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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSRS
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT
COMPANIES
Investment Company Act file number 811-21197 and 811-21300 Name of Fund: WCMA Government Securities Fund and Master Government Securities LLC Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809 Name and address of agent for service: Donald C. Burke, Chief Executive Officer, WCMA Government Securities Fund and Master Government Securities LLC, 800 Scudders Mill Road, Plainsboro, NJ, 08536. Mailing address: P.O. Box 9011, Princeton, NJ, 08543-9011 Registrants telephone number, including area code: (800) 221-7210 Date of fiscal year end: 03/31/2009 Date of reporting period: 04/01/2008 09/30/2008 Item 1 Report to Stockholders |
Semi-Annual Report (Unaudited) September 30, 2008 |
WCMA Government Securities Fund WCMA Treasury Fund |
Table of Contents |
Page | |
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A Letter to Shareholders | 3 |
Semi-Annual Report: | |
Disclosure of Expenses | 4 |
Current Seven-Day Yields | 4 |
Fund Financial Statements: | |
Statements of Assets and Liabilities | 5 |
Statements of Operations | 6 |
Statements of Changes in Net Assets | 7 |
Fund Financial Highlights | 8 |
Fund Notes to Financial Statements | 16 |
Master LLC Portfolio Summary | 20 |
Master LLC Financial Statements: | |
Schedules of Investments | 21 |
Statements of Assets and Liabilities | 24 |
Statements of Operations | 25 |
Statements of Changes in Net Assets | 26 |
Master LLC Financial Highlights | 27 |
Master LLC Notes to Financial Statements | 28 |
Disclosure of Investment Advisory Agreement and Subadvisory Agreement | 30 |
Officers and Directors | 34 |
Additional Information | 35 |
2 SEMI-ANNUAL REPORT SEPTEMBER 30, 2008 |
A Letter to Shareholders Dear Shareholder It has been a tumultuous period for investors, marked by almost daily headlines related to the housing market turmoil, volatile energy prices, and the escalating credit crisis. The news took an extraordinarily heavy tone in September as the credit crisis boiled over and triggered unprecedented failures and consolidation in the financial sector, stoking fears of a market and economic collapse and prompting the largest government rescue plan since the Great Depression. Through it all, the Federal Reserve Board (the Fed) has taken decisive action to restore liquidity and bolster financial market stability. Key moves included slashing the target federal funds rate 275 basis points (2.75%) between October 2007 and April 2008 and providing massive cash injections and lending programs. As the credit crisis took an extreme turn for the worse, the Fed, in concert with five other global central banks, cut interest rates by 50 basis points in early October in a rare move intended to stave off worldwide economic damage from the intensifying financial market turmoil. The U.S. economy managed to grow at a slow-but-positive pace through the second quarter of the year, though recent events almost certainly portend a global economic recession. Against this backdrop, U.S. stocks experienced intense volatility and generally posted losses for the current reporting period, with small-cap stocks faring noticeably better than their larger counterparts. Non-U.S. markets followed the U.S. on the way down and, notably, decelerated at a faster pace than domestic equities a stark reversal of recent years trends, when international stocks generally outpaced U.S. stocks. Treasury securities also traded in a volatile fashion, but rallied overall (yields fell and prices correspondingly rose) amid an ongoing flight to quality. The yield on 10-year Treasury issues, which fell to 3.34% in March, climbed to the 4.20% range in mid-June as investors temporarily shifted out of Treasury issues in favor of riskier assets (such as stocks and other high-quality fixed income sectors), then declined again to 3.85% by period-end as the financial market contagion widened. Tax-exempt issues underperformed overall, as problems among municipal bond insurers and the collapse in the market for auction rate securities pressured the group throughout the course of the past year. At the same time, the above mentioned economic headwinds and malfunctioning credit markets led to considerable weakness in the high yield sector. Facing unprecedented volatility and macro pressures, the major benchmark indexes generally recorded losses over the six- and 12-month reporting periods: |
Total Returns as of September 30, 2008 | 6-month | 12-month | ||
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U.S. equities (S&P 500 Index) | (10.87)% | (21.98)% | ||
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Small cap U.S. equities (Russell 2000 Index) | (0.54) | (14.48) | ||
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International equities (MSCI Europe, Australasia, Far East Index) | (22.35) | (30.50) | ||
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Fixed income (Barclays Capital U.S. Aggregate Index)* | (1.50) | 3.65 | ||
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Tax-exempt fixed income (Barclays Capital Municipal Bond Index)* | (2.59) | (1.87) | ||
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High yield bonds (Barclays Capital U.S. Corporate High Yield 2% Issuer Capped Index)* | (6.77) | (10.51) | ||
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* Formerly a Lehman Brothers index. Past performance is no guarantee of future results. Index performance shown for illustrative purposes only. You cannot invest directly in an index. |
Through periods of market turbulence, as ever, BlackRocks full resources are dedicated to the management of our clients assets. For our most current views on the economy and financial markets, we invite you to visit www.blackrock.com/funds. As always, we thank you for entrusting BlackRock with your investments, and we look forward to continuing to serve you in the months and years ahead. |
THIS PAGE NOT PART OF YOUR FUND REPORT 3 |
Disclosure of Expenses |
Shareholders of the Funds may incur the following charges: (a) expenses related to transactions, including sales charges, redemption fees and exchange fees; and (b) operating expenses including advisory fees, distribution fees including 12b-1 fees, and other Fund expenses. The expense example below (which is based on a hypothetical investment of $1,000 invested on April 1, 2008 and held through September 30, 2008) is intended to assist shareholders both in calculating expenses based on an investment in the Funds and in comparing these expenses with similar costs of investing in other mutual funds. The table below provides information about actual account values and actual expenses. In order to estimate the expenses a shareholder paid during the period covered by this report, shareholders can divide their account value by $1,000 and then multiply the result by the number in the first line under the heading entitled Expenses Paid During the Period. |
The table also provides information about hypothetical account values and hypothetical expenses based on the Funds actual expense ratio and an assumed rate of return of 5% per year before expenses. In order to assist shareholders in comparing the ongoing expenses of investing in these Funds and other funds, compare the 5% hypothetical example with the 5% hypothetical examples that appear in other funds share- holder reports. The expenses shown in the table are intended to highlight shareholders ongoing costs only and do not reflect any transactional expenses, such as sales charges, redemption fees or exchange fees. Therefore, the hypothetical example is useful in comparing ongoing expenses only, and will not help shareholders determine the relative total expenses of owning different funds. If these transactional expenses were included, shareholder expenses would have been higher. |
Expense Example | ||||||
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Actual | Hypothetical2 | |||||
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Beginning | Ending | Beginning | Ending | |||
Account Value | Account Value | Expenses Paid | Account Value | Account Value | Expenses Paid | |
April 1, 2008 | September 30, 2008 | During the Period1 | April 1, 2008 | September 30, 2008 | During the Period1 | |
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WCMA Government Securities Fund | ||||||
Class 1 | $1,000 | $1,001.60 | $7.88 | $1,000 | $1,017.23 | $7.94 |
Class 2 | $1,000 | $1,004.70 | $4.87 | $1,000 | $1,020.24 | $4.91 |
Class 3 | $1,000 | $1,006.40 | $3.22 | $1,000 | $1,021.89 | $3.24 |
Class 4 | $1,000 | $1,006.40 | $3.22 | $1,000 | $1,021.89 | $3.24 |
WCMA Treasury Fund | ||||||
Class 1 | $1,000 | $1,001.20 | $7.02 | $1,000 | $1,018.08 | $7.08 |
Class 2 | $1,000 | $1,003.90 | $4.62 | $1,000 | $1,020.49 | $4.66 |
Class 3 | $1,000 | $1,005.70 | $2.82 | $1,000 | $1,022.29 | $2.84 |
Class 4 | $1,000 | $1,005.70 | $2.82 | $1,000 | $1,022.29 | $2.84 |
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1 For each class of WCMA Government Securities Fund, expenses are equal to the annualized expense ratio for the class (1.57% for Class 1, 0.97%, for Class 2, 0.64% for Class 3 and 0.64% for Class 4), and for each class of WCMA Treasury Fund, expenses are equal to the annualized expense ratio for the class (1.40% for Class 1, 0.92% for Class 2, 0.56% for Class 3 and 0.56% for Class 4), multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period shown). Because the Funds are feeder funds, the expense table example reflects the expenses of both the feeder fund and the master fund in which it invests. 2 Hypothetical 5% annual return before expenses is calculated by pro-rating the number of days in the most recent fiscal half year divided by 365. |
Current Seven-Day Yields | ||
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WCMA | WCMA | |
Government | Treasury | |
As of September 30, 2008 | Securities Fund | Fund |
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Class 1 | 0.07% | 0.07% |
Class 2 | 0.48% | 0.10% |
Class 3 | 0.81% | 0.44% |
Class 4 | 0.81% | 0.44% |
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4 SEMI-ANNUAL REPORT SEPTEMBER 30, 2008 |
Statements of Assets and Liabilities | ||
WCMA | WCMA | |
Government | Treasury | |
September 30, 2008 (Unaudited) | Securities Fund | Fund |
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Assets | ||
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Investments at value Master Government Securities LLC and Master Treasury LLC (individually Government LLC and | ||
Treasury LLC, or collectively the Master LLCs), respectively1 | $ 512,579,763 | $1,566,630,198 |
Capital shares sold receivable | 2,003,660 | |
Receivable from investment advisor | 128,854 | |
Withdrawals receivable from Master LLCs | | 466 |
Prepaid expenses | 26,764 | 41,166 |
Other assets | 155,820 | 121,078 |
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Total assets | 514,894,861 | 1,566,792,908 |
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Liabilities | ||
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Contributions payable to Master LLCs | 2,003,660 | |
Administration fees payable | 98,129 | 236,777 |
Distribution fees payable | 183,241 | 153,349 |
Other affiliates payable | 1,736 | 5,812 |
Officers and Directors fees payable | 45 | 75 |
Capital shares redeemed payable | | 466 |
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Total liabilities | 2,286,811 | 396,479 |
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Net Assets | $ 512,608,050 | $1,566,396,429 |
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Net Assets Consist of | ||
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Class 1, $0.10 par value per share, unlimited number of shares authorized | $ 899,409 | $ 4,630,250 |
Class 2, $0.10 par value per share, unlimited number of shares authorized | 8,368,177 | 23,713,152 |
Class 3, $0.10 par value per share, unlimited number of shares authorized | 16,617,757 | 64,242,987 |
Class 4, $0.10 par value per share, unlimited number of shares authorized | 25,371,655 | 64,046,759 |
Paid-in capital in excess of par | 461,312,983 | 1,409,698,334 |
Accumulated net realized gain allocated from the Master LLCs | 38,069 | 64,947 |
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Net Assets | $ 512,608,050 | $1,566,396,429 |
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Net Assets Value | ||
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Class 1: | ||
Net assets | $ 8,994,794 | $ 46,304,173 |
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Shares outstanding | 8,994,093 | 46,302,500 |
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Net asset value | $ 1.00 | $ 1.00 |
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Class 2: | ||
Net assets | $ 83,688,175 | $ 237,142,011 |
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Shares outstanding | 83,681,774 | 237,131,520 |
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Net asset value | $ 1.00 | $ 1.00 |
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Class 3: | ||
Net assets | $ 166,190,503 | $ 642,453,533 |
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Shares outstanding | 166,177,568 | 642,429,873 |
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Net asset value | $ 1.00 | $ 1.00 |
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Class 4: | ||
Net assets | $ 253,734,578 | $ 640,496,712 |
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Shares outstanding | 253,716,548 | 640,467,590 |
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Net asset value | $ 1.00 | $ 1.00 |
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1 Investments at cost affiliated | $ 512,579,763 | $1,566,630,198 |
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See Notes to Financial Statements. |
SEMI-ANNUAL REPORT |
SEPTEMBER 30, 2008 |
5 |
Statements of Operations | ||
WCMA | WCMA | |
Government | Treasury | |
Six Months Ended September 30, 2008 (Unaudited) | Securities Fund | Fund |
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Investment Income | ||
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Income from affiliates | $ 16,356 | $ 1,535 |
Net investment income allocated from the Master LLCs: | ||
Interest | 4,834,815 | 8,440,164 |
Expenses | (586,312) | (867,232) |
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Total income | 4,264,859 | 7,574,467 |
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Expenses | ||
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Administration | 635,602 | 1,267,468 |
Service and distribution Class 1 | 56,885 | 87,421 |
Service and distribution Class 2 | 277,010 | 501,058 |
Service and distribution Class 3 | 304,410 | 701,573 |
Service and distribution Class 4 | 457,643 | 844,363 |
Registration | 199,245 | 190,581 |
Transfer agent Class 1 | 2,639 | 3,364 |
Transfer agent Class 2 | 3,573 | 5,640 |
Transfer agent Class 3 | 2,249 | 4,144 |
Transfer agent Class 4 | 2,728 | 4,082 |
Printing | 17,414 | 16,653 |
Professional | 10,762 | 13,640 |
Officer and Directors | 108 | 331 |
Miscellaneous | 6,544 | 5,437 |
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Total expenses | 1,976,812 | 3,645,755 |
Less fees waived by administrator | (740,850) | (1,332,678) |
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Total expenses after waiver | 1,235,962 | 2,313,077 |
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Net investment income | 3,028,897 | 5,261,390 |
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Realized Gain Allocated from the Master LLCs | ||
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Net realized gain from investments | 4,894 | 6,734 |
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Net Increase in Net Assets Resulting from Operations | $ 3,033,791 | $ 5,268,124 |
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See Notes to Financial Statements. |
6 SEMI-ANNUAL REPORT |
SEPTEMBER 30, 2008 |
Statements of Changes in Net Assets | |||||
WCMA | WCMA | ||||
Government | Treasury | ||||
Securities Fund | Fund | ||||
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Six Months Ended | Six Months Ended | ||||
September 30, | Year Ended | September 30, | Year Ended | ||
2008 | March 31, | 2008 | March 31, | ||
Increase (Decrease) in Net Assets: | (Unaudited) | 2008 | (Unaudited) | 2008 | |
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Operations | |||||
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Net investment income | $ 3,028,897 | $ 17,111,582 | $ 5,261,390 | $ 19,662,846 | |
Net realized gain | 4,894 | 31,548 | 6,734 | 55,011 | |
Net change in unrealized appreciation/depreciation | | 289,536 | | 51,414 | |
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Net increase in net assets resulting from operations | 3,033,791 | 17,432,666 | 5,268,124 | 19,769,271 | |
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Dividends to Shareholders From | |||||
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Net investment income: | |||||
Class 1 | (19,809) | (315,273) | (19,949) | (372,698) | |
Class 2 | (391,111) | (2,758,865) | (563,937) | (3,381,360) | |
Class 3 | (1,043,103) | (6,009,348) | (2,111,442) | (7,701,692) | |
Class 4 | (1,574,874) | (8,028,096) | (2,566,062) | (8,207,096) | |
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Decrease in net assets resulting from dividends to shareholders | (3,028,897) | (17,111,582) | (5,261,390) | (19,662,846) | |
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Capital Share Transactions | |||||
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Net increase in net assets derived from share transactions | 2,711,085 | 48,665,561 | 515,748,475 | 638,946,525 | |
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Net Assets | |||||
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Total increase in net assets | 2,715,979 | 48,986,645 | 515,755,209 | 639,052,950 | |
Beginning of period | 509,892,071 | 460,905,426 | 1,050,641,220 | 411,588,270 | |
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End of period | $ 512,608,050 | $ 509,892,071 | $1,566,396,429 | $1,050,641,220 | |
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See Notes to Financial Statements. |
SEMI-ANNUAL REPORT |
SEPTEMBER 30, 2008 |
7 |
Financial Highlights | WCMA Government Securities Fund | |||||||
Class 1 | ||||||||
Six Months Ended | ||||||||
September 30, | ||||||||
2008 | Year Ended March 31, | |||||||
(Unaudited) | 2008 | 2007 | 2006 | 2005 | 2004 | |||
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Per Share Operating Performance | ||||||||
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Net asset value, beginning of period | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | ||
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Net investment income | 0.0016 | 0.0274 | 0.0351 | 0.0199 | 0.0027 | 0.0004 | ||
Net realized and unrealized gain (loss) | 0.00001 | 0.0013 | 0.0003 | 0.0001 | (0.0012) | (0.0002) | ||
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Net increase from investment operations | 0.0016 | 0.0287 | 0.0354 | 0.0200 | 0.0015 | 0.0002 | ||
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Dividends and distributions from: | ||||||||
Net investment income | (0.0016) | (0.0274) | (0.0351) | (0.0199) | (0.0027) | (0.0004) | ||
Net realized gain | | | (0.0000)2 | (0.0000)2 | (0.0000)2 | (0.0001) | ||
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Total dividends and distributions | (0.0016) | (0.0274) | (0.0351) | (0.0199) | (0.0027) | (0.0005) | ||
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Net asset value, end of period | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | ||
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Total Investment Return | ||||||||
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Total investment return | 0.16%3 | 2.77% | 3.55% | 2.01% | 0.27% | 0.05% | ||
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Ratios to Average Net Assets4 | ||||||||
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Total expenses after waiver | 1.57%5 | 1.62% | 1.59% | 1.59% | 1.41% | 1.09% | ||
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Total expenses | 1.58%5 | 1.62% | 1.59% | 1.59% | 1.60% | 1.58% | ||
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Net investment income | 0.33%5 | 2.68% | 3.51% | 1.99% | 0.24% | 0.04% | ||
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Supplemental Data | ||||||||
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Net assets, end of period (000) | $ 8,995 | $ 10,544 | $ 11,122 | $ 18,837 | $ 16,718 | $ 22,260 | ||
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1 Amount is less than $0.0001 per share. | ||||||||
2 Amount is less than $(0.0001) per share. | ||||||||
3 Aggregate total investment return. | ||||||||
4 Includes the Funds share of the Government LLCs allocated expenses and/or net investment income. | ||||||||
5 Annualized. |
See Notes to Financial Statements. 8 SEMI-ANNUAL REPORT SEPTEMBER 30, 2008 |
Financial Highlights (continued) | WCMA Government Securities Fund | ||||||
Class 2 | |||||||
Six Months Ended | |||||||
September 30, | |||||||
2008 | Year Ended March 31, | ||||||
(Unaudited) | 2008 | 2007 | 2006 | 2005 | 2004 | ||
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Per Share Operating Performance | |||||||
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Net asset value, beginning of period | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | |
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Net investment income | 0.0047 | 0.0336 | 0.0407 | 0.0259 | 0.0070 | 0.0015 | |
Net realized and unrealized gain (loss) | 0.00001 | 0.0011 | 0.0004 | 0.0001 | (0.0011) | (0.0001) | |
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Net increase from investment operations | 0.0047 | 0.0347 | 0.0411 | 0.0260 | 0.0059 | 0.0014 | |
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Dividends and distributions from: | |||||||
Net investment income | (0.0047) | (0.0336) | (0.0407) | (0.0259) | (0.0070) | (0.0015) | |
Net realized gain | | | (0.0000)2 | (0.0000)2 | (0.0000)2 | (0.0001) | |
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Total dividends and distributions | (0.0047) | (0.0336) | (0.0407) | (0.0259) | (0.0070) | (0.0016) | |
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Net asset value, end of period | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | |
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Total Investment Return | |||||||
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Total investment return | 0.47%3 | 3.41% | 4.13% | 2.63% | 0.70% | 0.16% | |
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Ratios to Average Net Assets4 | |||||||
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Total expenses after waiver | 0.97%5 | 1.00% | 1.03% | 0.99% | 0.98% | 0.97% | |
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Total expenses | 1.25%5 | 1.26% | 1.28% | 1.27% | 1.28% | 1.26% | |
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Net investment income | 0.95%5 | 3.32% | 4.07% | 2.58% | 0.68% | 0.15% | |
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Supplemental Data | |||||||
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Net assets, end of period (000) | $ 83,688 | $ 88,881 | $ 82,655 | $ 115,872 | $ 119,718 | $ 137,566 | |
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1 Amount is less than $0.0001 per share. | |||||||
2 Amount is less than $(0.0001) per share. | |||||||
3 Aggregate total investment return. | |||||||
4 Includes the Funds share of the Government LLCs allocated expenses and/or net investment income. | |||||||
5 Annualized. |
See Notes to Financial Statements. SEMI-ANNUAL REPORT SEPTEMBER 30, 2008 9 |
Financial Highlights (continued) | WCMA Government Securities Fund | ||||||||||||||||
Class 3 | |||||||||||||||||
Six Months Ended | |||||||||||||||||
September 30, | |||||||||||||||||
2008 | Year Ended March 31, | ||||||||||||||||
(Unaudited) | 2008 | 2007 | 2006 | 2005 | 2004 | ||||||||||||
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Per Share Operating Performance | |||||||||||||||||
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Net asset value, beginning of period | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | |||||||||||
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Net investment income | 0.0064 | 0.0368 | 0.0439 | 0.0291 | 0.0102 | 0.0047 | |||||||||||
Net realized and unrealized gain (loss) | 0.00001 | 0.0010 | 0.0004 | 0.0001 | (0.0010) | (0.0001) | |||||||||||
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Net increase from investment operations | 0.0064 | 0.0378 | 0.0443 | 0.0292 | 0.0092 | 0.0046 | |||||||||||
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Dividends and distributions from: | |||||||||||||||||
Net investment income | (0.0064) | (0.0368) | (0.0439) | (0.0291) | (0.0102) | (0.0047) | |||||||||||
Net realized gain | | | (0.0000)2 | (0.0000)2 | (0.0000)2 | (0.0001) | |||||||||||
|
|
|
|
|
|
|
|
| |||||||||
Total dividends and distributions | (0.0064) | (0.0368) | (0.0439) | (0.0291) | (0.0102) | (0.0048) | |||||||||||
|
|
|
|
|
|
|
|
| |||||||||
Net asset value, end of period | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | |||||||||||
|
|
|
|
|
|
| |||||||||||
Total Investment Return | |||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||
Total investment return | 0.64%3 | 3.74% | 4.47% | 2.96% | 1.03% | 0.48% | |||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||
Ratios to Average Net Assets4 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||
Total expenses after waiver | 0.64%5 | 0.68% | 0.71% | 0.67% | 0.66% | 0.65% | |||||||||||
|
|
|
|
|
|
|
|
| |||||||||
Total expenses | 0.95%5 | 0.96% | 0.98% | 0.97% | 0.98% | 0.96% | |||||||||||
|
|
|
|
|
|
|
|
| |||||||||
Net investment income | 1.27%5 | 3.67% | 4.41% | 2.88% | 1.01% | 0.48% | |||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||
Supplemental Data | |||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||
Net assets, end of period (000) | $ 166,191 | $ 154,833 | $ 158,327 | $ 158,500 | $ 193,195 | $ 224,278 | |||||||||||
|
|
|
|
|
| ||||||||||||
1 Amount is less than $0.0001 per share. | |||||||||||||||||
2 Amount is less than $(0.0001) per share. | |||||||||||||||||
3 Aggregate total investment return. | |||||||||||||||||
4 Includes the Funds share of the Government LLCs allocated expenses and/or net investment income. | |||||||||||||||||
5 Annualized. |
See Notes to Financial Statements. 10 SEMI-ANNUAL REPORT SEPTEMBER 30, 2008 |
Financial Highlights (continued) | WCMA Government Securities Fund | |||||||||||||||||
Class 4 | ||||||||||||||||||
Six Months Ended | ||||||||||||||||||
September 30, | ||||||||||||||||||
2008 | Year Ended March 31, | |||||||||||||||||
(Unaudited) | 2008 | 2007 | 2006 | 2005 | 2004 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
Per Share Operating Performance | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
Net asset value, beginning of period | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | ||||||||||||
|
|
|
|
|
| |||||||||||||
Net investment income | 0.0064 | 0.0368 | 0.0439 | 0.0291 | 0.0102 | 0.0047 | ||||||||||||
Net realized and unrealized gain (loss) | 0.00001 | 0.0003 | 0.0003 | 0.0002 | (0.0012) | 0.00001 | ||||||||||||
|
|
|
|
|
|
|
|
| ||||||||||
Net increase from investment operations | 0.0064 | 0.0371 | 0.0442 | 0.0293 | 0.0090 | 0.0047 | ||||||||||||
|
|
|
|
|
|
|
|
| ||||||||||
Dividends and distributions from: | ||||||||||||||||||
Net investment income | (0.0064) | (0.0368) | (0.0439) | (0.0291) | (0.0102) | (0.0047) | ||||||||||||
Net realized gain | | | (0.0000)2 | (0.0000)2 | (0.0000)2 | (0.0000)2 | ||||||||||||
|
|
|
|
|
|
|
|
| ||||||||||
Total dividends and distributions | (0.0064) | (0.0368) | (0.0439) | (0.0291) | (0.0102) | (0.0047) | ||||||||||||
|
|
|
|
|
|
|
|
| ||||||||||
Net asset value, end of period | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | ||||||||||||
|
|
|
|
|
|
| ||||||||||||
Total Investment Return | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
Total investment return | 0.64%3 | 3.74% | 4.47% | 2.96% | 1.03% | 0.47% | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
Ratios to Average Net Assets4 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
Total expenses after waiver | 0.64%5 | 0.68% | 0.71% | 0.67% | 0.66% | 0.65% | ||||||||||||
|
|
|
|
|
|
|
|
| ||||||||||
Total expenses | 0.94%5 | 0.95% | 0.98% | 0.98% | 0.97% | 0.96% | ||||||||||||
|
|
|
|
|
|
|
|
| ||||||||||
Net investment income | 1.27%5 | 3.59% | 4.41% | 3.10% | 0.91% | 0.48% | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
Supplemental Data | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
Net assets, end of period (000) | $ 253,735 | $ 255,634 | $ 208,801 | $ 207,778 | $ 81,344 | $ 157,203 | ||||||||||||
|
|
|
|
|
| |||||||||||||
1 Amount is less than $0.0001 per share. | ||||||||||||||||||
2 Amount is less than $(0.0001) per share. | ||||||||||||||||||
3 Aggregate total investment return. | ||||||||||||||||||
4 Includes the Funds share of the Government LLCs allocated expenses and/or net investment income. | ||||||||||||||||||
5 Annualized. |
See Notes to Financial Statements. SEMI-ANNUAL REPORT SEPTEMBER 30, 2008 11 |
Financial Highlights (continued) | WCMA Treasury Fund | |||||||||||||||||
Class 1 | ||||||||||||||||||
Six Months Ended | ||||||||||||||||||
September 30, | ||||||||||||||||||
2008 | Year Ended March 31, | |||||||||||||||||
(Unaudited) | 2008 | 2007 | 2006 | 2005 | 2004 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
Per Share Operating Performance | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
Net asset value, beginning of period | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | ||||||||||||
|
|
|
|
|
| |||||||||||||
Net investment income | 0.0012 | 0.0251 | 0.0331 | 0.0184 | 0.0025 | 0.0003 | ||||||||||||
Net realized and unrealized gain (loss) | 0.00001 | 0.0006 | 0.0002 | 0.0002 | (0.0004) | (0.0002) | ||||||||||||
|
|
|
|
|
|
|
|
| ||||||||||
Net increase from investment operations | 0.0012 | 0.0257 | 0.0333 | 0.0186 | 0.0021 | 0.0001 | ||||||||||||
|
|
|
|
|
|
|
|
| ||||||||||
Dividends and distributions from: | ||||||||||||||||||
Net investment income | (0.0012) | (0.0251) | (0.0331) | (0.0184) | (0.0025) | (0.0003) | ||||||||||||
Net realized gain | | | (0.0000)2 | (0.0001) | (0.0000)2 | (0.0001) | ||||||||||||
|
|
|
|
|
|
|
|
| ||||||||||
Total dividends and distributions | (0.0012) | (0.0251) | (0.0331) | (0.0185) | (0.0025) | (0.0004) | ||||||||||||
|
|
|
|
|
|
|
|
| ||||||||||
Net asset value, end of period | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | ||||||||||||
|
|
|
|
|
|
| ||||||||||||
Total Investment Return | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
Total investment return | 0.12%3 | 2.53% | 3.35% | 1.87% | 0.26% | 0.04% | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
Ratios to Average Net Assets4 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
Total expenses after waiver | 1.40%5 | 1.53% | 1.57% | 1.55% | 1.32% | 0.96% | ||||||||||||
|
|
|
|
|
|
|
|
| ||||||||||
Total expenses | 1.48%5 | 1.53% | 1.57% | 1.55% | 1.56% | 1.58% | ||||||||||||
|
|
|
|
|
|
|
|
| ||||||||||
Net investment income | 0.23%5 | 2.29% | 3.32% | 3.82% | 0.25% | 0.04% | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
Supplemental Data | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
Net assets, end of period (000) | $ 46,304 | $ 33,561 | $ 14,251 | $ 17,407 | $ 23,145 | $ 26,768 | ||||||||||||
|
|
|
|
|
| |||||||||||||
1 Amount is less than $0.0001 per share. | ||||||||||||||||||
2 Amount is less than $(0.0001) per share. | ||||||||||||||||||
3 Aggregate total investment return. | ||||||||||||||||||
4 Includes the Funds share of the Treasury LLCs allocated expenses and/or net investment income. | ||||||||||||||||||
5 Annualized. |
See Notes to Financial Statements. 12 SEMI-ANNUAL REPORT SEPTEMBER 30, 2008 |
Financial Highlights (continued) | WCMA Treasury Fund | |||||||||||||||||
Class 2 | ||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Six Months Ended | ||||||||||||||||||
September 30, | ||||||||||||||||||
2008 | Year Ended March 31, | |||||||||||||||||
(Unaudited) | 2008 | 2007 | 2006 | 2005 | 2004 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
Per Share Operating Performance | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
Net asset value, beginning of period | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | ||||||||||||
|
|
|
|
|
| |||||||||||||
Net investment income | 0.0039 | 0.0307 | 0.0385 | 0.0241 | 0.0060 | 0.0007 | ||||||||||||
Net realized and unrealized gain (loss) | 0.00001 | 0.0003 | 0.0003 | 0.0001 | (0.0004) | 0.00001 | ||||||||||||
|
|
|
|
|
|
|
|
| ||||||||||
Net increase from investment operations | 0.0039 | 0.0310 | 0.0388 | 0.0242 | 0.0056 | 0.0007 | ||||||||||||
|
|
|
|
|
|
|
|
| ||||||||||
Dividends and distributions from: | ||||||||||||||||||
Net investment income | (0.0039) | (0.0307) | (0.0385) | (0.0241) | (0.0060) | (0.0007) | ||||||||||||
Net realized gain | | | (0.0000)2 | (0.0001) | (0.0000)2 | (0.0001) | ||||||||||||
|
|
|
|
|
|
|
|
| ||||||||||
Total dividends and distributions | (0.0039) | (0.0307) | (0.0385) | (0.0242) | (0.0060) | (0.0008) | ||||||||||||
|
|
|
|
|
|
|
|
| ||||||||||
Net asset value, end of period | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | ||||||||||||
|
|
|
|
|
|
| ||||||||||||
Total Investment Return | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
Total investment return | 0.39%3 | 3.10% | 3.91% | 2.45% | 0.61% | 0.08% | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
Ratios to Average Net Assets4 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
Total expenses after waiver | 0.92%5 | 0.98% | 1.04% | 0.98% | 0.99% | 0.92% | ||||||||||||
|
|
|
|
|
|
|
|
| ||||||||||
Total expenses | 1.14%5 | 1.21% | 1.26% | 1.24% | 1.24% | 1.25% | ||||||||||||
|
|
|
|
|
|
|
|
| ||||||||||
Net investment income | 0.75%5 | 2.98% | 3.85% | 2.42% | 0.59% | 0.08% | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
Supplemental Data | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
Net assets, end of period (000) | $ 237,142 | $ 141,916 | $ 98,905 | $ 118,142 | $ 123,994 | $ 157,800 | ||||||||||||
|
|
|
|
|
| |||||||||||||
1 Amount is less than $0.0001 per share. | ||||||||||||||||||
2 Amount is less than $(0.0001) per share. | ||||||||||||||||||
3 Aggregate total investment return. | ||||||||||||||||||
4 Includes the Funds share of the Treasury LLCs allocated expenses and/or net investment income. | ||||||||||||||||||
5 Annualized. |
See Notes to Financial Statements. SEMI-ANNUAL REPORT SEPTEMBER 30, 2008 13 |
Financial Highlights (continued) | WCMA Treasury Fund | |||||||||||||||||
Class 3 | ||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Six Months Ended | ||||||||||||||||||
September 30, | ||||||||||||||||||
2008 | Year Ended March 31, | |||||||||||||||||
(Unaudited) | 2008 | 2007 | 2006 | 2005 | 2004 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
Per Share Operating Performance | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
Net asset value, beginning of period | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | ||||||||||||
|
|
|
|
|
| |||||||||||||
Net investment income | 0.0056 | 0.0343 | 0.0421 | 0.0277 | 0.0094 | 0.0035 | ||||||||||||
Net realized and unrealized gain (loss) | 0.00001 | 0.0002 | 0.0003 | 0.0001 | (0.0004) | 0.00001 | ||||||||||||
|
|
|
|
|
|
|
|
| ||||||||||
Net increase from investment operations | 0.0056 | 0.0345 | 0.0424 | 0.0278 | 0.0090 | 0.0035 | ||||||||||||
|
|
|
|
|
|
|
|
| ||||||||||
Dividends and distributions from: | ||||||||||||||||||
Net investment income | (0.0056) | (0.0343) | (0.0421) | (0.0277) | (0.0094) | (0.0035) | ||||||||||||
Net realized gain | | | (0.0000)2 | (0.0001) | (0.0000)2 | (0.0001) | ||||||||||||
|
|
|
|
|
|
|
|
| ||||||||||
Total dividends and distributions | (0.0056) | (0.0343) | (0.0421) | (0.0278) | (0.0094) | (0.0036) | ||||||||||||
|
|
|
|
|
|
|
|
| ||||||||||
Net asset value, end of period | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | ||||||||||||
|
|
|
|
|
|
| ||||||||||||
Total Investment Return | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
Total investment return | 0.57%3 | 3.48% | 4.28% | 2.81% | 0.95% | 0.36% | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
Ratios to Average Net Assets4 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
Total expenses after waiver | 0.56%5 | 0.62% | 0.68% | 0.63% | 0.65% | 0.64% | ||||||||||||
|
|
|
|
|
|
|
|
| ||||||||||
Total expenses | 0.83%5 | 0.89% | 0.96% | 0.94% | 0.94% | 0.95% | ||||||||||||
|
|
|
|
|
|
|
|
| ||||||||||
Net investment income | 1.10%5 | 3.22% | 4.23% | 2.80% | 0.95% | 0.36% | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
Supplemental Data | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
Net assets, end of period (000) | $ 642,454 | $ 375,727 | $ 171,739 | $ 167,197 | $ 162,092 | $ 168,710 | ||||||||||||
|
|
|
|
|
| |||||||||||||
1 Amount is less than $0.0001 per share. | ||||||||||||||||||
2 Amount is less than $(0.0001) per share. | ||||||||||||||||||
3 Aggregate total investment return. | ||||||||||||||||||
4 Includes the Funds share of the Treasury LLCs allocated expenses and/or net investment income. | ||||||||||||||||||
5 Annualized. |
See Notes to Financial Statements. 14 SEMI-ANNUAL REPORT SEPTEMBER 30, 2008 |
Financial Highlights (concluded) | WCMA Treasury Fund | |||||||||||||||||
Class 4 | ||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Six Months Ended | ||||||||||||||||||
September 30, | ||||||||||||||||||
2008 | Year Ended March 31, | |||||||||||||||||
(Unaudited) | 2008 | 2007 | 2006 | 2005 | 2004 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
Per Share Operating Performance | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
Net asset value, beginning of period | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | ||||||||||||
|
|
|
|
|
| |||||||||||||
Net investment income | 0.0056 | 0.0343 | 0.0421 | 0.0277 | 0.0094 | 0.0035 | ||||||||||||
Net realized and unrealized gain (loss) | 0.00001 | 0.0001 | 0.0002 | 0.0001 | (0.0003) | 0.00001 | ||||||||||||
|
|
|
|
|
|
|
|
| ||||||||||
Net increase from investment operations | 0.0056 | 0.0344 | 0.0423 | 0.0278 | 0.0091 | 0.0035 | ||||||||||||
|
|
|
|
|
|
|
|
| ||||||||||
Dividends and distributions from: | ||||||||||||||||||
Net investment income | (0.0056) | (0.0343) | (0.0421) | (0.0277) | (0.0094) | (0.0035) | ||||||||||||
Net realized gain | | | (0.0000)2 | (0.0001) | (0.0000)2 | (0.0001) | ||||||||||||
|
|
|
|
|
|
|
|
| ||||||||||
Total dividends and distributions | (0.0056) | (0.0343) | (0.0421) | (0.0278) | (0.0094) | (0.0036) | ||||||||||||
|
|
|
|
|
|
|
|
| ||||||||||
Net asset value, end of period | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | ||||||||||||
|
|
|
|
|
|
| ||||||||||||
Total Investment Return | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
Total investment return | 0.57%3 | 3.48% | 4.28% | 2.81% | 0.95% | 0.36% | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
Ratios to Average Net Assets4 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
Total expenses after waiver | 0.56%5 | 0.61% | 0.68% | 0.63% | 0.65% | 0.65% | ||||||||||||
|
|
|
|
|
|
|
|
| ||||||||||
Total expenses | 0.83%5 | 0.89% | 0.95% | 0.93% | 0.93% | 0.96% | ||||||||||||
|
|
|
|
|
|
|
|
| ||||||||||
Net investment income | 1.11%5 | 3.06% | 4.24% | 2.86% | 0.91% | 0.36% | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
Supplemental Data | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
Net assets, end of period (000) | $ 640,497 | $ 499,438 | $ 126,693 | $ 88,886 | $ 57,539 | $ 88,849 | ||||||||||||
|
|
|
|
|
|
1 | Amount is less than $0.0001 per share. |
2 | Amount is less than $(0.0001) per share. |
3 | Aggregate total investment return. |
4 | Includes the Funds share of the Treasury LLCs allocated expenses and/or net investment income. |
5 | Annualized. |
See Notes to Financial Statements. |
SEMI-ANNUAL REPORT |
SEPTEMBER 30, 2008 |
15 |
Notes to Financial Statements (Unaudited) WCMA Government Securities Fund and WCMA Treasury Fund |
1. Significant Accounting Policies: WCMA Government Securities Fund and WCMA Treasury Fund (the Funds or individually the Fund) are registered under the Investment Company Act of 1940, as amended (the 1940 Act), as no load, diversified, open-end management investment companies. WCMA Government Securities Fund and WCMA Treasury Fund seek to achieve their investment objectives by investing all of their assets in Master Government Securities LLC and Master Treasury LLC (individually Government LLC and Treasury LLC, or collectively the Master LLCs), respectively, each of which has the same investment objective and strate- gies as the related Fund. The value of each Funds investment in the related Master LLC reflects each Funds proportionate interest in the net assets of the respective Master LLC. The performance of each Fund is directly affected by the performance of the related Master LLC. The financial statements of the Master LLCs, including the Schedules of Investments, are included elsewhere in this report and should be read in conjunction with the Funds financial statements. The Funds financial statements are prepared in conformity with accounting principles gener- ally accepted in the United States of America, which may require the use of management accruals and estimates. Actual results may differ from these estimates. The percentages of Government LLC and Treasury LLC owned by WCMA Government Securities Fund and WCMA Treasury Fund at September 30, 2008 were 39.2% and 24.5%, respectively. The Funds are divided into four classes, designated Class 1, Class 2, Class 3 and Class 4. Each Class 1, Class 2, Class 3 and Class 4 share repre- sents interests in the same assets of the Funds and has identical voting, dividend, liquidation and other rights and the same terms and condi- tions, except that each class bears certain expenses related to service and the distribution of such shares and the additional incremental trans- fer agency costs resulting from the conversion of shares and has exclu- sive voting with respect to matters relating to such shareholder servicing and distribution expenditures. The following is a summary of significant accounting policies followed by the Funds: Valuation of Investments: The Funds record their investment in the appli- cable Master LLC at fair value. Valuation of securities held by the Master LLCs is discussed in Note 1 of the Master LLCs Notes to Financial Statements, which are included elsewhere in this report. The Funds seek to maintain the net asset value per share at $1.00, although there is no assurance that it will be able to do so on a continuing basis. Effective April 1, 2008, each Fund adopted Financial Accounting Standards Board Statement of Financial Accounting Standards No. 157, Fair Value Measurements (FAS 157). FAS 157 clarifies the definition of fair value, establishes a framework for measuring fair values and |
requires additional disclosures about the use of fair value measure-
ments. Various inputs are used in determining the fair value of invest-
ments, which are as follows:
Level 1 price quotations in active markets/exchanges for
identical securities
Level 2 other observable inputs (including, but not limited to:
quoted prices for 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 avail-
able in the circumstance, to the extent observable inputs are not
available (including a Funds own assumption used in determining
the fair value of investments)
The following table summarizes the inputs used as of September 30,
2008 in determining the fair valuation of each Funds investments:
Investments in Securities | ||||
| ||||
WCMA | ||||
Government | WCMA | |||
Securities | Treasury | |||
Valuation Inputs | Fund | Fund | ||
|
|
| ||
Level 1 | | | ||
Level 2 | $ 512,579,763 | $1,566,630,198 | ||
Level 3 | | | ||
|
| |||
Total | $ 512,579,763 | $1,566,630,198 | ||
|
|
Investment Transactions and Net Investment Income: Investment trans- actions in the Master LLCs are accounted for on a trade date basis. The Funds record daily their proportionate share of the related Master LLCs income, expenses and realized gains and losses. In addition, the Funds accrue their own income and expenses. Income and realized gains and losses on investments are allocated daily to each class based on its relative net assets. Dividends and Distributions to Shareholders: Dividends from net investment income are declared and reinvested daily and paid monthly. Distributions of realized gains, if any, are recorded on the ex-dividend dates. Income Taxes: It is each Funds policy to comply with the requirements of the Internal Revenue Code applicable to regulated investment compa- nies and to distribute substantially all of its taxable income to its share- holders. Therefore, no federal income tax provision is required. |
16 SEMI-ANNUAL REPORT SEPTEMBER 30, 2008 |
Notes to Financial Statements (continued) WCMA Government Securities Fund and WCMA Treasury Fund |
The Funds file U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limita- tions on the Funds U.S. federal tax returns remains open for the years ended March 31, 2005 through March 31, 2007. The statute of limita- tions on the Funds state and local tax returns may remain open for an additional year depending upon the jurisdiction. Recent Accounting Pronouncement: In March 2008, Statement of Financial Accounting Standards No. 161, Disclosures about Derivative Instruments and Hedging Activities an amendment of FASB Statement No. 133 (FAS 161), was issued. FAS 161 is intended to improve financial reporting for derivative instruments by requiring enhanced dis- closure that enables investors to understand how and why an entity uses derivatives, how derivatives are accounted for, and how derivative instru- ments affect an entitys results of operations and financial position. In September 2008, FASB Staff Position No. 133-1 and FASB Interpretation No. 45-4 (the FSP), Disclosures about Credit Derivatives and Certain Guarantees: An Amendment of FASB Statement No. 133 and FASB Interpretation No. 45; and Clarification of the Effective Date of FASB Statement No. 161 was issued and is effective for fiscal years and inter- im periods ending after November 15, 2008. The FSP amends FASB Statement No. 133, Accounting for Derivative Instruments and Hedging Activities, to require disclosures by sellers of credit derivatives, including credit derivatives embedded in hybrid instruments. The FSP also clarifies the effective date of FAS 161, whereby disclosures required by FAS 161 are effective for financial statements issued for fiscal years and interim periods beginning after November 15, 2008. The impact on the Funds financial statement disclosures, if any, is currently being assessed. Other: Expenses directly related to each Fund or its classes are charged to that Fund or class. Other operating expenses shared by several funds are pro-rated among those funds on the basis of relative net assets or other appropriate methods. Other expenses of the Funds are allocated daily to each class based on its relative net assets or other appropriate methods. 2. Transactions with Affiliates: The Funds have entered into an Administration Agreement with BlackRock Advisors, LLC (the Administrator), an indirect, wholly owned subsidiary of BlackRock, Inc., to provide administrative services (other than invest- ment advice and related portfolio activities). For such services, each Fund pays the Administrator a monthly fee at an annual rate of 0.25% of the average daily value of each Funds net assets. Merrill Lynch & Co., Inc. (Merrill Lynch) and The PNC Financial Services Group, Inc. (PNC) are principal owners of BlackRock, Inc. |
The Funds have also entered into a Distribution Agreement and a Distribution and Shareholder Servicing Plan (the Distribution Plan) with Merrill Lynch, Pierce, Fenner and Smith Incorporated (MLPF&S), a wholly owned subsidiary of Merrill Lynch. Pursuant to the Distribution Plan adopted by each Fund in accordance with Rule 12b-1 under the 1940 Act, each Fund pays MLPF&S ongoing service and distribution fees. The fees are accrued daily and paid monthly at annual rates based upon the average daily net assets of the shares of the Funds as follows: |
Service | Distribution | |||
Fee | Fee | |||
|
|
|
||
Class 1 | 0.25% | 0.750% | ||
Class 2 | 0.25% | 0.425% | ||
Class 3 | 0.25% | 0.125% | ||
Class 4 | 0.25% | 0.125% | ||
|
|
|
The ongoing service and/or distribution fee compensates MLPF&S for providing shareholder servicing and/or distribution related services to shareholders. The Funds have entered into a contractual arrangement with the Administrator and MLPF&S to waive and/or reimburse a portion of each Funds fees and expenses to ensure that the net expenses for WCMA Government Securities Funds Class 2 Shares is 0.32% higher than that of CMA Government Securities Fund and the net expenses for WCMA Treasury Funds Class 2 Shares is 0.35% higher than that of CMA Treasury Fund. In addition, the net expenses of the Class 3 and Class 4 Shares of each Fund are equal to those of CMA Government Securities Fund and CMA Treasury Fund, as applicable. The fee/expense waiver or reimbursement includes service and distribution fees. This arrangement has a one-year term and is renewable. For the six months ended September 30, 2008, MLPF&S earned and waived fees for each Fund as follows, which are shown as fees waived by administrator on the Statements of Operations: |
Fees | Fees | |||
Earned | Waived | |||
|
|
|
||
WCMA Government Securities Fund | $1,095,948 | $ 740,850 | ||
WCMA Treasury Fund | $2,134,415 | $1,332,678 | ||
|
|
|
Financial Data Services, Inc. (FDS), a wholly owned subsidiary of Merrill Lynch and an affiliate of the Administrator, serves as transfer agent. Interest is earned by the Funds from FDS based on the difference, if any, between estimated and actual daily share activity, which results in uninvested net proceeds from sales of Fund shares. This is shown as income from affiliates on the Statements of Operations. Certain officers and/or directors of the Funds are officers and/or directors of BlackRock, Inc. or its affiliates. The Funds reimburse the Administrator for compensation paid to the Funds Chief Compliance Officer. |
SEMI-ANNUAL REPORT SEPTEMBER 30, 2008 17 |
Notes to Financial Statements (continued) | WCMA Government Securities Fund and WCMA Treasury Fund | |||||||
3. Capital Share Transactions: | ||||||||
Transactions in shares for each class were as follows: | ||||||||
Six Months Ended | Year Ended | |||||||
September 30, 2008 | March 31, 2008 | |||||||
|
| |||||||
WCMA Government Securities Fund | Shares | Amount | Shares | Amount | ||||
|
|
|
|
| ||||
Class 1 | ||||||||
|
|
|
|
| ||||
Shares sold | 145,798,149 | $ 145,798,149 | 121,626,056 | $ 121,626,056 | ||||
Shares issued to shareholders in reinvestment of dividends | 19,809 | 19,809 | 315,273 | 315,273 | ||||
|
|
|
| |||||
Total issued | 145,817,958 | 145,817,958 | 121,941,329 | 121,941,329 | ||||
Shares redeemed | (147,366,678) | (147,366,678) | (122,533,816) | (122,533,816) | ||||
|
|
|
| |||||
Net decrease | (1,548,720) | $ (1,548,720) | (592,487) | $ (592,487) | ||||
|
|
|
|
| ||||
Class 2 | ||||||||
|
|
|
|
| ||||
Shares sold | 200,636,750 | $ 200,636,750 | 527,715,700 | $ 527,715,700 | ||||
Shares issued to shareholders in reinvestment of dividends | 391,111 | 391,111 | 2,758,865 | 2,758,865 | ||||
|
|
|
| |||||
Total issued | 201,027,861 | 201,027,861 | 530,474,565 | 530,474,565 | ||||
Shares redeemed | (206,221,408) | (206,221,408) | (524,336,137) | (524,336,137) | ||||
|
|
|
| |||||
Net increase (decrease) | (5,193,547) | $ (5,193,547) | 6,138,428 | $ 6,138,428 | ||||
|
|
|
|
| ||||
Class 3 | ||||||||
|
|
|
|
| ||||
Shares sold | 569,318,964 | $ 569,318,964 | 1,037,700,677 | $ 1,037,700,677 | ||||
Shares issued to shareholders in reinvestment of dividends | 1,043,103 | 1,043,103 | 6,009,348 | 6,009,348 | ||||
|
|
|
| |||||
Total issued | 570,362,067 | 570,362,067 | 1,043,710,025 | 1,043,710,025 | ||||
Shares redeemed | (559,007,032) | (559,007,032) | (1,047,361,189) | (1,047,361,189) | ||||
|
|
|
| |||||
Net increase (decrease) | 11,355,035 | $ 11,355,035 | (3,651,164) | $ (3,651,164) | ||||
|
|
|
|
| ||||
Class 4 | ||||||||
|
|
|
|
| ||||
Shares sold | 715,921,866 | $ 715,921,866 | 1,722,710,820 | $ 1,722,710,820 | ||||
Shares issued to shareholders in reinvestment of dividends | 1,574,874 | 1,574,874 | 8,028,096 | 8,028,096 | ||||
|
|
|
| |||||
Total issued | 717,496,740 | 717,496,740 | 1,730,738,916 | 1,730,738,916 | ||||
Shares redeemed | (719,398,423) | (719,398,423) | (1,683,968,132) | (1,683,968,132) | ||||
|
|
|
| |||||
Net increase (decrease) | (1,901,683) | $ (1,901,683) | 46,770,784 | $ 46,770,784 | ||||
|
|
|
|
18 SEMI-ANNUAL REPORT |
SEPTEMBER 30, 2008 |
Notes to Financial Statements (concluded) | WCMA Government Securities Fund and WCMA Treasury Fund | ||||||||
Six Months Ended | Year Ended | ||||||||
September 30, 2008 | March 31, 2008 | ||||||||
|
| ||||||||
WCMA Treasury Fund | Shares | Amount | Shares | Amount | |||||
|
|
|
|
|
| ||||
Class 1 | |||||||||
|
|
|
|
|
| ||||
Shares sold | 224,099,975 | $ 224,099,975 | 325,720,232 | $ 325,720,232 | |||||
Shares issued to shareholders in reinvestment of dividends | 19,949 | 19,949 | 372,698 | 372,698 | |||||
|
|
|
|
| |||||
Total issued | 224,119,924 | 224,119,924 | 326,092,930 | 326,092,930 | |||||
Shares redeemed | (211,377,441) | (211,377,441) | (306,790,960) | (306,790,960) | |||||
|
|
|
|
| |||||
Net increase | 12,742,483 | $ 12,742,483 | 19,301,970 | $ 19,301,970 | |||||
|
|
|
|
| |||||
Class 2 | |||||||||
|
|
|
|
|
| ||||
Shares sold | 542,533,072 | $ 542,533,072 | 655,086,353 | $ 655,086,353 | |||||
Shares issued to shareholders in reinvestment of dividends | 563,937 | 563,937 | 3,381,360 | 3,381,360 | |||||
|
|
|
|
| |||||
Total issued | 543,097,009 | 543,097,009 | 658,467,713 | 658,467,713 | |||||
Shares redeemed | (447,872,097) | (447,872,097) | (615,487,930) | (615,487,930) | |||||
|
|
|
|
| |||||
Net increase | 95,224,912 | $ 95,224,912 | 42,979,783 | $ 42,979,783 | |||||
|
|
|
|
| |||||
Class 3 | |||||||||
|
|
|
|
|
| ||||
Shares sold | 1,876,706,206 | $ 1,876,706,206 | 2,051,372,888 | $ 2,051,372,888 | |||||
Shares issued to shareholders in reinvestment of dividends | 2,111,442 | 2,111,442 | 7,701,692 | 7,701,692 | |||||
|
|
|
|
| |||||
Total issued | 1,878,817,648 | 1,878,817,648 | 2,059,074,580 | 2,059,074,580 | |||||
Shares redeemed | (1,612,093,709) | (1,612,093,709) | (1,855,118,228) | (1,855,118,228) | |||||
|
|
|
| ||||||
Net increase | 266,723,939 | $ 266,723,939 | 203,956,352 | $ 203,956,352 | |||||
|
|
|
|
| |||||
Class 4 | |||||||||
|
|
|
|
|
| ||||
Shares sold | 2,217,213,969 | $ 2,217,213,969 | 3,141,057,047 | $ 3,141,057,047 | |||||
Shares issued to shareholders in reinvestment of dividends | 2,566,062 | 2,566,062 | 8,207,096 | 8,207,096 | |||||
|
|
|
|
| |||||
Total issued | 2,219,780,031 | 2,219,780,031 | 3,149,264,143 | 3,149,264,143 | |||||
Shares redeemed | (2,078,722,890) | (2,078,722,890) | (2,776,555,723) | (2,776,555,723) | |||||
|
|
|
| ||||||
Net increase | 141,057,141 | $ 141,057,141 | 372,708,420 | $ 372,708,420 | |||||
|
|
|
|
4. Subsequent Events:
On September 15, 2008, Bank of America Corporation announced that it has agreed to acquire Merrill Lynch, one of the principal owners of BlackRock, Inc. The purchase has been approved by the directors of both companies. Subject to shareholder and regulatory approvals, the transaction is expected to close on or before December 31, 2008.
Effective October 1, 2008, BlackRock Investments, Inc., an affiliate of the Administrator, replaced MLPF&S as the sole distributor of the Funds. The service and distribution fees will not change as a result of this transaction.
On October 9, 2008, the Board approved the Funds participation in the U.S. Treasury Department Temporary Guarantee Program for Money Market Funds (the Program). As a result of the Funds participating in the Program, shareholders will have Federal insurance up to the lesser of the amount of a shareholders balance in the Funds as of the close of business on September 19, 2008, or the amount held in the Funds on the date that a claim is filed for payment under the Program. Any increase in the number of shares in a shareholders balance after the close of business on September 19, 2008 and any future investments after a shareholder has closed their account will not be guaranteed.
As a participant of the program, which expires December 18, 2008, the Funds have paid a participation fee of 0.01% of the Funds shares outstanding as of September 19, 2008.
SEMI-ANNUAL REPORT |
SEPTEMBER 30, 2008 |
19 |
Portfolio Summary | ||||||||||
|
|
|
|
|
| |||||
Portfolio Composition as a Percent of Net Assets | ||||||||||
|
|
|
|
|
| |||||
As of | As of | |||||||||
|
| |||||||||
Master Government Securities LLC | 9/30/08 | 3/31/08 | Master Treasury LLC | 9/30/08 | 3/31/08 | |||||
|
|
|
|
|
| |||||
Repurchase Agreements | 54% | 71% | U.S. Government Obligations | 102% | 106% | |||||
U.S. Government Obligations | 46 | 33 | Liabilities in Excess of Other Assets | (2) | (6) | |||||
|
|
| ||||||||
Liabilities in Excess of Other Assets | | (4) | Total | 100% | 100% | |||||
|
|
|
|
| ||||||
Total | 100% | 100% | ||||||||
|
|
20 SEMI-ANNUAL REPORT |
SEPTEMBER 30, 2008 |
Schedule of Investments September 30, 2008 (Unaudited) Master Government Securities LLC (Percentages shown are based on Net Assets) |
Par | ||||
Issue | (000) | Value | ||
|
|
| ||
U.S. Government Obligations 46.3% | ||||
U.S. Treasury Bills (a): | ||||
1.83%, 10/02/08 | $ 3,834 | $ 3,833,610 | ||
0.20% 1.86%, 10/09/08 | 66,142 | 66,122,945 | ||
0.38%, 10/16/08 | 20,000 | 19,996,622 | ||
0.05%, 10/30/08 | 3,030 | 3,029,874 | ||
1.45% 1.70%, 11/06/08 | 76,290 | 76,165,930 | ||
0.40%, 11/13/08 | 35,000 | 34,982,889 | ||
0.10% 0.15%, 11/20/08 | 24,140 | 24,136,205 | ||
1.68% 1.70%, 11/28/08 | 39,448 | 39,338,411 | ||
0.23% 1.65%, 12/04/08 | 77,546 | 77,470,028 | ||
1.48% 1.58%, 12/11/08 | 49,009 | 48,860,088 | ||
2.25%, 12/26/08 | 10,000 | 9,945,625 | ||
0.76% 1.10%, 1/02/09 | 31,404 | 31,336,126 | ||
1.97%, 1/08/09 | 9,380 | 9,328,671 | ||
1.81%, 1/15/09 | 40,000 | 39,784,811 | ||
1.89% 1.90%, 1/29/09 | 8,000 | 7,949,046 | ||
1.88% 1.89%, 2/05/09 | 15,000 | 14,899,538 | ||
1.99% 2.00%, 2/12/09 | 20,000 | 19,850,637 | ||
1.94%, 2/19/09 | 7,828 | 7,768,206 | ||
1.91%, 2/26/09 | 10,000 | 9,920,947 | ||
0.69%, 3/19/09 | 60,000 | 59,804,500 | ||
|
|
| ||
Total U.S. Government Obligations | 604,524,709 | |||
|
|
| ||
Repurchase Agreements 53.5% | ||||
Banc of America Securities Corp., purchased on | ||||
9/24/08 to yield 0.50% to 10/01/08, repurchase | ||||
price $63,706,193, collateralized by GNMA, 6.50% | ||||
due 9/20/38 | 63,700 | 63,700,000 | ||
|
|
| ||
Barclays Capital Inc., purchased on 7/28/08 | ||||
to yield 2.20% to 10/27/08, repurchase price | ||||
$56,210,866, collateralized by U.S. Treasury Inflation | ||||
Bonds, 2.63% due 5/31/10 | 55,900 | 55,900,000 | ||
|
|
| ||
Citigroup Global Markets Inc., purchased on 9/24/08 | ||||
to yield 1.20% to 10/01/08, repurchase price | ||||
$63,714,863, collateralized by GNMA, 6% | ||||
due 9/20/38 | 63,700 | 63,700,000 | ||
|
|
| ||
Credit Suisse Securities (USA) LLC, purchased on | ||||
8/01/08 to yield 2.25% to 11/03/08, repurchase | ||||
price $55,323,125, collateralized by GNMA, | ||||
5% to 7.50% due 9/15/13 to 9/15/38 | 55,000 | 55,000,000 | ||
|
|
| ||
Deutsche Bank Securities Inc., purchased on 9/24/08 | ||||
to yield 2.25% to 10/01/08, repurchase price | ||||
$63,727,869, collateralized by GNMA, 5.50% to 7% | ||||
due 7/15/36 to 9/15/38 | 63,700 | 63,700,000 |
Par | ||||||
Issue | (000) | Value | ||||
|
|
|
| |||
Repurchase Agreements (concluded) | ||||||
Goldman Sachs & Co., Inc., purchased on 7/15/08 | ||||||
to yield 2.04% to 10/14/08, repurchase price | ||||||
$58,399,602, collateralized by GNMA, 4.50% to 6% | ||||||
due 6/15/18 to 7/15/38 | $ 58,100 | $ 58,100,000 | ||||
|
|
|
| |||
Greenwich Capital Markets, Inc., purchased on | ||||||
9/24/08 to yield 1.25% to 10/01/08, repurchase | ||||||
price $63,715,483, collateralized by GNMA, | ||||||
4.85% to 7% due 3/15/38 to 3/15/48 | 63,700 | 63,700,000 | ||||
|
|
|
| |||
HSBC Securities (USA) Inc., purchased on 9/30/08 | ||||||
to yield 0.20% to 10/01/08, repurchase price | ||||||
$62,500,347, collateralized by U.S. Treasury Inflation | ||||||
Bonds, 2% due 1/15/26 | 62,500 | 62,500,000 | ||||
|
|
|
| |||
J Morgan Securities Inc., purchased on 9/30/08 | ||||||
to yield 1% to 10/07/08, repurchase price | ||||||
$62,512,153, collateralized by GNMA, 4.50% to 13% | ||||||
due 10/15/08 to 2/15/49 | 62,500 | 62,500,000 | ||||
|
|
|
| |||
Merrill Lynch Government Securities Inc., purchased | ||||||
on 9/24/08 to yield 1.20% to 10/01/08, | ||||||
repurchase price $63,714,863, collateralized by | ||||||
GNMA, 5% to 7.50% due 12/20/21 to 2/20/38 (b) | 63,700 | 63,700,000 | ||||
|
|
| ||||
Mizuho Securities USA LLC, purchased on 9/30/08 | ||||||
to yield 0.25% to 10/01/08, repurchase price | ||||||
$28,000,194, collateralized by U.S. Treasury Bills, | ||||||
due 9/24/09 | 28,000 | 28,000,000 | ||||
|
|
|
| |||
UBS Securities LLC, purchased on 7/16/08 to yield | ||||||
2.15% to 10/15/08, repurchase price 59,320,649, | ||||||
collateralized by GNMA, 3.50% to 13.50% | ||||||
due 12/15/08 to 9/15/38 | 59,000 | 59,000,000 | ||||
|
|
|
| |||
Total Repurchase Agreements | 699,500,000 | |||||
|
|
|
| |||
Total Investments (Cost $1,304,024,709*) 99.8% | 1,304,024,709 | |||||
Other Assets Less Liabilities 0.2% | 2,794,270 | |||||
|
| |||||
Net Assets 100.0% | $ 1,306,818,979 | |||||
|
|
| ||||
* Cost for federal income tax purposes. | ||||||
(a) Traded on a discount basis. Rates shown are the discount rates or range of | ||||||
discount rates paid at the time of purchase. | ||||||
(b) Investments in companies considered to be an affiliate of the Master LLC, for | ||||||
purposes of Section 2(a)(3) of the Investment Company Act of 1940, were | ||||||
as follows: | ||||||
|
|
|
| |||
Net | ||||||
Activity | ||||||
Affiliate | (000) | Income | ||||
|
|
|
| |||
Merrill Lynch Government Securities Inc. | $ (4,800) | $ 611,530 | ||||
|
|
|
SEMI-ANNUAL REPORT SEPTEMBER 30, 2008 21 |
Schedule of Investments (concluded) Master Government Securities LLC |
Effective April 1,2008,the Master LLC adopted Financial Accounting Standards
Board Statement of Financial Accounting Standards No. 157, Fair Value
Measurements (FAS 157). FAS 157 clarifies the definition of fair value,
establishes a framework for measuring fair values and requires additional
disclosures about the use of fair value measurements. Various inputs are
used in determining the fair value of investments, which are as follows:
Level 1 price quotations in active markets/exchanges for identical
securities
Level 2 other observable inputs (including,but not limited to: quoted
prices for 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 circumstance, to the extent observable inputs are not available
(including the Master LLCs own assumption used in determining the fair
value of investments)
The inputs or methodology used for valuing securities are not necessarily an
indication of the risk associated with investing in those securities. For infor-
mation about the Master LLCs policy regarding valuation of investments and
other significant accounting policies, please refer to Note 1 of the Notes to
Financial Statements.
The following table summarizes the inputs used as of September 30, 2008
in determining the fair valuation of the Master LLCs investments:
Valuation | Investments in | |
Inputs | Securities | |
|
| |
Level 1 | | |
Level 2 | $1,304,024,709 | |
Level 3 | | |
|
| |
Total | $1,304,024,709 | |
|
See Notes to Financial Statements.
22 SEMI-ANNUAL REPORT SEPTEMBER 30, 2008 |
Schedule of Investments September 30, 2008 (Unaudited) Master Treasury LLC
(Percentages shown are based on Net Assets)
Par | ||||
Issue | (000) | Value | ||
|
|
| ||
U.S. Government Obligations 102.4% | ||||
U.S. Treasury Bills (a): | ||||
0.05% 1.90%, 10/02/08 | $ 785,943 | $ 785,915,154 | ||
0.05% 1.865%, 10/09/08 | 695,276 | 695,167,769 | ||
0.05% 1.505%, 10/16/08 | 581,014 | 580,860,561 | ||
0.05% 1.56%, 10/23/08 | 701,350 | 701,147,066 | ||
0.05% 1.72%, 10/30/08 | 501,427 | 500,942,095 | ||
0.10% 1.71%, 11/06/08 | 845,607 | 844,767,596 | ||
0.08% 1.82%, 11/13/08 | 187,475 | 187,290,867 | ||
0.15% 1.88%, 11/20/08 | 546,629 | 546,082,185 | ||
0.11% 0.403%, 11/28/08 | 31,318 | 31,300,370 | ||
0.10% 1.73%, 12/04/08 | 263,817 | 263,359,178 | ||
1.75%, 12/11/08 | 150,000 | 149,475,000 | ||
0.25% 2.25%, 12/26/08 | 161,410 | 161,186,815 | ||
1.203% 2.125%, 1/02/09 | 99,000 | 98,638,138 | ||
2.034% 2.07%, 1/08/09 | 26,000 | 25,851,800 | ||
1.81% 1.935%, 1/15/09 | 171,485 | 170,542,990 | ||
1.958%, 1/22/09 | 40,000 | 39,752,050 | ||
1.895% 1.896%, 2/05/09 | 60,000 | 59,595,598 | ||
1.986% 2.002%, 2/12/09 | 61,000 | 60,544,052 | ||
1.749% 1.98%, 2/19/09 | 96,000 | 95,292,449 | ||
1.95%, 2/26/09 | 100,000 | 99,192,917 | ||
1.815%, 3/12/09 | 70,000 | 69,424,746 | ||
0.69% 1.41%, 3/19/09 | 355,000 | 353,444,854 | ||
| ||||
6,519,774,250 | ||||
|
|
| ||
U.S. Treasury Notes, 4.75%, 12/31/08 | 20,000 | 20,216,594 | ||
|
|
| ||
Total Investments | ||||
(Cost $6,539,990,844*) 102.4% | 6,539,990,844 | |||
Liabilities in Excess of Other Assets (2.4)% | (150,274,897) | |||
| ||||
Net Assets 100.0% | $6,389,715,947 | |||
|
* Cost for federal income tax purposes. (a) Traded on a discount basis. Rates shown are the discount rates or range of discount rates paid at the time of purchase. |
Effective April 1,2008,the Master LLC adopted Financial Accounting Standards
Board Statement of Financial Accounting Standards No. 157, Fair Value
Measurements (FAS 157). FAS 157 clarifies the definition of fair value,
establishes a framework for measuring fair values and requires additional
disclosures about the use of fair value measurements. Various inputs are
used in determining the fair value of investments, which are as follows:
Level 1 price quotations in active markets/exchanges for identical securities
Level 2 other observable inputs (including,but not limited to: quoted
prices for 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 circumstance, to the extent observable inputs are not available
(including the Master LLCs own assumption used in determining the fair
value of investments)
The inputs or methodology used for valuing securities are not necessarily an
indication of the risk associated with investing in those securities. For informa-
tion about the Master LLCs policy regarding valuation of investments and other
significant accounting policies, please refer to Note 1 of the Notes to Financial
Statements.
The following table summarizes the inputs used as of September 30, 2008 in
determining the fair valuation of the Master LLCs investments:
Valuation | Investments in | |
Inputs | Securities | |
|
| |
Level 1 | | |
Level 2 | $6,539,990,844 | |
Level 3 | | |
|
| |
Total | $6,539,990,844 | |
|
See Notes to Financial Statements. |
SEMI-ANNUAL REPORT |
SEPTEMBER 30, 2008 |
23 |
Statements of Assets and Liabilities | ||||
Master | ||||
Government | Master | |||
September 30, 2008 (Unaudited) | Securities LLC | Treasury LLC | ||
|
|
| ||
Assets | ||||
|
|
| ||
Investments at value unaffiliated1 | $ 604,524,709 | $6,539,990,844 | ||
Repurchase agreements at value unaffiliated2 | 635,800,000 | | ||
Repurchase agreements at value affiliated3 | 63,700,000 | | ||
Cash | 266 | 707 | ||
Investments sold receivable | | 290,541,608 | ||
Contributions receivable from investors | 2,009,337 | | ||
Interest receivable | 1,014,132 | 232,155 | ||
Prepaid expenses | 23,159 | 31,723 | ||
|
| |||
Total assets | 1,307,071,603 | 6,830,797,037 | ||
|
|
| ||
Liabilities | ||||
|
|
| ||
Investments purchased payable | | 440,496,903 | ||
Investment advisory fees payable | 190,960 | 491,211 | ||
Other affiliates payable | 9,762 | 23,858 | ||
Withdrawals payable to investors | | 486 | ||
Officers and Directors fees payable | 100 | 230 | ||
Other accrued expenses payable | 51,802 | 68,402 | ||
|
| |||
Total liabilities | 252,624 | 441,081,090 | ||
|
| |||
Net Assets | $1,306,818,979 | $6,389,715,947 | ||
|
|
| ||
Net Assets Consist of | ||||
|
|
| ||
Investors capital | $1,306,818,979 | $6,389,715,947 | ||
|
| |||
1 Investments at cost unaffiliated | $ 604,524,709 | $6,539,990,844 | ||
|
| |||
2 Repurchase agreements at cost unaffiliated | $ 635,800,000 | | ||
|
| |||
3 Repurchase agreements at cost affiliated | $ 63,700,000 | | ||
|
|
See Notes to Financial Statements. |
24 SEMI-ANNUAL REPORT |
SEPTEMBER 30, 2008 |
Statements of Operations | ||||
Master | ||||
Government | Master | |||
Six Months Ended September 30, 2008 (Unaudited) | Securities LLC | Treasury LLC | ||
|
|
| ||
Investment Income | ||||
|
|
| ||
Interest | $ 10,800,281 | $ 26,624,665 | ||
Income from affiliates | 611,530 | | ||
|
| |||
Total Income | 11,411,811 | 26,624,665 | ||
|
|
| ||
Expenses | ||||
|
|
| ||
Investment advisory | 1,189,629 | 2,454,622 | ||
Accounting services | 114,978 | 194,989 | ||
Custodian | 32,280 | 40,490 | ||
Professional | 22,813 | 23,397 | ||
Officer and Directors | 15,312 | 22,451 | ||
Printing | 662 | 1,381 | ||
Miscellaneous | 8,767 | 12,442 | ||
|
| |||
Total expenses | 1,384,441 | 2,749,772 | ||
|
| |||
Net investment income | 10,027,370 | 23,874,893 | ||
|
|
| ||
Realized Gain | ||||
|
|
| ||
Net realized gain from investments | 11,856 | 7,721 | ||
|
| |||
Net Increase in Net Assets Resulting from Operations | $ 10,039,226 | $ 23,882,614 | ||
|
|
See Notes to Financial Statements. |
SEMI-ANNUAL REPORT |
SEPTEMBER 30, 2008 |
25 |
Statements of Changes in Net Assets | ||||||||
Master Government Securities LLC | Master Treasury LLC | |||||||
|
| |||||||
Six Months Ended | Six Months Ended | |||||||
September 30, | Year Ended | September 30, | Year Ended | |||||
2008 | March 31, | 2008 | March 31, | |||||
Increase (Decrease) in Net Assets: | (Unaudited) | 2008 | (Unaudited) | 2008 | ||||
|
|
|
|
| ||||
Operations | ||||||||
|
|
|
|
| ||||
Net investment income | $ 10,027,370 | $ 42,522,869 | $ 23,874,893 | $ 52,666,503 | ||||
Net realized gain | 11,856 | 71,881 | 7,721 | 130,747 | ||||
Net change in unrealized appreciation/depreciation | | (27,831) | | (186,066) | ||||
|
|
|
| |||||
Net increase in net assets resulting from operations | 10,039,226 | 42,566,919 | 23,882,614 | 52,611,184 | ||||
|
|
|
|
| ||||
Capital Transactions | ||||||||
|
|
|
|
| ||||
Proceeds from contributions | 3,091,226,130 | 6,967,978,832 | 13,032,158,513 | 12,960,360,648 | ||||
Fair value of withdrawals | (3,102,568,544) | (6,666,836,245) | (10,152,643,720) | (10,401,372,105) | ||||
|
|
|
| |||||
Net increase (decrease) in net assets derived from capital transactions | (11,342,414) | 301,142,587 | 2,879,514,793 | 2,558,988,543 | ||||
|
|
|
|
| ||||
Net Assets | ||||||||
|
|
|
|
| ||||
Total increase (decrease) in net assets | (1,303,188) | 343,709,506 | 2,903,397,407 | 2,611,599,727 | ||||
Beginning of period | 1,308,122,167 | 964,412,661 | 3,486,318,540 | 874,718,813 | ||||
|
|
|
| |||||
End of period | $1,306,818,979 | $ 1,308,122,167 | $ 6,389,715,947 | $ 3,486,318,540 | ||||
|
|
|
|
See Notes to Financial Statements. |
26 SEMI-ANNUAL REPORT |
SEPTEMBER 30, 2008 |
Financial Highlights | Master Government Securities LLC | |||||||||||
Six Months Ended | ||||||||||||
September 30, | ||||||||||||
2008 | Year Ended March 31, | |||||||||||
(Unaudited) | 2008 | 2007 | 2006 | 2005 | 2004 | |||||||
|
|
|
|
|
|
| ||||||
Total Investment Return | ||||||||||||
|
|
|
|
|
|
| ||||||
Total investment return | 0.85%1 | 4.16% | 4.90% | 3.37% | 1.44% | 0.94% | ||||||
|
|
|
|
|
|
| ||||||
Ratios to Average Net Assets | ||||||||||||
|
|
|
|
|
|
| ||||||
Total expenses | 0.23%2 | 0.24% | 0.26% | 0.26% | 0.25% | 0.22% | ||||||
|
|
|
|
|
| |||||||
Net investment income | 1.67%2 | 3.99% | 4.84% | 3.31% | 1.39% | 0.94% | ||||||
|
|
|
|
|
|
| ||||||
Supplemental Data | ||||||||||||
|
|
|
|
|
|
| ||||||
Net assets, end of period (000) | $ 1,306,819 | $ 1,308,122 | $ 964,413 | $ 968,809 $ | 936,566 | $ 1,194,238 | ||||||
|
|
|
|
|
| |||||||
1 Aggregate total investment return. | ||||||||||||
2 Annualized. | ||||||||||||
Master Treasury LLC | ||||||||||||
Six Months Ended | ||||||||||||
September 30, | ||||||||||||
2008 | Year Ended March 31, | |||||||||||
(Unaudited) | 2008 | 2007 | 2006 | 2005 | 2004 | |||||||
|
|
|
|
|
|
| ||||||
Total Investment Return | ||||||||||||
|
|
|
|
|
|
| ||||||
Total investment return | 0.77%1 | 3.87% | 4.70% | 3.22% | 1.35% | 0.81% | ||||||
|
|
|
|
|
|
| ||||||
Ratios to Average Net Assets | ||||||||||||
|
|
|
|
|
|
| ||||||
Total expenses | 0.17%2 | 0.21% | 0.26% | 0.26% | 0.25% | 0.23% | ||||||
|
|
|
|
|
| |||||||
Net investment income | 1.48%2 | 3.42% | 4.63% | 3.14% | 1.34% | 0.82% | ||||||
|
|
|
|
|
|
| ||||||
Supplemental Data | ||||||||||||
|
|
|
|
|
|
| ||||||
Net assets, end of period (000) | $ 6,389,716 | $ 3,486,319 | $ 874,719 | $ 873,537 $ | 969,383 | $ 1,115,732 | ||||||
|
|
|
|
|
|
1 | Aggregate total investment return. |
2 | Annualized. |
See Notes to Financial Statements. |
SEMI-ANNUAL REPORT |
SEPTEMBER 30, 2008 |
27 |
Notes to Financial Statements (Unaudited) Master Government Securities LLC and Master Treasury LLC |
1. Significant Accounting Policies: Master Government Securities LLC and Master Treasury LLC (collectively the Master LLCs) are registered under the Investment Company Act of 1940, as amended (the 1940 Act), and are each organized as Delaware limited liability companies. The Limited Liability Company Agreement of each Master LLC permits the Directors to issue non-transferable interests in the Master LLC, subject to certain limitations. Throughout this report, the Board of Trustees is referred to as the Board of Directors (the Board). The Master LLCs financial statements are prepared in conformity with accounting principles gen- erally accepted in the United States of America, which may require the use of management accruals and estimates. Actual results may differ from these estimates. The following is a summary of significant accounting policies followed by the Master LLCs: Valuation of Investments: Master LLCs securities are valued under the amortized cost method which approximates current market value in accordance with Rule 2a-7 of the 1940 Act. Under this method, securi- ties are valued at cost when purchased and thereafter, a constant pro- portionate amortization of any discount or premium is recorded until the maturity of the security. Repurchase Agreements: The Master LLCs may invest in U.S. government and agency securities pursuant to repurchase agreements. Under such agreements, the counterparty agrees to repurchase the security at a mutually agreed upon time and price. The counterparty will be required on a daily basis to maintain the value of the securities subject to the agreement at no less than the repurchase price. The agreements are conditioned upon the collateral being deposited under the Federal Reserve book entry system or held in a segregated account by each of the Master LLCs custodians. If the counterparty defaults and the fair value of the collateral declines, liquidation of the collateral by the Master LLCs may be delayed or limited. Investment Transactions and Investment Income: Investment trans- actions are recorded on the dates the transactions are entered into (the trade dates). Realized gains and losses on security transactions are determined on the identified cost basis. Interest income is recog- nized on the accrual basis. The Master LLCs amortize all premiums and discounts on debt securities. Income Taxes: The Master LLCs are classified as a partnership for federal income tax purposes. As such, each investor in a Master LLC is treated as owner of its proportionate share of the net assets, income, expenses and realized and unrealized gains and losses of the Master LLC. |
Therefore, no federal income tax provision is required. It is intended that the Master LLCs assets will be managed so an investor in the Master LLCs can satisfy the requirements of Subchapter M of the Internal Revenue Code. The Master LLCs are disregarded as an entity separate from its owner for tax purposes, therefore they are not required to file income tax returns. Recent Accounting Pronouncement: In March 2008, Statement of Financial Accounting Standards No. 161, Disclosures about Derivative Instruments and Hedging Activities an amendment of FASB Statement No. 133 (FAS 161), was issued. FAS 161 is intended to improve financial reporting for derivative instruments by requiring enhanced disclosure that enables investors to understand how and why an entity uses derivatives, how derivatives are accounted for, and how derivative instruments affect an entitys results of operations and financial position. In September 2008, FASB Staff Position No. 133-1 and FASB Interpretation No. 45-4 (the FSP), Disclosures about Credit Derivatives and Certain Guarantees: An Amendment of FASB Statement No. 133 and FASB Interpretation No. 45; and Clarification of the Effective Date of FASB Statement No. 161 was issued and is effective for fiscal years and interim periods ending after November 15, 2008. The FSP amends FASB Statement No. 133, Accounting for Derivative Instruments and Hedging Activities, to require disclosures by sellers of credit derivatives, including credit derivatives embedded in hybrid instru- ments. The FSP also clarifies the effective date of FAS 161, whereby disclosures required by FAS 161 are effective for financial statements issued for fiscal years and interim periods beginning after November 15, 2008. The impact on each Master LLCs financial statement disclosures, if any, is currently being assessed. Other: Expenses directly related to each Master LLC are charged to that Master LLC. Other operating expenses shared by several funds are pro-rated among those funds on the basis of relative net assets or other appropriate methods. 2. Investment Advisory Agreement and Other Transactions with Affiliates: Each Master LLC has entered into an Investment Advisory Agreement with BlackRock Advisors, LLC (the Advisor), an indirect, wholly owned subsidiary of BlackRock, Inc., to provide investment and administration services. Merrill Lynch & Co., Inc. and The PNC Financial Services Group, Inc. are principal owners of BlackRock, Inc. The Advisor is responsible for the management of each Master LLCs portfolio and provides the necessary personnel, facilities, equipment and certain other services necessary to the operations of the Master LLCs. The Advisor also performs certain administrative services necessary for the operation of the Master LLCs. For such services, the Master LLCs pay |
28 SEMI-ANNUAL REPORT |
SEPTEMBER 30, 2008 |
Notes to Financial Statements (concluded) |
Master Government Securities LLC and Master Treasury LLC |
the Advisor a monthly fee based upon the average daily value of each Master LLCs net assets at the following annual rates: 0.25% of the Master LLCs average daily net assets not exceeding $500 million; 0.175% of the average daily net assets in excess of $500 million, but not exceeding $1 billion; and 0.125% of the average daily net assets in excess of $1 billion. The Advisor has entered into a separate sub-advisory agreement with respect to each Master LLC with BlackRock Institutional Management Corporation (BIMC), an affiliate of the Advisor, under which the Advisor pays BIMC, for services it provides, a monthly fee that is a percentage of the investment advisory fee paid by the Master LLC to the Advisor. For the six months ended September 30, 2008, the Master LLCs reim- bursed the Advisor for certain accounting services, which are included in accounting services in the Statements of Operations. The reimburse- ments were as follows: |
Reimbursement | ||
to Advisor | ||
|
|
|
Master Government Securities LLC | $ 9,585 | |
Master Treasury LLC | $24,419 | |
|
|
Certain officers and/or directors of the Master LLCs are officers and/or directors of BlackRock, Inc. or its affiliates. The Master LLCs reimburse the Advisor for compensation paid to the Master LLCs Chief Compliance Officer. 3. Subsequent Event: On September 15, 2008, Bank of America Corporation announced that it has agreed to acquire Merrill Lynch, one of the principal owners of BlackRock, Inc. The purchase has been approved by the directors of both companies. Subject to shareholder and regulatory approvals, the transaction is expected to close on or before December 31, 2008. |
SEMI-ANNUAL REPORT |
SEPTEMBER 30, 2008 |
29 |
Disclosure of Investment Advisory Agreement and Subadvisory Agreement
WCMA Government Securities Fund (the Government Fund) currently invests all of its investable assets in Master Government Securities LLC (the Master Government LLC). WCMA Treasury Fund (the Treasury Fund, and together with the Government Fund, the Funds) currently invests all of its investable assets in the Master Treasury LLC (the Master Treasury LLC, and together with the Master Government LLC, the Master LLCs). Accordingly, the Funds do not require investment advisory services, since all investments are made at the Master LLC level. The Board of Directors of each Master LLC met in person in April and June 2008 to consider the approval of the Master LLCs investment advisory agreement entered into with BlackRock Advisors, LLC (the Advisor) with respect to the relevant Fund (each, an Advisory Agreement). The Board of each Master LLC also considered the approval of the subadvisory agreement between the Advisor and BlackRock Institutional Management Corporation (the Subadvisor) with respect to the relevant Fund (each, a Subadvisory Agreement). The Advisor and the Subadvisor are referred to herein as BlackRock. The Advisory Agreements and the Subadvisory Agreements are referred to herein as the Agreements. Since each Fund invests all of its investable assets in the relevant Master LLC, the Board of Trustees of each Fund also considered the approval of the pertinent Agreements. For ease and clarity of presentation, the Board of Directors of each Master LLC and the Board of Trustees of each Fund, which are com- prised of the same thirteen individuals, are herein referred to collectively as the Boards, the members of which are referred to as Directors. Activities and Composition of the Boards The Boards each consist of thirteen individuals, eleven of whom are not interested persons of either the Funds or the Master LLCs as defined in the Investment Company Act of 1940, as amended (the 1940 Act) (the Independent Directors). The Boards are responsible for the oversight of the operations of relevant Fund and Master LLC and perform the various duties imposed on the directors of investment com- panies by the 1940 Act. The Independent Directors have retained inde- pendent legal counsel to assist them in connection with their duties. The Co-Chairs of each Board are both Independent Directors. The Boards established four standing committees: an Audit Committee, a Governance and Nominating Committee, a Compliance Committee and a Performance Oversight Committee, each of which is composed of, and chaired by Independent Directors. The Agreements Upon the consummation of the combination of BlackRocks investment management business with Merrill Lynch & Co., Inc.s investment man- agement business, including Merrill Lynch Investment Managers, L. . and certain affiliates (the Transaction), each Master LLC entered into an |
Advisory Agreement with respect to the relevant Fund with the Advisor with an initial two-year term and the Advisor entered into a Subadvisory Agreement with respect to the relevant with the Subadvisor with an initial two-year term. Consistent with the 1940 Act, prior to the expiration of each Agreements initial two-year term, the Boards are required to con- sider the continuation of the Agreements on an annual basis. In con- nection with this process, the Boards assessed, among other things, the nature, scope and quality of the services provided to the relevant Fund and/or Master LLC by the personnel of BlackRock and its affiliates, including investment management, administrative services, shareholder services, oversight of fund accounting and custody, marketing services and assistance in meeting legal and regulatory requirements. The Boards also received and assessed information regarding the services provided to the relevant Fund and/or Master LLC by certain unaffiliated service providers. Throughout the year, the Boards, acting directly and through their com- mittees, consider at each of their meetings factors that are relevant to their annual consideration of the renewal of the Agreements, including the services and support provided to the relevant Fund and/or Master LLC and their shareholders. Among the matters the Boards considered, as pertinent, were: (a) investment performance for one, three and five years, as applicable, against peer funds, as well as senior managements and portfolio managers analysis of the reasons for underperformance, if applicable; (b) fees, including advisory, administration, if applicable, and other fees paid to BlackRock and its affiliates by the Fund and/or the Master LLC, such as transfer agency fees and fees for marketing and distribution; (c) Fund and/or Master LLC operating expenses; (d) the resources devoted to and compliance reports relating to the Funds and the Master LLCs investment objective, policies and restrictions, (e) the Master LLCs and the Funds compliance with their respective Code of Ethics and compliance policies and procedures; (f) the nature, cost and character of non-investment management services provided by BlackRock and its affiliates; (g) BlackRocks and other service providers internal controls; (h) BlackRocks implementation of the proxy voting guidelines approved by the Boards; (i) valuation and liquidity proce- dures; and (j) periodic overview of BlackRocks business, including BlackRocks response to the increasing scale of its business. Board Considerations in Approving the Agreements The Approval Process: Prior to the April 16, 2008 meeting at which approval of the Agreements was to be considered, the Boards requested and received materials specifically relating to the Agreements. The Boards are engaged in an ongoing process with BlackRock to continu- ously review the nature and scope of the information provided to better assist their deliberations. These materials included (a) information inde- pendently compiled and prepared by Lipper, Inc. (Lipper) on the rele- vant Funds fees and expenses and the investment performance of the |
30 SEMI-ANNUAL REPORT |
SEPTEMBER 30, 2008 |
Disclosure of Investment Advisory Agreement and Subadvisory Agreement (continued)
Fund as compared with a peer group of funds as determined by Lipper (Peers); (b) information on the profitability of the Agreements to BlackRock and certain affiliates, including their other relationships with the relevant Fund and/or Master LLC, and a discussion of fall-out bene- fits; (c) a general analysis provided by BlackRock concerning investment advisory fees charged to other clients, such as institutional and closed- end funds, under similar investment mandates, as well as the perform- ance of such other clients; (d) a report on economies of scale; (e) sales and redemption data regarding the relevant Funds shares and the Master LLCs interests; and (f) an internal comparison of management fees classified by Lipper, if applicable. At the April 16, 2008 meeting, the Boards requested and subsequently received from BlackRock with respect to each relevant Fund and Master LLC (i) comprehensive analy- sis of total expenses on a fund-by-fund basis; (ii) further analysis of investment performance; (iii) further data regarding Fund and Master LLC profitability, Fund and Master LLC size and Fund and Master LLC fee levels; and (iv) additional information on sales and redemptions. The Boards also considered other matters they deemed important to the approval process with respect to each relevant Fund and Master LLC, such as payments made to BlackRock or its affiliates relating to the dis- tribution of the Funds shares, services related to the valuation and pricing of portfolio holdings of the Master LLC, and direct and indirect benefits to BlackRock and its affiliates from their relationship with the Fund and the Master LLC. The Boards did not identify any particular information as controlling, and each Director may have attributed differ- ent weights to the various items considered. At an in-person meeting held on April 16, 2008, the Boards discussed and considered the proposed renewal of the pertinent Agreements. As a result of the discussions, the Boards requested and BlackRock provided additional information, as detailed above, in advance of the June 3 4, 2008 Board meeting. At the in-person meeting held on June 3 4, 2008, the Boards, including the Independent Directors, unanimously approved, with respect to each pertinent Fund, the continuation of (a) the Advisory Agreement between the Advisor and the relevant Master LLC for a one-year term ending June 30, 2009 and (b) the related Subadvisory Agreement between the Advisor and the Subadvisor for a one-year term ending June 30, 2009. The Boards considered all factors they believed relevant with respect to each Fund and Master LLC, as applicable, including, among other factors: (i) the nature, extent and quality of the services provided by BlackRock; (ii) the investment per- formance of the Fund, the Master LLC and BlackRock portfolio manage- ment; (iii) the advisory fee and the cost of the services and profits to be realized by BlackRock and certain affiliates from the relationships with the Fund and the Master LLC; and (iv) economies of scale. A. Nature, Extent and Quality of the Services: The Boards, including the Independent Directors, reviewed the nature, extent and quality of services |
provided by BlackRock, including the investment advisory services and the resulting performance of each relevant Fund and Master LLC. The Boards compared each Funds performance to the performance of a comparable group of mutual funds as classified by Lipper and the per- formance of at least one relevant index or combination of indices. The Boards met with BlackRocks senior management personnel responsible for investment operations, including the senior investment officers. The Boards also reviewed the materials provided by each Master LLCs port- folio management team discussing the Master LLCs performance and investment objective, strategies and outlook. The Boards considered, among other factors, the number, education and experience of BlackRocks investment personnel generally, and of each Master LLCs portfolio management team; BlackRocks portfolio trading capabilities; BlackRocks use of technology; BlackRocks commitment to compliance; and BlackRocks approach to training and retaining port- folio managers and other research, advisory and management person- nel. The Boards also reviewed BlackRocks compensation structure with respect to the portfolio management team of each Master LLC and BlackRocks ability to attract and retain high-quality talent. In addition to advisory services, the Boards considered the quality of the administrative and non-investment advisory services provided to the Funds and Master LLCs. BlackRock and its affiliates provide the Funds and the Master LLCs with certain administrative, transfer agency, share- holder and other services (in addition to any such services provided to the Funds and the Master LLCs by third parties) and officers and other personnel as are necessary for the operations of the Funds and the Master LLCs. In addition to investment advisory services, BlackRock and its affiliates provide the Funds and the Master LLCs with other services, including, as pertinent, (a) preparing disclosure documents, such as the prospectus, the statement of additional information and shareholder reports; (b) assisting with daily accounting and pricing; (c) overseeing and coordinating the activities of other service providers; (d) organizing Board meetings and preparing the materials for such Board meetings; (e) providing legal and compliance support; and (f) performing other administrative functions necessary for the operation of the Funds and the Master LLCs, such as tax reporting and fulfilling regulatory filing requirements. The Boards reviewed the structure and duties of BlackRocks fund administration, accounting, legal and compli- ance departments. B. The Investment Performance of the Funds, the Master LLCs and BlackRock: The Boards, including the Independent Directors, also reviewed and considered the performance history of each relevant Fund. In preparation for the April 16, 2008 meeting, the Boards were provided with reports with respect to each Fund, independently prepared by Lipper, which included a comprehensive analysis of the Fund perform- ance. The Boards also reviewed a narrative and statistical analysis of |
SEMI-ANNUAL REPORT |
SEPTEMBER 30, 2008 |
31 |
Disclosure of Investment Advisory Agreement and Subadvisory Agreement (continued)
the Lipper data that was prepared by BlackRock, which analyzed various factors that affect Lipper rankings. In connection with their review, the Boards received and reviewed information regarding the investment per- formance of the Fund (and the related performance of the Master LLC) as compared to a representative group of similar funds as determined by Lipper and to all funds in the Funds applicable Lipper category. The Boards were provided with a description of the methodology used by Lipper to select peer funds. The Boards regularly review the performance of the relevant Fund and Master LLC throughout the year. The Boards attach more importance to performance over relatively long periods of time, typically three to five years. The Boards noted with favor that BlackRock had generally avoided signif- icant credit quality and liquidity issues in the challenging fixed-income market that prevailed during the past 18 months. The Boards noted that the Government Fund and the Treasury Fund each performed below the median of the Funds peers for the one- and three-year periods and since inception. However, the Boards noted that this underperformance was not significant (underperformance was not greater than 10% of their respective median return) for any of these periods. C. Consideration of the Advisory Fees and the Cost of the Services and Profits to be Realized by BlackRock and its Affiliates from the Relationship with Each Fund and Master LLC: The Boards, including the Independent Directors, reviewed each Master LLCs contractual advisory fee rates compared with the other funds in the relevant Funds Lipper category. They also compared each Funds total expenses to those of other comparable funds. The Boards considered the services provided and the fees charged by BlackRock to other types of clients with similar investment mandates, including separately managed institutional accounts. The Boards received and reviewed statements relating to BlackRocks financial condition and profitability with respect to the services it provid- ed to each Master LLC. The Boards were also provided with a profitability analysis that detailed the revenues earned and the expenses incurred by BlackRock and certain affiliates that provide services to the Master LLCs. The Boards reviewed BlackRocks profitability with respect to each Master LLC and each fund the Boards currently oversee for the year ended December 31, 2007 compared to aggregated profitability data provided for the year ended December 31, 2005. |
In addition, the Boards considered the cost of the services provided to the relevant Fund and Master LLC by BlackRock, and BlackRocks and its affiliates profits relating to the management and distribution, as pertinent, of the Fund and the Master LLC and the other funds advised by BlackRock and its affiliates. As part of their analysis, the Boards reviewed BlackRocks methodology in allocating its costs to the manage- ment of the relevant Fund and Master LLC and concluded that there was a reasonable basis for the allocation. The Boards also considered whether BlackRock has the financial resources necessary to attract and retain high quality investment management personnel to perform its obli- gations under the Agreements and to continue to provide the high quality of services that are expected by the Boards. The Boards noted that each Master LLC was subject to contractual advi- sory fees, prior to any expense reimbursements, lower than or equal to the median of its Peers. The Boards also took into account that each Master LLCs advisory fee arrangement includes breakpoints that adjust the fee rate downward as the size of the Master LLC increases, thereby allowing shareholders the potential to participate in economies of scale. The Boards also noted that the Advisor and Merrill Lynch, Pierce, Fenner & Smith Incorporated (MLPF&S) had entered into contractual arrange- ments with each Fund whereby the Advisor and MLPF&S each agreed to waive all or a portion of its fees and/or reimburse direct expenses of the Fund to ensure that the operating expense ratio for certain classes of shares did not exceed specified amounts. D. Economies of Scale: The Boards, including the Independent Directors, considered the extent to which economies of scale might be realized as the assets of each relevant Fund and Master LLC increase and whether there should be changes in the advisory fee rate or structure in order to enable the Fund and the Master LLC to participate in these economies of scale. The Boards, including the Independent Directors, considered whether the shareholders would benefit from economies of scale and whether there was potential for future realization of economies with respect to each relevant Fund and Master LLC. The Boards considered that the funds in the BlackRock fund complex share common resources and, as a result, an increase in the overall size of the complex could permit each fund to incur lower expenses than it would otherwise as a stand-alone entity. The Boards also considered the anticipated efficien- cies in the processes of BlackRocks overall operations as it continues to add personnel and commit capital to expand the scale of operations. The Boards found, based on their review of comparable funds, that each Funds/Master LLCs management fee is appropriate in light of the scale of the Fund/Master LLC. |
32 SEMI-ANNUAL REPORT |
SEPTEMBER 30, 2008 |
Disclosure of Investment Advisory Agreement and Subadvisory Agreement (concluded)
E. Other Factors: The Boards also took into account other ancillary or fall-out benefits that BlackRock may derive from its relationship with each Fund and related Master LLC, both tangible and intangible, such as BlackRocks ability to leverage its investment professionals who manage other portfolios, an increase in BlackRocks profile in the investment advisory community, and the engagement of BlackRocks affiliates as service providers to the Fund and the Master LLC, including for adminis- trative, transfer agency and distribution services. The Boards also noted that BlackRock may use third party research, obtained by soft dollars generated by certain mutual fund transactions, to assist itself in manag- ing all or a number of its other client accounts. In connection with their consideration of the Agreements, the Boards also received information regarding BlackRocks brokerage and trade execution practices throughout the year. Conclusion The Boards approved, with respect to each relevant Fund, the continua- tion of (a) the Advisory Agreement between the Advisor and the relevant Master LLC with respect to the Fund/Master LLC for a one-year term ending June 30, 2009 and (b) the related Subadvisory Agreement between the Advisor and Subadvisor for a one-year term ending June 30, 2009. Based upon their evaluation of all these factors in their totality, the Boards, including the Independent Directors, were satisfied that the terms of the Agreements were fair and reasonable and in the best interest of the relevant Fund and Master LLC and the Funds shareholders. In arriving at a decision to approve the Agreements, the Boards did not identify any single factor or group of factors as all-important or controlling, but considered all factors together. The Independent Directors were also assisted by the advice of independent legal counsel in making this determination. The contractual fee arrange- ments for each Fund and related Master LLC reflect the results of several years of review by the Directors and predecessor Directors, and discus- sions between the Directors (and predecessor Directors) and BlackRock (and predecessor advisors). Certain aspects of the arrangements may be the subject of more attention in some years than in others, and the Directors conclusions may be based in part on their consideration of these arrangements in prior years. |
SEMI-ANNUAL REPORT |
SEPTEMBER 30, 2008 |
33 |
Officers and Directors Ronald W. Forbes, Co-Chairman of the Board and Director Rodney D. Johnson, Co-Chairman of the Board and Director David O. Beim, Director Richard S. Davis, Director Henry Gabbay, Director Dr. Matina Horner, Director Herbert I. London, Director Cynthia A. Montgomery, Director Joseph . Platt, Jr., Director Robert C. Robb, Jr., Director Toby Rosenblatt, Director Kenneth L. Urish, Chairman of the Audit Committee and Director Frederick W. Winter, Director Donald C. Burke, Fund President and Chief Executive Officer Anne F. Ackerley, Vice President Neal J. Andrews, Chief Financial Officer Jay M. Fife, Treasurer Brian . Kindelan, Chief Compliance Officer of the Funds Howard B. Surloff, Secretary |
Custodian State Street Bank and Trust Company Boston, MA 02101 Transfer Agent Financial Data Services, Inc. Jacksonville, FL 32246-6484 Accounting Agent State Street Bank and Trust Company Princeton, NJ 08540 Independent Registered Public Accounting Firm Deloitte & Touche LLP Princeton, NJ 08540 Legal Counsel Sidley Austin LLP New York, NY 10019 |
34 SEMI-ANNUAL REPORT |
SEPTEMBER 30, 2008 |
Additional Information
Availability of Quarterly Schedule of Investments
The Funds file their complete schedule of portfolio holdings with the Secu-
rities and Exchange Commission (SEC) for the first and third quarters
of each fiscal year on Form N-Q. The Funds Forms N-Q are available on
the SECs website at http://www.sec.gov and may also be reviewed and
copied at the SECs Public Reference Room in Washington, DC. Informa-
tion on the operation of the Public Reference Room may be obtained
by calling (800) SEC-0330. The Funds Forms N-Q may also be obtained
upon request and without charge by calling (800) 441-7762.
Electronic Delivery Electronic copies of most financial reports and prospectuses are available on the Funds website or shareholders can sign up for e-mail notifications of quarterly statements, annual and semi-annual reports and prospec- tuses by enrolling in the Funds electronic delivery program. |
Shareholders Who Hold Accounts with Investment Advisors, Banks or Brokerages: Please contact your financial advisor to enroll. Please note that not all investment advisors, banks or brokerages may offer this service. |
General Information The Funds will mail only one copy of shareholder documents, including annual and semi-annual reports and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called householding and it is intended to reduce expenses and eliminate duplicate mailings of shareholder documents. Mailings of your shareholder |
documents may be householded indefinitely unless you instruct us other- wise. If you do not want the mailing of these documents to be combined with those for other members of your household, please contact the Funds at (800) 441-7762. |
BlackRock Privacy Principles
BlackRock is committed to maintaining the privacy of its current and for-
mer fund investors and individual clients (collectively, Clients) and to
safeguarding their non-public personal information. The following infor-
mation is provided to help you understand what personal information
BlackRock collects, how we protect that information and why in certain
cases we share such information with select parties.
If you are located in a jurisdiction where specific laws, rules or regulations
require BlackRock to provide you with additional or different privacy-
related rights beyond what is set forth below, then BlackRock will comply
with those specific laws, rules or regulations.
BlackRock obtains or verifies personal non-public information from and
about you from different sources, including the following: (i) information
we receive from you or, if applicable, your financial intermediary, on appli-
cations, forms or other documents; (ii) information about your transac-
tions with us, our affiliates, or others; (iii) information we receive from a
consumer reporting agency; and (iv) from visits to our websites.
BlackRock does not sell or disclose to non-affiliated third parties any
non-public personal information about its Clients, except as permitted by
law or as is necessary to respond to regulatory requests or to service Client
accounts. These non-affiliated third parties are required to protect the
confidentiality and security of this information and to use it only for
its intended purpose.
We may share information with our affiliates to service your account or to
provide you with information about other BlackRock products or services
that may be of interest to you. In addition, BlackRock restricts access to
non-public personal information about its Clients to those BlackRock
employees with a legitimate business need for the information. BlackRock
maintains physical, electronic and procedural safeguards that are designed
to protect the non-public personal information of its Clients, including
procedures relating to the proper storage and disposal of such information.
SEMI-ANNUAL REPORT |
SEPTEMBER 30, 2008 |
35 |
This report is transmitted to shareholders only. It is not authorized for use as an offer of sale or a solicitation of an offer to buy shares of the Funds unless accompanied or preceded by the Funds cur- rent prospectus. An investment in the Funds is not insured or guar- anteed by the Federal Deposit Insurance Corporation or any other government agency other than with respect to the Funds participa- tion in the U.S. Treasury Department Guarantee Program for Money Market Funds disclosed in this semi-annual report. Although the Funds seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in the Funds. Total return information assumes reinvestment of all distributions. Past performance results shown in this report should not be considered a representation of future performance. For current month-end per- formance information, call (800) 882-0052. The Funds current 7- day yield more closely reflects the current earnings of the Funds than the total returns quoted. Statements and other information herein are as dated and are subject to change. A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities is available (1) without charge, upon request, by calling toll- free (800) 441-7762; (2) at www.blackrock.com; and (3) on the Securities and Exchange Commissions website at http://www.sec.gov. Information about how the Funds voted proxies relating to securities held in the Funds portfolio during the most recent 12-month period ended June 30 is available (1) at www.blackrock.com or by calling (800) 441-7762 and (2) on the Securities and Exchange Commissions website at http://www.sec.gov. |
WCMA Government Securities Fund WCMA Treasury Fund 100 Bellevue Parkway Wilmington, DE 19809 |
#WCMAGOVTR-9/08
Item 2 Code of Ethics Not Applicable to this semi-annual report Item 3 Audit Committee Financial Expert Not Applicable to this semi-annual report Item 4 Principal Accountant Fees and Services Not Applicable to this semi-annual report Item 5 Audit Committee of Listed Registrants Not Applicable Item 6 Investments (a) The registrants Schedule of Investments is included as part of the Report to Stockholders filed under Item 1 of this form. (b) Not Applicable due to no such divestments during the semi-annual period covered since the previous Form N-CSR filing. Item 7 Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies Not Applicable Item 8 Portfolio Managers of Closed-End Management Investment Companies Not Applicable Item 9 Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers Not Applicable Item 10 Submission of Matters to a Vote of Security Holders The registrants Nominating and Governance Committee will consider nominees to the board of directors recommended by shareholders when a vacancy becomes available. Shareholders who wish to recommend a nominee should send nominations that include biographical information and set forth the qualifications of the proposed nominee to the registrants Secretary. There have been no material changes to these procedures. Item 11 Controls and Procedures 11(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. 11(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 second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrants internal control over financial reporting. Item 12 Exhibits attached hereto 12(a)(1) Code of Ethics Not Applicable to this semi-annual report 12(a)(2) Certifications Attached hereto 12(a)(3) Not Applicable 12(b) Certifications Attached hereto Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. |
WCMA Government Securities Fund and Master Government Securities LLC By: /s/ Donald C. Burke Donald C. Burke Chief Executive Officer of WCMA Government Securities Fund and Master Government Securities LLC Date: November 24, 2008 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 the registrant and in the capacities and on the dates indicated. By: /s/ Donald C. Burke Donald C. Burke Chief Executive Officer (principal executive officer) of WCMA Government Securities Fund and Master Government Securities LLC Date: November 24, 2008 By: /s/ Neal J. Andrews Neal J. Andrews Chief Financial Officer (principal financial officer) of WCMA Government Securities Fund and Master Government Securities LLC Date: November 24, 2008 |
EX-99. CERT CERTIFICATION PURSUANT TO RULE 30a-2(a) UNDER THE 1940 ACT AND SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002 I, Donald C. Burke, Chief Executive Officer (principal executive officer) of WCMA Government Securities Fund and Master Government Securities LLC, certify that: 1. I have reviewed this report on Form N-CSR of WCMA Government Securities Fund and Master Government Securities LLC; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrants as of, and for, the periods presented in this report; 4. The registrants' other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrants and have: a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrants, including their consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; c) evaluated the effectiveness of the registrants' disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and d) disclosed in this report any change in the registrants' internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrants' internal control over financial reporting; and 5. The registrants' other certifying officer(s) and I have disclosed to the registrants' auditors and the audit committees of the registrants' board of directors (or persons performing the equivalent functions): a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants' ability to record, process, summarize, and report financial information; and b) any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants' internal control over financial reporting. Date: November 24, 2008 /s/ Donald C. Burke Donald C. Burke Chief Executive Officer (principal executive officer) of WCMA Government Securities Fund and Master Government Securities LLC |
EX-99. CERT CERTIFICATION PURSUANT TO RULE 30a-2(a) UNDER THE 1940 ACT AND SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002 I, Neal J. Andrews, Chief Financial Officer (principal financial officer) of WCMA Government Securities Fund and Master Government Securities LLC, certify that: 1. I have reviewed this report on Form N-CSR of WCMA Government Securities Fund and Master Government Securities LLC; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrants as of, and for, the periods presented in this report; 4. The registrants' other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrants and have: a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrants, including their consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; c) evaluated the effectiveness of the registrants' disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and d) disclosed in this report any change in the registrants' internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrants' internal control over financial reporting; and 5. The registrants' other certifying officer(s) and I have disclosed to the registrants' auditors and the audit committees of the registrants' board of directors (or persons performing the equivalent functions): a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants' ability to record, process, summarize, and report financial information; and b) any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants' internal control over financial reporting. Date: November 24, 2008 /s/ Neal J. Andrews Neal J. Andrews Chief Financial Officer (principal financial officer) of WCMA Government Securities Fund and Master Government Securities LLC |
Exhibit 99.1350CERT Certification Pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes Oxley Act Pursuant to 18 U.S.C. § 1350, the undersigned officer of WCMA Government Securities Fund and Master Government Securities LLC (the registrants), hereby certifies, to the best of his knowledge, that the registrants' Report on Form N- CSR for the period ended September 30, 2008, (the Report) fully complies with the requirements of Section 15d of the Securities Exchange Act of 1934, as amended, and that the information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the registrants. Date: November 24, 2008 /s/ Donald C. Burke Donald C. Burke Chief Executive Officer (principal executive officer) of WCMA Government Securities Fund and Master Government Securities LLC Pursuant to 18 U.S.C. § 1350, the undersigned officer of WCMA Government Securities Fund and Master Government Securities LLC (the registrants), hereby certifies, to the best of his knowledge, that the registrants' Report on Form N- CSR for the period ended September 30, 2008, (the Report) fully complies with the requirements of Section 15d of the Securities Exchange Act of 1934, as amended, and that the information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the registrants. Date: November 24, 2008 /s/ Neal J. Andrews Neal J. Andrews Chief Financial Officer (principal financial officer) of WCMA Government Securities Fund and Master Government Securities LLC This certification is being furnished pursuant to Rule 30a-2(b) under the Investment Company Act of 1940, as amended, and 18 U.S.C. Section 1350 and is not being filed as part of the Form N-CSR with the Securities and Exchange Commission. |
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