UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-02405, 811-09739 and 811-21434
Name of Fund: BlackRock Balanced Capital Fund, Inc., Master Large Cap Core Portfolio of Master Large Cap Series LLC and Master Total Return Portfolio of Master Bond LLC
Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809
Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Balanced Capital Fund, Inc., Master Large Cap Core Portfolio of Master Large Cap Series LLC and Master Total Return Portfolio of Master Bond LLC, 55 East 52nd Street, New York, NY 10055
Registrants’ telephone number, including area code: (800) 441-7762
Date of fiscal year end: 09/30/2014
Date of reporting period: 03/31/2014
Item 1 – Report to Stockholders
MARCH 31, 2014
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SEMI-ANNUAL REPORT (UNAUDITED) | | | | BLACKROCK® |
BlackRock Balanced Capital Fund, Inc.
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| Not FDIC Insured ¡ May Lose Value ¡ No Bank Guarantee | | |
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| 2 | | BLACKROCK BALANCED CAPITAL FUND, INC. | | MARCH 31, 2014 | | |
Shareholder Letter
Dear Shareholder,
One year ago, U.S. financial markets were improving despite a sluggish global economy, as easy monetary policy provided investors with enough conviction to take on more risk in their portfolios. Slow but positive growth in the U.S. was sufficient to support corporate earnings, while uncomfortably high unemployment reinforced expectations that the Federal Reserve would continue to maintain its aggressive monetary stimulus programs.
Sentiment swiftly reversed in May when then-Fed Chairman Bernanke first mentioned the possibility of reducing (or “tapering”) the central bank’s asset purchase programs — comments that were widely misinterpreted as signaling an end to the Fed’s zero-interest-rate policy. U.S. Treasury yields rose sharply, triggering a steep sell-off across fixed income markets. (Bond prices move in the opposite direction of yields.) Global equities also suffered as investors feared the implications of a potential end to a program that had greatly supported the markets. Emerging markets, which are more sensitive to changes in global liquidity, were particularly hurt by the prospect of ebbing cash flows from the U.S. Markets rebounded in late June, however, when the Fed’s tone turned more dovish, and improving economic indicators and better corporate earnings helped extend gains through most of the summer.
Although the tone of economic and financial news was mixed during the autumn, it was a surprisingly positive period for most asset classes. Early on, the Fed defied market expectations with its decision to delay tapering, but higher volatility returned in late September when the U.S. Treasury Department warned that the national debt would soon breach its statutory maximum. The ensuing political brinksmanship led to a partial government shutdown, roiling global financial markets through the first half of October. Equities and other so-called “risk assets” managed to resume their rally when politicians engineered a compromise to reopen the government and extend the debt ceiling.
The remainder of 2013 was generally positive for stock markets in the developed world, although investors continued to grapple with uncertainty about when and how much the Fed would scale back on stimulus. When the Fed ultimately announced its tapering plans in mid-December, markets reacted positively, as this action signaled the Fed’s perception of real improvement in the economy, and investors were finally relieved from the anxiety that had gripped them for quite some time.
The start of the new year brought another turn in sentiment, as heightened risks in emerging markets and mixed U.S. economic data caused global equities to weaken in January while bond markets found renewed strength. Although these headwinds persisted, equities were back on the rise in February as investors were encouraged by a one-year extension of the U.S. debt ceiling and market-friendly comments from the Fed’s new Chairwoman, Janet Yellen. While U.S. economic data pointed to softer growth, investors viewed this trend as temporarily driven by poor winter weather and continued adding risk to their portfolios on the belief that growth would pick up in the coming months. In March, markets focused on decelerating growth in China and tensions between Russia and Ukraine over the disputed region of Crimea. Additionally, investors were caught off guard by a statement from Chairwoman Yellen indicating that the Fed may raise short-term interest rates earlier than the markets had previously forecasted. Bond markets came under pressure as the middle of the yield curve vaulted higher in response to the unexpected shift in forward guidance.
Against a backdrop of modest economic growth, investors over the past year remained highly attuned to potential changes in monetary policy. Despite the fact that markets were gearing up for a modest shift toward tighter conditions from the Fed, equity markets in the developed world generated strong returns for the six- and 12-month periods ended March 31, with stocks in the United States performing particularly well. In contrast, emerging markets were weighed down by concerns about reduced global liquidity, severe currency weakness, high levels of debt and uneven growth.
Interest rate uncertainty posed a headwind for fixed income assets, and higher-quality sectors of the market experienced heightened volatility and poor performance over the reporting period. High yield bonds, however, benefited from income-oriented investors’ search for yield in the overall low-rate environment. Short-term interest rates remained near zero, keeping yields on money market securities close to historic lows.
At BlackRock, we believe investors need to think globally, extend their scope across a broad array of asset classes and be prepared to move freely as market conditions change over time. We encourage you to talk with your financial advisor and visit www.blackrock.com for further insight about investing in today’s world.
Sincerely,
Rob Kapito
President, BlackRock Advisors, LLC
In a modest global growth environment, expectations around monetary policy changes continued to be a key theme in financial market performance.
Rob Kapito
President, BlackRock Advisors, LLC
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| Total Returns as of March 31, 2014 | |
| | | 6-month | | | 12-month | |
U.S. large cap equities
(S&P 500® Index) | | | 12.51 | % | | | 21.86 | % |
U.S. small cap equities
(Russell 2000® Index) | | | 9.94 | | | | 24.90 | |
International equities
(MSCI Europe, Australasia, Far East Index) | | | 6.41 | | | | 17.56 | |
Emerging market equities
(MSCI Emerging Markets Index) | | | 1.39 | | | | (1.43 | ) |
3-month Treasury bills
(BofA Merrill Lynch 3-Month U.S. Treasury Bill Index) | | | 0.03 | | | | 0.07 | |
U.S. Treasury securities
(BofA Merrill Lynch 10- Year U.S. Treasury Index) | | | 0.85 | | | | (4.38 | ) |
U.S. investment-grade bonds (Barclays U.S. Aggregate Bond Index) | | | 1.70 | | | | (0.10 | ) |
Tax-exempt municipal bonds (S&P Municipal Bond Index) | | | 3.91 | | | | 0.31 | |
U.S. high yield bonds
(Barclays U.S. Corporate High Yield 2% Issuer Capped Index) | | | 6.66 | | | | 7.53 | |
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| Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index. | |
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| | | THIS PAGE NOT PART OF YOUR FUND REPORT | | | | 3 |
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| Fund Summary as of March 31, 2014 | | |
BlackRock Balanced Capital Fund, Inc.’s (the “Fund”) investment objective is to seek the highest total investment return through a fully managed investment policy utilizing equity, debt (including money market) and convertible securities.
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| Portfolio Management Commentary |
How did the Fund perform?
| Ÿ | | For the six-month period ended March 31, 2014, through its investments in Master Large Cap Core Portfolio of Master Large Cap Series LLC (the “equity allocation” or the “Master Large Cap Core Portfolio”) and Master Total Return Portfolio of Master Bond LLC (the “fixed income allocation” or the “Master Total Return Portfolio”) (collectively, the “Master Portfolios”), the Fund outperformed its blended reference benchmark (60% Russell 1000® Index/40% Barclays U.S. Aggregate Bond Index). For the same period, the Fund outperformed the fixed income portion of the benchmark, the Barclays U.S. Aggregate Bond Index, and underperformed the equity portion of the benchmark, the Russell 1000® Index. |
What factors influenced performance?
| Ÿ | | From an asset allocation perspective, the Fund benefited from its overweight in equities relative to the blended reference benchmark as equities outperformed fixed income over the six-month period. The Master Large Cap Core Portfolio outperformed the Russell 1000® Index and the Master Total Return Portfolio outperformed the Barclays U.S. Aggregate Bond Index. |
| Ÿ | | Relative to the Russell 1000® Index, the Master Large Cap Core Portfolio benefited from good stock selection, most notably in the consumer staples, health care, industrials, materials and energy sectors, while selection within information technology (“IT”) hindered results. |
| Ÿ | | The Master Total Return Portfolio outperformed the Barclays U.S. Aggregate Bond Index due largely to the management of duration (sensitivity to interest rate movements) and yield curve positioning, as well as exposure to securitized assets. Within securitized assets, exposure to commercial mortgage-backed securities (“CMBS”), asset-backed securities (“ABS”) and non-agency residential mortgage-backed securities (“MBS”) had a positive impact on returns. Conversely, positioning within U.S. agency MBS detracted from results, particularly due to security selection in 30-year pass-through securities. An underweight to U.S. agency debentures also hindered relative performance. |
Describe recent portfolio activity.
| Ÿ | | From a broad asset allocation perspective, the Fund reduced exposure to equities throughout the six-month period given broader macro concerns in several emerging markets and softer-than-expected economic data in the U.S. Within equities, the Master Large Cap Core Portfolio increased exposure to the IT, health care, and materials sectors, while reducing exposures to energy, particularly within oil, gas & consumable fuels, and consumer discretionary, notably in the specialty retail industry. In fixed income, the Master Total Return Portfolio added risk on the long end of the yield curve with the expectation that yields on the short end of the yield curve will rise, while yields on the long end will fall. The fixed income allocation added exposure to long-dated investment grade corporate and municipal bonds given their potential to benefit from a strong income profile and falling spreads. |
Describe portfolio positioning at period end.
| Ÿ | | At period end, the Fund’s equity weighting was in line with the blended reference benchmark. The Fund was underweight in fixed income and held a small non-benchmark allocation to cash and cash equivalents. |
| Ÿ | | In equities, the Master Large Cap Core Portfolio continued to hold its largest sector overweights relative to the Russell 1000® Index in financials and health care, while consumer staples continued to be the most notable underweight. |
| Ÿ | | Relative to the Barclays U.S. Aggregate Bond Index, the Master Total Return Portfolio remained generally underweight in government-related sectors in favor of non-government spread sectors. Within spread sectors, the fixed income allocation was most significantly overweight in CMBS and ABS, while maintaining a modest underweight in investment grade corporate credit. Within the government space, the Master Portfolio was underweight in U.S. Treasuries and agency debentures, and held an overweight to agency MBS. The Master Total Return Portfolio also held non-benchmark allocations to non-agency residential MBS, high yield bonds, non-U.S. sovereign bonds and U.S. Treasury inflation-protected securities. |
The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.
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| 4 | | BLACKROCK BALANCED CAPITAL FUND, INC. | | MARCH 31, 2014 | | |
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| Total Return Based on a $10,000 Investment |
| | 1 | Assuming maximum sales charges, if any, transaction costs and other operating expenses, including investment advisory and administration fees. Institutional Shares do not have a sales charge. |
| | 2 | The Fund invests in equity securities (including common stock, preferred stock, securities convertible into common stock, or securities or other instruments whose price is linked to the value of common stock) and fixed-income securities (including debt securities, convertible securities and short term securities). |
| | 3 | This index represents securities that are SEC-registered, taxable, and dollar denominated. The index covers the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities. These major sectors are subdivided into more specific indices that are calculated and reported on a regular basis. |
| | 4 | This index measures the performance of the large cap segment of the U.S. equity universe, representing approximately 92% of the Russell 3000® Index. |
| | 5 | The Fund compares its performance to that of a customized weighted index comprised of the returns of the Russell 1000® Index (60%) and Barclays U.S. Aggregate Bond Index (40%). |
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| Performance Summary for the Period Ended March 31, 2014 | | | | | |
| | | | | | | | | | | | Average Annual Total Returns6 | |
| | | | | | | | | | | | 1 Year | | | 5 Years | | | 10 Years | |
| | | Standardized
30-Day Yields | | | Unsubsidized
30-Day Yields | | | 6-Month
Total Returns | | | w/o sales
charge | | | w/sales
charge | | | w/o sales
charge | | | w/sales
charge | | | w/o sales
charge | | | w/sales
charge | |
Institutional | | | 1.83 | % | | | 1.51 | % | | | 10.62 | % | | | 15.95 | % | | | N/A | | | | 15.23 | % | | | N/A | | | | 6.20 | % | | | N/A | |
Investor A | | | 1.46 | | | | 1.16 | | | | 10.40 | | | | 15.59 | | | | 9.52 | % | | | 14.86 | | | | 13.63 | % | | | 5.89 | | | | 5.32 | % |
Investor B | | | 0.54 | | | | 0.22 | | | | 9.80 | | | | 14.34 | | | | 9.84 | | | | 13.74 | | | | 13.50 | | | | 5.14 | | | | 5.14 | |
Investor C | | | 0.77 | | | | 0.46 | | | | 9.98 | | | | 14.69 | | | | 13.69 | | | | 13.96 | | | | 13.96 | | | | 5.06 | | | | 5.06 | |
Class R | | | 1.20 | | | | 0.89 | | | | 10.25 | | | | 15.21 | | | | N/A | | | | 14.41 | | | | N/A | | | | 5.51 | | | | N/A | |
60% Russell 1000® Index/40% Barclays
U.S. Aggregate Bond Index | | | — | | | | — | | | | 8.13 | | | | 13.03 | | | | N/A | | | | 14.98 | | | | N/A | | | | 6.76 | | | | N/A | |
Barclays U.S. Aggregate Bond Index | | | — | | | | — | | | | 1.70 | | | | (0.10 | ) | | | N/A | | | | 4.80 | | | | N/A | | | | 4.46 | | | | N/A | |
Russell 1000® Index | | | — | | | | — | | | | 12.48 | | | | 22.41 | | | | N/A | | | | 21.73 | | | | N/A | | | | 7.80 | | | | N/A | |
| | 6 | Assuming maximum sales charges, if any. Average annual total returns with and without sales charges reflect reductions for distribution and service fees. See “About Fund Performance” on page 6 for a detailed description of share classes, including any related sales charges and fees. |
| | | N/A — Not applicable as share class and index do not have a sales charge. |
| | | Past performance is not indicative of future results. |
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| Expense Example |
| | | Actual | | Hypothetical8 | | |
| | | Beginning
Account Value
October 1, 2013 | | Ending
Account Value
March 31, 2014 | | Expenses Paid
During the Period7 | | Beginning
Account Value
October 1, 2013 | | Ending
Account Value
March 31, 2014 | | Expenses Paid
During the Period7 | | Annualized
Expense Ratio |
Institutional | | $1,000.00 | | $1,106.20 | | $3.31 | | $1,000.00 | | $1,021.79 | | $3.18 | | 0.63% |
Investor A | | $1,000.00 | | $1,104.00 | | $4.83 | | $1,000.00 | | $1,020.34 | | $4.63 | | 0.92% |
Investor B | | $1,000.00 | | $1,098.00 | | $10.46 | | $1,000.00 | | $1,014.96 | | $10.05 | | 2.00% |
Investor C | | $1,000.00 | | $1,099.80 | | $8.85 | | $1,000.00 | | $1,016.50 | | $8.50 | | 1.69% |
Class R | | $1,000.00 | | $1,102.50 | | $6.60 | | $1,000.00 | | $1,018.65 | | $6.34 | | 1.26% |
| | 7 | For each class of the Fund, expenses are equal to the annualized expense ratio for the class, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period shown). Because the Fund invests significantly in the Master Portfolios, the expense table example reflects the net expenses of both the Fund and the Master Portfolios in which it invests. |
| | 8 | 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. |
| | | See “Disclosure of Expenses” on page 6 for further information on how expenses were calculated. |
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| | | BLACKROCK BALANCED CAPITAL FUND, INC. | | MARCH 31, 2014 | | 5 |
| Ÿ | | Institutional Shares are not subject to any sales charge. These shares bear no ongoing distribution or service fees and are available only to eligible investors. |
| Ÿ | | Investor A Shares incur a maximum initial sales charge (front-end load) of 5.25% and a service fee of 0.25% per year (but no distribution fee). Certain redemptions of these shares may be subject to a contingent deferred sales charge (“CDSC”) where no initial sales charge was paid at the time of purchase. |
| Ÿ | | Investor B Shares are subject to a maximum CDSC of 4.50% declining to 0% after six years. In addition, Investor B Shares are subject to a distribution fee of 0.75% per year and a service fee of 0.25% per year. Investor B Shares automatically convert to Investor A Shares after approximately eight years. (There is no initial sales charge for automatic share conversions.) All returns for periods greater than eight years reflect this conversion. Investor B Shares of the Fund are only available through exchanges and dividend reinvestments by existing shareholders and for purchase by certain employer-sponsored retirement plans. |
| Ÿ | | Investor C Shares are subject to a distribution fee of 0.75% per year and a service fee of 0.25% per year. In addition, these shares are subject to a 1.00% CDSC if redeemed within one year of purchase. |
| Ÿ | | Class R Shares do not incur a maximum initial sales charge (front-end load) or CDSC. These shares are subject to a distribution fee of 0.25% per year and a service fee of 0.25% per year. These shares are available only to certain employer-sponsored retirement plans. |
Performance information reflects past performance and does not guar- antee future results. The performance information for periods prior to
February 2009 does not reflect any investment by the Fund in the Master Large Cap Core Portfolio. Current performance may be lower or higher than the performance data quoted. Refer to www.blackrock.com/funds to obtain performance data current to the most recent month end. Performance results do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Figures shown in the performance table on the previous page assume reinvestment of all dividends and distributions, if any, at net asset value (“NAV”) on the ex-dividend dates. Investment return and principal value of shares will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Dividends paid to each class of shares will vary because of the different levels of service, distribution and transfer agency fees applicable to each class, which are deducted from the income available to be paid to shareholders.
BlackRock Advisors, LLC (the “Manager”), the Fund’s investment advisor, waived and/or reimbursed a portion of the Fund’s expenses. Without such waiver and/or reimbursement, the Fund’s performance would have been lower. The Manager is under no obligation to waive or reimburse or to continue waiving or reimbursing its fees after the applicable termination date. See Note 3 of the Notes to Financial Statements for additional information on waivers and reimbursements. The standardized 30-day yield includes the effects of any waivers and/or reimbursements. The unsubsidized 30-day yield excludes the effects of any waiver and/or reimbursements.
Shareholders of the Fund may incur the following charges: (a) transactional expenses, such as sales charges; and (b) operating expenses, including investment advisory fees, service and distribution fees, including 12b-1 fees, acquired fund fees and expenses and other Fund expenses. The expense example on the previous page (which is based on a hypothetical investment of $1,000 invested on October 1, 2013 and held through March 31, 2014) is intended to assist shareholders both in calculating expenses based on an investment in the Fund and in comparing these expenses with similar costs of investing in other mutual funds.
The expense example 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 corresponding to their share class under the heading entitled “Expenses Paid During the Period.”
The expense example also provides information about hypothetical account values and hypothetical expenses based on the Fund’s 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 the Fund and other funds, compare the 5% hypothetical examples with the 5% hypothetical examples that appear in other funds’ shareholder reports.
The expenses shown in the expense example are intended to highlight shareholders’ ongoing costs only and do not reflect any transactional expenses, such as sales charges, if any. 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.
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| 6 | | BLACKROCK BALANCED CAPITAL FUND, INC. | | MARCH 31, 2014 | | |
| | |
| The Benefits and Risks of Leveraging | | |
The Master Total Return Portfolio may utilize leverage to seek to enhance its yield and NAV. However, these objectives cannot be achieved in all interest rate environments.
The Master Total Return Portfolio may utilize leverage by entering into reverse repurchase agreements and/or treasury roll transactions. In general, the concept of leveraging is based on the premise that the financing cost of assets to be obtained from leverage, which will be based on short-term interest rates, will normally be lower than the income earned by the Master Total Return Portfolio on its longer-term portfolio investments. To the extent that the total assets of the Master Total Return Portfolio (including the assets obtained from leverage) are invested in higher-yielding portfolio investments, the Master Total Return Portfolio’s shareholders will benefit from the incremental net income.
The interest earned on securities purchased with the proceeds from leverage is paid to shareholders in the form of dividends, and the value of these portfolio holdings is reflected in the net assets. However, in order to benefit shareholders, the yield curve must be positively sloped; that is, short-term interest rates must be lower than long-term interest rates. If the yield curve becomes negatively sloped, meaning short-term interest rates exceed long-term interest rates, income to shareholders will be lower than if the Master Total Return Portfolio had not used leverage.
If short-term interest rates rise, narrowing the differential between short-term and long-term interest rates, the incremental net income pickup will be reduced or eliminated completely. Furthermore, if prevailing short-term interest rates rise above long-term interest rates, the yield curve has a negative slope. In this case, the Master Total Return Portfolio pays higher short-term interest rates whereas the Master Total Return Portfolio’s total portfolio earns income based on lower long-term interest rates.
Furthermore, the value of the Master Total Return Portfolio’s portfolio investments generally varies inversely with the direction of long-term interest rates, although other factors can influence the value of portfolio investments. As a result, changes in interest rates can influence the Master Total Return Portfolio’s net assets positively or negatively in addition to the impact on the Master Total Return Portfolio’s performance from leverage and borrowings discussed above.
The use of leverage may enhance opportunities for increased income to the Master Total Return Portfolio, but as described above, it also creates risks as short- or long-term interest rates fluctuate. If the income derived from securities purchased with assets received from leverage exceeds the cost of leverage, the Master Total Return Portfolio’s net income will be greater than if leverage had not been used. Conversely, if the income from the securities purchased is not sufficient to cover the cost of leverage, the Master Total Return Portfolio’s net income will be less than if leverage had not been used. The Master Total Return Portfolio may be required to sell portfolio securities at inopportune times or at distressed values in order to comply with regulatory requirements applicable to the use of leverage or as required by the terms of leverage instruments, which may cause the Master Total Return Portfolio to incur losses. The use of leverage may limit the Master Total Return Portfolio’s ability to invest in certain types of securities or use certain types of hedging strategies. The Master Total Return Portfolio will incur expenses in connection with the use of leverage, all of which are borne by the Master Total Return Portfolio shareholders and may reduce income.
|
| Derivative Financial Instruments |
The Master Portfolios may invest in various derivative financial instruments, including financial futures contracts, forward foreign currency exchange contracts, options and swaps, as specified in Note 4 of each of the Master Portfolio’s Notes to Consolidated Financial Statements, which may constitute forms of economic leverage. Such derivative financial instruments are used to obtain exposure to a security, index and/ or market without owning or taking physical custody of securities or to hedge market, equity, credit, interest rate, foreign currency exchange rate and/or other risks. Derivative financial instruments involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the derivative financial instrument. The
Master Portfolios’ ability to use a derivative financial instrument successfully depends on the investment advisor’s ability to predict pertinent market movements accurately, which cannot be assured. The use of derivative financial instruments may result in losses greater than if they had not been used, may require the Master Portfolios to sell or purchase portfolio investments at inopportune times or for distressed values, may limit the amount of appreciation the Master Portfolios can realize on an investment, may result in lower dividends paid to shareholders and/or may cause the Master Portfolios to hold an investment that they might otherwise sell. The Master Portfolios’ investments in these instruments are discussed in detail in each of the Master Portfolio’s Notes to Consolidated Financial Statements.
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| | | BLACKROCK BALANCED CAPITAL FUND, INC. | | MARCH 31, 2014 | | 7 |
| | | | |
| Statement of Assets and Liabilities | | | BlackRock Balanced Capital Fund, Inc. | |
| | | | |
| March 31, 2014 (Unaudited) | | | |
| | | | |
| Assets | | | | |
Investments at value — Master Large Cap Core Portfolio (cost — $399,401,262) | | $ | 542,973,436 | |
Investments at value — Master Total Return Portfolio (cost — $315,524,886) | | | 324,950,740 | |
Investments in BlackRock Liquidity Funds, TempFund, Institutional Class, 0.03% (shares — 28,609,343; cost — $28,609,343) | | | 28,609,343 | |
Capital shares sold receivable | | | 494,320 | |
Dividends receivable — affiliated | | | 622 | |
Prepaid expenses | | | 47,364 | |
| | | | |
Total assets | | | 897,075,825 | |
| | | | |
| | | | |
| Liabilities | | | | |
Income dividends payable | | | 249 | |
Capital shares redeemed payable | | | 1,590,374 | |
Service and distribution fees payable | | | 167,025 | |
Investment advisory fees payable | | | 88,295 | |
Other affiliates payable | | | 34,848 | |
Officer’s fees payable | | | 8,853 | |
Other accrued expenses payable | | | 319,773 | |
| | | | |
Total liabilities | | | 2,209,417 | |
| | | | |
Net Assets | | $ | 894,866,408 | |
| | | | |
| | | | |
| Net Assets Consist of | | | | |
Paid-in capital | | $ | 689,671,533 | |
Distributions in excess of net investment income | | | (265,448 | ) |
Accumulated net realized gain | | | 57,756,920 | |
Net unrealized appreciation/depreciation | | | 147,703,403 | |
| | | | |
Net Assets | | $ | 894,866,408 | |
| | | | |
| | | | |
| Net Asset Value | | | | |
Institutional — Based on net assets of $339,621,944 and 13,409,941 shares outstanding, 400 million shares authorized, $0.10 par value | | $ | 25.33 | |
| | | | |
Investor A — Based on net assets of $470,314,081 and 18,618,227 shares outstanding, 200 million shares authorized, $0.10 par value | | $ | 25.26 | |
| | | | |
Investor B — Based on net assets of $4,349,924 and 177,088 shares outstanding, 500 million shares authorized, $0.10 par value | | $ | 24.56 | |
| | | | |
Investor C — Based on net assets of $71,266,088 and 3,078,802 shares outstanding, 200 million shares authorized, $0.10 par value | | $ | 23.15 | |
| | | | |
Class R — Based on net assets of $9,314,371 and 388,241 shares outstanding, 500 million shares authorized, $0.10 par value | | $ | 23.99 | |
| | | | |
See Notes to Financial Statements.
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| 8 | | BLACKROCK BALANCED CAPITAL FUND, INC. | | MARCH 31, 2014 | | |
| | | | |
| Statement of Operations | | | BlackRock Balanced Capital Fund, Inc. | |
| | | | |
| Six Months Ended March 31, 2014 (Unaudited) | | | |
| | | | |
| Investment Income | | | | |
Dividends — affiliated | | $ | 2,439 | |
Net investment income allocated from the Master Portfolios: | | | | |
Interest — unaffiliated | | | 6,035,768 | |
Dividends — unaffiliated | | | 4,463,308 | |
Other income — affiliated | | | 37,248 | |
Foreign taxes withheld | | | (21,789 | ) |
Securities lending — affiliated | | | 1,168 | |
Dividends — affiliated | | | 175 | |
Total expenses | | | (1,756,984 | ) |
Fees waived | | | 3,544 | |
| | | | |
Total income | | | 8,764,877 | |
| | | | |
| | | | |
| Fund Expenses | | | | |
Investment advisory | | | 1,885,599 | |
Service — Investor A | | | 574,029 | |
Service and distribution — Investor B | | | 23,297 | |
Service and distribution — Investor C | | | 340,647 | |
Service and distribution — Class R | | | 22,330 | |
Transfer agent — Institutional | | | 140,853 | |
Transfer agent — Investor A | | | 295,530 | |
Transfer agent — Investor B | | | 10,603 | |
Transfer agent — Investor C | | | 50,969 | |
Transfer agent — Class R | | | 9,606 | |
Printing | | | 42,333 | |
Professional | | | 41,567 | |
Registration | | | 37,987 | |
Officer | | | 14,901 | |
Custodian | | | 1,048 | |
Miscellaneous | | | 12,949 | |
| | | | |
Total expenses | | | 3,504,248 | |
Less fees waived by Manager | | | (1,432,601 | ) |
| | | | |
Total expenses after fees waived | | | 2,071,647 | |
| | | | |
Net investment income | | | 6,693,230 | |
| | | | |
| | | | |
| Realized and Unrealized Gain Allocated from the Master Portfolios | | | | |
Net realized gain from investments, financial futures contracts, options written, swaps, foreign currency transactions and borrowed bonds | | | 45,838,303 | |
Net change in unrealized appreciation/depreciation on investments, financial futures contracts, options written, swaps, foreign currency translations and borrowed bonds | | | 33,525,972 | |
| | | | |
Total realized and unrealized gain | | | 79,364,275 | |
| | | | |
Net Increase in Net Assets Resulting from Operations | | $ | 86,057,505 | |
| | | | |
See Notes to Financial Statements.
| | | | | | |
| | | BLACKROCK BALANCED CAPITAL FUND, INC. | | MARCH 31, 2014 | | 9 |
| | | | |
| Statements of Changes in Net Assets | | | BlackRock Balanced Capital Fund, Inc. | |
| | | | | | | | |
| Increase in Net Assets: | | Six Months
Ended
March 31,
2014
(Unaudited) | | | Year Ended
September 30,
2013 | |
| | | | | | | | |
| Operations | | | | | | | | |
Net investment income | | $ | 6,693,230 | | | $ | 14,646,127 | |
Net realized gain | | | 45,838,303 | | | | 72,425,988 | |
Net change in unrealized appreciation/depreciation | | | 33,525,972 | | | | 13,989,532 | |
| | | | |
Net increase in net assets resulting from operations | | | 86,057,505 | | | | 101,061,647 | |
| | | | |
| | | | | | | | |
| Dividends and Distributions to Shareholders From | | | | | | | | |
Net investment income: | | | | | | | | |
Institutional | | | (4,311,648 | ) | | | (8,049,416 | )1 |
Investor A | | | (5,428,771 | ) | | | (7,536,107 | )1 |
Investor B | | | (31,706 | ) | | | (33,652 | )1 |
Investor C | | | (627,659 | ) | | | (470,066 | )1 |
Class R | | | (100,219 | ) | | | (110,809 | )1 |
Net realized gain: | | | | | | | | |
Institutional | | | (25,527,071 | ) | | | (15,801,809 | )1 |
Investor A | | | (35,924,272 | ) | | | (16,530,590 | )1 |
Investor B | | | (379,669 | ) | | | (255,878 | )1 |
Investor C | | | (5,751,000 | ) | | | (2,479,925 | )1 |
Class R | | | (740,627 | ) | | | (352,601 | )1 |
| | | | |
Decrease in net assets resulting from dividends and distributions to shareholders | | | (78,822,642 | ) | | | (51,620,853 | ) |
| | | | |
| | | | | | | | |
| Capital Share Transactions | | | | | | | | |
Net increase (decrease) in net assets derived from capital share transactions | | | 47,342,645 | | | | (160,432,633 | ) |
| | | | |
| | | | | | | | |
| Redemption Fees | | | | | | | | |
Redemption Fee | | | 780 | | | | — | |
| | | | |
| | | | | | | | |
| Net Assets | | | | | | | | |
Total increase (decrease) in net assets | | | 54,578,288 | | | | (110,991,839 | ) |
Beginning of period | | | 840,288,120 | | | | 951,279,959 | |
| | | | |
End of period | | $ | 894,866,408 | | | $ | 840,288,120 | |
| | | | |
Undistributed (distributions in excess of) net investment income, end of period | | $ | (265,448 | ) | | $ | 3,541,325 | |
| | | | |
| | 1 | Determined in accordance with federal income tax regulations. |
See Notes to Financial Statements.
| | | | | | |
| 10 | | BLACKROCK BALANCED CAPITAL FUND, INC. | | MARCH 31, 2014 | | |
| | | | |
| Financial Highlights | | | BlackRock Balanced Capital Fund, Inc. | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Institutional | | | Investor A | |
| | | Six Months
Ended
March 31,
2014 (Unaudited) | | | Year Ended September 30, | | | Six Months
Ended
March 31,
2014 (Unaudited) | | | Year Ended September 30, | |
| | | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Operating Performance | |
Net asset value, beginning of period | | $ | 25.16 | | | $ | 23.77 | | | $ | 20.18 | | | $ | 20.28 | | | $ | 19.17 | | | $ | 21.96 | | | $ | 25.11 | | | $ | 23.68 | | | $ | 20.10 | | | $ | 20.21 | | | $ | 19.11 | | | $ | 21.88 | |
| | | | | | | | |
Net investment income1 | | | 0.23 | | | | 0.47 | | | | 0.55 | | | | 0.51 | | | | 0.46 | | | | 0.54 | | | | 0.19 | | | | 0.38 | | | | 0.47 | | | | 0.40 | | | | 0.39 | | | | 0.48 | |
Net realized and unrealized gain (loss) | | | 2.35 | 2 | | | 2.35 | | | | 3.55 | | | | (0.13 | ) | | | 1.20 | | | | (1.60 | ) | | | 2.33 | 2 | | | 2.37 | | | | 3.55 | | | | (0.10 | ) | | | 1.19 | | | | (1.58 | ) |
| | | | | | | | |
Net increase (decrease) from investment operations | | | 2.58 | | | | 2.82 | | | | 4.10 | | | | 0.38 | | | | 1.66 | | | | (1.06 | ) | | | 2.52 | | | | 2.75 | | | | 4.02 | | | | 0.30 | | | | 1.58 | | | | (1.10 | ) |
| | | | | | | | |
Dividends and distributions from: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.35 | ) | | | (0.53 | )3 | | | (0.51 | )3 | | | (0.48 | )3 | | | (0.55 | )3 | | | (0.62 | )3 | | | (0.31 | ) | | | (0.42 | )3 | | | (0.44 | )3 | | | (0.41 | )3 | | | (0.48 | )3 | | | (0.56 | )3 |
Net realized gain | | | (2.06 | ) | | | (0.90 | )3 | | | — | | | | — | | | | — | | | | (1.11 | )3 | | | (2.06 | ) | | | (0.90 | )3 | | | — | | | | — | | | | — | | | | (1.11 | )3 |
| | | | | | | | |
Total dividends and distributions | | | (2.41 | ) | | | (1.43 | ) | | | (0.51 | ) | | | (0.48 | ) | | | (0.55 | ) | | | (1.73 | ) | | | (2.37 | ) | | | (1.32 | ) | | | (0.44 | ) | | | (0.41 | ) | | | (0.48 | ) | | | (1.67 | ) |
| | | | | | | | |
Net asset value, end of period | | $ | 25.33 | | | $ | 25.16 | | | $ | 23.77 | | | $ | 20.18 | | | $ | 20.28 | | | $ | 19.17 | | | $ | 25.26 | | | $ | 25.11 | | | $ | 23.68 | | | $ | 20.10 | | | $ | 20.21 | | | $ | 19.11 | |
| | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Investment Return4 | |
Based on net asset value | | | 10.62 | %5 | | | 12.42 | % | | | 20.52 | % | | | 1.67 | % | | | 8.75 | %6 | | | (3.53 | )%7 | | | 10.40 | %5 | | | 12.14 | % | | | 20.16 | % | | | 1.31 | % | | | 8.38 | %8 | | | (3.79 | )%9 |
| | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Ratios to Average Net Assets10 | |
Total expenses | | | 0.96 | %11 | | | 0.98 | % | | | 0.96 | % | | | 1.07 | % | | | 1.08 | % | | | 0.85 | % | | | 1.25 | %11 | | | 1.29 | % | | | 1.28 | % | | | 1.39 | % | | | 1.40 | % | | | 1.17 | % |
| | | | | | | | |
Total expenses after fees waived | | | 0.63 | %11 | | | 0.66 | % | | | 0.66 | % | | | 0.76 | % | | | 0.76 | % | | | 0.64 | % | | | 0.92 | %11 | | | 0.97 | % | | | 0.97 | % | | | 1.07 | % | | | 1.08 | % | | | 0.95 | % |
| | | | | | | | |
Net investment income | | | 1.79 | %11 | | | 1.87 | % | | | 2.45 | % | | | 2.33 | % | | | 2.28 | % | | | 3.12 | % | | | 1.50 | %11 | | | 1.51 | % | | | 2.12 | % | | | 1.83 | % | | | 1.96 | % | | | 2.80 | % |
| | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Supplemental Data | |
Net assets, end of period (000) | | $ | 339,622 | | | $ | 317,572 | | | $ | 426,027 | | | $ | 511,458 | | | $ | 547,721 | | | $ | 626,711 | | | $ | 470,314 | | | $ | 445,295 | | | $ | 447,620 | | | $ | 426,819 | | | $ | 488,087 | | | $ | 529,120 | |
| | | | | | | | |
Portfolio turnover of the Fund12 | | | — | | | | — | | | | — | | | | — | | | | — | | | | 94 | %13 | | | — | | | | — | | | | — | | | | — | | | | — | | | | 94 | %13 |
| | | | | | | | |
Portfolio turnover of the Master Total Return Portfolio | | | 322 | %14 | | | 777 | %15 | | | 1,346 | %16 | | | 1,771 | %17 | | | 1,754 | %18 | | | 708 | %19 | | | 322 | %14 | | | 777 | %15 | | | 1,346 | %16 | | | 1,771 | %17 | | | 1,754 | %18 | | | 708 | %19 |
| | | | | | | | |
Portfolio turnover of the Master Large Cap Core Portfolio | | | 15 | % | | | 50 | % | | | 128 | % | | | 129 | % | | | 173 | % | | | 168 | %20 | | | 15 | % | | | 50 | % | | | 128 | % | | | 129 | % | | | 173 | % | | | 168 | %20 |
| | | | | | | | |
| | 1 | Based on average shares outstanding. |
| | 2 | Includes redemption fees, which are less than $0.005 per share. |
| | 3 | Determined in accordance with federal income tax regulations. |
| | 4 | Where applicable, excludes the effects of any sales charges and assumes the reinvestment of dividends and distributions. |
| | 5 | Aggregate total investment return. |
| | 6 | Includes proceeds received from a settlement of litigation, through its investment in Master Large Cap Core Portfolio, which impacted the Fund’s total return. Excluding these proceeds, the Fund’s total return would have been 8.32%. |
| | 7 | Includes proceeds received from a settlement of litigation, through its investment in Master Large Cap Core Portfolio, which impacted the Fund’s total return. Excluding these proceeds, the Fund’s total return would have been (3.88)%. |
| | 8 | Includes proceeds received from a settlement of litigation, through its investment in Master Large Cap Core Portfolio, which impacted the Fund’s total return. Excluding these proceeds, the Fund’s total return would have been 7.95%. |
| | 9 | Includes proceeds received from a settlement of litigation, through its investment in Master Large Cap Core Portfolio, which impacted the Fund’s total return. Excluding these proceeds, the Fund’s total return would have been (4.19)%. |
| | 10 | Includes the Fund’s share of the Master Portfolios’ allocated expenses and/or net investment income. |
| | 12 | Excludes transactions in the Master Portfolios. |
| | 13 | Represents portfolio turnover for the period October 1, 2008 to January 30, 2009. |
| | 14 | Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 231%. |
| | 15 | Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 450%. |
| | 16 | Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 752%. |
| | 17 | Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 1,379%. |
| | 18 | Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 1,248%. |
| | 19 | Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 469%. |
| | 20 | Represents portfolio turnover for the period November 1, 2008 to September 30, 2009. |
See Notes to Financial Statements.
| | | | | | |
| | | BLACKROCK BALANCED CAPITAL FUND, INC. | | MARCH 31, 2014 | | 11 |
| | | | |
| Financial Highlights (continued) | | | BlackRock Balanced Capital Fund, Inc. | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Investor B | | | Investor C | |
| | | Six Months
Ended
March 31,
2014 (Unaudited) | | | Year Ended September 30, | | | Six Months
Ended
March 31,
2014 (Unaudited) | | | Year Ended September 30, | |
| | | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Operating Performance | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | $ | 24.47 | | | $ | 23.07 | | | $ | 19.55 | | | $ | 19.65 | | | $ | 18.56 | | | $ | 21.24 | | | $ | 23.20 | | | $ | 21.92 | | | $ | 18.64 | | | $ | 18.77 | | | $ | 17.79 | | | $ | 20.51 | |
| | | | | | | | |
Net investment income1 | | | 0.05 | | | | 0.13 | | | | 0.24 | | | | 0.18 | | | | 0.20 | | | | 0.32 | | | | 0.09 | | | | 0.18 | | | | 0.28 | | | | 0.21 | | | | 0.21 | | | | 0.32 | |
Net realized and unrealized gain (loss) | | | 2.27 | 2 | | | 2.29 | | | | 3.46 | | | | (0.10 | ) | | | 1.16 | | | | (1.55 | ) | | | 2.15 | 2 | | | 2.17 | | | | 3.28 | | | | (0.08 | ) | | | 1.12 | | | | (1.50 | ) |
| | | | | | | | |
Net increase (decrease) from investment operations | | | 2.32 | | | | 2.42 | | | | 3.70 | | | | 0.08 | | | | 1.36 | | | | (1.23 | ) | | | 2.24 | | | | 2.35 | | | | 3.56 | | | | 0.13 | | | | 1.33 | | | | (1.18 | ) |
| | | | | | | | |
Dividends and distributions from: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.17 | ) | | | (0.12 | )3 | | | (0.18 | )3 | | | (0.18 | )3 | | | (0.27 | )3 | | | (0.34 | )3 | | | (0.23 | ) | | | (0.17 | )3 | | | (0.28 | )3 | | | (0.26 | )3 | | | (0.35 | )3 | | | (0.43 | )3 |
Net realized gain | | | (2.06 | ) | | | (0.90 | )3 | | | — | | | | — | | | | — | | | | (1.11 | )3 | | | (2.06 | ) | | | (0.90 | )3 | | | — | | | | — | | | | — | | | | (1.11 | )3 |
| | | | | | | | |
Total dividends and distributions | | | (2.23 | ) | | | (1.02 | ) | | | (0.18 | ) | | | (0.18 | ) | | | (0.27 | ) | | | (1.45 | ) | | | (2.29 | ) | | | (1.07 | ) | | | (0.28 | ) | | | (0.26 | ) | | | (0.35 | ) | | | (1.54 | ) |
| | | | | | | | |
Net asset value, end of period | | $ | 24.56 | | | $ | 24.47 | | | $ | 23.07 | | | $ | 19.55 | | | $ | 19.65 | | | $ | 18.56 | | | $ | 23.15 | | | $ | 23.20 | | | $ | 21.92 | | | $ | 18.64 | | | $ | 18.77 | | | $ | 17.79 | |
| | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Investment Return4 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Based on net asset value | | | 9.80 | %5 | | | 10.94 | % | | | 19.01 | % | | | 0.34 | % | | | 7.37 | %6 | | | (4.69 | )%7 | | | 9.98 | %5 | | | 11.22 | % | | | 19.22 | % | | | 0.55 | % | | | 7.53 | %8 | | | (4.56 | )%9 |
| | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Ratios to Average Net Assets10 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses | | | 2.33 | %11 | | | 2.33 | % | | | 2.29 | % | | | 2.36 | % | | | 2.34 | % | | | 2.09 | % | | | 2.02 | %11 | | | 2.07 | % | | | 2.06 | % | | | 2.18 | % | | | 2.20 | % | | | 1.97 | % |
| | | | | | | | |
Total expenses after fees waived | | | 2.00 | %11 | | | 2.01 | % | | | 1.98 | % | | | 2.04 | % | | | 2.02 | % | | | 1.90 | % | | | 1.69 | %11 | | | 1.75 | % | | | 1.75 | % | | | 1.87 | % | | | 1.88 | % | | | 1.76 | % |
| | | | | | | | |
Net investment income | | | 0.42 | %11 | | | 0.51 | % | | | 1.13 | % | | | 0.86 | % | | | 1.03 | % | | | 1.93 | % | | | 0.73 | %11 | | | 0.72 | % | | | 1.33 | % | | | 1.04 | % | | | 1.16 | % | | | 2.00 | % |
| | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | $ | 4,350 | | | $ | 4,926 | | | $ | 7,128 | | | $ | 8,786 | | | $ | 14,374 | | | $ | 23,963 | | | $ | 71,266 | | | $ | 63,952 | | | $ | 61,541 | | | $ | 56,608 | | | $ | 61,017 | | | $ | 60,461 | |
| | | | | | | | |
Portfolio turnover of the Fund12 | | | — | | | | — | | | | — | | | | — | | | | — | | | | 94 | %13 | | | — | | | | — | | | | — | | | | — | | | | — | | | | 94 | %13 |
| | | | | | | | |
Portfolio turnover of the Master Total Return Portfolio | | | 322 | %14 | | | 777 | %15 | | | 1,346 | %16 | | | 1,771 | %17 | | | 1,754 | %18 | | | 708 | %19 | | | 322 | %14 | | | 777 | %15 | | | 1,346 | %16 | | | 1,771 | %17 | | | 1,754 | %18 | | | 708 | %19 |
| | | | | | | | |
Portfolio turnover of the Master Large Cap Core Portfolio | | | 15 | % | | | 50 | % | | | 128 | % | | | 129 | % | | | 173 | % | | | 168 | %20 | | | 15 | % | | | 50 | % | | | 128 | % | | | 129 | % | | | 173 | % | | | 168 | %20 |
| | | | | | | | |
| | 1 | Based on average shares outstanding. |
| | 2 | Includes redemption fees, which are less than $0.005 per share. |
| | 3 | Determined in accordance with federal income tax regulations. |
| | 4 | Where applicable, excludes the effects of any sales charges and assumes the reinvestment of dividends and distributions. |
| | 5 | Aggregate total investment return. |
| | 6 | Includes proceeds received from a settlement of litigation, through its investment in Master Large Cap Core Portfolio, which impacted the Fund’s total return. Excluding these proceeds, the Fund’s total return would have been 6.82%. |
| | 7 | Includes proceeds received from a settlement of litigation, through its investment in Master Large Cap Core Portfolio, which impacted the Fund’s total return. Excluding these proceeds, the Fund’s total return would have been (5.10)%. |
| | 8 | Includes proceeds received from a settlement of litigation, through its investment in Master Large Cap Core Portfolio, which impacted the Fund’s total return. Excluding these proceeds, the Fund’s total return would have been 7.12%. |
| | 9 | Includes proceeds received from a settlement of litigation, through its investment in Master Large Cap Core Portfolio, which impacted the Fund’s total return. Excluding these proceeds, the Fund’s total return would have been (4.94)%. |
| | 10 | Includes the Fund’s share of the Master Portfolios’ allocated expenses and/or net investment income. |
| | 12 | Excludes transactions in the Master Portfolios. |
| | 13 | Represents portfolio turnover for the period October 1, 2008 to January 30, 2009. |
| | 14 | Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 231%. |
| | 15 | Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 450%. |
| | 16 | Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 752%. |
| | 17 | Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 1,379%. |
| | 18 | Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 1,248%. |
| | 19 | Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 469%. |
| | 20 | Represents portfolio turnover for the period November 1, 2008 to September 30, 2009. |
See Notes to Financial Statements.
| | | | | | |
| 12 | | BLACKROCK BALANCED CAPITAL FUND, INC. | | MARCH 31, 2014 | | |
| | | | |
| Financial Highlights (concluded) | | | BlackRock Balanced Capital Fund, Inc. | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Class R | |
| | | Six Months
Ended
March 31,
2014 (Unaudited) | | | Year Ended September 30, | |
| | | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Operating Performance | | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | $ | 23.96 | | | $ | 22.63 | | | $ | 19.22 | | | $ | 19.33 | | | $ | 18.31 | | | $ | 21.06 | |
| | | | |
Net investment income1 | | | 0.14 | | | | 0.28 | | | | 0.37 | | | | 0.30 | | | | 0.29 | | | | 0.38 | |
Net realized and unrealized gain (loss) | | | 2.23 | 2 | | | 2.24 | | | | 3.39 | | | | (0.09 | ) | | | 1.14 | | | | (1.54 | ) |
| | | | |
Net increase (decrease) from investment operations | | | 2.37 | | | | 2.52 | | | | 3.76 | | | | 0.21 | | | | 1.43 | | | | (1.16 | ) |
| | | | |
Dividends and distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.28 | ) | | | (0.29 | )3 | | | (0.35 | )3 | | | (0.32 | )3 | | | (0.41 | )3 | | | (0.48 | )3 |
Net realized gain | | | (2.06 | ) | | | (0.90 | )3 | | | — | | | | — | | | | — | | | | (1.11 | )3 |
| | | | |
Total dividends and distributions | | | (2.34 | ) | | | (1.19 | ) | | | (0.35 | ) | | | (0.32 | ) | | | (0.41 | ) | | | (1.59 | ) |
| | | | |
Net asset value, end of period | | $ | 23.99 | | | $ | 23.96 | | | $ | 22.63 | | | $ | 19.22 | | | $ | 19.33 | | | $ | 18.31 | |
| | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Total Investment Return4 | | | | | | | | | | | | | | | | | | | | | | | | |
Based on net asset value | | | 10.25 | %5 | | | 11.66 | % | | | 19.73 | % | | | 0.96 | % | | | 7.87 | %6 | | | (4.25 | )%7 |
| | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Ratios to Average Net Assets8 | | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses | | | 1.59 | %9 | | | 1.66 | % | | | 1.67 | % | | | 1.77 | % | | | 1.84 | % | | | 1.64 | % |
| | | | |
Total expenses after fees waived | | | 1.26 | %9 | | | 1.33 | % | | | 1.36 | % | | | 1.46 | % | | | 1.52 | % | | | 1.42 | % |
| | | | |
Net investment income | | | 1.17 | %9 | | | 1.16 | % | | | 1.73 | % | | | 1.44 | % | | | 1.51 | % | | | 2.29 | % |
| | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | $ | 9,314 | | | $ | 8,542 | | | $ | 8,963 | | | $ | 8,118 | | | $ | 9,737 | | | $ | 10,194 | |
| | | | |
Portfolio turnover of the Fund10 | | | — | | | | — | | | | — | | | | — | | | | — | | | | 94 | %11 |
| | | | |
Portfolio turnover of the Master Total Return Portfolio | | | 322 | %12 | | | 777 | %13 | | | 1,346 | %14 | | | 1,771 | %15 | | | 1,754 | %16 | | | 708 | %17 |
| | | | |
Portfolio turnover of the Master Large Cap Core Portfolio | | | 15 | % | | | 50 | % | | | 128 | % | | | 129 | % | | | 173 | % | | | 168 | %18 |
| | | | |
| | 1 | Based on average shares outstanding. |
| | 2 | Includes redemption fees, which are less than $0.005 per share. |
| | 3 | Determined in accordance with federal income tax regulations. |
| | 4 | Where applicable, assumes the reinvestment of dividends and distributions. |
| | 5 | Aggregate total investment return. |
| | 6 | Includes proceeds received from a settlement of litigation, through its investment in Master Large Cap Core Portfolio, which impacted the Fund’s total return. Excluding these proceeds, the Fund’s total return would have been 7.53%. |
| | 7 | Includes proceeds received from a settlement of litigation, through its investment in Master Large Cap Core Portfolio, which impacted the Fund’s total return. Excluding these proceeds, the Fund’s total return would have been (4.62)%. |
| | 8 | Includes the Fund’s share of the Master Portfolios’ allocated expenses and/or net investment income. |
| | 10 | Excludes transactions in the Master Portfolios. |
| | 11 | Represents portfolio turnover for the period October 1, 2008 to January 30, 2009. |
| | 12 | Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 231%. |
| | 13 | Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 450%. |
| | 14 | Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 752%. |
| | 15 | Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 1,379%. |
| | 16 | Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 1,248%. |
| | 17 | Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 469%. |
| | 18 | Represents portfolio turnover for the period November 1, 2008 to September 30, 2009. |
See Notes to Financial Statements.
| | | | | | |
| | | BLACKROCK BALANCED CAPITAL FUND, INC. | | MARCH 31, 2014 | | 13 |
| | | | |
| Notes to Financial Statements (Unaudited) | | | BlackRock Balanced Capital Fund, Inc. | |
1. Organization:
BlackRock Balanced Capital Fund, Inc. (the “Fund”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as a diversified, open-end management investment company. The Fund is organized as a Maryland corporation. The Fund seeks to achieve its investment objective by investing the fixed income portion of its assets in Master Total Return Portfolio (the “Master Total Return Portfolio”) of Master Bond LLC, a mutual fund that has an investment objective and strategy consistent with that of the fixed income portion of the Fund, and investing the equity portion of its assets in Master Large Cap Core Portfolio (the “Master Large Cap Core Portfolio”) of Master Large Cap Series LLC, a mutual fund that has an investment objective and strategy consistent with that of the equity portion of the Fund. Master Total Return Portfolio and Master Large Cap Core Portfolio, both affiliates of the Fund, are collectively referred to as the “Master Portfolios.” The value of the Fund’s investment in the Master Portfolios reflects the Fund’s proportionate interest in the net assets of the Master Portfolios. The percentages of the Master Large Cap Core Portfolio and Master Total Return Portfolio owned by the Fund at March 31, 2014 were 23.4% and 9.7%, respectively. The performance of the Fund is directly affected by the performance of the Master Portfolios. The financial statements of the Master Portfolios, including the Schedules of Investments, are included elsewhere in this report and should be read in conjunction with the Fund’s financial statements. The Fund offers multiple classes of shares. Institutional Shares are sold without a sales charge and only to certain eligible investors. Investor A Shares are generally sold with an initial sales charge, but may be subject to a CDSC for certain redemptions where no initial sales charge was paid at the time of purchase. Investor B and Investor C Shares may be subject to a CDSC. Class R Shares are sold without a sales charge and only to certain employer-sponsored retirement plans. All classes of shares have identical voting, dividend, liquidation and other rights and are subject to the same terms and conditions, except that Investor A, Investor B, Investor C and Class R Shares bear certain expenses related to the shareholder servicing of such shares, and Investor B, Investor C and Class R Shares also bear certain expenses related to the distribution of such shares. Investor B Shares automatically convert to Investor A Shares after approximately eight years. Investor B Shares are only available through exchanges and dividend reinvestments by existing shareholders and for purchase by certain employer-sponsored retirement plans. Each class has exclusive voting rights with respect to matters relating to its shareholder servicing and distribution expenditures (except that Investor B shareholders may vote on material changes to the Investor A distribution plan).
2. Significant Accounting Policies:
The Fund’s financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. The following is a summary of significant accounting policies followed by the Fund:
Valuation: U.S. GAAP defines fair value as the price the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Fund’s policy is to fair value its financial instruments at market value. The Fund records its investment in the Master Portfolios at fair value based on the Fund’s proportionate interest in the net assets of the Master Portfolios. Valuation of securities held by the Master Portfolios is discussed in Note 2 of each Master Portfolio’s Notes to Financial Statements, which are included elsewhere in this report. Investments in open-end registered investment companies are valued at NAV each business day.
| Ÿ | | Fair Value Measurements — Various inputs are used in determining the fair value of investments. These inputs to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial statement purposes as follows: |
| | Ÿ | | Level 1 — unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Fund has the ability to access |
| | Ÿ | | Level 2 — other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market–corroborated inputs) |
| | Ÿ | | Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Fund’s own assumptions used in determining the fair value of investments) |
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety.
Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Fund’s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments is based on the pricing transparency of the investment and is not necessarily an indication of the risks associated with investing in those securities.
| | | | | | |
| 14 | | BLACKROCK BALANCED CAPITAL FUND, INC. | | MARCH 31, 2014 | | |
| | | | |
| Notes to Financial Statements (continued) | | | BlackRock Balanced Capital Fund, Inc. | |
The following table summarizes the Fund’s investments categorized in the disclosure hierarchy as of March 31, 2014:
| | | | | | | | | | | | | | | | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
BlackRock Liquidity Funds, TempFund, Institutional Class | | $ | 28,609,343 | | | | — | | | | — | | | $ | 28,609,343 | |
There were no transfers between levels during the six months ended March 31, 2014.
Investment Transactions and Investment Income: For financial reporting purposes, contributions to and withdrawals from the Master Portfolios are accounted on a trade date basis. The Fund records daily its proportionate share of the Master Portfolios’ income, expenses and realized and unrealized gains and losses. In addition, the Fund accrues its own expenses. Income, expenses, and realized and unrealized gains and losses are allocated daily to each class based on its relative net assets.
Dividends and Distributions: Dividends and distributions paid by the Fund are recorded on the ex-dividend dates. The character and timing of dividends and distributions are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP.
Net income and realized gains from investments held by the Master Portfolio’s investment in BlackRock Cayman Master Total Return Portfolio I, Ltd. (“Subsidiary”) are treated as ordinary income for tax purposes. Accordingly, any net gain allocated by the Master Portfolio to the Fund will be treated as ordinary income for federal income tax purposes. If a net loss is realized by the Master Portfolio from the Subsidiary in any taxable year, the loss allocated to the Fund will generally not be available to offset the Fund’s ordinary income and/or capital gains for that year. As such, the net investment income (loss) and realized gains (losses) reported in the Master Portfolio’s financial statements presented under U.S. GAAP for such investments held by the Subsidiary and allocated to the Fund may differ significantly from income dividends and capital gain distributions paid by the Fund.
Income Taxes: It is the Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of its taxable income to its shareholders. Therefore, no federal income tax provision is required.
The Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Fund’s U.S. federal tax returns remains open for each of the four years ended September 30, 2013. The statutes of limitations on the Fund’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.
Management has analyzed tax laws and regulations and their application to the Fund’s facts and circumstances and does not believe there are any uncertain tax positions that require recognition of a tax liability.
Other: Expenses directly related to the Fund or its classes are charged to the 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. Expenses directly related to the Fund and other shared expenses pro rated to the Fund are allocated daily to each class based on its relative net assets or other appropriate methods.
The Fund has an arrangement with the custodian whereby fees may be reduced by credits earned on uninvested cash balances, which, if applicable, are shown as fees paid indirectly in the Statement of Operations. The custodian imposes fees on overdrawn cash balances, which can be offset by accumulated credits earned or may result in additional custody charges.
3. Investment Advisory Agreement and Other Transactions with Affiliates:
The PNC Financial Services Group, Inc. is the largest stockholder and an affiliate, for 1940 Act purposes, of BlackRock, Inc. (“BlackRock”).
The Fund entered into an Investment Advisory Agreement with the Manager, the Fund’s investment advisor, an indirect, wholly owned subsidiary of BlackRock, to provide investment advisory and administration services. The Manager is responsible for the management of the Fund’s portfolio and provides the necessary personnel, facilities, equipment and certain other services necessary to the operations of the Fund. For such services, the Fund paid the Manager a monthly fee based on a percentage of the Fund’s average daily net assets at the following annual rates:
| | | | |
| Average Daily Net Assets | | Investment
Advisory Fee | |
First $250 million | | | 0.500 | % |
$250 million - $300 million | | | 0.450 | % |
$300 million - $400 million | | | 0.425 | % |
Greater than $400 million | | | 0.400 | % |
The Fund also pays an investment advisory fee to the Manager, which is the investment advisor of Master Total Return Portfolio and Master Large Cap Core Portfolio, to the extent it invests in the Master Total Return Portfolio and Master Large Cap Core Portfolio. The Manager has contractually agreed to waive its investment advisory fee by the amount the Fund pays in connection with its investments in the Master Portfolios. For the six months ended March 31, 2014, the Manager waived $1,427,253, which is included in fees waived by Manager in the Statement of Operations.
Investments in companies considered to be an affiliate of the Fund, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, were as follows:
| | | | | | | | | | | | | | | | |
| Affiliate | | Shares Held at
September 30, 2013 | | | Net Activity | | | Shares Held at
March 31, 2014 | | | Income | |
BlackRock Liquidity Funds, TempFund, Institutional Class | | | 16,206,029 | | | | 12,403,314 | | | | 28,609,343 | | | $ | 2,439 | |
The Manager voluntarily agreed to waive its investment advisory fees by the amount of investment advisory fees the Fund pays to the Manager indirectly through its investment in affiliated money market funds. However, the Manager does not waive its investment advisory fees by the
| | | | | | |
| | | BLACKROCK BALANCED CAPITAL FUND, INC. | | MARCH 31, 2014 | | 15 |
| | | | |
| Notes to Financial Statements (continued) | | | BlackRock Balanced Capital Fund, Inc. | |
amount of investment advisory fees paid in connection with the Fund’s investment in other affiliated investment companies except to the extent noted above with respect to Master Total Return Portfolio and Master Large Cap Core Portfolio, if any. For the six months ended March 31, 2014, the Manager waived $5,348, which is included in fees waived by Manager in the Statement of Operations.
The Manager, on behalf of each Fund, entered into a sub-advisory agreement with BlackRock Investment Management, LLC (“BIM”), an affiliate of the Manager. The Manager pays BIM, for services it provides, a monthly fee that is a percentage of the investment advisory fees paid by the Fund to the Manager.
The Fund entered into a Distribution Agreement and a Distribution and Service Plan with BlackRock Investments, LLC (“BRIL”), an affiliate of the Manager. Pursuant to the Distribution and Service Plan and in accordance with Rule 12b-1 under the 1940 Act, the Fund pays BRIL 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 Fund as follows:
| | | | | | | | |
| | | Service Fee | | | Distribution Fee | |
Investor A | | | 0.25 | % | | | — | |
Investor B | | | 0.25 | % | | | 0.75 | % |
Investor C | | | 0.25 | % | | | 0.75 | % |
Class R | | | 0.25 | % | | | 0.25 | % |
Pursuant to sub-agreements with BRIL, broker-dealers and BRIL provide shareholder servicing and distribution services to the Fund. The ongoing service and/or distribution fee compensates BRIL and each broker-dealer for providing shareholder servicing and/or distribution related services to Investor A, Investor B, Investor C and Class R shareholders.
The Manager maintains a call center, which is responsible for providing certain shareholder services to the Fund, such as responding to shareholder inquiries and processing transactions based upon instructions from shareholders with respect to the subscription and redemption of Fund shares. For the six months ended March 31, 2014, the Fund reimbursed the Manager the following amounts for costs incurred in running the call center, which are included in transfer agent — class specific in
the Statement of Operations:
| | | | |
Institutional | | $ | 8,799 | |
Investor A | | $ | 11,494 | |
Investor B | | $ | 584 | |
Investor C | | $ | 1,876 | |
Class R | | $ | 69 | |
For the six months ended March 31, 2014, affiliates earned underwriting discounts, direct commissions and dealer concessions on sales of the Fund’s Investor A Shares, which totaled $12,817.
For the six months ended March 31, 2014, affiliates received CDSCs as follows:
| | | | |
Investor B | | $ | 405 | |
Investor C | | $ | 1,354 | |
Certain officers and/or directors of the Fund are officers and/or directors of BlackRock or its affiliates. The Fund reimburses the Manager for a portion of the compensation paid to the Fund’s Chief Compliance Officer, which is included in officer in the Statement of Operations.
4. Bank Borrowings:
The Fund, along with certain other funds managed by the Manager and its affiliates (“Participating Funds”), is a party to a 364-day, $800 million credit agreement with a group of lenders, under which the Fund may borrow to fund shareholder redemptions. The agreement expires in April 2014. Excluding commitments designated for a certain individual fund, other Participating Funds, including the Fund, can borrow up to an aggregate commitment amount of $500 million, subject to asset coverage and other limitations as specified in the agreement. The credit agreement has the following terms: a fee of 0.065% per annum on unused commitment amounts and interest at a rate equal to the higher of (a) the one-month LIBOR plus 0.80% per annum or (b) the Fed Funds rate plus 0.80% per annum on amounts borrowed. Participating Funds paid administration and arrangement fees, which, along with commitment fees, were allocated among such funds based upon portions of the aggregate commitment available to them and relative net assets of Participating Funds. The Fund did not borrow under the credit agreement during the six months ended March 31, 2014.
5. Capital Share Transactions:
Transactions in capital shares for each class were as follows:
| | | | | | | | | | | | | | | | | | |
| | | Six Months Ended
March 31, 2014 | | | | | Year Ended
September 30, 2013 | |
| | | Shares | | | Amount | | | | | Shares | | | Amount | |
Institutional | | | | | | | | | | | | | | | | | | |
Shares sold | | | 489,380 | | | $ | 12,330,457 | | | | | | 587,970 | | | $ | 14,063,136 | |
Shares issued to shareholders in reinvestment of dividends and distributions | | | 971,592 | | | | 23,745,619 | | | | | | 862,779 | | | | 19,913,174 | |
Shares redeemed | | | (670,882 | ) | | | (17,043,516 | ) | | | | | (6,751,385 | ) | | | (161,100,560 | ) |
| | | | | | | | | | |
Net increase (decrease) | | | 790,090 | | | $ | 19,032,560 | | | | | | (5,300,636 | ) | | $ | (127,124,250 | ) |
| | | | | | | | | | |
| | | | | | |
| 16 | | BLACKROCK BALANCED CAPITAL FUND, INC. | | MARCH 31, 2014 | | |
| | | | |
| Notes to Financial Statements (concluded) | | | BlackRock Balanced Capital Fund, Inc. | |
| | | | | | | | | | | | | | | | | | |
| | | Six Months Ended
March 31, 2014 | | | | | Year Ended
September 30, 2013 | |
| | | Shares | | | Amount | | | | | Shares | | | Amount | |
Investor A | | | | | | | | | | | | | | | | | | |
Shares sold and automatic conversion of shares | | | 787,823 | | | $ | 19,829,869 | | | | | | 1,091,500 | | | $ | 26,552,253 | |
Shares issued to shareholders in reinvestment of dividends and distributions | | | 1,478,303 | | | | 36,070,335 | | | | | | 906,027 | | | | 20,869,711 | |
Shares redeemed | | | (1,384,482 | ) | | | (34,989,351 | ) | | | | | (3,160,000 | ) | | | (76,081,120 | ) |
| | | | | | | | | | |
Net increase (decrease) | | | 881,644 | | | $ | 20,910,853 | | | | | | (1,162,473 | ) | | $ | (28,659,156 | ) |
| | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
Investor B | | | | | | | | | | | | | | | | | | |
Shares sold | | | 4,841 | | | $ | 119,282 | | | | | | 15,539 | | | $ | 368,166 | |
Shares issued to shareholders in reinvestment of dividends and distributions | | | 14,165 | | | | 336,975 | | | | | | 10,919 | | | | 242,308 | |
Shares redeemed and automatic conversion of shares | | | (43,237 | ) | | | (1,067,479 | ) | | | | | (134,128 | ) | | | (3,134,895 | ) |
| | | | | | | | | | |
Net decrease | | | (24,231 | ) | | $ | (611,222 | ) | | | | | (107,670 | ) | | $ | (2,524,421 | ) |
| | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
Investor C | | | | | | | | | | | | | | | | | | |
Shares sold | | | 298,684 | | | $ | 6,953,767 | | | | | | 382,333 | | | $ | 8,560,685 | |
Shares issued to shareholders in reinvestment of dividends and distributions | | | 252,286 | | | | 5,653,682 | | | | | | 121,509 | | | | 2,558,974 | |
Shares redeemed | | | (229,263 | ) | | | (5,337,436 | ) | | | | | (554,790 | ) | | | (12,372,766 | ) |
| | | | | | | | | | |
Net increase (decrease) | | | 321,707 | | | $ | 7,270,013 | | | | | | (50,948 | ) | | $ | (1,253,107 | ) |
| | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
Class R | | | | | | | | | | | | | | | | | | |
Shares sold | | | 53,852 | | | $ | 1,295,283 | | | | | | 101,324 | | | $ | 2,340,471 | |
Shares issued to shareholders in reinvestment of dividends and distributions | | | 36,259 | | | | 840,846 | | | | | | 21,204 | | | | 463,410 | |
Shares redeemed | | | (58,345 | ) | | | (1,395,688 | ) | | | | | (162,165 | ) | | | (3,675,580 | ) |
| | | | | | | | | | |
Net increase (decrease) | | | 31,766 | | | $ | 740,441 | | | | | | (39,637 | ) | | $ | (871,699 | ) |
| | | | | | | | | | |
Total Net Increase (Decrease) | | | 2,000,976 | | | $ | 47,342,645 | | | | | | (6,661,364 | ) | | $ | (160,432,633 | ) |
| | | | | | | | | | |
6. Subsequent Events:
Management’s evaluation of the impact of all subsequent events on the Fund’s financial statements was completed through the date the financial statements were issued and the following item was noted:
Effective April 24, 2014, the credit agreement was terminated and a new agreement was entered into. The Fund became a party to a 364-day, $1.1 billion credit agreement, which expires in April 2015. Excluding commitments designated for a certain individual fund, the Fund can borrow up to an aggregate commitment amount of $650 million, subject to asset coverage and other limitations as specified in the agreement. The credit agreement has the following terms: a fee of 0.06% per annum on unused commitment amounts and interest at a rate equal to the higher of (a) the one-month LIBOR plus 0.80% per annum or (b) the Fed Funds rate plus 0.80% per annum on amounts borrowed.
| | | | | | |
| | | BLACKROCK BALANCED CAPITAL FUND, INC. | | MARCH 31, 2014 | | 17 |
| | |
| Portfolio Summary as of March 31, 2014 | | |
|
| Master Large Cap Core Portfolio |
| | |
| Master Large Cap Core Portfolio | | Percent of
Long-Term
Investments |
| | | | |
Google, Inc., Class A | | | 3 | % |
JPMorgan Chase & Co. | | | 3 | |
Bank of America Corp. | | | 3 | |
CVS Caremark Corp. | | | 3 | |
U.S. Bancorp | | | 3 | |
3M Co. | | | 3 | |
Comcast Corp., Class A | | | 3 | |
Merck & Co., Inc. | | | 3 | |
Pfizer, Inc. | | | 3 | |
Lowe’s Cos., Inc. | | | 3 | |
| | |
| Master Large Cap Core Portfolio | | Percent of
Long-Term
Investments |
| | | | |
Financials | | | 22 | % |
Information Technology | | | 22 | |
Health Care | | | 17 | |
Consumer Discretionary | | | 11 | |
Industrials | | | 11 | |
Energy | | | 10 | |
Materials | | | 4 | |
Consumer Staples | | | 3 | |
For Portfolio compliance purposes, the Portfolio’s sector classifications refer to any one or more of the sector sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Portfolio management. These definitions may not apply for purposes of this report, which may combine sector sub-classifications for reporting ease.
| | | | | | |
| 18 | | BLACKROCK BALANCED CAPITAL FUND, INC. | | MARCH 31, 2014 | | |
| | | | |
| Schedule of Investments March 31, 2014 | | | Master Large Cap Core Portfolio | |
| | | (Percentages shown are based on Net Assets) | |
| | | | | | | | |
| Common Stocks | |
Shares | | | Value | |
Aerospace & Defense — 1.2% | | | | | | | | |
The Boeing Co. | | | 149,100 | | | $ | 18,710,559 | |
Rockwell Collins, Inc. | | | 120,800 | | | | 9,624,136 | |
| | | | | | | | |
| | | | | | | | 28,334,695 | |
Airlines — 2.3% | | | | | | | | |
Delta Air Lines, Inc. | | | 516,700 | | | | 17,903,655 | |
United Continental Holdings, Inc. (a) | | | 777,668 | | | | 34,707,323 | |
| | | | | | | | |
| | | | | | | | 52,610,978 | |
Auto Components — 2.4% | | | | | | | | |
BorgWarner, Inc. | | | 261,500 | | | | 16,074,405 | |
TRW Automotive Holdings Corp. (a) | | | 476,239 | | | | 38,870,627 | |
| | | | | | | | |
| | | | | | | | 54,945,032 | |
Banks — 12.8% | | | | | | | | |
Bank of America Corp. | | | 3,980,206 | | | | 68,459,543 | |
Citigroup, Inc. | | | 1,163,818 | | | | 55,397,737 | |
JPMorgan Chase & Co. | | | 1,269,924 | | | | 77,097,086 | |
SunTrust Banks, Inc. | | | 794,100 | | | | 31,597,239 | |
U.S. Bancorp | | | 1,537,275 | | | | 65,887,607 | |
| | | | | | | | |
| | | | | | | | 298,439,212 | |
Biotechnology — 2.6% | | | | | | | | |
Amgen, Inc. | | | 202,200 | | | | 24,939,348 | |
Biogen Idec, Inc. (a) | | | 119,610 | | | | 36,585,111 | |
| | | | | | | | |
| | | | | | | | 61,524,459 | |
Capital Markets — 1.4% | | | | | | | | |
The Goldman Sachs Group, Inc. | | | 192,851 | | | | 31,598,636 | |
Chemicals — 1.0% | | | | | | | | |
Cabot Corp. | | | 166,574 | | | | 9,837,860 | |
The Dow Chemical Co. | | | 283,500 | | | | 13,775,265 | |
| | | | | | | | |
| | | | | | | | 23,613,125 | |
Commercial Services & Supplies — 0.7% | | | | | | | | |
Tyco International Ltd. | | | 376,000 | | | | 15,942,400 | |
Communications Equipment — 2.3% | | | | | | | | |
Brocade Communications Systems, Inc. (a) | | | 1,045,600 | | | | 11,093,816 | |
Cisco Systems, Inc. | | | 1,858,600 | | | | 41,651,226 | |
| | | | | | | | |
| | | | | | | | 52,745,042 | |
Consumer Finance — 2.2% | | | | | | | | |
Discover Financial Services | | | 899,400 | | | | 52,336,086 | |
Containers & Packaging — 1.2% | | | | | | | | |
Packaging Corp. of America | | | 396,213 | | | | 27,881,509 | |
Electronic Equipment, Instruments & Components — 1.4% | | | | | |
Avnet, Inc. | | | 339,800 | | | | 15,810,894 | |
TE Connectivity Ltd. | | | 283,200 | | | | 17,051,472 | |
| | | | | | | | |
| | | | | | | | 32,862,366 | |
Energy Equipment & Services — 4.1% | | | | | | | | |
Halliburton Co. | | | 463,100 | | | | 27,271,959 | |
| | | | | | | | |
| Common Stocks | |
Shares | | | Value | |
Energy Equipment & Services (concluded) | | | | | | | | |
Oceaneering International, Inc. | | | 208,500 | | | $ | 14,982,810 | |
Schlumberger Ltd. | | | 537,200 | | | | 52,377,000 | |
| | | | | | | | |
| | | | | | | | 94,631,769 | |
Food & Staples Retailing — 2.9% | | | | | | | | |
CVS Caremark Corp. | | | 885,825 | | | | 66,312,859 | |
Safeway, Inc. | | | 63,377 | | | | 2,341,146 | |
| | | | | | | | |
| | | | | | | | 68,654,005 | |
Health Care Equipment & Supplies — 1.4% | | | | | | | | |
Medtronic, Inc. | | | 529,700 | | | | 32,597,738 | |
Health Care Providers & Services — 5.5% | | | | | | | | |
Aetna, Inc. | | | 466,000 | | | | 34,936,020 | |
McKesson Corp. | | | 223,225 | | | | 39,414,838 | |
UnitedHealth Group, Inc. | | | 351,800 | | | | 28,844,082 | |
Universal Health Services, Inc., Class B | | | 288,150 | | | | 23,648,471 | |
| | | | | | | | |
| | | | | | | | 126,843,411 | |
Household Durables — 1.0% | | | | | | | | |
Whirlpool Corp. | | | 155,280 | | | | 23,208,149 | |
Industrial Conglomerates — 3.1% | | | | | | | | |
3M Co. | | | 470,475 | | | | 63,824,639 | |
General Electric Co. | | | 347,650 | | | | 9,000,659 | |
| | | | | | | | |
| | | | | | | | 72,825,298 | |
Insurance — 5.3% | | | | | | | | |
Allied World Assurance Co. Holdings AG (a) | | | 58,800 | | | | 6,067,572 | |
American Financial Group, Inc. | | | 99,300 | | | | 5,730,603 | |
American International Group, Inc. | | | 1,133,200 | | | | 56,671,332 | |
Genworth Financial, Inc., Class A (a) | | | 1,309,400 | | | | 23,215,662 | |
The Travelers Cos., Inc. | | | 371,200 | | | | 31,589,120 | |
| | | | | | | | |
| | | | | | | | 123,274,289 | |
Internet Software & Services — 5.2% | | | | | | | | |
AOL, Inc. (a) | | | 263,600 | | | | 11,537,772 | |
Google, Inc., Class A (a) | | | 72,315 | | | | 80,595,791 | |
VeriSign, Inc. (a) | | | 365,100 | | | | 19,682,541 | |
Yahoo!, Inc. (a) | | | 273,100 | | | | 9,804,290 | |
| | | | | | | | |
| | | | | | | | 121,620,394 | |
IT Services — 3.7% | | | | | | | | |
Cognizant Technology Solutions Corp., Class A (a) | | | 404,600 | | | | 20,476,806 | |
MasterCard, Inc., Class A | | | 720,500 | | | | 53,821,350 | |
Total System Services, Inc. | | | 383,254 | | | | 11,654,754 | |
| | | | | | | | |
| | | | | | | | 85,952,910 | |
Life Sciences Tools & Services — 1.4% | | | | | | | | |
Agilent Technologies, Inc. | | | 574,800 | | | | 32,142,816 | |
Machinery — 2.8% | | | | | | | | |
Ingersoll-Rand PLC | | | 270,400 | | | | 15,477,696 | |
| | |
| Portfolio Abbreviation |
ADR | | American Depositary Receipts |
See Notes to Financial Statements.
| | | | | | |
| | | BLACKROCK BALANCED CAPITAL FUND, INC. | | MARCH 31, 2014 | | 19 |
| | | | |
| Schedule of Investments (continued) | | | Master Large Cap Core Portfolio | |
| | | (Percentages shown are based on Net Assets) | |
| | | | | | | | |
| Common Stocks | | Shares | | | Value | |
Machinery (concluded) | | | | | | | | |
Kennametal, Inc. | | | 155,400 | | | $ | 6,884,220 | |
Oshkosh Corp. | | | 117,200 | | | | 6,899,564 | |
Parker Hannifin Corp. | | | 166,686 | | | | 19,953,981 | |
WABCO Holdings, Inc. (a) | | | 141,200 | | | | 14,905,072 | |
| | | | | | | | |
| | | | | | | | 64,120,533 | |
Media — 3.5% | | | | | | | | |
Comcast Corp., Class A | | | 1,258,100 | | | | 62,930,162 | |
Twenty-First Century Fox, Inc., Class A | | | 574,076 | | | | 18,353,210 | |
| | | | | | | | |
| | | | | | | | 81,283,372 | |
Metals & Mining — 0.4% | | | | | | | | |
Vale SA — ADR | | | 619,700 | | | | 8,570,451 | |
Multiline Retail — 0.7% | | | | | | | | |
Macy’s, Inc. | | | 263,800 | | | | 15,640,702 | |
Oil, Gas & Consumable Fuels — 5.9% | | | | | | | | |
BP PLC — ADR | | | 485,100 | | | | 23,333,310 | |
Chevron Corp. | | | 53,355 | | | | 6,344,443 | |
Exxon Mobil Corp. | | | 90,600 | | | | 8,849,808 | |
Marathon Petroleum Corp. | | | 361,588 | | | | 31,472,619 | |
PBF Energy, Inc., Class A | | | 464,807 | | | | 11,992,020 | |
Suncor Energy, Inc. | | | 1,219,940 | | | | 42,649,102 | |
Tesoro Corp. | | | 225,393 | | | | 11,402,632 | |
| | | | | | | | |
| | | | | | | | 136,043,934 | |
Paper & Forest Products — 1.1% | | | | | | | | |
Domtar Corp. | | | 226,500 | | | | 25,417,830 | |
Pharmaceuticals — 6.4% | | | | | | | | |
Eli Lilly & Co. | | | 336,275 | | | | 19,793,147 | |
Johnson & Johnson | | | 115,725 | | | | 11,367,667 | |
Merck & Co., Inc. | | | 1,053,400 | | | | 59,801,518 | |
Pfizer, Inc. | | | 1,810,375 | | | | 58,149,245 | |
| | | | | | | | |
| | | | | | | | 149,111,577 | |
Road & Rail — 0.5% | | | | | | | | |
Norfolk Southern Corp. | | | 60,500 | | | | 5,878,785 | |
Union Pacific Corp. | | | 31,000 | | | | 5,817,460 | |
| | | | | | | | |
| | | | | | | | 11,696,245 | |
| | | | | | | | |
| Common Stocks | | Shares | | | Value | |
Semiconductors & Semiconductor Equipment — 1.0% | | | | | |
Applied Materials, Inc. | | | 1,134,580 | | | $ | 23,168,123 | |
Software — 2.7% | | | | | | | | |
Activision Blizzard, Inc. | | | 386,500 | | | | 7,900,060 | |
Microsoft Corp. | | | 359,950 | | | | 14,754,351 | |
Oracle Corp. | | | 736,000 | | | | 30,109,760 | |
Symantec Corp. | | | 454,300 | | | | 9,072,371 | |
| | | | | | | | |
| | | | | | | | 61,836,542 | |
Specialty Retail — 3.7% | | | | | | | | |
Lowe’s Cos., Inc. | | | 1,182,700 | | | | 57,834,030 | |
Ross Stores, Inc. | | | 404,700 | | | | 28,956,285 | |
| | | | | | | | |
| | | | | | | | 86,790,315 | |
Technology Hardware, Storage & Peripherals — 5.4% | | | | | |
Apple, Inc. | | | 79,450 | | | | 42,643,993 | |
EMC Corp. | | | 1,576,800 | | | | 43,220,088 | |
NetApp, Inc. | | | 376,872 | | | | 13,906,577 | |
Western Digital Corp. | | | 274,290 | | | | 25,185,308 | |
| | | | | | | | |
| | | | | | | | 124,955,966 | |
Trading Companies & Distributors — 0.2% | | | | | |
MRC Global, Inc. (a) | | | 185,000 | | | | 4,987,600 | |
Total Long-Term Investments (Cost — $1,646,784,237) — 99.4% | | | | | | | 2,308,207,509 | |
| | | | | | | | |
| Short-Term Securities | | | | | | |
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.03% (b)(c) | �� | | 14,558,287 | | | | 14,558,287 | |
Total Short-Term Securities (Cost — $14,558,287) — 0.6% | | | | | | | 14,558,287 | |
Total Investments (Cost — $1,661,342,524*) — 100.0% | | | | 2,322,765,796 | |
Other Assets Less Liabilities — 0.0% | | | | | | | 646,192 | |
| | | | | | | | |
Net Assets — 100.0% | | | | | | $ | 2,323,411,988 | |
| | | | | | | | |
|
| Notes to Schedule of Investments |
| * | As of March 31, 2014, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows: |
| | | | |
Tax cost | | $ | 1,664,181,654 | |
| | | | |
Gross unrealized appreciation | | $ | 675,619,850 | |
Gross unrealized depreciation | | | (17,035,708 | ) |
| | | | |
Net unrealized appreciation | | $ | 658,584,142 | |
| | | | |
| (a) | Non-income producing security. |
| (b) | Investments in issuers considered to be an affiliate of the Portfolio during the six months ended March 31, 2014, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows: |
| | | | | | | | | | | | | | | | |
| Affiliate | | Shares/Beneficial Interest Held at
September 30, 2013 | | | Net Activity | | | Shares/Beneficial
Interest Held at
March 31, 2014 | | | Income | |
BlackRock Liquidity Funds, TempFund, Institutional Class | | | 47,573,194 | | | | (33,014,907 | ) | | | 14,558,287 | | | $ | 6,318 | |
BlackRock Liquidity Series, LLC, Money Market Series | | $ | 18,691,623 | | | $ | (18,691,623 | ) | | | — | | | $ | 4,828 | |
| (c) | Represents the current yield as of report date. |
| Ÿ | | For Portfolio compliance purposes, the Portfolio’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by the investment advisor. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease. |
See Notes to Financial Statements.
| | | | | | |
| 20 | | BLACKROCK BALANCED CAPITAL FUND, INC. | | MARCH 31, 2014 | | |
| | | | |
| Schedule of Investments (concluded) | | | Master Large Cap Core Portfolio | |
| Ÿ | | Fair Value Measurements — Various inputs are used in determining the fair value of investments. These inputs to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial statement purposes as follows: |
| | Ÿ | | Level 1 — unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Portfolio has the ability to access |
| | Ÿ | | Level 2 — other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market–corroborated inputs) |
| | Ÿ | | Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Portfolio’s own assumptions used in determining the fair value of investments) |
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety.
Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Portfolio’s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments is based on the pricing transparency of the investment and is not necessarily an indication of the risks associated with investing in those securities. For information about the Portfolio’s policy regarding valuation of investments, please refer to Note 2 of the Notes to Financial Statements.
The following table summarizes the Portfolio’s investments categorized in the disclosure hierarchy as of March 31, 2014:
| | | | | | | | | | | | | | | | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Assets: | | | | | | | | | | | | | | | | |
Investments: | | | | | | | | | | | | | | | | |
Long-Term Investments1 | | $ | 2,308,207,509 | | | | — | | | | — | | | $ | 2,308,207,509 | |
Short-Term Securities | | | 14,558,287 | | | | — | | | | — | | | | 14,558,287 | |
Total | | $ | 2,322,765,796 | | | | — | | | | — | | | $ | 2,322,765,796 | |
| | | | |
1 See above Schedule of Investments for values in each industry. | | | | | | | | | | | | | | | | |
There were no transfers between levels during the six months ended March 31, 2014.
See Notes to Financial Statements.
| | | | | | |
| | | BLACKROCK BALANCED CAPITAL FUND, INC. | | MARCH 31, 2014 | | 21 |
| | | | |
| Statement of Assets and Liabilities | | | Master Large Cap Core Portfolio | |
| | | | |
| March 31, 2014 (Unaudited) | | | |
| | | | |
| Assets | | | | |
Investments at value — unaffiliated (cost — $1,646,784,237) | | $ | 2,308,207,509 | |
Investments at value — affiliated (cost — $14,558,287) | | | 14,558,287 | |
Contributions receivable from investors | | | 1,412,584 | |
Dividends receivable — unaffiliated | | | 2,343,491 | |
Dividends receivable — affiliated | | | 1,426 | |
Prepaid expenses | | | 18,173 | |
| | | | |
Total assets | | | 2,326,541,470 | |
| | | | |
| | | | |
| Liabilities | | | | |
Withdrawals payable to investors | | | 2,077,875 | |
Investment advisory fees payable | | | 926,116 | |
Directors’ fees payable | | | 16,852 | |
Other affiliates payable | | | 5,734 | |
Other accrued expenses payable | | | 102,905 | |
| | | | |
Total liabilities | | | 3,129,482 | |
| | | | |
Net Assets | | $ | 2,323,411,988 | |
| | | | |
| | | | |
| Net Assets Consist of | | | | |
Investors’ capital | | $ | 1,661,988,716 | |
Net unrealized appreciation/depreciation | | | 661,423,272 | |
| | | | |
Net Assets | | $ | 2,323,411,988 | |
| | | | |
See Notes to Financial Statements.
| | | | | | |
| 22 | | BLACKROCK BALANCED CAPITAL FUND, INC. | | MARCH 31, 2014 | | |
| | | | |
| Statement of Operations | | | Master Large Cap Core Portfolio | |
| | | | |
| Six Months Ended March 31, 2014 (Unaudited) | | | |
| | | | |
| Investment Income | | | | |
Dividends — unaffiliated | | $ | 18,147,918 | |
Other income — affiliated | | | 159,387 | |
Foreign taxes withheld | | | (95,431 | ) |
Dividends — affiliated | | | 6,318 | |
Securities lending — affiliated — net | | | 4,828 | |
| | | | |
Total income | | | 18,223,020 | |
| | | | |
| | | | |
| Expenses | | | | |
Investment advisory | | | 5,469,662 | |
Accounting services | | | 211,440 | |
Professional | | | 36,427 | |
Directors | | | 35,111 | |
Custodian | | | 30,505 | |
Printing | | | 2,530 | |
Miscellaneous | | | 20,296 | |
| | | | |
Total expenses | | | 5,805,971 | |
Less fees waived by Manager | | | (12,069 | ) |
| | | | |
Total expenses after fees waived | | | 5,793,902 | |
| | | | |
Net investment income | | | 12,429,118 | |
| | | | |
| | | | |
| Realized and Unrealized Gain (Loss) | | | | |
Net realized gain from investments | | | 172,417,389 | |
Net change in unrealized appreciation/depreciation on investments | | | 134,670,655 | |
| | | | |
Total realized and unrealized gain | | | 307,088,044 | |
| | | | |
Net Increase in Net Assets Resulting from Operations | | $ | 319,517,162 | |
| | | | |
See Notes to Financial Statements.
| | | | | | |
| | | BLACKROCK BALANCED CAPITAL FUND, INC. | | MARCH 31, 2014 | | 23 |
| | | | |
| Statements of Changes in Net Assets | | | Master Large Cap Core Portfolio | |
| | | | | | | | |
| Increase (Decrease) in Net Assets: | | Six Months
Ended
March 31,
2014
(Unaudited) | | | Year Ended
September 30,
2013 | |
| | | | | | | | |
| Operations | | | | | | | | |
Net investment income | | $ | 12,429,118 | | | $ | 29,505,366 | |
Net realized gain | | | 172,417,389 | | | | 284,648,685 | |
Net change in unrealized appreciation/depreciation | | | 134,670,655 | | | | 106,688,133 | |
| | | | |
Net increase in net assets resulting from operations | | | 319,517,162 | | | | 420,842,184 | |
| | | | |
| | | | | | | | |
| Capital Transactions | | | | | | | | |
Proceeds from contributions | | | 63,665,441 | | | | 195,011,707 | |
Value of withdrawals | | | (368,667,010 | ) | | | (625,808,249 | ) |
| | | | |
Net decrease in net assets derived from capital transactions | | | (305,001,569 | ) | | | (430,796,542 | ) |
| | | | |
| | | | | | | | |
| Net Assets | | | | | | | | |
Total increase (decrease) in net assets | | | 14,515,593 | | | | (9,954,358 | ) |
Beginning of period | | | 2,308,896,395 | | | | 2,318,850,753 | |
| | | | |
End of period | | $ | 2,323,411,988 | | | $ | 2,308,896,395 | |
| | | | |
See Notes to Financial Statements.
| | | | | | |
| 24 | | BLACKROCK BALANCED CAPITAL FUND, INC. | | MARCH 31, 2014 | | |
| | | | |
| Financial Highlights | | | Master Large Cap Core Portfolio | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Six Months
Ended
March 31,
2014 (Unaudited) | | | Year Ended September 30, | | | Period
November 1,
2008 to
September 30, 2009 | | | Year Ended
October 31, 2008 | |
| | | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | |
| Total Investment Return | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total investment return | | | 14.61 | %1 | | | 20.39 | % | | | 29.97 | % | | | (1.61 | )% | | | 6.16 | % | | | 12.63 | %1,2 | | | (38.84 | )% |
| | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Ratios to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses | | | 0.50 | %3 | | | 0.50 | % | | | 0.50 | % | | | 0.49 | % | | | 0.49 | % | | | 0.50 | %3 | | | 0.50 | % |
| | | | |
Net investment income | | | 1.07 | %3 | | | 1.29 | % | | | 1.67 | % | | | 1.13 | % | | | 1.11 | % | | | 1.56 | %3 | | | 0.93 | % |
| | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | $ | 2,323,412 | | | $ | 2,308,896 | | | $ | 2,318,851 | | | $ | 2,306,714 | | | $ | 3,209,486 | | | $ | 3,946,322 | | | $ | 2,843,515 | |
| | | | |
Portfolio turnover | | | 15 | % | | | 50 | % | | | 128 | % | | | 129 | % | | | 173 | % | | | 168 | % | | | 109 | % |
| | | | |
| | 1 | Aggregate total investment return. |
| | 2 | Includes proceeds received from a settlement of litigation, which impacted the Portfolio’s total investment return. Not including these proceeds, the Portfolio’s total investment return would have been 12.39%. |
See Notes to Financial Statements.
| | | | | | |
| | | BLACKROCK BALANCED CAPITAL FUND, INC. | | MARCH 31, 2014 | | 25 |
| | | | |
| Notes to Financial Statements (Unaudited) | | | Master Large Cap Core Portfolio | |
1. Organization:
Master Large Cap Core Portfolio (the “Portfolio”) is a series of Master Large Cap Series LLC (the “Master LLC”). The Master LLC is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company and is organized as a Delaware limited liability company. The Portfolio is classified as diversified. The Limited Liability Company Agreement of the Master LLC permits the Board of Directors of the Master LLC (the “Board”) to issue non-transferable interests in the Master LLC, subject to certain limitations.
The Portfolio, together with certain other registered investment companies advised by the Manager or its affiliates, is included in a complex of open-end funds referred to as the Equity-Liquidity Complex.
2. Significant Accounting Policies:
The Portfolio’s financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements and the reported amount of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. The following is a summary of significant accounting policies followed by the Portfolio:
Valuation: U.S. GAAP defines fair value as the price the Portfolio would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Portfolio determines the fair value of its financial instruments at market value using independent dealers or pricing services under policies approved by the Board. The BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) is the committee formed by management to develop global pricing policies and procedures and to provide oversight of the pricing function for the Portfolio for all financial instruments.
Equity investments traded on a recognized securities exchange or the NASDAQ Stock Market (“NASDAQ”) are valued at the last reported sale price that day or the NASDAQ official closing price, if applicable. For equity investments traded on more than one exchange, the last reported sale price on the exchange where the stock is primarily traded is used. Equity investments traded on a recognized exchange for which there were no sales on that day are valued at the last available bid (long positions) or ask (short positions) price. Investments in open-end registered investment companies are valued at NAV each business day.
The Portfolio values its investment in BlackRock Liquidity Series, LLC, Money Market Series (the “Money Market Series”) at fair value, which is ordinarily based upon its pro rata ownership in the underlying fund’s net assets. The Money Market Series seeks current income consistent with maintaining liquidity and preserving capital. Although the Money Market Series is not registered under the 1940 Act, its investments will follow the parameters of investments by a money market fund that is subject to Rule 2a-7 under the 1940 Act. The Portfolio may withdraw up to 25% of its investment daily, although the manager of the Money Market
Series, in its sole discretion, may permit an investor to withdraw more than 25% on any one day.
In the event that the application of these methods of valuation results in a price for an investment which is deemed not to be representative of the market value of such investment or if a price is not available, the investment will be valued by the Global Valuation Committee, or its delegate, in accordance with a policy approved by the Board as reflecting fair value (“Fair Value Assets”). When determining the price for Fair Value Assets, the Global Valuation Committee, or its delegate, seeks to determine the price that the Portfolio might reasonably expect to receive from the current sale of that asset in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the Global Valuation Committee, or its delegate, deems relevant consistent with the principles of fair value measurement. The pricing of all Fair Value Assets is subsequently reported to the Board or a committee thereof on a quarterly basis.
Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of business on the NYSE. Occasionally, events affecting the values of such instruments may occur between the foreign market close and the close of business on the NYSE that may not be reflected in the computation of the Portfolio’s net assets. If events (e.g., a company announcement, market volatility or a natural disaster) occur during such periods that are expected to materially affect the value of such instruments, those instruments may be Fair Value Assets and valued at their fair value, as determined in good faith by the Global Valuation Committee, or its delegate, using a pricing service and/or policies approved by the Board. Each business day, the Portfolio uses a pricing service to assist with the valuation of certain foreign exchange-traded equity securities and foreign exchange-traded and OTC options (the “Systematic Fair Value Price”). Using current market factors, the Systematic Fair Value Price is designed to value such foreign securities and foreign options at fair value as of the close of business on the NYSE, which follows the close of the local markets.
Foreign Currency: The Portfolio’s books and records are maintained in U.S. dollars. Purchases and sales of investment securities are recorded at the rates of exchange prevailing on the respective date of such transactions. Generally, when the U.S. dollar rises in value against a foreign currency, the Portfolio’s investments denominated in that currency will lose value because that currency is worth fewer U.S. dollars; the opposite effect occurs if the U.S. dollar falls in relative value.
The Portfolio does not isolate the portion of the results of operations arising as a result of changes in the foreign exchange rates from the changes in the market prices of investments held or sold for financial reporting purposes. Accordingly, the effects of changes in foreign currency exchange rates on investments are not segregated in the Statement of Operations from the effects of changes in market prices of those investments but are included as a component of net realized and unrealized gain (loss) from investments. The Portfolio reports realized currency gains (losses) on foreign currency related transactions as components of net realized gain (loss) for financial reporting purposes, whereas such components are generally treated as ordinary income for federal income tax purposes.
| | | | | | |
| 26 | | BLACKROCK BALANCED CAPITAL FUND, INC. | | MARCH 31, 2014 | | |
| | | | |
| Notes to Financial Statements (continued) | | | Master Large Cap Core Portfolio | |
Investment Transactions and Investment Income: For financial reporting purposes, investment transactions are recorded on the dates the transactions are entered into (the trade dates). Realized gains and losses on investment transactions are determined on the identified cost basis. Dividend income is recorded on the ex-dividend dates. Dividends from foreign securities where the ex-dividend date may have passed are subsequently recorded when the Portfolio is informed of the ex-dividend date. Under the applicable foreign tax laws, a withholding tax at various rates may be imposed on capital gains, dividends and interest. Upon notification from issuers, some of the dividend income received from a real estate investment trust may be redesignated as a reduction of cost of the related investment and/or realized gain.
Income Taxes: The Portfolio is classified as a partnership for federal income tax purposes. As such, each investor in the Portfolio is treated as the owner of its proportionate share of net assets, income, expenses and realized and unrealized gains and losses of the Portfolio. Therefore, no federal income tax provision is required. It is intended that the Portfolio’s assets will be managed so an investor in the Portfolio can satisfy the requirements of Subchapter M of the Internal Revenue Code of 1986, as amended.
The Portfolio files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Portfolio’s U.S. federal tax returns remains open for each of the four years ended September 30, 2013. The statutes of limitations on the Portfolio’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.
Management has analyzed tax laws and regulations and their application to the Portfolio’s facts and circumstances and does not believe there are any uncertain tax positions that require recognition of a tax liability.
Other: Expenses directly related to the Portfolio are charged to the Portfolio. Other operating expenses shared by several funds are pro rated among those funds on the basis of relative net assets or other appropriate methods.
The Portfolio has an arrangement with the custodian whereby fees may be reduced by credits earned on uninvested cash balances, which, if applicable, are shown as fees paid indirectly in the Statement of Operations. The custodian imposes fees on overdrawn cash balances, which can be offset by accumulated credits earned or may result in additional custody charges.
3. Securities and Other Investments:
Securities Lending: The Portfolio may lend its securities to approved borrowers, such as brokers, dealers and other financial institutions. The borrower pledges collateral consisting of cash, an irrevocable letter of credit issued by a bank, or securities issued or guaranteed by the U.S. government. The initial collateral received by the Portfolio is required to have a value of at least 102% of the current value of the loaned securities for securities traded on U.S. exchanges and a value of at least 105% for all other securities. The collateral is maintained thereafter, at a value equal to at least 100% of the current market value of the securities on
loan. The market value of the loaned securities is determined at the close of each business day of the Portfolio and any additional required collateral is delivered to the Portfolio on the next business day. During the term of the loan, the Portfolio earns dividend or interest income on the securities loaned but does not receive interest income on the securities received as collateral. Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions.
The market value of securities on loan and the value of the related collateral are shown separately in the Statement of Assets and Liabilities as a component of investments at value, and collateral on securities loaned at value, respectively. As of March 31, 2014, any securities on loan were collateralized by cash. The cash collateral invested by the securities lending agent, BlackRock Investment Management, LLC (“BIM”), if any, is disclosed in the Schedule of Investments.
Securities lending transactions are entered into by the Portfolio under Master Securities Lending Agreements (each, an “MSLA”) which provide the right, in the event of default (including bankruptcy or insolvency), for the non-defaulting party to liquidate the collateral and calculate a net exposure to the defaulting party or request additional collateral. In the event that a borrower defaults, the Portfolio, as lender, would offset the market value of the collateral received against the market value of the securities loaned. The value of the collateral is typically greater than that of the market value of the securities loaned, leaving the lender with a net amount payable to the defaulting party. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of an MSLA counterparty’s bankruptcy or insolvency. Under the MSLA, the borrower can resell or re-pledge the loaned securities, and the Portfolio can reinvest cash collateral, or, upon an event of default, resell or re-pledge the collateral.
The risks of securities lending include the risk that the borrower may not provide additional collateral when required or may not return the securities when due. To mitigate these risks, the Portfolio benefits from a borrower default indemnity provided by BIM. BIM’s indemnity allows for full replacement of the securities lent. The Portfolio could suffer a loss if the value of an investment purchased with cash collateral falls below the market value of loaned securities or if the value of an investment purchased with cash collateral falls below the value of the original cash collateral received.
4. Investment Advisory Agreement and Other Transactions with Affiliates:
The PNC Financial Services Group, Inc. is the largest stockholder and an affiliate, for 1940 Act purposes, of BlackRock.
The Master LLC, on behalf of the Portfolio, entered into an Investment Advisory Agreement with BlackRock Advisors, LLC (the “Manager”), the Portfolio’s investment advisor, an indirect, wholly owned subsidiary of BlackRock, to provide investment advisory and administration services. The Manager is responsible for the management of the Portfolio and provides the necessary personnel, facilities, equipment and certain other
| | | | | | |
| | | BLACKROCK BALANCED CAPITAL FUND, INC. | | MARCH 31, 2014 | | 27 |
| | | | |
| Notes to Financial Statements (continued) | | | Master Large Cap Core Portfolio | |
services necessary to the operations of the Portfolio. For such services, the Portfolio pays the Manager a monthly fee based on a percentage of the Portfolio’s average daily net assets at the following annual rates:
| | | | |
| Average Daily Net Assets | | Rate | |
Not exceeding $1 Billion | | | 0.50 | % |
In excess of $1 Billion, but not exceeding $5 Billion | | | 0.45 | % |
In excess of $5 Billion | | | 0.40 | % |
The Manager voluntarily agreed to waive its investment advisory fees by the amount of investment advisory fees the Portfolio pays to the Manager indirectly through its investment in affiliated money market funds. However, the Manager does not waive its investment advisory fees by the amount of investment advisory fees paid in connection with the Portfolio’s investment in other affiliated investment companies, if any. For the six months ended March 31, 2014, $12,069 is shown as fees waived by Manager in the Statement of Operations.
The Manager entered into a sub-advisory agreement with BIM, an affiliate of the Manager, with respect to the Portfolio. The Manager pays BIM, for services it provides, a monthly fee that is a percentage of the investment advisory fees paid by the Portfolio to the Manager.
For the six months ended March 31, 2014, the Portfolio reimbursed the Manager $12,036 for certain accounting services, which is included in accounting services in the Statement of Operations.
The U.S. Securities and Exchange Commission has issued an exemptive order which permits BIM, an affiliate of the Manager, to serve as securities lending agent for the Portfolio, subject to applicable conditions. As securities lending agent, BIM bears all operational costs directly related to securities lending. The Portfolio is responsible for expenses in connection with the investment of cash collateral received for securities on loan (the “collateral investment expenses”). The cash collateral is invested in a private investment company managed by the Manager or its affiliates. However, BIM has agreed to cap the collateral investment expenses of the private investment company to an annual rate of 0.04%. The investment advisor to the private investment company will not charge any advisory fees with respect to shares purchased by the Portfolio.
Securities lending income is equal to the total of income earned from the reinvestment of cash collateral, net of fees and other payments to and from borrowers of securities, and less the collateral investment expenses. The Portfolio retains a portion of securities lending income and remits a remaining portion to BIM as compensation for its services as securities lending agent. Pursuant to the securities lending agreement effective February 1, 2014, BIM may lend securities only when the difference between the borrower rebate rate and the risk free rate exceeds a certain level (such securities, the “specials only securities”).
Pursuant to a securities lending agreement effective February 1, 2014, the Portfolio retains 80% of securities lending income. In addition, commencing the business day following the date that the aggregate securities lending income earned across the Equity-Liquidity Complex in a calendar year exceeds the aggregate securities lending income earned across the Equity-Liquidity Complex through the lending of specials only
securities in the calendar year 2013, the Portfolio, pursuant to the securities lending agreement, will retain for the remainder of the calendar year securities lending income in an amount equal to 85% of securities lending income. Prior to February 1, 2014, the Portfolio retained 65% of securities lending income and paid a fee to BIM equal to 35% of such income. The share of securities lending income earned by the Portfolio is shown as securities lending — affiliated — net in the Statement of Operations. For the six months ended March 31, 2014, the Portfolio paid BIM $2,570 for securities lending agent services.
The Portfolio recorded a payment from an affiliate to compensate for foregone securities lending revenue in the amount of $159,387, which is shown as other income — affiliated in the Statement of Operations.
Certain officers and/or directors of the Master LLC are officers and/or directors of BlackRock or its affiliates.
5. Purchases and Sales:
Purchases and sales of investments, excluding short-term securities, for the six months ended March 31, 2014, were $343,715,364 and $600,582,627, respectively.
6. Bank Borrowings:
The Master LLC, on behalf of the Portfolio, along with certain other funds managed by the Manager and its affiliates (“Participating Funds”), is a party to a 364-day, $800 million credit agreement with a group of lenders, under which the Portfolio may borrow to fund shareholder redemptions. The agreement expires in April 2014. Excluding commitments designated for a certain individual fund, other Participating Funds, including the Portfolio, can borrow up to an aggregate commitment amount of $500 million, subject to asset coverage and other limitations as specified in the agreement. The credit agreement has the following terms: a fee of 0.065% per annum on unused commitment amounts and interest at a rate equal to the higher of (a) the one-month LIBOR plus 0.80% per annum or (b) the Fed Funds rate plus 0.80% per annum on amounts borrowed. Participating Funds paid administration and arrangement fees, which, along with commitment fees, were allocated among such funds based upon portions of the aggregate commitment available to them and relative net assets of Participating Funds. The Portfolio did not borrow under the credit agreement during the six months ended March 31, 2014.
7. Concentration, Market and Credit Risk:
In the normal course of business, the Portfolio invests in securities and enter into transactions where risks exist due to fluctuations in the market (market risk) or failure of the issuer of a security to meet all its obligations (issuer credit risk). The value of securities held by the Portfolio may decline in response to certain events, including those directly involving the issuers whose securities are owned by the Portfolio; conditions affecting the general economy; overall market changes; local, regional or global political, social or economic instability; and currency and interest rate and price fluctuations. Similar to issuer credit risk, the Portfolio may be exposed to counterparty credit risk, or the risk that an entity with which the Portfolio has unsettled or open transactions may fail to or be unable to perform on its commitments. The Portfolio manages
| | | | | | |
| 28 | | BLACKROCK BALANCED CAPITAL FUND, INC. | | MARCH 31, 2014 | | |
| | | | |
| Notes to Financial Statements (concluded) | | | Master Large Cap Core Portfolio | |
counterparty credit risk by entering into transactions only with counterparties that they believe have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Portfolio to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Portfolio’s exposure to market, issuer and counterparty credit risks with respect to these financial assets is generally approximated by its value recorded in the Statement of Assets and Liabilities, less any collateral held by the Portfolio.
As of March 31, 2014, the Portfolio invested a significant portion of its assets in securities in the Information Technology and Financials sectors. Changes in economic conditions affecting the Information Technology and Financials sectors would have a greater impact on the Portfolio and could affect the value, income and/or liquidity of positions in such securities.
8. Subsequent Events:
Management’s evaluation of the impact of all subsequent events on the Portfolio’s financial statements was completed through the date the financial statements were issued and the following items were noted:
Effective April 24, 2014, the credit agreement was terminated and a new agreement was entered into. The Portfolio became a party to a 364- day, $1.1 billion credit agreement, which expires in April 2015. Excluding commitments designated for a certain individual fund, the Participating Funds can borrow up to an aggregate commitment amount of $650 million, subject to asset coverage and other limitations as specified in the agreement. The credit agreement has the following terms: a fee of 0.06% per annum on unused commitment amounts and interest at a rate equal to the higher of (a) the one-month LIBOR plus 0.80% per annum or (b) the Fed Funds rate plus 0.80% per annum on amounts borrowed.
| | | | | | |
| | | BLACKROCK BALANCED CAPITAL FUND, INC. | | MARCH 31, 2014 | | 29 |
| | |
| Officers and Directors of Master Large Cap Series LLC | | |
Robert W. Forbes, Co-Chairman of the Board and Director
Rodney D. Johnson, Co-Chairman of the Board and Director
Paul L. Audet, Director
David O. Beim, Director
Henry Gabbay, Director
Dr. Martina S. Horner, Director
Herbert I. London, Director
Ian A. MacKinnon, Director
Cynthia A. Montgomery, Director
Joseph P. Platt, Director
Robert C. Robb, Jr., Director
Toby Rosenblatt, Director
Kenneth L. Urish, Director
Frederick W. Winter, Director
John M. Perlowski, President and Chief Executive Officer
Brendan Kyne, Vice President
Neal Andrews, Chief Financial Officer
Jay Fife, Treasurer
Brian Kindelan, Chief Compliance Officer and Anti-Money Laundering Officer
Benjamin Archibald, Secretary
Investment Advisor
BlackRock Advisors, LLC
Wilmington, DE 19809
Sub-Advisor
BlackRock Investment Management, LLC
Princeton, NJ 08540
Accounting Agent and Transfer Agent
BNY Mellon Investment Servicing (US) Inc.
Wilmington, DE 19809
Custodian
Brown Brothers Harriman & Co.
Boston, MA 02109
Distributor
BlackRock Investments, LLC
New York, NY 10022
Legal Counsel
Sidley Austin LLP
New York, NY 10019
Independent Registered Public Accounting Firm
Deloitte & Touche LLP
Philadelphia, PA 19103
Address of the Corporation/Master LLC
100 Bellevue Parkway
Wilmington, DE 19809
| | | | | | |
| 30 | | BLACKROCK BALANCED CAPITAL FUND, INC. | | MARCH 31, 2014 | | |
| | |
| Master Portfolio Information as of March 31, 2014 | | |
|
| Master Total Return Portfolio |
| | |
| Portfolio Composition | | Percent of
Long-Term
Investments |
| | | | |
U.S. Government Sponsored Agency Securities | | | 33 | % |
Corporate Bonds | | | 19 | |
U.S. Treasury Obligations | | | 16 | |
Asset-Backed Securities | | | 13 | |
Non-Agency Mortgage-Backed Securities | | | 9 | |
Foreign Government Obligations | | | 4 | |
Taxable Municipal Bonds | | | 3 | |
Floating Rate Loan Interests | | | 1 | |
Preferred Securities | | | 1 | |
Foreign Agency Obligations | | | 1 | |
| | |
| Credit Quality Allocation1 | | Percent of
Long-Term
Investments |
| | | | |
AAA/Aaa2 | | | 41 | % |
AA/Aa | | | 25 | |
A | | | 12 | |
BBB/Baa | | | 9 | |
BB/Ba | | | 4 | |
B | | | 2 | |
CCC/Caa | | | 1 | |
Not Rated | | | 6 | |
| 1 | Using the higher of Standard & Poor’s (“S&P’s”) or Moody’s Investor Service ratings. |
| 2 | Includes U.S. Government Sponsored Agency Securities which are deemed AAA/Aaa by the investment advisor. |
| | | | | | |
| | | BLACKROCK BALANCED CAPITAL FUND, INC. | | MARCH 31, 2014 | | 31 |
| | | | |
| Consolidated Schedule of Investments March 31, 2014 (Unaudited) | | | Master Total Return Portfolio | |
| | | (Percentages shown are based on Net Assets) | |
| | | | | | | | | | | | |
| Asset-Backed Securities | | Par (000) | | | Value | |
ACE Securities Corp. Home Equity Loan Trust: | | | | | | | | | | | | |
Series 2003-OP1, Class A2, 0.87%, 12/25/33 (a) | | | USD | | | | 581 | | | $ | 526,592 | |
Series 2006-CW1, Class A2C, 0.29%, 7/25/36 (a) | | | | | | | 1,458 | | | | 1,056,303 | |
American Credit Acceptance Receivables Trust, Series 2014-1, Class A, 1.14%, 3/12/18 (b) | | | | | | | 4,139 | | | | 4,140,035 | |
AmeriCredit Automobile Receivables Trust: | | | | | | | | | | | | |
Series 2011-5, Class C, 3.44%, 10/08/17 | | | | | | | 4,050 | | | | 4,179,094 | |
Series 2012-2, Class C, 2.64%, 10/10/17 | | | | | | | 3,080 | | | | 3,165,211 | |
Series 2012-3, Class C, 2.42%, 5/08/18 | | | | | | | 2,880 | | | | 2,951,994 | |
Series 2012-4, Class B, 1.31%, 11/08/17 | | | | | | | 1,825 | | | | 1,836,935 | |
Series 2012-4, Class C, 1.93%, 8/08/18 | | | | | | | 2,865 | | | | 2,894,773 | |
Series 2012-5, Class C, 1.69%, 11/08/18 | | | | | | | 5,040 | | | | 5,068,446 | |
Series 2013-4, Class B, 1.66%, 9/10/18 | | | | | | | 1,280 | | | | 1,284,218 | |
Series 2013-4, Class C, 2.72%, 9/09/19 | | | | | | | 780 | | | | 797,966 | |
Series 2013-4, Class D, 3.31%, 10/08/19 | | | | | | | 1,830 | | | | 1,888,458 | |
Series 2013-5, Class B, 1.52%, 1/08/19 | | | | | | | 1,360 | | | | 1,352,693 | |
Series 2013-5, Class C, 2.29%, 11/08/19 | | | | | | | 725 | | | | 727,980 | |
Series 2014-1, Class B, 1.68%, 7/08/19 | | | | | | | 2,722 | | | | 2,713,687 | |
Arianna SPV Srl, Series 1, Class A, 3.60%, 10/20/30 | | | EUR | | | | 2,690 | | | | 3,844,869 | |
AUTO ABS, Series 2012-2, Class A, 2.80%, 4/27/25 | | | | | | | 2,890 | | | | 4,016,459 | |
Battalion CLO IV Ltd., Series 2013-4A, Class A1, 1.64%, 10/22/25 (a)(b) | | | USD | | | | 4,715 | | | | 4,681,995 | |
Bear Stearns Asset-Backed Securities I Trust, Series 2006-HE10, Class 21A1, 0.22%, 12/25/36 (a) | | | | | | | 828 | | | | 817,642 | |
Benefit Street Partners CLO II Ltd., Series 2013-IIA, Class A1, 1.47%, 7/15/24 (a)(b) | | | | | | | 2,090 | | | | 2,055,350 | |
BlueMountain CLO Ltd., Series 2012-2A, Class B1, 2.30%, 11/20/24 (a)(b) | | | | | | | 3,150 | | | | 3,126,368 | |
Capital Auto Receivables Asset Trust, Series 2013-1, Class B, 1.29%, 4/20/18 | | | | | | | 3,660 | | | | 3,653,994 | |
Carlyle Global Market Strategies CLO Ltd., Series 2012-4A, Class A, 1.63%, 1/20/25 (a)(b) | | | | | | | 6,630 | | | | 6,589,292 | |
Cavalry CLO II, Series 2A, Class B1,
2.24%, 1/17/24 (a)(b) | | | | | | | 7,090 | | | | 6,932,406 | |
Cent CLO Ltd., Series 2013-19A, Class A1A,
1.57%, 10/29/25 (a)(b) | | | | | | | 5,055 | | | | 5,001,411 | |
| | | | | | | | | | | | |
| Asset-Backed Securities | | Par (000) | | | Value | |
Chesapeake Funding LLC: | | | | | | | | | | | | |
Series 2012-1A, Class B, 1.76%, 11/07/23 (a)(b) | | | USD | | | | 2,630 | | | $ | 2,662,736 | |
Series 2012-1A, Class C, 2.16%, 11/07/23 (a)(b) | | | | | | | 1,690 | | | | 1,710,978 | |
CHLUPA Trust, Series 2013-VM, Class A,
3.33%, 8/15/20 (b) | | | | | | | 5,861 | | | | 5,867,839 | |
Chrysler Capital Auto Receivables Trust: | | | | | | | | | | | | |
Series 2013-BA, Class A2, 0.56%, 12/15/16 (b) | | | | | | | 4,485 | | | | 4,486,595 | |
Series 2013-BA, Class A3, 0.85%, 5/15/18 (b) | | | | | | | 3,920 | | | | 3,921,838 | |
Series 2013-BA, Class A4, 1.27%, 3/15/19 (b) | | | | | | | 2,710 | | | | 2,709,292 | |
Series 2013-BA, Class B, 1.78%, 6/17/19 (b) | | | | | | | 1,240 | | | | 1,239,883 | |
Series 2013-BA, Class C, 2.24%, 9/16/19 (b) | | | | | | | 1,285 | | | | 1,285,360 | |
Series 2013-BA, Class D, 2.89%, 10/15/20 (b) | | | | | | | 1,260 | | | | 1,265,064 | |
Series 2014-AA, Class B, 1.76%, 8/15/19 (b) | | | | | | | 1,435 | | | | 1,427,640 | |
Series 2014-AA, Class C, 2.28%, 11/15/19 (b) | | | | | | | 1,850 | | | | 1,840,306 | |
CIFC Funding Ltd.: | | | | | | | | | | | | |
Series 2012-3A, Class A1L, 1.62%, 1/29/25 (a)(b) | | | | | | | 5,000 | | | | 4,973,553 | |
Series 2012-3A, Class A2L, 2.49%, 1/29/25 (a)(b) | | | | | | | 4,480 | | | | 4,479,973 | |
Countrywide Asset-Backed Certificates: | | | | | | | | | | | | |
Series 2003-BC3, Class A2, 0.77%, 9/25/33 (a) | | | | | | | 672 | | | | 634,540 | |
Series 2004-5, Class A, 1.05%, 10/25/34 (a) | | | | | | | 752 | | | | 739,091 | |
Series 2006-17, Class 2A2, 0.30%, 3/25/47 (a) | | | | | | | 861 | | | | 714,714 | |
Credit Acceptance Auto Loan Trust: | | | | | | | | | | | | |
Series 2012-2A, Class A, 1.52%, 3/16/20 (b) | | | | | | | 4,165 | | | | 4,187,195 | |
Series 2013-1A, Class A, 1.21%, 10/15/20 (b) | | | | | | | 2,580 | | | | 2,581,112 | |
Series 2013-2A, Class A, 1.50%, 4/15/21 (b) | | | | | | | 2,475 | | | | 2,483,467 | |
CT CDO IV Ltd., Series 2006-4A, Class A1,
0.47%, 10/20/43 (a)(b) | | | | | | | 3,415 | | | | 3,314,125 | |
CVC Cordatus Loan Fund III Ltd., Series 3X, Class A1, 0.00%, 7/08/27 (a) | | | EUR | | | | 1,640 | | | | 2,252,580 | |
| | | | | | | | | | |
ABS | | Asset-Backed Security | | EURIBOR | | Euro Interbank Offered Rate | | MXN | | Mexican Peso |
AUD | | Australian Dollar | | FKA | | Formerly Known As | | OTC | | Over-the-counter |
BRL | | Brazilian Real | | GBP | | British Pound | | PIK | | Payment-in-kind |
CAD | | Canadian Dollar | | GO | | General Obligation | | PLN | | Polish Zloty |
CDO | | Collateralized Debt Obligation | | HUF | | Hungarian Forint | | RB | | Revenue Bonds |
CHF | | Swiss Franc | | INR | | Indian Rupee | | TBA | | To-be-announced |
CLO | | Collateralized Loan Obligation | | JPY | | Japanese Yen | | USD | | U.S. Dollar |
ETF | | Exchange-Traded Fund | | KRW | | South Korean Won | | ZAR | | South African Rand |
EUR | | Euro | | LIBOR | | London Interbank Offered Rate | | | | |
See Notes to Consolidated Financial Statements.
| | | | | | |
| 32 | | BLACKROCK BALANCED CAPITAL FUND, INC. | | MARCH 31, 2014 | | |
| | | | |
| Consolidated Schedule of Investments (continued) | | | Master Total Return Portfolio | |
| | | (Percentages shown are based on Net Assets) | |
| | | | | | | | | | | | |
| Asset-Backed Securities | | Par (000) | | | Value | |
DT Auto Owner Trust: | | | | | | | | | | | | |
Series 2012-1A, Class C, 3.38%, 10/16/17 (b) | | | USD | | | | 1,323 | | | $ | 1,326,849 | |
Series 2012-1A, Class D, 4.94%, 7/16/18 (b) | | | | | | | 3,885 | | | | 3,978,496 | |
Series 2012-2A, Class B, 1.85%, 4/17/17 (b) | | | | | | | 400 | | | | 400,168 | |
Series 2012-2A, Class C, 2.72%, 4/17/17 (b) | | | | | | | 200 | | | | 201,169 | |
ECP CLO Ltd., Series 2012-4A, Class A1,
1.58%, 6/19/24 (a)(b) | | | | | | | 4,910 | | | | 4,898,069 | |
Fannie Mae REMIC Trust, Series 2003-W5, Class A, 0.38%, 4/25/33 (a) | | | | | | | 6 | | | | 5,759 | |
Ford Credit Floorplan Master Owner Trust: | | | | | | | | | | | | |
Series 2012-2, Class C, 2.86%, 1/15/19 | | | | | | | 1,030 | | | | 1,068,031 | |
Series 2012-2, Class D, 3.50%, 1/15/19 | | | | | | | 1,820 | | | | 1,913,543 | |
Series 2012-4, Class D, 2.09%, 9/15/16 | | | | | | | 3,710 | | | | 3,730,309 | |
GSAA Home Equity Trust, Series 2006-5, Class 2A1, 0.22%, 3/25/36 (a) | | | | | | | 27 | | | | 16,403 | |
GT Loan Financing I Ltd., Series 2013-1A, Class A, 1.51%, 10/28/24 (a)(b) | | | | | | | 5,105 | | | | 5,078,964 | |
HLSS Servicer Advance Receivables Backed Notes: | | | | | | | | | | | | |
Series 2012-T2, Class A2, 1.99%, 10/15/45 (b) | | | | | | | 6,940 | | | | 6,988,580 | |
Series 2013-T2, Class A2, 1.15%, 5/16/44 (b) | | | | | | | 1,445 | | | | 1,440,087 | |
Series 2013-T4, Class AT4, 1.18%, 8/15/44 (b) | | | | | | | 7,545 | | | | 7,541,227 | |
Series 2013-T6, Class AT6, 1.29%, 9/15/44 (b) | | | | | | | 5,610 | | | | 5,618,415 | |
HLSS Servicer Advance Receivables Trust: | | | | | | | | | | | | |
Series 2013-T1, Class A2, 1.50%, 1/16/46 (b) | | | | | | | 11,230 | | | | 11,207,540 | |
Series 2014-T1, Class AT1, 1.24%, 1/17/45 (b) | | | | | | | 6,630 | | | | 6,633,978 | |
Hyundai Auto Receivables Trust, Series 2012-A,
Class D, 2.61%, 5/15/18 | | | | | | | 2,555 | | | | 2,632,455 | |
ING Investment Management CLO Ltd., Series 2012-2A, Class A, 1.77%, 10/15/22 (a)(b) | | | | | | | 2,850 | | | | 2,851,226 | |
ING Investment Management Co., Series 2013-3A, Class A1, 1.69%, 1/18/26 (a)(b) | | | | | | | 5,900 | | | | 5,897,517 | |
JGWPT XXIII LLC, Series 2011-1A, Class A,
4.70%, 10/15/56 (b) | | | | | | | 2,069 | | | | 2,233,118 | |
JGWPT XXVI LLC, Series 2012-2A, Class A,
3.84%, 10/15/59 (b) | | | | | | | 1,401 | | | | 1,403,290 | |
JGWPT XXVII LLC, Series 2012-3A, Class A,
3.22%, 9/15/65 (b) | | | | | | | 2,225 | | | | 2,144,480 | |
Jubilee CDO VIII BV, Series VIII-X, Class SUB,
5.39%, 1/15/24 (a) | | | EUR | | | | 880 | | | | 645,934 | |
KKR Financial CLO Corp., Series 2007-AA, Class A, 0.99%, 10/15/17 (a)(b) | | | USD | | | | 5,816 | | | | 5,808,400 | |
KKR Financial CLO Ltd., Series 2013-1A, Class A1, 1.39%, 7/15/25 (a)(b) | | | | | | | 4,515 | | | | 4,417,793 | |
Lehman XS Trust, Series 2007-1, Class 2A1,
5.87%, 2/25/37 (a) | | | | | | | 6,265 | | | | 5,596,963 | |
Morgan Stanley ABS Capital I, Inc., Trust,
Series 2005-HE1, Class A2MZ,
0.75%, 12/25/34 (a) | | | | | | | 820 | | | | 768,912 | |
Nelnet Student Loan Trust: | | | | | | | | | | | | |
Series 2006-1, Class A5, 0.35%, 8/23/27 (a) | | | | | | | 6,505 | | | | 6,380,943 | |
Series 2008-3, Class A4, 1.88%, 11/25/24 (a) | | | | | | | 5,600 | | | | 5,891,973 | |
Series 2014-2A, Class A3, 1.01%, 7/27/37 (a)(b) | | | | | | | 3,245 | | | | 3,225,355 | |
| | | | | | | | | | | | |
| Asset-Backed Securities | | Par (000) | | | Value | |
New Century Home Equity Loan Trust, Series 2005-2, Class A2MZ, 0.41%, 6/25/35 (a) | | | USD | | | | 1,607 | | | $ | 1,604,713 | |
North Westerly CLO BV, Series IV-X, Class A-1, 1.00%, 1/15/26 (a) | | | EUR | | | | 2,500 | | | | 3,435,533 | |
Northwoods Capital Corp./Northwoods Capital Ltd.: | | | | | | | | | | | | |
Series 2012-9A, Class A, 1.67%, 1/18/24 (a)(b) | | | USD | | | | 4,300 | | | | 4,285,050 | |
Series 2012-9A, Class B1, 2.49%, 1/18/24 (a)(b) | | | | | | | 4,090 | | | | 4,089,985 | |
Octagon Investment Partners XVI Ltd.,
Series 2013-1A, Class A,
1.36%, 7/17/25 (a)(b) | | | | | | | 5,195 | | | | 5,090,559 | |
OHA Loan Funding Ltd., Series 2013-2A, Class A, 1.51%, 8/23/24 (a)(b) | | | | | | | 5,315 | | | | 5,261,850 | |
Option One Mortgage Acceptance Corp. Asset Back Certificates, Series 2003-4, Class A2,
0.79%, 7/25/33 (a) | | | | | | | 1,347 | | | | 1,244,211 | |
OZLM Funding Ltd.: | | | | | | | | | | | | |
Series 2012-2A, Class A1, 1.72%, 10/30/23 (a)(b) | | | | | | | 7,530 | | | | 7,523,573 | |
Series 2013-4A, Class A1, 1.39%, 7/22/25 (a)(b) | | | | | | | 8,895 | | | | 8,707,199 | |
Prestige Auto Receivables Trust: | | | | | | | | | | | | |
Series 2013-1A, Class A2, 1.09%, 2/15/18 (b) | | | | | | | 3,253 | | | | 3,258,687 | |
Series 2013-1A, Class A3, 1.33%, 5/15/19 (b) | | | | | | | 2,470 | | | | 2,472,645 | |
Series 2014-1A, Class A2, 0.97%, 3/15/18 (b) | | | | | | | 4,315 | | | | 4,314,612 | |
RAAC Trust, Series 2005-SP2, Class 2A,
0.45%, 6/25/44 (a) | | | | | | | 4,335 | | | | 3,451,124 | |
RASC Trust, Series 2003-KS5, Class AIIB,
0.73%, 7/25/33 (a) | | | | | | | 596 | | | | 523,634 | |
Santander Drive Auto Receivables Trust: | | | | | | | | | | | | |
Series 2011-S1A, Class B, 1.48%, 5/15/17 (b) | | | | | | | 630 | | | | 630,559 | |
Series 2012-1, Class C, 3.78%, 11/15/17-10/15/19 (b) | | | | | | | 4,510 | | | | 4,660,376 | |
Series 2012-4, Class C, 2.94%, 12/15/17 | | | | | | | 4,600 | | | | 4,738,874 | |
Series 2012-5, Class B, 1.56%, 8/15/18 | | | | | | | 4,090 | | | | 4,124,291 | |
Series 2012-5, Class C, 2.70%, 8/15/18 | | | | | | | 1,950 | | | | 2,007,379 | |
Series 2012-6, Class B, 1.33%, 5/15/17 | | | | | | | 3,565 | | | | 3,584,668 | |
Series 2012-6, Class C, 1.94%, 3/15/18 | | | | | | | 3,845 | | | | 3,887,591 | |
Series 2012-AA, Class B, 1.21%, 10/16/17 (b) | | | | | | | 9,060 | | | | 9,086,827 | |
Series 2012-AA, Class C, 1.78%, 11/15/18 (b) | | | | | | | 17,345 | | | | 17,403,973 | |
Series 2013-2, Class B, 1.33%, 3/15/18 | | | | | | | 8,700 | | | | 8,735,400 | |
Series 2013-3, Class B, 1.19%, 5/15/18 | | | | | | | 8,000 | | | | 8,024,704 | |
Series 2013-4, Class B, 2.16%, 1/15/20 | | | | | | | 4,610 | | | | 4,721,212 | |
Series 2013-4, Class C, 3.25%, 1/15/20 | | | | | | | 3,890 | | | | 4,047,856 | |
Series 2013-5, Class B, 1.55%, 10/15/18 | | | | | | | 10,500 | | | | 10,478,464 | |
Series 2013-5, Class C, 2.25%, 6/17/19 | | | | | | | 4,970 | | | | 5,021,589 | |
Series 2013-A, Class B, 1.89%, 10/15/19 (b) | | | | | | | 5,810 | | | | 5,870,436 | |
Series 2013-A, Class C, 3.12%, 10/15/19 (b) | | | | | | | 2,250 | | | | 2,312,422 | |
Series 2014-1, Class B, 1.59%, 10/15/18 | | | | | | | 11,180 | | | | 11,193,505 | |
Series 2014-1, Class C, 2.36%, 4/15/20 | | | | | | | 4,905 | | | | 4,947,266 | |
Series 2012-1, Class B, 2.72%, 5/16/16 | | | | | | | 2,260 | | | | 2,275,339 | |
Series 2012-2, Class C, 3.20%, 2/15/18 | | | | | | | 6,490 | | | | 6,661,024 | |
Series 2012-3, Class B, 1.94%, 12/15/16 | | | | | | | 6,245 | | | | 6,303,578 | |
Series 2012-3, Class C, 3.01%, 4/16/18 | | | | | | | 8,515 | | | | 8,759,287 | |
See Notes to Consolidated Financial Statements.
| | | | | | |
| | | BLACKROCK BALANCED CAPITAL FUND, INC. | | MARCH 31, 2014 | | 33 |
| | | | |
| Consolidated Schedule of Investments (continued) | | | Master Total Return Portfolio | |
| | | (Percentages shown are based on Net Assets) | |
| | | | | | | | | | | | |
| Asset-Backed Securities | | Par (000) | | | Value | |
SASCO Mortgage Loan Trust, Series 2005-GEL2, Class A, 0.43%, 4/25/35 (a) | | | USD | | | | 254 | | | $ | 249,039 | |
Scholar Funding Trust, Series 2011-A, Class A,
1.14%, 10/28/43 (a)(b) | | | | | | | 3,803 | | | | 3,813,901 | |
SLC Private Student Loan Trust, Series 2006-A, Class A5, 0.41%, 7/15/36 (a) | | | | | | | 9,515 | | | | 9,417,966 | |
SLM Private Credit Student Loan Trust: | | | | | | | | | | | | |
Series 2002-A, Class A2, 0.78%, 12/16/30 (a) | | | | | | | 4,275 | | | | 4,208,411 | |
Series 2004-B, Class A2, 0.43%, 6/15/21 (a) | | | | | | | 3,567 | | | | 3,532,925 | |
Series 2005-B, Class A2, 0.41%, 3/15/23 (a) | | | | | | | 4,787 | | | | 4,724,315 | |
SLM Private Education Loan Trust: | | | | | | | | | | | | |
Series 2011-A, Class A3, 2.66%, 1/15/43 (a)(b) | | | | | | | 4,425 | | | | 4,695,783 | |
Series 2011-B, Class A2, 3.74%, 2/15/29 (b) | | | | | | | 1,420 | | | | 1,487,960 | |
Series 2011-B, Class A3, 2.41%, 6/16/42 (a)(b) | | | | | | | 1,685 | | | | 1,781,648 | |
Series 2011-C, Class A2A, 3.41%, 10/17/44 (a)(b) | | | | | | | 2,920 | | | | 3,149,243 | |
Series 2011-C, Class A2B, 4.54%, 10/17/44 (b) | | | | | | | 4,120 | | | | 4,424,579 | |
Series 2012-A, Class A1, 1.56%, 8/15/25 (a)(b) | | | | | | | 1,992 | | | | 2,017,802 | |
Series 2012-A, Class A2, 3.83%, 1/17/45 (b) | | | | | | | 7,470 | | | | 7,843,268 | |
Series 2012-B, Class A2, 3.48%, 10/15/30 (b) | | | | | | | 730 | | | | 758,606 | |
Series 2012-C, Class A1, 1.26%, 8/15/23 (a)(b) | | | | | | | 5,267 | | | | 5,297,965 | |
Series 2012-C, Class A2, 3.31%, 10/15/46 (b) | | | | | | | 10,125 | | | | 10,497,651 | |
Series 2012-D, Class A2, 2.95%, 2/15/46 (b) | | | | | | | 12,220 | | | | 12,552,689 | |
Series 2012-E, Class A1, 0.91%, 10/16/23 (a)(b) | | | | | | | 3,780 | | | | 3,787,170 | |
Series 2013-A, Class A1, 0.76%, 8/15/22 (a)(b) | | | | | | | 2,090 | | | | 2,094,203 | |
Series 2013-A, Class A2A, 1.77%, 5/17/27 (b) | | | | | | | 16,655 | | | | 16,342,835 | |
Series 2013-A, Class A2B, 1.21%, 5/17/27 (a)(b) | | | | | | | 11,170 | | | | 11,226,509 | |
Series 2013-A, Class B, 2.50%, 3/15/47 (b) | | | | | | | 620 | | | | 586,103 | |
Series 2013-B, Class A1, 0.81%, 7/15/22 (a)(b) | | | | | | | 6,717 | | | | 6,729,821 | |
Series 2013-B, Class A2A, 1.85%, 6/17/30 (b) | | | | | | | 18,000 | | | | 17,533,998 | |
Series 2013-B, Class B, 3.00%, 5/16/44 (b) | | | | | | | 825 | | | | 788,188 | |
Series 2013-C, Class A1, 1.01%, 2/15/22 (a)(b) | | | | | | | 7,380 | | | | 7,419,621 | |
Series 2013-C, Class A2A, 2.94%, 10/15/31 (b) | | | | | | | 6,190 | | | | 6,305,023 | |
SLM Student Loan Trust: | | | | | | | | | | | | |
Series 2003-11, Class A6, 0.98%, 12/15/25 (a)(b) | | | | | | | 8,430 | | | | 8,421,056 | |
Series 2005-2, Class A5, 0.33%, 4/27/20 (a) | | | | | | | 1,680 | | | | 1,674,798 | |
Series 2008-5, Class A4, 1.94%, 7/25/23 (a) | | | | | | | 8,155 | | | | 8,562,147 | |
Series 2013-6, Class A3, 0.81%, 6/26/28 (a) | | | | | | | 8,215 | | | | 8,247,745 | |
Series 2014-A, Class A1, 0.75%, 7/15/22 (a)(b) | | | | | | | 4,005 | | | | 4,006,362 | |
Sound Point CLO IV Ltd., Series 2013-3A, Class A, 1.65%, 1/21/26 (a)(b) | | | | | | | 1,865 | | | | 1,855,704 | |
| | | | | | | | | | | | |
| Asset-Backed Securities | | Par (000) | | | Value | |
SpringCastle America Funding LLC: | | | | | | | | | | | | |
Series 2013-1A, Class A, 3.75%, 4/03/21 (b) | | | USD | | | | 12,560 | | | $ | 12,691,965 | |
Series 2013-1A, Class B, 4.00%, 12/03/24 (b) | | | | | | | 8,728 | | | | 8,498,366 | |
St. Pauls CLO, Series 4X, Class A1,
0.00%, 4/25/28 (a) | | | EUR | | | | 2,000 | | | | 2,747,324 | |
Structured Asset Securities Corp. Assistance Loan Trust, Series 2003-AL2, Class A,
3.36%, 1/25/31 (b) | | | USD | | | | 966 | | | | 941,092 | |
Structured Asset Securities Corp. Mortgage Pass-Through Certificates, Series 2004-23XS, Class 2A1, 0.45%, 1/25/35 (a) | | | | | | | 1,704 | | | | 1,583,162 | |
TAGUS-Sociedade de Titularizacao de Creditos SA/Volta II Electricity Receivables, Series 2, Class SNR, 2.80%, 2/16/21 | | | EUR | | | | 2,400 | | | | 3,306,377 | |
Vibrant CLO Ltd.: | | | | | | | | | | | | |
Series 2012-1A, Class A1, 1.72%, 7/17/24 (a)(b) | | | USD | | | | 13,740 | | | | 13,701,053 | |
Series 2012-1A, Class A2, 2.64%, 7/17/24 (a)(b) | | | | | | | 2,600 | | | | 2,593,031 | |
World Financial Network Credit Card Master Trust: | | | | | | | | | | | | |
Series 2012-C, Class A, 2.23%, 8/15/22 | | | | | | | 8,570 | | | | 8,579,624 | |
Series 2012-C, Class B, 3.57%, 8/15/22 | | | | | | | 3,000 | | | | 3,037,596 | |
Series 2012-C, Class C, 4.55%, 8/15/22 | | | | | | | 5,030 | | | | 5,247,205 | |
Series 2012-D, Class A, 2.15%, 4/17/23 | | | | | | | 11,030 | | | | 10,844,067 | |
Series 2012-D, Class B, 3.34%, 4/17/23 | | | | | | | 3,551 | | | | 3,467,566 | |
Series 2012-D, Class M, 3.09%, 4/17/23 | | | | | | | 2,725 | | | | 2,646,305 | |
Total Asset-Backed Securities — 21.0% | | | | | | | | | | | 702,687,760 | |
| | | | | | | | | | | | |
| Common Stocks | | | | | Shares | | | | |
Automobiles — 0.0% | | | | | | | | | | | | |
Volkswagen AG, Preference Shares | | | | | | | 4,898 | | | | 1,270,037 | |
| | | | | | | | | | | | |
| Corporate Bonds | | Par (000) | | | | |
Aerospace & Defense — 0.1% | | | | | | | | | | | | |
Meccanica Holdings USA, Inc.: | | | | | | | | | | | | |
6.25%, 7/15/19 (b) | | | USD | | | | 2,254 | | | | 2,420,233 | |
7.38%, 7/15/39 (b) | | | | | | | 150 | | | | 149,625 | |
6.25%, 1/15/40 (b) | | | | | | | 2,560 | | | | 2,310,400 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | 4,880,258 | |
Air Freight & Logistics — 0.2% | | | | | | | | | | | | |
FedEx Corp.: | | | | | | | | | | | | |
4.90%, 1/15/34 | | | | | | | 4,435 | | | | 4,556,142 | |
5.10%, 1/15/44 | | | | | | | 3,220 | | | | 3,337,556 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | 7,893,698 | |
Airlines — 0.1% | | | | | | | | | | | | |
Scandinavian Airlines System Denmark-Norway- Sweden, 9.65%, 6/16/14 | | | EUR | | | | 800 | | | | 1,113,147 | |
United Continental Holdings, Inc., 6.00%, 7/15/28 | | | USD | | | | 1,815 | | | | 1,665,263 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | 2,778,410 | |
See Notes to Consolidated Financial Statements.
| | | | | | |
| 34 | | BLACKROCK BALANCED CAPITAL FUND, INC. | | MARCH 31, 2014 | | |
| | | | |
| Consolidated Schedule of Investments (continued) | | | Master Total Return Portfolio | |
| | | (Percentages shown are based on Net Assets) | |
| | | | | | | | | | | | |
| Corporate Bonds | | Par (000) | | | Value | |
Auto Components — 0.3% | | | | | | | | | | | | |
AA Bond Co. Ltd., 6.27%, 7/02/43 | | | GBP | | | | 440 | | | $ | 819,682 | |
FTE Verwaltungs GmbH, 9.00%, 7/15/20 | | | EUR | | | | 520 | | | | 798,766 | |
Grupo Antolin Dutch BV, 4.75%, 4/01/21 | | | | | | | 215 | | | | 299,514 | |
Icahn Enterprises LP/Icahn Enterprises Finance
Corp.: | | | | | | | | | | | | |
3.50%, 3/15/17 (b) | | | USD | | | | 877 | | | | 885,770 | |
4.88%, 3/15/19 (b) | | | | | | | 1,195 | | | | 1,215,913 | |
6.00%, 8/01/20 (b) | | | | | | | 1,415 | | | | 1,499,900 | |
Plastic Omnium SA, 2.88%, 5/29/20 | | | EUR | | | | 1,800 | | | | 2,505,548 | |
Servus Luxembourg Holding SCA, 7.75%, 6/15/18 | | | | | | | 724 | | | | 1,064,850 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | 9,089,943 | |
Automobiles — 0.4% | | | | | | | | | | | | |
BMW Finance NV, 0.00%, 4/04/17 (a) | | | | | | | 1,900 | | | | 2,617,679 | |
General Motors Co.: | | | | | | | | | | | | |
4.88%, 10/02/23 (b) | | | USD | | | | 2,765 | | | | 2,834,125 | |
6.25%, 10/02/43 (b) | | | | | | | 1,565 | | | | 1,694,113 | |
Jaguar Land Rover Automotive PLC: | | | | | | | | | | | | |
8.25%, 3/15/20 | | | GBP | | | | 610 | | | | 1,154,244 | |
5.00%, 2/15/22 | | | | | | | 100 | | | | 169,416 | |
Volkswagen International Finance NV: | | | | | | | | | | | | |
5.50%, 11/09/15 | | | EUR | | | | 3,400 | | | | 5,323,405 | |
5.50%, 11/09/15 (b) | | | | | | | 400 | | | | 645,983 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | 14,438,965 | |
Banks — 3.4% | | | | | | | | | | | | |
AIB Mortgage Bank, 2.63%, 7/28/17 | | | | | | | 1,260 | | | | 1,792,784 | |
Banca Monte dei Paschi di Siena SpA,
4.88%, 9/15/16 | | | | | | | 1,018 | | | | 1,506,183 | |
Banca Popolare dell’Emilia Romagna SC,
3.38%, 10/22/19 | | | | | | | 700 | | | | 1,005,124 | |
Banco Popolare SC, 3.50%, 3/14/19 | | | | | | | 975 | | | | 1,358,300 | |
Bank of Ireland, 3.25%, 1/15/19 | | | | | | | 1,830 | | | | 2,609,352 | |
Bank of Ireland Mortgage Bank, 3.63%, 10/02/20 | | | | | | | 320 | | | | 483,944 | |
Bankia SA, 3.50%, 1/17/19 | | | | | | | 3,100 | | | | 4,390,489 | |
Barclays Bank PLC, 7.63%, 11/21/22 | | | USD | | | | 226 | | | | 249,165 | |
BNP Paribas SA, 2.88%, 3/20/26 (a) | | | EUR | | | | 3,850 | | | | 5,287,071 | |
BPCE SA, 5.15%, 7/21/24 (b) | | | USD | | | | 2,955 | | | | 2,939,749 | |
Caixa Geral de Depositos SA, 3.00%, 1/15/19 | | | EUR | | | | 700 | | | | 1,001,584 | |
CaixaBank SA: | | | | | | | | | | | | |
4.50%, 11/22/16 | | | | | | | 1,200 | | | | 1,651,205 | |
3.13%, 5/14/18 | | | | | | | 1,700 | | | | 2,465,071 | |
Caja Rural de Navarra, Sociedad Cooperativa de Crédito Ltd., 2.88%, 6/11/18 | | | | | | | 1,400 | | | | 2,027,470 | |
Citigroup, Inc.: | | | | | | | | | | | | |
4.45%, 1/10/17 | | | USD | | | | 1,950 | | | | 2,106,053 | |
2.50%, 9/26/18 | | | | | | | 3,714 | | | | 3,734,163 | |
3.38%, 3/01/23 | | | | | | | 3,595 | | | | 3,476,527 | |
3.88%, 10/25/23 | | | | | | | 4,240 | | | | 4,209,994 | |
6.68%, 9/13/43 | | | | | | | 1,220 | | | | 1,428,621 | |
4.95%, 11/07/43 | | | | | | | 1,220 | | | | 1,239,770 | |
Commerzbank AG, 7.75%, 3/16/21 | | | EUR | | | | 900 | | | | 1,470,821 | |
Cooperatieve Centrale Raiffeisen- Boerenleenbank BA, 2.25%, 1/14/19 | | | USD | | | | 3,830 | | | | 3,819,333 | |
DEPFA Bank PLC, 1.00%, 12/15/15 (a) | | | EUR | | | | 257 | | | | 327,327 | |
HSBC Bank Brasil SA — Banco Multiplo,
4.00%, 5/11/16 (b) | | | USD | | | | 15,610 | | | | 16,195,375 | |
| | | | | | | | | | | | |
| Corporate Bonds | | Par (000) | | | Value | |
Banks (concluded) | | | | | | | | | | | | |
HSBC Holdings PLC: | | | | | | | | | | | | |
4.25%, 3/14/24 | | | USD | | | | 1,219 | | | $ | 1,220,501 | |
5.25%, 3/14/44 | | | | | | | 2,979 | | | | 3,012,234 | |
ING Bank NV, 4.13%, 11/21/23 (a) | | | | | | | 1,596 | | | | 1,601,985 | |
Intesa Sanpaolo SpA: | | | | | | | | | | | | |
3.00%, 1/28/19 | | | EUR | | | | 1,920 | | | | 2,765,591 | |
3.50%, 1/17/22 | | | | | | | 940 | | | | 1,361,643 | |
3.25%, 2/10/26 | | | | | | | 300 | | | | 430,364 | |
Kutxabank SA, 3.00%, 2/01/17 | | | | | | | 1,400 | | | | 2,029,762 | |
Royal Bank of Scotland Group PLC: | | | | | | | | | | | | |
1.88%, 3/31/17 | | | USD | | | | 4,802 | | | | 4,805,635 | |
6.00%, 12/19/23 | | | | | | | 6,105 | | | | 6,251,233 | |
Societe Generale SA, 5.00%, 1/17/24 (b) | | | | | | | 4,170 | | | | 4,155,522 | |
UniCredit SpA: | | | | | | | | | | | | |
3.25%, 1/14/21 | | | EUR | | | | 1,850 | | | | 2,641,692 | |
5.75%, 10/28/25 (a) | | | | | | | 2,360 | | | | 3,536,212 | |
Unione di Banche Italiane SCpA: | | | | | | | | | | | | |
2.88%, 2/18/19 | | | | | | | 1,175 | | | | 1,671,215 | |
3.30%, 2/05/24 | | | | | | | 280 | | | | 400,869 | |
Wells Fargo & Co.: | | | | | | | | | | | | |
1.50%, 7/01/15 | | | USD | | | | 2,575 | | | | 2,604,968 | |
2.15%, 1/15/19 | | | | | | | 2,358 | | | | 2,352,480 | |
4.13%, 8/15/23 | | | | | | | 2,200 | | | | 2,225,617 | |
5.38%, 11/02/43 | | | | | | | 3,360 | | | | 3,539,394 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | 113,382,392 | |
Beverages — 0.4% | | | | | | | | | | | | |
Anheuser-Busch InBev Finance, Inc.: | | | | | | | | | | | | |
2.15%, 2/01/19 | | | | | | | 6,215 | | | | 6,208,810 | |
3.70%, 2/01/24 | | | | | | | 4,380 | | | | 4,425,075 | |
Anheuser-Busch InBev NV, 2.75%, 3/31/26 | | | EUR | | | | 1,350 | | | | 1,860,276 | |
Anheuser-Busch InBev NV, 0.00%, 3/29/18 (a) | | | | | | | 1,275 | | | | 1,758,621 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | 14,252,782 | |
Biotechnology — 0.1% | | | | | | | | | | | | |
Amgen, Inc., 5.65%, 6/15/42 | | | USD | | | | 1,935 | | | | 2,145,344 | |
Building Products — 0.0% | | | | | | | | | | | | |
Imerys SA, 2.50%, 11/26/20 | | | EUR | | | | 600 | | | | 835,249 | |
Capital Markets — 3.0% | | | | | | | | | | | | |
The Bank of New York Mellon Corp.,
2.10%, 1/15/19 | | | USD | | | | 6,610 | | | | 6,570,677 | |
Credit Suisse AG, 5.75%, 9/18/25 (a) | | | EUR | | | | 905 | | | | 1,357,431 | |
The Goldman Sachs Group, Inc.: | | | | | | | | | | | | |
3.63%, 2/07/16 | | | | | | | 2,575 | | | | 2,696,746 | |
2.38%, 1/22/18 | | | | | | | 4,150 | | | | 4,177,573 | |
2.90%, 7/19/18 | | | | | | | 6,090 | | | | 6,210,545 | |
2.63%, 1/31/19 | | | | | | | 13,409 | | | | 13,374,646 | |
5.75%, 1/24/22 | | | | | | | 2,001 | | | | 2,268,972 | |
3.63%, 1/22/23 | | | | | | | 4,075 | | | | 4,008,602 | |
1.83%, 11/29/23 (a) | | | | | | | 3,350 | | | | 3,424,883 | |
4.25%, 1/29/26 | | | GBP | | | | 1,410 | | | | 2,359,655 | |
6.75%, 10/01/37 | | | USD | | | | 1,220 | | | | 1,397,533 | |
6.25%, 2/01/41 | | | | | | | 1,220 | | | | 1,448,683 | |
Macquarie Bank Ltd., 1.65%, 3/24/17 (b) | | | | | | | 5,530 | | | | 5,513,001 | |
Mediobanca SpA, 2.25%, 3/18/19 | | | EUR | | | | 1,175 | | | | 1,627,733 | |
See Notes to Consolidated Financial Statements.
| | | | | | |
| | | BLACKROCK BALANCED CAPITAL FUND, INC. | | MARCH 31, 2014 | | 35 |
| | | | |
| Consolidated Schedule of Investments (continued) | | | Master Total Return Portfolio | |
| | | (Percentages shown are based on Net Assets) | |
| | | | | | | | | | | | |
| Corporate Bonds | | Par
(000) | | | Value | |
Capital Markets (concluded) | | | | | | | | | | | | |
Morgan Stanley: | | | | | | | | | | | | |
3.45%, 11/02/15 | | | USD | | | | 8,449 | | | $ | 8,771,388 | |
3.80%, 4/29/16 | | | | | | | 2,620 | | | | 2,759,539 | |
5.45%, 1/09/17 | | | | | | | 8,310 | | | | 9,186,821 | |
2.50%, 1/24/19 | | | | | | | 8,835 | | | | 8,810,395 | |
2.55%, 3/31/21 | | | EUR | | | | 2,340 | | | | 3,224,169 | |
5.00%, 11/24/25 | | | USD | | | | 6,490 | | | | 6,677,691 | |
6.38%, 7/24/42 | | | | | | | 1,220 | | | | 1,488,243 | |
UBS AG: | | | | | | | | | | | | |
4.75%, 5/22/23 (a) | | | | | | | 1,340 | | | | 1,360,770 | |
4.75%, 2/12/26 (a) | | | EUR | | | | 865 | | | | 1,222,752 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | 99,938,448 | |
Chemicals — 0.7% | | | | | | | | | | | | |
INEOS Finance PLC, 7.50%, 5/01/20 (b) | | | USD | | | | 565 | | | | 620,087 | |
LyondellBasell Industries NV, 5.00%, 4/15/19 | | | | | | | 17,722 | | | | 19,732,720 | |
Rockwood Specialties Group, Inc., 4.63%, 10/15/20 | | | | | | | 2,355 | | | | 2,431,537 | |
U.S. Coatings Acquisition, Inc./Axalta Coating Systems Dutch Holding B BV,
7.38%, 5/01/21 (b) | | | | | | | 630 | | | | 685,125 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | 23,469,469 | |
Commercial Services & Supplies — 0.0% | | | | | | | | | | | | |
Algeco Scotsman Global Finance PLC,
9.00%, 10/15/18 | | | EUR | | | | 300 | | | | 450,568 | |
GCL Holdings SCA, 9.38%, 4/15/18 | | | | | | | 290 | | | | 429,401 | |
IVS F. SpA, 7.13%, 4/01/20 | | | | | | | 110 | | | | 161,571 | |
Verisure Holding AB, 8.75%, 12/01/18 | | | | | | | 300 | | | | 449,568 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | 1,491,108 | |
Communications Equipment — 0.1% | | | | | | | | | | | | |
Cisco Systems, Inc., 2.13%, 3/01/19 | | | USD | | | | 3,350 | | | | 3,335,012 | |
Construction & Engineering — 0.1% | | | | | | | | | | | | |
Aldesa Financial Services SA, 7.25%, 4/01/21 | | | EUR | | | | 255 | | | | 355,694 | |
Odebrecht Offshore Drilling Finance Ltd.,
6.75%, 10/01/22 (b) | | | USD | | | | 2,970 | | | | 3,081,649 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | 3,437,343 | |
Construction Materials — 0.0% | | | | | | | | | | | | |
Kerneos Tech Group SAS: | | | | | | | | | | | | |
5.05%, 3/01/21 (a) | | | EUR | | | | 180 | | | | 251,698 | |
5.75%, 3/01/21 | | | | | | | 244 | | | | 344,842 | |
| | | | | | | | | | | | |
| | | | | | | | | | | �� | 596,540 | |
Consumer Finance — 0.0% | | | | | | | | | | | | |
John Deere Bank SA, 0.78%, 3/19/19 (a) | | | | | | | 1,250 | | | | 1,727,462 | |
Containers & Packaging — 0.1% | | | | | | | | | | | | |
Ardagh Glass Finance PLC, 8.75%, 2/01/20 | | | | | | | 171 | | | | 253,248 | |
Ardagh Packaging Finance PLC, 9.25%, 10/15/20 | | | | | | | 146 | | | | 224,269 | |
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Luxembourg SA, 6.88%, 2/15/21 | | | USD | | | | 3,120 | | | | 3,369,600 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | 3,847,117 | |
Distributors — 0.1% | | | | | | | | | | | | |
VWR Funding, Inc., 7.25%, 9/15/17 | | | | | | | 3,926 | | | | 4,220,450 | |
Diversified Financial Services — 3.5% | | | | | | | | | | | | |
Annington Finance No. 4 PLC, 1.49%, 1/10/23 (a) | | | GBP | | | | 2,045 | | | | 3,379,732 | |
AyT Cedulas Cajas Global: | | | | | | | | | | | | |
4.00%, 3/21/17 | | | EUR | | | | 1,600 | | | | 2,351,143 | |
4.25%, 6/14/18 | | | | | | | 400 | | | | 595,886 | |
| | | | | | | | | | | | |
| Corporate Bonds | | Par
(000) | | | Value | |
Diversified Financial Services (concluded) | | | | | | | | | | | | |
AyT Cedulas Cajas X Fondo de Titulizacion: | | | | | | | | | | | | |
0.38%, 6/30/15 (a) | | | EUR | | | | 500 | | | $ | 681,502 | |
3.75%, 6/30/25 | | | | | | | 600 | | | | 829,261 | |
AyT Cedulas Cajas XXIII Fondo de Titulizacion de Activos, 4.75%, 6/15/16 | | | | | | | 2,300 | | | | 3,395,959 | |
Bank of America Corp.: | | | | | | | | | | | | |
3.70%, 9/01/15 | | | USD | | | | 10,305 | | | | 10,710,100 | |
5.75%, 12/01/17 | | | | | | | 4,845 | | | | 5,485,228 | |
2.60%, 1/15/19 | | | | | | | 4,178 | | | | 4,194,482 | |
2.65%, 4/01/19 | | | | | | | 16,258 | | | | 16,309,847 | |
3.30%, 1/11/23 | | | | | | | 8,205 | | | | 7,910,350 | |
4.10%, 7/24/23 | | | | | | | 7,635 | | | | 7,744,303 | |
4.00%, 4/01/24 | | | | | | | 6,092 | | | | 6,084,830 | |
5.00%, 1/21/44 | | | | | | | 4,070 | | | | 4,155,006 | |
Banque Federative du Credit Mutuel SA,
2.80%, 3/18/24 | | | EUR | | | | 2,600 | | | | 3,558,626 | |
BPE Financiaciones SA: | | | | | | | | | | | | |
2.88%, 5/19/16 | | | | | | | 1,700 | | | | 2,374,243 | |
2.70%, 2/01/17 | | | | | | | 900 | | | | 1,240,496 | |
Cedulas TDA, 4.25%, 3/28/27 | | | | | | | 100 | | | | 142,151 | |
Cedulas TDA 6 Fondo de Titulizacion de Activos: | | | | | | | | | | | | |
3.88%, 5/23/25 | | | | | | | 900 | | | | 1,254,773 | |
4.25%, 4/10/31 | | | | | | | 1,100 | | | | 1,512,498 | |
Cedulas TDA 7 Fondo de Titulizacion de Activos,
3.50%, 6/20/17 | | | | | | | 100 | | | | 144,698 | |
EC Finance PLC, 9.75%, 8/01/17 | | | | | | | 329 | | | | 486,110 | |
Ford Motor Credit Co. LLC, 4.38%, 8/06/23 | | | USD | | | | 1,746 | | | | 1,801,435 | |
Fresenius Finance BV, 3.00%, 2/01/21 | | | EUR | | | | 1,470 | | | | 2,055,938 | |
General Electric Capital Corp., 6.88%, 1/10/39 | | | USD | | | | 1,220 | | | | 1,606,668 | |
Imperial Tobacco Finance PLC, 2.50%, 2/26/21 | | | EUR | | | | 525 | | | | 719,936 | |
JPMorgan Chase & Co.: | | | | | | | | | | | | |
4.75%, 3/01/15 | | | USD | | | | 5,150 | | | | 5,344,505 | |
1.35%, 2/15/17 | | | | | | | 9,365 | | | | 9,357,396 | |
3.25%, 9/23/22 | | | | | | | 2,721 | | | | 2,680,433 | |
3.20%, 1/25/23 | | | | | | | 1,315 | | | | 1,275,116 | |
3.88%, 2/01/24 | | | | | | | 2,400 | | | | 2,421,533 | |
4.85%, 2/01/44 | | | | | | | 1,220 | | | | 1,243,968 | |
Shell International Finance BV, 2.55%, 3/24/26 | | | EUR | | | | 2,575 | | | | 3,541,195 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | 116,589,347 | |
Diversified Telecommunication Services — 2.4% | | | | | | | | | |
AT&T Inc.: | | | | | | | | | | | | |
2.30%, 3/11/19 | | | USD | | | | 6,005 | | | | 5,973,948 | |
3.90%, 3/11/24 | | | | | | | 6,005 | | | | 5,988,012 | |
Intelsat Jackson Holdings SA, 7.25%, 4/01/19 | | | | | | | 4,072 | | | | 4,377,400 | |
Level 3 Financing, Inc., 8.13%, 7/01/19 | | | | | | | 4,474 | | | | 4,910,215 | |
Telecom Italia Capital SA: | | | | | | | | | | | | |
6.38%, 11/15/33 | | | | | | | 709 | | | | 693,047 | |
6.00%, 9/30/34 | | | | | | | 595 | | | | 554,837 | |
7.72%, 6/04/38 | | | | | | | 400 | | | | 428,000 | |
Telecom Italia Finance SA: | | | | | | | | | | | | |
6.13%, 11/15/16 | | | EUR | | | | 3,400 | | | | 5,508,424 | |
7.75%, 1/24/33 | | | | | | | 730 | | | | 1,215,710 | |
Telecom Italia SpA: | | | | | | | | | | | | |
6.13%, 12/14/18 | | | | | | | 883 | | | | 1,371,085 | |
4.50%, 1/25/21 | | | | | | | 1,190 | | | | 1,686,447 | |
5.88%, 5/19/23 | | | GBP | | | | 650 | | | | 1,098,670 | |
Telenet Finance V Luxembourg SCA,
6.75%, 8/15/24 | | | EUR | | | | 400 | | | | 608,924 | |
See Notes to Consolidated Financial Statements.
| | | | | | |
| 36 | | BLACKROCK BALANCED CAPITAL FUND, INC. | | MARCH 31, 2014 | | |
| | | | |
| Consolidated Schedule of Investments (continued) | | | Master Total Return Portfolio | |
| | | (Percentages shown are based on Net Assets) | |
| | | | | | | | | | | | |
| Corporate Bonds | | Par
(000) | | | Value | |
Diversified Telecommunication Services (concluded) | | | | | | | | | |
Verizon Communications, Inc.: | | | | | | | | | | | | |
3.65%, 9/14/18 | | | USD | | | | 7,345 | | | $ | 7,818,988 | |
4.50%, 9/15/20 | | | | | | | 2,820 | | | | 3,062,641 | |
3.45%, 3/15/21 | | | | | | | 2,750 | | | | 2,787,650 | |
4.15%, 3/15/24 | | | | | | | 1,475 | | | | 1,498,523 | |
3.85%, 11/01/42 | | | | | | | 11,354 | | | | 9,506,068 | |
6.55%, 9/15/43 | | | | | | | 17,788 | | | | 21,646,840 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | 80,735,429 | |
Electric Utilities — 1.4% | | | | | | | | | | | | |
CE Energy AS, 7.00%, 2/01/21 | | | EUR | | | | 435 | | | | 623,761 | |
The Cleveland Electric Illuminating Co.: | | | | | | | | | | | | |
8.88%, 11/15/18 | | | USD | | | | 1,199 | | | | 1,501,601 | |
5.95%, 12/15/36 | | | | | | | 2,225 | | | | 2,406,406 | |
Commonwealth Edison Co., 4.70%, 1/15/44 | | | | | | | 2,670 | | | | 2,794,745 | |
Duke Energy Carolinas LLC, 4.25%, 12/15/41 | | | | | | | 4,015 | | | | 3,946,661 | |
Duke Energy Florida, Inc., 6.40%, 6/15/38 | | | | | | | 2,716 | | | | 3,502,366 | |
Entergy Arkansas, Inc., 3.70%, 6/01/24 | | | | | | | 3,976 | | | | 4,035,298 | |
Georgia Power Co., 3.00%, 4/15/16 | | | | | | | 9,205 | | | | 9,610,701 | |
Jersey Central Power & Light Co., 7.35%, 2/01/19 | | | | | | | 2,730 | | | | 3,248,861 | |
MidAmerican Energy Holdings Co., 6.50%, 9/15/37 | | | | | | | 25 | | | | 30,917 | |
Oncor Electric Delivery Co. LLC: | | | | | | | | | | | | |
4.10%, 6/01/22 | | | | | | | 819 | | | | 858,076 | |
5.30%, 6/01/42 | | | | | | | 1,275 | | | | 1,418,047 | |
PacifiCorp: | | | | | | | | | | | | |
3.60%, 4/01/24 | | | | | | | 8,260 | | | | 8,353,685 | |
5.75%, 4/01/37 | | | | | | | 2,225 | | | | 2,672,672 | |
Progress Energy, Inc., 4.88%, 12/01/19 | | | | | | | 416 | | | | 461,541 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | 45,465,338 | |
Electrical Equipment — 0.0% | | | | | | | | | | | | |
Trionista Holdco GmbH, 5.00%, 4/30/20 | | | EUR | | | | 305 | | | | 439,346 | |
Trionista TopCo GmbH, 6.88%, 4/30/21 | | | | | | | 198 | | | | 296,655 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | 736,001 | |
Energy Equipment & Services — 0.5% | | | | | | | | | | | | |
Transocean, Inc.: | | | | | | | | | | | | |
6.00%, 3/15/18 | | | USD | | | | 10,402 | | | | 11,567,742 | |
6.50%, 11/15/20 | | | | | | | 3,925 | | | | 4,407,488 | |
6.80%, 3/15/38 | | | | | | | 2,125 | | | | 2,292,359 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | 18,267,589 | |
Food & Staples Retailing — 0.2% | | | | | | | | | | | | |
Casino Guichard Perrachon SA, 3.30%, 3/07/24 | | | EUR | | | | 100 | | | | 139,105 | |
CVS Caremark Corp., 5.30%, 12/05/43 | | | USD | | | | 811 | | | | 895,201 | |
Wal-Mart Stores, Inc., 4.00%, 4/11/43 | | | | | | | 3,182 | | | | 2,961,643 | |
WM Treasury PLC, 4.63%, 12/03/42 | | | GBP | | | | 1,140 | | | | 1,894,590 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | 5,890,539 | |
Food Products — 0.1% | | | | | | | | | | | | |
Mondelez International, Inc., 2.25%, 2/01/19 | | | USD | | | | 3,880 | | | | 3,844,517 | |
Health Care Equipment & Supplies — 0.2% | | | | | | | | | | | | |
Boston Scientific Corp., 2.65%, 10/01/18 | | | | | | | 3,915 | | | | 3,944,550 | |
Medtronic, Inc., 3.63%, 3/15/24 | | | | | | | 1,930 | | | | 1,937,919 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | 5,882,469 | |
Health Care Providers & Services — 0.8% | | | | | | | | | | | | |
Aetna, Inc., 4.75%, 3/15/44 | | | | | | | 846 | | | | 858,631 | |
Coventry Health Care, Inc., 5.45%, 6/15/21 | | | | | | | 3,862 | | | | 4,428,857 | |
HCA, Inc., 7.25%, 9/15/20 | | | | | | | 3,925 | | | | 4,243,906 | |
| | | | | | | | | | | | |
| Corporate Bonds | | Par
(000) | | | Value | |
Health Care Providers & Services (concluded) | | | | | | | | | | | | |
IDH Finance PLC, 6.00%, 12/01/18 | | | GBP | | | | 309 | | | $ | 535,752 | |
Priory Group No. 3 PLC, 7.00%, 2/15/18 | | | | | | | 360 | | | | 633,179 | |
Tenet Healthcare Corp., 4.75%, 6/01/20 | | | USD | | | | 1,977 | | | | 1,991,827 | |
UnitedHealth Group, Inc., 3.38%, 11/15/21 | | | | | | | 1,670 | | | | 1,691,857 | |
Voyage Care BondCo PLC, 11.00%, 2/01/19 | | | GBP | | | | 1,800 | | | | 3,255,922 | |
WellPoint, Inc.: | | | | | | | | | | | | |
1.88%, 1/15/18 | | | USD | | | | 4,895 | | | | 4,858,346 | |
2.30%, 7/15/18 | | | | | | | 4,928 | | | | 4,941,636 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | 27,439,913 | |
Hotels, Restaurants & Leisure — 0.2% | | | | | | | | | | | | |
Cirsa Funding Luxembourg SA, 8.75%, 5/15/18 | | | EUR | | | | 588 | | | | 846,515 | |
Gala Group Finance PLC, 8.88%, 9/01/18 | | | GBP | | | | 280 | | | | 499,475 | |
Intralot Finance Luxembourg SA, 9.75%, 8/15/18 | | | EUR | | | | 1,575 | | | | 2,452,319 | |
Lottomatica Group SpA, 3.50%, 3/05/20 | | | | | | | 1,300 | | | | 1,910,293 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | 5,708,602 | |
Household Durables — 0.1% | | | | | | | | | | | | |
K. Hovnanian Enterprises, Inc., 7.25%, 10/15/20 (b) | | | USD | | | | 3,615 | | | | 3,922,275 | |
Industrial Conglomerates — 0.1% | | | | | | | | | | | | |
General Electric Co., 4.50%, 3/11/44 | | | | | | | 2,251 | | | | 2,285,920 | |
Insurance — 1.8% | | | | | | | | | | | | |
Achmea BV: | | | | | | | | | | | | |
2.50%, 11/19/20 | | | EUR | | | | 875 | | | | 1,223,397 | |
6.00%, 4/04/43 (a) | | | | | | | 1,122 | | | | 1,722,096 | |
American International Group, Inc.: | | | | | | | | | | | | |
3.80%, 3/22/17 | | | USD | | | | 8,228 | | | | 8,803,137 | |
5.45%, 5/18/17 | | | | | | | 4,250 | | | | 4,742,753 | |
3.38%, 8/15/20 | | | | | | | 6,390 | | | | 6,523,500 | |
4.13%, 2/15/24 | | | | | | | 3,588 | | | | 3,663,969 | |
Assicurazioni Generali SpA, 2.88%, 1/14/20 | | | EUR | | | | 565 | | | | 801,950 | |
BUPA Finance PLC, 5.00%, 4/25/23 | | | GBP | | | | 820 | | | | 1,373,069 | |
Cloverie PLC for Zurich Insurance Co. Ltd.,
7.50%, 7/24/39 (a) | | | EUR | | | | 400 | | | | 673,414 | |
Genworth Holdings, Inc.: | | | | | | | | | | | | |
7.63%, 9/24/21 | | | USD | | | | 2,750 | | | | 3,387,695 | |
4.90%, 8/15/23 | | | | | | | 896 | | | | 939,555 | |
Manulife Financial Corp., 3.40%, 9/17/15 | | | | | | | 3,265 | | | | 3,384,208 | |
Metropolitan Life Global Funding I,
5.13%, 6/10/14 (b) | | | | | | | 1,600 | | | | 1,614,589 | |
Prudential Financial, Inc.: | | | | | | | | | | | | |
4.75%, 9/17/15 | | | | | | | 8,759 | | | | 9,253,384 | |
7.38%, 6/15/19 | | | | | | | 3,780 | | | | 4,631,445 | |
5.38%, 6/21/20 | | | | | | | 2,135 | | | | 2,419,036 | |
Scottish Widows PLC, 5.60%, 6/16/23 | | | GBP | | | | 1,385 | | | | 2,351,242 | |
XLIT Ltd.: | | | | | | | | | | | | |
2.30%, 12/15/18 | | | USD | | | | 1,674 | | | | 1,660,558 | |
5.25%, 12/15/43 | | | | | | | 764 | | | | 809,743 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | 59,978,740 | |
Internet & Catalog Retail — 0.0% | | | | | | | | | | | | |
Experian Finance PLC, 3.60%, 10/15/21 | | | GBP | | | | 100 | | | | 166,496 | |
IT Services — 0.4% | | | | | | | | | | | | |
APX Group, Inc., 6.38%, 12/01/19 | | | USD | | | | 962 | | | | 981,240 | |
Cerved Group SpA, 8.00%, 1/15/21 | | | EUR | | | | 300 | | | | 455,726 | |
International Business Machines Corp.,
3.63%, 2/12/24 | | | USD | | | | 5,516 | | | | 5,561,706 | |
See Notes to Consolidated Financial Statements.
| | | | | | |
| | | BLACKROCK BALANCED CAPITAL FUND, INC. | | MARCH 31, 2014 | | 37 |
| | | | |
| Consolidated Schedule of Investments (continued) | | | Master Total Return Portfolio | |
| | | (Percentages shown are based on Net Assets) | |
| | | | | | | | | | | | |
| Corporate Bonds | | Par
(000) | | | Value | |
IT Services (concluded) | | | | | | | | | | | | |
MasterCard, Inc.: | | | | | | | | | | | | |
2.00%, 4/01/19 | | | USD | | | | 3,362 | | | $ | 3,347,480 | |
3.38%, 4/01/24 | | | | | | | 2,162 | | | | 2,158,469 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | 12,504,621 | |
Life Sciences Tools & Services — 0.3% | | | | | | | | | | | | |
Thermo Fisher Scientific, Inc.: | | | | | | | | | | | | |
2.40%, 2/01/19 | | | | | | | 8,693 | | | | 8,656,646 | |
5.30%, 2/01/44 | | | | | | | 435 | | | | 468,784 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | 9,125,430 | |
Machinery — 0.1% | | | | | | | | | | | | |
CNH Industrial Finance Europe SA,
3.00%, 3/18/19 | | | EUR | | | | 2,510 | | | | 3,433,921 | |
Media — 1.6% | | | | | | | | | | | | |
CBS Corp.: | | | | | | | | | | | | |
4.63%, 5/15/18 | | | USD | | | | 1,825 | | | | 1,984,605 | |
8.88%, 5/15/19 | | | | | | | 3,530 | | | | 4,525,767 | |
5.75%, 4/15/20 | | | | | | | 1,450 | | | | 1,647,006 | |
Clear Channel Worldwide Holdings, Inc.,
6.50%, 11/15/22 | | | | | | | 4,844 | | | | 5,177,025 | |
Comcast Cable Communications Holdings, Inc.,
9.46%, 11/15/22 | | | | | | | 2,285 | | | | 3,238,293 | |
Comcast Corp.: | | | | | | | | | | | | |
5.88%, 2/15/18 | | | | | | | 6,510 | | | | 7,454,041 | |
4.65%, 7/15/42 | | | | | | | 2,495 | | | | 2,488,583 | |
4.75%, 3/01/44 | | | | | | | 1,040 | | | | 1,055,634 | |
COX Communications, Inc., 8.38%, 3/01/39 (b) | | | | | | | 3,755 | | | | 4,926,252 | |
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc.: | | | | | | | | | | | | |
4.60%, 2/15/21 | | | | | | | 1,815 | | | | 1,914,939 | |
5.00%, 3/01/21 | | | | | | | 2,265 | | | | 2,435,267 | |
3.80%, 3/15/22 | | | | | | | 2,575 | | | | 2,548,063 | |
5.15%, 3/15/42 | | | | | | | 3,148 | | | | 2,976,091 | |
Discovery Communications LLC, 2.56%, 3/07/22 | | | EUR | | | | 800 | | | | 1,096,373 | |
The Interpublic Group of Cos., Inc.,
4.20%, 4/15/24 | | | USD | | | | 368 | | | | 367,308 | |
NBCUniversal Media LLC: | | | | | | | | | | | | |
5.15%, 4/30/20 | | | | | | | 3,598 | | | | 4,064,790 | |
4.45%, 1/15/43 | | | | | | | 3,417 | | | | 3,305,770 | |
Odeon & UCI Finco PLC, 9.00%, 8/01/18 | | | GBP | | | | 172 | | | | 301,389 | |
Unitymedia KabelBW GmbH, 9.50%, 3/15/21 | | | EUR | | | | 340 | | | | 540,912 | |
Virgin Media Secured Finance PLC,
6.00%, 4/15/21 | | | GBP | | | | 310 | | | | 546,530 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | 52,594,638 | |
Metals & Mining — 0.6% | | | | | | | | | | | | |
BHP Billiton Finance USA Ltd.: | | | | | | | | | | | | |
3.85%, 9/30/23 | | | USD | | | | 2,644 | | | | 2,708,640 | |
5.00%, 9/30/43 | | | | | | | 1,510 | | | | 1,597,855 | |
Eco-Bat Finance PLC, 7.75%, 2/15/17 | | | EUR | | | | 300 | | | | 429,002 | |
Freeport-McMoRan Copper & Gold, Inc.,
3.88%, 3/15/23 | | | USD | | | | 2,765 | | | | 2,643,818 | |
Novelis, Inc., 8.75%, 12/15/20 | | | | | | | 6,865 | | | | 7,671,637 | |
Rio Tinto Finance USA PLC, 2.88%, 8/21/22 | | | | | | | 2,261 | | | | 2,152,009 | |
Steel Dynamics, Inc., 6.38%, 8/15/22 | | | | | | | 1,345 | | | | 1,462,687 | |
ThyssenKrupp AG, 3.13%, 10/25/19 | | | EUR | | | | 405 | | | | 560,975 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | 19,226,623 | |
Multi-Utilities — 0.6% | | | | | | | | | | | | |
CenterPoint Energy Houston Electric LLC,
4.50%, 4/01/44 | | | USD | | | | 4,095 | | | | 4,199,951 | |
| | | | | | | | | | | | |
| Corporate Bonds | | Par
(000) | | | Value | |
Multi-Utilities (concluded) | | | | | | | | | | | | |
CMS Energy Corp.: | | | | | | | | | | | | |
3.88%, 3/01/24 | | | USD | | | | 1,311 | | | $ | 1,328,283 | |
4.88%, 3/01/44 | | | | | | | 2,861 | | | | 2,914,864 | |
Dominion Gas Holdings LLC,
4.80%, 11/01/43 (b) | | | | | | | 430 | | | | 438,476 | |
Dominion Resources, Inc., 1.95%, 8/15/16 | | | | | | | 6,505 | | | | 6,627,645 | |
Pacific Gas & Electric Co., 4.75%, 2/15/44 | | | | | | | 1,188 | | | | 1,202,016 | |
PG&E Corp., 2.40%, 3/01/19 | | | | | | | 1,690 | | | | 1,679,000 | |
Virginia Electric and Power Co.,
3.45%, 2/15/24 | | | | | | | 680 | | | | 678,599 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | 19,068,834 | |
Oil, Gas & Consumable Fuels — 3.8% | | | | | | | | | | | | |
Access Midstream Partners LP/ACMP Finance Corp., 4.88%, 5/15/23 | | | | | | | 1,345 | | | | 1,355,087 | |
Apache Corp.: | | | | | | | | | | | | |
4.75%, 4/15/43 | | | | | | | 1,320 | | | | 1,326,967 | |
4.25%, 1/15/44 | | | | | | | 2,375 | | | | 2,227,596 | |
BP Capital Markets PLC: | | | | | | | | | | | | |
2.24%, 5/10/19 | | | | | | | 6,305 | | | | 6,267,485 | |
3.25%, 5/06/22 | | | | | | | 2,790 | | | | 2,766,519 | |
2.75%, 5/10/23 | | | | | | | 5,385 | | | | 5,050,532 | |
3.81%, 2/10/24 | | | | | | | 3,785 | | | | 3,818,849 | |
3.10%, 2/27/26 | | | EUR | | | | 1,350 | | | | 1,874,548 | |
CONSOL Energy, Inc., 8.25%, 4/01/20 | | | USD | | | | 549 | | | | 596,351 | |
Energy Transfer Partners LP,
5.95%, 10/01/43 | | | | | | | 2,380 | | | | 2,561,139 | |
EP Energy LLC/EP Energy Finance, Inc.,
9.38%, 5/01/20 | | | | | | | 1,525 | | | | 1,763,281 | |
EP Energy LLC/Everest Acquisition Finance, Inc.,
6.88%, 5/01/19 | | | | | | | 1,260 | | | | 1,360,800 | |
Exxon Mobil Corp., 1.82%, 3/15/19 | | | | | | | 9,675 | | | | 9,605,717 | |
Galp Energia SGPS SA,
4.13%, 1/25/19 | | | EUR | | | | 900 | | | | 1,305,290 | |
Husky Energy, Inc., 4.00%, 4/15/24 | | | USD | | | | 2,755 | | | | 2,801,769 | |
IVG Finance BV, 1.75%, 3/29/17 | | | EUR | | | | 2,000 | | | | 2,231,805 | |
Kerr-McGee Corp., 6.95%, 7/01/24 | | | USD | | | | 2,920 | | | | 3,540,763 | |
Kinder Morgan Energy Partners LP: | | | | | | | | | | | | |
3.50%, 3/01/21 | | | | | | | 730 | | | | 727,119 | |
4.15%, 2/01/24 | | | | | | | 9,095 | | | | 9,040,594 | |
Laredo Petroleum, Inc.: | | | | | | | | | | | | |
9.50%, 2/15/19 | | | | | | | 1,925 | | | | 2,124,719 | |
7.38%, 5/01/22 | | | | | | | 655 | | | | 727,050 | |
Linn Energy LLC/Linn Energy Finance Corp.,
7.25%, 11/01/19 (b) | | | | | | | 3,995 | | | | 4,164,787 | |
MarkWest Energy Partners LP/MarkWest Energy Finance Corp., 4.50%, 7/15/23 | | | | | | | 1,105 | | | | 1,063,563 | |
MEG Energy Corp., 6.50%, 3/15/21 (b) | | | | | | | 910 | | | | 957,775 | |
Noble Energy, Inc.: | | | | | | | | | | | | |
8.25%, 3/01/19 | | | | | | | 2,730 | | | | 3,399,418 | |
6.00%, 3/01/41 | | | | | | | 3,070 | | | | 3,508,319 | |
5.25%, 11/15/43 | | | | | | | 3,520 | | | | 3,673,965 | |
Noble Holding International Ltd.,
3.95%, 3/15/22 | | | | | | | 1,525 | | | | 1,512,201 | |
Peabody Energy Corp., 6.00%, 11/15/18 | | | | | | | 614 | | | | 643,933 | |
Sabine Pass Liquefaction LLC: | | | | | | | | | | | | |
5.63%, 2/01/21 | | | | | | | 4,005 | | | | 4,130,156 | |
5.63%, 4/15/23 | | | | | | | 1,053 | | | | 1,047,735 | |
Sabine Pass LNG LP, 7.50%, 11/30/16 | | | | | | | 5,000 | | | | 5,525,000 | |
Schlumberger Investment SA,
3.65%, 12/01/23 | | | | | | | 2,140 | | | | 2,170,546 | |
Shell International Finance BV: | | | | | | | | | | | | |
2.00%, 11/15/18 | | | | | | | 5,814 | | | | 5,831,459 | |
4.55%, 8/12/43 | | | | | | | 5,501 | | | | 5,685,817 | |
Total Capital International SA,
3.70%, 1/15/24 | | | | | | | 2,785 | | | | 2,836,628 | |
See Notes to Consolidated Financial Statements.
| | | | | | |
| 38 | | BLACKROCK BALANCED CAPITAL FUND, INC. | | MARCH 31, 2014 | | |
| | | | | | |
| Consolidated Schedule of Investments (continued) | | | | | Master Total Return Portfolio | |
| | | | | (Percentages shown are based on Net Assets) | |
| | | | | | | | | | | | |
| Corporate Bonds | | Par
(000) | | | Value | |
Oil, Gas & Consumable Fuels (concluded) | | | | | | | | | | | | |
TransCanada PipeLines Ltd.: | | | | | | | | | | | | |
3.75%, 10/16/23 | | | USD | | | | 2,540 | | | $ | 2,559,375 | |
4.63%, 3/01/34 | | | | | | | 2,135 | | | | 2,182,194 | |
Western Gas Partners LP, 5.38%, 6/01/21 | | | | | | | 5,302 | | | | 5,813,134 | |
The Williams Cos., Inc.: | | | | | | | | | | | | |
7.88%, 9/01/21 | | | | | | | 1,899 | | | | 2,256,265 | |
3.70%, 1/15/23 | | | | | | | 2,747 | | | | 2,492,859 | |
Williams Partners LP, 5.40%, 3/04/44 | | | | | | | 1,990 | | | | 2,041,995 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | 126,571,104 | |
Paper & Forest Products — 0.3% | | | | | | | | | | | | |
International Paper Co., 4.75%, 2/15/22 | | | | | | | 10,341 | | | | 11,181,186 | |
Pharmaceuticals — 0.6% | | | | | | | | | | | | |
AbbVie, Inc., 4.40%, 11/06/42 | | | | | | | 3,895 | | | | 3,810,436 | |
Actavis, Inc.: | | | | | | | | | | | | |
3.25%, 10/01/22 | | | | | | | 4,070 | | | | 3,901,799 | |
4.63%, 10/01/42 | | | | | | | 3,865 | | | | 3,693,510 | |
Bayer Nordic SE, 0.54%, 3/28/17 (a) | | | EUR | | | | 1,700 | | | | 2,342,720 | |
Bristol-Myers Squibb Co.,
4.50%, 3/01/44 | | | USD | | | | 4,623 | | | | 4,648,390 | |
Teva Pharmaceutical Finance Co. BV,
3.65%, 11/10/21 | | | | | | | 2,170 | | | | 2,173,607 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | 20,570,462 | |
Professional Services — 0.0% | | | | | | | | | | | | |
TMF Group Holding BV, 9.88%, 12/01/19 | | | EUR | | | | 326 | | | | 501,887 | |
Real Estate Investment Trusts (REITs) — 0.3% | | | | | | | | | | | | |
ARC Properties Operating Partnership LP/Clark Acquisition LLC, 3.00%, 2/06/19 (b) | | | USD | | | | 4,050 | | | | 4,031,548 | |
GELF Bond Issuer I SA, 3.13%, 4/03/18 | | | EUR | | | | 1,795 | | | | 2,577,612 | |
GLP Capital LP/GLP Financing II, Inc.: | | | | | | | | | | | | |
4.38%, 11/01/18 (b) | | | USD | | | | 226 | | | | 231,933 | |
4.88%, 11/01/20 (b) | | | | | | | 355 | | | | 364,319 | |
Ventas Realty LP/Ventas Capital Corp.,
2.70%, 4/01/20 | | | | | | | 1,302 | | | | 1,267,334 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | 8,472,746 | |
Real Estate Management & Development — 0.1% | | | | | | | | | |
The Unique Pub Finance Co. PLC: | | | | | | | | | | | | |
Series A3, 6.54%, 3/30/21 | | | GBP | | | | 474 | | | | 830,061 | |
Series A4, 5.66%, 6/30/27 | | | | | | | 1,526 | | | | 2,560,898 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | 3,390,959 | |
Road & Rail — 0.1% | | | | | | | | | | | | |
Burlington Northern Santa Fe LLC: | | | | | | | | | | | | |
3.00%, 3/15/23 | | | USD | | | | 1,440 | | | | 1,359,101 | |
3.75%, 4/01/24 | | | | | | | 722 | | | | 724,086 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | 2,083,187 | |
Software — 0.1% | | | | | | | | | | | | |
First Data Corp., 7.38%, 6/15/19 (b) | | | | | | | 2,290 | | | | 2,461,750 | |
Specialty Retail — 0.2% | | | | | | | | | | | | |
DFS Furniture Holdings PLC,
7.63%, 8/15/18 | | | GBP | | | | 278 | | | | 498,224 | |
Dufry Finance SCA, 5.50%, 10/15/20 (b) | | | USD | | | | 1,760 | | | | 1,833,498 | |
House of Fraser Funding PLC,
8.88%, 8/15/18 | | | GBP | | | | 891 | | | | 1,611,682 | |
Marks & Spencer PLC, 4.75%, 6/12/25 | | | | | | | 800 | | | | 1,342,586 | |
Phosphorus Holdco PLC,
10.00% (10.00% Cash or 10.50% PIK), 4/01/19 (c) | | | | | | | 100 | | | | 160,879 | |
| | | | | | | | | | | | |
| Corporate Bonds | | Par
(000) | | | Value | |
Specialty Retail (concluded) | | | | | | | | | | | | |
Punch Taverns Finance B Ltd.: | | | | | | | | | | | | |
Series A6, 5.94%, 12/30/24 | | | GBP | | | | 176 | | | $ | 287,548 | |
Series A7, 4.77%, 6/30/33 | | | | | | | 849 | | | | 1,352,428 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | 7,086,845 | |
Technology Hardware, Storage & Peripherals — 0.1% | | | | | |
Hewlett-Packard Co., 3.75%, 12/01/20 | | | USD | | | | 4,145 | | | | 4,210,512 | |
Thrifts & Mortgage Finance — 0.0% | | | | | | | | | | | | |
Abbey National Treasury Services PLC,
2.00%, 1/14/19 | | | EUR | | | | 605 | | | | 843,750 | |
Achmea Hypotheekbank NV,
2.75%, 2/18/21 | | | | | | | 625 | | | | 876,603 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | 1,720,353 | |
Tobacco — 0.3% | | | | | | | | | | | | |
Altria Group, Inc., 4.00%, 1/31/24 | | | USD | | | | 2,317 | | | | 2,321,391 | |
Philip Morris International, Inc.: | | | | | | | | | | | | |
1.88%, 1/15/19 | | | | | | | 4,996 | | | | 4,931,122 | |
4.88%, 11/15/43 | | | | | | | 1,638 | | | | 1,689,877 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | 8,942,390 | |
Trading Companies & Distributors — 0.3% | | | | | | | | | | | | |
Aircastle Ltd., 6.25%, 12/01/19 | | | | | | | 2,100 | | | | 2,268,000 | |
H&E Equipment Services, Inc.,
7.00%, 9/01/22 | | | | | | | 1,605 | | | | 1,765,500 | |
United Rentals North America, Inc.: | | | | | | | | | | | | |
5.75%, 7/15/18 | | | | | | | 753 | | | | 805,710 | |
7.38%, 5/15/20 | | | | | | | 3,535 | | | | 3,901,756 | |
7.63%, 4/15/22 | | | | | | | 1,874 | | | | 2,101,223 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | 10,842,189 | |
Transportation Infrastructure — 0.0% | | | | | | | | | | | | |
Gategroup Finance Luxembourg SA,
6.75%, 3/01/19 | | | EUR | | | | 300 | | | | 446,402 | |
Wireless Telecommunication Services — 0.9% | | | | | | | | | |
America Movil SAB de CV,
2.38%, 9/08/16 | | | USD | | | | 8,225 | | | | 8,463,525 | |
Crown Castle International Corp.,
5.25%, 1/15/23 | | | | | | | 2,235 | | | | 2,271,319 | |
Play Finance 1 SA, 6.50%, 8/01/19 | | | EUR | | | | 405 | | | | 583,059 | |
Play Finance 2 SA, 5.25%, 2/01/19 | | | | | | | 210 | | | | 295,094 | |
Sprint Communications, Inc.,
9.00%, 11/15/18 (b) | | | USD | | | | 10,660 | | | | 13,031,850 | |
Sprint Corp., 7.88%, 9/15/23 (b) | | | | | | | 3,190 | | | | 3,509,000 | |
T-Mobile USA, Inc.: | | | | | | | | | | | | |
6.63%, 4/28/21 | | | | | | | 1,230 | | | | 1,322,250 | |
6.73%, 4/28/22 | | | | | | | 1,180 | | | | 1,264,075 | |
6.84%, 4/28/23 | | | | | | | 375 | | | | 402,187 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | 31,142,359 | |
Total Corporate Bonds — 31.1% | | | | | | | | | | | 1,044,251,563 | |
| | | | | | | | | | | | |
| Floating Rate Loan Interests (a) | | | | | | | | | |
Capital Markets — 0.0% | | | | | | | | | | | | |
Hellios BV, Facility D2, 4.25%, 9/30/20 | | | | | | | 1,300 | | | | 1,808,309 | |
Containers & Packaging — 0.0% | | | | | | | | | | | | |
Ardagh Holdings USA, Inc. (Ardagh Packaging Finance SA), Incremental Term Loan B, 3.00%, 12/17/19 | | | | | | | 510 | | | | 509,786 | |
Diversified Telecommunication Services — 0.7% | | | | | | | | | |
Intelsat Jackson Holdings SA, Tranche B-2 Term Loan, 3.75%, 6/30/19 | | | | | | | 12,002 | | | | 12,021,166 | |
Level 3 Financing, Inc., Tranche B 2020 Term Loan, 4.00%, 1/15/20 | | | | | | | 8,090 | | | | 8,100,113 | |
See Notes to Consolidated Financial Statements.
| | | | | | |
| | | BLACKROCK BALANCED CAPITAL FUND, INC. | | MARCH 31, 2014 | | 39 |
| | | | |
| Consolidated Schedule of Investments (continued) | | | Master Total Return Portfolio | |
| | | (Percentages shown are based on Net Assets) | |
| | | | | | | | | | | | |
| Floating Rate Loan Interests (a) | | Par
(000) | | | Value | |
Diversified Telecommunication Services (concluded) | | | | | | | | | |
Ziggo BV: | | | | | | | | | | | | |
EUR B1 Facility, 3.50%, 1/15/22 | | | USD | | | | 631 | | | $ | 864,636 | |
EUR B2 Facility, 3.50%, 1/15/22 | | | | | | | 407 | | | | 557,011 | |
EUR B3 Facility, 2.75%, 1/15/22 | | | | | | | 669 | | | | 916,903 | |
EUR B4 Facility, 3.00%, 1/15/22 | | | | | | | 473 | | | | 648,104 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | 23,107,933 | |
Health Care Providers & Services — 0.0% | | | | | | | | | | | | |
Emdeon, Inc., Term B-2 Loan,
3.75%, 11/02/18 | | | | | | | 917 | | | | 916,606 | |
Hotels, Restaurants & Leisure — 0.9% | | | | | | | | | | | | |
BRE/Lauderdale Grande LLC, Mezzanine Loan, 7.35%, 3/09/16 | | | | | | | 6,540 | | | | 6,540,000 | |
Caesars Entertainment Resort Properties LLC, Term B Loan, 7.00%, 10/11/20 | | | | | | | 5,771 | | | | 5,840,592 | |
Hilton Worldwide Finance LLC, Initial Term Loan,
3.75%, 10/26/20 | | | | 12,699 | | | | 12,713,281 | |
Motel 6, Loan, 10.00%, 10/15/17 | | | | | | | 5,991 | | | | 6,245,502 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | 31,339,375 | |
Life Sciences Tools & Services — 0.0% | | | | | | | | | | | | |
Pharmaceutical Product Development, Inc.
(Jaguar Holdings LLC), 2013 Term Loan, 4.00%, 12/05/18 | | | | | | | 978 | | | | 979,375 | |
Multiline Retail — 0.1% | | | | | | | | | | | | |
Hema Holding BV: | | | | | | | | | | | | |
Extended Facility C, 4.38%, 12/05/17 | | | | | | | 1,100 | | | | 1,428,923 | |
Extended Facility D, 5.75%, 1/05/18 | | | | | | | 630 | | | | 782,216 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | 2,211,139 | |
Oil, Gas & Consumable Fuels — 0.2% | | | | | | | | | | | | |
Obsidian Natural Gas Trust, Loan,
7.00%, 11/02/15 | | | | | | | 5,114 | | | | 5,177,918 | |
Pharmaceuticals — 0.1% | | | | | | | | | | | | |
inVentiv Health, Inc. (FKA Ventive Health, Inc.), Consolidated Term Loan, 7.50%, 8/04/16 | | | | | | | 2,649 | | | | 2,646,070 | |
Real Estate Investment Trusts (REITs) — 0.0% | | | | | | | | | |
iStar Financial, Inc., Loan, 4.50%, 10/15/17 | | | | | | | 417 | | | | 418,410 | |
Real Estate Management & Development — 0.0% | | | | | | | | | |
Realogy Corp., Extended Synthetic Commitment, 0.00% - 4.40%, 10/10/16 | | | | | | | 177 | | | | 177,546 | |
Software — 0.2% | | | | | | | | | | | | |
First Data Corp., 2018 Dollar Term Loan,,
4.15%, 3/23/18 | | | | | | | 6,090 | | | | 6,100,061 | |
Total Floating Rate Loan Interests — 2.2% | | | | | | | | | | | 75,392,528 | |
| | | | | | | | | | | | |
| Foreign Agency Obligations | | | | | | | | | |
Brazil — 0.9% | | | | | | | | | | | | |
Petrobras Global Finance BV: | | | | | | | | | | | | |
4.88%, 3/17/20 | | | | | | | 3,930 | | | | 3,938,658 | |
6.25%, 3/17/24 | | | | | | | 8,440 | | | | 8,695,403 | |
5.38%, 10/01/29 | | | GBP | | | | 185 | | | | 269,880 | |
6.63%, 1/16/34 | | | | | | | 530 | | | | 850,069 | |
7.25%, 3/17/44 | | | USD | | | | 1,187 | | | | 1,218,486 | |
Petrobras International Finance Co.,
3.88%, 1/27/16 | | | | | | | 15,335 | | | | 15,748,110 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | 30,720,606 | |
| | | | | | | | | | | | |
| Foreign Agency Obligations | | Par
(000) | | | Value | |
Canada — 0.0% | | | | | | | | | | | | |
Nexen Energy ULC, 5.88%, 3/10/35 | | | USD | | | | 250 | | | $ | 272,842 | |
Germany — 0.1% | | | | | | | | | | | | |
HSH Nordbank AG: | | | | | | | | | | | | |
1.09%, 2/14/17 (a) | | | EUR | | | | 289 | | | | 304,579 | |
1.13%, 2/14/17 (a) | | | | | | | 1,661 | | | | 1,748,252 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | 2,052,831 | |
Mexico — 0.1% | | | | | | | | | | | | |
Petroleos Mexicanos, 3.50%, 1/30/23 | | | USD | | | | 2,805 | | | | 2,639,505 | |
Norway — 0.2% | | | | | | | | | | | | |
Eksportfinans ASA, 5.50%, 6/26/17 | | | | | | | 275 | | | | 291,844 | |
Statoil ASA, 2.90%, 11/08/20 | | | | | | | 6,595 | | | | 6,653,610 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | 6,945,454 | |
Portugal — 0.1% | | | | | | | | | | | | |
Caixa Geral de Depositos SA, 5.63%, 12/04/15 | | | EUR | | | | 2,000 | | | | 2,930,001 | |
Total Foreign Agency Obligations — 1.4% | | | | | | | | | | | 45,561,239 | |
| | | | | | | | | | | | |
| Foreign Government Obligations | | | | | | | | | |
Brazil — 0.4% | | | | | | | | | | | | |
Federative Republic of Brazil, 4.25%, 1/07/25 | | | USD | | | | 14,050 | | | | 13,593,375 | |
Colombia — 0.1% | | | | | | | | | | | | |
Republic of Colombia, 4.00%, 2/26/24 | | | | | | | 4,410 | | | | 4,365,900 | |
Greece — 0.1% | | | | | | | | | | | | |
Hellenic Republic, 2.00%, 2/24/23 (d) | | | EUR | | | | 3,205 | | | | 3,460,784 | |
Indonesia — 0.3% | | | | | | | | | | | | |
Indonesia Government International Bond, 5.38%, 10/17/23 | | | USD | | | | 6,125 | | | | 6,354,687 | |
Republic of Indonesia, 5.88%, 1/15/24 | | | | | | | 2,720 | | | | 2,920,600 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | 9,275,287 | |
Italy — 0.3% | | | | | | | | | | | | |
Buoni Poliennali Del Tesoro: | | | | | | | | | | | | |
5.50%, 11/01/22 | | | EUR | | | | 6,200 | | | | 10,098,073 | |
4.50%, 5/01/23 | | | | | | | 30 | | | | 45,730 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | 10,143,803 | |
Mexico — 0.4% | | | | | | | | | | | | |
United Mexican States, 4.00%, 10/02/23 | | | USD | | | | 12,115 | | | | 12,236,150 | |
Netherlands — 4.4% | | | | | | | | | | | | |
Kingdom of the Netherlands, 1.25%, 1/15/18 | | | EUR | | | | 104,000 | | | | 147,002,962 | |
Peru — 0.1% | | | | | | | | | | | | |
Peruvian Government International Bond, 7.35%, 7/21/25 | | | USD | | | | 2,470 | | | | 3,177,037 | |
Portugal — 0.4% | | | | | | | | | | | | |
Republic of Portugal, 3.50%, 3/25/15 | | | | | | | 12,800 | | | | 12,973,658 | |
South Africa — 0.4% | | | | | | | | | | | | |
Republic of South Africa, 8.00%, 12/21/18 | | | ZAR | | | | 125,275 | | | | 11,980,850 | |
Spain — 0.3% | | | | | | | | | | | | |
Autonomous Community of Madrid Spain, 3.00%, 7/29/14 | | | CHF | | | | 410 | | | | 466,696 | |
Autonomous Community of Valencia Spain: | | | | | | | | | | | | |
3.25%, 7/06/15 | | | EUR | | | | 1,280 | | | | 1,786,325 | |
4.38%, 7/16/15 | | | | | | | 1,860 | | | | 2,647,823 | |
Kingdom of Spain, 5.40%, 1/31/23 | | | | | | | 3,330 | | | | 5,413,504 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | 10,314,348 | |
See Notes to Consolidated Financial Statements.
| | | | | | |
| 40 | | BLACKROCK BALANCED CAPITAL FUND, INC. | | MARCH 31, 2014 | | |
| | | | |
| Consolidated Schedule of Investments (continued) | | | Master Total Return Portfolio | |
| | | (Percentages shown are based on Net Assets) | |
| | | | | | | | | | | | |
| Foreign Government Obligations | | Par
(000) | | | Value | |
Turkey — 0.2% | | | | | | | | | | | | |
Turkey Government International Bond,
5.75%, 3/22/24 | | | USD | | | | 7,740 | | | $ | 8,007,030 | |
Total Foreign Government Obligations — 7.4% | | | | | | | | 246,531,184 | |
| | | | | | | | | | | | |
| Non-Agency Mortgage-Backed Securities | | | | | | | | | |
Collateralized Mortgage Obligations — 4.0% | | | | | | | | | | | | |
BlackRock Capital Finance LP, Series 1997-R2, Class AP, 1.08%, 12/25/35 (a)(b)(e) | | | | | | | 7 | | | | 6,999 | |
Citigroup Mortgage Loan Trust, Series 2007-2, Class 2A, 6.00%, 11/25/36 | | | | | | | 190 | | | | 178,087 | |
Collateralized Mortgage Obligation Trust,
Series 57, Class D, 9.90%, 2/01/19 | | | | | | | 5 | | | | 6,141 | |
Countrywide Alternative Loan Trust: | | | | | | | | | | | | |
Series 2005-21CB, Class A17, 6.00%, 6/25/35 | | | | | | | 12,176 | | | | 12,103,536 | |
Series 2006-43CB, Class 1A10, 6.00%, 2/25/37 | | | | | | | 5,090 | | | | 4,135,656 | |
Series 2006-J4, Class 2A8, 6.00%, 7/25/36 | | | | | | | 9,829 | | | | 7,929,233 | |
Series 2006-OA21, Class A1, 0.35%, 3/20/47 (a) | | | | | | | 20,877 | | | | 16,296,748 | |
Series 2007-22, Class 2A16, 6.50%, 9/25/37 | | | | | | | 21,729 | | | | 17,665,859 | |
Countrywide Home Loan Mortgage
Pass-Through Trust: | | | | | | | | | | | | |
Series 2004-29, Class 1A1, 0.69%, 2/25/35 (a) | | | | | | | 813 | | | | 761,875 | |
Series 2005-HYB9, Class 2A1, 2.42%, 2/20/36 (a) | | | | | | | 13,642 | | | | 11,588,377 | |
Credit Suisse Mortgage Capital Certificates: | | | | | | | | | | | | |
Series 2010-20R, Class 9A1, 2.60%, 1/27/36 (a)(b) | | | | | | | 6,485 | | | | 6,448,213 | |
Series 2011-2R, Class 1A1, 2.60%, 3/27/37 (a)(b) | | | | | | | 3,301 | | | | 3,224,355 | |
Series 2011-2R, Class 2A1, 2.61%, 7/27/36 (a)(b) | | | | | | | 11,340 | | | | 11,217,812 | |
Series 2011-5R, Class 3A1, 4.96%, 9/27/47 (a)(b) | | | | | | | 4,631 | | | | 4,552,652 | |
Deutsche Alt-A Securities Mortgage Loan Trust, Series 2007-RMP1, Class A2,
0.30%, 12/25/36 (a) | | | | | | | 4,895 | | | | 3,982,106 | |
First Horizon Mortgage Pass-Through Trust, Series 2005-AR3, Class 3A1,
2.59%, 8/25/35 (a) | | | | | | | 1,503 | | | | 1,366,771 | |
Gemgarto, Series 2012-1, Class A1,
3.47%, 5/14/45 (a) | | | GBP | | | | 1,066 | | | | 1,830,859 | |
GSR Mortgage Loan Trust, Series 2005-AR2, Class 2A1, 2.75%, 4/25/35 (a) | | | USD | | | | 4,124 | | | | 4,117,349 | |
HomeBanc Mortgage Trust: | | | | | | | | | | | | |
Series 2005-4, Class A1, 0.42%, 10/25/35 (a) | | | | | | | 20,228 | | | | 17,907,825 | |
Series 2006-2, Class A1, 0.33%, 12/25/36 (a) | | | | | | | 5,474 | | | | 4,733,041 | |
Impac Secured Assets CMN Owner Trust, Series 2004-3, Class 1A4, 0.95%, 11/25/34 (a) | | | | | | | 948 | | | | 925,916 | |
Paragon Mortgages No. 13 PLC, Series 13X, Class A2C, 0.42%, 1/15/39 (a) | | | | | | | 486 | | | | 447,758 | |
Residential Mortgage Securities PLC, Series 26, Class A1, 2.77%, 2/14/41 (a) | | | GBP | | | | 1,805 | | | | 3,136,187 | |
| | | | | | | | | | | | |
| Non-Agency Mortgage-Backed Securities | | Par
(000) | | | Value | |
Collateralized Mortgage Obligations (concluded) | | | | | |
Silk Road Finance Number Three PLC, Series 2012-1, Class A, 1.88%, 6/21/55 (a) | | | GBP | | | | 765 | | | $ | 1,294,898 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | 135,858,253 | |
Commercial Mortgage-Backed Securities — 11.0% | | | | | | | | | |
Banc of America Commercial Mortgage Trust: | | | | | | | | | | | | |
Series 2007-3, Class A1A, 5.60%, 6/10/49 (a) | | | USD | | | | 8,599 | | | | 9,321,483 | |
Series 2007-3, Class A4, 5.60%, 6/10/49 (a) | | | | | | | 2,730 | | | | 3,007,231 | |
Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2005-3, Class A3A, 4.62%, 7/10/43 | | | | | | | 850 | | | | 862,998 | |
Bear Stearns Commercial Mortgage Securities Trust: | | | | | | | | | | | | |
Series 2006-PW14, Class A1A, 5.19%, 12/11/38 | | | | | | | 7,486 | | | | 8,179,143 | |
Series 2007-PW15, Class A1A, 5.32%, 2/11/44 | | | | | | | 5,176 | | | | 5,626,087 | |
Series 2007-PW17, Class A1A, 5.65%, 6/11/50 (a) | | | | | | | 5,197 | | | | 5,747,580 | |
Citigroup Commercial Mortgage Trust: | | | | | | | | | | | | |
Series 2014-GC19, Class A3, 3.75%, 3/10/47 | | | | | | | 2,785 | | | | 2,812,813 | |
Series 2014-GC19, Class A4, 4.02%, 3/10/47 | | | | | | | 4,235 | | | | 4,361,733 | |
Citigroup/Deutsche Bank Commercial Mortgage Trust: | | | | | | | | | | | | |
Series 2007-CD4, Class AMFX, 5.37%, 12/11/49 (a) | | | | | | | 5,945 | | | | 6,233,237 | |
Series 2007-CD5, Class AMA, 6.12%, 11/15/44 (a) | | | | | | | 640 | | | | 715,555 | |
Commercial Mortgage Pass-Through Certificates: | | | | | | | | | | | | |
Series 2010-RR1, Class GEB, 5.54%, 12/11/49 (a)(b) | | | | | | | 2,260 | | | | 2,426,261 | |
Series 2012-LTRT, Class A2, 3.40%, 10/05/30 (b) | | | | | | | 3,755 | | | | 3,564,584 | |
Series 2013-CR11, Class AM, 4.72%, 9/10/23 (a) | | | | | | | 1,385 | | | | 1,476,773 | |
Series 2013-FL3, Class A, 1.67%, 10/13/16 (a)(b) | | | | | | | 6,320 | | | | 6,358,337 | |
Series 2013-GAM, Class A2, 3.37%, 2/10/28 (b) | | | | | | | 4,900 | | | | 4,767,739 | |
Series 2014-CR14, Class B, 4.62%, 2/10/47 (a) | | | | | | | 2,900 | | | | 3,026,965 | |
Series 2014-UBS2, Class A5, 3.96%, 3/10/47 | | | | | | | 3,045 | | | | 3,124,009 | |
Credit Suisse First Boston Mortgage Securities Corp., Series 2005-C3, Class AJ,
4.77%, 7/15/37 | | | | | | | 920 | | | | 942,914 | |
Credit Suisse Mortgage Capital Certificates: | | | | | | | | | | | | |
Series 2007-TF2A, Class A3, 0.43%, 4/15/22 (a)(b) | | | | | | | 3,700 | | | | 3,623,732 | |
Series 2010-RR1, Class 2A, 5.70%, 9/15/40 (a)(b) | | | | | | | 4,730 | | | | 5,134,926 | |
Del Coronado Trust, Series 2013-HDMZ, Class M, 5.17%, 3/15/18 (a)(b) | | | | | | | 3,820 | | | | 3,830,696 | |
Deutsche Bank Re-REMIC Trust: | | | | | | | | | | | | |
Series 2011-C32, Class A3A, 5.72%, 6/17/49 (a)(b) | | | | | | | 3,400 | | | | 3,661,351 | |
Series 2012-EZ1, Class A, 0.95%, 9/25/45 (b) | | | | | | | 3,639 | | | | 3,639,561 | |
Series 2013-EZ3, Class A, 1.64%, 12/18/49 (a)(b) | | | | | | | 3,909 | | | | 3,921,691 | |
See Notes to Consolidated Financial Statements.
| | | | | | |
| | | BLACKROCK BALANCED CAPITAL FUND, INC. | | MARCH 31, 2014 | | 41 |
| | | | |
| Consolidated Schedule of Investments (continued) | | | Master Total Return Portfolio | |
| | | (Percentages shown are based on Net Assets) | |
| | | | | | | | | | | | |
| Non-Agency Mortgage-Backed Securities | | Par (000) | | | Value | |
Commercial Mortgage-Backed Securities (continued) | |
Extended Stay America Trust, Series 2013-ESH7, Class A27, 2.96%, 12/05/31 (b) | | | USD | | | | 3,850 | | | $ | 3,819,793 | |
GE Capital Commercial Mortgage Corp. Trust, Series 2007-C1, Class A2, 5.42%, 12/10/49 | | | | | | | 15,269 | | | | 15,271,743 | |
German Residential Funding PLC, Series 2013-1, Class E, 4.37%, 8/27/24 (a) | | | EUR | | | | 1,181 | | | | 1,679,938 | |
Greenwich Capital Commercial Funding Corp.: | | | | | | | | | | | | |
Series 2005-GG3, Class A3, 4.57%, 8/10/42 | | | USD | | | | 323 | | | | 323,081 | |
Series 2007-GG11, Class AJ, 6.03%, 12/10/49 (a) | | | | | | | 920 | | | | 927,755 | |
Series 2007-GG11, Class AM, 5.87%, 12/10/49 (a) | | | | | | | 1,670 | | | | 1,834,772 | |
GS Mortgage Securities Corp. II, Series 2005-GG4, Class A4, 4.76%, 7/10/39 | | | | | | | 12,809 | | | | 13,188,225 | |
GS Mortgage Securities Corp. Trust,
Series 2012-SHOP, Class C,
3.63%, 6/05/31 (b) | | | | | | | 820 | | | | 830,518 | |
GS Mortgage Securities Trust, Series 2006-GG8, Class AJ, 5.62%, 11/10/39 | | | | | | | 200 | | | | 198,025 | |
Hilton USA Trust: | | | | | | | | | | | | |
Series 2013-HLT, Class DFX, 4.41%, 11/05/30 (b) | | | | | | | 2,380 | | | | 2,421,093 | |
Series 2013-HLT, Class EFX, 4.45%, 11/05/30 (a)(b) | | | | | | | 6,715 | | | | 6,794,895 | |
JPMorgan Chase Commercial Mortgage Securities Trust: | | | | | | | | | | | | |
Series 2006-CB14, Class AM, 5.45%, 12/12/44 (a) | | | | | | | 5,065 | | | | 5,411,157 | |
Series 2006-LDP8, Class AJ, 5.48%, 5/15/45 (a) | | | | | | | 2,000 | | | | 2,111,770 | |
Series 2006-LDP9, Class AM, 5.37%, 5/15/47 | | | | | | | 3,410 | | | | 3,582,611 | |
Series 2007-CB18, Class A1A, 5.43%, 6/12/47 (a) | | | | | | | 10,354 | | | | 11,331,146 | |
Series 2007-CB20, Class AJ, 6.10%, 2/12/51 (a) | | | | | | | 11,095 | | | | 11,581,538 | |
Series 2007-CB20, Class AM, 5.90%, 2/12/51 (a) | | | | | | | 1,000 | | | | 1,129,505 | |
Series 2007-LD11, Class A2, 5.80%, 6/15/49 (a) | | | | | | | 7,808 | | | | 7,811,395 | |
Series 2007-LD12, Class A1A, 5.85%, 2/15/51 (a) | | | | | | | 9,319 | | | | 10,464,529 | |
Series 2007-LDPX, Class A1A, 5.44%, 1/15/49 | | | | | | | 7,717 | | | | 8,498,628 | |
Series 2008-C2, Class ASB, 6.13%, 2/12/51 (a) | | | | | | | 1,977 | | | | 2,107,216 | |
LB-UBS Commercial Mortgage Trust: | | | | | | | | | | | | |
Series 2005-C2, Class AJ, 5.21%, 4/15/30 (a) | | | | | | | 3,055 | | | | 3,159,615 | |
Series 2007-C1, Class AJ, 5.48%, 2/15/40 | | | | | | | 5,670 | | | | 5,838,484 | |
Series 2007-C1, Class B, 5.51%, 2/15/40 | | | | | | | 1,230 | | | | 1,216,135 | |
Series 2007-C7, Class AM, 6.15%, 9/15/45 (a) | | | | | | | 2,205 | | | | 2,513,804 | |
Merrill Lynch Mortgage Trust: | | | | | | | | | | | | |
Series 2005-CKI1, Class AJ, 5.28%, 11/12/37 (a) | | | | | | | 4,160 | | | | 4,371,798 | |
Series 2007-C1, Class A1A, 5.84%, 6/12/50 (a) | | | | | | | 2,846 | | | | 3,027,946 | |
ML-CFC Commercial Mortgage Trust: | | | | | | | | | | | | |
| | | | | | | | | | | | |
| Non-Agency Mortgage-Backed Securities | | Par (000) | | | Value | |
Commercial Mortgage-Backed Securities (concluded) | |
Series 2006-1, Class AJ, 5.57%, 2/12/39 (a) | | | USD | | | | 3,100 | | | $ | 3,246,605 | |
Series 2007-9, Class ASB, 5.64%, 9/12/49 | | | | | | | 17,101 | | | | 17,413,515 | |
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-CKSV, Class CK,
4.30%, 10/15/30 (b) | | | | | | | 8,496 | | | | 7,339,416 | |
Morgan Stanley Capital I Trust: | | | | | | | | | | | | |
Series 2007-HQ12, Class A2FX, 5.58%, 4/12/49 (a) | | | | | | | 631 | | | | 644,673 | |
Series 2007-HQ12, Class AM, 5.58%, 4/12/49 (a) | | | | | | | 6,695 | | | | 7,267,443 | |
Series 2007-IQ13, Class A1A, 5.31%, 3/15/44 | | | | | | | 10,266 | | | | 11,267,140 | |
Series 2007-IQ14, Class A1A, 5.67%, 4/15/49 (a) | | | | | | | 2,941 | | | | 3,226,894 | |
Series 2007-IQ15, Class AM, 5.91%, 6/11/49 (a) | | | | | | | 7,480 | | | | 8,162,827 | |
Morgan Stanley Capital I, Inc., Series 1998-WF2, Class G, 6.34%, 7/15/30 (a)(b) | | | | | | | 697 | | | | 702,898 | |
Morgan Stanley Re-REMIC Trust: | | | | | | | | | | | | |
Series 2009-IO, Class B, 0.00%, 7/17/56 (b)(f) | | | | | | | 3,352 | | | | 3,322,844 | |
Series 2010-GG10, Class A4B, 5.82%, 8/15/45 (a)(b) | | | | | | | 1,330 | | | | 1,463,613 | |
Series 2011-IO, Class A, 2.50%, 3/23/51 (b) | | | | | | | 539 | | | | 547,155 | |
Series 2011-IO, Class B, 0.00%, 3/23/51 (b)(f) | | | | | | | 3,430 | | | | 3,344,250 | |
Series 2012-IO, Class AXB1, 1.00%, 3/27/51 (b) | | | | | | | 1,933 | | | | 1,940,555 | |
Series 2012-IO, Class AXB2, 1.00%, 3/27/51 (b) | | | | | | | 2,680 | | | | 2,638,460 | |
Series 2012-XA, Class A, 2.00%, 7/27/49 (b) | | | | | | | 4,265 | | | | 4,276,055 | |
Motel 6 Trust, Series 2012-MTL6, Class B, 2.74%, 10/05/25 (b) | | | | | | | 2,655 | | | | 2,667,266 | |
New York Mortgage Securitization Trust, Series 2012-1, Class A, 6.65%, 12/27/47 (a)(b) | | | | | | | 12,069 | | | | 12,069,000 | |
RBSCF Trust, Series 2010-RR3, Class WBTA, 5.95%, 2/16/51 (a)(b) | | | | | | | 14,186 | | | | 15,024,125 | |
RCMC LLC, Series 2012-CRE1, Class A,
5.62%, 11/15/44 (b) | | | | | | | 6,505 | | | | 6,666,511 | |
SCG Trust, Series 2013-SRP1, Class AJ,
2.11%, 11/15/26 (a)(b) | | | | | | | 2,775 | | | | 2,775,966 | |
SMA Issuer I LLC, Series 2012-LV1, Class A, 3.50%, 8/20/25 (b) | | | | | | | 727 | | | | 726,015 | |
STRIPs Ltd., Series 2012-1A, Class A,
1.50%, 12/25/44 (b) | | | | | | | 6,363 | | | | 6,299,370 | |
Wachovia Bank Commercial Mortgage Trust: | | | | | | | | | | | | |
Series 2006-WL7A, Class H, 0.56%, 9/15/21 (a)(b) | | | | | | | 3,690 | | | | 3,553,020 | |
Series 2007-C33, Class AJ, 5.95%, 2/15/51 (a) | | | | | | | 3,775 | | | | 3,916,230 | |
Wells Fargo Resecuritization Trust,
Series 2012-IO, Class A,
1.75%, 8/20/21 (b) | | | | | | | 3,523 | | | | 3,525,586 | |
WF-RBS Commercial Mortgage Trust, Series 2013-C11, Class A4, 3.04%, 3/15/45 | | | | | | | 5,745 | | | | 5,566,308 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | 367,408,254 | |
See Notes to Consolidated Financial Statements.
| | | | | | |
| 42 | | BLACKROCK BALANCED CAPITAL FUND, INC. | | MARCH 31, 2014 | | |
| | | | |
| Consolidated Schedule of Investments (continued) | | | Master Total Return Portfolio | |
| | | (Percentages shown are based on Net Assets) | |
| | | | | | | | | | | | |
| Non-Agency Mortgage-Backed Securities | | Par (000) | | | Value | |
Interest Only Commercial Mortgage-Backed Securities — 0.8% | |
Citigroup Commercial Mortgage Trust, Series 2013-GC15, Class XA,
1.30%, 9/10/46 (a) | | | USD | | | | 15,787 | | | $ | 1,141,001 | |
Commercial Mortgage Pass-Through Certificates: | | | | | | | | | | | | |
Series 2012-CR1, Class XA, 2.22%, 5/15/45 (a) | | | | | | | 21,636 | | | | 2,522,374 | |
Series 2013-CR6, Class XA, 1.55%, 3/10/46 (a) | | | | | | | 54,635 | | | | 4,050,073 | |
GS Mortgage Securities Corp. II, Series 2013-KYO, Class XB1,
3.25%, 11/08/29 (a)(b) | | | | | | | 49,680 | | | | 1,908,855 | |
GS Mortgage Securities Corp. Trust, Series 2014-GC20, Class XA, 1.23%, 4/10/47 | | | | | | | 9,755 | | | | 785,249 | |
Hilton USA Trust, Series 2013-HLT,
Class X1FX, 1.67%, 11/05/30 (a)(b) | | | | | | | 54,590 | | | | 679,427 | |
JPMBB Commercial Mortgage Securities Trust, Series 2014-C18, Class XA, 1.18%, 2/15/47 (a) | | | | | | | 9,675 | | | | 692,736 | |
JPMorgan Chase Commercial Mortgage Securities Trust: | | | | | | | | | | | | |
Series 2012-CBX, Class XA, 2.00%, 6/15/45 (a) | | | | | | | 20,529 | | | | 1,965,337 | |
Series 2013-LC11, Class XA, 1.58%, 4/15/46 (a) | | | | | | | 25,901 | | | | 2,428,295 | |
Series 2013-LC11, Class XB, 0.59%, 4/15/46 (a) | | | | | | | 4,570 | | | | 199,842 | |
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C7,
Class XA, 1.74%, 2/15/46 (a) | | | | | | | 21,990 | | | | 2,120,982 | |
WaMu Commercial Mortgage Securities Trust, Series 2005-C1A, Class X, 0.82%, 5/25/36 (a)(b) | | | | | | | 1,023 | | | | 15,861 | |
WF-RBS Commercial Mortgage Trust: | | | | | | | | | | | | |
Series 2012-C10, Class XA, 1.82%, 12/15/45 (a)(b) | | | | | | | 36,155 | | | | 3,800,107 | |
Series 2013-C15, Class XA, 0.71%, 8/15/46 (a) | | | | | | | 41,172 | | | | 1,693,345 | |
Series 2014-LC14, Class XA, 1.48%, 3/15/47 (a) | | | | | | | 23,705 | | | | 2,161,213 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | 26,164,697 | |
Total Non-Agency Mortgage-Backed Securities — 15.8% | | | | 529,431,204 | |
| | | | | | | | | | | | |
| Other Interests (g) | | | | | Beneficial Interest
(000) | | | | |
Capital Markets — 0.0% | | | | | | | | | | | | |
Lehman Brothers Holdings Capital
Trust VII (h)(i) | | | | | | | 1,888 | | | | — | |
Lehman Brothers Holdings, Inc. (h)(i) | | | | | | | 7,360 | | | | 1 | |
Total Other Interests — 0.0% | | | | | | | | | | | 1 | |
| | | | | | | | | | | | |
| Preferred Securities | | | | | | | | | |
| | | |
| Capital Trusts | | | | | Par (000) | | | | |
Automobiles — 0.2% | | | | | | | | | | | | |
Volkswagen International Finance NV: | | | | | | | | | | | | |
3.75% (a)(j) | | | EUR | | | | 1,150 | | | | 1,575,597 | |
4.63% (a)(j) | | | | | | | 3,420 | | | | 4,741,007 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | 6,316,604 | |
| | | | | | | | | | | | |
| Capital Trusts | | Par (000) | | | Value | |
Banks — 0.5% | | | | | | | | | | | | |
Banco Bilbao Vizcaya Argentaria SA: | | | | | | | | | | | | |
7.00% (a)(j) | | | EUR | | | | 1,000 | | | $ | 1,390,745 | |
9.00% (a)(j) | | | USD | | | | 1,000 | | | | 1,083,750 | |
Banco Popular Espanol SA, 11.50% (a)(j) | | | EUR | | | | 900 | | | | 1,410,376 | |
Banco Santander SA, 6.25% (a)(j) | | | | | | | 1,500 | | | | 2,040,655 | |
Barclays Bank PLC, 4.75% (a)(j) | | | | | | | 410 | | | | 503,413 | |
Barclays PLC: | | | | | | | | | | | | |
8.00% (a)(j) | | | | | | | 932 | | | | 1,348,175 | |
8.25% (a)(j) | | | USD | | | | 2,275 | | | | 2,388,750 | |
Credit Agricole SA, 7.88% (a)(b)(j) | | | | | | | 300 | | | | 316,875 | |
Danske Bank A/S, 5.75% (a)(j) | | | EUR | | | | 1,675 | | | | 2,304,691 | |
Lloyds Banking Group PLC, 6.38% (a)(j) | | | | | | | 1,266 | | | | 1,787,717 | |
RBS Capital Trust B, 6.80% (j) | | | USD | | | | 360 | | | | 354,600 | |
Societe Generale SA: | | | | | | | | | | | | |
6.75% (a)(j) | | | EUR | | | | 1,575 | | | | 2,196,933 | |
8.25% (a)(j) | | | USD | | | | 370 | | | | 398,675 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | 17,525,355 | |
Capital Markets — 0.0% | | | | | | | | | | | | |
Credit Suisse Group AG, 7.50% (a)(j) | | | | | | | 730 | | | | 792,963 | |
State Street Capital Trust IV, 1.23%, 6/01/77 (a) | | | | | | | 770 | | | | 631,400 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | 1,424,363 | |
Chemicals — 0.0% | | | | | | | | | | | | |
Solvay Finance SA, 4.20% (a)(j) | | | EUR | | | | 310 | | | | 430,277 | |
Diversified Financial Services — 0.2% | | | | | | | | | | | | |
HBOS Capital Funding LP, 6.85% (j) | | | USD | | | | 346 | | | | 347,730 | |
JPMorgan Chase & Co., Series S, 6.75% (a)(j) | | | | | | | 1,034 | | | | 1,088,285 | |
Nationwide Building Society, 6.88% (a)(j) | | | GBP | | | | 2,175 | | | | 3,621,495 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | 5,057,510 | |
Electric Utilities — 0.2% | | | | | | | | | | | | |
Electricite de France: | | | | | | | | | | | | |
5.00% (a)(j) | | | EUR | | | | 600 | | | | 854,327 | |
7.00% (a)(j) | | | GBP | | | | 600 | | | | 1,019,589 | |
Enel SpA: | | | | | | | | | | | | |
8.75%, 9/24/73 (a)(b) | | | USD | | | | 1,375 | | | | 1,542,887 | |
5.25%, 1/15/75 (a) | | | EUR | | | | 464 | | | | 650,739 | |
6.63%, 9/15/76 (a) | | | GBP | | | | 660 | | | | 1,136,182 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | 5,203,724 | |
Insurance — 0.2% | | | | | | | | | | | | |
MetLife Capital Trust IV, 7.88%, 12/15/67 (b) | | | USD | | | | 1,841 | | | | 2,172,380 | |
Vienna Insurance Group AG Wiener Versicherung Gruppe, 5.75%, 10/09/43 (a) | | | EUR | | | | 700 | | | | 1,037,079 | |
XL Group PLC, 6.50% (a)(j) | | | USD | | | | 4,705 | | | | 4,628,544 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | 7,838,003 | |
Media — 0.1% | | | | | | | | | | | | |
NBCUniversal Enterprise, Inc., 5.25% (b)(j) | | | | | | | 3,600 | | | | 3,636,000 | |
Total Capital Trusts — 1.4% | | | | | | | | | | | 47,431,836 | |
| | | | | | | | | | | | |
| | | | | | | | | | |
See Notes to Consolidated Financial Statements.
| | | | | | |
| | | BLACKROCK BALANCED CAPITAL FUND, INC. | | MARCH 31, 2014 | | 43 |
| | | | |
| Consolidated Schedule of Investments (continued) | | | Master Total Return Portfolio | |
| | | (Percentages shown are based on Net Assets) | |
| | | | | | | | | | | | |
| Preferred Stocks | |
Shares | | | Value | |
Capital Markets — 0.1% | | | | | | | | | | | | |
State Street Corp., 5.90% | | | | | | | 55,294 | | | $ | 1,431,562 | |
Commercial Banks — 0.0% | | | | | | | | | | | | |
Royal Bank of Scotland Group PLC, 6.13% | | | | | | | 1,919 | | | | 42,314 | |
Royal Bank of Scotland Group PLC, 6.60% | | | | | | | 9,596 | | | | 221,668 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | 263,982 | |
Electric Utilities — 0.0% | | | | | | | | | | | | |
SCE Trust III, 5.75% | | | | | | | 19,516 | | | | 499,610 | |
Total Preferred Stocks — 0.1% | | | | 2,195,154 | |
| | | | | | | | | | | | |
| Trust Preferreds | | | | | | | | | |
Diversified Financial Services — 0.3% | | | | | | | | | | | | |
Citigroup Capital XIII, 7.88%, 10/30/40 (a) | | | | | | | 349,440 | | | | 9,693,466 | |
Electric Utilities — 0.0% | | | | | | | | | | | | |
SSE PLC, 5.03% (a)(j) | | | 1,226,000 | | | | 1,744,968 | |
Total Trust Preferreds — 0.3% | | | | 11,438,434 | |
Total Preferred Securities — 1.8% | | | | 61,065,424 | |
| | | | | | | | | | | | |
| Taxable Municipal Bonds | | | | | Par
(000) | | | | |
California Educational Facilities Authority RB,
5.00%, 10/01/32 | | | USD | | | | 1,750 | | | | 2,164,995 | |
California Health Facilities Financing Authority RB, 5.00%, 8/15/51-8/15/52 | | | | | | | 12,500 | | | | 12,868,395 | |
City of Austin, TX Water & Wastewater System Revenue RB, 5.00%, 11/15/42 | | | | | | | 5,000 | | | | 5,391,650 | |
City of Houston, TX Utility System Revenue RB,
5.00%, 5/15/23 | | | | | | | 10,000 | | | | 11,907,000 | |
County of Miami-Dade, FL Aviation Revenue RB, CIFG, 5.00%, 10/01/38 | | | | | | | 8,770 | | | | 8,805,168 | |
Dallas/Fort Worth International Airport RB,
5.00%, 11/01/42-11/01/45 | | | | | | | 16,820 | | | | 16,957,334 | |
Indiana Finance Authority RB, 5.00%, 5/01/42 | | | | | | | 5,960 | | | | 6,095,173 | |
Los Angeles Community College District/CA GO,
6.60%, 8/01/42 | | | | | | | 835 | | | | 1,112,095 | |
Los Angeles Department of Water & Power RB,
5.00%, 7/01/43 | | | | | | | 10,000 | | | | 10,732,100 | |
Love Field Airport Modernization Corp RB,
5.25%, 11/01/40 | | | | | | | 1,700 | | | | 1,744,608 | |
Metropolitan Transportation Authority RB,
6.81%, 11/15/40 | | | | | | | 860 | | | | 1,114,930 | |
Municipal Electric Authority of Georgia RB,
6.64%, 4/01/57 | | | | | | | 725 | | | | 826,500 | |
New Jersey State Turnpike Authority RB,
7.41%, 1/01/40 | | | | | | | 1,059 | | | | 1,486,667 | |
New Jersey Transportation Trust Fund Authority RB, 5.00%, 6/15/42 | | | | | | | 5,000 | | | | 5,214,950 | |
New York City Municipal Water Finance Authority RB: | | | | | | | | | | | | |
5.38%, 6/15/43 | | | | | | | 4,410 | | | | 4,948,152 | |
5.50%, 6/15/43 | | | | | | | 5,285 | | | | 5,989,121 | |
New York City Water & Sewer System RB,
5.88%, 6/15/44 | | | | | | | 835 | | | | 1,002,518 | |
New York State Dormitory Authority RB, 5.39%, 3/15/40 | | | | | | | 805 | | | | 918,408 | |
New York State Thruway Authority RB, 5.00%, 1/01/27 | | | | | | | 10,000 | | | | 11,433,900 | |
Port Authority of New York & New Jersey RB,
4.96%, 8/01/46 | | | | | | | 1,395 | | | | 1,469,884 | |
Private Colleges & Universities Authority RB,
5.00%, 10/01/43 | | | | | | | 4,000 | | | | 4,353,160 | |
South Carolina State Public Service Authority RB,
5.50%, 12/01/53 | | | | | | | 5,000 | | | | 5,367,650 | |
| | | | | | | | | | | | |
| Taxable Municipal Bonds | | Par
(000) | | | Value | |
State of California GO: | | | | | | | | | | | | |
7.60%, 11/01/40 | | | USD | | | | 3,900 | | | $ | 5,492,487 | |
5.00%, 4/01/43-12/01/43 | | | | | | | 7,460 | | | | 7,945,024 | |
State of Illinois GO: | | | | | | | | | | | | |
5.10%, 6/01/33 | | | | | | | 3,735 | | | | 3,687,752 | |
5.00%, 2/01/39 | | | | | | | 7,375 | | | | 7,512,249 | |
University of California RB, 4.86%, 5/15/12 | | | | | | | 780 | | | | 739,112 | |
University of Massachusetts Building Authority RB, 5.00%, 11/01/44 | | | | | | | 15,000 | | | | 16,419,150 | |
Total Taxable Municipal Bonds — 4.9% | | | | 163,700,132 | |
| | | | | | | | | | | | |
| U.S. Government Sponsored Agency Securities | | | | |
Agency Obligations — 0.9% | | | | | | | | | | | | |
Fannie Mae, 6.63%, 11/15/30 | | | | | | | 1,450 | | | | 1,992,425 | |
Freddie Mac: | | | | | | | | | | | | |
2.50%, 4/23/14 (k) | | | | | | | 6,100 | | | | 6,109,040 | |
3.75%, 3/27/19 (l) | | | | | | | 3,650 | | | | 3,981,248 | |
4.38%, 7/17/15 (k) | | | | | | | 7,950 | | | | 8,375,412 | |
4.88%, 6/13/18 | | | | | | | 4,300 | | | | 4,892,592 | |
FREMF Mortgage Trust: | | | | | | | | | | | | |
Series 2012-K23, Class B, 3.66%, 10/25/45 | | | | | | | 3,060 | | | | 2,939,763 | |
Series 2012-K706, Class C,
4.02%, 11/25/44 (a) | | | | | | | 710 | | | | 710,229 | |
Series 2013-K713, Class B,
3.17%, 4/25/20 (a) | | | | | | | 615 | | | | 595,980 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | 29,596,689 | |
Collateralized Mortgage Obligations — 1.3% | | | | | | | | | | | | |
Fannie Mae: | | | | | | | | | | | | |
Series 2005-48, Class AR, 5.50%, 2/25/35 | | | | | | | 22 | | | | 23,390 | |
Series 2013-100, Class CA, 4.00%, 3/25/39 | | | | | | | 1,903 | | | | 2,017,005 | |
Series 2014-26, Class KA,
4.00%, 3/01/44 (m) | | | | | | | 6,000 | | | | 6,349,687 | |
Series 2014-27, Class CA,
4.00%, 11/01/43 (m) | | | | | | | 6,000 | | | | 6,341,484 | |
Series 2014-30, Class A, 4.00%, 4/01/44 (m) | | | | | | | 2,510 | | | | 2,657,165 | |
Freddie Mac: | | | | | | | | | | | | |
Series 4213, Class IG,
4.00%, 5/15/39-6/15/43 | | | | | | | 10,394 | | | | 7,349,197 | |
Series 4324, Class EA, 4.00%, 12/01/43 (m) | | | | | | | 3,425 | | | | 3,635,183 | |
Series 4325, Class MA, 4.00%, 1/01/44 (m) | | | | | | | 2,644 | | | | 2,796,864 | |
Series 4327, Class A, 4.00%, 11/01/42 (m) | | | | | | | 5,457 | | | | 5,787,831 | |
Series 4328, Class DA, 4.00%, 3/01/44 (m) | | | | | | | 2,600 | | | | 2,751,531 | |
Series 4329, Class A, 4.00%, 8/01/43 (m) | | | | | | | 2,100 | | | | 2,220,750 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | 41,930,087 | |
Commercial Mortgage-Backed Securities — 0.1% | | | | | |
Fannie Mae, Series 2006-M2, Class A2A,
5.27%, 10/25/32 (a) | | | | | | | 4,130 | | | | 4,699,322 | |
Interest Only Commercial Mortgage-Backed Securities — 0.3% | | | | | |
Fannie Mae, Series 2013-M5, Class X2,
2.39%, 1/25/21 | | | | | | | 13,189 | | | | 1,659,196 | |
See Notes to Consolidated Financial Statements.
| | | | | | |
| 44 | | BLACKROCK BALANCED CAPITAL FUND, INC. | | MARCH 31, 2014 | | |
| | | | |
| Consolidated Schedule of Investments (continued) | | | Master Total Return Portfolio | |
| | | (Percentages shown are based on Net Assets) | |
| | | | | | | | | | | | |
| U.S. Government Sponsored Agency Securities | | Par
(000) | | | Value | |
Interest Only Commercial Mortgage-Backed Securities (concluded) | |
Freddie Mac: | | | | | | | | | | | | |
Series K019, Class X1, 1.74%, 3/25/22 | | | USD | | | | 10,136 | | | $ | 1,078,384 | |
Series K707, Class X1, 1.56%, 1/25/47 | | | | | | | 22,778 | | | | 1,431,382 | |
Series K710, Class X1, 1.78%, 5/25/19 | | | | | | | 16,967 | | | | 1,307,208 | |
Series K009, Class X1, 1.49%, 8/25/20 | | | | | | | 41,313 | | | | 2,909,892 | |
Ginnie Mae, Series 2012-120, Class IO,
1.02%, 2/16/53 | | | | | | | 23,501 | | | | 1,693,380 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | 10,079,442 | |
Mortgage-Backed Securities — 52.9% | | | | | | | | | | | | |
Fannie Mae Mortgage-Backed Securities: | | | | | | | | | | | | |
2.23%, 10/01/42 (a) | | | | | | | 4,554 | | | | 4,694,283 | |
2.50%, 9/01/27-4/01/29 | | | | | | | 77,747 | | | | 77,850,331 | |
2.51%, 10/01/38 (a) | | | | | | | 22 | | | | 23,784 | |
3.00%, 4/01/29-4/01/44 | | | | | | | 192,775 | | | | 188,264,042 | |
3.01%, 3/01/41 (a) | | | | | | | 1,729 | | | | 1,830,697 | |
3.14%, 3/01/41 (a) | | | | | | | 2,039 | | | | 2,148,736 | |
3.22%, 12/01/40 (a) | | | | | | | 3,785 | | | | 3,979,037 | |
3.50%, 7/01/28-4/01/44 | | | | | | | 188,394 | | | | 192,154,287 | |
4.00%, 1/01/25-4/01/44 | | | | | | | 342,177 | | | | 356,641,636 | |
4.50%, 2/01/25-4/01/44 | | | | | | | 107,141 | | | | 114,451,124 | |
4.99%, 8/01/38 (a) | | | | | | | 3,254 | | | | 3,498,683 | |
5.00%, 5/01/23-4/01/44 | | | | | | | 68,210 | | | | 74,544,086 | |
5.50%, 12/01/32-4/01/44 | | | | | | | 47,069 | | | | 52,098,000 | |
6.00%, 2/01/34-4/01/44 | | | | | | | 33,791 | | | | 37,731,373 | |
6.50%, 5/01/40 | | | | | | | 13,073 | | | | 14,664,865 | |
Freddie Mac Mortgage-Backed Securities: | | | | | | | | | | | | |
2.31%, 10/01/36 (a) | | | | | | | 38 | | | | 40,989 | |
2.45%, 2/01/37 (a) | | | | | | | 27 | | | | 29,186 | |
2.50%, 4/01/29 | | | | | | | 21,600 | | | | 21,589,874 | |
2.61%, 2/01/37 (a) | | | | | | | 95 | | | | 100,972 | |
2.92%, 6/01/42 (a) | | | | | | | 4,897 | | | | 5,052,052 | |
3.00%, 4/01/29-7/01/43 | | | | | | | 71,722 | | | | 69,999,672 | |
3.03%, 2/01/41 (a) | | | | | | | 3,206 | | | | 3,397,746 | |
3.50%, 4/01/29-2/01/44 | | | | | | | 50,279 | | | | 50,988,283 | |
4.00%, 4/01/29-4/01/44 | | | | | | | 82,500 | | | | 85,694,633 | |
4.50%, 9/01/43-4/01/44 | | | | | | | 54,391 | | | | 57,970,202 | |
5.00%, 7/01/35-4/01/44 | | | | | | | 36,956 | | | | 40,166,595 | |
5.50%, 3/01/43-4/01/44 | | | | | | | 15,330 | | | | 16,834,435 | |
Ginnie Mae Mortgage-Backed Securities: | | | | | | | | | | | | |
1.63%, 5/20/34 (a) | | | | | | | 1,124 | | | | 1,169,124 | |
3.00%, 4/15/44 | | | | | | | 40,000 | | | | 39,331,248 | |
3.50%, 2/15/42-4/15/44 | | | | | | | 63,827 | | | | 65,174,744 | |
4.00%, 2/20/44-4/15/44 | | | | | | | 71,467 | | | | 75,157,486 | |
4.50%, 5/20/41-2/15/42 (k) | | | | | | | 56,835 | | | | 61,424,669 | |
5.00%, 11/15/38-4/15/44 (k) | | | | | | | 50,211 | | | | 54,914,048 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | 1,773,610,922 | |
Total U.S. Government Sponsored Agency Securities — 55.5% | | | | 1,859,916,462 | |
| | | | | | | | | | | | |
| U.S. Treasury Obligations | | | | | | | | | |
U.S. Treasury Bonds, 3.63%, 2/15/44 | | | | | | | 129,351 | | | | 130,846,455 | |
U.S. Treasury Inflation Indexed Bonds,
0.75%, 2/15/42 (k) | | | | | | | 12,152 | | | | 10,589,186 | |
U.S. Treasury Inflation Indexed Notes: | | | | | | | | | | | | |
0.13%, 4/15/18-1/15/23 (n) | | | | | | | 65,266 | | | | 66,377,807 | |
0.38%, 7/15/23 (k) | | | | | | | 10,608 | | | | 10,492,060 | |
0.63%, 1/15/24 | | | | | | | 67,972 | | | | 68,205,754 | |
| | | | | | | | | | | | |
| U.S. Treasury Obligations | | Par
(000) | | | Value | |
U.S. Treasury Notes: | | | | | | | | | | | | |
0.38%, 3/31/16 (k) | | | USD | | | | 142,180 | | | $ | 142,024,455 | |
0.75%, 3/15/17 (k) | | | | | | | 185,265 | | | | 184,570,256 | |
1.63%, 3/31/19 (k) | | | | | | | 203,170 | | | | 202,138,303 | |
2.00%, 2/28/21 (k) | | | | | | | 31,273 | | | | 30,679,312 | |
2.25%, 3/31/21 | | | | | | | 59,380 | | | | 59,157,325 | |
2.75%, 2/15/24 | | | | | | | 819 | | | | 820,792 | |
Total U.S. Treasury Obligations — 27.0% | | | | 905,901,705 | |
Total Long-Term Investments (Cost — $5,570,957,282) — 168.1% | | | | | | | | | | | 5,635,709,239 | |
| | | | | | | | | | | | |
| Short-Term Securities | | | | | | | | | |
Borrowed Bond Agreements — 8.0% | | | | | | | | | | | | |
Barclays Bank PLC, 0.04%, Open
(Purchased on 11/19/13 to be repurchased at EUR 3,068,154, collateralized by Kingdom of Spain, 4.10% due at 7/30/18, par and fair value of EUR 2,860,000 and $4,358,816, respectively) | | | EUR | | | | 3,062 | | | | 4,218,839 | |
Barclays Bank PLC, 0.04%, Open
(Purchased on 9/04/13 to be repurchased at EUR 915,377, collateralized by Kingdom of Spain, 4.10% due at 7/30/18, par and fair value of EUR 860,000 and $1,300,338, respectively) | | | | | | | 914 | | | | 1,258,579 | |
Barclays Bank PLC, 0.05%, Open
(Purchased on 1/22/14 to be repurchased at EUR 2,943,542, collateralized by Buoni Poliennali Del Tesoro, 4.50% due at 3/01/26, par and fair value of EUR 2,600,000 and $3,932,219, respectively) | | | | | | | 2,926 | | | | 4,030,472 | |
Barclays Bank PLC, 0.05%, Open
(Purchased on 11/18/13 to be repurchased at EUR 6,218,423, collateralized by Buoni Poliennali Del Tesoro, 3.75% due at 8/01/21, par and fair value of EUR 5,985,000 and $8,835,805, respectively) | | | | | | | 6,194 | | | | 8,533,526 | |
Barclays Bank PLC, 0.08%, Open
(Purchased on 11/18/13 to be repurchased at EUR 32,408, collateralized by Buoni Poliennali Del Tesoro, 4.50% due at 5/01/23, par and fair value of EUR 30,000 and $45,730, respectively) | | | | | | | 32 | | | | 44,308 | |
Barclays Bank PLC, 0.08%, Open
(Purchased on 3/05/14 to be repurchased at EUR 151,476, collateralized by Buoni Poliennali Del Tesoro, 3.75% due at 3/01/21, par and fair value of EUR 138,000 and $204,346, respectively) | | | | | | | 151 | | | | 207,505 | |
Barclays Bank PLC, 0.10%, Open
(Purchased on 1/22/14 to be repurchased at EUR 29,773,077, collateralized by French Treasury Notes, 1.00% due at 7/25/17, par and fair value of EUR 29,115,000 and $41,023,396, respectively) | | | | | | | 29,668 | | | | 40,872,336 | |
Barclays Bank PLC, 0.10%, Open
(Purchased on 1/22/14 to be repurchased at EUR 29,773,077, collateralized by French Treasury Notes, 1.00% due at 7/25/17, par and fair value of EUR 29,115,000 and $41,023,396, respectively) | | | | | | | 29,668 | | | | 40,872,336 | |
See Notes to Consolidated Financial Statements.
| | | | | | |
| | | BLACKROCK BALANCED CAPITAL FUND, INC. | | MARCH 31, 2014 | | 45 |
| | | | |
| Consolidated Schedule of Investments (continued) | | | Master Total Return Portfolio | |
| | | (Percentages shown are based on Net Assets) | |
| | | | | | | | | | | | |
| Short-Term Securities | | Par (000) | | | Value | |
Borrowed Bond Agreements (concluded) | | | | | | | | | | | | |
Barclays Capital, Inc., 0.00%, 4/02/14
(Purchased on 3/26/14 to be repurchased at $11,167,875, collateralized by U.S. Treasury Notes, 2.75% due at 11/15/23, par and fair value of USD 11,030,000 and $11,070,513, respectively) | | | USD | | | | 11,168 | | | $ | 11,167,875 | |
Citigroup Global Markets, Inc., (0.35)%, Open
(Purchased on 3/04/14 to be repurchased at $2,262,284, collateralized by General Electric Capital Corp., 1.63% due at 4/02/18, par and fair value of USD 2,270,000 and $2,258,089, respectively) | | | | | | | 2,296 | | | | 2,295,538 | |
Citigroup Global Markets Limited, (0.07)%, Open
(Purchased on 10/21/13 to be repurchased at EUR 59,156,262, collateralized by French Treasury Notes, 1.00% due at 7/25/17, par and fair value of EUR 58,800,000 and $82,017,057, respectively) | |
|
EUR |
| |
|
59,315 |
| |
|
81,715,045 |
|
Credit Suisse Securities (USA) LLC, (0.20)%, Open
(Purchased on 1/31/14 to be repurchased at $1,594,991, collateralized by Noble Holding International Ltd., 5.25% due at 3/15/42, par and fair value of USD 1,700,000 and $1,664,322, respectively) | |
|
USD |
| |
|
1,692 |
| |
|
1,691,500 |
|
Credit Suisse Securities (USA) LLC, 0.02%, Open
(Purchased on 3/21/14 to be repurchased at $20,014,714, collateralized by U.S. Treasury Notes, 0.63% due at 4/30/18, par and fair value of USD 20,590,000 and $19,876,610, respectively) | | | | | |
|
19,998 |
| |
|
19,998,037 |
|
Merrill Lynch, Pierce, Fenner & Smith, Inc., 0.04%, 4/01/14
(Purchased on 3/31/14 to be repurchased at $6,422,543, collateralized by U.S. Treasury Notes, 2.75% due at 2/15/24, par and fair value of USD 6,373,000 and $6,396,408, respectively) | | | | | |
|
6,397 |
| |
|
6,396,899 |
|
Merrill Lynch, Pierce, Fenner & Smith, Inc., 0.05%, Open
(Purchased on 3/13/14 to be repurchased at $40,516,131, collateralized by U.S. Treasury Notes, 0.63% due at 4/30/18, par and fair value of USD 41,415,000 and $40,185,897, respectively) | | | | | |
|
40,431 |
| |
|
40,431,394 |
|
Morgan Stanley & Co. International PLC, 0.05%, Open
(Purchased on 3/06/14 to be repurchased at EUR 3,060,866, collateralized by Kingdom of Spain, 5.85% due at 1/31/22, par and fair value of EUR 2,501,000 and $4,175,316, respectively) | |
|
EUR |
| |
|
3,049 |
| |
|
4,199,983 |
|
| | | | | | | | | | | | |
| | | | | | | | | | | | 267,934,172 | |
| | | | | | Shares | | | | |
Money Market Funds — 0.5% | | | | | | | | | | | | |
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.03% (e)(o) | | | | | | | 16,795,848 | | | | 16,795,848 | |
Total Short-Term Securities (Cost — $283,784,265) — 8.5% | | | | 284,730,020 | |
| | | | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | | | |
| Options Purchased | | | | | | | | Value | |
| (Cost — $5,612,594) — 0.1% | | | | | | | | $2,570,483 | |
Total Investments Before TBA Sale Commitments, Options Written and Borrowed Bonds (Cost — $5,860,354,141*) — 176.7% | | | | 5,923,009,742 | |
| | | | | | | | | | | | |
| TBA Sale Commitments (p) | | Par (000) | | | | |
Fannie Mae Mortgage-Backed Securities: | | | | | | | | | | | | |
2.50%, 4/01/29 | | | USD | | | | 64,100 | | | | (64,049,925 | ) |
3.00%, 4/01/29-4/01/44 | | | | | | | 97,600 | | | | (96,364,138 | ) |
3.50%, 4/01/29-4/01/44 | | | | | | | 79,800 | | | | (82,352,063 | ) |
4.00%, 4/01/29-4/01/44 | | | | | | | 161,100 | | | | (167,762,461 | ) |
4.50%, 4/01/29-4/01/44 | | | | | | | 56,500 | | | | (60,200,847 | ) |
6.00%, 7/01/43-4/01/44 | | | | | | | 5,100 | | | | (5,682,161 | ) |
5.50%, 10/01/43-4/01/44 | | | | | | | 15,100 | | | | (16,673,590 | ) |
5.00%, 4/01/44 | | | | | | | 73,300 | | | | (79,858,665 | ) |
Freddie Mac Mortgage-Backed Securities: | | | | | | | | | | | | |
3.00%, 4/01/44 | | | | | | | 18,000 | | | | (17,348,204 | ) |
3.50%, 4/01/44 | | | | | | | 15,400 | | | | (15,474,595 | ) |
4.00%, 4/01/44 | | | | | | | 25,100 | | | | (26,038,308 | ) |
4.50%, 4/01/44 | | | | | | | 12,800 | | | | (13,644,000 | ) |
5.00%, 4/01/44 | | | | | | | 12,100 | | | | (13,146,461 | ) |
Ginnie Mae Mortgage-Backed Securities: | | | | | | | | | | | | |
3.50%, 4/15/44 | | | | | | | 21,900 | | | | (22,343,140 | ) |
4.00%, 4/15/44 | | | | | | | 3,800 | | | | (3,992,968 | ) |
4.50%, 4/15/44 | | | | | | | 6,900 | | | | (7,437,281 | ) |
5.00%, 4/15/44 | | | | | | | 15,100 | | | | (16,489,797 | ) |
Total TBA Sale Commitments (Proceeds — $708,802,691) — (21.2)% | | | | (708,858,604 | ) |
| | | | | | | | | | | | |
| Options Written | | | | | | | | | |
| (Premiums Received — $1,698,803) — (0.0)% | | | (1,106,633) | |
| | | | | | | | | | | | |
| Borrowed Bonds | | | | | | | | | |
Corporate Bonds — (0.1)% | | | | | | | | | | | | |
General Electric Capital Corp., 1.63%, 4/02/18 | | | | | | | 2,270 | | | | (2,258,089 | ) |
Noble Holding International Ltd., 5.25%, 3/15/42 | | | | | | | 1,700 | | | | (1,664,322 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | | (3,922,411 | ) |
Foreign Government Obligations — (5.6)% | | | | | | | | | | | | |
Buoni Poliennali Del Tesoro, | | | | | | | | | | | | |
3.75%, 3/01/21-8/01/21 | | | EUR | | | | 6,123 | | | | (9,040,151 | ) |
4.50%, 5/01/23-3/01/26 | | | | | | | 2,630 | | | | (3,977,949 | ) |
Kingdom of Spain, | | | | | | | | | | | | |
4.10%, 7/30/18 | | | | | | | 3,720 | | | | (5,659,154 | ) |
5.85%, 1/31/22 | | | | | | | 2,501 | | | | (4,175,316 | ) |
Republic of France, 1.00%, 7/25/17 | | | | | | | 117,030 | | | | (164,063,849 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | | (186,916,419 | ) |
U.S. Treasury Obligations — (2.3)% | | | | | | | | | | | | |
U.S. Treasury Notes: | | | | | | | | | | | | |
0.63%, 4/30/18 | | | USD | | | | 62,005 | | | | (60,062,507 | ) |
2.75%, 11/15/23-2/15/24 | | | | | | | 17,403 | | | | (17,466,921 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | | (77,529,428 | ) |
Total Borrowed Bonds (Proceeds — $253,641,635) — (8.0)% | | | | (268,368,258 | ) |
See Notes to Consolidated Financial Statements.
| | | | | | |
| 46 | | BLACKROCK BALANCED CAPITAL FUND, INC. | | MARCH 31, 2014 | | |
| | | | |
| Consolidated Schedule of Investments (continued) | | | Master Total Return Portfolio | |
| | | (Percentages shown are based on Net Assets) | |
| | | | |
| | | Value | |
Total Investments Net of TBA Sale Commitments, Options Written and Borrowed Bonds — 147.5% | | $ | 4,944,676,247 | |
Liabilities in Excess of Other Assets — (47.5)% | | | (1,592,181,496 | ) |
| | | | |
Net Assets — 100.0% | | $ | 3,352,494,751 | |
| | | | |
|
| Notes to Consolidated Schedule of Investments |
| * | As of March 31, 2014, gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes were as follows: |
| | | | |
Tax cost | | $ | 5,875,831,757 | |
| | | | |
Gross unrealized appreciation | | $ | 83,903,254 | |
Gross unrealized depreciation | | | (36,725,269 | ) |
| | | | |
Net unrealized appreciation | | $ | 47,177,985 | |
| | | | |
| (a) | Variable rate security. Rate shown is as of report date. |
| (b) | Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
| (c) | Represents a payment-in-kind security which may pay interest/dividends in additional par/shares and/or in cash. Rates shown are the current rate and possible payment rates. |
| (d) | Represents a step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate shown is as of report date. |
| (e) | Investments in issuers considered to be an affiliate of the Master Portfolio during the six months ended March 31, 2014, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows: |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Affiliate | | Par/Shares
Held at
September 30,
2013 | | | Par/Shares
Purchased | | | Par/Shares
Sold | | | Par/Shares
Held at
March 31,
2014 | | | Value at
March 31,
2014 | | | Income | |
BlackRock Capital Finance LP, Series 1997-R2, Class AP | | | — | | | | 8,540 | | | | (1,266 | ) | | | 7,274 | | | $ | 6,999 | | | $ | 1,303 | |
BlackRock Liquidity Funds, TempFund, Institutional Class | | | 51,436,621 | | | | — | | | | (34,640,773 | )1 | | | 16,795,848 | | | $ | 16,795,848 | | | $ | 3,812 | |
iShares iBoxx $ High Yield Corporate Bond ETF | | | 190,000 | | | | — | | | | (190,000 | ) | | | — | | | | — | | | $ | 344,318 | |
iShares JPMorgan USD Emerging Markets Bond Fund | | | 114,500 | | | | — | | | | (114,500 | ) | | | — | | | | — | | | $ | 99,593 | |
| 1 | Represents net shares sold. |
| (g) | Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities. |
| (h) | Issuer filed for bankruptcy and/or is in default of interest payments. |
| (i) | Non-income producing security. |
| (j) | Security is perpetual in nature and has no stated maturity date. |
| (k) | All or a portion of security has been pledged as collateral in connection with outstanding reverse repurchase agreements. |
| (l) | All or a portion of security has been pledged in connection with outstanding financial futures contracts. |
| (n) | All or a portion of security has been pledged as collateral in connection with outstanding OTC derivatives. |
| (o) | Represents the current yield as of report date. |
| (p) | Represents or includes a TBA transaction. Unsettled TBA transactions as of March 31, 2014 were as follows: |
| | | | | | | | |
| Counterparty | | Value | | | Unrealized
Appreciation
(Depreciation) | |
Barclays Capital, Inc. | | $ | 2,103,855 | | | $ | 4,762 | |
Citigroup Global Markets, Inc. | | $ | (3,515,094 | ) | | $ | 22,016 | |
Credit Suisse Securities (USA) LLC | | $ | 6,054,529 | | | $ | (120,275 | ) |
Deutsche Bank Securities, Inc. | | $ | 113,929,488 | | | $ | (480,449 | ) |
Goldman Sachs & Co. | | $ | (27,895,638 | ) | | $ | (355,083 | ) |
J.P. Morgan Securities LLC | | $ | (82,215,072 | ) | | $ | (13,245 | ) |
Merrill Lynch, Pierce, Fenner & Smith, Inc. | | $ | 97,119,354 | | | $ | 76,893 | |
Morgan Stanley & Co. LLC | | $ | 23,658,672 | | | $ | (158,801 | ) |
Nomura Securities International, Inc. | | $ | (37,061,296 | ) | | $ | 16,273 | |
RBC Capital Markets, LLC | | $ | (3,845,688 | ) | | $ | (12,430 | ) |
RBS Securities, Inc. | | $ | (4,172,500 | ) | | $ | 21,875 | |
Wells Fargo Securities, LLC | | $ | (25,398,001 | ) | | $ | 66,937 | |
See Notes to Consolidated Financial Statements.
| | | | | | |
| | | BLACKROCK BALANCED CAPITAL FUND, INC. | | MARCH 31, 2014 | | 47 |
| | | | |
| Consolidated Schedule of Investments (continued) | | | Master Total Return Portfolio | |
| Ÿ | | For Master Portfolio compliance purposes, the Master Portfolio’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by the investment advisor. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease. |
| Ÿ | | Reverse repurchase agreements outstanding as of March 31, 2014 were as follows: |
| | | | | | | | | | | | | | | | |
| Counterparty | | Interest
Rate | | | Trade
Date | | Maturity
Date | | Face
Value | | | Face Value
Including
Accrued
Interest | |
BNP Paribas Securities Corp. | | | 0.08 | % | | 4/09/13 | | Open | | $ | 13,031,400 | | | $ | 13,055,953 | |
Deutsche Bank Securities, Inc. | | | 0.11 | % | | 6/20/13 | | Open | | | 8,745,000 | | | | 8,747,730 | |
Deutsche Bank Securities, Inc. | | | 0.11 | % | | 6/20/13 | | Open | | | 6,237,250 | | | | 6,239,197 | |
Credit Suisse Securities (USA) LLC | | | 0.11 | % | | 12/10/13 | | Open | | | 8,439,488 | | | | 8,442,113 | |
Credit Suisse Securities (USA) LLC | | | 0.11 | % | | 12/10/13 | | Open | | | 27,379,950 | | | | 27,388,468 | |
Credit Suisse Securities (USA) LLC | | | 0.11 | % | | 12/10/13 | | Open | | | 31,756,000 | | | | 31,765,880 | |
Barclays Bank PLC | | | (5.00 | %) | | 2/19/14 | | Open | | | 357,307 | | | | 357,307 | |
Barclays Capital, Inc. | | | 0.14 | % | | 3/12/14 | | 4/10/14 | | | 35,744,567 | | | | 35,747,208 | |
Credit Suisse Securities (USA) LLC | | | 0.14 | % | | 3/12/14 | | 4/10/14 | | | 217,440,945 | | | | 217,457,011 | |
BNP Paribas Securities Corp. | | | 0.08 | % | | 3/14/14 | | Open | | | 18,810,000 | | | | 18,810,941 | |
Credit Suisse Securities (USA) LLC | | | 0.14 | % | | 3/17/14 | | 4/16/14 | | | 92,846,951 | | | | 92,852,006 | |
BNP Paribas Securities Corp. | | | 0.08 | % | | 3/17/14 | | Open | | | 35,640,000 | | | | 35,641,188 | |
BNP Paribas Securities Corp. | | | 0.08 | % | | 3/17/14 | | Open | | | 18,810,000 | | | | 18,811,019 | |
Credit Suisse Securities (USA) LLC | | | 0.14 | % | | 3/18/14 | | 4/16/14 | | | 44,647,000 | | | | 44,649,431 | |
RBC Capital Markets LLC | | | 0.13 | % | | 3/19/14 | | 4/22/14 | | | 66,967,202 | | | | 66,970,104 | |
Credit Suisse Securities (USA) LLC | | | 0.08 | % | | 3/24/14 | | Open | | | 34,074,525 | | | | 34,075,131 | |
Credit Suisse Securities (USA) LLC | | | 0.08 | % | | 3/24/14 | | Open | | | 22,345,650 | | | | 22,346,047 | |
BNP Paribas Securities Corp. | | | 0.18 | % | | 3/27/14 | | 4/10/14 | | | 33,866,000 | | | | 33,866,847 | |
BNP Paribas Securities Corp. | | | 0.07 | % | | 3/27/14 | | Open | | | 10,555,000 | | | | 10,555,103 | |
Morgan Stanley & Co. LLC | | | 0.08 | % | | 3/27/14 | | Open | | | 132,063,750 | | | | 132,064,924 | |
Merrill Lynch, Pierce, Fenner & Smith, Inc. | | | 0.05 | % | | 3/31/14 | | 4/01/14 | | | 248,904,563 | | | | 248,904,908 | |
BNP Paribas Securities Corp. | | | 0.08 | % | | 3/31/14 | | 4/01/14 | | | 142,002,275 | | | | 142,002,591 | |
Deutsche Bank Securities, Inc. | | | (0.03 | %) | | 3/31/14 | | 4/01/14 | | | 184,338,675 | | | | 184,338,675 | |
RBC Capital Markets LLC | | | 0.12 | % | | 3/31/14 | | Open | | | 43,780,000 | | | | 43,780,146 | |
RBC Capital Markets LLC | | | 0.12 | % | | 3/31/14 | | Open | | | 19,600,000 | | | | 19,600,065 | |
RBC Capital Markets LLC | | | 0.13 | % | | 3/31/14 | | Open | | | 34,074,525 | | | | 34,074,648 | |
Total | | | | | | | | | | $ | 1,532,458,023 | | | $ | 1,532,544,641 | |
| | | | | | | | | | | | |
| Ÿ | | Financial futures contracts outstanding as of March 31, 2014 were as follows: |
| | | | | | | | | | | | | | | | | | | | |
Contracts
Purchased/
(Sold) | | | Issue | | Exchange | | Expiration | | | | | Notional
Value | | | Unrealized
Appreciation
(Depreciation) | |
| | 44 | | | CBOE Volatility Index | | Chicago Board of Trade | | May 2014 | | | USD | | | | 697,400 | | | $ | (36,915 | ) |
| | (2,119 | ) | | U.S. Treasury Notes (10 Year) | | Chicago Board of Trade | | June 2014 | | | USD | | | | 261,696,500 | | | | 929,575 | |
| | (210 | ) | | U.S. Treasury Notes (2 Year) | | Chicago Board of Trade | | June 2014 | | | USD | | | | 46,108,125 | | | | 42,579 | |
| | 779 | | | U.S. Treasury Bonds (30 Year) | | Chicago Board of Trade | | June 2014 | | | USD | | | | 103,777,406 | | | | 327,251 | |
| | (226 | ) | | Ultra Treasury Bonds | | Chicago Board Options | | June 2014 | | | USD | | | | 32,649,938 | | | | 157,277 | |
| | 518 | | | U.S. Treasury Notes (5 Year) | | Chicago Board Options | | June 2014 | | | USD | | | | 61,617,719 | | | | 14,668 | |
| | 13 | | | Nikkei 225 Index | | Chicago Mercantile | | June 2014 | | | USD | | | | 1,867,849 | | | | 71,739 | |
| | (291 | ) | | Euro STOXX Banks Index | | Eurex | | June 2014 | | | USD | | | | 3,072,885 | | | | (65,464 | ) |
| | (286 | ) | | Euro-Bobl | | Eurex | | June 2014 | | | USD | | | | 49,397,027 | | | | (25,990 | ) |
| | (239 | ) | | Euro-Bund | | Eurex | | June 2014 | | | USD | | | | 47,209,307 | | | | (156,502 | ) |
| | (16 | ) | | Euro-Schatz | | Eurex | | June 2014 | | | USD | | | | 2,433,824 | | | | 2,075 | |
| | 273 | | | Canadian Bankers Acceptance | | Montreal | | June 2014 | | | USD | | | | 60,958,887 | | | | (29,390 | ) |
| | (114 | ) | | Gilt British | | NYSE Liffe | | June 2014 | | | USD | | | | 20,816,598 | | | | (124,813 | ) |
| | 345 | | | 90-day Australian Bank Bill | | Sydney | | June 2014 | | | USD | | | | 75,633,960 | | | | (45,648 | ) |
| | 98 | | | Canadian Bankers Acceptance | | Montreal | | September 2014 | | | USD | | | | 21,882,678 | | | | (17,923 | ) |
| | (371 | ) | | Canadian Bankers Acceptance | | Montreal | | June 2015 | | | USD | | | | 82,715,717 | | | | 81,093 | |
| | (348 | ) | | Euro Dollar Futures | | Chicago Mercantile | | December 2015 | | | USD | | | | 85,995,150 | | | | 101,869 | |
| | 42 | | | 3-month EURIBOR | | NYSE Liffe | | June 2016 | | | USD | | | | 14,371,375 | | | | 11,556 | |
| | 174 | | | 3-month EURIBOR | | NYSE Liffe | | September 2016 | | | USD | | | | 59,472,633 | | | | 233,027 | |
| | (42 | ) | | 3-month EURIBOR | | NYSE Liffe | | June 2017 | | | USD | | | | 14,304,834 | | | | (19,665 | ) |
See Notes to Consolidated Financial Statements.
| | | | | | |
| 48 | | BLACKROCK BALANCED CAPITAL FUND, INC. | | MARCH 31, 2014 | | |
| | | | |
| Consolidated Schedule of Investments (continued) | | | Master Total Return Portfolio | |
| Ÿ | | Financial futures contracts outstanding as of March 31, 2014 were as follows: (concluded) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Contracts
Purchased/
(Sold) | | | Issue | | Exchange | | | Expiration | | | | | | Notional
Value | | | Unrealized
Appreciation
(Depreciation) | |
| | (174 | ) | | 3-month EURIBOR | | | NYSE Liffe | | | | September 2017 | | | | USD | | | | 59,190,971 | | | $ | (309,223 | ) |
| | (87 | ) | | Euro Dollar Futures | | | Chicago Mercantile | | | | December 2017 | | | | USD | | | | 21,068,137 | | | | (35,942 | ) |
| | Total | | | | | | | | | | | | | | | | | | | | | $ | 1,105,234 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Ÿ | | Forward foreign currency exchange contracts outstanding as of March 31, 2014 were as follows: |
| | | | | | | | | | | | | | | | | | | | | | |
Currency
Purchased | | | Currency
Sold | | | Counterparty | | Settlement
Date | | | Unrealized
Appreciation
(Depreciation) | |
| CAD | | | 2,903,000 | | | | USD | | | | 2,623,507 | | | The Bank of New York Mellon | | | 4/22/14 | | | $ | 1,122 | |
| EUR | | | 23,829,000 | | | | USD | | | | 32,195,791 | | | Citibank N.A. | | | 4/22/14 | | | | 630,742 | |
| EUR | | | 29,350,000 | | | | USD | | | | 40,089,459 | | | The Bank of New York Mellon | | | 4/22/14 | | | | 342,735 | |
| USD | | | 2,135,415 | | | | AUD | | | | 2,311,000 | | | Westpac Banking Corp. | | | 4/22/14 | | | | (4,585 | ) |
| USD | | | 4,081,044 | | | | EUR | | | | 3,000,000 | | | Bank of America N.A. | | | 4/22/14 | | | | (51,719 | ) |
| USD | | | 3,382,964 | | | | EUR | | | | 2,487,000 | | | Barclays Bank PLC | | | 4/22/14 | | | | (43,096 | ) |
| USD | | | 343,787,789 | | | | EUR | | | | 252,853,000 | | | Barclays Bank PLC | | | 4/22/14 | | | | (4,539,345 | ) |
| USD | | | 758,340 | | | | EUR | | | | 550,000 | | | Citibank N.A. | | | 4/22/14 | | | | 667 | |
| USD | | | 4,129,554 | | | | EUR | | | | 3,000,000 | | | Citibank N.A. | | | 4/22/14 | | | | (3,209 | ) |
| USD | | | 1,177,747 | | | | EUR | | | | 858,000 | | | Goldman Sachs Bank USA | | | 4/22/14 | | | | (4,224 | ) |
| USD | | | 2,299,724 | | | | EUR | | | | 1,700,000 | | | Goldman Sachs Bank USA | | | 4/22/14 | | | | (42,174 | ) |
| USD | | | 7,299,155 | | | | EUR | | | | 5,300,000 | | | Goldman Sachs Bank USA | | | 4/22/14 | | | | (2,059 | ) |
| USD | | | 38,391,635 | | | | EUR | | | | 28,068,000 | | | Goldman Sachs Bank USA | | | 4/22/14 | | | | (274,491 | ) |
| USD | | | 2,320,942 | | | | EUR | | | | 1,693,000 | | | Royal Bank of Scotland PLC | | | 4/22/14 | | | | (11,313 | ) |
| USD | | | 3,281,821 | | | | EUR | | | | 2,390,000 | | | Royal Bank of Scotland PLC | | | 4/22/14 | | | | (10,613 | ) |
| USD | | | 37,403,696 | | | | GBP | | | | 22,800,000 | | | Barclays Bank PLC | | | 4/22/14 | | | | (601,019 | ) |
| USD | | | 1,602,678 | | | | GBP | | | | 969,000 | | | Citibank N.A. | | | 4/22/14 | | | | (12,523 | ) |
| USD | | | 1,979,172 | | | | GBP | | | | 1,200,000 | | | Goldman Sachs International | | | 4/22/14 | | | | (21,076 | ) |
| USD | | | 1,429,384 | | | | GBP | | | | 854,000 | | | Royal Bank of Scotland PLC | | | 4/22/14 | | | | 5,874 | |
| USD | | | 1,885,038 | | | | JPY | | | | 191,000,000 | | | JPMorgan Chase Bank N.A. | | | 4/22/14 | | | | 34,309 | |
| USD | | | 1,979,505 | | | | ZAR | | | | 21,354,000 | | | JPMorgan Chase Bank N.A. | | | 4/22/14 | | | | (41,971 | ) |
| USD | | | 5,970,367 | | | | ZAR | | | | 63,995,000 | | | JPMorgan Chase Bank N.A. | | | 4/22/14 | | | | (87,720 | ) |
| USD | | | 3,965,315 | | | | ZAR | | | | 42,712,000 | | | UBS AG | | | 4/22/14 | | | | (78,016 | ) |
| AUD | | | 18,645,000 | | | | USD | | | | 16,838,318 | | | Bank of America N.A. | | | 6/18/14 | | | | 358,918 | |
| EUR | | | 4,261,000 | | | | HUF | | | | 1,342,569,515 | | | Barclays Bank PLC | | | 6/18/14 | | | | (122,289 | ) |
| INR | | | 994,088,940 | | | | USD | | | | 15,977,000 | | | UBS AG | | | 6/18/14 | | | | 351,818 | |
| MXN | | | 23,343,075 | | | | USD | | | | 1,750,000 | | | Citibank N.A. | | | 6/18/14 | | | | 26,990 | |
| PLN | | | 24,875,452 | | | | EUR | | | | 5,850,000 | | | Credit Suisse International | | | 6/18/14 | | | | 126,817 | |
| USD | | | 22,109,393 | | | | AUD | | | | 24,850,000 | | | Bank of America N.A. | | | 6/18/14 | | | | (811,032 | ) |
| USD | | | 1,925,000 | | | | CAD | | | | 2,156,404 | | | Citibank N.A. | | | 6/18/14 | | | | (21,918 | ) |
| USD | | | 15,900,000 | | | | CAD | | | | 17,747,644 | | | Royal Bank of Scotland PLC | | | 6/18/14 | | | | (123,528 | ) |
| USD | | | 7,935,000 | | | | INR | | | | 486,177,450 | | | Deutsche Bank AG | | | 6/18/14 | | | | (50,908 | ) |
| USD | | | 8,495,000 | | | | JPY | | | | 869,176,119 | | | BNP Paribas S.A. | | | 6/18/14 | | | | 70,433 | |
| USD | | | 1,885,000 | | | | JPY | | | | 191,337,113 | | | Citibank N.A. | | | 6/18/14 | | | | 30,448 | |
| USD | | | 33,144,000 | | | | JPY | | | | 3,401,780,841 | | | Credit Suisse International | | | 6/18/14 | | | | 171,936 | |
| USD | | | 16,580,000 | | | | KRW | | | | 17,835,271,800 | | | UBS AG | | | 6/18/14 | | | | (108,546 | ) |
| USD | | | 1,750,000 | | | | MXN | | | | 23,113,967 | | | Deutsche Bank AG | | | 6/18/14 | | | | (9,549 | ) |
| USD | | | 7,632,000 | | | | ZAR | | | | 84,469,442 | | | JPMorgan Chase Bank N.A. | | | 6/18/14 | | | | (291,964 | ) |
See Notes to Consolidated Financial Statements.
| | | | | | |
| | | BLACKROCK BALANCED CAPITAL FUND, INC. | | MARCH 31, 2014 | | 49 |
| | | | |
| Consolidated Schedule of Investments (continued) | | | Master Total Return Portfolio | |
| Ÿ | | Forward foreign currency exchange contracts outstanding as of March 31, 2014 were as follows: (concluded) |
| | | | | | | | | | | | | | | | | | | | | | |
Currency Purchased | | | Currency Sold | | | Counterparty | | Settlement
Date | | | Unrealized
Appreciation
(Depreciation) | |
| ZAR | | | 47,373,691 | | | | USD | | | | 4,426,000 | | | BNP Paribas S.A. | | | 6/18/14 | | | $ | 18,062 | |
| Total | | | | | | | | | | | | | | | | | | | | $ | (5,198,016 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| Ÿ | | Exchange-traded options purchased as of March 31, 2014 were as follows: |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Put/ Call | | | Strike Price | | | Expiration
Date | | | Contracts | | | Market
Value | |
E-Mini S&P 500 Index Futures | | | Call | | | | USD | | | | 1,870.00 | | | | 4/17/14 | | | | 86 | | | $ | 66,650 | |
U.S. Treasury Notes (10 Year) | | | Put | | | | USD | | | | 123.50 | | | | 4/25/14 | | | | 86 | | | | 55,094 | |
Euro Dollar 3-Year Mid-Curve | | | Put | | | | USD | | | | 97.25 | | | | 6/13/14 | | | | 445 | | | | 222,500 | |
iShares MSCI Emerging Market ETF | | | Put | | | | USD | | | | 35.00 | | | | 6/21/14 | | | | 4,800 | | | | 120,000 | |
Euro Dollar 1-Year Mid-Curve | | | Put | | | | USD | | | | 98.63 | | | | 12/12/14 | | | | 2,582 | | | | 1,307,135 | |
Total | | | | | | | | | | | | | | | | | | | | | | $ | 1,771,379 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Ÿ | | OTC barrier options purchased as of March 31, 2014 were as follows: |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Counterparty | | Strike Price | | | Barrier
Price/Range | | | Expiration
Date | | | Notional
Amount (000) | | | Market
Value | |
| | Goldman Sachs | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
USD Currency Call/BRL Currency Put | | Bank USA | | | BRL | | | | 2.39 | | | | BRL | | | | 2.47 | | | | 4/10/14 | | | | USD | | | | 4,409 | | | $ | 459 | |
USD Currency Call/ZAR Currency Put | | Deutsche Bank AG | | | ZAR | | | | 11.05 | | | | ZAR | | | | 11.55 | | | | 4/10/14 | | | | USD | | | | 4,410 | | | | 1,414 | |
Total | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 1,873 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Ÿ | | OTC options purchased as of March 31, 2014 were as follows: |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Counterparty | | Put/
Call | | | Strike Price | | | Expiration
Date | | | Notional
Amount (000) | | | Market
Value | |
USD Currency | | Deutsche Bank AG | | | Call | | | | CAD | | | | 1.12 | | | | 6/27/14 | | | | USD | | | | 8,550 | | | $ | 96,716 | |
USD Currency | | Barclays Bank PLC | | | Call | | | | JPY | | | | 112.00 | | | | 7/17/14 | | | | USD | | | | 5,080 | | | | 6,045 | |
EUR Currency | | BNP Paribas S.A. | | | Put | | | | USD | | | | 1.39 | | | | 4/04/14 | | | | EUR | | | | 9,580 | | | | 89,584 | |
AUD Currency | | Citibank N.A. | | | Put | | | | USD | | | | 0.83 | | | | 4/10/14 | | | | AUD | | | | 178,888 | | | | 17 | |
AUD Currency | | Deutsche Bank AG | | | Put | | | | USD | | | | 0.87 | | | | 4/10/14 | | | | AUD | | | | 177,603 | | | | 99 | |
EUR Currency | | HSBC Bank USA N.A. | | | Put | | | | USD | | | | 1.30 | | | | 5/23/14 | | | | EUR | | | | 6,105 | | | | 3,191 | |
EUR Currency | | Barclays Bank PLC | | | Put | | | | USD | | | | 1.30 | | | | 6/06/14 | | | | EUR | | | | 5,885 | | | | 5,781 | |
EUR Currency | | Citibank N.A. | | | Put | | | | USD | | | | 1.30 | | | | 6/06/14 | | | | EUR | | | | 5,985 | | | | 5,879 | |
USD Currency | | Deutsche Bank AG | | | Put | | | | MXN | | | | 12.80 | | | | 6/26/14 | | | | USD | | | | 8,615 | | | | 58,174 | |
Total | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 265,486 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Ÿ | | OTC interest rate swaptions purchased as of March 31, 2014 were as follows: |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Counterparty | | Put/
Call | | | Exercise Rate | | | Pay/Receive
Exercise Rate | | Floating Rate Index | | Expiration
Date | | | Notional Amount (000) | | | Market
Value | |
| | | | | | | | | | | | | | 1-day Overnight | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | Brazil CETIP | | | | | | | | | | | | | | | | |
| | JPMorgan Chase | | | | | | | | | | | | Interbank | | | | | | | | | | | | | | | | |
1-Year Interest Rate Swap | | Bank N.A. | | | Call | | | | 11.85 | % | | Receive | | Deposit | | | 7/01/14 | | | | BRL | | | | 90,385 | | | $ | 70,952 | |
| | | | | | | | | | | | | | 1-day Overnight | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | Brazil CETIP | | | | | | | | | | | | | | | | |
| | Credit Suisse | | | | | | | | | | | | Interbank | | | | | | | | | | | | | | | | |
2-Year Interest Rate Swap | | International | | | Call | | | | 12.00 | % | | Receive | | Deposit | | | 7/01/14 | | | | BRL | | | | 167,458 | | | | 198,443 | |
| | | | | | | | | | | | | | 6-month JPY | | | | | | | | | | | | | | | | |
10-Year Interest Rate Swap | | Barclays Bank PLC | | | Put | | | | 1.10 | % | | Pay | | LIBOR | | | 6/05/14 | | | | JPY | | | | 3,437,000 | | | | 26,480 | |
See Notes to Consolidated Financial Statements.
| | | | | | |
| 50 | | BLACKROCK BALANCED CAPITAL FUND, INC. | | MARCH 31, 2014 | | |
| | | | |
| Consolidated Schedule of Investments (continued) | | | Master Total Return Portfolio | |
| Ÿ | | OTC interest rate swaptions purchased as of March 31, 2014 were as follows: (concluded) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Counterparty | | Put/
Call | | | Exercise Rate | | | Pay/Receive
Exercise Rate | | Floating Rate Index | | Expiration
Date | | | Notional
Amount (000) | | | Market
Value | |
10-Year Interest Rate Swap | | Barclays Bank PLC | | | Put | | | | 1.10 | % | | Pay | | 6-month JPY LIBOR | | | 6/06/14 | | | | JPY | | | | 1,720,000 | | | $ | 13,673 | |
10-Year Interest Rate Swap | | Bank of America N.A. | | | Put | | | | 1.10 | % | | Pay | | 6-month JPY LIBOR | | | 6/09/14 | | | | JPY | | | | 3,573,000 | | | | 31,055 | |
Total | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 340,603 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Ÿ | | Exchange-traded options written as of March 31, 2014 were as follows: |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Put/
Call | | | Strike Price | | | Expiration
Date | | | Contracts | | | Market
Value | |
CBOE Volatility Index | | | Call | | | | USD | | | | 17.00 | | | | 4/16/14 | | | | 1,438 | | | $ | (71,900 | ) |
E-Mini S&P 500 Index Futures | | | Call | | | | USD | | | | 1,890.00 | | | | 4/17/14 | | | | 43 | | | | (14,512 | ) |
U.S. Treasury Notes (10 Year) | | | Put | | | | USD | | | | 122.00 | | | | 4/25/14 | | | | 86 | | | | (14,781 | ) |
Euro Dollar 3-Year Mid-Curve | | | Put | | | | USD | | | | 97.00 | | | | 6/13/14 | | | | 445 | | | | (114,031 | ) |
Euro Dollar 3-Year Mid-Curve | | | Put | | | | USD | | | | 96.38 | | | | 12/12/14 | | | | 1,279 | | | | (535,581 | ) |
Total | | | | | | | | | | | | | | | | | | | | | | $ | (750,805 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Ÿ | | OTC interest rate swaptions written as of March 31, 2014 were as follows: |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Counterparty | | Put/
Call | | | Exercise Rate | | | Pay/Receive
Exercise Rate | | Floating Rate Index | | Expiration
Date | | | Notional
Amount (000) | | | Market
Value | |
10-Year Interest Rate Swap | | Barclays Bank PLC | | | Put | | | | 1.40 | % | | Receive | | 6-month JPY LIBOR | | | 6/05/14 | | | | JPY | | | | 3,437,000 | | | $ | (4,033 | ) |
10-Year Interest Rate Swap | | Barclays Bank PLC | | | Put | | | | 1.40 | % | | Receive | | 6-month JPY LIBOR | | | 6/06/14 | | | | JPY | | | | 1,720,000 | | | | (2,016 | ) |
10-Year Interest Rate Swap | | Bank of America N.A. | | | Put | | | | 1.40 | % | | Receive | | 6-month JPY LIBOR | | | 6/09/14 | | | | JPY | | | | 3,573,000 | | | | (5,130 | ) |
1-Year Interest Rate Swap | | JPMorgan Chase Bank N.A. | | | Put | | | | 12.75 | % | | Receive | | 1-day Overnight Brazil CETIP Interbank Deposit | | | 7/01/14 | | | | BRL | | | | 106,970 | | | | (213,050 | ) |
Total | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | (224,229 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Ÿ | | OTC options written as of March 31, 2014 were as follows: |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Counterparty | | Put/ Call | | Strike Price | | | Expiration
Date | | | Notional Amount (000) | | | Market Value | |
USD Currency | | Deutsche Bank AG | | Call | | | CAD | | | | 1.14 | | | | 6/27/14 | | | | USD | | | | 8,550 | | | $ | (41,998 | ) |
EUR Currency | | Deutsche Bank AG | | Put | | | USD | | | | 1.39 | | | | 4/04/14 | | | | EUR | | | | 9,580 | | | | (89,584 | ) |
AUD Currency | | Deutsche Bank AG | | Put | | | USD | | | | 0.83 | | | | 4/10/14 | | | | AUD | | | | 178,888 | | | | (17 | ) |
Total | | | | | | | | | | | | | | | | | | | | | | | | | | $ | (131,599 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Ÿ | | OTC structured options as of March 31, 2014 were as follows: |
| | | | | | | | | | | | | | |
| Description | | Counterparty | | Expiration
Date | | | Units | | | Market
Value | |
Call on Global Dispersion, Strike=9.8% | | Bank of America N.A. | | | 1/23/15 | | | | 8,610,000 | | | $ | 191,142 | |
| Ÿ | | Centrally cleared credit default swaps – buy protection outstanding as of March 31, 2014 were as follows: |
| | | | | | | | | | | | | | | | | | | | | | |
| Issuer/Index | | Pay
Fixed Rate | | | Clearinghouse | | Expiration
Date | | | Notional Amount (000) | | | Unrealized
Depreciation | |
iTraxx Europe Crossover Series 20 Version 1 | | | 5.00 | % | | InterContinental Exchange | | | 12/20/18 | | | | EUR | | | | 20,070 | | | $ | (275,298 | ) |
iTraxx Europe Crossover Series 21 Version 1 | | | 5.00 | % | | InterContinental Exchange | | | 6/20/19 | | | | EUR | | | | 4,450 | | | | (57,235 | ) |
Total | | | | | | | | | | | | | | | | | | | | $ | (332,533 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
See Notes to Consolidated Financial Statements.
| | | | | | |
| | | BLACKROCK BALANCED CAPITAL FUND, INC. | | MARCH 31, 2014 | | 51 |
| | |
| Consolidated Schedule of Investments (continued) | | Master Total Return Portfolio |
| Ÿ | | Centrally cleared credit default swaps — sold protection outstanding as of March 31, 2014 were as follows: |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Issuer/Index | | Receive
Fixed Rate | | | Clearinghouse | | Expiration
Date | | Credit
Rating1 | | | Notional
Amount
(000)2 | | | Unrealized
Appreciation | |
CDX.NA.HY Series 21 Version 1 | | | 5.00 | % | | Chicago Mercantile | | 12/20/18 | | | B+ | | | | USD | | | | 4,600 | | | $ | 18,733 | |
iTraxx Europe Series 21 Version 1 | | | 1.00 | % | | InterContinental Exchange | | 6/20/19 | | | A- | | | | EUR | | | | 7,990 | | | | 19,088 | |
Total | | | | | | | | | | | | | | | | | | | | | | $ | 37,821 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | 1 | Using S&P’s rating of the issuer or the underlying securities of the index, as applicable. |
| | 2 | The maximum potential amount the Master Portfolio may pay should a negative credit event take place as defined under the terms of the agreement. |
| Ÿ | | Centrally cleared interest rate swaps outstanding as of March 31, 2014 were as follows: |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Fixed Rate | | Floating
Rate | | Clearinghouse | | Effective
Date | | | Expiration
Date | | | Notional
Amount
(000) | | | Unrealized
Appreciation
(Depreciation) | |
0.65%1 | | 3-month LIBOR | | Chicago Mercantile | | | N/A | | | | 11/26/16 | | | | USD | | | | 12,695 | | | $ | 40,479 | |
1.70%1 | | 3-month LIBOR | | Chicago Mercantile | | | 7/03/142 | | | | 8/31/18 | | | | USD | | | | 195,720 | | | | (164,177 | ) |
1.52%1 | | 3-month LIBOR | | Chicago Mercantile | | | 7/03/142 | | | | 8/31/18 | | | | USD | | | | 58,300 | | | | 374,990 | |
1.71%1 | | 3-month LIBOR | | Chicago Mercantile | | | 7/03/142 | | | | 8/31/18 | | | | USD | | | | 51,590 | | | | (61,237 | ) |
1.54%1 | | 6-month LIBOR | | Chicago Mercantile | | | 7/03/142 | | | | 8/31/18 | | | | USD | | | | 29,200 | | | | 161,425 | |
2.82%1 | | 3-month LIBOR | | Chicago Mercantile | | | N/A | | | | 11/18/23 | | | | USD | | | | 4,150 | | | | (50,468 | ) |
0.82%1 | | 6-month JPY LIBOR | | Chicago Mercantile | | | N/A | | | | 11/25/23 | | | | JPY | | | | 1,675,380 | | | | (69,646 | ) |
0.79%1 | | 6-month JPY LIBOR | | Chicago Mercantile | | | N/A | | | | 11/28/23 | | | | JPY | | | | 1,827,685 | | | | (28,271 | ) |
2.79%1 | | 6-month LIBOR | | Chicago Mercantile | | | N/A | | | | 2/26/24 | | | | GBP | | | | 13,200 | | | | (61,497 | ) |
Total | | | | | | | | | | | | | | | | | | | | | | $ | 141,598 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | 1 | Master Portfolio pays the fixed rate and receives the floating rate. |
| Ÿ | | OTC credit default swaps — buy protection outstanding as of March 31, 2014 were as follows: |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Issuer/Index | | Pay
Fixed Rate | | | Counterparty | | Expiration
Date | | Notional
Amount
(000) | | | Market
Value | | | Premiums
Paid
(Received) | | | Unrealized
Appreciation
(Depreciation) | |
Republic of Portugal | | | 1.00 | % | | JPMorgan Chase Bank N.A. | | 6/20/15 | | | USD | | | | 12,800 | | | $ | (85,709 | ) | | $ | 458,679 | | | $ | (544,388 | ) |
Republic of Portugal | | | 1.00 | % | | Barclays Bank PLC | | 12/20/15 | | | USD | | | | 1,200 | | | | (4,599 | ) | | | 64,102 | | | | (68,701 | ) |
Republic of Portugal | | | 1.00 | % | | Deutsche Bank AG | | 12/20/15 | | | USD | | | | 1,350 | | | | (5,173 | ) | | | 72,115 | | | | (77,288 | ) |
Banca Monte dei Paschi di Siena SpA | | | 5.00 | % | | Deutsche Bank AG | | 12/20/16 | | | EUR | | | | 750 | | | | (49,154 | ) | | | 91,728 | | | | (140,882 | ) |
Republic of Ireland | | | 1.00 | % | | Citibank N.A. | | 12/20/16 | | | USD | | | | 4,000 | | | | (64,504 | ) | | | 499,627 | | | | (564,131 | ) |
Transocean Worldwide, Inc. | | | 1.00 | % | | Goldman Sachs Bank USA | | 12/20/16 | | | USD | | | | 5,750 | | | | (144,900 | ) | | | (29,969 | ) | | | (114,931 | ) |
Jaguar Land Rover Automotive PLC | | | 5.00 | % | | Credit Suisse International | | 3/20/17 | | | EUR | | | | 130 | | | | (21,844 | ) | | | (18,839 | ) | | | (3,005 | ) |
Jaguar Land Rover Automotive PLC | | | 5.00 | % | | Credit Suisse International | | 3/20/17 | | | EUR | | | | 130 | | | | (21,844 | ) | | | (18,839 | ) | | | (3,005 | ) |
Jaguar Land Rover Automotive PLC | | | 5.00 | % | | Credit Suisse International | | 3/20/17 | | | EUR | | | | 120 | | | | (20,163 | ) | | | (17,747 | ) | | | (2,416 | ) |
Banca Monte dei Paschi di Siena SpA | | | 5.00 | % | | JPMorgan Chase Bank N.A. | | 3/20/17 | | | EUR | | | | 3,800 | | | | (262,958 | ) | | | 385,563 | | | | (648,521 | ) |
Republic of Ireland | | | 1.00 | % | | Citibank N.A. | | 3/20/17 | | | USD | | | | 2,000 | | | | (32,396 | ) | | | 223,324 | | | | (255,720 | ) |
Caja de Ahorros Y Pensiones de Barcelona | | | 3.00 | % | | BNP Paribas S.A. | | 6/20/17 | | | EUR | | | | 720 | | | | (69,572 | ) | | | (6,609 | ) | | | (62,963 | ) |
Caja de Ahorros Y Pensiones de Barcelona | | | 3.00 | % | | BNP Paribas S.A. | | 6/20/17 | | | EUR | | | | 540 | | | | (52,179 | ) | | | (3,954 | ) | | | (48,225 | ) |
Republic of Portugal | | | 1.00 | % | | Citibank N.A. | | 6/20/17 | | | USD | | | | 6,000 | | | | 63,804 | | | | 1,290,237 | | | | (1,226,433 | ) |
CDX.NA.IG Series 18 Version 1 | | | 1.00 | % | | Credit Suisse International | | 6/20/17 | | | USD | | | | 103,800 | | | | (2,122,890 | ) | | | (7,943 | ) | | | (2,114,947 | ) |
Peugeot SA | | | 5.00 | % | | BNP Paribas S.A. | | 9/20/17 | | | EUR | | | | 2,975 | | | | (444,944 | ) | | | 258,228 | | | | (703,172 | ) |
Finmeccanica SpA | | | 5.00 | % | | Bank of America N.A. | | 3/20/18 | | | EUR | | | | 470 | | | | (83,543 | ) | | | (33,528 | ) | | | (50,015 | ) |
Deutsche Bank AG | | | 1.00 | % | | Barclays Bank PLC | | 3/20/18 | | | EUR | | | | 3,200 | | | | (70,787 | ) | | | (1,448 | ) | | | (69,339 | ) |
Deutsche Bank AG | | | 1.00 | % | | Citibank N.A. | | 3/20/18 | | | EUR | | | | 1,250 | | | | (27,651 | ) | | | (1,135 | ) | | | (26,516 | ) |
Marks & Spencer PLC | | | 1.00 | % | | Credit Suisse International | | 3/20/18 | | | EUR | | | | 1,330 | | | | 5,447 | | | | 54,425 | | | | (48,978 | ) |
Republic of Ireland | | | 1.00 | % | | Bank of America N.A. | | 3/20/18 | | | USD | | | | 800 | | | | (11,404 | ) | | | 23,501 | | | | (34,905 | ) |
See Notes to Consolidated Financial Statements.
| | | | | | |
| 52 | | BLACKROCK BALANCED CAPITAL FUND, INC. | | MARCH 31, 2014 | | |
| | | | |
| Consolidated Schedule of Investments (continued) | | | Master Total Return Portfolio | |
| Ÿ | | OTC credit default swaps — buy protection outstanding as of March 31, 2014 were as follows: (concluded) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Issuer/Index | | Pay
Fixed Rate | | | Counterparty | | Expiration
Date | | Notional
Amount
(000) | | | Market
Value | | | Premiums
Paid
(Received) | | | Unrealized
Appreciation
(Depreciation) | |
Republic of Italy | | | 1.00 | % | | Barclays Bank PLC | | 3/20/18 | | | USD | | | | 6,000 | | | $ | 30,548 | | | $ | 292,522 | | | $ | (261,974 | ) |
Republic of Ireland | | | 1.00 | % | | Deutsche Bank AG | | 3/20/18 | | | USD | | | | 900 | | | | (12,829 | ) | | | 26,439 | | | | (39,268 | ) |
AXA SA | | | 1.00 | % | | Barclays Bank PLC | | 6/20/18 | | | EUR | | | | 1,810 | | | | (30,523 | ) | | | 41,747 | | | | (72,270 | ) |
AXA SA | | | 1.00 | % | | BNP Paribas S.A. | | 6/20/18 | | | EUR | | | | 925 | | | | (15,598 | ) | | | 42,905 | | | | (58,503 | ) |
iTraxx Europe Series 9 3-6% | | | 5.00 | % | | Citibank N.A. | | 6/20/18 | | | EUR | | | | 3,780 | | | | (378,629 | ) | | | 440,653 | | | | (819,282 | ) |
AXA SA | | | 1.00 | % | | Credit Suisse International | | 6/20/18 | | | EUR | | | | 995 | | | | (16,779 | ) | | | 47,090 | | | | (63,869 | ) |
Finmeccanica SpA | | | 5.00 | % | | Credit Suisse International | | 6/20/18 | | | EUR | | | | 570 | | | | (103,103 | ) | | | (33,795 | ) | | | (69,308 | ) |
Finmeccanica SpA | | | 5.00 | % | | Goldman Sachs International | | 6/20/18 | | | EUR | | | | 90 | | | | (16,279 | ) | | | (9,274 | ) | | | (7,005 | ) |
Credit Agricole SA | | | 3.00 | % | | JPMorgan Chase Bank N.A. | | 6/20/18 | | | EUR | | | | 960 | | | | (124,812 | ) | | | (39,268 | ) | | | (85,544 | ) |
Finmeccanica SpA | | | 5.00 | % | | JPMorgan Chase Bank N.A. | | 6/20/18 | | | EUR | | | | 1,290 | | | | (233,338 | ) | | | (121,217 | ) | | | (112,121 | ) |
Société Générale SA | | | 3.00 | % | | JPMorgan Chase Bank N.A. | | 6/20/18 | | | EUR | | | | 960 | | | | (122,990 | ) | | | (38,299 | ) | | | (84,691 | ) |
Republic of France | | | 0.25 | % | | Barclays Bank PLC | | 6/20/18 | | | USD | | | | 2,530 | | | | 13,183 | | | | 38,405 | | | | (25,222 | ) |
Republic of France | | | 0.25 | % | | Citibank N.A. | | 6/20/18 | | | USD | | | | 2,740 | | | | 14,277 | | | | 47,107 | | | | (32,830 | ) |
Republic of France | | | 0.25 | % | | JPMorgan Chase Bank N.A. | | 6/20/18 | | | USD | | | | 2,735 | | | | 14,252 | | | | 36,102 | | | | (21,850 | ) |
Pernod-Ricard SA | | | 1.00 | % | | Barclays Bank PLC | | 9/20/18 | | | EUR | | | | 100 | | | | (2,017 | ) | | | 123 | | | | (2,140 | ) |
Peugeot SA | | | 5.00 | % | | Barclays Bank PLC | | 9/20/18 | | | EUR | | | | 2,975 | | | | (452,089 | ) | | | 95,402 | | | | (547,491 | ) |
Finmeccanica SpA | | | 5.00 | % | | Barclays Bank PLC | | 12/20/18 | | | EUR | | | | 530 | | | | (97,038 | ) | | | (56,823 | ) | | | (40,215 | ) |
iTraxx Financials Series 20 Version 1 | | | 1.00 | % | | Barclays Bank PLC | | 12/20/18 | | | EUR | | | | 1,450 | | | | (17,145 | ) | | | (8,693 | ) | | | (8,452 | ) |
iTraxx Financials Series 20 Version 1 | | | 1.00 | % | | Citibank N.A. | | 12/20/18 | | | EUR | | | | 3,120 | | | | (36,891 | ) | | | (18,339 | ) | | | (18,552 | ) |
Koninklijke KPN NV | | | 1.00 | % | | Barclays Bank PLC | | 3/20/19 | | | EUR | | | | 25 | | | | 266 | | | | 211 | | | | 55 | |
Marks & Spencer PLC | | | 1.00 | % | | Barclays Bank PLC | | 3/20/19 | | | EUR | | | | 136 | | | | 3,296 | | | | 3,848 | | | | (552 | ) |
Koninklijke KPN NV | | | 1.00 | % | | Citibank N.A. | | 3/20/19 | | | EUR | | | | 30 | | | | 320 | | | | 327 | | | | (7 | ) |
Koninklijke KPN NV | | | 1.00 | % | | Credit Suisse International | | 3/20/19 | | | EUR | | | | 20 | | | | 213 | | | | 194 | | | | 19 | |
Banco Bilbao Vizcaya Argentaria SA | | | 3.00 | % | | Deutsche Bank AG | | 3/20/19 | | | EUR | | | | 45 | | | | (5,107 | ) | | | (4,122 | ) | | | (985 | ) |
Koninklijke KPN NV | | | 1.00 | % | | Deutsche Bank AG | | 3/20/19 | | | EUR | | | | 15 | | | | 160 | | | | 154 | | | | 6 | |
Tesco PLC | | | 1.00 | % | | Goldman Sachs International | | 3/20/19 | | | EUR | | | | 20 | | | | (2 | ) | | | (100 | ) | | | 98 | |
Banco Bilbao Vizcaya Argentaria SA | | | 3.00 | % | | HSBC Bank PLC | | 3/20/19 | | | EUR | | | | 75 | | | | (8,513 | ) | | | (6,945 | ) | | | (1,568 | ) |
Banco Bilbao Vizcaya Argentaria SA | | | 3.00 | % | | HSBC Bank PLC | | 3/20/19 | | | EUR | | | | 50 | | | | (5,674 | ) | | | (4,548 | ) | | | (1,126 | ) |
Banco Bilbao Vizcaya Argentaria SA | | | 3.00 | % | | HSBC Bank PLC | | 3/20/19 | | | EUR | | | | 30 | | | | (3,405 | ) | | | (2,748 | ) | | | (657 | ) |
Tesco PLC | | | 1.00 | % | | Deutsche Bank AG | | 6/20/19 | | | EUR | | | | 300 | | | | 922 | | | | (1,201 | ) | | | 2,123 | |
Tesco PLC | | | 1.00 | % | | Deutsche Bank AG | | 6/20/19 | | | EUR | | | | 290 | | | | 891 | | | | (558 | ) | | | 1,449 | |
Federative Republic of Brazil | | | 1.00 | % | | Bank of America N.A. | | 6/20/19 | | | USD | | | | 3,832 | | | | 121,711 | | | | 141,522 | | | | (19,811 | ) |
Federative Republic of Brazil | | | 1.00 | % | | Bank of America N.A. | | 6/20/19 | | | USD | | | | 1,187 | | | | 37,701 | | | | 48,623 | | | | (10,922 | ) |
Federative Republic of Brazil | | | 1.00 | % | | Citibank N.A. | | 6/20/19 | | | USD | | | | 1,155 | | | | 36,685 | | | | 55,018 | | | | (18,333 | ) |
Total | | | | | | | | | | | | | | | | | | $ | (4,935,299 | ) | | $ | 4,293,980 | | | $ | (9,229,279 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Ÿ | | OTC credit default swaps — sold protection outstanding as of March 31, 2014 were as follows: |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Issuer/Index | | Receive
Fixed Rate | | | Counterparty | | Expiration
Date | | Credit
Rating1 | | | Notional
Amount
(000)2 | | | Market
Value | | | Premiums
Paid
(Received) | | | Unrealized
Appreciation
(Depreciation) | |
Norske Skogindustrier ASA | | | 5.00 | % | | Credit Suisse International | | 12/20/14 | | | CCC+ | | | | EUR | | | | 590 | | | $ | (25,281 | ) | | $ | (81,164 | ) | | $ | 55,883 | |
Banca Monte dei Paschi di Siena SpA | | | 3.00 | % | | BNP Paribas S.A. | | 9/20/16 | | | Not Rated | | | | EUR | | | | 2,000 | | | | (9,728 | ) | | | (177,854 | ) | | | 168,126 | |
Banca Monte dei Paschi di Siena SpA | | | 5.00 | % | | Deutsche Bank AG | | 9/20/16 | | | Not Rated | | | | EUR | | | | 750 | | | | 46,344 | | | | (18,991 | ) | | | 65,335 | |
See Notes to Consolidated Financial Statements.
| | | | | | |
| | | BLACKROCK BALANCED CAPITAL FUND, INC. | | MARCH 31, 2014 | | 53 |
| | | | |
| Consolidated Schedule of Investments (continued) | | | Master Total Return Portfolio | |
| Ÿ | | OTC credit default swaps — sold protection outstanding as of March 31, 2014 were as follows: (continued) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Issuer/Index | | Receive
Fixed Rate | | | Counterparty | | Expiration
Date | | Credit
Rating1 | | | Notional
Amount
(000)2 | | | Market
Value | | | Premiums
Paid
(Received) | | | Unrealized
Appreciation
(Depreciation) | |
Banca Monte dei Paschi di Siena SpA | | | 3.00 | % | | JPMorgan Chase Bank N.A. | | 9/20/16 | | | Not Rated | | | EUR | 2,200 | | | $ | (10,700 | ) | | $ | (112,634 | ) | | $ | 101,934 | |
Republic of Italy | | | 1.00 | % | | Citibank N.A. | | 12/20/16 | | | BBB | | | USD | 4,000 | | | | 15,306 | | | | (343,851 | ) | | | 359,157 | |
CDX.NA.IG Series 18 Version 1 | | | 1.00 | % | | Citibank N.A. | | 6/20/17 | | | BBB+ | | | USD | 103,800 | | | | 2,122,890 | | | | 75,526 | | | | 2,047,364 | |
Ardagh Packaging Finance PLC | | | 5.00 | % | | Barclays Bank PLC | | 9/20/17 | | | CCC+ | | | EUR | 370 | | | | 45,029 | | | | (26,090 | ) | | | 71,119 | |
Ardagh Packaging Finance PLC | | | 5.00 | % | | Credit Suisse International | | 9/20/17 | | | CCC+ | | | EUR | 550 | | | | 66,935 | | | | (39,858 | ) | | | 106,793 | |
ThyssenKrupp AG | | | 1.00 | % | | Credit Suisse International | | 12/20/17 | | | BB | | | EUR | 1,500 | | | | (56,199 | ) | | | (122,482 | ) | | | 66,283 | |
ThyssenKrupp AG | | | 1.00 | % | | Goldman Sachs International | | 12/20/17 | | | BB | | | EUR | 725 | | | | (27,163 | ) | | | (61,433 | ) | | | 34,270 | |
ThyssenKrupp AG | | | 1.00 | % | | JPMorgan Chase Bank N.A. | | 12/20/17 | | | BB | | | EUR | 525 | | | | (19,669 | ) | | | (44,486 | ) | | | 24,817 | |
Ardagh Packaging Finance PLC | | | 5.00 | % | | Credit Suisse International | | 3/20/18 | | | CCC+ | | | EUR | 300 | | | | 35,027 | | | | 2,861 | | | | 32,166 | |
Ardagh Packaging Finance PLC | | | 5.00 | % | | Deutsche Bank AG | | 3/20/18 | | | CCC+ | | | EUR | 310 | | | | 36,196 | | | | 3,089 | | | | 33,107 | |
Republic of Italy | | | 1.00 | % | | Barclays Bank PLC | | 3/20/18 | | | BBB | | | EUR | 4,500 | | | | 16,702 | | | | (221,580 | ) | | | 238,282 | |
Republic of Italy | | | 1.00 | % | | Barclays Bank PLC | | 3/20/18 | | | BBB | | | USD | 37 | | | | (188 | ) | | | (2,364 | ) | | | 2,176 | |
Schaeffler Finance BV | | | 5.00 | % | | Barclays Bank PLC | | 3/20/18 | | | B+ | | | EUR | 660 | | | | 131,946 | | | | 32,822 | | | | 99,124 | |
Schaeffler Finance BV | | | 5.00 | % | | Barclays Bank PLC | | 3/20/18 | | | B+ | | | EUR | 650 | | | | 129,947 | | | | 25,200 | | | | 104,747 | |
Schaeffler Finance BV | | | 5.00 | % | | Credit Suisse International | | 3/20/18 | | | B+ | | | EUR | 660 | | | | 131,946 | | | | 32,822 | | | | 99,124 | |
Swiss Reinsurance Co. Ltd. | | | 1.00 | % | | Barclays Bank PLC | | 3/20/18 | | | AA- | | | EUR | 3,200 | | | | 84,916 | | | | 5,537 | | | | 79,379 | |
Swiss Reinsurance Co. Ltd. | | | 1.00 | % | | Citibank N.A. | | 3/20/18 | | | AA- | | | EUR | 1,250 | | | | 33,171 | | | | 1,776 | | | | 31,395 | |
Tata Motors Finance Ltd. | | | 5.00 | % | | Credit Suisse International | | 3/20/18 | | | BB | | | EUR | 720 | | | | 142,701 | | | | 68,924 | | | | 73,777 | |
Aviva PLC | | | 1.00 | % | | Barclays Bank PLC | | 6/20/18 | | | Not Rated | | | EUR | 1,810 | | | | 20,976 | | | | (39,020 | ) | | | 59,996 | |
Aviva PLC | | | 1.00 | % | | BNP Paribas S.A. | | 6/20/18 | | | Not Rated | | | EUR | 925 | | | | 10,720 | | | | (42,468 | ) | | | 53,188 | |
Aviva PLC | | | 1.00 | % | | Credit Suisse International | | 6/20/18 | | | Not Rated | | | EUR | 995 | | | | 11,531 | | | | (45,447 | ) | | | 56,978 | |
Deutsche Bank AG | | | 1.00 | % | | Barclays Bank PLC | | 6/20/18 | | | A | | | EUR | 1,260 | | | | 26,727 | | | | (3,587 | ) | | | 30,314 | |
Muenchener Rueckversicherungs AG | | | 1.00 | % | | JPMorgan Chase Bank N.A. | | 6/20/18 | | | AA- | | | EUR | 2,110 | | | | 78,093 | | | | 15,945 | | | | 62,148 | |
RWE AG | | | 1.00 | % | | JPMorgan Chase Bank N.A. | | 6/20/18 | | | BBB+ | | | EUR | 1,190 | | | | 19,887 | | | | 12,078 | | | | 7,809 | |
Techem GmbH | | | 5.00 | % | | Credit Suisse International | | 6/20/18 | | | B+ | | | EUR | 530 | | | | 77,934 | | | | 43,587 | | | | 34,347 | |
Tesco PLC | | | 1.00 | % | | Goldman Sachs International | | 6/20/18 | | | BBB+ | | | EUR | 1,180 | | | | 10,987 | | | | 17,046 | | | | (6,059 | ) |
General Electric Capital Corp. | | | 1.00 | % | | Deutsche Bank AG | | 9/20/18 | | | AA+ | | | USD | 4,250 | | | | 88,790 | | | | (32,146 | ) | | | 120,936 | |
RWE AG | | | 1.00 | % | | Barclays Bank PLC | | 9/20/18 | | | BBB+ | | | EUR | 100 | | | | 1,406 | | | | 99 | | | | 1,307 | |
Bayerische Landesbank Gtd. | | | 1.00 | % | | Barclays Bank PLC | | 12/20/18 | | | Not Rated | | | EUR | 790 | | | | 3,183 | | | | 2,385 | | | | 798 | |
iTraxx Sub Financials Series 20 Version 1 | | | 5.00 | % | | Barclays Bank PLC | | 12/20/18 | | | BBB+ | | | EUR | 1,160 | | | | 280,077 | | | | 265,183 | | | | 14,894 | |
iTraxx Sub Financials Series 20 Version 1 | | | 5.00 | % | | Citibank N.A. | | 12/20/18 | | | BBB+ | | | EUR | 1,660 | | | | 400,800 | | | | 376,058 | | | | 24,742 | |
iTraxx Sub Financials Series 20 Version 1 | | | 5.00 | % | | Deutsche Bank AG | | 12/20/18 | | | BBB+ | | | EUR | 830 | | | | 200,400 | | | | 188,886 | | | | 11,514 | |
Norske Skogindustrier ASA | | | 5.00 | % | | Credit Suisse International | | 12/20/18 | | | CCC+ | | | EUR | 130 | | | | (72,540 | ) | | | (63,610 | ) | | | (8,930 | ) |
Banco Santander SA | | | 3.00 | % | | Deutsche Bank AG | | 3/20/19 | | | BBB | | | EUR | 45 | | | | 5,384 | | | | 4,182 | | | | 1,202 | |
Banco Santander SA | | | 3.00 | % | | HSBC Bank PLC | | 3/20/19 | | | BBB | | | EUR | 75 | | | | 8,974 | | | | 6,970 | | | | 2,004 | |
Banco Santander SA | | | 3.00 | % | | HSBC Bank PLC | | 3/20/19 | | | BBB | | | EUR | 50 | | | | 5,983 | | | | 4,615 | | | | 1,368 | |
Banco Santander SA | | | 3.00 | % | | HSBC Bank PLC | | 3/20/19 | | | BBB | | | EUR | 30 | | | | 3,589 | | | | 2,788 | | | | 801 | |
CNH Industrial NV | | | 5.00 | % | | Citibank N.A. | | 3/20/19 | | | BB+ | | | EUR | 240 | | | | 50,012 | | | | 48,926 | | | | 1,086 | |
CNH Industrial NV | | | 5.00 | % | | Citibank N.A. | | 3/20/19 | | | BB+ | | | EUR | 240 | | | | 50,012 | | | | 49,876 | | | | 136 | |
J Sainsbury PLC | | | 1.00 | % | | Goldman Sachs International | | 3/20/19 | | | Not Rated | | | EUR | 20 | | | | (311 | ) | | | (157 | ) | | | (154 | ) |
ThyssenKrupp AG | | | 1.00 | % | | Bank of America N.A. | | 3/20/19 | | | BB | | | EUR | 156 | | | | (13,228 | ) | | | (15,439 | ) | | | 2,211 | |
See Notes to Consolidated Financial Statements.
| | | | | | |
| 54 | | BLACKROCK BALANCED CAPITAL FUND, INC. | | MARCH 31, 2014 | | |
| | | | |
| Consolidated Schedule of Investments (continued) | | | Master Total Return Portfolio | |
| Ÿ | | OTC credit default swaps – sold protection outstanding as of March 31, 2014 were as follows: (concluded) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Issuer/Index | | Receive
Fixed Rate | | | Counterparty | | Expiration
Date | | Credit
Rating1 | | | Notional
Amount
(000)2 | | | Market
Value | | | Premiums
Paid
(Received) | | | Unrealized
Appreciation
(Depreciation) | |
ThyssenKrupp AG | | | 1.00 | % | | Citibank N.A. | | 3/20/19 | | | BB | | | EUR | 156 | | | $ | (13,228 | ) | | $ | (14,839 | ) | | $ | 1,611 | |
ThyssenKrupp AG | | | 1.00 | % | | Goldman Sachs International | | 3/20/19 | | | BB | | | EUR | 163 | | | | (13,808 | ) | | | (16,300 | ) | | | 2,492 | |
ThyssenKrupp AG | | | 1.00 | % | | JPMorgan Chase Bank N.A. | | 3/20/19 | | | BB | | | EUR | 156 | | | | (13,229 | ) | | | (14,452 | ) | | | 1,223 | |
Transocean, Inc. | | | 1.00 | % | | Barclays Bank PLC | | 3/20/19 | | | BBB- | | | USD | 4,531 | | | | (120,586 | ) | | | (88,695 | ) | | | (31,891 | ) |
Transocean, Inc. | | | 1.00 | % | | JPMorgan Chase Bank N.A. | | 3/20/19 | | | BBB- | | | USD | 3,880 | | | | (103,256 | ) | | | (97,599 | ) | | | (5,657 | ) |
Trionista Holdco GmbH | | | 5.00 | % | | Citibank N.A. | | 3/20/19 | | | Not Rated | | | EUR | 80 | | | | 10,941 | | | | 8,478 | | | | 2,463 | |
Astaldi SpA | | | 5.00 | % | | Credit Suisse International | | 6/20/19 | | | B+ | | | EUR | 72 | | | | 186 | | | | 572 | | | | (386 | ) |
CDX.EM Series 21 Version 1 | | | 5.00 | % | | Citibank N.A. | | 6/20/19 | | | BB+ | | | USD | 9,320 | | | | 881,361 | | | | 737,713 | | | | 143,648 | |
iTraxx Financials Series 21 Version 1 | | | 1.00 | % | | Citibank N.A. | | 6/20/19 | | | A- | | | EUR | 170 | | | | 325 | | | | 359 | | | | (34 | ) |
J Sainsbury PLC | | | 1.00 | % | | Deutsche Bank AG | | 6/20/19 | | | Not Rated | | | EUR | 300 | | | | (6,068 | ) | | | (3,752 | ) | | | (2,316 | ) |
J Sainsbury PLC | | | 1.00 | % | | Deutsche Bank AG | | 6/20/19 | | | Not Rated | | | EUR | 300 | | | | (6,067 | ) | | | (3,134 | ) | | | (2,933 | ) |
Republic of Turkey | | | 1.00 | % | | Barclays Bank PLC | | 6/20/19 | | | BB+ | | | USD | 2,800 | | | | (172,962 | ) | | | (167,843 | ) | | | (5,119 | ) |
Barrick Gold Corp. | | | 1.00 | % | | Goldman Sachs International | | 6/20/21 | | | BBB | | | USD | 3,172 | | | | (278,459 | ) | | | (270,356 | ) | | | (8,103 | ) |
Glencore International AG | | | 1.00 | % | | BNP Paribas S.A. | | 6/20/21 | | | BBB | | | EUR | 160 | | | | (18,659 | ) | | | (20,676 | ) | | | 2,017 | |
Glencore International AG | | | 1.00 | % | | Citibank N.A. | | 6/20/21 | | | BBB | | | EUR | 320 | | | | (37,318 | ) | | | (42,565 | ) | | | 5,247 | |
Republic of France | | | 0.25 | % | | Barclays Bank PLC | | 6/20/23 | | | AA | | | USD | 1,550 | | | | (82,796 | ) | | | (110,659 | ) | | | 27,863 | |
Republic of France | | | 0.25 | % | | Citibank N.A. | | 6/20/23 | | | AA | | | USD | 1,670 | | | | (89,207 | ) | | | (125,911 | ) | | | 36,704 | |
Republic of France | | | 0.25 | % | | JPMorgan Chase Bank N.A. | | 6/20/23 | | | AA | | | USD | 1,670 | | | | (89,207 | ) | | | (116,995 | ) | | | 27,788 | |
CMBX.NA Series 7 AAA | | | 0.50 | % | | Goldman Sachs International | | 1/17/47 | | | AAA | | | USD | 2,130 | | | | (65,839 | ) | | | (80,952 | ) | | | 15,113 | |
CMBX.NA Series 2 AM | | | 0.50 | % | | Deutsche Bank AG | | 3/15/49 | | | A- | | | USD | 4,830 | | | | (76,891 | ) | | | (673,987 | ) | | | 597,096 | |
CMBX.NA Series 3 AM | | | 0.50 | % | | Credit Suisse International | | 12/13/49 | | | BBB- | | | USD | 920 | | | | (43,327 | ) | | | (89,237 | ) | | | 45,910 | |
CMBX.NA Series 3 AM | | | 0.50 | % | | JPMorgan Chase Bank N.A. | | 12/13/49 | | | BBB- | | | USD | 5,000 | | | | (235,473 | ) | | | (466,024 | ) | | | 230,551 | |
CMBX.NA Series 3 AM | | | 0.50 | % | | Royal Bank of Scotland PLC | | 12/13/49 | | | BBB- | | | USD | 2,320 | | | | (109,260 | ) | | | (227,880 | ) | | | 118,620 | |
CMBX.NA Series 4 AM | | | 0.50 | % | | Deutsche Bank AG | | 2/17/51 | | | BB- | | | USD | 2,000 | | | | (111,047 | ) | | | (292,591 | ) | | | 181,544 | |
Total | | | | | | | | | | | | | | | | | | $ | 3,365,640 | | | $ | (2,384,805 | ) | | $ | 5,750,445 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 1 | Using S&P’s rating of the issuer or the underlying securities of the index, as applicable. |
| | 2 | The maximum potential amount the Master Portfolio may pay should a negative credit event take place as defined under the terms of the agreement. |
| Ÿ | | OTC interest rate swaps outstanding as of March 31, 2014 were as follows: |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Fixed
Rate | | Floating Rate | | Counterparty | | Effective
Date | | | Expiration
Date | | | Notional Amount (000) | | | Market
Value | | | Premiums
(Received) | | | Unrealized
Appreciation
(Depreciation) | |
| 11.77%1 | | 1-day Overnight Brazil Interbank Deposit Rate | | Deutsche Bank AG | | | N/A | | | | 1/04/16 | | | | BRL | | | | 28,932 | | | $ | (20,297 | ) | | $ | (10,351 | ) | | $ | (9,946 | ) |
| 4.74%1 | | 28-day Mexican Interbank Rate | | Credit Suisse International | | | 2/09/15 | 2 | | | 2/08/16 | | | | MXN | | | | 121,401 | | | | 16,232 | | | | — | | | | 16,232 | |
| 4.74%1 | | 28-day Mexican Interbank Rate | | Deutsche Bank AG | | | 2/09/15 | 2 | | | 2/08/16 | | | | MXN | | | | 168,235 | | | | 21,879 | | | | — | | | | 21,879 | |
| 4.71%1 | | 28-day Mexican Interbank Rate | | Deutsche Bank AG | | | 2/11/15 | 2 | | | 2/10/16 | | | | MXN | | | | 287,967 | | | | 30,995 | | | | — | | | | 30,995 | |
| 4.74%1 | | 28-day Mexican Interbank Rate | | Bank of America N.A. | | | 3/19/15 | 2 | | | 3/17/16 | | | | MXN | | | | 253,175 | | | | 14,011 | | | | — | | | | 14,011 | |
| 3.28%3 | | 3-month WIBOR | | JPMorgan Chase Bank N.A. | | | 3/26/15 | 2 | | | 3/26/16 | | | | PLN | | | | 59,850 | | | | (2,755 | ) | | | — | | | | (2,755 | ) |
| 3.27%3 | | 3-month LIBOR | | Deutsche Bank AG | | | N/A | | | | 5/16/21 | | | | USD | | | | 9,510 | | | | (673,579 | ) | | | — | | | | (673,579 | ) |
See Notes to Consolidated Financial Statements.
| | | | | | |
| | | BLACKROCK BALANCED CAPITAL FUND, INC. | | MARCH 31, 2014 | | 55 |
| | | | |
| Consolidated Schedule of Investments (continued) | | | Master Total Return Portfolio | |
| Ÿ | | OTC interest rate swaps outstanding as of March 31, 2014 were as follows: (concluded) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Fixed Rate | | Floating Rate | | Counterparty | | Effective
Date | | | Expiration
Date | | | Notional
Amount (000) | | | Market
Value | | | Premiums
(Received) | | | Unrealized
Appreciation
(Depreciation) | |
| 6.83%1 | | 28-day Mexican Interbank Rate | | JPMorgan Chase Bank N.A. | | | N/A | | | | 11/03/23 | | | | MXN | | | | 63,740 | | | $ | 107,758 | | | | — | | | $ | 107,758 | |
| Total | | | | | | | | | | | | | | | | | | | | | | $ | (505,756 | ) | | $ | (10,351 | ) | | $ | (495,405 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 1 | Master Portfolio pays the floating rate and receives the fixed rate. |
| | 3 | Master Portfolio pays the fixed rate and receives the floating rate. |
| Ÿ | | OTC total return swaps outstanding as of March 31, 2014 were as follows: |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Entity | | Fixed Rate/ Floating Rate | | Counterparty | | Expiration
Date | | | Notional
Amount/
Contract
Amount
(000) | | | Market
Value | | | Premiums
Paid (Received) | | | Unrealized
Appreciation (Depreciation) | |
Volkswagen AG | | 3-month EURIBOR plus 0.03% | | JPMorgan Chase Bank N.A. | | | 4/02/14 | | | | EUR | | | | 3 | | | $ | 51,827 | | | | — | | | $ | 51,827 | |
Volkswagen AG | | 3-month EURIBOR plus 0.03% | | JPMorgan Chase Bank N.A. | | | 4/02/14 | | | | EUR | | | | 2 | | | | 34,383 | | | | — | | | | 34,383 | |
Volkswagen AG | | 3-month EURIBOR plus 0.03% | | JPMorgan Chase Bank N.A. | | | 4/02/14 | | | | EUR | | | | 1 | | | | 11,156 | | | | — | | | | 11,156 | |
Volkswagen AG | | 3-month EURIBOR plus 0.03% | | JPMorgan Chase Bank N.A. | | | 4/02/14 | | | | EUR | | | | 1 | | | | 8,638 | | | | — | | | | 8,638 | |
Volkswagen AG | | 3-month EURIBOR plus 0.03% | | JPMorgan Chase Bank N.A. | | | 4/02/14 | | | | EUR | | | | 1 | | | | 8,638 | | | | — | | | | 8,638 | |
Volkswagen AG | | 3-month EURIBOR minus 0.05% | | JPMorgan Chase Bank N.A. | | | 4/14/14 | | | | EUR | | | | 4 | | | | 70,392 | | | | — | | | | 70,392 | |
iBoxx GBP Corporate Index | | 3-month LIBOR | | JPMorgan Chase Bank N.A. | | | 6/20/14 | | | | GBP | | | | 9,800 | | | | (42,595 | ) | | | — | | | | (42,595 | ) |
iBoxx GBP Corporate Index | | 3-month LIBOR | | JPMorgan Chase Bank N.A. | | | 6/20/14 | | | | GBP | | | | 4,900 | | | | (50,904 | ) | | | — | | | | (50,904 | ) |
Telecom Italia SpA | | 3-month EURIBOR minus 0.25% | | JPMorgan Chase Bank N.A. | | | 11/08/14 | | | | EUR | | | | 1,244 | | | | (306,807 | ) | | | — | | | | (306,807 | ) |
Repsol SA | | 3-month EURIBOR minus 0.50% | | Citibank N.A. | | | 11/12/14 | | | | EUR | | | | 51 | | | | (20,465 | ) | | | — | | | | (20,465 | ) |
Repsol SA | | 3-month EURIBOR minus 0.50% | | Citibank N.A. | | | 1/19/15 | | | | EUR | | | | 1 | | | | (35,015 | ) | | | — | | | | (35,015 | ) |
UniCredit SpA | | 3-month EURIBOR plus 0.10% | | Bank of America N.A. | | | 1/21/15 | | | | EUR | | | | 70 | | | | (66,776 | ) | | | — | | | | (66,776 | ) |
Volkswagen AG | | 3-month EURIBOR minus 0.25% | | BNP Paribas S.A. | | | 1/30/15 | | | | EUR | | | | 2 | | | | 4,428 | | | | — | | | | 4,428 | |
Volkswagen AG | | 3-month EURIBOR minus 0.25% | | BNP Paribas S.A. | | | 1/30/15 | | | | EUR | | | | 2 | | | | 9,411 | | | | — | | | | 9,411 | |
Volkswagen AG | | 3-month EURIBOR minus 0.25% | | BNP Paribas S.A. | | | 2/02/15 | | | | EUR | | | | 3 | | | | 9,409 | | | | — | | | | 9,409 | |
Return on Markit IOS 4.00%, 30-year, fixed rate Fannie Mae | | 1-month LIBOR1 | | Bank of America N.A. | | | 1/12/41 | | | | USD | | | | 1,222 | | | | (938 | ) | | $ | (9,280 | ) | | | 8,342 | |
See Notes to Consolidated Financial Statements.
| | | | | | |
| 56 | | BLACKROCK BALANCED CAPITAL FUND, INC. | | MARCH 31, 2014 | | |
| | | | |
| Consolidated Schedule of Investments (continued) | | | Master Total Return Portfolio | |
| Ÿ | | OTC total return swaps outstanding as of March 31, 2014 were as follows: (continued) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Entity | | Fixed
Rate/
Floating Rate | | | Counterparty | | Expiration
Date | | Notional
Amount/
Contract
Amount
(000) | | | Market
Value | | | Premiums
Paid
(Received) | | | Unrealized
Appreciation
(Depreciation) | |
Return on Markit IOS 4.00%, 30-year,fixed rate Fannie Mae | | | 1-month LIBOR | 2 | | Bank of America N.A. | | 1/12/41 | | | USD | | | | 1,222 | | | $ | 938 | | | $ | 5,732 | | | $ | (4,794 | ) |
Return on Markit IOS 4.00%, 30-year,fixed rate Fannie Mae | | | 1-month LIBOR | 1 | | Bank of America N.A. | | 1/12/41 | | | USD | | | | 1,222 | | | | (938 | ) | | | 4,770 | | | | (5,708 | ) |
Return on Markit IOS 4.00%, 30-year,fixed rate Fannie Mae | | | 1-month LIBOR | 1 | | Citibank N.A. | | 1/12/41 | | | USD | | | | 2,396 | | | | (1,840 | ) | | | (2,605 | ) | | | 765 | |
Return on Markit IOS 4.00%, 30-year,fixed rate Fannie Mae | | | 1-month LIBOR | 1 | | Citibank N.A. | | 1/12/41 | | | USD | | | | 2,114 | | | | (1,623 | ) | | | 5,357 | | | | (6,980 | ) |
Return on Markit IOS 4.00%, 30-year,fixed rate Fannie Mae | | | 1-month LIBOR | 1 | | Citibank N.A. | | 1/12/41 | | | USD | | | | 2,067 | | | | (1,588 | ) | | | (7,247 | ) | | | 5,659 | |
Return on Markit IOS 4.00%, 30-year,fixed rate Fannie Mae | | | 1-month LIBOR | 1 | | Credit Suisse International | | 1/12/41 | | | USD | | | | 2,490 | | | | (1,912 | ) | | | (1,929 | ) | | | 17 | |
Return on Markit IOS 4.00%, 30-year,fixed rate Fannie Mae | | | 1-month LIBOR | 1 | | Credit Suisse International | | 1/12/41 | | | USD | | | | 2,443 | | | | (1,876 | ) | | | (26,918 | ) | | | 25,042 | |
Return on Markit IOS 4.00%, 30-year,fixed rate Fannie Mae | | | 1-month LIBOR | 1 | | Credit Suisse International | | 1/12/41 | | | USD | | | | 2,443 | | | | (1,876 | ) | | | (4,366 | ) | | | 2,490 | |
Return on Markit IOS 4.00%, 30-year,fixed rate Fannie Mae | | | 1-month LIBOR | 1 | | Credit Suisse International | | 1/12/41 | | | USD | | | | 2,396 | | | | (1,839 | ) | | | (19,397 | ) | | | 17,558 | |
Return on Markit IOS 4.00%, 30-year,fixed rate Fannie Mae | | | 1-month LIBOR | 2 | | Credit Suisse International | | 1/12/41 | | | USD | | | | 2,396 | | | | 1,840 | | | | (11,231 | ) | | | 13,071 | |
Return on Markit IOS 4.00%, 30-year,fixed rate Fannie Mae | | | 1-month LIBOR | 1 | | Credit Suisse International | | 1/12/41 | | | USD | | | | 2,396 | | | | (1,840 | ) | | | (1,343 | ) | | | (497 | ) |
Return on Markit IOS 4.00%, 30-year,fixed rate Fannie Mae | | | 1-month LIBOR | 2 | | Credit Suisse International | | 1/12/41 | | | USD | | | | 2,208 | | | | 1,695 | | | | (6,775 | ) | | | 8,470 | |
Return on Markit IOS 4.00%, 30-year,fixed rate Fannie Mae | | | 1-month LIBOR | 2 | | Credit Suisse International | | 1/12/41 | | | USD | | | | 2,114 | | | | 1,623 | | | | 1,037 | | | | 586 | |
Return on Markit IOS 4.00%, 30-year,fixed rate Fannie Mae | | | 1-month LIBOR | 1 | | Credit Suisse International | | 1/12/41 | | | USD | | | | 1,315 | | | | (1,010 | ) | | | (1,164 | ) | | | 154 | |
Return on Markit IOS 4.00%, 30-year,fixed rate Fannie Mae | | | 1-month LIBOR | 1 | | Credit Suisse International | | 1/12/41 | | | USD | | | | 1,269 | | | | 974 | | | | (10,286 | ) | | | 11,260 | |
Return on Markit IOS 4.00%, 30-year,fixed rate Fannie Mae | | | 1-month LIBOR | 1 | | Credit Suisse International | | 1/12/41 | | | USD | | | | 1,222 | | | | (938 | ) | | | (9,889 | ) | | | 8,951 | |
See Notes to Consolidated Financial Statements.
| | | | | | |
| | | BLACKROCK BALANCED CAPITAL FUND, INC. | | MARCH 31, 2014 | | 57 |
| | |
| Consolidated Schedule of Investments (continued) | | Master Total Return Portfolio |
| Ÿ | | OTC total return swaps outstanding as of March 31, 2014 were as follows: (continued) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Entity | | Fixed
Rate/
Floating Rate | | | Counterparty | | Expiration
Date | | Notional
Amount/
Contract
Amount
(000) | | | Market
Value | | | Premiums
Paid
(Received) | | | Unrealized
Appreciation
(Depreciation) | |
Return on Markit IOS 4.00%, 30-year, fixed rate Fannie Mae | | | 1-month LIBOR | 2 | | Credit Suisse International | | 1/12/41 | | | USD | | | | 1,222 | | | $ | 938 | | | $ | 5,039 | | | $ | (4,101 | ) |
Return on Markit IOS 4.00%, 30-year, fixed rate Fannie Mae | | | 1-month LIBOR | 1 | | Credit Suisse International | | 1/12/41 | | | USD | | | | 1,128 | | | | (866 | ) | | | (998 | ) | | | 132 | |
Return on Markit IOS 4.00%, 30-year, fixed rate Fannie Mae | | | 1-month LIBOR | 2 | | Credit Suisse International | | 1/12/41 | | | USD | | | | 1,081 | | | | 830 | | | | 5,165 | | | | (4,335 | ) |
Return on Markit IOS 4.00%, 30-year, fixed rate Fannie Mae | | | 1-month LIBOR | 2 | | Credit Suisse International | | 1/12/41 | | | USD | | | | 1,081 | | | | 830 | | | | 5,334 | | | | (4,504 | ) |
Return on Markit IOS 4.00%, 30-year, fixed rate Fannie Mae | | | 1-month LIBOR | 2 | | Credit Suisse International | | 1/12/41 | | | USD | | | | 1,081 | | | | 830 | | | | (3,315 | ) | | | 4,145 | |
Return on Markit IOS 4.00%, 30-year, fixed rate Fannie Mae | | | 1-month LIBOR | 1 | | Credit Suisse International | | 1/12/41 | | | USD | | | | 1,034 | | | | (794 | ) | | | (2,056 | ) | | | 1,262 | |
Return on Markit IOS 4.00%, 30-year, fixed rate Fannie Mae | | | 1-month LIBOR | 2 | | Deutsche Bank AG | | 1/12/41 | | | USD | | | | 2,490 | | | | 1,912 | | | | 11,294 | | | | (9,382 | ) |
Return on Markit IOS 4.00%, 30-year, fixed rate Fannie Mae | | | 1-month LIBOR | 2 | | Deutsche Bank AG | | 1/12/41 | | | USD | | | | 1,081 | | | | 830 | | | | (314 | ) | | | 1,144 | |
Return on Markit IOS 4.00%, 30-year, fixed rate Fannie Mae | | | 1-month LIBOR | 1 | | Goldman Sachs Bank USA | | 1/12/41 | | | USD | | | | 4,322 | | | | (3,319 | ) | | | (28,089 | ) | | | 24,770 | |
Return on Markit IOS 4.00%, 30-year, fixed rate Fannie Mae | | | 1-month LIBOR | 1 | | Goldman Sachs Bank USA | | 1/12/41 | | | USD | | | | 2,443 | | | | (1,875 | ) | | | 9,654 | | | | (11,529 | ) |
Return on Markit IOS 4.00%, 30-year, fixed rate Fannie Mae | | | 1-month LIBOR | 2 | | Goldman Sachs Bank USA | | 1/12/41 | | | USD | | | | 1,973 | | | | 1,515 | | | | 6,644 | | | | (5,129 | ) |
Return on Markit IOS 4.00%, 30-year, fixed rate Fannie Mae | | | 1-month LIBOR | 1 | | Goldman Sachs Bank USA | | 1/12/41 | | | USD | | | | 1,269 | | | | (974 | ) | | | (8,684 | ) | | | 7,710 | |
Return on Markit IOS 4.00%, 30-year, fixed rate Fannie Mae | | | 1-month LIBOR | 2 | | Goldman Sachs Bank USA | | 1/12/41 | | | USD | | | | 1,222 | | | | 938 | | | | (5,726 | ) | | | 6,664 | |
Return on Markit IOS 4.00%, 30-year, fixed rate Fannie Mae | | | 1-month LIBOR | 2 | | Goldman Sachs Bank USA | | 1/12/41 | | | USD | | | | 1,128 | | | | 866 | | | | (3,812 | ) | | | 4,678 | |
Return on Markit IOS 4.00%, 30-year, fixed rate Fannie Mae | | | 1-month LIBOR | 1 | | JPMorgan Chase Bank N.A. | | 1/12/41 | | | USD | | | | 1,269 | | | | (973 | ) | | | 4,176 | | | | (5,149 | ) |
Return on Markit IOS 4.50%, 30-year, fixed rate Fannie Mae | | | 1-month LIBOR | 2 | | Credit Suisse International | | 1/12/41 | | | USD | | | | 2,139 | | | | 715 | | | | 1,291 | | | | (576 | ) |
See Notes to Consolidated Financial Statements.
| | | | | | |
| 58 | | BLACKROCK BALANCED CAPITAL FUND, INC. | | MARCH 31, 2014 | | |
| | | | |
| Consolidated Schedule of Investments (continued) | | | Master Total Return Portfolio | |
| Ÿ | | OTC total return swaps outstanding as of March 31, 2014 were as follows: (concluded) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Entity | | Fixed Rate/
Floating Rate | | Counterparty | | Expiration
Date | | | Notional
Amount/
Contract
Amount
(000) | | | Market
Value | | | Premiums
Paid
(Received) | | | Unrealized
Appreciation
(Depreciation) | |
Return on Markit IOS 4.50%, 30-year, fixed rate Fannie Mae | | 1-month LIBOR2 | | Credit Suisse International | | | 1/12/41 | | | USD | 1,070 | | | $ | 357 | | | $ | 1,890 | | | $ | (1,533 | ) |
Return on Markit IOS 3.00%, 30-year, fixed rate Fannie Mae | | 1-month LIBOR1 | | Credit Suisse International | | | 1/12/43 | | | USD | 2,171 | | | | 1,880 | | | | 752 | | | | 1,128 | |
Return on Markit IOS 3.00%, 30-year, fixed rate Fannie Mae | | 1-month LIBOR1 | | Credit Suisse International | | | 1/12/43 | | | USD | 2,080 | | | | 1,801 | | | | (408 | ) | | | 2,209 | |
Return on Markit IOS 3.00%, 30-year, fixed rate Fannie Mae | | 1-month LIBOR1 | | Credit Suisse International | | | 1/12/43 | | | USD | 1,085 | | | | 940 | | | | 220 | | | | 720 | |
Return on Markit IOS 3.00%, 30-year, fixed rate Fannie Mae | | 1-month LIBOR1 | | Credit Suisse International | | | 1/12/43 | | | USD | 995 | | | | 861 | | | | (88 | ) | | | 949 | |
Return on Markit IOS 3.00%, 30-year, fixed rate Fannie Mae | | 1-month LIBOR1 | | Deutsche Bank AG | | | 1/12/43 | | | USD | 1,085 | | | | 939 | | | | 84 | | | | 855 | |
Return on Markit IOS 3.00%, 30-year, fixed rate Fannie Mae | | 1-month LIBOR1 | | JPMorgan Chase Bank N.A. | | | 1/12/43 | | | USD | 2,171 | | | | 1,879 | | | | (1,471 | ) | | | 3,350 | |
Return on Markit IOS 3.00%, 30-year, fixed rate Fannie Mae | | 1-month LIBOR1 | | JPMorgan Chase Bank N.A. | | | 1/12/43 | | | USD | 2,080 | | | | 1,801 | | | | 387 | | | | 1,414 | |
Total | | | | | | | | | | | | | | $ | (313,567 | ) | | $ | (98,565 | ) | | $ | (215,002 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | 1 | Master Portfolio pays the total return of the reference entity and receives the floating rate. |
| | 2 | Master Portfolio pays the floating rate and receives the total return of the reference entity. |
| Ÿ | | OTC total return variance swaps outstanding as of March 31, 2014 were as follows: |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Index | | Variance
Strike Price1 | | | Counterparty | | Expiration
Date | | Notional
Amount
(000) | | | Market
Value | | | Premiums
Paid
(Received) | | | Unrealized
Appreciation
(Depreciation) | |
EURO STOXX 50 Index | | EUR | 460.10 | | | BNP Paribas S.A. | | 3/20/15 | | EUR | 36 | | | $ | 50,661 | | | | — | | | $ | 50,661 | |
S&P 500 Index | | USD | 336.72 | | | BNP Paribas S.A. | | 3/20/15 | | USD | 49 | | | | (29,402 | ) | | | — | | | | (29,402 | ) |
Total | | | | | | | | | | | | | | $ | 21,259 | | | | — | | | $ | 21,259 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | 1 | At expiration, the Master Portfolio pays or receives the difference between the realized variance and predefined variance strike price multiplied by the notional amount. |
| Ÿ | | Fair Value Measurements — Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial statement purposes as follows: |
| | Ÿ | | Level 1 — unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Master Portfolio has the ability to access |
| | Ÿ | | Level 2 — other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market–corroborated inputs) |
| | Ÿ | | Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Master Portfolio’s own assumptions used in determining the fair value of investments and derivative financial instruments) |
See Notes to Consolidated Financial Statements.
| | | | | | |
| | | BLACKROCK BALANCED CAPITAL FUND, INC. | | MARCH 31, 2014 | | 59 |
| | | | |
| Consolidated Schedule of Investments (continued) | | | Master Total Return Portfolio | |
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety.
Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Master Portfolio’s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and is not necessarily an indication of the risks associated with investing in those securities. For information about the Master Portfolio’s policy regarding valuation of investments and derivative financial instruments, please refer to Note 2 of the Notes to Consolidated Financial Statements.
The following tables summarize the Master Portfolio’s investments and derivative financial instruments categorized in the disclosure hierarchy as of March 31, 2014:
| | | | | | | | | | | | | | | | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Assets: | | | | | | | | | | | | | | | | |
Investments: | | | | | | | | | | | | | | | | |
Long-Term Investments: | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | | — | | | $ | 663,216,563 | | | $ | 39,471,197 | | | $ | 702,687,760 | |
Common Stocks | | | — | | | | 1,270,037 | | | | — | | | | 1,270,037 | |
Corporate Bonds | | | — | | | | 1,044,251,563 | | | | — | | | | 1,044,251,563 | |
Floating Rate Loan Interests | | | — | | | | 57,429,108 | | | | 17,963,420 | | | | 75,392,528 | |
Foreign Agency Obligations | | | — | | | | 45,561,239 | | | | — | | | | 45,561,239 | |
Foreign Government Obligations | | | — | | | | 246,531,184 | | | | — | | | | 246,531,184 | |
Non-Agency Mortgage-Backed Securities | | | — | | | | 502,446,833 | | | | 26,984,371 | | | | 529,431,204 | |
Other Interests | | | — | | | | — | | | | 1 | | | | 1 | |
Preferred Securities | | $ | 11,888,620 | | | | 49,176,804 | | | | — | | | | 61,065,424 | |
Taxable Municipal Bonds | | | — | | | | 163,700,132 | | | | — | | | | 163,700,132 | |
U.S. Government Sponsored Agency Securities | | | — | | | | 1,859,916,462 | | | | — | | | | 1,859,916,462 | |
U.S. Treasury Obligations | | | — | | | | 905,901,705 | | | | — | | | | 905,901,705 | |
Short-Term Securities: | | | | | | | | | | | | | | | | |
Borrowed Bond Agreements | | | — | | | | 267,934,172 | | | | — | | | | 267,934,172 | |
Money Market Fund | | | 16,795,848 | | | | — | | | | — | | | | 16,795,848 | |
Options Purchased: | | | | | | | | | | | | | | | | |
Equity Contracts | | | 186,650 | | | | 191,142 | | | | — | | | | 377,792 | |
Foreign Currency Exchange Contracts | | | — | | | | 267,359 | | | | — | | | | 267,359 | |
Interest Rate Contracts | | | 1,584,729 | | | | 340,603 | | | | — | | | | 1,925,332 | |
Liabilities: | | | | | | | | | | | | | | | | |
Investments in Securities: | | | | | | | | | | | | | | | | |
TBA Sale Commitments | | | — | | | | (708,858,604 | ) | | | — | | | | (708,858,604 | ) |
Borrowed Bonds | | | — | | | | (268,368,258 | ) | | | — | | | | (268,368,258 | ) |
Total | | $ | 30,455,847 | | | $ | 4,830,908,044 | | | $ | 84,418,989 | | | $ | 4,945,782,880 | |
| | | | |
| | | | | | | | | | | | | | | | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Derivative Financial Instruments1 | | | | | | | | | | | | | | | | |
Assets: | | | | | | | | | | | | | | | | |
Credit contracts | | | — | | | $ | 3,468,817 | | | | — | | | $ | 3,468,817 | |
Equity contracts | | $ | 71,739 | | | | 1,961,754 | | | | — | | | | 2,033,493 | |
Foreign currency exchange contracts | | | — | | | | 2,170,871 | | | | — | | | | 2,170,871 | |
Interest rate contracts | | | 1,900,970 | | | | 1,623,234 | | | | — | | | | 3,524,204 | |
Liabilities: | | | | | | | | | | | | | | | | |
Credit contracts | | | — | | | | (3,293,800 | ) | | | — | | | | (3,293,800 | ) |
Equity contracts | | | (79,976 | ) | | | (3,688,413 | ) | | | — | | | | (3,768,389 | ) |
Foreign currency exchange contracts | | | — | | | | (7,368,887 | ) | | | — | | | | (7,368,887 | ) |
Interest rate contracts | | | (1,538,304 | ) | | | (4,616,917 | ) | | | — | | | | (6,155,221 | ) |
Total | | $ | 354,429 | | | $ | (9,743,341 | ) | | | — | | | $ | (9,388,912 | ) |
| | | | |
| 1 | Derivative financial instruments are swaps, financial futures contracts, forward foreign currency exchange contracts and options written. Swaps, financial futures contracts and forward foreign currency exchange contracts are valued at the unrealized appreciation/depreciation on the instrument and options written are shown at value. |
See Notes to Consolidated Financial Statements.
| | | | | | |
| 60 | | BLACKROCK BALANCED CAPITAL FUND, INC. | | MARCH 31, 2014 | | |
| | | | |
| Consolidated Schedule of Investments (concluded) | | | Master Total Return Portfolio | |
The carrying amount or face value, including accrued interest, for certain of the Master Portfolio’s assets and/or liabilities approximates fair value for financial statement purposes. As of March 31, 2014, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:
| | | | | | | | | | | | | | | | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Assets: | | | | | | | | | | | | | | | | |
Cash | | $ | 963,270 | | | | — | | | | — | | | $ | 963,270 | |
Foreign currency at value | | | 5,606,028 | | | | — | | | | — | | | | 5,606,028 | |
Cash pledged for financial futures contracts | | | 2,060,000 | | | | — | | | | — | | | | 2,060,000 | |
Cash pledged as collateral for OTC derivatives | | | 4,880,000 | | | | — | | | | — | | | | 4,880,000 | |
Cash pledged for centrally cleared swaps | | | 5,985,000 | | | | — | | | | — | | | | 5,985,000 | |
Cash pledged as collateral for reverse repurchase agreements | | | 6,495,840 | | | | — | | | | — | | | | 6,495,840 | |
Liabilities: | | | | | | | | | | | | | | | | |
Reverse repurchase agreements | | | — | | | $ | (1,532,544,641 | ) | | | — | | | | (1,532,544,641 | ) |
Cash received as collateral for OTC derivatives | | | — | | | | (2,400,000 | ) | | | — | | | | (2,400,000 | ) |
Total | | $ | 25,990,138 | | | $ | (1,534,944,641 | ) | | | — | | | $ | (1,508,954,503 | ) |
| | | | |
There were no transfers between Level 1 and Level 2 during the six months ended March 31, 2014.
A reconciliation of Level 3 investments is presented when the Master Portfolio had a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Asset-Backed
Securities | | | Corporate
Bonds | | | Floating Rate
Loan Interests | | | Non-Agency
Mortgage-Backed
Securities | | | Other
Interests | | | Total | |
Assets: | | | | | | | | | | | | | | | | | | | | | | | | |
Opening Balance, as of September 30, 2013 | | $ | 179,198,390 | | | $ | 7,684,364 | | | $ | 19,411,401 | | | $ | 36,708,955 | | | $ | 1 | | | $ | 243,003,111 | |
Transfers into Level 3 | | | — | | | | — | | | | — | | | | — | | | �� | — | | | | — | |
Transfers out of Level 31 | | | (99,555,874 | ) | | | (754,774 | ) | | | — | | | | (10,874,982 | ) | | | — | | | | (111,185,630 | ) |
Accrued discounts/premiums | | | 9,145 | | | | — | | | | 11,674 | | | | 4,448 | | | | — | | | | 25,267 | |
Net realized gain (loss) | | | 341,989 | | | | — | | | | 6,075 | | | | 14,814 | | | | — | | | | 362,878 | |
Net change in unrealized appreciation/depreciation2,3 | | | (33,169 | ) | | | 10,410 | | | | 120,342 | | | | 13,771 | | | | — | | | | 111,354 | |
Purchases | | | 6,186,367 | | | | — | | | | — | | | | 4,045,819 | | | | — | | | | 10,232,186 | |
Sales | | | (46,675,651 | ) | | | (6,940,000 | ) | | | (1,586,072 | ) | | | (2,928,454 | ) | | | — | | | | (58,130,177 | ) |
Closing Balance, as of March 31, 2014 | | $ | 39,471,197 | | | | — | | | $ | 17,963,420 | | | $ | 26,984,371 | | | $ | 1 | | | $ | 84,418,989 | |
| | | | |
Net change in unrealized appreciation/depreciation on investments still held at March 31, 20143 | | $ | (62,287 | ) | | | — | | | $ | 120,342 | | | $ | 21,862 | | | | — | | | $ | 79,917 | |
| | | | |
| 1 | As of March 31, 2014, the Master Portfolio used significant unobservable inputs in determining the value of certain investments. As of March 31, 2014, the Master Portfolio used observable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $111,185,629 transferred from Level 3 to Level 2 in the disclosure hierarchy. |
| 2 | Included in the related net change in unrealized appreciation/depreciation in the Consolidated Statement of Operations. |
| 3 | Any difference between Net change in unrealized appreciation/depreciation and Net change in unrealized appreciation/depreciation on investments still held at March 31, 2014 is generally due to investments no longer held or categorized as Level 3 at period end. |
The Master Portfolio’s investments that are categorized as Level 3 were valued utilizing third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third party information could result in a significantly lower or higher value in such Level 3 investments.
See Notes to Consolidated Financial Statements.
| | | | | | |
| | | BLACKROCK BALANCED CAPITAL FUND, INC. | | MARCH 31, 2014 | | 61 |
| | | | |
| Consolidated Statement of Assets and Liabilities | | | Master Total Return Portfolio | |
| | | | |
| March 31, 2014 (Unaudited) | | | |
| | | | |
| Assets | | | | |
Investments at value — unaffiliated (cost — $5,843,551,061) | | $ | 5,906,206,895 | |
Investments at value — affiliated (cost — $16,803,080) | | | 16,802,847 | |
Cash | | | 963,270 | |
Cash pledged as collateral for reverse repurchase agreements | | | 6,495,840 | |
Cash pledged as collateral for OTC derivatives | | | 4,880,000 | |
Cash pledged for centrally cleared swaps | | | 5,985,000 | |
Cash pledged for financial futures contracts | | | 2,060,000 | |
Foreign currency at value (cost — $5,595,282) | | | 5,606,028 | |
Variation margin receivable on financial futures contracts | | | 423,740 | |
Investments sold receivable | | | 174,459,732 | |
Swaps receivable | | | 19,382,102 | |
TBA sale commitments receivable | | | 708,802,691 | |
Swap premiums paid | | | 6,883,050 | |
Unrealized appreciation on forward foreign currency exchange contracts | | | 2,170,871 | |
Unrealized appreciation on OTC swaps | | | 6,439,090 | |
Contributions receivable from investors | | | 7,917,959 | |
Interest receivable | | | 22,823,914 | |
Dividends receivable — unaffiliated | | | 470 | |
Prepaid expenses | | | 20,691 | |
Other assets | | | 1,846,379 | |
| | | | |
Total assets | | | 6,900,170,569 | |
| | | | |
| | | | |
| Liabilities | | | | |
Options written at value (premiums received — $1,698,803) | | | 1,106,633 | |
Borrowed bonds at value (proceeds — $253,641,635) | | | 268,368,258 | |
TBA sale commitments at value (proceeds — $708,802,691) | | | 708,858,604 | |
Reverse repurchase agreements | | | 1,532,544,641 | |
Cash received as collateral for OTC derivatives | | | 2,400,000 | |
Variation margin payable on financial futures contracts | | | 377,067 | |
Variation margin payable on centrally cleared swaps | | | 156,706 | |
Investments purchased payable | | | 986,456,638 | |
Swaps payable | | | 18,992,061 | |
Swap premiums received | | | 5,082,791 | |
Unrealized depreciation on forward foreign currency exchange contracts | | | 7,368,887 | |
Unrealized depreciation on OTC swaps | | | 10,607,072 | |
Interest expense payable | | | 1,627,915 | |
Withdrawals payable to investors | | | 3,121,293 | |
Investment advisory fees payable | | | 205,227 | |
Professional fees payable | | | 81,359 | |
Directors’ fees payable | | | 18,178 | |
Other affiliates payable | | | 9,316 | |
Other accrued expenses payable | | | 293,172 | |
| | | | |
Total liabilities | | | 3,547,675,818 | |
| | | | |
Net Assets | | $ | 3,352,494,751 | |
| | | | |
| | | | |
| Net Assets Consist of | | | | |
Investors’ capital | | $ | 3,312,521,181 | |
Net unrealized appreciation/depreciation | | | 39,973,570 | |
| | | | |
Net Assets | | $ | 3,352,494,751 | |
| | | | |
See Notes to Consolidated Financial Statements.
| | | | | | |
| 62 | | BLACKROCK BALANCED CAPITAL FUND, INC. | | MARCH 31, 2014 | | |
| | | | |
| Consolidated Statement of Operations | | | Master Total Return Portfolio | |
| | | | |
| Six Months Ended March 31, 2014 (Unaudited) | | | |
| | | | |
| Investment Income | | | | |
Interest — unaffiliated | | $ | 68,205,070 | |
Dividends — affiliated | | | 447,723 | |
Dividends — unaffiliated | | | 353,361 | |
Foreign taxes withheld | | | 18,968 | |
Interest — affiliated | | | 1,303 | |
| | | | |
Total income | | | 69,026,425 | |
| | | | |
| | | | |
| Expenses | | | | |
Investment advisory | | | 1,199,622 | |
Accounting services | | | 273,003 | |
Custodian | | | 257,029 | |
Professional | | | 74,540 | |
Directors | | | 32,565 | |
Miscellaneous | | | 67,310 | |
| | | | |
Total expenses excluding interest expense | | | 1,904,069 | |
Interest expense | | | 2,109,620 | |
| | | | |
Total expenses | | | 4,013,689 | |
Less fees waived by Manager | | | (7,133 | ) |
| | | | |
Total expenses after fees waived | | | 4,006,556 | |
| | | | |
Net investment income | | | 65,019,869 | |
| | | | |
| | | | |
| Realized and Unrealized Gain (Loss) | | | | |
Net realized gain (loss) from: | | | | |
Investments — unaffiliated | | | 42,191,267 | |
Options written | | | 5,340,799 | |
Financial futures contracts | | | 5,329,058 | |
Swaps | | | (750,529 | ) |
Foreign currency transactions | | | (8,880,713 | ) |
Borrowed bonds | | | 783,167 | |
| | | | |
| | | 44,013,049 | |
| | | | |
Net change in unrealized appreciation/depreciation on: | | | | |
Investments — unaffiliated | | | 20,057,904 | |
Investments — affiliated | | | (233 | ) |
Options written | | | (1,284,382 | ) |
Financial futures contracts | | | 2,827,503 | |
Swaps | | | (6,302,248 | ) |
Foreign currency translations | | | (807,155 | ) |
Borrowed bonds | | | (7,391,297 | ) |
| | | | |
| | | 7,100,092 | |
| | | | |
Total realized and unrealized gain | | | 51,113,141 | |
| | | | |
Net Increase in Net Assets Resulting from Operations | | $ | 116,133,010 | |
| | | | |
See Notes to Consolidated Financial Statements.
| | | | | | |
| | | BLACKROCK BALANCED CAPITAL FUND, INC. | | MARCH 31, 2014 | | 63 |
| | | | |
| Consolidated Statements of Changes in Net Assets | | | Master Total Return Portfolio | |
| | | | | | | | |
| Increase (Decrease) in Net Assets: | | Six Months
Ended March 31, 2014
(Unaudited) | | | Year Ended
September 30, 2013 | |
| | | | | | | | |
| Operations | | | | | | | | |
Net investment income | | $ | 65,019,869 | | | $ | 123,609,667 | |
Net realized gain | | | 44,013,049 | | | | 376,093 | |
Net change in unrealized appreciation/depreciation | | | 7,100,092 | | | | (79,201,377 | ) |
| | | | |
Net increase in net assets resulting from operations | | | 116,133,010 | | | | 44,784,383 | |
| | | | |
| | | | | | | | |
| Capital Transactions | | | | | | | | |
Proceeds from contributions | | | 433,447,095 | | | | 854,417,121 | |
Value of withdrawals | | | (528,243,052 | ) | | | (1,038,194,357 | ) |
| | | | |
Net decrease in net assets derived from capital transactions | | | (94,795,957 | ) | | | (183,777,236 | ) |
| | | | |
| | | | | | | | |
| Net Assets | | | | | | | | |
Total increase (decrease) in net assets | | | 21,337,053 | | | | (138,992,853 | ) |
Beginning of period | | | 3,331,157,698 | | | | 3,470,150,551 | |
| | | | |
End of period | | $ | 3,352,494,751 | | | $ | 3,331,157,698 | |
| | | | |
See Notes to Consolidated Financial Statements.
| | | | | | |
| 64 | | BLACKROCK BALANCED CAPITAL FUND, INC. | | MARCH 31, 2014 | | |
| | | | |
| Consolidated Statement of Cash Flows | | | Master Total Return Portfolio | |
| | | | |
| Six Months Ended March 31, 2014 (Unaudited) | | | |
| | | | |
| Cash Used for Operating Activities | | | | |
Net increase in net assets resulting from operations | | $ | 116,133,010 | |
Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by operating activities: | | | | |
Decrease in cash pledged for financial futures contracts | | | 100,000 | |
Decrease in cash pledged for centrally cleared swaps | | | 2,785,000 | |
Decrease in cash pledged as collateral for reverse repurchase agreements | | | 1,541,160 | |
Decrease in cash pledged as collateral for OTC derivatives | | | 1,100,000 | |
Decrease in variation margin receivable on financial futures contracts | | | 192,733 | |
Decrease in variation margin receivable on centrally cleared swaps | | | 1,124,675 | |
Increase in dividends receivable — unaffiliated | | | (221 | ) |
Increase in interest receivable | | | (783,972 | ) |
Decrease in swap premiums paid | | | 17,973 | |
Increase in swaps receivable | | | (19,019,863 | ) |
Increase in prepaid expenses | | | (6,290 | ) |
Increase in other assets | | | (1,205,067 | ) |
Decrease in cash received as collateral for reverse repurchase agreements | | | (1,330,003 | ) |
Decrease in cash received as collateral for OTC derivatives | | | (4,000,000 | ) |
Increase in variation margin payable on financial futures contracts | | | 85,237 | |
Increase in variation margin payable on centrally cleared swaps | | | 156,706 | |
Increase in investment advisory fee payable | | | 8,288 | |
Decrease in professional fees payable | | | (37,604 | ) |
Increase in directors’ fees payable | | | 2,615 | |
Increase in other accrued expenses payable | | | 37,320 | |
Increase in other affiliates payable | | | 332 | |
Increase in interest expense payable | | | 288,319 | |
Decrease in swap premiums received | | | (2,182,382 | ) |
Increase in swaps payable | | | 17,158,213 | |
Amortization of premium and accretion of discount on investments | | | 1,886,759 | |
Net realized (gain) loss on investments, options written and borrowed bonds | | | (48,315,233 | ) |
Net unrealized (gain) loss on investments, options written, swaps, borrowed bonds and foreign currency translations | | | (2,538,100 | ) |
Premiums received from options written | | | 15,998,025 | |
Premiums paid on closing options written | | | (14,482,160 | ) |
Proceeds from borrowed bonds | | | 340,719,749 | |
Payments for borrowed bonds | | | (380,171,321 | ) |
Purchases of long-term investments | | | (15,330,313,390 | ) |
Proceeds from sales of long-term investments | | | 14,832,527,032 | |
Net proceeds from sales of short-term securities | | | 68,774,196 | |
| | | | |
Cash provided by operating activities | | | (403,748,264 | ) |
| | | | |
| | | | |
| Cash Used for Financing Activities | | | | |
Net borrowing of reverse repurchase agreements | | | 543,723,572 | |
Cash receipts from contributions | | | 434,324,248 | |
Cash payments on withdrawals | | | (529,401,375 | ) |
Decrease in bank overdrafts | | | (41,121,654 | ) |
| | | | |
Cash used for financing activities | | | 407,524,791 | |
| | | | |
| | | | |
| Cash Impact from Foreign Exchange Fluctuations | | | | |
Cash impact from foreign exchange fluctuations | | | (9,091 | ) |
| | | | |
| | | | |
| Cash and Foreign Currency | | | | |
Net increase in cash and foreign currency | | | 3,767,436 | |
Cash and foreign currency at beginning of period | | | 2,801,862 | |
| | | | |
Cash and foreign currency at end of period | | $ | 6,569,298 | |
| | | | |
| | | | |
| Supplemental Disclosure of Cash Flow Information | | | | |
Cash paid during the period for interest expense and fees | | $ | 1,821,301 | |
| | | | |
See Notes to Consolidated Financial Statements.
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| | | BLACKROCK BALANCED CAPITAL FUND, INC. | | MARCH 31, 2014 | | 65 |
| | | | |
| Financial Highlights | | | Master Total Return Portfolio | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Six Months
Ended
March 31,
2014
(Unaudited)1 | | | Year Ended September 30, | |
| | | | 20131 | | | 20121 | | | 2011 | | | 2010 | | | 2009 | |
| Total Investment Return | | | | | | | | | | | | | | | | | | | | | | | | |
Total investment return | | | 3.52 | %2 | | | 1.30 | % | | | 10.04 | % | | | 2.82 | % | | | 13.05 | % | | | 10.95 | % |
| | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Ratios to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses | | | 0.24 | %3 | | | 0.32 | % | | | 0.29 | % | | | 0.56 | % | | | 0.58 | % | | | 0.17 | % |
| | | | |
Total expenses after fees waived and paid indirectly | | | 0.24 | %3 | | | 0.32 | % | | | 0.29 | % | | | 0.56 | % | | | 0.58 | % | | | 0.17 | % |
| | | | |
Total expenses after fees waived and paid indirectly and excluding interest expense | | | 0.11 | %3 | | | 0.12 | % | | | 0.12 | % | | | 0.11 | % | | | 0.13 | % | | | 0.13 | % |
| | | | |
Net investment income | | | 3.94 | %3 | | | 3.59 | % | | | 4.20 | % | | | 4.67 | % | | | 4.97 | % | | | 6.10 | % |
| | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | $ | 3,352,495 | | | $ | 3,331,158 | | | $ | 3,470,151 | | | $ | 3,899,364 | | | $ | 3,591,890 | | | $ | 3,123,655 | |
| | | | |
Portfolio turnover | | | 322 | %4 | | | 777 | %5 | | | 1,346 | %6 | | | 1,771 | %7 | | | 1,754 | %8 | | | 708 | %9 |
| | | | |
| | 1 | Consolidated Financial Highlights. |
| | 2 | Aggregate total investment return. |
| | 4 | Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 231%. |
| | 5 | Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 450%. |
| | 6 | Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 752%. |
| | 7 | Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 1,379%. |
| | 8 | Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 1,248%. |
| | 9 | Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 469%. |
See Notes to Consolidated Financial Statements.
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| 66 | | BLACKROCK BALANCED CAPITAL FUND, INC. | | MARCH 31, 2014 | | |
| | | | |
| Notes to Consolidated Financial Statements (Unaudited) | | | Master Total Return Portfolio | |
1. Organization:
Master Total Return Portfolio (the “Master Portfolio”), a series of Master Bond LLC (the “Master LLC”), is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as a diversified, open-end management investment company. The Master LLC is organized as a Delaware limited liability company. The Limited Liability Company Agreement of the Master LLC permits the Board of Directors of the Master LLC (the “Board”) to issue nontransferable interests in the Master LLC, subject to certain limitations.
Basis of Consolidation: The accompanying consolidated financial statements include the accounts of BlackRock Cayman Master Total Return Portfolio I, Ltd. (the “Subsidiary”), which is a wholly owned subsidiary of the Master Portfolio and primarily invests in commodity-related instruments. The Subsidiary enables the Master Portfolio to hold these commodity-related instruments while allowing its investors to satisfy regulated investment company tax requirements. The Master Portfolio may invest up to 25% of its total assets in the Subsidiary. Intercompany accounts and transactions, if any, have been eliminated. The Subsidiary is subject to the same investment policies and restrictions that apply to the Master Portfolio, except that the Subsidiary may invest without limitation in commodity-related instruments.
2. Significant Accounting Policies:
The Master Portfolio’s consolidated financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the consolidated financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. The following is a summary of significant accounting policies followed by the Master Portfolio:
Valuation: U.S. GAAP defines fair value as the price the Master Portfolio would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Master Portfolio determines the fair values of its financial instruments at market value using independent dealers or pricing services under policies approved by the Board. The BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) is the committee formed by management to develop global pricing policies and procedures and to provide oversight of the pricing function for the Master Portfolio for all financial instruments.
The Master Portfolio values its bond investments on the basis of last available bid prices or current market quotations provided by dealers or pricing services. Floating rate loan interests are valued at the mean of the bid prices from one or more brokers or dealers as obtained from a pricing service. In determining the value of a particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrixes, market transactions in comparable investments, various relationships observed in the market between investments and calculated yield measures. Asset-backed and mortgage-backed securities are valued by independent pricing services using models that consider estimated cash flows of
each tranche of the security, establish a benchmark yield and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche. Financial futures contracts traded on exchanges are valued at their last sale price. To-be-announced (“TBA”) commitments are valued on the basis of last available bid prices or current market quotations provided by pricing services. Swap agreements are valued utilizing quotes received daily by the Master Portfolio’s pricing service or through brokers, which are derived using daily swap curves and models that incorporate a number of market data factors, such as discounted cash flows, trades and values of the underlying reference instruments. Certain centrally cleared swaps are valued at the price determined by the relevant exchange or clearinghouse. Investments in open-end registered investment companies are valued at NAV each business day. Short-term securities with remaining maturities of 60 days or less may be valued at amortized cost, which approximates fair value.
Municipal investments (including commitments to purchase such investments on a “when-issued” basis) are valued on the basis of prices provided by dealers or pricing services. In determining the value of a particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrixes, market transactions in comparable investments and information with respect to various relationships between investments.
Equity investments traded on a recognized securities exchange or the NASDAQ Stock Market (“NASDAQ”) are valued at the last reported sale price that day or the NASDAQ official closing price, if applicable. For equity investments traded on more than one exchange, the last reported sale price on the exchange where the stock is primarily traded is used. Equity investments traded on a recognized exchange for which there were no sales on that day are valued at the last available bid (long positions) or ask (short positions) price.
Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates determined as of the close of business on the New York Stock Exchange (“NYSE”). Foreign currency exchange contracts are valued at the mean between the bid and ask prices and are determined as of the close of business on the NYSE. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available.
Exchange-traded options are valued at the mean between the last bid and ask prices at the close of the options market in which the options trade. An exchange-traded option for which there is no mean price is valued at the last bid (long positions) or ask (short positions) price. If no bid or ask price is available, the prior day’s price will be used, unless it is determined that the prior day’s price no longer reflects the fair value of the option. Over-the-counter (“OTC”) options and swaptions are valued by an independent pricing service using a mathematical model, which incorporates a number of market data factors, such as the trades and prices of the underlying instruments.
In the event that the application of these methods of valuation results in a price for an investment that is deemed not to be representative of the market value of such investment, or if a price is not available, the investment will be valued by the Global Valuation Committee, or its delegate,
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| | | BLACKROCK BALANCED CAPITAL FUND, INC. | | MARCH 31, 2014 | | 67 |
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| Notes to Consolidated Financial Statements (continued) | | | Master Total Return Portfolio | |
in accordance with a policy approved by the Board as reflecting fair value (“Fair Value Assets”). When determining the price for Fair Value Assets, the Global Valuation Committee, or its delegate, seeks to determine the price that the Master Portfolio might reasonably expect to receive from the current sale of that asset in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the Global Valuation Committee, or its delegate, deems relevant consistent with the principles of fair value measurement which include the market approach, income approach and/or in the case of recent investments, the cost approach, as appropriate. The market approach generally consists of using comparable market transactions. The income approach generally is used to discount future cash flows to present value and is adjusted for liquidity as appropriate. These factors include but are not limited to: (i) attributes specific to the investment or asset; (ii) the principal market for the investment or asset; (iii) the customary participants in the principal market for the investment or asset; (iv) data assumptions by market participants for the investment or asset, if reasonably available; (v) quoted prices for similar investments or assets in active markets; and (vi) other factors, such as future cash flows, interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, recovery rates, liquidation amounts and/or default rates. Due to the inherent uncertainty of valuations of such investments, the fair values may differ from the values that would have been used had an active market existed. The Global Valuation Committee, or its delegate, employs various methods for calibrating valuation approaches for investments where an active market does not exist, including regular due diligence of the Master Portfolio’s pricing vendors, regular reviews of key inputs and assumptions, transactional back-testing or disposition analysis to compare unrealized gains and losses to realized gains and losses, reviews of missing or stale prices and large movements in market values and reviews of any market related activity. The pricing of all Fair Value Assets is subsequently reported to the Board or a committee thereof on a quarterly basis.
Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of business on the NYSE. Occasionally, events affecting the values of such instruments may occur between the foreign market close and the close of business on the NYSE that may not be reflected in the computation of the Master Portfolio’s net assets. If events (e.g., a company announcement, market volatility or a natural disaster) occur during such periods that are expected to materially affect the value of such instruments, those instruments may be Fair Value Assets and be valued at their fair value, as determined in good faith by the Global Valuation Committee using a pricing service and/or policies approved by the Board.
Foreign Currency: The Master Portfolio’s books and records are maintained in U.S. dollars. Purchases and sales of investment securities are recorded at the rates of exchange prevailing on the respective date of such transactions. Generally, when the U.S. dollar rises in value against a foreign currency, the Master Portfolio’s investments denominated in that currency will lose value because that currency is worth fewer U.S. dollars; the opposite effect occurs if the U.S. dollar falls in relative value.
The Master Portfolio does not isolate the portion of the results of operations arising as a result of changes in the foreign exchange rates from
the changes in the market prices of investments held or sold for financial reporting purposes. Accordingly, the effects of changes in foreign currency exchange rates on investments are not segregated in the Consolidated Statement of Operations from the effects of changes in market prices of those investments but are included as a component of net realized and unrealized gain (loss) from investments. The Master Portfolio reports realized currency gains (losses) on foreign currency related transactions as components of net realized gain (loss) for financial reporting purposes, whereas such components are generally treated as ordinary income for federal income tax purposes.
The Master Portfolio does not isolate the portion of the results of operations arising as a result of changes in the foreign exchange rates from the changes in the market prices of investments held or sold for financial reporting purposes. Accordingly, the effects of changes in foreign currency exchange rates on investments are not segregated in the Consolidated Statement of Operations from the effects of changes in market prices of those investments but are included as a component of net realized and unrealized gain (loss) from investments. The Master Portfolio reports realized currency gains (losses) on foreign currency related transactions as components of net realized gain (loss) for financial reporting purposes, whereas such components are generally treated as ordinary income for federal income tax purposes. The Master Portfolio has elected to treat realized gains (losses) from certain foreign currency exchange contracts as capital gain (loss) for federal income tax purposes.
Segregation and Collateralization: In cases where the Master Portfolio enters into certain investments (e.g., dollar rolls, TBA sale commitments, financial futures contracts, forward foreign currency exchange contracts, options written, swaps, short sales and structured options), or certain borrowings (e.g., reverse repurchase transactions and treasury roll transactions) that would be “senior securities” for 1940 Act purposes, the Master Portfolio may segregate or designate on its books and records cash or liquid securities having a market value at least equal to the amount of the Master Portfolio’s future obligations under such investments or borrowings. Doing so allows the investment or borrowing to be excluded from treatment as a “senior security.” Furthermore, if required by an exchange or counterparty agreement, the Master Portfolio may be required to deliver/deposit cash and/or securities to/with an exchange, or broker-dealer or custodian as collateral for certain investments or obligations.
Investment Transactions and Investment Income: For financial reporting purposes, investment transactions are recorded on the dates the transactions are entered into (the trade dates). Realized gains and losses on investment transactions are determined on the identified cost basis. Dividend income is recorded on the ex-dividend date. Dividends from foreign securities where the ex-dividend date may have passed are subsequently recorded when the Master Portfolio is informed of the ex-dividend date. Under the applicable foreign tax laws, a withholding tax at various rates may be imposed on capital gains, dividends and interest. Upon notification from issuers, some of the dividend income received from a real estate investment trust may be redesignated as a reduction of cost of the related investment and/or realized gain. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized on the accrual basis. Income,
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| 68 | | BLACKROCK BALANCED CAPITAL FUND, INC. | | MARCH 31, 2014 | | |
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| Notes to Consolidated Financial Statements (continued) | | | Master Total Return Portfolio | |
expenses and realized and unrealized gains and losses are allocated daily to each class based on its relative net assets.
Income Taxes: The Master Portfolio is classified as a partnership for federal income tax purposes. As such, each investor in the Master Portfolio is treated as the owner of its proportionate share of net assets, income, expenses and realized and unrealized gains and losses of the Master Portfolio. Therefore, no federal income tax provision is required. It is intended that the Master Portfolio’s assets will be managed so an investor in the Master Portfolio can satisfy the requirements of Subchapter M of the Internal Revenue Code of 1986, as amended.
The Master Portfolio files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Master Portfolio’s U.S. federal tax returns remains open for each of the four years ended September 30, 2013. The statutes of limitations on Master Portfolio’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.
Management has analyzed tax laws and regulations and their application to the Master Portfolio’s facts and circumstances and does not believe there are any uncertain tax positions that require recognition of a tax liability.
Other: Expenses directly related to the Master Portfolio are charged to the Master Portfolio. Other operating expenses shared by several funds are pro rated among those funds on the basis of relative net assets or other appropriate methods.
The Master Portfolio has an arrangement with the custodian whereby fees may be reduced by credits earned on uninvested cash balances, which, if applicable, are shown as fees paid indirectly in the Consolidated Statement of Operations. The custodian imposes fees on overdrawn cash balances, which can be offset by accumulated credits earned or may result in additional custody charges.
3. Securities and Other Investments:
Asset-Backed and Mortgage-Backed Securities: The Master Portfolio may invest in asset-backed securities. Asset-backed securities are generally issued as pass-through certificates, which represent undivided fractional ownership interests in an underlying pool of assets, or as debt instruments, which are also known as collateralized obligations, and are generally issued as the debt of a special purpose entity organized solely for the purpose of owning such assets and issuing such debt. Asset-backed securities are often backed by a pool of assets representing the obligations of a number of different parties. The yield characteristics of certain asset-backed securities may differ from traditional debt securities. One such major difference is that all or a principal part of the obligations may be prepaid at any time because the underlying assets (i.e., loans) may be prepaid at any time. As a result, a decrease in interest rates in the market may result in increases in the level of prepayments as borrowers, particularly mortgagors, refinance and repay their loans. An increased prepayment rate with respect to an asset-backed security subject to such a prepayment feature will have the effect of shortening the maturity of the security. In addition, the Master Portfolio may subsequently have to reinvest the proceeds at lower interest rates. If the Master
Portfolio has purchased such an asset-backed security at a premium, a faster than anticipated prepayment rate could result in a loss of principal to the extent of the premium paid.
The Master Portfolio may purchase certain mortgage pass-through securities. There are a number of important differences among the agencies and instrumentalities of the U.S. government that issue mortgage-related securities and among the securities that they issue. For example, mortgage-related securities guaranteed by Ginnie Mae are guaranteed as to the timely payment of principal and interest by Ginnie Mae and such guarantee is backed by the full faith and credit of the United States. However, mortgage-related securities issued by Freddie Mac and Fannie Mae, including Freddie Mac and Fannie Mae guaranteed mortgage pass-through certificates, which are solely the obligations of Freddie Mac and Fannie Mae, are not backed by or entitled to the full faith and credit of the United States, but are supported by the right of the issuer to borrow from the Treasury.
Collateralized Debt Obligations: The Master Portfolio may invest in collateralized debt obligations (“CDOs”), which include collateralized bond obligations (“CBOs”) and collateralized loan obligations (“CLOs”). CBOs and CLOs are types of asset-backed securities. A CDO is an entity that is backed by a diversified pool of debt securities (CBOs) or syndicated bank loans (CLOs). The cash flows of the CDO can be split into multiple segments, called “tranches,” which will vary in risk profile and yield. The riskiest segment is the subordinated or “equity” tranche. This tranche bears the greatest risk of defaults from the underlying assets in the CDO and serves to protect the other, more senior, tranches from default in all but the most severe circumstances. Since it is shielded from defaults by the more junior tranches, a “senior” tranche will typically have higher credit ratings and lower yields than their underlying securities, and often receive investment grade ratings from one or more of the nationally recognized rating agencies. Despite the protection from the more junior tranches, senior tranches can experience substantial losses due to actual defaults, increased sensitivity to future defaults and the disappearance of one or more protecting tranches as a result of changes in the credit profile of the underlying pool of assets.
Inflation-Indexed Bonds: The Master Portfolio may invest in inflation-indexed bonds. Inflation-indexed bonds are fixed income securities whose principal value is periodically adjusted according to the rate of inflation. If the index measuring inflation rises or falls, the principal value of inflation-indexed bonds will be adjusted upward or downward, and consequently the interest payable on these securities (calculated with respect to a larger or smaller principal amount) will be increased or reduced, respectively. Any upward or downward adjustment in the principal amount of an inflation-indexed bond will be included as interest income in the Consolidated Statement of Operations, even though investors do not receive their principal until maturity. Repayment of the original bond principal upon maturity (as adjusted for inflation) is guaranteed in the case of U.S. Treasury inflation-indexed bonds. For bonds that do not provide a similar guarantee, the adjusted principal value of the bond repaid at maturity may be less than the original principal.
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| | | BLACKROCK BALANCED CAPITAL FUND, INC. | | MARCH 31, 2014 | | 69 |
| | | | |
| Notes to Consolidated Financial Statements (continued) | | | Master Total Return Portfolio | |
Multiple Class Pass-Through Securities: The Master Portfolio may invest in multiple class pass-through securities, including collateralized mortgage obligations (“CMOs”) and commercial mortgage-backed securities. These multiple class securities may be issued by Ginnie Mae, U.S. government agencies or instrumentalities or by trusts formed by private originators of, or investors in, mortgage loans. In general, CMOs are debt obligations of a legal entity that are collateralized by, and multiple class pass-through securities represent direct ownership interests in, a pool of residential or commercial mortgage loans or mortgage pass-through securities (the “Mortgage Assets”), the payments on which are used to make payments on the CMOs or multiple pass-through securities. Classes of CMOs include interest only (“IOs”), principal only (“POs”), planned amortization classes and targeted amortization classes. IOs and POs are stripped mortgage-backed securities representing interests in a pool of mortgages, the cash flow from which has been separated into interest and principal components. IOs receive the interest portion of the cash flow while POs receive the principal portion. IOs and POs can be extremely volatile in response to changes in interest rates. As interest rates rise and fall, the value of IOs tends to move in the same direction as interest rates. POs perform best when prepayments on the underlying mortgages rise since this increases the rate at which the principal is returned and the yield to maturity on the PO. When payments on mortgages underlying a PO are slower than anticipated, the life of the PO is lengthened and the yield to maturity is reduced. If the underlying Mortgage Assets experience greater than anticipated pre-payments of principal, the Master Portfolio may not fully recoup its initial investment in IOs.
Stripped Mortgage-Backed Securities: The Master Portfolio may invest in stripped mortgage-backed securities issued by the U.S. government, its agencies and instrumentalities. Stripped mortgage-backed securities are usually structured with two classes that receive different proportions of the interest (IOs) and principal (POs) distributions on a pool of Mortgage Assets. The Master Portfolio also may invest in stripped mortgage-backed securities that are privately issued.
Zero-Coupon Bonds: The Master Portfolio may invest in zero-coupon bonds, which are normally issued at a significant discount from face value and do not provide for periodic interest payments. Zero-coupon bonds may experience greater volatility in market value than similar maturity debt obligations which provide for regular interest payments.
Capital Trusts and Trust Preferred Securities: The Master Portfolio may invest in capital trusts and/or trust preferred securities. These securities are typically issued by corporations, generally in the form of interest bearing notes with preferred securities characteristics, or by an affiliated business trust of a corporation, generally in the form of beneficial interests in subordinated debentures or similarly structured securities. The securities can be structured as either fixed or adjustable coupon securities that can have either a perpetual or stated maturity date. For trust preferred securities, the issuing bank or corporation will pay interest to the trust, which will then be distributed to holders of the trust preferred securities as a dividend. Dividends can be deferred without creating an event of default or acceleration, although maturity cannot take place unless all cumulative payment obligations have been met. The deferral of payments does not affect the purchase or sale of these securities in the open market. Payments on these securities are treated as interest rather
than dividends for federal income tax purposes. These securities generally are rated below that of the issuing company’s senior debt securities and are freely callable at the issuer’s option.
Preferred Stock: The Master Portfolio may invest in preferred stock. Preferred stock has a preference over common stock in liquidation (and generally in receiving dividends as well) but is subordinated to the liabilities of the issuer in all respects. As a general rule, the market value of preferred stock with a fixed dividend rate and no conversion element varies inversely with interest rates and perceived credit risk, while the market price of convertible preferred stock generally also reflects some element of conversion value. Because preferred stock is junior to debt securities and other obligations of the issuer, deterioration in the credit quality of the issuer will cause greater changes in the value of a preferred stock than in a more senior debt security with similar stated yield characteristics. Unlike interest payments on debt securities, preferred stock dividends are payable only if declared by the issuer’s board of directors. Preferred stock also may be subject to optional or mandatory redemption provisions.
Floating Rate Loan Interests: The Master Portfolio may invest in floating rate loan interests. The floating rate loan interests held by the Master Portfolio holds are typically issued to companies (the “borrower”) by banks, other financial institutions, and privately and publicly offered corporations (the “lender”). Floating rate loan interests are generally non-investment grade, often involve borrowers whose financial condition is troubled or uncertain and companies that are highly leveraged. The Master Portfolio may invest in obligations of borrowers who are in bankruptcy proceedings. Floating rate loan interests may include fully funded term loans or revolving lines of credit. Floating rate loan interests are typically senior in the corporate capital structure of the borrower. Floating rate loan interests generally pay interest at rates that are periodically determined by reference to a base lending rate plus a premium. The base lending rates are generally the lending rate offered by one or more European banks, such as the London Interbank Offered Rate (“LIBOR”), the prime rate offered by one or more U.S. banks or the certificate of deposit rate. Floating rate loan interests may involve foreign borrowers, and investments may be denominated in foreign currencies. The Master Portfolio considers these investments to be investments in debt securities for purposes of its investment policies.
When the Master Portfolio purchases a floating rate loan interest it may receive a facility fee and when it sells a floating rate loan interest it may pay a facility fee. On an ongoing basis, the Master Portfolio may receive a commitment fee based on the undrawn portion of the underlying line of credit amount of a floating rate loan interest. Facility and commitment fees are typically amortized to income over the term of the loan or term of the commitment, respectively. Consent and amendment fees are recorded to income as earned. Prepayment penalty fees, which may be received by the Master Portfolio upon the prepayment of a floating rate loan interest by a borrower, are recorded as realized gains. The Master Portfolio may invest in multiple series or tranches of a loan. A different series or tranche may have varying terms and carry different associated risks.
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| 70 | | BLACKROCK BALANCED CAPITAL FUND, INC. | | MARCH 31, 2014 | | |
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| Notes to Consolidated Financial Statements (continued) | | | Master Total Return Portfolio | |
Floating rate loan interests are usually freely callable at the borrower’s option. The Master Portfolio may invest in such loans in the form of participations in loans (“Participations”) or assignments (“Assignments”) of all or a portion of loans from third parties. Participations typically will result in the Master Portfolio having a contractual relationship only with the lender, not with the borrower. The Master Portfolio will have the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the Participation and only upon receipt by the lender of the payments from the borrower. In connection with purchasing Participations, the Master Portfolio generally will have no right to enforce compliance by the borrower with the terms of the loan agreement, nor any rights of offset against the borrower, and the Master Portfolio may not benefit directly from any collateral supporting the loan in which it has purchased the Participation. As a result, the Master Portfolio will assume the credit risk of both the borrower and the lender that is selling the Participation. The Master Portfolio’s investment in loan participation interests involves the risk of insolvency of the financial intermediaries who are parties to the transactions. In the event of the insolvency of the lender selling the Participation, the Master Portfolio may be treated as a general creditor of the lender and may not benefit from any offset between the lender and the borrower. Assignments typically result in the Master Portfolio having a direct contractual relationship with the borrower, and the Master Portfolio may enforce compliance by the borrower with the terms of the loan agreement.
Forward Commitments and When-Issued Delayed Delivery Securities: The Master Portfolio may purchase securities on a when-issued basis and may purchase or sell securities on a forward commitment basis. Settlement of such transactions normally occurs within a month or more after the purchase or sale commitment is made. The Master Portfolio may purchase securities under such conditions with the intention of actually acquiring them, but may enter into a separate agreement to sell the securities before the settlement date. Since the value of securities purchased may fluctuate prior to settlement, the Master Portfolio may be required to pay more at settlement than the security is worth. In addition, the Master Portfolio is not entitled to any of the interest earned prior to settlement. When purchasing a security on a delayed delivery basis, the Master Portfolio assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations. In the event of default by the counterparty, the Master Portfolio’s maximum amount of loss is the unrealized appreciation of unsettled when-issued transactions, which is shown in the Consolidated Schedule of Investments.
TBA Commitments: The Master Portfolio may enter into TBA commitments. TBA commitments are forward agreements for the purchase or sale of mortgage-backed securities for a fixed price, with payment and delivery on an agreed upon future settlement date. The specific securities to be delivered are not identified at the trade date. However, delivered securities must meet specified terms, including issuer, rate and mortgage terms. The Master Portfolio generally enters into TBA commitments with the intent to take possession of or deliver the underlying mortgage-backed securities but can extend the settlement or roll the transaction. TBA commitments involve a risk of loss if the value of the security to be purchased or sold declines or increases, respectively, prior to settlement date.
In order to better define contractual rights and to secure rights that will help the Master Portfolio mitigate its counterparty risk, TBA commitments may be entered into by the Master Portfolio under Master Securities Forward Transaction Agreements (each, an “MSFTA”). An MSFTA typically contains, among other things, collateral posting terms and netting provisions in the event of default and/or termination event. The collateral requirements are typically calculated by netting the mark to market amount for each transaction under such agreement and comparing that amount to the value of the collateral currently pledged by the Master Portfolio and the counterparty. Cash collateral that has been pledged to cover the obligations of the Master Portfolio and cash collateral received from the counterparty, if any, is reported separately on the Consolidated Statement of Assets and Liabilities as cash pledged as collateral for TBA commitments or cash received as collateral for TBA commitments, respectively. Non-cash collateral pledged by the Master Portfolio, if any, is noted in the Consolidated Schedule of Investments. Typically, the Master Portfolio is permitted to sell, repledge or use the collateral they receive; however, the counterparty is not. To the extent amounts due to the Master Portfolio are not fully collateralized, contractually or otherwise, the Master Portfolio bears the risk of loss from counterparty non-performance.
Mortgage Dollar Roll Transactions: The Master Portfolio may sell TBA mortgage-backed securities and simultaneously contract to repurchase substantially similar (i.e., same type, coupon and maturity) securities on a specific future date at an agreed upon price. During the period between the sale and repurchase, the Master Portfolio will not be entitled to receive interest and principal payments on the securities sold. The Master Portfolio accounts for mortgage dollar roll transactions as purchases and sales and realizes gains and losses on these transactions. These transactions may increase the Master Portfolio’s portfolio turnover rate. Mortgage dollar rolls involve the risk that the market value of the securities that the Master Portfolio is required to purchase may decline below the agreed upon repurchase price of those securities.
Borrowed Bond Agreements: The Master Portfolio may enter into borrowed bond agreements. In a borrowed bond agreement, the Master Portfolio borrows a bond from a counterparty in exchange for cash collateral. The borrowed bond agreement contains a commitment that the security and the cash will be returned to the counterparty and the Master Portfolio at a mutually agreed upon date. Certain agreements have no stated maturity and can be terminated by either party at any time. Borrowed bond agreements are entered into primarily in connection with short sales of bonds. Earnings on cash collateral and compensation to the lender of the bond are based on agreed upon rates between the Master Portfolio and the counterparty. The value of the underlying cash collateral approximates the market value and accrued interest of the borrowed bond. To the extent that a borrowed bond transaction exceeds one business day, the value of the cash collateral in the possession of the counterparty is monitored on a daily basis to ensure the adequacy of the collateral. As the market value of the borrowed bond changes, the cash collateral is periodically increased or decreased with a frequency and in amounts prescribed in the borrowed bond agreement. Full realization of the collateral by the Master Portfolio may be limited if the value of an investment purchased with the cash collateral by the lender
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| Notes to Consolidated Financial Statements (continued) | | | Master Total Return Portfolio | |
decreases. The Master Portfolio may also experience delays in gaining access to the collateral.
Reverse Repurchase Agreements: The Master Portfolio may enter into reverse repurchase agreements with qualified third party broker-dealers. In a reverse repurchase agreement, the Master Portfolio sells securities to a bank or broker-dealer and agrees to repurchase the same securities at a mutually agreed upon date and price. During the term of the reverse repurchase agreement, the Master Portfolio continues to receive the principal and interest payments on the securities sold. Certain agreements have no stated maturity and can be terminated by either party at any time. Interest on the value of the reverse repurchase agreements issued and outstanding is based upon competitive market rates determined at the time of issuance. The Master Portfolio may utilize reverse repurchase agreements when it is anticipated that the interest income to be earned from the investment of the proceeds of the transaction is greater than the interest expense of the transaction. Reverse repurchase agreements involve leverage risk and also the risk that the market value of the securities to be repurchased may decline below the repurchase price.
For financial reporting purposes, cash received in exchange for securities delivered plus accrued interest due to the counterparty is recorded as a liability in the Consolidated Statement of Assets and Liabilities at face value including accrued interest. Due to the short term nature of the reverse repurchase agreements, face value approximates fair value. Interest payments made by the Master Portfolio to the counterparties are recorded as a component of interest expense in the Consolidated Statement of Operations. In periods of increased demand for the security, the Master Portfolio may receive a fee for us of the security by the counterparty, which may result in interest income to the Master Portfolio.
Treasury Roll Transactions: The Master Portfolio may enter into treasury roll transactions. In a treasury roll transaction, the Master Portfolio sells a Treasury security to a counterparty with a simultaneous agreement to repurchase the same security at an agreed upon price and future settlement date. The Master Portfolio receives cash from the sale of the Treasury security to use for other investment purposes. The difference
between the sale price and repurchase price represents net interest income or net interest expense reflective of an agreed upon rate between the Master Portfolio and the counterparty over the term of the borrowing. For U.S. GAAP purposes, a treasury roll transaction is accounted for as a secured borrowing and not as a purchase or sale. During the term of the borrowing, interest income from the Treasury security and the related interest expense on the secured borrowing is recorded by the Master Portfolio on an accrual basis. The Master Portfolio will benefit from the transaction if the income earned on the investment purchased with the cash received in the treasury roll transaction exceeds the interest expense incurred by the Master Portfolio. If the interest expense exceeds the income earned, the Master Portfolio’s net investment income and dividends to shareholders may be adversely impacted. Treasury roll transactions involve the risk that the market value of the securities that the Master Portfolio is required to repurchase may decline below the agreed upon repurchase price of those securities.
Reverse repurchase transactions, borrowed bond agreements and treasury roll transactions are entered into by the Master Portfolio under Master Repurchase Agreements (“MRA”), which permit the Master Portfolio, under certain circumstances, including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and create one single net payment due to or from the Master Portfolio. With reverse repurchase transactions, borrowed bond agreements and treasury roll transactions, typically the Master Portfolio and the counterparties are permitted to sell, re-pledge, or use the collateral associated with the transaction. Bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of the MRA counterparty’s bankruptcy or insolvency. Pursuant to the terms of the MRA, the Master Portfolio receives or posts securities as collateral with a market value in excess of the repurchase price to be paid or received by the Master Portfolio upon the maturity of the transaction. Upon a bankruptcy or insolvency of the MRA counterparty, the Master Portfolio is considered an unsecured creditor with respect to excess collateral and, as such, the return of excess collateral may be delayed.
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| Notes to Consolidated Financial Statements (continued) | | | Master Total Return Portfolio | |
The following table is a summary of the Master Portfolio’s open reverse repurchase agreements and borrowed bond agreements by counterparty which are subject to offset under an MRA on a net basis as of March 31, 2014:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Borrowed
Bond
Agreements1 | | | Reverse
Repurchase
Agreements | | | Borrowed
Bonds
at Value
Including
Accrued
Interest2 | | | Exposure
Due (to)/from
Counterparty
Before
Collateral | | | Non-cash
Collateral
Pledged | | | Cash Collateral
Pledged | | | Net
Collateral
(Received)/
Pledged | | | Net Exposure
Due (to)/from
Counterparty3 | |
Barclays Bank PLC | | $ | 100,037,901 | | | $ | (357,307 | ) | | $ | (101,469,492 | ) | | $ | (1,788,898 | ) | | $ | 589,006 | | | $ | 1,433,080 | | | $ | 2,022,086 | | | $ | 233,188 | 4 |
Barclays Capital, Inc. | | | 11,167,875 | | | | (35,747,208 | ) | | | (11,185,307 | ) | | | (35,764,640 | ) | | | 36,735,453 | | | | — | | | | 36,735,453 | | | | 970,813 | |
BNP Paribas Securities Corp. | | | — | | | | (272,743,642 | ) | | | — | | | | (272,743,642 | ) | | | 270,599,879 | | | | 3,345,760 | | | | 273,945,639 | | | | 1,201,997 | |
Citigroup Global Markets Limited | | | 81,715,045 | | | | — | | | | (82,563,497 | ) | | | (848,452 | ) | | | — | | | | 1,092,000 | | | | 1,092,000 | | | | 243,548 | |
Citigroup Global Markets, Inc. | | | 2,295,538 | | | | — | | | | (2,258,089 | ) | | | 37,449 | | | | — | | | | — | | | | — | | | | 37,449 | |
Credit Suisse Securities (USA) LLC | | | 21,689,537 | | | | (478,976,087 | ) | | | (21,598,644 | ) | | | (478,885,194 | ) | | | 491,672,771 | | | | — | | | | 491,672,771 | | | | 12,787,577 | |
Deutsche Bank Securities, Inc. | | | — | | | | (199,325,602 | ) | | | — | | | | (199,325,602 | ) | | | 199,257,030 | | | | 625,000 | | | | 199,882,030 | | | | 556,428 | |
Merrill Lynch, Pierce, Fenner & Smith, Inc. | | | 46,828,293 | | | | (248,904,908 | ) | | | (46,712,777 | ) | | | (248,789,392 | ) | | | 249,209,173 | | | | — | | | | 249,209,173 | | | | 419,781 | |
Morgan Stanley & Co. International PLC | | | 4,199,983 | | | | — | | | | (4,208,367 | ) | | | (8,384 | ) | | | — | | | | — | | | | — | | | | (8,384 | ) |
Morgan Stanley & Co. LLC | | | — | | | | (132,064,924 | ) | | | — | | | | (132,064,924 | ) | | | 131,622,968 | | | | — | | | | 131,622,968 | | | | (441,956 | ) |
RBC Capital Markets LLC | | | — | | | | (164,424,963 | ) | | | — | | | | (164,424,963 | ) | | | 166,478,516 | | | | — | | | | 166,478,516 | | | | 2,053,553 | |
Total | | $ | 267,934,172 | | | $ | (1,532,544,641 | ) | | $ | (269,996,173 | ) | | $ | (1,534,606,642 | ) | | $ | 1,546,164,796 | | | $ | 6,495,840 | | | $ | 1,552,660,636 | | | $ | 18,053,994 | |
| | | | |
| | 1 | Included in Investments at value-unaffiliated in the Consolidated Statement of Assets and Liabilities. |
| | 2 | Includes accrued interest on borrowed bonds in the amount of $1,627,915 which is included in interest expense payable in the Consolidated Statement of Assets and Liabilities. |
| | 3 | Net exposure represents the net receivable (payable) that would be due from/to the counterparty in the event of default. |
| | 4 | Net receivable is subject to set-off provision with net payable under the ISDA Master Agreement. |
When the Master Portfolio enters into an MRA and an ISDA and/or MSLA with the same counterparty, the agreements may contain a set-off provision allowing the Master Portfolio to offset a net amount payable with a net amount receivable upon default of the counterparty. Bankruptcy or insolvency laws of a particular jurisdiction may restrict or prohibit the right of offset in bankruptcy, insolvency or other events. For example, regardless of the contractual rights included in an MRA, such laws may prohibit the Master Portfolio from setting off amounts owed to a defaulting counterparty under an MRA against amounts owed to the Master Portfolio by affiliates of the defaulting counterparty. However, the insolvency regimes of many jurisdictions generally permit set-off of simultaneous payables and receivables with the same legal entity under certain types of financial contracts. These rules would apply upon a default of the legal entity, regardless of the existence of a contractual set-off right in those contracts.
In the event the counterparty of securities under an MRA files for bankruptcy or becomes insolvent, the Master Portfolio’s use of the proceeds from the agreement may be restricted while the counterparty, or its trustee or receiver, determines whether or not to enforce the Master Portfolio’s obligation to repurchase the securities.
Short Sales: The Master Portfolio may enter into short sale transactions in which the Master Portfolio sells a security it does not hold in anticipation of a decline in the market price of that security. When the Master Portfolio makes a short sale, it will borrow the security sold short (borrowed bond) and deliver the security to the counterparty to which it sold the security short. An amount equal to the proceeds received by the
Master Portfolio is reflected as an asset and an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the market value of the short sale. The Master Portfolio is required to repay the counterparty interest on the security sold short, which is shown as interest expense in the Consolidated Statement of Operations. The Master Portfolio is exposed to market risk based on the amount, if any, that the market value of the security increases beyond the market value at which the position was sold. Thus, a short sale of a security involves the risk that instead of declining, the price of the security sold short will rise. The short sale of securities involves the possibility of a theoretically unlimited loss since there is a theoretically unlimited potential for the market price of the security sold short to increase. A gain, limited to the price at which the Master Portfolio sold the security short, or a loss, unlimited as to the dollar amount, will be recognized upon the termination of a short sale if the market price is either less than or greater than the proceeds originally received. There is no assurance the Master Portfolio will be able to close out a short position at a particular time or at an acceptable price.
4. Derivative Financial Instruments:
The Master Portfolio engages in various portfolio investment strategies using derivative contracts both to increase the returns of the Master Portfolio and/or to economically hedge its exposure to certain risks such as credit risk, equity risk, interest rate risk, foreign currency exchange rate risk or other risk (inflation risk). These contracts may be transacted on an exchange or OTC.
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| Notes to Consolidated Financial Statements (continued) | | | Master Total Return Portfolio | |
Financial Futures Contracts: The Master Portfolio purchases and/or sells financial futures contracts and options on financial futures contracts to gain exposure to, or economically hedge against, changes in interest rates (interest rate risk), changes in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk). Financial futures contracts are agreements between the Master Portfolio and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and at a specified date. Depending on the terms of the particular contract, financial futures contracts are settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash settlement amount on the settlement date.
Upon entering into a financial futures contract, the Master Portfolio is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on a contract’s size and risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract. Securities deposited as initial margin are designated on the Consolidated Schedule of Investments and cash deposited, if any, is recorded on the Consolidated Statement of Assets and Liabilities as cash pledged for financial futures contracts. Pursuant to the contract, the Master Portfolio agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as variation margin. Variation margin is recorded by the Master Portfolio as unrealized appreciation or depreciation and, if applicable, as a receivable or payable for variation margin in the Consolidated Statement of Assets and Liabilities.
When the contract is closed, the Master Portfolio records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The use of financial futures contracts involves the risk of an imperfect correlation in the movements in the price of financial futures contracts, interest or foreign currency exchange rates and the underlying assets.
Forward Foreign Currency Exchange Contracts: The Master Portfolio enters into forward foreign currency exchange contracts as an economic hedge against either specific transactions or portfolio instruments or to obtain exposure to, or hedge exposure away from, foreign currencies (foreign currency exchange rate risk). A forward foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a future date. Forward foreign currency exchange contracts, when used by the Master Portfolio, help to manage the overall exposure to the currencies in which some of the investments held by the Master Portfolio are denominated. The contract is marked-to-market daily and the change in market value is recorded by the Master Portfolio as an unrealized gain or loss. When the contract is closed, the Master Portfolio records a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed. The use of forward foreign currency exchange contracts involves the risk that the value of a foreign currency exchange contract changes unfavorably due to movements in the value of the referenced foreign currencies and the risk that the counterparty to the contract does not perform its obligations under the agreement.
Options: The Master Portfolio purchases and writes call and put options to increase or decrease its exposure to underlying instruments (including credit risk, equity risk, interest rate risk and/or foreign currency exchange risk) and/or, in the case of options written, to generate gains from options premiums. A call option gives the purchaser (holder) of the option the right (but not the obligation) to buy, and obligates the seller (writer) to sell (when the option is exercised) the underlying instrument at the exercise or strike price at any time or at a specified time during the option period. A put option gives the holder the right to sell and obligates the writer to buy the underlying instrument at the exercise or strike price at any time or at a specified time during the option period. When the Master Portfolio purchases (writes) an option, an amount equal to the premium paid (received) by the Master Portfolio is reflected as an asset (liability). The amount of the asset (liability) is subsequently marked-to-market to reflect the current market value of the option purchased (written). When an instrument is purchased or sold through an exercise of an option, the related premium paid (or received) is added to (or deducted from) the basis of the instrument acquired or deducted from (or added to) the proceeds of the instrument sold. When an option expires (or the Master Portfolio enters into a closing transaction), the Master Portfolio realizes a gain or loss on the option to the extent of the premiums received or paid (or gain or loss to the extent the cost of the closing transaction exceeds the premiums received or paid). When the Master Portfolio writes a call option, such option is “covered,” meaning that the Master Portfolio holds the underlying instrument subject to being called by the option counterparty. When the Master Portfolio writes a put option, such option is covered by cash in an amount sufficient to cover the obligation.
Options on swaps (swaptions) are similar to options on securities except that instead of selling or purchasing the right to buy or sell a security, the writer or purchaser of the swap option is granting or buying the right to enter into a previously agreed upon interest rate or credit default swap agreement (interest rate risk and/or credit risk) at any time before the expiration of the option.
The Master Portfolio also purchases or sells listed or OTC foreign currency options, foreign currency futures and related options on foreign currency futures as a short or long hedge against possible variations in foreign exchange rates or to gain exposure to foreign currencies (foreign currency exchange rate risk). When foreign currency is purchased or sold through an exercise of a foreign currency option, the related premium paid (or received) is added to (or deducted from) the basis of the foreign currency acquired or deducted from (or added to) the proceeds of the foreign currency sold (receipts from the foreign currency purchased). Such transactions may be effected with respect to hedges on non-U.S. dollar denominated instruments owned by the Master Portfolio but not yet delivered, or committed or anticipated to be purchased by the Master Portfolio.
The Master Portfolio may also purchase and write a variety of options with non-standard payout structures or other features (“barrier options”). Barrier options are generally traded OTC. The Master Portfolio may invest in various types of barrier options including up-and-out options. Up-and-out options expire worthless if the price of the underlying instrument increases beyond a predetermined barrier price level prior to the option’s
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| Notes to Consolidated Financial Statements (continued) | | | Master Total Return Portfolio | |
expiration date. Barrier options may also be referred to as knockout options. In a reverse knockout option, the option expires worthless if the price of the underlying instrument decreases beyond a predetermined barrier price level prior to the option’s expiration date.
In purchasing and writing options, the Master Portfolio bears the risk of an unfavorable change in the value of the underlying instrument or the risk that the Master Portfolio may not be able to enter into a closing transaction due to an illiquid market. Exercise of a written option could result in the Master Portfolio purchasing or selling a security when it otherwise would not, or at a price different from the current market value.
The Master Portfolio invests in structured options to increase or decrease its exposure to an underlying index or group of securities (equity risk). These structured options are European-Style Options and may consist of single or multiple OTC options which are priced as a single security. European-Style Options may only be exercised at the expiration date, but may be transferred/sold prior to the expiration date. The value of a structured option may either increase or decrease with the underlying index or group of securities, depending on the combination of options used. Structured options are issued in units whereby each unit represents a structure based on the specific index with an initial reference strike price. One type of structure involves the combination of selling a put while buying a call on a specific index. This option would rise in value as the underlying index increases and fall in value as the underlying index decreases. Alternatively, another structure involves the sale of a call and the purchase of a put. This option structure would rise in value as the underlying index decreases and fall in value as the underlying index increases. Upon the exercise of the structured option, the Master Portfolio will receive a payment from, or be required to remit a payment to the counterparty, depending on the value of the underlying index at exercise.
Swaps: The Master Portfolio enter into swap agreements, in which the Master Portfolio and a counterparty agree either to make periodic net payments on a specified notional amount or a net payment upon termination. Swap agreements are privately negotiated in the OTC market and may be entered into as a bilateral contract (“OTC swaps”) or centrally cleared (“centrally cleared swaps”). Swaps are marked-to-market daily and changes in value are recorded as unrealized appreciation (depreciation).
For OTC swaps, any upfront premiums paid are recorded as assets and any upfront fees received are recorded as liabilities and are shown as swap premiums paid and swap premiums received, respectively, in the Consolidated Statement of Assets and Liabilities and amortized over the term of the OTC swap. Payments received or made by the Master Portfolio for OTC swaps are recorded in the Consolidated Statement of Operations as realized gains or losses, respectively. When an OTC swap is terminated, the Master Portfolio will record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Master Portfolio’s basis in the contract, if any. Generally, the basis of the contracts is the premium received or paid.
In a centrally cleared swap, immediately following execution of the swap agreement, the swap agreement is novated to a central counterparty (the “CCP”) and the Master Portfolio’s counterparty on the swap agree-
ment becomes the CCP. The Master Portfolio is required to interface with the CCP through a broker. Upon entering into a centrally cleared swap, the Master Portfolio are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Securities deposited as initial margin are designated on the Consolidated Schedule of Investments and cash deposited is recorded on the Consolidated Statement of Assets and Liabilities as cash pledged for centrally cleared swaps. The daily change in valuation of centrally cleared swaps is recorded as a receivable or payable for variation margin in the Consolidated Statement of Assets and Liabilities. Payments received from (paid to) the counterparty, including at termination, are recorded as realized gain (loss) in the Consolidated Statement of Operations.
Swap transactions involve, to varying degrees, elements of interest rate, credit and market risk in excess of the amounts recognized in the Consolidated Statement of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorable changes in interest rates and/or market values associated with these transactions.
| Ÿ | | Credit default swaps — The Master Portfolio enters into credit default swaps to manage its exposure to the market or certain sectors of the market, to reduce its risk exposure to defaults of corporate and/or sovereign issuers or to create exposure to corporate and/or sovereign issuers to which it is not otherwise exposed (credit risk). The Master Portfolio may either buy or sell (write) credit default swaps on single-name issuers (corporate or sovereign), a combination or basket of single-name issuers or traded indexes. Credit default swaps on single-name issuers are agreements in which the protection buyer pays fixed periodic payments to the seller in consideration for a guarantee from the protection seller to make a specific payment should a negative credit event take place with respect to the referenced entity (e.g., bankruptcy, failure to pay, obligation accelerators, repudiation, moratorium or restructuring). Credit default swaps on traded indexes are agreements in which the buyer pays fixed periodic payments to the seller in consideration for a guarantee from the seller to make a specific payment should a write-down, principal or interest shortfall or default of all or individual underlying securities included in the index occur. As a buyer, if an underlying credit event occurs, the Master Portfolio will either (i) receive from the seller an amount equal to the notional amount of the swap and deliver the referenced security or underlying securities comprising the index, or (ii) receive a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index. As a seller (writer), if an underlying credit event occurs, the Master Portfolio will either pay the buyer an amount equal to the notional amount of the swap and take delivery of the referenced security or underlying securities comprising the index or pay a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index. |
| Ÿ | | Total return swaps — The Master Portfolio enters into total return swaps to obtain exposure to a security or market without owning such security or investing directly in that market or to transfer the risk/return |
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| Notes to Consolidated Financial Statements (continued) | | | Master Total Return Portfolio | |
| | of one market (e.g., fixed income) to another market (e.g., equity) (equity risk and/or interest rate risk). Total return swaps are agreements in which there is an exchange of cash flows whereby one party commits to make payments based on the total return (coupons plus capital gains/losses) of an underlying instrument in exchange for fixed or floating rate interest payments. To the extent the total return of the instrument or index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the Master Portfolio will receive a payment from or make a payment to the counterparty. |
| Ÿ | | Interest rate swaps — The Master Portfolio enters into interest rate swaps to gain or reduce exposure to interest rates or to manage duration, the yield curve or interest rate risk by economically hedging the value of the fixed rate bonds which may decrease when interest rates rise (interest rate risk). Interest rate swaps are agreements in which one |
| | | party pays a stream of interest payments, either fixed or floating, for another party’s stream of interest payments, either fixed or floating, on the same notional amount for a specified period of time. Interest rate floors, which are a type of interest rate swap, are agreements in which one party agrees to make payments to the other party to the extent that interest rates fall below a specified rate or floor in return for a premium. In more complex swaps, the notional principal amount may decline (or amortize) over time. |
| Ÿ | | Forward swaps — The Master Portfolio may enter into forward interest rate swaps and forward total return swaps. In a forward swap, the Master Portfolio and the counterparty agree to make either periodic net payments beginning on a specified future effective date or a net payment at termination, unless terminated earlier. |
The following is a summary of the Master Portfolio’s derivative financial instruments categorized by risk exposure:
| | | | | | |
| | | Fair Values of Derivative Financial Instruments as of March 31, 2014 | | | |
| | | Derivatives Assets | |
| | | Consolidated Statement of Assets and Liabilities Location | | Value | |
Interest rate contracts | | Net unrealized appreciation/depreciation1; Unrealized appreciation on OTC derivatives; Swap premiums received; Investments at value — unaffiliated2 | | $ | 5,038,040 | |
Foreign currency exchange contracts | | Unrealized appreciation on forward foreign currency exchange contracts; Investments at value — unaffiliated2 | | | 2,438,230 | |
Credit contracts | | Net unrealized appreciation/ depreciation1; Unrealized appreciation on OTC derivatives; Swap premiums received; | | | 13,149,953 | |
Equity contracts | | Net unrealized appreciation/ depreciation1; Unrealized appreciation on OTC derivatives; Investments at value — unaffiliated2 | | | 500,192 | |
Total | | | | $ | 21,126,415 | |
| | | | | | |
| | | Derivatives Liabilities | |
| | | Consolidated Statement of Assets and Liabilities Location | | Value | |
Interest rate contracts | | Net unrealized appreciation/depreciation1; Unrealized depreciation on OTC derivatives; Swap premiums received; Options written at value | | $ | 3,539,813 | |
Foreign currency exchange contracts | | Unrealized depreciation on forward foreign currency exchange contracts; Options written at value | | | 7,500,486 | |
Credit contracts | | Net unrealized appreciation/depreciation1; Unrealized depreciation on OTC derivatives; Swap premiums received; | | | 18,112,693 | |
Equity contracts | | Net unrealized appreciation/depreciation1; Unrealized depreciation on OTC derivatives; Options written at value | | | 218,193 | |
Total | | | | $ | 29,371,185 | |
| | 1 | Includes cumulative appreciation/depreciation on financial futures contracts and centrally cleared swaps, if any, as reported in the Consolidated Schedule of Investments. Only current day’s variation margin is reported within the Consolidated Statement of Assets and Liabilities. |
| | 2 | Includes options purchased at value as reported within the Consolidated Statement of Assets and Liabilities. |
| | | | | | |
| 76 | | BLACKROCK BALANCED CAPITAL FUND, INC. | | MARCH 31, 2014 | | |
| | | | |
| Notes to Consolidated Financial Statements (continued) | | | Master Total Return Portfolio | |
| | | | |
The Effect of Derivative Financial Instruments in the Consolidated Statement of
Operations Six Months Ended March 31, 2014 | |
| Net Realized Gain (Loss) From | |
Interest rate contracts: | | | | |
Financial futures contracts | | $ | 5,810,557 | |
Swaps | | | 3,509,100 | |
Options3 | | | (73,771 | ) |
Foreign currency exchange contracts: | | | | |
Financial futures contracts | | | (76,517 | ) |
Foreign currency transactions. | | | (6,272,994 | ) |
Options3 | | | (1,332,858 | ) |
Credit contracts: | | | | |
Swaps | | | (3,201,108 | ) |
Options3 | | | (487,918 | ) |
Equity contracts: | | | | |
Financial futures contracts | | | (404,982 | ) |
Swaps | | | (1,058,521 | ) |
Options3 | | | 1,168,283 | |
| |
Total | | $ | (2,420,729 | ) |
| | | | |
| | | | |
| Net Change in Unrealized Appreciation/Depreciation on | |
Interest rate contracts: | | | | |
Financial futures contracts | | $ | 2,956,681 | |
Swaps | | | (7,099,023 | ) |
Options3 | | | (468,972 | ) |
Foreign currency exchange contracts: | | | | |
Foreign currency translations | | | (590,590 | ) |
Options3 | | | (129,981 | ) |
Credit contracts: | | | | |
Swaps | | | (390,745 | ) |
Options3 | | | (9,773 | ) |
Equity contracts: | | | | |
Financial futures contracts | | | (129,178 | ) |
Swaps | | | 21,259 | |
Options3 | | | (144,994 | ) |
Other contracts: | | | | |
Swaps | | | 1,166,261 | |
Options3 | | | 191,142 | |
| |
Total | | $ | (4,627,913 | ) |
| | | | |
| | 3 | Options purchased are included in the net realized gain (loss) from investments and net change in unrealized appreciation/depreciation on investments. |
For the six months ended March 31, 2014, the average quarterly balances of outstanding derivative financial instruments were as follows:
| | | | |
Financial futures contracts: | | | | |
Average number of contracts purchased | | | 3,847 | |
Average number of contracts sold. | | | 2,879 | |
Average notional value of contracts purchased | | $ | 703,940,393 | |
Average notional value of contracts sold | �� | $ | 477,615,691 | |
Forward foreign currency exchange contracts: | | | | |
Average number of contracts - USD purchased | | | 26 | |
Average number of contracts - USD sold | | | 12 | |
Average USD amounts purchased. | | $ | 529,254,201 | |
Average USD amounts sold | | $ | 126,830,553 | |
Options: | | | | |
Average number of option contracts purchased. | | | 6,193 | |
Average number of option contracts written | | | 3,480 | |
Average notional value of option contracts purchased | | $ | 1,054,753,453 | |
Average notional value of option contracts written | | $ | 785,582,221 | |
Average number of swaption contracts purchased | | | 3 | |
Average number of swaption contracts written | | | 5 | |
Average notional value of swaption contracts purchased | | $ | 121,097,754 | |
Average notional value of swaption contracts written | | $ | 25,253,823 | |
| | | | |
Structured options: | | | | |
Average number of units. | | | 1 | |
Average notional value | | $ | 4,305,000 | |
Credit default swaps: | | | | |
Average number of contracts - buy protection | | | 56 | |
Average number of contracts - sell protection | | | 74 | |
Average notional value - buy protection | | $ | 292,905,814 | |
Average notional value - sell protection | | $ | 235,259,988 | |
Interest rate swaps: | | | | |
Average number of contracts - pays fixed rate | | | 8 | |
Average number of contracts - receives fixed rate | | | 6 | |
Average notional value - pays fixed rate | | $ | 241,949,771 | |
Average notional value - receives fixed rate. | | $ | 58,000,071 | |
Total return swaps: | | | | |
Average number of contracts | | | 36 | |
Average notional value | | $ | 57,210,845 | |
Counterparty Credit Risk: A derivative contract may suffer a mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.
The Master Portfolio’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by such Master Portfolio.
For OTC options purchased, the Master Portfolio bears the risk of loss of the amount of the premiums paid plus the positive change in market values net of any collateral held by such Master Portfolio should the counterparty fail to perform under the contracts. Options written by the Master Portfolio do not typically give rise to counterparty credit risk, as options written generally obligate the Master Portfolio, and not the counterparty, to perform.
With exchange-traded purchased options and futures and centrally cleared swaps, there is less counterparty credit risk to the Master Portfolio since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, the credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, the Master Portfolio does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including bankruptcy or insolvency) of the clearing broker or clearinghouse. Additionally, credit risk exists in exchange traded futures and centrally cleared swaps with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Master Portfolio.
In order to better define its contractual rights and to secure rights that will help the Master Portfolio mitigate its counterparty risk, the Master
| | | | | | |
| | | BLACKROCK BALANCED CAPITAL FUND, INC. | | MARCH 31, 2014 | | 77 |
| | | | |
| Notes to Consolidated Financial Statements (continued) | | | Master Total Return Portfolio | |
Portfolio may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between each Master Portfolio and a counterparty that governs OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Master Portfolio may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. Bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events. In addition, certain ISDA Master Agreements allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event the Master Portfolio’s net assets decline by a stated percentage or the Master Portfolio fails to meet the terms of its ISDA Master Agreements, which would cause the Master Portfolio to accelerate payment of any net liability owed to the counterparty.
Collateral Requirements: For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Master Portfolio and the counterparty.
Cash collateral that has been pledged to cover obligations of the Master Portfolio and cash collateral received from the counterparty, if any, is reported separately on the Consolidated Statement of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively. Non-cash collateral pledged by the Master Portfolio, if any, is noted in the Consolidated Schedule of Investments. Generally, the amount of collateral due from or to a party has to exceed a minimum transfer amount threshold (typically either $250,000 or $500,000) before a transfer is required, which is determined at the close of business of the Master Portfolio and any additional required collateral is delivered to/pledged by the Master Portfolio on the next business day. Typically, the Master Portfolio and counterparties are not permitted to sell, re-pledge or use the collateral they receive. To the extent amounts due to the Master Portfolio from its counterparties are not fully collateralized, contractually or otherwise, the Master Portfolio bears the risk of loss from counterparty non-performance. Each Master Portfolio attempts to mitigate counterparty risk by entering into agreements only with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties.
For financial reporting purposes, the Master Portfolio does not offset derivative assets and derivative liabilities that are subject to netting arrangements, if any, in the Consolidated Statement of Assets and Liabilities.
At March 31, 2014, the Master Portfolio’s derivative assets and liabilities (by type) are as follows:
| | | | | | | | |
| | | Assets | | | Liabilities | |
Derivative Financial Instruments: | | | | | | | | |
Financial futures contracts | | $ | 423,740 | | | $ | 377,067 | |
Forward foreign currency exchange contracts | | | 2,170,871 | | | | 7,368,887 | |
Options | | | 2,570,483 | 1 | | | 1,106,633 | |
Swaps - Centrally cleared | | | — | | | | 156,706 | |
Swaps - OTC2 | | | 13,322,140 | | | | 15,689,863 | |
| | | | |
Total derivative assets and liabilities in the Consolidated Statement of Assets and Liabilities | | | 18,487,234 | | | | 24,699,156 | |
| | | | |
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) | | | (2,195,119 | ) | | | (1,284,578 | ) |
| | | | |
Total derivative assets and liabilities subject to a MNA | | $ | 16,292,115 | | | $ | 23,414,578 | |
| | | | |
| | 1 | Includes options purchased at value which is included in Investments at value—unaffiliated in the Consolidated Statement of Assets and Liabilities and reported in the Consolidated Schedule of Investments. |
| | 2 | Includes unrealized appreciation/depreciation on OTC swaps and swap premiums paid/received in the Consolidated Statement of Assets and Liabilities. |
| | | | | | |
| 78 | | BLACKROCK BALANCED CAPITAL FUND, INC. | | MARCH 31, 2014 | | |
| | | | |
| Notes to Consolidated Financial Statements (continued) | | | Master Total Return Portfolio | |
The following tables present the Master Portfolio’s derivative assets and liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral received and pledged by the Master Portfolio as of March 31, 2014:
| | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Derivative Assets
Subject to an MNA
by
Counterparty | | | Derivatives
Available for Offset1 | | | Non-cash
Collateral
Received | | | Cash
Collateral
Received | | | Net Amount of
Derivative Assets2 | |
Bank of America N.A. | | $ | 829,827 | | | $ | (829,827 | ) | | | — | | | | — | | | | — | |
The Bank of New York Mellon | | | 343,857 | | | | — | | | | — | | | | — | | | $ | 343,857 | |
Barclays Bank PLC | | | 1,649,619 | | | | (1,649,619 | ) | | | — | | | | — | | | | — | |
BNP Paribas S.A. | | | 776,452 | | | | (776,452 | ) | | | — | | | | — | | | | — | |
Citibank N.A. | | | 7,215,082 | | | | (3,618,440 | ) | | $ | (699,280 | ) | | $ | (2,400,000 | ) | | | 497,362 | |
Credit Suisse International | | | 1,454,055 | | | | (1,454,055 | ) | | | — | | | | — | | | | — | |
Deutsche Bank AG | | | 1,623,559 | | | | (1,623,559 | ) | | | — | | | | — | | | | — | |
Goldman Sachs Bank USA | | | 60,579 | | | | (60,579 | ) | | | — | | | | — | | | | — | |
Goldman Sachs International | | | 69,019 | | | | (69,019 | ) | | | — | | | | — | | | | — | |
HSBC Bank PLC | | | 18,546 | | | | (17,592 | ) | | | — | | | | — | | | | 954 | |
HSBC Bank USA N.A. | | | 3,191 | | | | — | | | | — | | | | — | | | | 3,191 | |
JPMorgan Chase Bank N.A. | | | 1,772,017 | | | | (1,772,017 | ) | | | — | | | | — | | | | — | |
Royal Bank of Scotland PLC | | | 124,494 | | | | (124,494 | ) | | | — | | | | — | | | | — | |
UBS AG | | | 351,818 | | | | (186,562 | ) | | | — | | | | — | | | | 165,256 | |
Total | | $ | 16,292,115 | | | $ | (12,182,215 | ) | | $ | (699,280 | ) | | $ | (2,400,000 | ) | | $ | 1,010,620 | |
| | | | |
| | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Derivative Liabilities
Subject to an MNA
by
Counterparty | | | Derivatives
Available
for Offset1 | | | Non-cash
Collateral
Pledged | | | Cash
Collateral
Pledged3 | | | Net Amount of
Derivative Liabilities4 | |
Bank of America N.A. | | $ | 1,119,059 | | | $ | (829,827 | ) | | | — | | | | — | | | $ | 289,232 | |
Barclays Bank PLC | | | 7,171,966 | | | | (1,649,619 | ) | | | — | | | | — | | | | 5,522,347 | 5 |
BNP Paribas S.A. | | | 1,153,826 | | | | (776,452 | ) | | | — | | | $ | (377,374 | ) | | | — | |
Citibank N.A. | | | 3,618,440 | | | | (3,618,440 | ) | | | — | | | | — | | | | — | |
Credit Suisse International | | | 2,969,514 | | | | (1,454,055 | ) | | | — | | | | (1,515,459 | ) | | | — | �� |
Deutsche Bank AG | | | 2,189,782 | | | | (1,623,559 | ) | | | — | | | | (300,000 | ) | | | 266,223 | |
Goldman Sachs Bank USA | | | 530,817 | | | | (60,579 | ) | | | — | | | | (470,238 | ) | | | — | |
Goldman Sachs International | | | 480,969 | | | | (69,019 | ) | | $ | (100,031 | ) | | | — | | | | 311,919 | |
HSBC Bank PLC | | | 17,592 | | | | (17,592 | ) | | | — | | | | — | | | | — | |
JPMorgan Chase Bank N.A. | | | 3,598,132 | | | | (1,772,017 | ) | | | — | | | | (1,200,000 | ) | | | 626,115 | |
Royal Bank of Scotland PLC | | | 373,334 | | | | (124,494 | ) | | | — | | | | — | | | | 248,840 | |
UBS AG | | | 186,562 | | | | (186,562 | ) | | | — | | | | — | | | | — | |
Westpac Banking Corp | | | 4,585 | | | | — | | | | — | | | | — | | | | 4,585 | |
Total | | $ | 23,414,578 | | | $ | (12,182,215 | ) | | $ | (100,031 | ) | | $ | (3,863,071 | ) | | $ | 7,269,261 | |
| | | | |
| | 1 | The amount of derivatives available for offset is limited to the amount of assets and/or liabilities that are subject to an MNA. |
| | 2 | Net amount represents the net amount receivable from the counterparty in the event of default. |
| | 3 | Excess of collateral pledged to the individual counterparty may not be shown for financial reporting purposes. |
| | 4 | Net amount represents the net amount payable due to the counterparty in the event of default. |
| | 5 | Net payable is subject to set-off provision with net receivable under the MRA. |
5. Investment Advisory Agreement and Other Transactions with Affiliates:
The PNC Financial Services Group, Inc. is the largest stockholder and an affiliate, for 1940 Act purposes, of BlackRock, Inc. (“BlackRock”).
The Master LLC, on behalf of the Master Portfolio, entered into an Investment Advisory Agreement with BlackRock Advisors, LLC (the “Manager”), the Master LLC’s investment advisor, an indirect, wholly owned subsidiary of BlackRock, to provide investment advisory and administration services. The Manager is responsible for the management of the Master Portfolio’s portfolio and provides the necessary personnel, facilities, equipment and certain other services necessary to the operations of the Master Portfolio. For such services, the Master Portfolio pays the Manager a monthly fee based on the percentage of the Master Portfolio’s average daily net assets at the following annual rates:
| | | | |
| Average Daily Net Assets | | Investment
Advisory Fee | |
First $250 Million. | | | 0.20 | % |
$250 Million – $500 Million | | | 0.15 | % |
$500 Million – $750 Million | | | 0.10 | % |
Greater than $750 Million | | | 0.05 | % |
| | | | | | |
| | | BLACKROCK BALANCED CAPITAL FUND, INC. | | MARCH 31, 2014 | | 79 |
| | | | |
| Notes to Consolidated Financial Statements (continued) | | | Master Total Return Portfolio | |
The Manager voluntarily agreed to waive its investment advisory fees by the amount of investment advisory fees the Master Portfolio pays to the Manager indirectly through its investment in affiliated money market funds. However, the Manager does not waive its investment advisory fees by the amount of investment advisory fees paid in connection with the Master Portfolio’s investment in other affiliated investment companies, if any. This amount is shown as fees waived by Manager in the Consolidated Statement of Operations.
The Manager provides investment management and other services to the Subsidiary. The Manager does not receive separate compensation from the Subsidiary for providing investment management or administrative services. However, the Master Portfolio pays the Manager based on the Master Portfolio’s net assets which includes the assets of the Subsidiary.
The Manager, on behalf of the Master Portfolio, entered into sub-advisory agreements with BlackRock Financial Management, Inc. (“BFM”), BlackRock International Limited (“BIL”) and BlackRock (Singapore) Limited (“BRS”), each an affiliate of the Manager. The Manager pays BFM, BIL and BRS for services they provide, a monthly fee that is a percentage of the investment advisory fees paid by the Master Portfolio to the Manager.
For the six months ended March 31, 2014, the Master LLC reimbursed the Manager $7,133 for certain accounting services, which is included in accounting services in the Consolidated Statement of Operations.
Certain officers and/or directors of the Master LLC are officers and/or directors of BlackRock or its affiliates.
The Master Portfolio may purchase securities from, or sell securities to, an affiliated fund provided the affiliation is due solely to having a common investment adviser, common officers, or common trustees. For the six months ended March 31, 2014, the purchase and sale transactions with an affiliated fund in compliance with Rule 17a-7 under the 1940 Act was a sale of $4,058,494.
6. Purchases and Sales:
Purchases and sales of investments, including paydowns, mortgage dollar roll and TBA transactions and excluding short-term securities and U.S. government securities for the six months ended March 31, 2014, were $9,497,897,521 and $9,562,789,647, respectively.
Purchases and sales of U.S. government securities for the Master Portfolio
for the six months ended March 31, 2014, were $6,078,367,822 and $5,885,144,769, respectively.
For the six months ended March 31, 2014, purchases and sales related to mortgage dollar rolls were $4,336,463,696 and $4,338,214,401, respectively.
Transactions in options written for the six months ended March 31, 2014, were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Calls | | | | | Puts | |
| | | Contracts | | | Notional
(000)1 | | | Premiums
Received | | | | | Contracts | | | Notional
(000)1 | | | Premiums
Received | |
Outstanding options, beginning of period | | | 4,027 | | | | 167,150 | | | $ | 1,713,972 | | | | | | — | | | | 185,455 | | | $ | 1,772,241 | |
Options written | | | 32,578 | | | | 80,360 | | | | 6,042,910 | | | | | | 31,168 | | | | 10,365,830 | | | | 9,955,115 | |
Options exercised | | | — | | | | (16,830 | ) | | | (66,899 | ) | | | | | — | | | | (93,435 | ) | | | (2,106,940 | ) |
Options expired | | | (10,460 | ) | | | (167,150 | ) | | | (1,895,979 | ) | | | | | (3,337 | ) | | | (1,055,545 | ) | | | (2,576,075 | ) |
Options closed | | | (24,664 | ) | | | (54,980 | ) | | | (5,577,562 | ) | | | | | (26,021 | ) | | | (376,867 | ) | | | (5,561,980 | ) |
| | | | | | | | | | |
Outstanding options, end of period | | | 1,481 | | | | 8,550 | | | $ | 216,442 | | | | | | 1,810 | | | | 9,025,438 | | | $ | 1,482,361 | |
| | | | | | | | | | |
| | 1 | Amount shown is in the currency in which the transaction was denominated. |
7. Borrowings:
The Master LLC, on behalf of the Master Portfolio, along with certain other funds managed by the Manager and its affiliates (“Participating Funds”), is a party to a 364-day, $800 million credit agreement with a group of lenders, under which the Master Portfolio may borrow to fund shareholder redemptions. The agreement expires in April 2014. Excluding commitments designated for a certain individual fund, other Participating Funds, including the Master Portfolio, can borrow up to an aggregate commitment amount of $500 million, subject to asset coverage and other limitations as specified in the agreement. The credit agreement has the following terms: a fee of 0.065% per annum on unused commitment
amounts and interest at a rate equal to the higher of (a) the one-month LIBOR plus 0.80% per annum or (b) the Fed Funds rate plus 0.80% per annum on amounts borrowed. Participating Funds paid administration and arrangement fees, which, along with commitment fees, were allocated among such funds based upon portions of the aggregate commitment available to them and relative net assets of Participating Funds. The Master Portfolio did not borrow under the credit agreement during the six months ended March 31, 2014.
| | | | | | |
| 80 | | BLACKROCK BALANCED CAPITAL FUND, INC. | | MARCH 31, 2014 | | |
| | | | |
| Notes to Consolidated Financial Statements (concluded) | | | Master Total Return Portfolio | |
For the six months ended March 31, 2014, the average amount of transactions considered as borrowings and the daily weighted average interest rate from reverse repurchase agreements and treasury roll transactions were $1,090,387,514 and 0.06%, respectively.
8. Concentration, Market and Credit Risk:
In the normal course of business, the Master Portfolio invests in securities and enters into transactions where risks exist due to fluctuations in the market (market risk) or failure of the issuer of a security to meet all its obligations (issuer credit risk). The value of securities held by the Master Portfolio may decline in response to certain events, including those directly involving the issuers whose securities are owned by the Master Portfolio; conditions affecting the general economy; overall market changes; local, regional or global political, social or economic instability; and currency and interest rate and price fluctuations. Similar to issuer credit risk, the Master Portfolio may be exposed to counterparty credit risk, or the risk that an entity with which the Master Portfolio has unsettled or open transactions may fail to or be unable to perform on its commitments. The Master Portfolio manages counterparty credit risk by entering into transactions only with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Master Portfolio to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Master Portfolio’s exposure to market, issuer and counterparty credit risks with respect to these financial assets is generally approximated by their value recorded in the Consolidated Statement of Assets and Liabilities, less any collateral held by the Master Portfolio.
The Master Portfolio invests a significant portion of its assets in fixed-income securities and/or uses derivatives tied to the fixed income markets. See the Consolidated Schedule of Investments for these securities and/or derivatives. Changes in market interest rates or economic condi-
tions, including the Federal Reserve’s decision in December 2013 to taper its quantitative easing policy, may affect the value and/or liquidity of such investments. Interest rate risk is the risk that prices of bonds and other fixed-income securities will increase as interest rates fall and decrease as interest rates rise. The Master Portfolio may be subject to a greater risk of rising interest rates due to the current period of historically low rates.
The Master Portfolio invests a significant portion of its assets in securities backed by commercial or residential mortgage loans or in issuers that hold mortgage and other asset-backed securities. Please see the Consolidated Schedule of Investments for these securities. Changes in economic conditions, including delinquencies and/or defaults on assets underlying these securities, can affect the value, income and/or liquidity of such positions.
9. Subsequent Events:
Management’s evaluation of the impact of all subsequent events on the Master Portfolio’s consolidated financial statements was completed through the date the consolidated financial statements were issued and the following item was noted:
Effective April 24, 2014, the credit agreement was terminated and a new agreement was entered into. The Master Portfolio became a party to a 364-day, $1.1 billion credit agreement, which expires in April 2015. Excluding commitments designated for a certain individual fund, the Master Portfolio can borrow up to an aggregate commitment amount of $650 million, subject to asset coverage and other limitations as specified in the agreement. The credit agreement has the following terms: a fee of 0.06% per annum on unused commitment amounts and interest at a rate equal to the higher of (a) the one-month LIBOR plus 0.80% per annum or (b) the Fed Funds rate plus 0.80% per annum on amounts borrowed.
| | | | | | |
| | | BLACKROCK BALANCED CAPITAL FUND, INC. | | MARCH 31, 2014 | | 81 |
| | |
| Officers and Directors of the Fund and Master Bond LLC | | |
Robert M. Hernandez, Chairman of the Board and Director
Fred G. Weiss, Vice Chairman of the Board and Director
Paul L. Audet, Director
James H. Bodurtha, Director
Bruce R. Bond, Director
Donald W. Burton, Director
Honorable Stuart E. Eizenstat, Director
Laurence D. Fink, Director
Kenneth A. Froot, Director
Henry Gabbay, Director
John F. O’Brien, Director
Roberta Cooper Ramo, Director
David H. Walsh, Director
John M. Perlowski, President and Chief Executive Officer
Brendan Kyne, Vice President
Neal Andrews, Chief Financial Officer
Jay Fife, Treasurer
Brian Kindelan, Chief Compliance Officer and Anti-Money Laundering Officer
Benjamin Archibald, Secretary
Investment Advisor
BlackRock Advisors, LLC
Wilmington, DE 19809
Sub-Advisors
BlackRock Investments Management, LLC
Princeton, NJ 08540
Custodian and Accounting Agent
Bank of New York Mellon
New York, NY 10286
Transfer Agent
BNY Mellon Investment Servicing (US) Inc.
Wilmington, DE 19809
Distributor
BlackRock Investments, LLC
New York, NY 10022
Independent Registered Public Accounting Firm
Deloitte & Touche LLP
Philadelphia, PA 19103
Legal Counsel
Willkie Farr & Gallagher LLP
New York, NY 10019
Address of the Fund
100 Bellevue Parkway
Wilmington, DE 19809
Effective May 14, 2014, Brian Kindelan resigned as Chief Compliance Officer and Anti-Money Laundering Officer of the Fund and Charles Park became Chief Compliance Officer and Anti-Money Laundering Officer of the Fund.
| | | | | | |
| 82 | | BLACKROCK BALANCED CAPITAL FUND, INC. | | MARCH 31, 2014 | | |
Electronic Delivery
Electronic copies of most financial reports and prospectuses are available on the Fund’s website or shareholders can sign up for e-mail notifications of quarterly statements, annual and semi-annual reports and prospectuses by enrolling in the Fund’s electronic delivery program.
To enroll:
Shareholders Who Hold Accounts with Investment Advisors, Banks or Brokerages:
Please contact your financial advisor. Please note that not all investment advisors, banks or brokerages may offer this service.
Shareholders Who Hold Accounts Directly With BlackRock
| 1) | Access the BlackRock website at |
| | http://www.blackrock.com/edelivery |
| 2) | Select “eDelivery” under the “More Information” section |
Householding
The Fund will mail only one copy of shareholder documents, including prospectuses, annual and semi-annual reports and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called “householding” and 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 otherwise. If you do not want the mailing of these documents to be combined with those for other members of your household, please call the Fund at (800) 441-7762.
Availability of Quarterly Portfolio Schedule
The Fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Form N-Q is available on the SEC’s website at http://www.sec.gov and may also be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on how to access documents on the SEC’s website without charge may be obtained by calling (800) SEC-0330. The Fund’s Form N-Q may also be obtained upon request and without charge by calling (800) 441-7762.
Availability of Proxy Voting Policies and Procedures
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available (1) without charge, upon request, by calling (800) 441-7762; (2) at http://www.blackrock.com; and (3) on the SEC’s website at http://www.sec.gov.
Availability of Proxy Voting Record
Information about how the Fund voted proxies relating to securities held in the Fund’s portfolios during the most recent 12-month period ended June 30 is available upon request and without charge (1) at http://www.blackrock.com; or by calling (800) 441-7762 and (2) on the SEC’s website at http://www.sec.gov.
Account Information
Call us at (800) 441-7762 from 8:00 AM to 6:00 PM EST on any business day to get information about your account balances, recent transactions and share prices. You can also reach us on the Web at http://www.blackrock.com/funds.
Automatic Investment Plans
Investor Class shareholders who want to invest regularly can arrange to have $50 or more automatically deducted from their checking or savings account and invested in any of the BlackRock funds.
Systematic Withdrawal Plans
Investor Class shareholders can establish a systematic withdrawal plan and receive periodic payments of $50 or more from their BlackRock funds, as long as their account balance is at least $10,000.
Retirement Plans
Shareholders may make investments in conjunction with Traditional, Rollover, Roth, Coverdell, Simple IRAs, SEP IRAs and 403(b) Plans.
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| | | BLACKROCK BALANCED CAPITAL FUND, INC. | | MARCH 31, 2014 | | 83 |
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| Additional Information (concluded) | | |
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| BlackRock Privacy Principles |
BlackRock is committed to maintaining the privacy of its current and former fund investors and individual clients (collectively, “Clients”) and to safeguarding their non-public personal information. The following information 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 applications, forms or other documents; (ii) information about your transactions 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.
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| 84 | | BLACKROCK BALANCED CAPITAL FUND, INC. | | MARCH 31, 2014 | | |
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| A World-Class Mutual Fund Family | | |
BlackRock offers a diverse lineup of open-end mutual funds crossing all investment styles and managed by experts in equity, fixed income and tax-exempt investing.
BlackRock ACWI ex-US Index Fund
BlackRock All-Cap Energy & Resources Portfolio
BlackRock Basic Value Fund
BlackRock Capital Appreciation Fund
BlackRock Commodity Strategies Fund
BlackRock Disciplined Small Cap Core Fund
BlackRock Emerging Markets Fund
BlackRock Emerging Markets Dividend Fund
BlackRock Emerging Markets Long/Short
Equity Fund
BlackRock Energy & Resources Portfolio
BlackRock Equity Dividend Fund
BlackRock EuroFund
BlackRock Flexible Equity Fund
BlackRock Focus Growth Fund
BlackRock Global Dividend Portfolio
BlackRock Global Long/Short Equity Fund
BlackRock Global Opportunities Portfolio
BlackRock Global SmallCap Fund
BlackRock Health Sciences Opportunities Portfolio
BlackRock International Fund
BlackRock International Index Fund
BlackRock International Opportunities Portfolio
BlackRock Large Cap Core Fund
BlackRock Large Cap Core Plus Fund
BlackRock Large Cap Growth Fund
BlackRock Large Cap Value Fund
BlackRock Latin America Fund
BlackRock Long-Horizon Equity Fund
BlackRock Mid-Cap Growth Equity Portfolio
BlackRock Mid-Cap Value Opportunities Fund
BlackRock Natural Resources Trust
BlackRock Pacific Fund
BlackRock Real Estate Securities Fund
BlackRock Russell 1000® Index Fund
BlackRock Science & Technology
Opportunities Portfolio
BlackRock Small Cap Growth Equity Portfolio
BlackRock Small Cap Growth Fund II
BlackRock Small Cap Index Fund
BlackRock S&P 500 Stock Fund
BlackRock U.S. Opportunities Portfolio
BlackRock Value Opportunities Fund
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| Taxable Fixed Income Funds |
BlackRock Bond Index Fund
BlackRock Core Bond Portfolio
BlackRock CoreAlpha Bond Fund
BlackRock CoRI Funds
2015
2017
2019
2021
2023
BlackRock Emerging Markets Flexible Dynamic
Bond Portfolio
BlackRock Floating Rate Income Portfolio
BlackRock Global Long/Short Credit Fund
BlackRock GNMA Portfolio
BlackRock High Yield Bond Portfolio
BlackRock Inflation Protected Bond Portfolio
BlackRock Investment Grade Bond Portfolio
BlackRock Low Duration Bond Portfolio
BlackRock Secured Credit Portfolio
BlackRock Short Obligations Fund
BlackRock Short-Term Treasury Fund
BlackRock Strategic Income Opportunities Portfolio
BlackRock Total Return Fund
BlackRock U.S. Government Bond Portfolio
BlackRock U.S. Mortgage Portfolio
BlackRock Ultra-Short Obligations Fund
BlackRock World Income Fund
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| Municipal Fixed Income Funds |
BlackRock California Municipal Bond Fund
BlackRock High Yield Municipal Fund
BlackRock National Municipal Fund
BlackRock New Jersey Municipal Bond Fund
BlackRock New York Municipal Bond Fund
BlackRock Pennsylvania Municipal Bond Fund
BlackRock Short-Term Municipal Fund
BlackRock Strategic Municipal Opportunities Fund
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| BlackRock Balanced Capital Fund | | LifePath Active Portfolios | | LifePath Index Portfolios | | |
| BlackRock Emerging Market Allocation Portfolio | | 2015 | | | 2040 | | | | | Retirement | | 2040 | | |
| BlackRock Global Allocation Fund | | 2020 | | | 2045 | | | | | 2020 | | 2045 | | |
| BlackRock Managed Volatility Portfolio | | 2025 | | | 2050 | | | | | 2025 | | 2050 | | |
| BlackRock Multi-Asset Income Portfolio | | 2030 | | | 2055 | | | | | 2030 | | 2055 | | |
| BlackRock Multi-Asset Real Return Fund | | 2035 | | | | | | | | 2035 | | | | |
| BlackRock Strategic Risk Allocation Fund | | | | | | | | | | | | | | |
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| BlackRock Prepared Portfolios | | LifePath Portfolios | | | | | | | | | | | | |
Conservative Prepared Portfolio | | Retirement | | | 2040 | | | | | | | | | |
Moderate Prepared Portfolio | | 2020 | | | 2045 | | | | | | | | | |
Growth Prepared Portfolio | | 2025 | | | 2050 | | | | | | | | | |
Aggressive Growth Prepared Portfolio | | 2030 | | | 2055 | | | | | | | | | |
| | 2035 | | | | | | | | | | | | |
BlackRock mutual funds are currently distributed by BlackRock Investments, LLC. You should consider the investment objectives, risks, charges and expenses of the funds under consideration carefully before investing. Each fund’s prospectus contains this and other information and is available at www.blackrock.com or by calling (800) 441-7762 or from your financial advisor. The prospectus should be read carefully before investing.
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| | | BLACKROCK BALANCED CAPITAL FUND, INC. | | MARCH 31, 2014 | | 85 |
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 a Fund unless accompanied or preceded by that Fund’s current prospectus. Past performance results shown in this report should not be considered a representation of future performance. Investment returns and principal value of shares will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Statements and other information herein are as dated and are subject to change.
Investment in foreign securities involves special risks including fluctuating foreign exchange rates, foreign government regulations, differing degrees of liquidity and the possibility of substantial volatility due to adverse political, economic or other developments.
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BC-3/14-SAR | |  |
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| Item 2 – | | Code of Ethics – Not Applicable to this semi-annual report |
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| Item 3 – | | Audit Committee Financial Expert – Not Applicable to this semi-annual report |
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| Item 4 – | | Principal Accountant Fees and Services – Not Applicable to this semi-annual report |
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| Item 5 – | | Audit Committee of Listed Registrants – Not Applicable |
| |
| Item 6 – | | Investments |
| | (a) The registrants’ Schedules of Investments are 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 |
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| Item 8 – | | Portfolio Managers of Closed-End Management Investment Companies – Not Applicable |
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| Item 9 – | | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not Applicable |
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| Item 10 – | | Submission of Matters to a Vote of Security Holders – There have been no material changes to these procedures. |
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| Item 11 – | | Controls and Procedures |
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| | (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. |
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| | (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. |
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| Item 12 – | | Exhibits attached hereto |
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| | (a)(1) – Code of Ethics – Not Applicable to this semi-annual report |
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| | (a)(2) – Certifications – Attached hereto |
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| | (a)(3) – Not Applicable |
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| | (b) – Certifications – Attached hereto |
2
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, each registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
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BlackRock Balanced Capital Fund, Inc., Master Large Cap Core Portfolio of Master Large Cap Series LLC and Master Total Return Portfolio of Master Bond LLC |
| |
| By: | | /s/ John M. Perlowski |
| | John M. Perlowski |
| | Chief Executive Officer (principal executive officer) of |
| | BlackRock Balanced Capital Fund, Inc., Master Large Cap Core Portfolio of Master Large Cap Series LLC and Master Total Return Portfolio of Master Bond LLC |
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| Date: June 2, 2014 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of each registrant and in the capacities and on the dates indicated.
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| By: | | /s/ John M. Perlowski |
| | John M. Perlowski |
| | Chief Executive Officer (principal executive officer) of |
| | BlackRock Balanced Capital Fund, Inc., Master Large Cap Core Portfolio of Master Large Cap Series LLC and Master Total Return Portfolio of Master Bond LLC |
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| Date: June 2, 2014 |
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| By: | | /s/ Neal J. Andrews |
| | Neal J. Andrews |
| | Chief Financial Officer (principal financial officer) of |
| | BlackRock Balanced Capital Fund, Inc., Master Large Cap Core Portfolio of Master Large Cap Series LLC and Master Total Return Portfolio of Master Bond LLC |
|
| Date: June 2, 2014 |
3
