,506 |
|
USD |
|
|
9,524,549 |
|
|
AUD |
|
|
12,189,005 |
|
|
Citibank N.A. |
|
01/05/18 |
|
|
14,024 |
|
USD |
|
|
3,063,753 |
|
|
AUD |
|
|
3,920,375 |
|
|
Morgan Stanley & Co. International PLC |
|
01/05/18 |
|
|
4,864 |
|
USD |
|
|
12,254,451 |
|
|
AUD |
|
|
15,680,779 |
|
|
Morgan Stanley & Co. International PLC |
|
01/05/18 |
|
|
19,453 |
|
USD |
|
|
2,178,000 |
|
|
CAD |
|
|
2,731,132 |
|
|
Barclays Bank PLC |
|
01/05/18 |
|
|
5,031 |
|
USD |
|
|
8,711,600 |
|
|
CAD |
|
|
10,924,028 |
|
|
Barclays Bank PLC |
|
01/05/18 |
|
|
20,124 |
|
USD |
|
|
1,089,000 |
|
|
CAD |
|
|
1,365,603 |
|
|
Deutsche Bank AG |
|
01/05/18 |
|
|
2,486 |
|
USD |
|
|
4,355,800 |
|
|
CAD |
|
|
5,462,160 |
|
|
Deutsche Bank AG |
|
01/05/18 |
|
|
9,946 |
|
USD |
|
|
2,178,000 |
|
|
CAD |
|
|
2,730,994 |
|
|
JPMorgan Chase Bank N.A. |
|
01/05/18 |
|
|
5,141 |
|
USD |
|
|
8,711,600 |
|
|
CAD |
|
|
10,923,475 |
|
|
JPMorgan Chase Bank N.A. |
|
01/05/18 |
|
|
20,563 |
|
USD |
|
|
2,501,063 |
|
|
GBP |
|
|
1,850,470 |
|
|
Barclays Bank PLC |
|
01/05/18 |
|
|
2,054 |
|
USD |
|
|
10,003,792 |
|
|
GBP |
|
|
7,401,541 |
|
|
Barclays Bank PLC |
|
01/05/18 |
|
|
8,214 |
|
USD |
|
|
2,943,937 |
|
|
GBP |
|
|
2,177,898 |
|
|
Morgan Stanley & Co. International PLC |
|
01/05/18 |
|
|
2,745 |
|
USD |
|
|
11,775,208 |
|
|
GBP |
|
|
8,711,194 |
|
|
Morgan Stanley & Co. International PLC |
|
01/05/18 |
|
|
10,981 |
|
USD |
|
|
2,527,500 |
|
|
MXN |
|
|
48,715,700 |
|
|
Barclays Bank PLC |
|
01/05/18 |
|
|
53,344 |
|
USD |
|
|
2,527,500 |
|
|
MXN |
|
|
48,711,244 |
|
|
Barclays Bank PLC |
|
01/05/18 |
|
|
53,570 |
|
RUB |
|
|
391,796,854 |
|
|
USD |
|
|
6,673,000 |
|
|
BNP Paribas S.A. |
|
01/09/18 |
|
|
117,923 |
|
USD |
|
|
6,673,000 |
|
|
RUB |
|
|
384,172,951 |
|
|
JPMorgan Chase Bank N.A. |
|
01/09/18 |
|
|
14,220 |
|
RUB |
|
|
303,733,746 |
|
|
EUR |
|
|
4,338,000 |
|
|
Bank of America N.A. |
|
01/12/18 |
|
|
53,431 |
|
RUB |
|
|
171,151,452 |
|
|
USD |
|
|
2,892,000 |
|
|
Bank of America N.A. |
|
01/12/18 |
|
|
73,558 |
|
RUB |
|
|
631,934,718 |
|
|
USD |
|
|
10,678,000 |
|
|
Bank of America N.A. |
|
01/12/18 |
|
|
271,596 |
|
USD |
|
|
6,097,000 |
|
|
JPY |
|
|
685,082,576 |
|
|
BNP Paribas S.A. |
|
01/12/18 |
|
|
12,677 |
|
USD |
|
|
467,488 |
|
|
MXN |
|
|
8,910,829 |
|
|
Bank of America N.A. |
|
01/12/18 |
|
|
15,555 |
|
USD |
|
|
3,050,996 |
|
|
MXN |
|
|
58,155,038 |
|
|
Bank of America N.A. |
|
01/12/18 |
|
|
101,531 |
|
ZAR |
|
|
16,330,822 |
|
|
USD |
|
|
1,273,800 |
|
|
Barclays Bank PLC |
|
01/12/18 |
|
|
43,143 |
|
CLP |
|
|
2,092,165,820 |
|
|
USD |
|
|
3,194,000 |
|
|
Credit Suisse International |
|
01/16/18 |
|
|
205,684 |
|
USD |
|
|
610,130,000 |
|
|
JPY |
|
|
68,551,156,150 |
|
|
Bank of America N.A. |
|
01/16/18 |
|
|
1,197,757 |
|
USD |
|
|
6,732,000 |
|
|
BRL |
|
|
21,663,576 |
|
|
Goldman Sachs International |
|
01/17/18 |
|
|
215,931 |
|
USD |
|
|
3,182,250 |
|
|
MXN |
|
|
62,414,115 |
|
|
Barclays Bank PLC |
|
01/17/18 |
|
|
19,906 |
|
ZAR |
|
|
15,617,553 |
|
|
USD |
|
|
1,226,462 |
|
|
Goldman Sachs International |
|
01/17/18 |
|
|
31,945 |
|
HKD |
|
|
132,970,084 |
|
|
USD |
|
|
16,790,000 |
|
|
Goldman Sachs International |
|
01/19/18 |
|
|
237,085 |
|
USD |
|
|
5,818,640 |
|
|
MXN |
|
|
111,476,417 |
|
|
Barclays Bank PLC |
|
01/22/18 |
|
|
176,029 |
|
USD |
|
|
8,093,340 |
|
|
MXN |
|
|
155,056,255 |
|
|
Barclays Bank PLC |
|
01/22/18 |
|
|
244,845 |
|
CAD |
|
|
3,182,250 |
|
|
MXN |
|
|
48,380,701 |
|
|
Morgan Stanley & Co. International PLC |
|
01/29/18 |
|
|
87,304 |
|
IDR |
|
|
55,771,136,000 |
|
|
USD |
|
|
4,096,000 |
|
|
JPMorgan Chase Bank N.A. |
|
01/29/18 |
|
|
2,107 |
|
INR |
|
|
290,794,850 |
|
|
USD |
|
|
4,490,000 |
|
|
Barclays Bank PLC |
|
01/29/18 |
|
|
49,591 |
|
RUB |
|
|
218,148,000 |
|
|
USD |
|
|
3,710,000 |
|
|
Credit Suisse International |
|
01/29/18 |
|
|
62,881 |
|
RUB |
|
|
349,873,090 |
|
|
USD |
|
|
5,822,000 |
|
|
Bank of America N.A. |
|
01/30/18 |
|
|
228,069 |
|
EUR |
|
|
3,213,989 |
|
|
USD |
|
|
3,769,283 |
|
|
Deutsche Bank AG |
|
02/02/18 |
|
|
95,165 |
|
EUR |
|
|
471,339 |
|
|
USD |
|
|
552,843 |
|
|
Nomura International PLC |
|
02/02/18 |
|
|
13,887 |
|
USD |
|
|
6,613,000 |
|
|
EUR |
|
|
5,497,694 |
|
|
Barclays Bank PLC |
|
02/02/18 |
|
|
2,663 |
|
USD |
|
|
6,673,000 |
|
|
GBP |
|
|
4,928,295 |
|
|
Barclays Bank PLC |
|
02/02/18 |
|
|
11,204 |
|
USD |
|
|
6,613,000 |
|
|
HUF |
|
|
1,706,166,895 |
|
|
BNP Paribas S.A. |
|
02/02/18 |
|
|
12,573 |
|
USD |
|
|
6,613,000 |
|
|
SEK |
|
|
54,055,674 |
|
|
Barclays Bank PLC |
|
02/02/18 |
|
|
9,068 |
|
|
|
|
46 |
|
2017 BLACKROCK QUARTERLY REPORT TO SHAREHOLDERS |
|
|
|
Consolidated Schedule of Investments (unaudited) (continued) |
|
Master Total Return Portfolio of Master Bond LLC |
December 31, 2017 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Currency
Purchased |
|
|
Currency
Sold |
|
|
|
|
Counterparty |
|
Settlement
Date |
|
|
Unrealized Appreciation (Depreciation) |
|
EUR |
|
|
39,684 |
|
|
USD |
|
|
46,447 |
|
|
Barclays Bank PLC |
|
|
02/09/18 |
|
|
|
$ 1,286 |
|
GBP |
|
|
79,231 |
|
|
USD |
|
|
106,288 |
|
|
Citibank N.A. |
|
|
02/09/18 |
|
|
|
833 |
|
GBP |
|
|
1,980,769 |
|
|
USD |
|
|
2,657,430 |
|
|
UBS AG |
|
|
02/09/18 |
|
|
|
20,605 |
|
EUR |
|
|
876,366 |
|
|
USD |
|
|
1,024,378 |
|
|
Barclays Bank PLC |
|
|
02/12/18 |
|
|
|
29,916 |
|
USD |
|
|
3,600,000 |
|
|
JPY |
|
|
404,287,524 |
|
|
Barclays Bank PLC |
|
|
02/13/18 |
|
|
|
4,037 |
|
USD |
|
|
3,600,000 |
|
|
JPY |
|
|
404,075,160 |
|
|
UBS AG |
|
|
02/13/18 |
|
|
|
5,925 |
|
USD |
|
|
18,000,000 |
|
|
JPY |
|
|
2,020,615,200 |
|
|
UBS AG |
|
|
02/13/18 |
|
|
|
27,498 |
|
INR |
|
|
229,701,000 |
|
|
USD |
|
|
3,450,000 |
|
|
HSBC Bank PLC |
|
|
02/20/18 |
|
|
|
125,929 |
|
INR |
|
|
519,299,200 |
|
|
USD |
|
|
7,760,000 |
|
|
HSBC Bank PLC |
|
|
02/20/18 |
|
|
|
324,323 |
|
INR |
|
|
994,125,000 |
|
|
USD |
|
|
15,000,000 |
|
|
JPMorgan Chase Bank N.A. |
|
|
02/20/18 |
|
|
|
476,296 |
|
CAD |
|
|
3,246,401 |
|
|
USD |
|
|
2,527,500 |
|
|
Barclays Bank PLC |
|
|
02/22/18 |
|
|
|
57,079 |
|
NOK |
|
|
42,232,963 |
|
|
USD |
|
|
5,055,000 |
|
|
Bank of America N.A. |
|
|
02/22/18 |
|
|
|
96,602 |
|
INR |
|
|
144,222,300 |
|
|
USD |
|
|
2,220,000 |
|
|
JPMorgan Chase Bank N.A. |
|
|
03/07/18 |
|
|
|
20,920 |
|
JPY |
|
|
20,000,000 |
|
|
USD |
|
|
177,192 |
|
|
Morgan Stanley & Co. International PLC |
|
|
03/14/18 |
|
|
|
984 |
|
USD |
|
|
9,011,899 |
|
|
JPY |
|
|
1,011,045,000 |
|
|
UBS AG |
|
|
03/14/18 |
|
|
|
4,700 |
|
CAD |
|
|
10,252,130 |
|
|
USD |
|
|
7,980,000 |
|
|
Barclays Bank PLC |
|
|
03/19/18 |
|
|
|
184,571 |
|
TRY |
|
|
8,833,133 |
|
|
USD |
|
|
2,242,222 |
|
|
Standard Chartered Bank |
|
|
03/19/18 |
|
|
|
33,818 |
|
USD |
|
|
39,270,000 |
|
|
HKD |
|
|
305,805,308 |
|
|
JPMorgan Chase Bank N.A. |
|
|
03/19/18 |
|
|
|
66,820 |
|
CAD |
|
|
8,025,000 |
|
|
MXN |
|
|
122,294,846 |
|
|
BNP Paribas S.A. |
|
|
03/20/18 |
|
|
|
260,945 |
|
CAD |
|
|
3,575,000 |
|
|
MXN |
|
|
54,372,282 |
|
|
Morgan Stanley & Co. International PLC |
|
|
03/20/18 |
|
|
|
121,659 |
|
CAD |
|
|
1,747,852 |
|
|
USD |
|
|
1,360,000 |
|
|
BNP Paribas S.A. |
|
|
03/21/18 |
|
|
|
31,985 |
|
EUR |
|
|
2,260,000 |
|
|
CAD |
|
|
3,402,588 |
|
|
Deutsche Bank AG |
|
|
03/21/18 |
|
|
|
15,365 |
|
EUR |
|
|
2,220,000 |
|
|
USD |
|
|
2,638,268 |
|
|
HSBC Bank PLC |
|
|
03/21/18 |
|
|
|
38,677 |
|
NOK |
|
|
14,823,340 |
|
|
CAD |
|
|
2,260,000 |
|
|
Bank of America N.A. |
|
|
03/21/18 |
|
|
|
9,665 |
|
NOK |
|
|
15,154,587 |
|
|
USD |
|
|
1,810,000 |
|
|
JPMorgan Chase Bank N.A. |
|
|
03/21/18 |
|
|
|
39,960 |
|
SEK |
|
|
25,463,846 |
|
|
GBP |
|
|
2,260,000 |
|
|
Morgan Stanley & Co. International PLC |
|
|
03/21/18 |
|
|
|
60,064 |
|
TRY |
|
|
5,593,932 |
|
|
USD |
|
|
1,400,000 |
|
|
Bank of America N.A. |
|
|
03/21/18 |
|
|
|
40,483 |
|
USD |
|
|
1,360,000 |
|
|
BRL |
|
|
4,504,320 |
|
|
BNP Paribas S.A. |
|
|
03/21/18 |
|
|
|
14,227 |
|
USD |
|
|
10,650,000 |
|
|
MXN |
|
|
207,367,961 |
|
|
Barclays Bank PLC |
|
|
03/21/18 |
|
|
|
257,439 |
|
USD |
|
|
58,492,000 |
|
|
MXN |
|
|
1,138,907,676 |
|
|
Barclays Bank PLC |
|
|
03/21/18 |
|
|
|
1,413,910 |
|
USD |
|
|
4,800,000 |
|
|
MXN |
|
|
92,851,200 |
|
|
BNP Paribas S.A. |
|
|
03/21/18 |
|
|
|
146,621 |
|
USD |
|
|
5,900,000 |
|
|
MXN |
|
|
114,519,000 |
|
|
BNP Paribas S.A. |
|
|
03/21/18 |
|
|
|
160,706 |
|
USD |
|
|
890,000 |
|
|
MXN |
|
|
17,190,347 |
|
|
Citibank N.A. |
|
|
03/21/18 |
|
|
|
28,480 |
|
USD |
|
|
680,000 |
|
|
MXN |
|
|
13,121,314 |
|
|
Deutsche Bank AG |
|
|
03/21/18 |
|
|
|
22,405 |
|
JPY |
|
|
197,937,580 |
|
|
AUD |
|
|
2,260,000 |
|
|
Bank of America N.A. |
|
|
03/22/18 |
|
|
|
1,208 |
|
USD |
|
|
5,500,000 |
|
|
JPY |
|
|
615,485,200 |
|
|
UBS AG |
|
|
03/22/18 |
|
|
|
13,880 |
|
USD |
|
|
1,810,000 |
|
|
ZAR |
|
|
22,547,170 |
|
|
BNP Paribas S.A. |
|
|
03/22/18 |
|
|
|
9,895 |
|
CNH |
|
|
15,494,380 |
|
|
USD |
|
|
2,255,000 |
|
|
HSBC Bank PLC |
|
|
05/17/18 |
|
|
|
105,613 |
|
CNH |
|
|
103,445,505 |
|
|
USD |
|
|
14,670,000 |
|
|
HSBC Bank PLC |
|
|
05/21/18 |
|
|
|
1,086,827 |
|
USD |
|
|
142,842 |
|
|
TRY |
|
|
533,000 |
|
|
BNP Paribas S.A. |
|
|
06/25/18 |
|
|
|
9,492 |
|
USD |
|
|
36,206,911 |
|
|
TRY |
|
|
140,645,744 |
|
|
BNP Paribas S.A. |
|
|
06/25/18 |
|
|
|
1,019,091 |
|
USD |
|
|
14,739,646 |
|
|
TRY |
|
|
58,623,256 |
|
|
Citibank N.A. |
|
|
06/25/18 |
|
|
|
72,835 |
|
USD |
|
|
12,396,080 |
|
|
TRY |
|
|
50,359,075 |
|
|
BNP Paribas S.A. |
|
|
08/20/18 |
|
|
|
10,752 |
|
USD |
|
|
7,494,839 |
|
|
TRY |
|
|
30,215,445 |
|
|
Citibank N.A. |
|
|
08/20/18 |
|
|
|
63,642 |
|
USD |
|
|
9,626,853 |
|
|
TRY |
|
|
38,789,480 |
|
|
Citibank N.A. |
|
|
08/20/18 |
|
|
|
86,955 |
|
USD |
|
|
5,430,000 |
|
|
MXN |
|
|
106,916,700 |
|
|
Barclays Bank PLC |
|
|
06/14/19 |
|
|
|
472,251 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12,874,071 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BRL |
|
|
10,588,841 |
|
|
USD |
|
|
3,254,100 |
|
|
Bank of America N.A. |
|
|
01/04/18 |
|
|
|
(64,191 |
) |
BRL |
|
|
16,786,440 |
|
|
USD |
|
|
5,086,800 |
|
|
Barclays Bank PLC |
|
|
01/04/18 |
|
|
|
(29,852 |
) |
BRL |
|
|
35,531,518 |
|
|
USD |
|
|
10,847,000 |
|
|
BNP Paribas S.A. |
|
|
01/04/18 |
|
|
|
(143,061 |
) |
BRL |
|
|
9,938,000 |
|
|
USD |
|
|
3,067,000 |
|
|
BNP Paribas S.A. |
|
|
01/04/18 |
|
|
|
(73,158 |
) |
BRL |
|
|
10,017,091 |
|
|
USD |
|
|
3,058,000 |
|
|
BNP Paribas S.A. |
|
|
01/04/18 |
|
|
|
(40,332 |
) |
|
|
|
|
|
CONSOLIDATED SCHEDULE OF INVESTMENTS |
|
|
47 |
|
|
|
|
Consolidated Schedule of Investments (unaudited) (continued) |
|
Master Total Return Portfolio of Master Bond LLC |
December 31, 2017 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Currency
Purchased |
|
|
Currency
Sold |
|
|
|
|
Counterparty |
|
Settlement
Date |
|
|
Unrealized Appreciation (Depreciation) |
|
BRL |
|
|
14,858,410 |
|
|
USD |
|
|
4,555,000 |
|
|
Goldman Sachs International |
|
|
01/04/18 |
|
|
|
$ (78,875 |
) |
EUR |
|
|
5,506,813 |
|
|
USD |
|
|
6,613,000 |
|
|
Barclays Bank PLC |
|
|
01/04/18 |
|
|
|
(3,244 |
) |
GBP |
|
|
4,932,739 |
|
|
USD |
|
|
6,673,000 |
|
|
Barclays Bank PLC |
|
|
01/04/18 |
|
|
|
(11,695 |
) |
HUF |
|
|
1,708,283,055 |
|
|
USD |
|
|
6,613,000 |
|
|
BNP Paribas S.A. |
|
|
01/04/18 |
|
|
|
(14,156 |
) |
MXN |
|
|
123,702,778 |
|
|
USD |
|
|
6,613,000 |
|
|
BNP Paribas S.A. |
|
|
01/04/18 |
|
|
|
(329,180 |
) |
SEK |
|
|
54,140,419 |
|
|
USD |
|
|
6,613,000 |
|
|
Barclays Bank PLC |
|
|
01/04/18 |
|
|
|
(10,528 |
) |
USD |
|
|
2,474,460 |
|
|
BRL |
|
|
8,257,768 |
|
|
BNP Paribas S.A. |
|
|
01/04/18 |
|
|
|
(13,209 |
) |
USD |
|
|
6,613,000 |
|
|
EUR |
|
|
5,533,785 |
|
|
BNP Paribas S.A. |
|
|
01/04/18 |
|
|
|
(29,129 |
) |
USD |
|
|
186,626,470 |
|
|
EUR |
|
|
156,417,942 |
|
|
HSBC Bank PLC |
|
|
01/04/18 |
|
|
|
(1,119,926 |
) |
USD |
|
|
188,927 |
|
|
GBP |
|
|
141,000 |
|
|
HSBC Bank PLC |
|
|
01/04/18 |
|
|
|
(1,483 |
) |
USD |
|
|
1,553,476 |
|
|
GBP |
|
|
1,152,000 |
|
|
Royal Bank of Scotland PLC |
|
|
01/04/18 |
|
|
|
(2,215 |
) |
USD |
|
|
6,613,000 |
|
|
HUF |
|
|
1,731,245,375 |
|
|
BNP Paribas S.A. |
|
|
01/04/18 |
|
|
|
(74,544 |
) |
USD |
|
|
6,613,000 |
|
|
SEK |
|
|
54,957,998 |
|
|
BNP Paribas S.A. |
|
|
01/04/18 |
|
|
|
(89,176 |
) |
USD |
|
|
593,961 |
|
|
TRY |
|
|
2,320,000 |
|
|
Royal Bank of Canada |
|
|
01/04/18 |
|
|
|
(16,994 |
) |
BRL |
|
|
21,670,801 |
|
|
USD |
|
|
6,613,000 |
|
|
Standard Chartered Bank |
|
|
01/05/18 |
|
|
|
(85,409 |
) |
MXN |
|
|
96,838,200 |
|
|
USD |
|
|
5,055,000 |
|
|
HSBC Bank PLC |
|
|
01/05/18 |
|
|
|
(136,814 |
) |
USD |
|
|
470,000 |
|
|
COP |
|
|
1,418,695,000 |
|
|
BNP Paribas S.A. |
|
|
01/05/18 |
|
|
|
(5,036 |
) |
USD |
|
|
2,544,000 |
|
|
COP |
|
|
7,698,144,000 |
|
|
Royal Bank of Scotland PLC |
|
|
01/05/18 |
|
|
|
(33,647 |
) |
USD |
|
|
2,074,000 |
|
|
COP |
|
|
6,260,369,000 |
|
|
Royal Bank of Scotland PLC |
|
|
01/05/18 |
|
|
|
(22,222 |
) |
USD |
|
|
10,442,769 |
|
|
EUR |
|
|
8,710,655 |
|
|
Citibank N.A. |
|
|
01/05/18 |
|
|
|
(13,155 |
) |
USD |
|
|
2,610,812 |
|
|
EUR |
|
|
2,177,764 |
|
|
Citibank N.A. |
|
|
01/05/18 |
|
|
|
(3,289 |
) |
USD |
|
|
10,442,595 |
|
|
EUR |
|
|
8,710,655 |
|
|
Credit Suisse International |
|
|
01/05/18 |
|
|
|
(13,330 |
) |
USD |
|
|
2,610,769 |
|
|
EUR |
|
|
2,177,764 |
|
|
Credit Suisse International |
|
|
01/05/18 |
|
|
|
(3,333 |
) |
USD |
|
|
893,636 |
|
|
EUR |
|
|
745,364 |
|
|
Standard Chartered Bank |
|
|
01/05/18 |
|
|
|
(1,069 |
) |
USD |
|
|
223,419 |
|
|
EUR |
|
|
186,349 |
|
|
Standard Chartered Bank |
|
|
01/05/18 |
|
|
|
(267 |
) |
USD |
|
|
1,850,000 |
|
|
TRY |
|
|
7,127,715 |
|
|
Goldman Sachs International |
|
|
01/10/18 |
|
|
|
(23,655 |
) |
USD |
|
|
6,135,558 |
|
|
AUD |
|
|
8,009,000 |
|
|
BNP Paribas S.A. |
|
|
01/12/18 |
|
|
|
(113,533 |
) |
USD |
|
|
7,351,541 |
|
|
EUR |
|
|
6,223,000 |
|
|
Royal Bank of Scotland PLC |
|
|
01/12/18 |
|
|
|
(121,501 |
) |
USD |
|
|
2,410,000 |
|
|
RUB |
|
|
142,626,210 |
|
|
Bank of America N.A. |
|
|
01/12/18 |
|
|
|
(61,299 |
) |
USD |
|
|
23,959,355 |
|
|
RUB |
|
|
1,432,469,960 |
|
|
Credit Suisse International |
|
|
01/12/18 |
|
|
|
(861,194 |
) |
USD |
|
|
4,246,000 |
|
|
ZAR |
|
|
57,890,435 |
|
|
Goldman Sachs International |
|
|
01/12/18 |
|
|
|
(422,375 |
) |
BRL |
|
|
21,663,576 |
|
|
USD |
|
|
6,732,000 |
|
|
Deutsche Bank AG |
|
|
01/17/18 |
|
|
|
(215,931 |
) |
MXN |
|
|
10,431,097 |
|
|
USD |
|
|
530,375 |
|
|
BNP Paribas S.A. |
|
|
01/17/18 |
|
|
|
(1,861 |
) |
MXN |
|
|
52,131,381 |
|
|
USD |
|
|
2,651,875 |
|
|
UBS AG |
|
|
01/17/18 |
|
|
|
(10,528 |
) |
USD |
|
|
12,517,515 |
|
|
ZAR |
|
|
181,803,143 |
|
|
BNP Paribas S.A. |
|
|
01/17/18 |
|
|
|
(2,131,537 |
) |
USD |
|
|
16,790,000 |
|
|
HKD |
|
|
131,339,775 |
|
|
Goldman Sachs International |
|
|
01/19/18 |
|
|
|
(28,321 |
) |
MXN |
|
|
143,328,353 |
|
|
USD |
|
|
7,627,175 |
|
|
Citibank N.A. |
|
|
01/22/18 |
|
|
|
(372,313 |
) |
IDR |
|
|
11,785,321,715 |
|
|
USD |
|
|
868,420 |
|
|
JPMorgan Chase Bank N.A. |
|
|
01/26/18 |
|
|
|
(2,169 |
) |
USD |
|
|
2,236,910 |
|
|
EUR |
|
|
1,896,451 |
|
|
Bank of America N.A. |
|
|
01/26/18 |
|
|
|
(42,443 |
) |
USD |
|
|
5,242,239 |
|
|
IDR |
|
|
71,509,383,038 |
|
|
Barclays Bank PLC |
|
|
01/26/18 |
|
|
|
(13,878 |
) |
USD |
|
|
2,025,385 |
|
|
IDR |
|
|
27,608,026,328 |
|
|
BNP Paribas S.A. |
|
|
01/26/18 |
|
|
|
(3,873 |
) |
USD |
|
|
9,020,825 |
|
|
IDR |
|
|
123,107,194,085 |
|
|
Citibank N.A. |
|
|
01/26/18 |
|
|
|
(27,859 |
) |
USD |
|
|
10,729,385 |
|
|
IDR |
|
|
146,702,886,494 |
|
|
Deutsche Bank AG |
|
|
01/26/18 |
|
|
|
(53,640 |
) |
USD |
|
|
9,023,243 |
|
|
IDR |
|
|
123,230,424,817 |
|
|
Deutsche Bank AG |
|
|
01/26/18 |
|
|
|
(34,499 |
) |
USD |
|
|
6,874,852 |
|
|
IDR |
|
|
93,889,847,214 |
|
|
Deutsche Bank AG |
|
|
01/26/18 |
|
|
|
(26,285 |
) |
USD |
|
|
2,026,419 |
|
|
IDR |
|
|
27,603,885,411 |
|
|
Deutsche Bank AG |
|
|
01/26/18 |
|
|
|
(2,534 |
) |
USD |
|
|
1,157,915 |
|
|
IDR |
|
|
15,774,282,086 |
|
|
Deutsche Bank AG |
|
|
01/26/18 |
|
|
|
(1,533 |
) |
USD |
|
|
5,241,855 |
|
|
IDR |
|
|
71,509,382,966 |
|
|
JPMorgan Chase Bank N.A. |
|
|
01/26/18 |
|
|
|
(14,262 |
) |
USD |
|
|
7,610,620 |
|
|
IDR |
|
|
103,565,313,419 |
|
|
JPMorgan Chase Bank N.A. |
|
|
01/26/18 |
|
|
|
(1,687 |
) |
USD |
|
|
2,024,940 |
|
|
IDR |
|
|
27,608,026,709 |
|
|
Royal Bank of Scotland PLC |
|
|
01/26/18 |
|
|
|
(4,319 |
) |
USD |
|
|
4,243,000 |
|
|
MXN |
|
|
84,131,562 |
|
|
Bank of America N.A. |
|
|
01/26/18 |
|
|
|
(12,131 |
) |
IDR |
|
|
261,212,385,000 |
|
|
USD |
|
|
19,245,000 |
|
|
Deutsche Bank AG |
|
|
01/29/18 |
|
|
|
(50,909 |
) |
|
|
|
48 |
|
2017 BLACKROCK QUARTERLY REPORT TO SHAREHOLDERS |
|
|
|
Consolidated Schedule of Investments (unaudited) (continued) |
|
Master Total Return Portfolio of Master Bond LLC |
December 31, 2017 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Currency
Purchased |
|
|
Currency
Sold |
|
|
|
|
Counterparty |
|
Settlement
Date |
|
|
Unrealized Appreciation (Depreciation) |
|
USD |
|
|
4,490,000 |
|
|
INR |
|
|
294,422,770 |
|
|
JPMorgan Chase Bank N.A. |
|
|
01/29/18 |
|
|
|
$(106,226 |
) |
BRL |
|
|
46,623,877 |
|
|
USD |
|
|
14,101,100 |
|
|
BNP Paribas S.A. |
|
|
02/02/18 |
|
|
|
(102,962 |
) |
BRL |
|
|
22,273,365 |
|
|
USD |
|
|
6,736,440 |
|
|
BNP Paribas S.A. |
|
|
02/02/18 |
|
|
|
(49,188 |
) |
MXN |
|
|
130,061,178 |
|
|
USD |
|
|
6,613,000 |
|
|
Goldman Sachs International |
|
|
02/02/18 |
|
|
|
(43,048 |
) |
RUB |
|
|
385,384,101 |
|
|
USD |
|
|
6,673,000 |
|
|
JPMorgan Chase Bank N.A. |
|
|
02/02/18 |
|
|
|
(12,185 |
) |
TRY |
|
|
25,300,677 |
|
|
USD |
|
|
6,613,000 |
|
|
BNP Paribas S.A. |
|
|
02/02/18 |
|
|
|
(7,200 |
) |
USD |
|
|
831,812 |
|
|
CHF |
|
|
827,868 |
|
|
Bank of America N.A. |
|
|
02/02/18 |
|
|
|
(19,876 |
) |
USD |
|
|
10,030,237 |
|
|
EUR |
|
|
8,600,653 |
|
|
Bank of America N.A. |
|
|
02/02/18 |
|
|
|
(311,048 |
) |
USD |
|
|
6,613,000 |
|
|
JPY |
|
|
743,964,483 |
|
|
Barclays Bank PLC |
|
|
02/02/18 |
|
|
|
(950 |
) |
ZAR |
|
|
82,242,575 |
|
|
USD |
|
|
6,613,000 |
|
|
BNP Paribas S.A. |
|
|
02/02/18 |
|
|
|
(2,617 |
) |
BRL |
|
|
21,956,483 |
|
|
USD |
|
|
6,613,000 |
|
|
HSBC Bank PLC |
|
|
02/05/18 |
|
|
|
(22,846 |
) |
USD |
|
|
1,617,521 |
|
|
IDR |
|
|
22,121,216,227 |
|
|
Bank of America N.A. |
|
|
02/08/18 |
|
|
|
(6,670 |
) |
USD |
|
|
1,619,831 |
|
|
IDR |
|
|
22,154,431,221 |
|
|
Goldman Sachs International |
|
|
02/08/18 |
|
|
|
(6,799 |
) |
USD |
|
|
1,619,476 |
|
|
IDR |
|
|
22,154,431,558 |
|
|
JPMorgan Chase Bank N.A. |
|
|
02/08/18 |
|
|
|
(7,154 |
) |
GBP |
|
|
6,810,000 |
|
|
EUR |
|
|
7,758,960 |
|
|
UBS AG |
|
|
02/09/18 |
|
|
|
(125,514 |
) |
USD |
|
|
4,237,942 |
|
|
EUR |
|
|
3,593,949 |
|
|
Barclays Bank PLC |
|
|
02/09/18 |
|
|
|
(84,989 |
) |
USD |
|
|
18,052,974 |
|
|
GBP |
|
|
13,530,682 |
|
|
Barclays Bank PLC |
|
|
02/09/18 |
|
|
|
(240,746 |
) |
USD |
|
|
15,000,000 |
|
|
INR |
|
|
994,125,000 |
|
|
Deutsche Bank AG |
|
|
02/20/18 |
|
|
|
(476,296 |
) |
USD |
|
|
2,140,000 |
|
|
INR |
|
|
142,930,600 |
|
|
HSBC Bank PLC |
|
|
02/20/18 |
|
|
|
(85,109 |
) |
USD |
|
|
5,500,000 |
|
|
INR |
|
|
371,030,000 |
|
|
JPMorgan Chase Bank N.A. |
|
|
02/20/18 |
|
|
|
(276,105 |
) |
USD |
|
|
3,570,000 |
|
|
INR |
|
|
237,155,100 |
|
|
JPMorgan Chase Bank N.A. |
|
|
02/20/18 |
|
|
|
(121,973 |
) |
USD |
|
|
314,596 |
|
|
EUR |
|
|
291,624 |
|
|
Citibank N.A. |
|
|
02/21/18 |
|
|
|
(36,407 |
) |
USD |
|
|
168,942 |
|
|
EUR |
|
|
142,445 |
|
|
Citibank N.A. |
|
|
02/21/18 |
|
|
|
(2,507 |
) |
USD |
|
|
510,583 |
|
|
EUR |
|
|
474,917 |
|
|
Deutsche Bank AG |
|
|
02/21/18 |
|
|
|
(61,033 |
) |
USD |
|
|
515,161 |
|
|
EUR |
|
|
479,196 |
|
|
Morgan Stanley & Co. International PLC |
|
|
02/21/18 |
|
|
|
(61,605 |
) |
USD |
|
|
2,527,500 |
|
|
CAD |
|
|
3,243,948 |
|
|
Bank of America N.A. |
|
|
02/22/18 |
|
|
|
(55,125 |
) |
USD |
|
|
8,000,000 |
|
|
INR |
|
|
520,560,000 |
|
|
Deutsche Bank AG |
|
|
03/07/18 |
|
|
|
(88,438 |
) |
USD |
|
|
5,845,000 |
|
|
INR |
|
|
376,476,450 |
|
|
Deutsche Bank AG |
|
|
03/07/18 |
|
|
|
(4,674 |
) |
JPY |
|
|
79,716,000 |
|
|
USD |
|
|
711,711 |
|
|
HSBC Bank PLC |
|
|
03/14/18 |
|
|
|
(1,537 |
) |
USD |
|
|
1,510,063 |
|
|
CNH |
|
|
10,066,079 |
|
|
HSBC Bank PLC |
|
|
03/14/18 |
|
|
|
(28,938 |
) |
USD |
|
|
5,295,178 |
|
|
EUR |
|
|
4,444,166 |
|
|
Morgan Stanley & Co. International PLC |
|
|
03/14/18 |
|
|
|
(61,117 |
) |
USD |
|
|
2,675,492 |
|
|
HKD |
|
|
20,879,275 |
|
|
HSBC Bank PLC |
|
|
03/14/18 |
|
|
|
(902 |
) |
USD |
|
|
192,335 |
|
|
JPY |
|
|
21,706,000 |
|
|
Deutsche Bank AG |
|
|
03/14/18 |
|
|
|
(1,039 |
) |
USD |
|
|
289,297 |
|
|
JPY |
|
|
32,613,000 |
|
|
JPMorgan Chase Bank N.A. |
|
|
03/14/18 |
|
|
|
(1,246 |
) |
USD |
|
|
9,005,962 |
|
|
JPY |
|
|
1,011,045,321 |
|
|
JPMorgan Chase Bank N.A. |
|
|
03/14/18 |
|
|
|
(1,241 |
) |
USD |
|
|
910,500 |
|
|
KRW |
|
|
989,804,098 |
|
|
Bank of America N.A. |
|
|
03/15/18 |
|
|
|
(15,251 |
) |
USD |
|
|
508,365 |
|
|
TWD |
|
|
15,151,817 |
|
|
Bank of America N.A. |
|
|
03/15/18 |
|
|
|
(3,087 |
) |
HKD |
|
|
305,805,308 |
|
|
USD |
|
|
39,270,000 |
|
|
JPMorgan Chase Bank N.A. |
|
|
03/19/18 |
|
|
|
(66,820 |
) |
JPY |
|
|
648,721,880 |
|
|
USD |
|
|
5,800,000 |
|
|
HSBC Bank PLC |
|
|
03/19/18 |
|
|
|
(18,766 |
) |
USD |
|
|
2,453,000 |
|
|
INR |
|
|
161,898,000 |
|
|
HSBC Bank PLC |
|
|
03/19/18 |
|
|
|
(58,648 |
) |
USD |
|
|
892,000 |
|
|
INR |
|
|
58,872,000 |
|
|
HSBC Bank PLC |
|
|
03/19/18 |
|
|
|
(21,326 |
) |
MXN |
|
|
175,411,766 |
|
|
CAD |
|
|
11,600,000 |
|
|
Goldman Sachs International |
|
|
03/20/18 |
|
|
|
(445,529 |
) |
GBP |
|
|
1,130,000 |
|
|
SEK |
|
|
12,704,025 |
|
|
JPMorgan Chase Bank N.A. |
|
|
03/21/18 |
|
|
|
(26,614 |
) |
GBP |
|
|
1,130,000 |
|
|
SEK |
|
|
12,690,804 |
|
|
JPMorgan Chase Bank N.A. |
|
|
03/21/18 |
|
|
|
(24,994 |
) |
MXN |
|
|
30,555,340 |
|
|
USD |
|
|
1,570,000 |
|
|
Deutsche Bank AG |
|
|
03/21/18 |
|
|
|
(38,673 |
) |
MXN |
|
|
162,036,870 |
|
|
USD |
|
|
8,355,000 |
|
|
JPMorgan Chase Bank N.A. |
|
|
03/21/18 |
|
|
|
(234,276 |
) |
NOK |
|
|
16,855,000 |
|
|
SEK |
|
|
16,891,575 |
|
|
Deutsche Bank AG |
|
|
03/21/18 |
|
|
|
(11,994 |
) |
NOK |
|
|
5,625,000 |
|
|
SEK |
|
|
5,608,125 |
|
|
Deutsche Bank AG |
|
|
03/21/18 |
|
|
|
(440 |
) |
USD |
|
|
1,360,000 |
|
|
CAD |
|
|
1,728,661 |
|
|
Citibank N.A. |
|
|
03/21/18 |
|
|
|
(16,701 |
) |
USD |
|
|
1,360,000 |
|
|
CHF |
|
|
1,324,781 |
|
|
Deutsche Bank AG |
|
|
03/21/18 |
|
|
|
(7,636 |
) |
USD |
|
|
2,642,211 |
|
|
EUR |
|
|
2,220,000 |
|
|
Deutsche Bank AG |
|
|
03/21/18 |
|
|
|
(34,735 |
) |
USD |
|
|
1,568,024 |
|
|
NZD |
|
|
2,260,000 |
|
|
Citibank N.A. |
|
|
03/21/18 |
|
|
|
(32,018 |
) |
|
|
|
|
|
CONSOLIDATED SCHEDULE OF INVESTMENTS |
|
|
49 |
|
|
|
|
Consolidated Schedule of Investments (unaudited) (continued) |
|
Master Total Return Portfolio of Master Bond LLC |
December 31, 2017 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Currency
Purchased |
|
|
Currency
Sold |
|
|
|
|
Counterparty |
|
Settlement
Date |
|
|
Unrealized Appreciation (Depreciation) |
|
JPY |
|
|
111,930,719 |
|
|
SEK |
|
|
8,165,000 |
|
|
Deutsche Bank AG |
|
|
03/22/18 |
|
|
$ |
(2,736 |
) |
JPY |
|
|
72,976,462 |
|
|
SEK |
|
|
5,325,000 |
|
|
Deutsche Bank AG |
|
|
03/22/18 |
|
|
|
(1,979 |
) |
USD |
|
|
2,255,000 |
|
|
CNH |
|
|
15,664,583 |
|
|
HSBC Bank PLC |
|
|
05/17/18 |
|
|
|
(131,544 |
) |
USD |
|
|
14,670,000 |
|
|
CNH |
|
|
103,460,175 |
|
|
JPMorgan Chase Bank N.A. |
|
|
05/21/18 |
|
|
|
(1,089,062 |
) |
TRY |
|
|
140,645,744 |
|
|
USD |
|
|
36,335,528 |
|
|
BNP Paribas S.A. |
|
|
06/25/18 |
|
|
|
(1,147,709 |
) |
TRY |
|
|
59,156,256 |
|
|
USD |
|
|
15,346,526 |
|
|
BNP Paribas S.A. |
|
|
06/25/18 |
|
|
|
(546,366 |
) |
TRY |
|
|
119,182,000 |
|
|
USD |
|
|
30,656,566 |
|
|
BNP Paribas S.A. |
|
|
08/20/18 |
|
|
|
(1,344,904 |
) |
TRY |
|
|
182,000 |
|
|
USD |
|
|
48,107 |
|
|
BNP Paribas S.A. |
|
|
08/20/18 |
|
|
|
(3,346 |
) |
MXN |
|
|
108,029,850 |
|
|
USD |
|
|
5,430,000 |
|
|
Barclays Bank PLC |
|
|
06/14/19 |
|
|
|
(420,634 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(15,379,686 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Unrealized Depreciation |
|
|
|
|
|
$ |
(2,505,615 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Exchange-Traded Options Purchased
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Number
of Contracts |
|
|
Expiration
Date |
|
|
Exercise
Price |
|
|
Notional
Amount (000) |
|
|
Value |
|
|
|
|
|
|
|
|
|
Call |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Delta Air Lines, Inc. |
|
|
5737 |
|
|
|
01/19/18 |
|
|
USD |
|
|
60.00 |
|
|
USD |
|
|
32,127 |
|
|
$ |
114,740 |
|
iShares MSCI Emerging Markets Index ETF |
|
|
3339 |
|
|
|
01/19/18 |
|
|
USD |
|
|
47.00 |
|
|
USD |
|
|
15,733 |
|
|
|
220,374 |
|
Micron Technology, Inc. |
|
|
3723 |
|
|
|
01/19/18 |
|
|
USD |
|
|
40.00 |
|
|
USD |
|
|
15,309 |
|
|
|
828,368 |
|
Micron Technology, Inc. |
|
|
3723 |
|
|
|
01/19/18 |
|
|
USD |
|
|
46.00 |
|
|
USD |
|
|
15,309 |
|
|
|
102,383 |
|
Netflix, Inc. |
|
|
227 |
|
|
|
01/19/18 |
|
|
USD |
|
|
220.00 |
|
|
USD |
|
|
4,357 |
|
|
|
3,859 |
|
S&P 500 Index |
|
|
18 |
|
|
|
01/19/18 |
|
|
USD |
|
|
2,615.00 |
|
|
USD |
|
|
291 |
|
|
|
119,160 |
|
EURO STOXX 50 Index |
|
|
123 |
|
|
|
02/16/18 |
|
|
EUR |
|
|
3,600.00 |
|
|
EUR |
|
|
3,289 |
|
|
|
27,376 |
|
Freeport-McMoRan, Inc. |
|
|
2800 |
|
|
|
02/16/18 |
|
|
USD |
|
|
20.00 |
|
|
USD |
|
|
5,309 |
|
|
|
226,800 |
|
Freeport-McMoRan, Inc. |
|
|
2250 |
|
|
|
03/16/18 |
|
|
USD |
|
|
21.00 |
|
|
USD |
|
|
4,266 |
|
|
|
167,625 |
|
Euro Dollar 90-Day |
|
|
51934 |
|
|
|
06/15/18 |
|
|
USD |
|
|
98.13 |
|
|
USD |
|
|
12,690,073 |
|
|
|
3,895,050 |
|
SPDR S&P 500 ETF Trust |
|
|
1757 |
|
|
|
06/15/18 |
|
|
USD |
|
|
300.00 |
|
|
USD |
|
|
46,887 |
|
|
|
29,869 |
|
SPDR S&P Oil & Gas Explore & Production ETF |
|
|
13768 |
|
|
|
06/15/18 |
|
|
USD |
|
|
38.00 |
|
|
USD |
|
|
51,189 |
|
|
|
3,497,072 |
|
SPDR S&P 500 ETF Trust |
|
|
3459 |
|
|
|
01/18/19 |
|
|
USD |
|
|
310.00 |
|
|
USD |
|
|
92,307 |
|
|
|
254,237 |
|
SPDR S&P 500 ETF Trust |
|
|
3448 |
|
|
|
12/20/19 |
|
|
USD |
|
|
350.00 |
|
|
USD |
|
|
92,013 |
|
|
|
293,080 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,779,993 |
|
|
|
|
|
|
|
|
|
Put |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Conagra Brands, Inc. |
|
|
772 |
|
|
|
01/19/18 |
|
|
USD |
|
|
32.00 |
|
|
USD |
|
|
2,908 |
|
|
|
7,720 |
|
EURO STOXX Banks Index |
|
|
303 |
|
|
|
01/19/18 |
|
|
EUR |
|
|
132.50 |
|
|
EUR |
|
|
53,085 |
|
|
|
54,533 |
|
General Mills, Inc. |
|
|
790 |
|
|
|
01/19/18 |
|
|
USD |
|
|
55.00 |
|
|
USD |
|
|
4,684 |
|
|
|
10,270 |
|
General Mills, Inc. |
|
|
883 |
|
|
|
01/19/18 |
|
|
USD |
|
|
50.00 |
|
|
USD |
|
|
5,235 |
|
|
|
4,415 |
|
General Mills, Inc. |
|
|
1749 |
|
|
|
01/19/18 |
|
|
USD |
|
|
47.50 |
|
|
USD |
|
|
10,370 |
|
|
|
4,373 |
|
SPDR S&P Oil & Gas Explore & Production ETF |
|
|
42 |
|
|
|
01/19/18 |
|
|
USD |
|
|
35.00 |
|
|
USD |
|
|
156 |
|
|
|
735 |
|
CBOE 30 Year Treasury Bond Yield Index |
|
|
658 |
|
|
|
01/26/18 |
|
|
USD |
|
|
124.00 |
|
|
USD |
|
|
81,623 |
|
|
|
277,594 |
|
U.S. Treasury Notes (10 Year) Futures |
|
|
6963 |
|
|
|
01/26/18 |
|
|
USD |
|
|
123.00 |
|
|
USD |
|
|
863,738 |
|
|
|
870,375 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,230,015 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
11,010,008 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
50 |
|
2017 BLACKROCK QUARTERLY REPORT TO SHAREHOLDERS |
|
|
|
Consolidated Schedule of Investments (unaudited) (continued) |
|
Master Total Return Portfolio of Master Bond LLC |
December 31, 2017 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
OTC Barrier Options Purchased |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Type of Option |
|
Counterparty |
|
Expiration Date |
|
|
Exercise Price |
|
|
Barrier
Price/Range |
|
|
Notional Amount (000) |
|
|
Value |
|
Put |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
USD Currency |
|
Under-and-In |
|
Bank of America N.A. |
|
|
01/26/18 |
|
|
|
JPY |
|
|
|
113.00 |
|
|
|
JPY |
|
|
|
115.82 |
|
|
|
USD |
|
|
|
38,200 |
|
|
$ |
1,411 |
|
EUR Currency |
|
One-Touch |
|
Morgan Stanley & Co. International PLC |
|
|
06/07/18 |
|
|
|
TRY |
|
|
|
4.35 |
|
|
|
TRY |
|
|
|
4.35 |
|
|
|
EUR |
|
|
|
378 |
|
|
|
44,391 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
45,802 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
OTC Options Purchased |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Counterparty |
|
Expiration Date |
|
|
Exercise Price |
|
|
Notional Amount (000) |
|
|
Value |
|
Call |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
EUR Currency |
|
Deutsche Bank AG Morgan Stanley & Co. |
|
|
01/03/18 |
|
|
|
USD |
|
|
|
1.20 |
|
|
|
EUR |
|
|
|
34,000 |
|
|
$ |
97,762 |
|
USD Currency |
|
International PLC Morgan Stanley & Co. |
|
|
01/11/18 |
|
|
|
CLP |
|
|
|
660.00 |
|
|
|
USD |
|
|
|
4,259 |
|
|
|
10 |
|
USD Currency |
|
International PLC |
|
|
01/25/18 |
|
|
|
ZAR |
|
|
|
14.00 |
|
|
|
USD |
|
|
|
3,185 |
|
|
|
443 |
|
USD Currency |
|
BNP Paribas S.A. |
|
|
02/07/18 |
|
|
|
CAD |
|
|
|
1.30 |
|
|
|
USD |
|
|
|
45,000 |
|
|
|
38,242 |
|
USD Currency |
|
Citibank N.A. |
|
|
02/07/18 |
|
|
|
CAD |
|
|
|
1.35 |
|
|
|
USD |
|
|
|
22,500 |
|
|
|
713 |
|
USD Currency |
|
HSBC Bank PLC |
|
|
02/09/18 |
|
|
|
HKD |
|
|
|
7.75 |
|
|
|
USD |
|
|
|
20,500 |
|
|
|
150,405 |
|
USD Currency |
|
Goldman Sachs International |
|
|
02/16/18 |
|
|
|
MXN |
|
|
|
19.00 |
|
|
|
USD |
|
|
|
11,100 |
|
|
|
505,034 |
|
USD Currency |
|
Goldman Sachs International |
|
|
02/16/18 |
|
|
|
TRY |
|
|
|
4.20 |
|
|
|
USD |
|
|
|
4,231 |
|
|
|
7,171 |
|
USD Currency |
|
Royal Bank of Scotland PLC |
|
|
02/16/18 |
|
|
|
JPY |
|
|
|
114.00 |
|
|
|
USD |
|
|
|
5,055 |
|
|
|
21,723 |
|
USD Currency |
|
Goldman Sachs International |
|
|
03/05/18 |
|
|
|
KRW |
|
|
|
1,156.00 |
|
|
|
USD |
|
|
|
234,844 |
|
|
|
321,281 |
|
USD Currency |
|
Goldman Sachs International |
|
|
03/05/18 |
|
|
|
KRW |
|
|
|
1,303.00 |
|
|
|
USD |
|
|
|
234,844 |
|
|
|
496 |
|
USD Currency |
|
HSBC Bank PLC |
|
|
03/05/18 |
|
|
|
KRW |
|
|
|
1,190.00 |
|
|
|
USD |
|
|
|
234,844 |
|
|
|
106,873 |
|
USD Currency |
|
HSBC Bank PLC |
|
|
03/15/18 |
|
|
|
HKD |
|
|
|
7.75 |
|
|
|
USD |
|
|
|
42,550 |
|
|
|
294,385 |
|
USD Currency |
|
Bank of America N.A. |
|
|
03/23/18 |
|
|
|
JPY |
|
|
|
119.00 |
|
|
|
USD |
|
|
|
45,000 |
|
|
|
30,847 |
|
USD Currency |
|
Deutsche Bank AG |
|
|
03/23/18 |
|
|
|
JPY |
|
|
|
114.00 |
|
|
|
USD |
|
|
|
45,000 |
|
|
|
316,628 |
|
USD Currency |
|
Deutsche Bank AG |
|
|
05/16/18 |
|
|
|
MXN |
|
|
|
20.00 |
|
|
|
USD |
|
|
|
4,243 |
|
|
|
152,723 |
|
USD Currency |
|
Bank of America N.A. |
|
|
06/13/18 |
|
|
|
CHF |
|
|
|
1.00 |
|
|
|
USD |
|
|
|
8,095 |
|
|
|
52,218 |
|
USD Currency |
|
BNP Paribas S.A. |
|
|
06/13/18 |
|
|
|
CAD |
|
|
|
1.29 |
|
|
|
USD |
|
|
|
15,020 |
|
|
|
133,163 |
|
USD Currency |
|
Citibank N.A. |
|
|
06/13/18 |
|
|
|
SEK |
|
|
|
8.53 |
|
|
|
USD |
|
|
|
7,505 |
|
|
|
56,572 |
|
USD Currency |
|
Deutsche Bank AG |
|
|
06/13/18 |
|
|
|
JPY |
|
|
|
113.40 |
|
|
|
USD |
|
|
|
22,530 |
|
|
|
313,752 |
|
USD Currency |
|
JPMorgan Chase Bank N.A. |
|
|
07/19/18 |
|
|
|
MXN |
|
|
|
20.00 |
|
|
|
USD |
|
|
|
4,243 |
|
|
|
214,311 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,814,752 |
|
Put |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AUD Currency(a) |
|
Bank of America N.A. |
|
|
01/09/18 |
|
|
|
USD |
|
|
|
0.73 |
|
|
|
AUD |
|
|
|
55,700 |
|
|
|
4 |
|
AUD Currency |
|
HSBC Bank PLC |
|
|
01/09/18 |
|
|
|
USD |
|
|
|
0.76 |
|
|
|
AUD |
|
|
|
44,500 |
|
|
|
1,752 |
|
USD Currency |
|
Deutsche Bank AG |
|
|
01/10/18 |
|
|
|
ZAR |
|
|
|
12.76 |
|
|
|
USD |
|
|
|
21,658 |
|
|
|
655,098 |
|
USD Currency |
|
Deutsche Bank AG |
|
|
01/10/18 |
|
|
|
ZAR |
|
|
|
13.31 |
|
|
|
USD |
|
|
|
10,829 |
|
|
|
766,654 |
|
EUR Currency |
|
Goldman Sachs International |
|
|
01/12/18 |
|
|
|
USD |
|
|
|
1.20 |
|
|
|
EUR |
|
|
|
43,690 |
|
|
|
195,273 |
|
USD Currency(a) |
|
Deutsche Bank AG |
|
|
01/12/18 |
|
|
|
BRL |
|
|
|
3.00 |
|
|
|
USD |
|
|
|
22,500 |
|
|
|
2 |
|
USD Currency |
|
JPMorgan Chase Bank N.A. |
|
|
01/12/18 |
|
|
|
ZAR |
|
|
|
13.50 |
|
|
|
USD |
|
|
|
4,246 |
|
|
|
369,698 |
|
EUR Currency |
|
Citibank N.A. |
|
|
01/25/18 |
|
|
|
JPY |
|
|
|
128.00 |
|
|
|
EUR |
|
|
|
33,745 |
|
|
|
1,846 |
|
USD Currency |
|
Deutsche Bank AG |
|
|
01/31/18 |
|
|
|
TRY |
|
|
|
3.40 |
|
|
|
USD |
|
|
|
26,400 |
|
|
|
91 |
|
USD Currency |
|
Deutsche Bank AG Morgan Stanley & Co. |
|
|
01/31/18 |
|
|
|
RUB |
|
|
|
59.00 |
|
|
|
USD |
|
|
|
3,710 |
|
|
|
94,909 |
|
USD Currency |
|
International PLC |
|
|
02/08/18 |
|
|
|
BRL |
|
|
|
3.30 |
|
|
|
USD |
|
|
|
5,330 |
|
|
|
63,514 |
|
EUR Currency |
|
Deutsche Bank AG |
|
|
02/15/18 |
|
|
|
TRY |
|
|
|
4.32 |
|
|
|
EUR |
|
|
|
5,289 |
|
|
|
4,354 |
|
AUD Currency |
|
Deutsche Bank AG |
|
|
02/16/18 |
|
|
|
USD |
|
|
|
0.73 |
|
|
|
AUD |
|
|
|
44,000 |
|
|
|
2,420 |
|
USD Currency |
|
Deutsche Bank AG |
|
|
02/16/18 |
|
|
|
INR |
|
|
|
67.00 |
|
|
|
USD |
|
|
|
21,400 |
|
|
|
975,874 |
|
USD Currency |
|
Goldman Sachs International Morgan Stanley & Co. |
|
|
02/16/18 |
|
|
|
TRY |
|
|
|
3.86 |
|
|
|
USD |
|
|
|
4,231 |
|
|
|
84,683 |
|
USD Currency |
|
International PLC |
|
|
02/16/18 |
|
|
|
MXN |
|
|
|
17.50 |
|
|
|
USD |
|
|
|
11,100 |
|
|
|
570 |
|
AUD Currency |
|
Citibank N.A. |
|
|
02/19/18 |
|
|
|
USD |
|
|
|
0.76 |
|
|
|
AUD |
|
|
|
4,246 |
|
|
|
5,558 |
|
EUR Currency |
|
Deutsche Bank AG |
|
|
03/30/18 |
|
|
|
GBP |
|
|
|
0.84 |
|
|
|
EUR |
|
|
|
44,500 |
|
|
|
60,727 |
|
EUR Currency |
|
Deutsche Bank AG |
|
|
03/30/18 |
|
|
|
GBP |
|
|
|
0.81 |
|
|
|
EUR |
|
|
|
22,333 |
|
|
|
4,077 |
|
|
|
|
|
|
CONSOLIDATED SCHEDULE OF INVESTMENTS |
|
|
51 |
|
|
|
|
Consolidated Schedule of Investments (unaudited) (continued) |
|
Master Total Return Portfolio of Master Bond LLC |
December 31, 2017 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Counterparty |
|
Expiration Date |
|
|
Exercise Price |
|
|
Notional
Amount (000) |
|
|
Value |
|
EUR Currency |
|
HSBC Bank PLC |
|
|
03/30/18 |
|
|
|
GBP |
|
|
|
0.84 |
|
|
|
EUR |
|
|
|
22,500 |
|
|
$ |
30,711 |
|
EUR Currency |
|
Royal Bank of Scotland PLC |
|
|
03/30/18 |
|
|
|
GBP |
|
|
|
0.81 |
|
|
|
EUR |
|
|
|
11,167 |
|
|
|
2,023 |
|
USD Currency |
|
JPMorgan Chase Bank N.A. |
|
|
05/17/18 |
|
|
|
CNH |
|
|
|
6.90 |
|
|
|
USD |
|
|
|
22,225 |
|
|
|
1,155,424 |
|
AUD Currency |
|
HSBC Bank PLC |
|
|
06/13/18 |
|
|
|
USD |
|
|
|
0.76 |
|
|
|
AUD |
|
|
|
24,840 |
|
|
|
215,367 |
|
EUR Currency |
|
HSBC Bank PLC |
|
|
06/13/18 |
|
|
|
USD |
|
|
|
1.17 |
|
|
|
EUR |
|
|
|
94,745 |
|
|
|
733,235 |
|
EUR Currency |
|
Citibank N.A. |
|
|
06/14/18 |
|
|
|
USD |
|
|
|
1.18 |
|
|
|
EUR |
|
|
|
15,400 |
|
|
|
164,422 |
|
USD Currency |
|
JPMorgan Chase Bank N.A. |
|
|
07/24/18 |
|
|
|
INR |
|
|
|
65.00 |
|
|
|
USD |
|
|
|
33,600 |
|
|
|
561,627 |
|
USD Currency |
|
Goldman Sachs International |
|
|
07/26/18 |
|
|
|
INR |
|
|
|
64.50 |
|
|
|
USD |
|
|
|
33,600 |
|
|
|
427,488 |
|
USD Currency |
|
HSBC Bank PLC |
|
|
07/26/18 |
|
|
|
INR |
|
|
|
62.50 |
|
|
|
USD |
|
|
|
33,600 |
|
|
|
113,729 |
|
USD Currency |
|
Deutsche Bank AG |
|
|
07/30/18 |
|
|
|
MXN |
|
|
|
17.35 |
|
|
|
USD |
|
|
|
21,730 |
|
|
|
39,820 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,730,950 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
9,545,702 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) |
Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Exchange-Traded Options Written |
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Number of Contracts |
|
|
Expiration Date |
|
|
Exercise
Price |
|
|
Notional
Amount (000) |
|
|
Value |
|
Call |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Delta Air Lines, Inc. |
|
|
2,820 |
|
|
|
01/19/18 |
|
|
USD |
|
|
55.00 |
|
|
USD |
|
|
15,792 |
|
|
$ |
(559,768 |
) |
Micron Technology, Inc. |
|
|
7,446 |
|
|
|
01/19/18 |
|
|
USD |
|
|
43.00 |
|
|
USD |
|
|
30,618 |
|
|
|
(621,741 |
) |
Freeport-McMoRan, Inc. |
|
|
2,800 |
|
|
|
02/16/18 |
|
|
USD |
|
|
23.00 |
|
|
USD |
|
|
5,309 |
|
|
|
(67,200 |
) |
Freeport-McMoRan, Inc. |
|
|
2,250 |
|
|
|
03/16/18 |
|
|
USD |
|
|
25.00 |
|
|
USD |
|
|
4,266 |
|
|
|
(42,750 |
) |
Euro Dollar 90-Day |
|
|
34,623 |
|
|
|
06/15/18 |
|
|
USD |
|
|
97.88 |
|
|
USD |
|
|
8,447,579 |
|
|
|
(6,275,419 |
) |
SPDR S&P Oil & Gas Explore & Production ETF |
|
|
20,652 |
|
|
|
06/15/18 |
|
|
USD |
|
|
43.00 |
|
|
USD |
|
|
76,784 |
|
|
|
(1,972,266 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(9,539,144 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Put |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury Notes (10 Year) Futures |
|
|
1,316 |
|
|
|
01/26/18 |
|
|
USD |
|
|
123.00 |
|
|
USD |
|
|
163,246 |
|
|
|
(164,500 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(9,703,644 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
OTC Options Written |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Counterparty |
|
Expiration Date |
|
|
Exercise Price |
|
|
Notional
Amount (000) |
|
|
Value |
|
Call |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
USD Currency(a) |
|
Morgan Stanley & Co. International PLC |
|
|
01/11/18 |
|
|
|
CLP |
|
|
|
675.00 |
|
|
|
USD |
|
|
|
4,259 |
|
|
$ |
|
|
CAD Currency |
|
JPMorgan Chase Bank N.A. |
|
|
01/18/18 |
|
|
|
MXN |
|
|
|
15.00 |
|
|
|
CAD |
|
|
|
2,122 |
|
|
|
(78,298 |
) |
USD Currency |
|
Bank of America N.A. |
|
|
01/25/18 |
|
|
|
ZAR |
|
|
|
14.12 |
|
|
|
USD |
|
|
|
4,246 |
|
|
|
(377 |
) |
USD Currency |
|
Deutsche Bank AG |
|
|
01/31/18 |
|
|
|
RUB |
|
|
|
61.00 |
|
|
|
USD |
|
|
|
3,710 |
|
|
|
(4,204 |
) |
USD Currency |
|
BNP Paribas S.A. |
|
|
02/07/18 |
|
|
|
CAD |
|
|
|
1.35 |
|
|
|
USD |
|
|
|
22,500 |
|
|
|
(625 |
) |
|
|
Morgan Stanley & Co. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
USD Currency |
|
International PLC |
|
|
02/08/18 |
|
|
|
BRL |
|
|
|
3.45 |
|
|
|
USD |
|
|
|
2,665 |
|
|
|
(14,667 |
) |
USD Currency |
|
JPMorgan Chase Bank N.A. |
|
|
02/09/18 |
|
|
|
HKD |
|
|
|
7.75 |
|
|
|
USD |
|
|
|
20,500 |
|
|
|
(150,405 |
) |
EUR Currency |
|
Deutsche Bank AG |
|
|
02/15/18 |
|
|
|
TRY |
|
|
|
4.50 |
|
|
|
EUR |
|
|
|
3,700 |
|
|
|
(149,551 |
) |
USD Currency |
|
Goldman Sachs International |
|
|
02/16/18 |
|
|
|
TRY |
|
|
|
4.04 |
|
|
|
USD |
|
|
|
4,231 |
|
|
|
(20,909 |
) |
|
|
Morgan Stanley & Co. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
USD Currency |
|
International PLC |
|
|
02/16/18 |
|
|
|
MXN |
|
|
|
19.00 |
|
|
|
USD |
|
|
|
11,100 |
|
|
|
(506,373 |
) |
AUD Currency |
|
Citibank N.A. |
|
|
02/19/18 |
|
|
|
USD |
|
|
|
0.79 |
|
|
|
AUD |
|
|
|
4,246 |
|
|
|
(26,103 |
) |
USD Currency |
|
Goldman Sachs International |
|
|
03/05/18 |
|
|
|
KRW |
|
|
|
1,212.00 |
|
|
|
USD |
|
|
|
234,844 |
|
|
|
(45,384 |
) |
USD Currency |
|
Goldman Sachs International |
|
|
03/05/18 |
|
|
|
KRW |
|
|
|
1,190.00 |
|
|
|
USD |
|
|
|
234,844 |
|
|
|
(107,237 |
) |
USD Currency |
|
HSBC Bank PLC |
|
|
03/05/18 |
|
|
|
KRW |
|
|
|
1,303.00 |
|
|
|
USD |
|
|
|
234,844 |
|
|
|
(493 |
) |
USD Currency |
|
JPMorgan Chase Bank N.A. |
|
|
03/15/18 |
|
|
|
HKD |
|
|
|
7.75 |
|
|
|
USD |
|
|
|
42,550 |
|
|
|
(294,385 |
) |
USD Currency |
|
Deutsche Bank AG |
|
|
03/23/18 |
|
|
|
JPY |
|
|
|
119.00 |
|
|
|
USD |
|
|
|
45,000 |
|
|
|
(30,150 |
) |
USD Currency |
|
Bank of America N.A. |
|
|
06/13/18 |
|
|
|
CHF |
|
|
|
1.05 |
|
|
|
USD |
|
|
|
8,095 |
|
|
|
(9,738 |
) |
USD Currency |
|
BNP Paribas S.A. |
|
|
06/13/18 |
|
|
|
CAD |
|
|
|
1.36 |
|
|
|
USD |
|
|
|
15,020 |
|
|
|
(34,729 |
) |
|
|
|
52 |
|
2017 BLACKROCK QUARTERLY REPORT TO SHAREHOLDERS |
|
|
|
Consolidated Schedule of Investments (unaudited) (continued) |
|
Master Total Return Portfolio of Master Bond LLC |
December 31, 2017 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Counterparty |
|
Expiration Date |
|
|
Exercise Price |
|
|
Notional
Amount (000) |
|
|
Value |
|
USD Currency |
|
Citibank N.A. |
|
|
06/13/18 |
|
|
|
SEK |
|
|
|
8.95 |
|
|
|
USD |
|
|
|
7,505 |
|
|
$ |
(16,617 |
) |
USD Currency |
|
Deutsche Bank AG |
|
|
06/13/18 |
|
|
|
JPY |
|
|
|
119.00 |
|
|
|
USD |
|
|
|
22,530 |
|
|
|
(65,212 |
) |
USD Currency |
|
JPMorgan Chase Bank N.A. |
|
|
07/19/18 |
|
|
|
MXN |
|
|
|
22.50 |
|
|
|
USD |
|
|
|
4,243 |
|
|
|
(69,619 |
) |
USD Currency |
|
Deutsche Bank AG |
|
|
07/30/18 |
|
|
|
MXN |
|
|
|
20.80 |
|
|
|
USD |
|
|
|
21,730 |
|
|
|
(806,631 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(2,431,707 |
) |
Put |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AUD Currency |
|
Bank of America N.A. |
|
|
01/09/18 |
|
|
|
USD |
|
|
|
0.76 |
|
|
|
AUD |
|
|
|
44,500 |
|
|
|
(1,953 |
) |
AUD Currency(a) |
|
HSBC Bank PLC |
|
|
01/09/18 |
|
|
|
USD |
|
|
|
0.73 |
|
|
|
AUD |
|
|
|
55,700 |
|
|
|
(4 |
) |
USD Currency |
|
Deutsche Bank AG |
|
|
01/10/18 |
|
|
|
ZAR |
|
|
|
12.76 |
|
|
|
USD |
|
|
|
21,658 |
|
|
|
(632,135 |
) |
USD Currency |
|
Deutsche Bank AG |
|
|
01/10/18 |
|
|
|
ZAR |
|
|
|
13.31 |
|
|
|
USD |
|
|
|
10,829 |
|
|
|
(782,472 |
) |
USD Currency |
|
JPMorgan Chase Bank N.A. |
|
|
01/12/18 |
|
|
|
ZAR |
|
|
|
13.00 |
|
|
|
USD |
|
|
|
4,246 |
|
|
|
(197,782 |
) |
USD Currency(a) |
|
Morgan Stanley & Co. International PLC |
|
|
01/12/18 |
|
|
|
BRL |
|
|
|
3.00 |
|
|
|
USD |
|
|
|
22,500 |
|
|
|
(2 |
) |
CAD Currency |
|
JPMorgan Chase Bank N.A. |
|
|
01/18/18 |
|
|
|
MXN |
|
|
|
15.00 |
|
|
|
CAD |
|
|
|
2,122 |
|
|
|
(1,162 |
) |
USD Currency |
|
Credit Suisse International |
|
|
01/26/18 |
|
|
|
RUB |
|
|
|
58.50 |
|
|
|
USD |
|
|
|
3,710 |
|
|
|
(67,229 |
) |
EUR Currency |
|
Deutsche Bank AG |
|
|
02/15/18 |
|
|
|
TRY |
|
|
|
4.10 |
|
|
|
EUR |
|
|
|
3,700 |
|
|
|
(84 |
) |
USD Currency |
|
JPMorgan Chase Bank N.A. |
|
|
02/16/18 |
|
|
|
INR |
|
|
|
67.00 |
|
|
|
USD |
|
|
|
21,400 |
|
|
|
(975,874 |
) |
EUR Currency |
|
Deutsche Bank AG |
|
|
03/30/18 |
|
|
|
GBP |
|
|
|
0.81 |
|
|
|
EUR |
|
|
|
11,000 |
|
|
|
(2,023 |
) |
EUR Currency |
|
HSBC Bank PLC |
|
|
03/30/18 |
|
|
|
GBP |
|
|
|
0.81 |
|
|
|
EUR |
|
|
|
22,500 |
|
|
|
(4,119 |
) |
USD Currency |
|
HSBC Bank PLC |
|
|
05/17/18 |
|
|
|
CNH |
|
|
|
6.90 |
|
|
|
USD |
|
|
|
22,225 |
|
|
|
(1,155,424 |
) |
AUD Currency |
|
HSBC Bank PLC |
|
|
06/13/18 |
|
|
|
USD |
|
|
|
0.72 |
|
|
|
AUD |
|
|
|
24,840 |
|
|
|
(59,215 |
) |
EUR Currency |
|
HSBC Bank PLC |
|
|
06/13/18 |
|
|
|
USD |
|
|
|
1.11 |
|
|
|
EUR |
|
|
|
94,745 |
|
|
|
(140,271 |
) |
EUR Currency |
|
Citibank N.A. |
|
|
06/14/18 |
|
|
|
USD |
|
|
|
1.12 |
|
|
|
EUR |
|
|
|
15,400 |
|
|
|
(32,366 |
) |
USD Currency |
|
Goldman Sachs International |
|
|
07/26/18 |
|
|
|
INR |
|
|
|
62.50 |
|
|
|
USD |
|
|
|
33,600 |
|
|
|
(113,692 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(4,165,807 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(6,597,514 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) |
Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Centrally Cleared Credit Default Swaps Buy Protection
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Reference Obligation |
|
Financing Rate Paid by
the Fund |
|
|
|
Payment Frequency |
|
|
|
|
|
Termination Date |
|
|
|
|
|
Notional Amount (000) |
|
|
|
|
|
Value |
|
|
|
|
|
Upfront Premium Paid (Received) |
|
|
|
|
|
Unrealized Appreciation (Depreciation) |
|
ITRAXX.XO.28.V1 |
|
5.00% |
|
|
|
|
Quarterly |
|
|
|
|
|
|
|
12/20/22 |
|
|
|
|
|
|
EUR |
|
|
64,655 |
|
|
|
|
|
|
$ |
(9,487,723 |
) |
|
|
|
|
|
$ |
(8,690,105 |
) |
|
|
|
|
|
|
$(797,618 |
) |
Centrally Cleared Credit Default Swaps Sell Protection
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Reference Obligation |
|
Financing Rate Received by the Fund |
|
|
|
|
|
Payment Frequency |
|
|
|
|
|
Termination Date |
|
|
|
|
|
Credit
Rating(a) |
|
|
|
|
|
Notional
Amount (000)(b) |
|
|
Value |
|
|
|
|
|
Upfront Premium
Paid (Received) |
|
|
|
|
|
Unrealized Appreciation (Depreciation) |
|
ITRAXX.EUR.21.V1 |
|
|
1.00% |
|
|
|
|
|
|
|
Quarterly |
|
|
|
|
|
|
|
06/20/19 |
|
|
|
|
|
|
|
BBB+ |
|
|
|
|
|
|
EUR |
|
|
1,445 |
|
|
|
|
|
|
$ |
27,651 |
|
|
|
|
|
|
$ |
12,104 |
|
|
|
|
|
|
|
$15,547 |
|
ITRAXX.EUR.25.V1 |
|
|
1.00% |
|
|
|
|
|
|
|
Quarterly |
|
|
|
|
|
|
|
06/20/21 |
|
|
|
|
|
|
|
BBB+ |
|
|
|
|
|
|
EUR |
|
|
5,170 |
|
|
|
|
|
|
|
156,931 |
|
|
|
|
|
|
|
63,989 |
|
|
|
|
|
|
|
92,942 |
|
CDX.NA.IG.29.V1 |
|
|
1.00% |
|
|
|
|
|
|
|
Quarterly |
|
|
|
|
|
|
|
12/20/22 |
|
|
|
|
|
|
|
BBB+ |
|
|
|
|
|
|
USD |
|
|
56,249 |
|
|
|
|
|
|
|
1,361,120 |
|
|
|
|
|
|
|
1,295,132 |
|
|
|
|
|
|
|
65,988 |
|
ITRAXX.EUR.28.V1 |
|
|
1.00% |
|
|
|
|
|
|
|
Quarterly |
|
|
|
|
|
|
|
12/20/22 |
|
|
|
|
|
|
|
BBB+ |
|
|
|
|
|
|
EUR |
|
|
44,840 |
|
|
|
|
|
|
|
1,469,163 |
|
|
|
|
|
|
|
1,130,867 |
|
|
|
|
|
|
|
338,296 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
3,014,865 |
|
|
|
|
|
|
$ |
2,502,092 |
|
|
|
|
|
|
|
$512,773 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) |
Using S&Ps rating of the issuer or the underlying securities of the index, as applicable. |
|
|
(b) |
The maximum potential amount the Master Portfolio may pay should a negative credit event take place as defined under the terms of the agreement. |
|
|
|
|
|
|
CONSOLIDATED SCHEDULE OF INVESTMENTS |
|
|
53 |
|
|
|
|
Consolidated Schedule of Investments (unaudited) (continued) |
|
Master Total Return Portfolio of Master Bond LLC |
December 31, 2017 |
|
|
Centrally Cleared Inflation
Swaps
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Paid by the Fund |
|
Received by the Fund |
|
Termination Date |
|
Notional
Amount (000) |
|
Value |
|
Upfront Premium Paid (Received) |
|
|
Unrealized Appreciation (Depreciation) |
|
Rate |
|
Frequency |
|
Rate |
|
Frequency |
|
|
|
|
|
UK RPI All Items Monthly |
|
At Termination |
|
3.46% |
|
At Termination |
|
10/15/26 |
|
|
GBP |
|
|
27,662 |
|
$331,841 |
|
$ |
688 |
|
|
$ |
331,153 |
|
Centrally Cleared Interest Rate Swaps
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Paid by the Fund |
|
Received by the Fund |
|
Effective Date |
|
|
Termination Date |
|
|
Notional Amount
(000) |
|
|
Value |
|
|
Upfront Premium Paid (Received) |
|
|
Unrealized Appreciation (Depreciation) |
|
Rate |
|
Frequency |
|
Rate |
|
Frequency |
|
|
|
|
|
|
28-day MXIBTIIE |
|
Monthly |
|
7.81% |
|
Monthly |
|
|
N/A |
|
|
|
06/07/18 |
|
|
MXN |
|
|
636,450 |
|
|
$ |
(1,324 |
) |
|
$ |
26 |
|
|
$ |
(1,350 |
) |
28-day MXIBTIIE |
|
Monthly |
|
7.85% |
|
Monthly |
|
|
N/A |
|
|
|
06/12/18 |
|
|
MXN |
|
|
636,450 |
|
|
|
706 |
|
|
|
26 |
|
|
|
680 |
|
7.36% |
|
Monthly |
|
28-day MXIBTIIE |
|
Monthly |
|
|
N/A |
|
|
|
01/28/19 |
|
|
MXN |
|
|
728,739 |
|
|
|
274,846 |
|
|
|
116 |
|
|
|
274,730 |
|
3-month LIBOR |
|
Quarterly |
|
2.05% |
|
Semi-Annual |
|
|
11/19/18 |
(a) |
|
|
11/19/19 |
|
|
USD |
|
|
3,016,260 |
|
|
|
(5,234,720 |
) |
|
|
5,097 |
|
|
|
(5,239,817 |
) |
3-month LIBOR |
|
Quarterly |
|
2.05% |
|
Semi-Annual |
|
|
11/19/18 |
(a) |
|
|
11/19/19 |
|
|
USD |
|
|
1,566,300 |
|
|
|
(2,794,358 |
) |
|
|
2,647 |
|
|
|
(2,797,005 |
) |
3-month LIBOR |
|
Quarterly |
|
2.16% |
|
Semi-Annual |
|
|
12/06/18 |
(a) |
|
|
12/06/19 |
|
|
USD |
|
|
1,547,250 |
|
|
|
(1,164,878 |
) |
|
|
2,522 |
|
|
|
(1,167,400 |
) |
28-day MXIBTIIE |
|
Monthly |
|
7.32% |
|
Monthly |
|
|
N/A |
|
|
|
02/20/20 |
|
|
MXN |
|
|
674,413 |
|
|
|
(464,815 |
) |
|
|
86 |
|
|
|
(464,901 |
) |
28-day MXIBTIIE |
|
Monthly |
|
7.16% |
|
Monthly |
|
|
N/A |
|
|
|
04/29/20 |
|
|
MXN |
|
|
702,890 |
|
|
|
(627,187 |
) |
|
|
113 |
|
|
|
(627,300 |
) |
3-month LIBOR |
|
Quarterly |
|
2.24% |
|
Semi-Annual |
|
|
11/01/19 |
(a) |
|
|
11/01/21 |
|
|
USD |
|
|
313,940 |
|
|
|
(600,197 |
) |
|
|
1,326 |
|
|
|
(601,523 |
) |
2.27% |
|
Semi-Annual |
|
3-month LIBOR |
|
Quarterly |
|
|
11/19/20 |
(a) |
|
|
11/19/21 |
|
|
USD |
|
|
3,147,170 |
|
|
|
2,540,679 |
|
|
|
5,319 |
|
|
|
2,535,360 |
|
2.28% |
|
Semi-Annual |
|
3-month LIBOR |
|
Quarterly |
|
|
11/19/20 |
(a) |
|
|
11/19/21 |
|
|
USD |
|
|
1,629,370 |
|
|
|
1,182,516 |
|
|
|
2,754 |
|
|
|
1,179,762 |
|
2.34% |
|
Semi-Annual |
|
3-month LIBOR |
|
Quarterly |
|
|
12/07/20 |
(a) |
|
|
12/07/21 |
|
|
USD |
|
|
1,619,780 |
|
|
|
362,101 |
|
|
|
2,737 |
|
|
|
359,364 |
|
3-month LIBOR |
|
Quarterly |
|
2.31% |
|
Semi-Annual |
|
|
12/09/19 |
(a) |
|
|
12/08/21 |
|
|
USD |
|
|
640,660 |
|
|
|
(457,213 |
) |
|
|
2,659 |
|
|
|
(459,872 |
) |
3-month LIBOR |
|
Quarterly |
|
2.39% |
|
Semi-Annual |
|
|
12/19/19 |
(a) |
|
|
12/19/21 |
|
|
USD |
|
|
323,940 |
|
|
|
322,273 |
|
|
|
1,356 |
|
|
|
320,917 |
|
28-day MXIBTIIE |
|
Monthly |
|
7.45% |
|
Monthly |
|
|
N/A |
|
|
|
03/07/22 |
|
|
MXN |
|
|
230,990 |
|
|
|
(177,313 |
) |
|
|
(147 |
) |
|
|
(177,166 |
) |
28-day MXIBTIIE |
|
Monthly |
|
7.48% |
|
Monthly |
|
|
N/A |
|
|
|
03/07/22 |
|
|
MXN |
|
|
115,492 |
|
|
|
(81,177 |
) |
|
|
37 |
|
|
|
(81,214 |
) |
28-day MXIBTIIE |
|
Monthly |
|
7.47% |
|
Monthly |
|
|
N/A |
|
|
|
03/07/22 |
|
|
MXN |
|
|
115,490 |
|
|
|
(83,312 |
) |
|
|
37 |
|
|
|
(83,349 |
) |
28-day MXIBTIIE |
|
Monthly |
|
6.92% |
|
Monthly |
|
|
N/A |
|
|
|
07/01/22 |
|
|
MXN |
|
|
353,350 |
|
|
|
(644,807 |
) |
|
|
157 |
|
|
|
(644,964 |
) |
28-day MXIBTIIE |
|
Monthly |
|
6.88% |
|
Monthly |
|
|
N/A |
|
|
|
08/01/22 |
|
|
MXN |
|
|
189,000 |
|
|
|
(363,840 |
) |
|
|
88 |
|
|
|
(363,928 |
) |
28-day MXIBTIIE |
|
Monthly |
|
6.90% |
|
Monthly |
|
|
N/A |
|
|
|
08/02/22 |
|
|
MXN |
|
|
126,000 |
|
|
|
(240,039 |
) |
|
|
59 |
|
|
|
(240,098 |
) |
7.13% |
|
Monthly |
|
28-day MXIBTIIE |
|
Monthly |
|
|
N/A |
|
|
|
10/07/22 |
|
|
MXN |
|
|
109,921 |
|
|
|
161,448 |
|
|
|
52 |
|
|
|
161,396 |
|
7.14% |
|
Monthly |
|
28-day MXIBTIIE |
|
Monthly |
|
|
N/A |
|
|
|
10/10/22 |
|
|
MXN |
|
|
44,444 |
|
|
|
64,363 |
|
|
|
21 |
|
|
|
64,342 |
|
7.11% |
|
Monthly |
|
28-day MXIBTIIE |
|
Monthly |
|
|
N/A |
|
|
|
10/14/22 |
|
|
MXN |
|
|
146,271 |
|
|
|
222,780 |
|
|
|
69 |
|
|
|
222,711 |
|
7.11% |
|
Monthly |
|
28-day MXIBTIIE |
|
Monthly |
|
|
N/A |
|
|
|
10/14/22 |
|
|
MXN |
|
|
110,975 |
|
|
|
167,845 |
|
|
|
52 |
|
|
|
167,793 |
|
28-day MXIBTIIE |
|
Monthly |
|
6.32% |
|
Monthly |
|
|
N/A |
|
|
|
07/17/25 |
|
|
MXN |
|
|
73,475 |
|
|
|
(345,693 |
) |
|
|
426 |
|
|
|
(346,119 |
) |
3-month LIBOR |
|
Quarterly |
|
2.13% |
|
Semi-Annual |
|
|
N/A |
|
|
|
08/25/25 |
|
|
USD |
|
|
2,360 |
|
|
|
(18,134 |
) |
|
|
28 |
|
|
|
(18,162 |
) |
|
|
|
54 |
|
2017 BLACKROCK QUARTERLY REPORT TO SHAREHOLDERS |
|
|
|
Consolidated Schedule of Investments (unaudited) (continued) |
|
Master Total Return Portfolio of Master Bond LLC |
December 31, 2017 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Paid by the Fund |
|
Received by the Fund |
|
Effective Date |
|
Termination Date |
|
Notional Amount
(000) |
|
|
Value |
|
|
Upfront Premium Paid (Received) |
|
|
Unrealized Appreciation (Depreciation) |
|
Rate |
|
Frequency |
|
Rate |
|
Frequency |
|
|
|
|
|
|
2.27% |
|
Semi-Annual |
|
3-month LIBOR |
|
Quarterly |
|
N/A |
|
09/11/25 |
|
USD |
|
|
1,800 |
|
|
$ |
(4,028 |
) |
|
$ |
23 |
|
|
$ |
(4,051 |
) |
7.29% |
|
Monthly |
|
28-day MXIBTIIE |
|
Monthly |
|
N/A |
|
06/25/27 |
|
MXN |
|
|
204,750 |
|
|
|
468,926 |
|
|
|
176 |
|
|
|
468,750 |
|
7.16% |
|
Monthly |
|
28-day MXIBTIIE |
|
Monthly |
|
N/A |
|
07/26/27 |
|
MXN |
|
|
108,600 |
|
|
|
299,418 |
|
|
|
60 |
|
|
|
299,358 |
|
7.18% |
|
Monthly |
|
28-day MXIBTIIE |
|
Monthly |
|
N/A |
|
07/27/27 |
|
MXN |
|
|
72,400 |
|
|
|
196,775 |
|
|
|
64 |
|
|
|
196,711 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(7,038,359 |
) |
|
$ |
27,986 |
|
|
$ |
(7,066,345 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
OTC Credit Default Swaps Buy Protection
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Reference
Obligation |
|
Financing Rate Paid by the Fund |
|
Payment Frequency |
|
|
Counterparty |
|
Termination Date |
|
Notional Amount (000) |
|
|
Value |
|
|
Upfront Premium Paid (Received) |
|
|
Unrealized Appreciation (Depreciation) |
|
Marks & Spencer PLC |
|
1.00% |
|
|
Quarterly |
|
|
Bank of America N.A. |
|
12/20/22 |
|
EUR |
|
|
1,325 |
|
|
$ |
23,770 |
|
|
$ |
26,913 |
|
|
$ |
(3,143 |
) |
Marks & Spencer PLC |
|
1.00% |
|
|
Quarterly |
|
|
Bank of America N.A. |
|
12/20/22 |
|
EUR |
|
|
75 |
|
|
|
1,345 |
|
|
|
1,523 |
|
|
|
(178 |
) |
Peoples Republic of China |
|
1.00% |
|
|
Quarterly |
|
|
Bank of America N.A. |
|
06/20/22 |
|
USD |
|
|
2,001 |
|
|
|
(47,322 |
) |
|
|
(15,021 |
) |
|
|
(32,301 |
) |
Republic of France |
|
0.25% |
|
|
Quarterly |
|
|
Bank of America N.A. |
|
06/20/22 |
|
USD |
|
|
780 |
|
|
|
(3,328 |
) |
|
|
7,888 |
|
|
|
(11,216 |
) |
Republic of France |
|
0.25% |
|
|
Quarterly |
|
|
Bank of America N.A. |
|
06/20/22 |
|
USD |
|
|
780 |
|
|
|
(3,328 |
) |
|
|
9,677 |
|
|
|
(13,005 |
) |
Republic of South Africa |
|
1.00% |
|
|
Quarterly |
|
|
Bank of America N.A. |
|
12/20/22 |
|
USD |
|
|
2,965 |
|
|
|
77,056 |
|
|
|
114,759 |
|
|
|
(37,703 |
) |
Republic of South Africa |
|
1.00% |
|
|
Quarterly |
|
|
Bank of America N.A. |
|
12/20/22 |
|
USD |
|
|
1,899 |
|
|
|
49,352 |
|
|
|
74,056 |
|
|
|
(24,704 |
) |
United Mexican States |
|
1.00% |
|
|
Quarterly |
|
|
Bank of America N.A. |
|
09/20/20 |
|
USD |
|
|
7,452 |
|
|
|
(83,864 |
) |
|
|
50,931 |
|
|
|
(134,795 |
) |
Buoni Poliennali Del Tesoro |
|
1.00% |
|
|
Quarterly |
|
|
Barclays Bank PLC |
|
03/20/18 |
|
USD |
|
|
6,000 |
|
|
|
(13,757 |
) |
|
|
15,545 |
|
|
|
(29,302 |
) |
Federative Republic of Brazil |
|
1.00% |
|
|
Quarterly |
|
|
Barclays Bank PLC |
|
12/20/22 |
|
USD |
|
|
4,794 |
|
|
|
133,648 |
|
|
|
172,724 |
|
|
|
(39,076 |
) |
Fiat Chrysler Automobiles NV |
|
5.00% |
|
|
Quarterly |
|
|
Barclays Bank PLC |
|
12/20/22 |
|
EUR |
|
|
640 |
|
|
|
(120,554 |
) |
|
|
(116,823 |
) |
|
|
(3,731 |
) |
ITRAXX.FINSR.20.V1 |
|
1.00% |
|
|
Quarterly |
|
|
Barclays Bank PLC |
|
12/20/18 |
|
EUR |
|
|
1,450 |
|
|
|
(18,239 |
) |
|
|
(2,860 |
) |
|
|
(15,379 |
) |
K Hovnanian Enterprises, Inc. |
|
5.00% |
|
|
Quarterly |
|
|
Barclays Bank PLC |
|
12/20/22 |
|
USD |
|
|
2,560 |
|
|
|
1,197,686 |
|
|
|
810,541 |
|
|
|
387,145 |
|
Kingdom of Thailand |
|
1.00% |
|
|
Quarterly |
|
|
Barclays Bank PLC |
|
06/20/21 |
|
USD |
|
|
769 |
|
|
|
(18,162 |
) |
|
|
(730 |
) |
|
|
(17,432 |
) |
Lowes Corp. |
|
1.00% |
|
|
Quarterly |
|
|
Barclays Bank PLC |
|
12/20/22 |
|
USD |
|
|
4,245 |
|
|
|
(175,340 |
) |
|
|
(137,995 |
) |
|
|
(37,345 |
) |
Marks & Spencer PLC |
|
1.00% |
|
|
Quarterly |
|
|
Barclays Bank PLC |
|
12/20/22 |
|
EUR |
|
|
1,880 |
|
|
|
33,718 |
|
|
|
39,230 |
|
|
|
(5,512 |
) |
Mitsubishi Corp. |
|
1.00% |
|
|
Quarterly |
|
|
Barclays Bank PLC |
|
12/20/20 |
|
JPY |
|
|
47,573 |
|
|
|
(10,506 |
) |
|
|
(4,449 |
) |
|
|
(6,057 |
) |
|
|
|
|
|
CONSOLIDATED SCHEDULE OF INVESTMENTS |
|
|
55 |
|
|
|
|
Consolidated Schedule of Investments (unaudited) (continued) |
|
Master Total Return Portfolio of Master Bond LLC |
December 31, 2017 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Reference Obligation |
|
Financing Rate Paid by the Fund |
|
|
Payment Frequency |
|
|
Counterparty |
|
Termination Date |
|
Notional Amount
(000) |
|
|
Value |
|
|
Upfront Premium Paid (Received) |
|
|
Unrealized Appreciation (Depreciation) |
|
Peoples Republic of China |
|
|
1.00 |
% |
|
|
Quarterly |
|
|
Barclays Bank PLC |
|
06/20/22 |
|
USD |
|
|
4,600 |
|
|
$ |
(108,779) |
|
|
$ |
(37,401) |
|
|
$ |
(71,378) |
|
Peoples Republic of China |
|
|
1.00 |
% |
|
|
Quarterly |
|
|
Barclays Bank PLC |
|
06/20/22 |
|
USD |
|
|
1,387 |
|
|
|
(32,804) |
|
|
|
(11,001) |
|
|
|
(21,803) |
|
Simon Property Group, Inc. |
|
|
1.00 |
% |
|
|
Quarterly |
|
|
Barclays Bank PLC |
|
12/20/22 |
|
USD |
|
|
5,500 |
|
|
|
(84,992) |
|
|
|
(46,608) |
|
|
|
(38,384) |
|
Sumitomo Mitsui Banking Corp. |
|
|
1.00 |
% |
|
|
Quarterly |
|
|
Barclays Bank PLC |
|
12/20/20 |
|
JPY |
|
|
24,938 |
|
|
|
(5,642) |
|
|
|
710 |
|
|
|
(6,352) |
|
United Mexican States |
|
|
1.00 |
% |
|
|
Quarterly |
|
|
Barclays Bank PLC |
|
12/20/22 |
|
USD |
|
|
4,489 |
|
|
|
11,666 |
|
|
|
19,662 |
|
|
|
(7,996) |
|
Vodafone Group PLC |
|
|
1.00 |
% |
|
|
Quarterly |
|
|
Barclays Bank PLC |
|
12/20/22 |
|
EUR |
|
|
5,530 |
|
|
|
(153,185) |
|
|
|
(122,892) |
|
|
|
(30,293) |
|
Banco Comercial Portugues SA |
|
|
5.00 |
% |
|
|
Quarterly |
|
|
BNP Paribas S.A. |
|
12/20/20 |
|
EUR |
|
|
216 |
|
|
|
(32,186) |
|
|
|
(2,204) |
|
|
|
(29,982) |
|
Clariant AG |
|
|
1.00 |
% |
|
|
Quarterly |
|
|
BNP Paribas S.A. |
|
12/20/21 |
|
EUR |
|
|
500 |
|
|
|
(11,487) |
|
|
|
(1,052) |
|
|
|
(10,435) |
|
Kingdom of Thailand |
|
|
1.00 |
% |
|
|
Quarterly |
|
|
BNP Paribas S.A. |
|
06/20/21 |
|
USD |
|
|
731 |
|
|
|
(17,260) |
|
|
|
(1,390) |
|
|
|
(15,870) |
|
Republic of Portugal |
|
|
1.00 |
% |
|
|
Quarterly |
|
|
BNP Paribas S.A. |
|
09/20/19 |
|
USD |
|
|
875 |
|
|
|
(12,244) |
|
|
|
8,835 |
|
|
|
(21,079) |
|
Standard Chartered PLC |
|
|
1.00 |
% |
|
|
Quarterly |
|
|
BNP Paribas S.A. |
|
12/20/20 |
|
EUR |
|
|
810 |
|
|
|
(23,348) |
|
|
|
12,379 |
|
|
|
(35,727) |
|
Standard Chartered PLC |
|
|
1.00 |
% |
|
|
Quarterly |
|
|
BNP Paribas S.A. |
|
12/20/20 |
|
EUR |
|
|
460 |
|
|
|
(13,278) |
|
|
|
7,330 |
|
|
|
(20,608) |
|
TDC A/S |
|
|
1.00 |
% |
|
|
Quarterly |
|
|
BNP Paribas S.A. |
|
12/20/22 |
|
EUR |
|
|
1,430 |
|
|
|
(14,331) |
|
|
|
(7,309) |
|
|
|
(7,022) |
|
ArcelorMittal |
|
|
5.00 |
% |
|
|
Quarterly |
|
|
Citibank N.A. |
|
12/20/22 |
|
EUR |
|
|
1,280 |
|
|
|
(276,649) |
|
|
|
(269,440) |
|
|
|
(7,209) |
|
Clariant AG |
|
|
1.00 |
% |
|
|
Quarterly |
|
|
Citibank N.A. |
|
12/20/22 |
|
EUR |
|
|
340 |
|
|
|
(5,709) |
|
|
|
(7,760) |
|
|
|
2,051 |
|
ITRAXX.FINSR.19.V1 |
|
|
1.00 |
% |
|
|
Quarterly |
|
|
Citibank N.A. |
|
06/20/18 |
|
EUR |
|
|
8,200 |
|
|
|
(49,119) |
|
|
|
(24,630) |
|
|
|
(24,489) |
|
ITRAXX.FINSR.20.V1 |
|
|
1.00 |
% |
|
|
Quarterly |
|
|
Citibank N.A. |
|
12/20/18 |
|
EUR |
|
|
5,900 |
|
|
|
(67,930) |
|
|
|
(31,554) |
|
|
|
(36,376) |
|
ITRAXX.FINSR.20.V1 |
|
|
1.00 |
% |
|
|
Quarterly |
|
|
Citibank N.A. |
|
12/20/18 |
|
EUR |
|
|
3,120 |
|
|
|
(39,186) |
|
|
|
(6,029) |
|
|
|
(33,157) |
|
Kingdom of Thailand |
|
|
1.00 |
% |
|
|
Quarterly |
|
|
Citibank N.A. |
|
06/20/21 |
|
USD |
|
|
420 |
|
|
|
(9,916) |
|
|
|
(521) |
|
|
|
(9,395) |
|
Peugeot SA |
|
|
5.00 |
% |
|
|
Quarterly |
|
|
Citibank N.A. |
|
12/20/22 |
|
EUR |
|
|
1,280 |
|
|
|
(285,325) |
|
|
|
(292,797) |
|
|
|
7,472 |
|
Republic of Indonesia |
|
|
1.00 |
% |
|
|
Quarterly |
|
|
Citibank N.A. |
|
06/20/22 |
|
USD |
|
|
681 |
|
|
|
(6,750) |
|
|
|
7,500 |
|
|
|
(14,250) |
|
Westpac Banking Corp. |
|
|
1.00 |
% |
|
|
Quarterly |
|
|
Citibank N.A. |
|
12/20/20 |
|
USD |
|
|
1,000 |
|
|
|
(23,688) |
|
|
|
(1,887) |
|
|
|
(21,801) |
|
CMBX.NA.9.AAA |
|
|
0.50 |
% |
|
|
Annual |
|
|
Credit Suisse International |
|
09/17/58 |
|
USD |
|
|
4,540 |
|
|
|
(8,717) |
|
|
|
55,085 |
|
|
|
(63,802) |
|
Peugeot SA |
|
|
5.00 |
% |
|
|
Quarterly |
|
|
Credit Suisse International |
|
12/20/22 |
|
EUR |
|
|
1,280 |
|
|
|
(289,222) |
|
|
|
(294,769) |
|
|
|
5,547 |
|
|
|
|
56 |
|
2017 BLACKROCK QUARTERLY REPORT TO SHAREHOLDERS |
|
|
|
Consolidated Schedule of Investments (unaudited) (continued) |
|
Master Total Return Portfolio of Master Bond LLC |
December 31, 2017 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Reference Obligation |
|
Financing Rate Paid by the Fund |
|
|
Payment Frequency |
|
Counterparty |
|
Termination Date |
|
Notional Amount (000) |
|
|
Value |
|
|
Upfront Premium Paid (Received) |
|
|
Unrealized Appreciation (Depreciation) |
|
Smurfit Kappa Acquisitions |
|
|
5.00 |
% |
|
Quarterly |
|
Credit Suisse International |
|
12/20/22 |
|
EUR |
|
|
600 |
|
|
$ |
(145,787 |
) |
|
$ |
(139,090 |
) |
|
$ |
(6,697 |
) |
TDC A/S |
|
|
1.00 |
% |
|
Quarterly |
|
Credit Suisse International |
|
12/20/22 |
|
EUR |
|
|
2,140 |
|
|
|
(21,470 |
) |
|
|
(9,720 |
) |
|
|
(11,750 |
) |
TDC A/S |
|
|
1.00 |
% |
|
Quarterly |
|
Credit Suisse International |
|
12/20/22 |
|
EUR |
|
|
1,430 |
|
|
|
(14,355 |
) |
|
|
(6,502 |
) |
|
|
(7,853 |
) |
Tesco PLC |
|
|
1.00 |
% |
|
Quarterly |
|
Credit Suisse International |
|
12/20/22 |
|
EUR |
|
|
1,280 |
|
|
|
(3,822 |
) |
|
|
6,554 |
|
|
|
(10,376 |
) |
Tesco PLC |
|
|
1.00 |
% |
|
Quarterly |
|
Credit Suisse International |
|
12/20/22 |
|
EUR |
|
|
1,280 |
|
|
|
(3,878 |
) |
|
|
7,268 |
|
|
|
(11,146 |
) |
CMBX.NA.6.AAA |
|
|
0.50 |
% |
|
Annual |
|
Deutsche Bank AG |
|
05/11/63 |
|
USD |
|
|
6,450 |
|
|
|
(42,439 |
) |
|
|
2,095 |
|
|
|
(44,534 |
) |
CMBX.NA.6.AAA |
|
|
0.50 |
% |
|
Annual |
|
Deutsche Bank AG |
|
05/11/63 |
|
USD |
|
|
5,738 |
|
|
|
(37,760 |
) |
|
|
(1,886 |
) |
|
|
(35,874 |
) |
CMBX.NA.6.AAA |
|
|
0.50 |
% |
|
Annual |
|
Deutsche Bank AG |
|
05/11/63 |
|
USD |
|
|
4,030 |
|
|
|
(26,517 |
) |
|
|
790 |
|
|
|
(27,307 |
) |
CMBX.NA.9.AAA |
|
|
0.50 |
% |
|
Annual |
|
Deutsche Bank AG |
|
09/17/58 |
|
USD |
|
|
3,620 |
|
|
|
(6,951 |
) |
|
|
44,558 |
|
|
|
(51,509 |
) |
Banco Bilbao Vizcaya Argentaria SA |
|
|
1.00 |
% |
|
Quarterly |
|
Goldman Sachs International |
|
12/20/22 |
|
EUR |
|
|
1,280 |
|
|
|
21,128 |
|
|
|
46,030 |
|
|
|
(24,902 |
) |
Itochu Corp. |
|
|
1.00 |
% |
|
Quarterly |
|
Goldman Sachs International |
|
12/20/20 |
|
JPY |
|
|
32,023 |
|
|
|
(6,859 |
) |
|
|
(1,401 |
) |
|
|
(5,458 |
) |
Itochu Corp. |
|
|
1.00 |
% |
|
Quarterly |
|
Goldman Sachs International |
|
12/20/20 |
|
JPY |
|
|
29,326 |
|
|
|
(6,301 |
) |
|
|
(1,226 |
) |
|
|
(5,075 |
) |
Itochu Corp. |
|
|
1.00 |
% |
|
Quarterly |
|
Goldman Sachs International |
|
12/20/20 |
|
JPY |
|
|
29,326 |
|
|
|
(6,308 |
) |
|
|
(1,156 |
) |
|
|
(5,152 |
) |
Itochu Corp. |
|
|
1.00 |
% |
|
Quarterly |
|
Goldman Sachs International |
|
12/20/20 |
|
JPY |
|
|
29,326 |
|
|
|
(6,352 |
) |
|
|
(895 |
) |
|
|
(5,457 |
) |
K Hovnanian Enterprises, Inc. |
|
|
5.00 |
% |
|
Quarterly |
|
Goldman Sachs International |
|
12/20/22 |
|
USD |
|
|
500 |
|
|
|
233,923 |
|
|
|
136,316 |
|
|
|
97,607 |
|
Mitsubishi Corp. |
|
|
1.00 |
% |
|
Quarterly |
|
Goldman Sachs International |
|
12/20/20 |
|
JPY |
|
|
29,326 |
|
|
|
(6,456 |
) |
|
|
(2,413 |
) |
|
|
(4,043 |
) |
Mitsui & Co. Ltd. |
|
|
1.00 |
% |
|
Quarterly |
|
Goldman Sachs International |
|
12/20/20 |
|
JPY |
|
|
58,651 |
|
|
|
(12,933 |
) |
|
|
(1,896 |
) |
|
|
(11,037 |
) |
Mitsui & Co. Ltd. |
|
|
1.00 |
% |
|
Quarterly |
|
Goldman Sachs International |
|
12/20/20 |
|
JPY |
|
|
29,326 |
|
|
|
(6,508 |
) |
|
|
(685 |
) |
|
|
(5,823 |
) |
Peoples Republic of China |
|
|
1.00 |
% |
|
Quarterly |
|
Goldman Sachs International |
|
12/20/22 |
|
USD |
|
|
4,220 |
|
|
|
(99,142 |
) |
|
|
(82,930 |
) |
|
|
(16,212 |
) |
Republic of Argentina |
|
|
5.00 |
% |
|
Quarterly |
|
Goldman Sachs International |
|
12/20/22 |
|
USD |
|
|
10,367 |
|
|
|
(1,247,971 |
) |
|
|
(863,546 |
) |
|
|
(384,425 |
) |
|
|
|
|
|
CONSOLIDATED SCHEDULE OF INVESTMENTS |
|
|
57 |
|
|
|
|
Consolidated Schedule of Investments (unaudited) (continued) |
|
Master Total Return Portfolio of Master Bond LLC |
December 31, 2017 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Reference Obligation |
|
Financing Rate Paid by the Fund |
|
|
Payment Frequency |
|
Counterparty |
|
Termination Date |
|
Notional Amount (000) |
|
|
Value |
|
|
Upfront Premium Paid (Received) |
|
|
Unrealized Appreciation (Depreciation) |
|
Republic of Argentina |
|
|
5.00 |
% |
|
Quarterly |
|
Goldman Sachs International |
|
12/20/22 |
|
USD |
|
|
5,779 |
|
|
$ |
(695,648 |
) |
|
$ |
(489,356 |
) |
|
$ |
(206,292 |
) |
Republic of France |
|
|
0.25 |
% |
|
Quarterly |
|
Goldman Sachs International |
|
06/20/22 |
|
USD |
|
|
280 |
|
|
|
(1,195 |
) |
|
|
2,834 |
|
|
|
(4,029 |
) |
Republic of Indonesia |
|
|
1.00 |
% |
|
Quarterly |
|
Goldman Sachs International |
|
06/20/22 |
|
USD |
|
|
1,010 |
|
|
|
(10,012 |
) |
|
|
11,369 |
|
|
|
(21,381 |
) |
Republic of Korea |
|
|
1.00 |
% |
|
Quarterly |
|
Goldman Sachs International |
|
12/20/22 |
|
USD |
|
|
5,000 |
|
|
|
(112,207 |
) |
|
|
(72,181 |
) |
|
|
(40,026 |
) |
Standard Chartered PLC |
|
|
1.00 |
% |
|
Quarterly |
|
Goldman Sachs International |
|
12/20/20 |
|
EUR |
|
|
610 |
|
|
|
(17,261 |
) |
|
|
4,153 |
|
|
|
(21,414 |
) |
Target Corp. |
|
|
1.00 |
% |
|
Quarterly |
|
Goldman Sachs International |
|
12/20/22 |
|
USD |
|
|
13,200 |
|
|
|
(314,881 |
) |
|
|
(191,326 |
) |
|
|
(123,555 |
) |
Banco Bilbao Vizcaya Argentaria SA |
|
|
1.00 |
% |
|
Quarterly |
|
HSBC Bank PLC |
|
12/20/22 |
|
EUR |
|
|
650 |
|
|
|
10,788 |
|
|
|
25,955 |
|
|
|
(15,167 |
) |
Kingdom of Bahrain |
|
|
1.00 |
% |
|
Quarterly |
|
HSBC Bank PLC |
|
12/20/22 |
|
USD |
|
|
1,210 |
|
|
|
93,954 |
|
|
|
104,688 |
|
|
|
(10,734 |
) |
CMBX.NA.6.BBB- |
|
|
3.00 |
% |
|
Annual |
|
J.P. Morgan Securities LLC |
|
05/11/63 |
|
USD |
|
|
850 |
|
|
|
123,875 |
|
|
|
84,497 |
|
|
|
39,378 |
|
CMBX.NA.9.A |
|
|
2.00 |
% |
|
Annual |
|
J.P. Morgan Securities LLC |
|
09/17/58 |
|
USD |
|
|
1,021 |
|
|
|
36,340 |
|
|
|
139,087 |
|
|
|
(102,747 |
) |
Australia & New Zealand Banking Group Ltd. |
|
|
1.00 |
% |
|
Quarterly |
|
JPMorgan Chase Bank N.A. |
|
12/20/20 |
|
USD |
|
|
1,205 |
|
|
|
(27,111 |
) |
|
|
(3,334 |
) |
|
|
(23,777 |
) |
Australia & New Zealand Banking Group Ltd. |
|
|
1.00 |
% |
|
Quarterly |
|
JPMorgan Chase Bank N.A. |
|
12/20/20 |
|
USD |
|
|
1,000 |
|
|
|
(22,503 |
) |
|
|
(214 |
) |
|
|
(22,289 |
) |
Australia & New Zealand Banking Group Ltd. |
|
|
1.00 |
% |
|
Quarterly |
|
JPMorgan Chase Bank N.A. |
|
12/20/20 |
|
USD |
|
|
795 |
|
|
|
(17,895 |
) |
|
|
(2,424 |
) |
|
|
(15,471 |
) |
AutoZone, Inc. |
|
|
1.00 |
% |
|
Quarterly |
|
JPMorgan Chase Bank N.A. |
|
12/20/22 |
|
USD |
|
|
13,200 |
|
|
|
(316,381 |
) |
|
|
(113,562 |
) |
|
|
(202,819 |
) |
Banco Bilbao Vizcaya Argentaria SA |
|
|
1.00 |
% |
|
Quarterly |
|
JPMorgan Chase Bank N.A. |
|
12/20/22 |
|
EUR |
|
|
620 |
|
|
|
10,269 |
|
|
|
26,118 |
|
|
|
(15,849 |
) |
Cable & Wireless Communications Ltd. |
|
|
5.00 |
% |
|
Quarterly |
|
JPMorgan Chase Bank N.A. |
|
12/20/22 |
|
EUR |
|
|
450 |
|
|
|
(92,082 |
) |
|
|
(84,570 |
) |
|
|
(7,512 |
) |
CBS Corp. |
|
|
1.00 |
% |
|
Quarterly |
|
JPMorgan Chase Bank N.A. |
|
12/20/22 |
|
USD |
|
|
12,960 |
|
|
|
(151,646 |
) |
|
|
(181,453 |
) |
|
|
29,807 |
|
Clariant AG |
|
|
1.00 |
% |
|
Quarterly |
|
JPMorgan Chase Bank N.A. |
|
12/20/22 |
|
EUR |
|
|
1,280 |
|
|
|
(21,464 |
) |
|
|
(28,268 |
) |
|
|
6,804 |
|
Commonwealth Bank of Australia |
|
|
1.00 |
% |
|
Quarterly |
|
JPMorgan Chase Bank N.A. |
|
12/20/20 |
|
USD |
|
|
1,150 |
|
|
|
(26,047 |
) |
|
|
(2,502 |
) |
|
|
(23,545 |
) |
Commonwealth Bank of Australia |
|
|
1.00 |
% |
|
Quarterly |
|
JPMorgan Chase Bank N.A. |
|
12/20/20 |
|
USD |
|
|
1,000 |
|
|
|
(22,650 |
) |
|
|
(1,605 |
) |
|
|
(21,045 |
) |
|
|
|
58 |
|
2017 BLACKROCK QUARTERLY REPORT TO SHAREHOLDERS |
|
|
|
Consolidated Schedule of Investments (unaudited) (continued) |
|
Master Total Return Portfolio of Master Bond LLC |
December 31, 2017 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Reference Obligation |
|
Financing Rate Paid by the Fund |
|
|
Payment Frequency |
|
Counterparty |
|
Termination Date |
|
Notional Amount (000) |
|
|
Value |
|
|
Upfront Premium Paid (Received) |
|
|
Unrealized Appreciation (Depreciation) |
|
General Mills, Inc. |
|
|
1.00 |
% |
|
Quarterly |
|
JPMorgan Chase Bank N.A. |
|
12/20/22 |
|
USD |
|
|
11,000 |
|
|
$ |
(351,849 |
) |
|
$ |
(277,860 |
) |
|
$ |
(73,989 |
) |
Kingdom of Bahrain |
|
|
1.00 |
% |
|
Quarterly |
|
JPMorgan Chase Bank N.A. |
|
12/20/22 |
|
USD |
|
|
440 |
|
|
|
34,166 |
|
|
|
38,058 |
|
|
|
(3,892 |
) |
Kingdom of Thailand |
|
|
1.00 |
% |
|
Quarterly |
|
JPMorgan Chase Bank N.A. |
|
06/20/21 |
|
USD |
|
|
540 |
|
|
|
(12,753 |
) |
|
|
(313 |
) |
|
|
(12,440 |
) |
Kingdom of Thailand |
|
|
1.00 |
% |
|
Quarterly |
|
JPMorgan Chase Bank N.A. |
|
06/20/21 |
|
USD |
|
|
540 |
|
|
|
(12,753 |
) |
|
|
(135 |
) |
|
|
(12,618 |
) |
Lanxess AG |
|
|
1.00 |
% |
|
Quarterly |
|
JPMorgan Chase Bank N.A. |
|
12/20/22 |
|
EUR |
|
|
2,167 |
|
|
|
(58,786 |
) |
|
|
(50,554 |
) |
|
|
(8,232 |
) |
Melia Hotels International SA |
|
|
5.00 |
% |
|
Quarterly |
|
JPMorgan Chase Bank N.A. |
|
06/20/22 |
|
EUR |
|
|
870 |
|
|
|
(186,692 |
) |
|
|
(158,795 |
) |
|
|
(27,897 |
) |
National Australia Bank Ltd. |
|
|
1.00 |
% |
|
Quarterly |
|
JPMorgan Chase Bank N.A. |
|
12/20/20 |
|
USD |
|
|
1,000 |
|
|
|
(22,699 |
) |
|
|
(810 |
) |
|
|
(21,889 |
) |
Peoples Republic of China |
|
|
1.00 |
% |
|
Quarterly |
|
JPMorgan Chase Bank N.A. |
|
06/20/22 |
|
USD |
|
|
1,212 |
|
|
|
(28,652 |
) |
|
|
(11,172 |
) |
|
|
(17,480 |
) |
Republic of France |
|
|
0.25 |
% |
|
Quarterly |
|
JPMorgan Chase Bank N.A. |
|
06/20/22 |
|
USD |
|
|
770 |
|
|
|
(3,286 |
) |
|
|
8,748 |
|
|
|
(12,034 |
) |
Republic of Indonesia |
|
|
1.00 |
% |
|
Quarterly |
|
JPMorgan Chase Bank N.A. |
|
06/20/22 |
|
USD |
|
|
908 |
|
|
|
(9,000 |
) |
|
|
11,097 |
|
|
|
(20,097 |
) |
Republic of the Philippines |
|
|
1.00 |
% |
|
Quarterly |
|
JPMorgan Chase Bank N.A. |
|
12/20/22 |
|
USD |
|
|
18,547 |
|
|
|
(359,065 |
) |
|
|
(281,621 |
) |
|
|
(77,444 |
) |
STMicroelectronics NV |
|
|
1.00 |
% |
|
Quarterly |
|
JPMorgan Chase Bank N.A. |
|
06/20/22 |
|
EUR |
|
|
888 |
|
|
|
(24,577 |
) |
|
|
(4,469 |
) |
|
|
(20,108 |
) |
Sumitomo Mitsui Banking Corp. |
|
|
1.00 |
% |
|
Quarterly |
|
JPMorgan Chase Bank N.A. |
|
12/20/20 |
|
JPY |
|
|
25,316 |
|
|
|
(5,753 |
) |
|
|
1,209 |
|
|
|
(6,962 |
) |
United Mexican States |
|
|
1.00 |
% |
|
Quarterly |
|
JPMorgan Chase Bank N.A. |
|
06/20/20 |
|
USD |
|
|
7,452 |
|
|
|
(82,074 |
) |
|
|
32,343 |
|
|
|
(114,417 |
) |
CMA CGM SA |
|
|
5.00 |
% |
|
Quarterly |
|
Morgan Stanley & Co. International PLC |
|
12/20/22 |
|
EUR |
|
|
400 |
|
|
|
(25,986 |
) |
|
|
(24,280 |
) |
|
|
(1,706 |
) |
CMBX.NA.9 AAA |
|
|
0.50 |
% |
|
Annual |
|
Morgan Stanley & Co. International PLC |
|
09/17/58 |
|
USD |
|
|
5,570 |
|
|
|
(10,695 |
) |
|
|
74,154 |
|
|
|
(84,849 |
) |
|
|
|
|
|
CONSOLIDATED SCHEDULE OF INVESTMENTS |
|
|
59 |
|
|
|
|
Consolidated Schedule of Investments (unaudited) (continued) |
|
Master Total Return Portfolio of Master Bond LLC |
December 31, 2017 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Reference
Obligation |
|
Financing Rate
Paid by the Fund |
|
|
Payment Frequency |
|
|
Counterparty |
|
Termination Date |
|
|
Notional Amount (000) |
|
|
Value |
|
|
Upfront Premium Paid (Received) |
|
|
Unrealized Appreciation (Depreciation) |
|
CMBX.NA.9.A |
|
|
2.00% |
|
|
|
Annual |
|
|
Morgan Stanley & Co. International PLC |
|
|
09/17/58 |
|
|
USD |
|
|
1,780 |
|
|
$ |
63,330 |
|
|
$ |
223,179 |
|
|
$ |
(159,849 |
) |
CMBX.NA.9.AAA |
|
|
0.50% |
|
|
|
Annual |
|
|
Morgan Stanley & Co. International PLC |
|
|
09/17/58 |
|
|
USD |
|
|
3,050 |
|
|
|
(5,856 |
) |
|
|
37,007 |
|
|
|
(42,863 |
) |
CMBX.NA.9.AAA |
|
|
0.50% |
|
|
|
Annual |
|
|
Morgan Stanley & Co. International PLC |
|
|
09/17/58 |
|
|
USD |
|
|
2,530 |
|
|
|
(4,858 |
) |
|
|
30,697 |
|
|
|
(35,555 |
) |
Hapag-Lloyd AG |
|
|
5.00% |
|
|
|
Quarterly |
|
|
Morgan Stanley & Co. International PLC |
|
|
12/20/22 |
|
|
EUR |
|
|
200 |
|
|
|
(25,057 |
) |
|
|
(21,882 |
) |
|
|
(3,175 |
) |
Republic of South Africa |
|
|
1.00% |
|
|
|
Quarterly |
|
|
Morgan Stanley & Co. International PLC |
|
|
12/20/22 |
|
|
USD |
|
|
3,320 |
|
|
|
86,272 |
|
|
|
129,458 |
|
|
|
(43,186 |
) |
Standard Chartered PLC |
|
|
1.00% |
|
|
|
Quarterly |
|
|
Morgan Stanley & Co. International PLC |
|
|
12/20/20 |
|
|
EUR |
|
|
240 |
|
|
|
(6,931 |
) |
|
|
3,900 |
|
|
|
(10,831 |
) |
United Mexican States |
|
|
1.00% |
|
|
|
Quarterly |
|
|
Morgan Stanley & Co. International PLC |
|
|
12/20/22 |
|
|
USD |
|
|
2,548 |
|
|
|
6,622 |
|
|
|
10,575 |
|
|
|
(3,953 |
) |
United Mexican States |
|
|
1.00% |
|
|
|
Quarterly |
|
|
Morgan Stanley & Co. International PLC |
|
|
12/20/22 |
|
|
USD |
|
|
2,548 |
|
|
|
6,623 |
|
|
|
11,161 |
|
|
|
(4,538 |
) |
Clariant AG |
|
|
1.00% |
|
|
|
Quarterly |
|
|
Société Générale |
|
|
12/20/22 |
|
|
EUR |
|
|
940 |
|
|
|
(15,884 |
) |
|
|
(20,406 |
) |
|
|
4,522 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(4,614,614 |
) |
|
$ |
(1,884,374 |
) |
|
$ |
(2,730,240 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
OTC Credit Default Swaps Sell Protection
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Reference
Obligation |
|
Financing Rate
Received by the Fund |
|
|
Payment Frequency |
|
Counterparty |
|
Termination Date |
|
Credit Rating(a) |
|
Notional Amount (000)(b) |
|
|
Value |
|
|
Upfront Premium Paid (Received) |
|
|
Unrealized Appreciation (Depreciation) |
|
Buoni Poliennali Del Tesoro |
|
|
1.00 |
% |
|
Quarterly |
|
Barclays Bank PLC |
|
03/20/18 |
|
BBB |
|
|
EUR |
|
|
|
4,500 |
|
|
$ |
(16,206 |
) |
|
$ |
(39,591 |
) |
|
|
$ 23,385 |
|
Buoni Poliennali Del Tesoro |
|
|
1.00 |
% |
|
Quarterly |
|
Barclays Bank PLC |
|
03/20/18 |
|
BBB |
|
|
USD |
|
|
|
37 |
|
|
|
84 |
|
|
|
(126 |
) |
|
|
210 |
|
ITRAXX.FINSUB.19.V1 |
|
|
5.00 |
% |
|
Quarterly |
|
Citibank N.A. |
|
06/20/18 |
|
BBB |
|
|
EUR |
|
|
|
5,900 |
|
|
|
180,561 |
|
|
|
133,593 |
|
|
|
46,968 |
|
ITRAXX.FINSUB.20.V1 |
|
|
5.00 |
% |
|
Quarterly |
|
Barclays Bank PLC |
|
12/20/18 |
|
BBB |
|
|
EUR |
|
|
|
1,160 |
|
|
|
109,899 |
|
|
|
87,127 |
|
|
|
22,772 |
|
ITRAXX.FINSUB.20.V1 |
|
|
5.00 |
% |
|
Quarterly |
|
Citibank N.A. |
|
12/20/18 |
|
BBB |
|
|
EUR |
|
|
|
4,600 |
|
|
|
272,104 |
|
|
|
203,807 |
|
|
|
68,297 |
|
ITRAXX.FINSUB.20.V1 |
|
|
5.00 |
% |
|
Quarterly |
|
Citibank N.A. |
|
12/20/18 |
|
BBB |
|
|
EUR |
|
|
|
1,660 |
|
|
|
156,755 |
|
|
|
123,555 |
|
|
|
33,200 |
|
ITRAXX.FINSUB.20.V1 |
|
|
5.00 |
% |
|
Quarterly |
|
Deutsche Bank AG |
|
12/20/18 |
|
BBB |
|
|
EUR |
|
|
|
830 |
|
|
|
78,508 |
|
|
|
62,061 |
|
|
|
16,447 |
|
K Hovnanian Enterprises, Inc. |
|
|
5.00 |
% |
|
Quarterly |
|
Barclays Bank PLC |
|
12/20/18 |
|
CCC- |
|
|
USD |
|
|
|
2,560 |
|
|
|
(1,050,462 |
) |
|
|
(190,378 |
) |
|
|
(860,084 |
) |
|
|
|
60 |
|
2017 BLACKROCK QUARTERLY REPORT TO SHAREHOLDERS |
|
|
|
Consolidated Schedule of Investments (unaudited) (continued) |
|
Master Total Return Portfolio of Master Bond LLC |
December 31, 2017 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Reference Obligation |
|
Financing Rate Received by the Fund |
|
|
Payment Frequency |
|
Counterparty |
|
Termination Date |
|
Credit
Rating(a) |
|
Notional Amount (000)(b) |
|
|
Value |
|
|
Upfront Premium Paid (Received) |
|
|
Unrealized Appreciation
(Depreciation) |
|
K Hovnanian Enterprises, Inc. |
|
|
5.00 |
% |
|
Quarterly |
|
Barclays Bank PLC |
|
12/20/18 |
|
CCC- |
|
|
USD |
|
|
|
1,051 |
|
|
$ |
(431,264 |
) |
|
$ |
(78,159 |
) |
|
$ |
(353,105 |
) |
SAS AB |
|
|
5.00 |
% |
|
Quarterly |
|
Goldman Sachs International |
|
06/20/19 |
|
Not Rated |
|
|
EUR |
|
|
|
1,000 |
|
|
|
53,599 |
|
|
|
(42,095 |
) |
|
|
95,694 |
|
Transocean Ltd. |
|
|
1.00 |
% |
|
Quarterly |
|
Goldman Sachs International |
|
06/20/19 |
|
B |
|
|
USD |
|
|
|
350 |
|
|
|
(1,123 |
) |
|
|
(3,207 |
) |
|
|
2,084 |
|
United Mexican States |
|
|
1.00 |
% |
|
Quarterly |
|
Bank of America N.A. |
|
06/20/20 |
|
BBB+ |
|
|
USD |
|
|
|
7,452 |
|
|
|
82,074 |
|
|
|
(37,490 |
) |
|
|
119,564 |
|
Peoples Republic of China |
|
|
1.00 |
% |
|
Quarterly |
|
Barclays Bank PLC |
|
09/20/20 |
|
A+ |
|
|
USD |
|
|
|
1,000 |
|
|
|
20,257 |
|
|
|
(4,406 |
) |
|
|
24,663 |
|
Peoples Republic of China |
|
|
1.00 |
% |
|
Quarterly |
|
Goldman Sachs International |
|
09/20/20 |
|
A+ |
|
|
USD |
|
|
|
1,000 |
|
|
|
20,257 |
|
|
|
(4,659 |
) |
|
|
24,916 |
|
United Mexican States |
|
|
1.00 |
% |
|
Quarterly |
|
JPMorgan Chase Bank N.A. |
|
09/20/20 |
|
BBB+ |
|
|
USD |
|
|
|
7,452 |
|
|
|
83,864 |
|
|
|
(44,370 |
) |
|
|
128,234 |
|
ITRAXX.ASIA.XJ.IG.24.V1 |
|
|
1.00 |
% |
|
Quarterly |
|
Goldman Sachs International |
|
12/20/20 |
|
A- |
|
|
USD |
|
|
|
1,825 |
|
|
|
36,425 |
|
|
|
(30,255 |
) |
|
|
66,680 |
|
Altice Finco SA |
|
|
5.00 |
% |
|
Quarterly |
|
Goldman Sachs International |
|
12/20/22 |
|
B- |
|
|
EUR |
|
|
|
490 |
|
|
|
16,534 |
|
|
|
22,193 |
|
|
|
(5,659 |
) |
Commerzbank AG |
|
|
1.00 |
% |
|
Quarterly |
|
Goldman Sachs International |
|
12/20/22 |
|
Not Rated |
|
|
EUR |
|
|
|
1,300 |
|
|
|
(19,473 |
) |
|
|
(45,948 |
) |
|
|
26,475 |
|
Hertz Global Holdings, Inc. |
|
|
5.00 |
% |
|
Quarterly |
|
Barclays Bank PLC |
|
12/20/22 |
|
B- |
|
|
USD |
|
|
|
700 |
|
|
|
(54,893 |
) |
|
|
(89,036 |
) |
|
|
34,143 |
|
Intrum Justitia AB |
|
|
5.00 |
% |
|
Quarterly |
|
Credit Suisse International |
|
12/20/22 |
|
BB+ |
|
|
EUR |
|
|
|
520 |
|
|
|
76,404 |
|
|
|
95,195 |
|
|
|
(18,791 |
) |
Intrum Justitia AB |
|
|
5.00 |
% |
|
Quarterly |
|
Credit Suisse International |
|
12/20/22 |
|
BB+ |
|
|
EUR |
|
|
|
510 |
|
|
|
76,164 |
|
|
|
85,064 |
|
|
|
(8,900 |
) |
Intrum Justitia AB |
|
|
5.00 |
% |
|
Quarterly |
|
Morgan Stanley & Co. International PLC |
|
12/20/22 |
|
BB+ |
|
|
EUR |
|
|
|
2,080 |
|
|
|
304,572 |
|
|
|
383,889 |
|
|
|
(79,317 |
) |
New Look Senior Issuer PLC |
|
|
5.00 |
% |
|
Quarterly |
|
JPMorgan Chase Bank N.A. |
|
12/20/22 |
|
CCC- |
|
|
EUR |
|
|
|
90 |
|
|
|
(63,422 |
) |
|
|
(58,815 |
) |
|
|
(4,607 |
) |
Viacom, Inc., Class A |
|
|
1.00 |
% |
|
Quarterly |
|
Goldman Sachs International |
|
12/20/22 |
|
BBB- |
|
|
USD |
|
|
|
1,300 |
|
|
|
(32,923 |
) |
|
|
(40,526 |
) |
|
|
7,603 |
|
CMBX.NA.7.AAA |
|
|
0.50 |
% |
|
Monthly |
|
Morgan Stanley & Co. International PLC |
|
01/17/47 |
|
AAA |
|
|
USD |
|
|
|
5,000 |
|
|
|
27,230 |
|
|
|
(157,371 |
) |
|
|
184,601 |
|
CMBX.NA.3.AM |
|
|
0.50 |
% |
|
Monthly |
|
Credit Suisse International |
|
12/13/49 |
|
A |
|
|
USD |
|
|
|
77 |
|
|
|
(351 |
) |
|
|
(6,686 |
) |
|
|
6,335 |
|
CMBX.NA.3.AM |
|
|
0.50 |
% |
|
Monthly |
|
Goldman Sachs International |
|
12/13/49 |
|
A |
|
|
USD |
|
|
|
194 |
|
|
|
(887 |
) |
|
|
(17,075 |
) |
|
|
16,188 |
|
CMBX.NA.3.AM |
|
|
0.50 |
% |
|
Monthly |
|
JPMorgan Chase Bank N.A. |
|
12/13/49 |
|
A |
|
|
USD |
|
|
|
419 |
|
|
|
(1,910 |
) |
|
|
(34,918 |
) |
|
|
33,008 |
|
CMBX.NA.4.AM |
|
|
0.50 |
% |
|
Annual |
|
Deutsche Bank AG |
|
02/17/51 |
|
BBB+ |
|
|
USD |
|
|
|
205 |
|
|
|
(1,199 |
) |
|
|
(26,981 |
) |
|
|
25,782 |
|
CMBX.NA.8.A |
|
|
2.00 |
% |
|
Annual |
|
Goldman Sachs International |
|
10/17/57 |
|
Not Rated |
|
|
USD |
|
|
|
1,710 |
|
|
|
(73,140 |
) |
|
|
(96,190 |
) |
|
|
23,050 |
|
CMBX.NA.8.A |
|
|
2.00 |
% |
|
Monthly |
|
Goldman Sachs International |
|
10/17/57 |
|
Not Rated |
|
|
USD |
|
|
|
440 |
|
|
|
(18,820 |
) |
|
|
(44,305 |
) |
|
|
25,485 |
|
CMBX.NA.8.A |
|
|
2.00 |
% |
|
Annual |
|
Morgan Stanley & Co. International PLC |
|
10/17/57 |
|
Not Rated |
|
|
USD |
|
|
|
290 |
|
|
|
(12,404 |
) |
|
|
(24,663 |
) |
|
|
12,259 |
|
CMBX.NA.9 A |
|
|
2.00 |
% |
|
Annual |
|
J.P. Morgan Securities LLC |
|
09/17/58 |
|
Not Rated |
|
|
USD |
|
|
|
1,360 |
|
|
|
(48,387 |
) |
|
|
(37,877 |
) |
|
|
(10,510 |
) |
CMBX.NA.9 A |
|
|
2.00 |
% |
|
Annual |
|
J.P. Morgan Securities LLC |
|
09/17/58 |
|
Not Rated |
|
|
USD |
|
|
|
730 |
|
|
|
(25,973 |
) |
|
|
(23,313 |
) |
|
|
(2,660 |
) |
CMBX.NA.9 A |
|
|
2.00 |
% |
|
Annual |
|
Morgan Stanley & Co. International PLC |
|
09/17/58 |
|
Not Rated |
|
|
USD |
|
|
|
1,730 |
|
|
|
(61,551 |
) |
|
|
(58,714 |
) |
|
|
(2,837 |
) |
CMBX.NA.9 BBB- |
|
|
3.00 |
% |
|
Annual |
|
Morgan Stanley & Co. International PLC |
|
09/17/58 |
|
Not Rated |
|
|
USD |
|
|
|
630 |
|
|
|
(69,525 |
) |
|
|
(63,766 |
) |
|
|
(5,759 |
) |
CMBX.NA.9.A |
|
|
2.00 |
% |
|
Annual |
|
Credit Suisse International |
|
09/17/58 |
|
Not Rated |
|
|
USD |
|
|
|
1,790 |
|
|
|
(63,685 |
) |
|
|
(57,260 |
) |
|
|
(6,425 |
) |
CMBX.NA.9.A |
|
|
2.00 |
% |
|
Annual |
|
Credit Suisse International |
|
09/17/58 |
|
Not Rated |
|
|
USD |
|
|
|
510 |
|
|
|
(18,145 |
) |
|
|
(26,057 |
) |
|
|
7,912 |
|
CMBX.NA.9.A |
|
|
2.00 |
% |
|
Monthly |
|
Credit Suisse International |
|
09/17/58 |
|
Not Rated |
|
|
USD |
|
|
|
400 |
|
|
|
(14,231 |
) |
|
|
(55,629 |
) |
|
|
41,398 |
|
CMBX.NA.9.A |
|
|
2.00 |
% |
|
Monthly |
|
J.P. Morgan Securities LLC |
|
09/17/58 |
|
Not Rated |
|
|
USD |
|
|
|
4,880 |
|
|
|
(173,622 |
) |
|
|
(256,912 |
) |
|
|
83,290 |
|
CMBX.NA.9.A |
|
|
2.00 |
% |
|
Annual |
|
J.P. Morgan Securities LLC |
|
09/17/58 |
|
Not Rated |
|
|
USD |
|
|
|
551 |
|
|
|
(19,619 |
) |
|
|
(67,545 |
) |
|
|
47,926 |
|
CMBX.NA.9.A |
|
|
2.00 |
% |
|
Monthly |
|
Morgan Stanley & Co. International PLC |
|
09/17/58 |
|
Not Rated |
|
|
USD |
|
|
|
2,740 |
|
|
|
(97,484 |
) |
|
|
(62,247 |
) |
|
|
(35,237 |
) |
CMBX.NA.9.A |
|
|
2.00 |
% |
|
Monthly |
|
Morgan Stanley & Co. International PLC |
|
09/17/58 |
|
Not Rated |
|
|
USD |
|
|
|
1,810 |
|
|
|
(64,396 |
) |
|
|
(91,179 |
) |
|
|
26,783 |
|
CMBX.NA.9.A |
|
|
2.00 |
% |
|
Annual |
|
Morgan Stanley & Co. International PLC |
|
09/17/58 |
|
Not Rated |
|
|
USD |
|
|
|
1,630 |
|
|
|
(57,993 |
) |
|
|
(87,660 |
) |
|
|
29,667 |
|
CMBX.NA.9.A |
|
|
2.00 |
% |
|
Annual |
|
Morgan Stanley & Co. International PLC |
|
09/17/58 |
|
Not Rated |
|
|
USD |
|
|
|
890 |
|
|
|
(31,664 |
) |
|
|
(42,987 |
) |
|
|
11,323 |
|
CMBX.NA.9.BBB- |
|
|
3.00 |
% |
|
Annual |
|
Credit Suisse International |
|
09/17/58 |
|
Not Rated |
|
|
USD |
|
|
|
2,109 |
|
|
|
(232,742 |
) |
|
|
(220,291 |
) |
|
|
(12,451 |
) |
CMBX.NA.9.BBB- |
|
|
3.00 |
% |
|
Monthly |
|
Morgan Stanley & Co. International PLC |
|
09/17/58 |
|
Not Rated |
|
|
USD |
|
|
|
770 |
|
|
|
(84,975 |
) |
|
|
(81,838 |
) |
|
|
(3,137 |
) |
|
|
|
|
|
CONSOLIDATED SCHEDULE OF INVESTMENTS |
|
|
61 |
|
|
|
|
Consolidated Schedule of Investments (unaudited) (continued) |
|
Master Total Return Portfolio of Master Bond LLC |
December 31, 2017 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Reference
Obligation |
|
Financing Rate Received by the Fund |
|
|
Payment Frequency |
|
|
Counterparty |
|
Termination Date |
|
|
Credit Rating(a) |
|
Notional
Amount (000)(b) |
|
|
Value |
|
|
Upfront
Premium Paid (Received) |
|
|
Unrealized Appreciation (Depreciation) |
|
CMBX.NA.9.BBB- |
|
|
3.00 |
% |
|
|
Monthly |
|
|
Morgan Stanley & Co. International PLC |
|
|
09/17/58 |
|
|
Not Rated |
|
|
USD |
|
|
|
127 |
|
|
|
$ (14,015 |
) |
|
$ |
(15,600 |
) |
|
$ |
1,585 |
|
CMBX.NA.10.A |
|
|
2.00 |
% |
|
|
Monthly |
|
|
Deutsche Bank AG |
|
|
11/17/59 |
|
|
A- |
|
|
USD |
|
|
|
3,340 |
|
|
|
(101,670 |
) |
|
|
(149,345 |
) |
|
|
47,675 |
|
CMBX.NA.10.A |
|
|
2.00 |
% |
|
|
Monthly |
|
|
Deutsche Bank AG |
|
|
11/17/59 |
|
|
A- |
|
|
USD |
|
|
|
1,670 |
|
|
|
(50,834 |
) |
|
|
(75,927 |
) |
|
|
25,093 |
|
CMBX.NA.10.BBB- |
|
|
3.00 |
% |
|
|
Annual |
|
|
J.P. Morgan Securities LLC |
|
|
11/17/59 |
|
|
BBB- |
|
|
USD |
|
|
|
60 |
|
|
|
(6,020 |
) |
|
|
(5,309 |
) |
|
|
(711 |
) |
CMBX.NA.6.BBB- |
|
|
3.00 |
% |
|
|
Annual |
|
|
Credit Suisse International |
|
|
05/11/63 |
|
|
BBB- |
|
|
USD |
|
|
|
850 |
|
|
|
(123,875 |
) |
|
|
(68,425 |
) |
|
|
(55,450 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(1,543,592 |
) |
|
$ |
(1,468,647 |
) |
|
$ |
(74,945 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) |
Using S&Ps rating of the issuer or the underlying securities of the index, as applicable. |
|
|
(b) |
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
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Paid by the Fund |
|
|
Received by the Fund |
|
Counterparty |
|
Termination
Date |
|
Notional
Amount (000) |
|
|
Value |
|
|
Upfront Premium Paid
(Received) |
|
|
Unrealized Appreciation
(Depreciation) |
|
Rate |
|
Frequency |
|
|
Rate |
|
Frequency |
|
|
|
|
|
|
9.99% |
|
|
At Termination |
|
|
1-day BZDIOVER |
|
At Termination |
|
Citibank N.A. |
|
01/02/18 |
|
|
BRL |
|
|
|
91,638 |
|
|
$ |
(198,912 |
) |
|
|
$ |
|
|
|
$(198,912 |
) |
8.98% |
|
|
At Termination |
|
|
1-day BZDIOVER |
|
At Termination |
|
Citibank N.A. |
|
01/02/18 |
|
|
BRL |
|
|
|
31,295 |
|
|
|
(11,262 |
) |
|
|
|
|
|
|
(11,262 |
) |
9.98% |
|
|
At Termination |
|
|
1-day BZDIOVER |
|
At Termination |
|
JPMorgan Chase Bank N.A. |
|
01/02/18 |
|
|
BRL |
|
|
|
91,641 |
|
|
|
(144,618 |
) |
|
|
|
|
|
|
(144,618 |
) |
4.55% |
|
|
Monthly |
|
|
28-day MXIBTIIE |
|
Monthly |
|
Barclays Bank PLC |
|
03/21/18 |
|
|
MXN |
|
|
|
39,525 |
|
|
|
16,262 |
|
|
|
505 |
|
|
|
15,757 |
|
4.85% |
|
|
Monthly |
|
|
28-day MXIBTIIE |
|
Monthly |
|
Bank of America N.A. |
|
11/01/18 |
|
|
MXN |
|
|
|
23,232 |
|
|
|
31,496 |
|
|
|
41 |
|
|
|
31,455 |
|
28-day MXIBTIIE |
|
|
Monthly |
|
|
7.07% |
|
Monthly |
|
Citibank N.A. |
|
11/21/18 |
|
|
MXN |
|
|
|
231,800 |
|
|
|
(103,405 |
) |
|
|
|
|
|
|
(103,405 |
) |
28-day MXIBTIIE |
|
|
Monthly |
|
|
7.06% |
|
Monthly |
|
JPMorgan Chase Bank N.A. |
|
11/21/18 |
|
|
MXN |
|
|
|
278,160 |
|
|
|
(125,373 |
) |
|
|
|
|
|
|
(125,373 |
) |
28-day MXIBTIIE |
|
|
Monthly |
|
|
6.98% |
|
Monthly |
|
Citibank N.A. |
|
11/28/18 |
|
|
MXN |
|
|
|
395,600 |
|
|
|
(194,997 |
) |
|
|
(304 |
) |
|
|
(194,693 |
) |
28-day MXIBTIIE |
|
|
Monthly |
|
|
6.98% |
|
Monthly |
|
JPMorgan Chase Bank N.A. |
|
11/28/18 |
|
|
MXN |
|
|
|
224,417 |
|
|
|
(110,619 |
) |
|
|
(173 |
) |
|
|
(110,446 |
) |
4.77% |
|
|
Monthly |
|
|
28-day MXIBTIIE |
|
Monthly |
|
Citibank N.A. |
|
12/05/18 |
|
|
MXN |
|
|
|
16,034 |
|
|
|
25,967 |
|
|
|
22 |
|
|
|
25,945 |
|
4.70% |
|
|
Monthly |
|
|
28-day MXIBTIIE |
|
Monthly |
|
Bank of America N.A. |
|
12/06/18 |
|
|
MXN |
|
|
|
16,034 |
|
|
|
26,539 |
|
|
|
21 |
|
|
|
26,518 |
|
4.76% |
|
|
Monthly |
|
|
28-day MXIBTIIE |
|
Monthly |
|
Citibank N.A. |
|
12/06/18 |
|
|
MXN |
|
|
|
16,034 |
|
|
|
26,057 |
|
|
|
22 |
|
|
|
26,035 |
|
7.02% |
|
|
At Termination |
|
|
1-day BZDIOVER |
|
At Termination |
|
Bank of America N.A. |
|
01/02/19 |
|
|
BRL |
|
|
|
152,195 |
|
|
|
(69,763 |
) |
|
|
|
|
|
|
(69,763 |
) |
7.75% |
|
|
At Termination |
|
|
1-day BZDIOVER |
|
At Termination |
|
Bank of America N.A. |
|
01/02/19 |
|
|
BRL |
|
|
|
91,464 |
|
|
|
(235,654 |
) |
|
|
|
|
|
|
(235,654 |
) |
8.00% |
|
|
At Termination |
|
|
1-day BZDIOVER |
|
At Termination |
|
Citibank N.A. |
|
01/02/19 |
|
|
BRL |
|
|
|
90,129 |
|
|
|
(311,897 |
) |
|
|
|
|
|
|
(311,897 |
) |
1-day BZDIOVER |
|
|
At Termination |
|
|
9.25% |
|
At Termination |
|
Citibank N.A. |
|
01/02/19 |
|
|
BRL |
|
|
|
84,850 |
|
|
|
657,055 |
|
|
|
|
|
|
|
657,055 |
|
1-day BZDIOVER |
|
|
At Termination |
|
|
9.28% |
|
At Termination |
|
JPMorgan Chase Bank N.A. |
|
01/02/19 |
|
|
BRL |
|
|
|
80,549 |
|
|
|
632,216 |
|
|
|
|
|
|
|
632,216 |
|
1-day BZDIOVER |
|
|
At Termination |
|
|
8.21% |
|
At Termination |
|
Bank of America N.A. |
|
01/02/20 |
|
|
BRL |
|
|
|
102,049 |
|
|
|
119,074 |
|
|
|
|
|
|
|
119,074 |
|
1-day BZDIOVER |
|
|
At Termination |
|
|
9.14% |
|
At Termination |
|
Bank of America N.A. |
|
01/04/21 |
|
|
BRL |
|
|
|
40,606 |
|
|
|
114,567 |
|
|
|
|
|
|
|
114,567 |
|
3.27% |
|
|
Quarterly |
|
|
3-month LIBOR |
|
Semi-Annual |
|
Deutsche Bank AG |
|
05/16/21 |
|
|
USD |
|
|
|
9,510 |
|
|
|
(364,448 |
) |
|
|
|
|
|
|
(364,448 |
) |
|
|
|
62 |
|
2017 BLACKROCK QUARTERLY REPORT TO SHAREHOLDERS |
|
|
|
Consolidated Schedule of Investments (unaudited) (continued) |
|
Master Total Return Portfolio of Master Bond LLC |
December 31, 2017 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Paid by the Fund |
|
|
Received by the Fund |
|
Counterparty |
|
Termination
Date |
|
Notional
Amount (000) |
|
|
Value |
|
|
Upfront Premium Paid
(Received) |
|
|
Unrealized Appreciation
(Depreciation) |
|
Rate |
|
Frequency |
|
|
Rate |
|
Frequency |
|
|
|
|
|
|
1-day BZDIOVER |
|
|
At Termination |
|
|
9.61% |
|
At Termination |
|
Bank of America N.A. |
|
01/02/23 |
|
|
BRL |
|
|
|
21,118 |
|
|
$ |
(15,152 |
) |
|
$ |
|
|
|
$ |
(15,152 |
) |
1-day BZDIOVER |
|
|
At Termination |
|
|
9.84% |
|
At Termination |
|
Citibank N.A. |
|
01/02/23 |
|
|
BRL |
|
|
|
40,153 |
|
|
|
113,143 |
|
|
|
|
|
|
|
113,143 |
|
1-day BZDIOVER |
|
|
At Termination |
|
|
9.85% |
|
At Termination |
|
Citibank N.A. |
|
01/02/23 |
|
|
BRL |
|
|
|
21,128 |
|
|
|
62,176 |
|
|
|
|
|
|
|
62,176 |
|
5.73% |
|
|
Monthly |
|
|
28-day MXIBTIIE |
|
Monthly |
|
Bank of America N.A. |
|
01/03/25 |
|
|
MXN |
|
|
|
23,376 |
|
|
|
142,181 |
|
|
|
262 |
|
|
|
141,919 |
|
28-day MXIBTIIE |
|
|
Monthly |
|
|
6.33% |
|
Monthly |
|
Citibank N.A. |
|
06/09/25 |
|
|
MXN |
|
|
|
14,869 |
|
|
|
(68,431 |
) |
|
|
(76 |
) |
|
|
(68,355 |
) |
28-day MXIBTIIE |
|
|
Monthly |
|
|
6.33% |
|
Monthly |
|
Citibank N.A. |
|
07/17/25 |
|
|
MXN |
|
|
|
36,610 |
|
|
|
(171,738 |
) |
|
|
(149 |
) |
|
|
(171,589 |
) |
28-day MXIBTIIE |
|
|
Monthly |
|
|
6.32% |
|
Monthly |
|
Goldman Sachs International |
|
08/06/25 |
|
|
MXN |
|
|
|
109,616 |
|
|
|
(519,852 |
) |
|
|
(440 |
) |
|
|
(519,412 |
) |
6.31% |
|
|
Monthly |
|
|
28-day MXIBTIIE |
|
Monthly |
|
Bank of America N.A. |
|
08/11/25 |
|
|
MXN |
|
|
|
36,783 |
|
|
|
175,577 |
|
|
|
154 |
|
|
|
175,423 |
|
6.31% |
|
|
Monthly |
|
|
28-day MXIBTIIE |
|
Monthly |
|
Bank of America N.A. |
|
08/11/25 |
|
|
MXN |
|
|
|
36,783 |
|
|
|
175,577 |
|
|
|
154 |
|
|
|
175,423 |
|
6.31% |
|
|
Monthly |
|
|
28-day MXIBTIIE |
|
Monthly |
|
Deutsche Bank AG |
|
08/11/25 |
|
|
MXN |
|
|
|
136,536 |
|
|
|
652,874 |
|
|
|
571 |
|
|
|
652,303 |
|
28-day MXIBTIIE |
|
|
Monthly |
|
|
6.27% |
|
Monthly |
|
Bank of America N.A. |
|
12/05/25 |
|
|
MXN |
|
|
|
4,348 |
|
|
|
(21,961 |
) |
|
|
(47 |
) |
|
|
(21,914 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
302,679 |
|
|
$ |
563 |
|
|
$ |
302,116 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
OTC Total Return Swaps
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Paid by the Fund |
|
|
Received by the Fund |
|
Counterparty |
|
Termination
Date |
|
Notional
Amount (000) |
|
|
Value |
|
|
Upfront Premium Paid
(Received) |
|
|
Unrealized Appreciation
(Depreciation) |
|
Rate |
|
Frequency |
|
|
Rate |
|
Frequency |
|
|
|
|
|
|
Ally Financial, Inc. |
|
|
Quarterly |
|
|
3-month LIBOR minus 0.30% |
|
Quarterly |
|
Merrill Lynch International |
|
01/24/18 |
|
|
USD |
|
|
|
32 |
|
|
$ |
(5,062 |
) |
|
$ |
|
|
|
|
$ (5,062 |
) |
Consumer Discretionary SPDR ETF |
|
|
Monthly |
|
|
1-month LIBOR plus 0.30% |
|
Monthly |
|
BNP Paribas S.A. |
|
03/15/18 |
|
|
USD |
|
|
|
1,184 |
|
|
|
(8,054 |
) |
|
|
|
|
|
|
(8,054 |
) |
Consumer Staples Select Sector SPDR ETF |
|
|
Monthly |
|
|
1-month LIBOR plus 0.30% |
|
Monthly |
|
BNP Paribas S.A. |
|
03/15/18 |
|
|
USD |
|
|
|
1,161 |
|
|
|
375 |
|
|
|
|
|
|
|
375 |
|
Energy Select Sector SPDR ETF |
|
|
Monthly |
|
|
1-month LIBOR plus 0.15% |
|
Monthly |
|
BNP Paribas S.A. |
|
03/15/18 |
|
|
USD |
|
|
|
1,788 |
|
|
|
(86,824 |
) |
|
|
|
|
|
|
(86,824 |
) |
Energy Select Sector SPDR ETF |
|
|
Monthly |
|
|
1-month LIBOR plus 0.50% |
|
Monthly |
|
Merrill Lynch International |
|
03/15/18 |
|
|
USD |
|
|
|
2,371 |
|
|
|
(132,595 |
) |
|
|
|
|
|
|
(132,595 |
) |
Netflix, Inc. |
|
|
Quarterly |
|
|
3-month LIBOR minus 0.30% |
|
Quarterly |
|
Merrill Lynch International |
|
03/15/18 |
|
|
USD |
|
|
|
845 |
|
|
|
(24,102 |
) |
|
|
|
|
|
|
(24,102 |
) |
iBoxx EUR Liquid High |
|
|
At |
|
|
3-month |
|
|
|
Goldman Sachs |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Yield Index |
|
|
Termination |
|
|
EURIBOR |
|
Quarterly |
|
International |
|
03/20/18 |
|
|
EUR |
|
|
|
4,800 |
|
|
|
(23,683 |
) |
|
|
(4,017 |
) |
|
|
(19,666 |
) |
3-month EURIBOR |
|
|
Quarterly |
|
|
Markit iBoxx Euro Corporate Index |
|
At Termination |
|
Goldman Sachs International |
|
03/20/18 |
|
|
EUR |
|
|
|
14,450 |
|
|
|
(72,748 |
) |
|
|
12,440 |
|
|
|
(85,188 |
) |
iBoxx EUR Liquid High Yield Index |
|
|
At Termination |
|
|
3-month EURIBOR |
|
Quarterly |
|
JPMorgan Chase Bank N.A. |
|
03/20/18 |
|
|
EUR |
|
|
|
4,800 |
|
|
|
(17,463 |
) |
|
|
(4,132 |
) |
|
|
(13,331 |
) |
|
|
|
|
|
CONSOLIDATED SCHEDULE OF INVESTMENTS |
|
|
63 |
|
|
|
|
Consolidated Schedule of Investments (unaudited) (continued) |
|
Master Total Return Portfolio of Master Bond LLC |
December 31, 2017 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Paid by the Fund |
|
|
Received by the Fund |
|
Counterparty |
|
Termination
Date |
|
Notional
Amount (000) |
|
|
Value |
|
|
Upfront Premium Paid
(Received) |
|
|
Unrealized Appreciation
(Depreciation) |
|
Rate |
|
Frequency |
|
|
Rate |
|
Frequency |
|
|
|
|
|
|
iBoxx EUR Liquid High Yield Index |
|
|
At Termination |
|
|
3-month EURIBOR |
|
Quarterly |
|
Merrill Lynch International |
|
03/20/18 |
|
|
EUR |
|
|
|
7,200 |
|
|
$ |
(28,420 |
) |
|
$ |
(6,026 |
) |
|
|
$ (22,394 |
) |
3-month EURIBOR |
|
|
Quarterly |
|
|
Markit iBoxx Euro Corporate Index |
|
At Termination |
|
Morgan Stanley & Co. International PLC |
|
03/20/18 |
|
|
EUR |
|
|
|
14,450 |
|
|
|
(82,285 |
) |
|
|
|
|
|
|
(82,285 |
) |
Netflix, Inc. |
|
|
At Termination |
|
|
3-month LIBOR minus 0.30% |
|
At Termination |
|
Merrill Lynch International |
|
03/21/18 |
|
|
USD |
|
|
|
3,348 |
|
|
|
(30,880 |
) |
|
|
|
|
|
|
(30,880 |
) |
Weatherford International PLC |
|
|
Quarterly |
|
|
3-month LIBOR minus 1.25% |
|
Quarterly |
|
Citibank N.A. |
|
04/03/19 |
|
|
USD |
|
|
|
219 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(511,741 |
) |
|
$ |
(1,735 |
) |
|
|
$(510,006 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
OTC Total Return Swaps(a)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Reference Entity |
|
Counterparty |
|
|
Expiration
Dates |
|
|
Net
Notional Amount |
|
|
Unrealized Appreciation (Depreciation) |
|
|
Net Value of Reference Entities |
|
Equity Securities Long/Short |
|
|
Bank of America N.A. |
|
|
|
11/15/18-02/15/19 |
|
|
|
USD 130,403 |
(b) |
|
|
$(491,072 |
) |
|
|
$(360,669 |
) |
|
(a) |
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 20-160 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: |
|
|
(b) |
Gross notional basket percentage of net assets is 0.15% |
|
|
Intercontinental Exchange LIBOR: |
Currency Abbreviations
|
|
|
|
|
AUD |
|
Australian Dollar |
BRL |
|
Brazilian Real |
CAD |
|
Canadian Dollar |
CHF |
|
Swiss Franc |
CLP |
|
Chilean Peso |
CNH |
|
Chinese Yuan Offshore |
COP |
|
Colombian Peso |
EUR |
|
Euro |
GBP |
|
British Pound |
HKD |
|
Hong Kong Dollar |
HUF |
|
Hungarian Forint |
IDR |
|
Indonesian Rupiah |
INR |
|
Indian Rupee |
JPY |
|
Japanese Yen |
KRW |
|
South Korean Won |
MXN |
|
Mexican Peso |
NOK |
|
Norwegian Krone |
NZD |
|
New Zealand Dollar |
RUB |
|
Russian Ruble |
SEK |
|
Swedish Krona |
TRY |
|
Turkish Lira |
TWD |
|
Taiwan New Dollar |
USD |
|
US Dollar |
ZAR |
|
South African Rand |
|
|
|
64 |
|
2017 BLACKROCK QUARTERLY REPORT TO SHAREHOLDERS |
|
|
|
Consolidated Schedule of Investments (unaudited) (continued) |
|
Master Total Return Portfolio of Master Bond LLC |
December 31, 2017 |
|
|
Portfolio Abbreviations
|
|
|
|
|
ABS |
|
Asset-Backed Security |
ADR |
|
American Depositary Receipts |
AGM |
|
Assurance Guaranty Municipal Corp. |
AKA |
|
Also Known As |
AMBAC |
|
AMBAC Assurance Corp. |
BAM |
|
Build America Mutual |
BZDIOVER |
|
Overnight Brazil CETIP - Interbank Rate |
CBOE |
|
Chicago Board Options Exchange |
CDO |
|
Collateralized Debt Obligation |
CLO |
|
Collateralized Loan Obligation |
DAC |
|
Designated Activity Company |
ETF |
|
Exchange-Traded Fund |
EUR |
|
Euro |
EURIBOR |
|
Euro Interbank Offered Rate |
FKA |
|
Formerly Known As |
GO |
|
General Obligation Bonds |
LIBOR |
|
London Interbank Offered Rate |
MXIBTIIE |
|
Mexico Interbank TIIE 28-Day |
OTC |
|
Over-the-counter |
PIK |
|
Payment-in-kind |
PSF |
|
Permanent School Fund |
RB |
|
Revenue Bonds |
REMIC |
|
Real Estate Mortgage Investment Conduit |
S&P |
|
Standard & Poors |
SCA |
|
Svenska Cellulosa Aktiebolaget |
SPDR |
|
Standard & Poors Depositary Receipts |
TA |
|
Tax Allocation |
TBA |
|
To-be-announced |
UK RPI |
|
United Kingdom Retail Price Index |
WTI |
|
West Texas Intermediate |
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. Investments classified within Level 3 have significant unobservable inputs used by the BlackRock Global Valuation Methodologies Committee (the Global Valuation
Committee) in determining the price for Fair Valued Investments. Level 3 Investments include equity or debt issued by private companies. There may not be a secondary market, and/or there are a limited number of investors. Level 3 investments
may also be adjusted to reflect illiquidity and/or non-transferability, with the amount of such discount estimated by the Global Valuation Committee in the absence of market information.
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 annual report.
|
|
|
|
|
CONSOLIDATED SCHEDULE OF INVESTMENTS |
|
|
65 |
|
|
|
|
Consolidated Schedule of Investments (unaudited) (continued) |
|
Master Total Return Portfolio of Master Bond LLC |
December 31, 2017 |
|
|
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 |
|
$ |
|
|
|
$ |
1,428,872,470 |
|
|
$ |
111,089,503 |
|
|
$ |
1,539,961,973 |
|
Common Stocks(a) |
|
|
69,080,002 |
|
|
|
678,883 |
|
|
|
365,944 |
|
|
|
70,124,829 |
|
Corporate Bonds(a) |
|
|
|
|
|
|
3,587,190,668 |
|
|
|
762,667 |
|
|
|
3,587,953,335 |
|
Floating Rate Loan Interests(a) |
|
|
|
|
|
|
54,958,766 |
|
|
|
74,533,181 |
|
|
|
129,491,947 |
|
Foreign Agency Obligations |
|
|
|
|
|
|
107,057,114 |
|
|
|
|
|
|
|
107,057,114 |
|
Foreign Government Obligations |
|
|
|
|
|
|
576,220,134 |
|
|
|
|
|
|
|
576,220,134 |
|
Investment Companies |
|
|
136,608,897 |
|
|
|
|
|
|
|
|
|
|
|
136,608,897 |
|
Non-Agency Mortgage-Backed Securities |
|
|
|
|
|
|
705,376,811 |
|
|
|
75,661,334 |
|
|
|
781,038,145 |
|
Preferred Securities(a) |
|
|
9,602,611 |
|
|
|
81,652,116 |
|
|
|
404,009 |
|
|
|
91,658,736 |
|
Taxable Municipal Bonds |
|
|
|
|
|
|
695,301,883 |
|
|
|
|
|
|
|
695,301,883 |
|
U.S. Government Sponsored Agency Securities |
|
|
|
|
|
|
8,291,909,433 |
|
|
|
903,205 |
|
|
|
8,292,812,638 |
|
U.S. Treasury Obligations |
|
|
|
|
|
|
4,721,266,986 |
|
|
|
|
|
|
|
4,721,266,986 |
|
Short-Term Securities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Borrowed Bond Agreements |
|
|
|
|
|
|
112,837,108 |
|
|
|
|
|
|
|
112,837,108 |
|
Foreign Government Obligations |
|
|
|
|
|
|
609,877,147 |
|
|
|
|
|
|
|
609,877,147 |
|
Options Purchased: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Equity contracts |
|
|
5,966,989 |
|
|
|
|
|
|
|
|
|
|
|
5,966,989 |
|
Foreign currency exchange contracts |
|
|
|
|
|
|
9,591,498 |
|
|
|
6 |
|
|
|
9,591,504 |
|
Interest rate contracts |
|
|
5,043,019 |
|
|
|
|
|
|
|
|
|
|
|
5,043,019 |
|
Unfunded Floating Rate Loan Interests(b) |
|
|
|
|
|
|
8,733 |
|
|
|
|
|
|
|
8,733 |
|
Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TBA Sale Commitments |
|
|
|
|
|
|
(4,743,440,586 |
) |
|
|
|
|
|
|
(4,743,440,586 |
) |
Borrowed Bonds |
|
|
|
|
|
|
(112,593,346 |
) |
|
|
|
|
|
|
(112,593,346 |
) |
Investments Sold Short |
|
|
|
|
|
|
(171,650 |
) |
|
|
|
|
|
|
(171,650 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Subtotal |
|
$ |
226,301,518 |
|
|
$ |
16,126,594,168 |
|
|
$ |
263,719,849 |
|
|
$ |
16,616,615,535 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments Valued at NAV(c) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
125,875,362 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments |
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
16,742,490,897 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) See above Consolidated Schedule of Investments for values in each industry.
(b) Unfunded floating rate loan interests are valued at the unrealized
appreciation (depreciation) on the commitment. (c) As of December
31, 2017, certain investments of the Master Portfolio were fair valued using NAV per share as no quoted market value is available and therefore have been excluded from the fair value hierarchy.
|
|
|
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
Derivative Financial Instruments(a) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commodity contracts |
|
$ |
758,133 |
|
|
$ |
|
|
|
$ |
|
|
|
$ |
758,133 |
|
Credit contracts |
|
|
|
|
|
|
2,483,801 |
|
|
|
|
|
|
|
2,483,801 |
|
Equity contracts |
|
|
275,245 |
|
|
|
375 |
|
|
|
|
|
|
|
275,620 |
|
Foreign currency exchange contracts |
|
|
|
|
|
|
12,874,071 |
|
|
|
|
|
|
|
12,874,071 |
|
Interest rate contracts |
|
|
2,580,202 |
|
|
|
9,220,883 |
|
|
|
|
|
|
|
11,801,085 |
|
Other contracts |
|
|
|
|
|
|
331,153 |
|
|
|
|
|
|
|
331,153 |
|
Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commodity contracts |
|
|
(756,943 |
) |
|
|
|
|
|
|
|
|
|
|
(756,943 |
) |
Credit contracts |
|
|
|
|
|
|
(5,573,831 |
) |
|
|
|
|
|
|
(5,573,831 |
) |
Equity contracts |
|
|
(3,494,505 |
) |
|
|
(778,589 |
) |
|
|
|
|
|
|
(4,273,094 |
) |
Foreign currency exchange contracts |
|
|
|
|
|
|
(21,977,194 |
) |
|
|
(6 |
) |
|
|
(21,977,200 |
) |
Interest rate contracts |
|
|
(10,924,610 |
) |
|
|
(16,207,976 |
) |
|
|
|
|
|
|
(27,132,586 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
$ |
(11,562,478 |
) |
|
$ |
(19,627,307 |
) |
|
$ |
(6 |
) |
|
$ |
(31,189,791 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) 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. |
|
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, reverse repurchase agreements of $4,469,973,575 are categorized as Level 2 within the disclosure hierarchy.
During the period ended December 31, 2017, there were no transfers between Level 1 and Level 2.
|
|
|
66 |
|
2017 BLACKROCK QUARTERLY REPORT TO SHAREHOLDERS |
|
|
|
Consolidated Schedule of Investments (unaudited) (continued) |
|
Master Total Return Portfolio of Master Bond LLC |
December 31, 2017 |
|
|
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 |
|
|
Common Stocks |
|
|
Corporate Bonds |
|
|
Floating Rate
Loan Interests |
|
|
Non-Agency Mortgage- Backed
Securities |
|
Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Opening Balance, as of September 30, 2017 |
|
$ |
80,564,232 |
|
|
|
$293,715 |
|
|
|
$ 854 |
|
|
|
$ 76,050,819 |
|
|
$ |
85,921,687 |
|
Transfers into Level 3 |
|
|
62,175 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,808,471 |
|
Transfers out of Level 3 |
|
|
(41,976,984 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(21,357,693 |
) |
Accrued discounts/premiums |
|
|
(58,410 |
) |
|
|
|
|
|
|
(2,988 |
) |
|
|
(17,746 |
) |
|
|
(591,022 |
) |
Net realized gain (loss) |
|
|
51,692 |
|
|
|
|
|
|
|
(1 |
) |
|
|
59,429 |
|
|
|
190,287 |
|
Net change in unrealized appreciation
(depreciation)(a) |
|
|
51,452 |
|
|
|
72,229 |
|
|
|
2,867 |
|
|
|
197,396 |
|
|
|
(8,560 |
) |
Purchases |
|
|
74,711,247 |
|
|
|
|
|
|
|
763,199 |
|
|
|
4,911,760 |
|
|
|
17,801,629 |
|
Sales |
|
|
(2,315,901 |
) |
|
|
|
|
|
|
(1,264 |
) |
|
|
(6,668,477 |
) |
|
|
(9,103,465 |
) |
|
|
|
|
|
Closing Balance, as of December 31, 2017 |
|
$ |
111,089,503 |
|
|
|
$365,944 |
|
|
|
$762,667 |
|
|
|
$74,533,181 |
|
|
$ |
75,661,334 |
|
|
|
|
|
|
Net change in unrealized appreciation (depreciation) on investments still held at December 31, 2017(a) |
|
$ |
51,452 |
|
|
|
$ 72,229 |
|
|
|
$ 2,989 |
|
|
|
$ 197,086 |
|
|
$ |
82,629 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Preferred Securities |
|
|
U.S. Government Sponsored
Agency Securities |
|
|
Options Purchased |
|
|
Total |
|
Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Opening Balance, as of September 30, 2017 |
|
$ |
324,267 |
|
|
|
$ |
|
|
$ |
|
|
|
$ |
243,155,574 |
|
Transfers into Level 3 |
|
|
|
|
|
|
|
|
|
|
62,178 |
|
|
|
2,932,824 |
|
Transfers out of Level 3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(63,334,677 |
) |
Accrued discounts/premiums |
|
|
(83 |
) |
|
|
|
|
|
|
|
|
|
|
(670,249 |
) |
Net realized gain (loss) |
|
|
|
|
|
|
1,574 |
|
|
|
|
|
|
|
302,981 |
|
Net change in unrealized appreciation
(depreciation)(a) |
|
|
79,825 |
|
|
|
(45,497 |
) |
|
|
(130,024 |
) |
|
|
219,688 |
|
Purchases |
|
|
|
|
|
|
2,382,774 |
|
|
|
67,852 |
|
|
|
100,638,461 |
|
Sales |
|
|
|
|
|
|
(1,435,646 |
) |
|
|
|
|
|
|
(19,524,753 |
) |
|
|
|
|
|
Closing Balance, as of December 31, 2017 |
|
$ |
404,009 |
|
|
|
$ 903,205 |
|
|
$ |
6 |
|
|
$ |
263,719,849 |
|
|
|
|
|
|
Net change in unrealized appreciation (depreciation) on investments still held at December 31, 2017(a) |
|
$ |
79,742 |
|
|
|
$ (43,798 |
) |
|
$ |
(130,024 |
) |
|
$ |
312,305 |
|
|
|
|
|
|
(a) |
Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at
December 31, 2017, is generally due to investments no longer held or categorized as Level 3 at period end. |
|
The following table is a reconciliation of Level 3 derivative financial instruments for which significant unobservable inputs were
used in determining fair value:
|
|
|
|
|
|
|
|
|
|
|
Foreign Currency
Exchange Contracts |
|
|
|
Assets |
|
|
Liabilities |
|
Opening Balance, as of September 30, 2017 |
|
$ |
|
|
|
$ |
|
|
Transfers into Level 3 |
|
|
|
|
|
|
(62,254 |
) |
Transfers out of Level 3 |
|
|
|
|
|
|
|
|
Accrued discounts/premiums |
|
|
|
|
|
|
|
|
Net realized gain (loss) |
|
|
|
|
|
|
|
|
Net change in unrealized appreciation
(depreciation)(a) |
|
|
|
|
|
|
62,248 |
|
Purchases |
|
|
|
|
|
|
|
|
Issues |
|
|
|
|
|
|
|
|
Sales |
|
|
|
|
|
|
|
|
Settlements |
|
|
|
|
|
|
|
|
Closing Balance, as of December 31, 2017 |
|
$ |
|
|
|
$ |
(6 |
) |
|
|
|
|
|
Net change in unrealized appreciation (depreciation) on derivative financial instruments still held at
December 31, 2017(a) |
|
$ |
|
|
|
$ |
62,248 |
|
|
|
|
|
|
(a) |
Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at
December 31, 2017 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.
|
|
|
|
|
CONSOLIDATED SCHEDULE OF INVESTMENTS |
|
|
67 |
|
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. |
|
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 Advantage 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 Advantage Large Cap Core Portfolio of Master Large Cap Series LLC and Master Total Return Portfolio of Master Bond LLC |
|
|
Date: |
|
February 22, 2018 |
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 Advantage Large Cap Core Portfolio of Master Large Cap Series LLC and Master Total Return Portfolio of Master Bond LLC |
|
|
Date: |
|
February 22, 2018 |
|
|
By: |
|
/s/ Neal J. Andrews |
|
|
Neal J. Andrews |
|
|
Chief Financial Officer (principal financial officer) of |
|
|
BlackRock Balanced Capital Fund, Inc., Master Advantage Large Cap Core Portfolio of Master Large Cap Series LLC and Master Total Return Portfolio of Master Bond LLC |
|
|
Date: |
|
February 22, 2018 |