BlackRock Core Principal Protected Fund (the “Fund”) is a series of BlackRock Principal Protected Trust (“the Trust”) and 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 Delaware statutory trust. The Fund seeks to achieve its investment objective by investing all or a portion of its assets in Master Large Cap Core Portfolio (the “Portfolio”), which is a series of Master Large Cap Series LLC. The value of the Fund’s investment in the Portfolio reflects the Fund’s proportionate interest in the net assets of the Portfolio. The performance of the Fund is directly affected by the performance of the Portfolio. The percentage of the Portfolio owned by the Fund at September 30, 2009 was 0.2%. The financial statements of the Portfolio, including the Schedule of Investments, are included elsewhere in this report and should be read in conjunction with the Fund’s financial statements. The Fund’s financial statements are prepared in conformity with accounting principles generally accepted in the United States of America, which may require the use of management accruals and estimates. Actual results may differ from these estimates. During the period, the Fund changed its fiscal year end to September 30. The Fund offers multiple classes of shares. Shares of the Fund were offered during the initial offering period but will not be offered during the Guarantee Period from February 28, 2003 through February 28, 2010 (the “Guarantee Maturity Date”), except in connection with reinvestment of dividends and distributions. The Board of Trustees (the “Board”) has approved the liquidation of the Fund, which is anticipated to occur on or after the Guarantee Maturity Date. In connection with the liquidation, the Fund adopted the liquidation basis of accounting, which among other things, requires the Fund to record assets and liabilities at their net realizable value and to provide estimated costs of liquidating the Fund to the extent that they are reasonably determinable. Institutional Shares are sold without a sales charge and only to certain eligible investors. Investor A Shares are generally sold with a front-end sales charge. Investor B and Investor C Shares may be subject to a contingent deferred sales charge. All classes of shares have identical voting, dividend, liquidation and other rights and the same terms and conditions, except that Investor A, Investor B and Investor C Shares bear certain expenses related to the shareholder servicing of such shares, and Investor B and Investor C 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. 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).
The following is a summary of significant accounting policies followed by the Fund:
The Fund values its bond investments on the basis of last available bid prices or current market quotations provided by dealers or pricing services selected under the supervision of the Board. 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 based on valuation technology commonly employed in the market for such investments.
In the event that 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 is not available, the investment will be valued by a method approved by the Board as reflecting fair value (“Fair Value Assets”). When determining the price for Fair Value Assets, the investment advisor and/or sub-advisor seeks to determine the price that the Fund 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 investment advisor and/or sub-advisor deems relevant. The pricing of all Fair Value Assets is subsequently reported to the Board or a committee thereof.
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following table summarize the inputs used as of September 30, 2009 in determining the fair valuation of the Fund’s investments:
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Notes to Financial Statements (Liquidation Basis) (continued) | BlackRock Core Principal Protected Fund |
Dividends and Distributions to Shareholders: Dividends and distributions paid by the Fund are recorded on the ex-dividend dates.
Income Taxes: It is the Fund’s policy to comply with the requirements of the Internal Revenue Code 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 US federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Fund’s US federal tax return remains open for each of the three years ended October 31, 2008 and the period ended September 30, 2009. The statutes of limitations on the Fund’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.
Recent Accounting Standards: In June 2009, amended guidance was issued by the Financial Accounting Standards Board for transfers of financial assets. This guidance is intended to improve the relevance, representational faithfulness and comparability of the information that a reporting entity provides in its financial statements about a transfer of financial assets; the effects of a transfer on its financial position, financial performance, and cash flows; and a transferor’s continuing involvement, if any, in transferred financial assets. The amended guidance is effective for financial statements for fiscal years and interim periods beginning after November 15, 2009. Earlier application is prohibited. The recognition and measurement provisions of this guidance must be applied to transfers occurring on or after the effective date. Additionally, the enhanced disclosure provisions of the amended guidance should be applied to transfers that occurred both before and after the effective date of this guidance. The impact of this guidance on the Fund’s financial statements and disclosures, if any, is currently being assessed.
Other: Expenses directly related to the Fund or its classes are charged to that Fund or class. Other operating expenses shared by several funds are prorated among those funds on the basis of relative net assets or other appropriate methods. Other expenses of the Fund are allocated daily to each class based on its relative net assets.
2. Investment Advisory Agreement and Other Transactions with Affiliates:
The PNC Financial Services Group, Inc. (“PNC”) and Bank of America Corporation (“BAC”) are the largest stockholders of BlackRock, Inc. (“BlackRock”). BAC became a stockholder of BlackRock following its acquisition of Merrill Lynch & Co., Inc. (“Merrill Lynch”) on January 1, 2009. Prior to that date, both PNC and Merrill Lynch were considered affiliates of the Fund under the 1940 Act. Subsequent to the acquisition, PNC remains an affiliate, but due to the restructuring of Merrill Lynch’s ownership interest of BlackRock, BAC is not deemed to be an affiliate under the 1940 Act.
The Trust, on behalf of the Fund, has entered into an Investment Advisory Agreement with BlackRock Advisors, LLC (the “Manager”), the Fund’s investment advisor, an indirect, wholly owned subsidiary of BlackRock, to provide investment advisory and administrative 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 operation of the Fund. For such services, the Fund pays a monthly fee at an annual rate of 0.75% of the Fund’s average daily net assets.
The Manager has contractually agreed to waive its advisory fee by the amount of investment advisory fees the Fund pays the Manager indirectly through its investment in the Portfolio. This amount is shown as fees waived by advisor in the Statements of Operations. In addition, the Manager has entered into a contractual arrangement with the Fund under which the expenses incurred by each class of shares of the Fund (excluding distribution and/or service fees) will not exceed 1.99% (for Institutional Shares), 2.24% (for Investor A Shares) and 2.99% (for Investor B and Investor C Shares) of average daily net assets. This arrangement has a one-year term and is renewable.
The following amounts are shown as fees waived by advisor — class specific in the Statements of Operations:
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Institutional | | $ | 780 | |
Investor A | | $ | 3,045 | |
Investor B | | $ | 9,411 | |
Investor C | | $ | 8,639 | |
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The Manager has entered into a separate sub-advisory agreement with BlackRock Investment Management, LLC (“BIM”), an affiliate of the Manager, under which the Manager pays BIM for services it provides, a monthly fee at an annual rate that is a percentage of the investment advisory fee paid by the Fund to the Manager.
For the period November 1, 2008 to September 30, 2009 and the year ended October 31, 2008, the Fund reimbursed the Manager $1,060 and $1,995, respectively, for certain accounting services, which is included in accounting services in the Statements of Operations.
The Fund has entered into a separate Distribution Agreement and Distribution Plan with BlackRock Investments, LLC (“BRIL”), which is an affiliate of BlackRock.
Pursuant to the Distribution Plans adopted by the Fund 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 as follows:
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Fee | | Distribution
Fee | |
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Investor A | | 0.25% | | — | | |
Investor B | | 0.25% | | 0.75 | % | |
Investor C | | 0.25% | | 0.75 | % | |
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Pursuant to sub-agreements with BRIL, broker-dealers, including Merrill Lynch, Pierce, Fenner & Smith Incorporated, a wholly owned subsidiary of Merrill Lynch, 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 and Investor C shareholders.
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| BLACKROCK CORE PRINCIPAL PROTECTED FUND | SEPTEMBER 30, 2009 | 15 |
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Notes to Financial Statements (Liquidation Basis) (continued) | BlackRock Core Principal Protected Fund |
Affiliates, including Merrill Lynch, from November 1, 2008 to December 31, 2008 (after which time Merrill Lynch was no longer considered an affiliate), for the period November 1, 2008 to September 30, 2009 and the year ended October 31, 2008, received contingent deferred sales charges relating to transactions in Investor B and Investor C Shares as follows:
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| | Period
November 1, 2008 to
September 30, 2009 | | Year Ended
October 31, 2008 | |
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Investor B | | | $ | 16,054 | | | | $ | 126,629 | | |
Investor C | | | $ | 452 | | | | $ | 2,016 | | |
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The Trust, on behalf of the Fund, and the Manager have entered into a Financial Guarantee Agreement with AMBAC Assurance Corporation (“AMBAC”). The Financial Guarantee Agreement is intended to make sure that on the Guaranteed Maturity Date, each shareholder of the Fund will be entitled to redeem his or her shares for an amount no less than the initial value of that shareholder’s account (less expenses and sales charges not covered by the Financial Guarantee Agreement), provided that all dividends and distributions received from the Fund have been reinvested and no shares have been redeemed (the “Guaranteed Amount”). The Fund will pay to AMBAC, under the Financial Guarantee Agreement, an annual fee equal to 0.625% of the Fund’s average daily net assets during the Guarantee Period. If the value of the Fund’s assets on the Guaranteed Maturity Date is insufficient to result in the value of each shareholder’s account being at least equal to the shareholder’s Guaranteed Amount, AMBAC will pay the Fund an amount sufficient to make sure that each shareholder’s account can be redeemed for an amount equal to each shareholder’s Guaranteed Amount.
PNC Global Investment Servicing (U.S.) Inc. an indirect, wholly owned subsidiary of PNC and an affiliate of the Manager, serves as transfer agent and dividend disbursing agent. Each class of the Fund bears the costs of transfer agent fees associated with such respective classes. Transfer agency fees borne by each class of the Fund are comprised of those fees charged for all shareholder communications including mailing of shareholder reports, dividend and distribution notices, and proxy materials for shareholder meetings, as well as per account and per transaction fees related to servicing and maintenance of shareholder accounts, including the issuing, redeeming and transferring of shares of each class of the Fund, 12b-1 fee calculation, check writing, anti-money laundering services, and customer identification services.
Pursuant to written agreements, certain affiliates, including Merrill Lynch, from November 1, 2008 to December 31, 2008 (after which time Merrill Lynch was no longer considered an affiliate) provide the Fund with sub-accounting, recordkeeping, sub-transfer agency and other administrative services with respect to sub-accounts they service. For these services, these affiliates receive an annual fee per shareholder account which will vary depending on share class. For the period November 1, 2008 to September 30, 2009, and the year ended October 31, 2008, the Fund paid $17,045 and $81,042, respectively, in return for these services, which is included in transfer agent in the Statements of Operations.
The Fund may earn income on positive cash balances in demand deposit accounts that are maintained by the transfer agent on behalf of the Fund. For the period November 1, 2008 to September 30, 2009 and the year ended October 31, 2008, the Fund earned $11 and $866, respectively, which is included in income — affiliated in the Statements of Operations.
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. During the period November 1, 2008 to September 30, 2009 and the year ended October 31, 2008, the following amounts have been accrued by the Fund to reimburse the Manager for costs incurred running the call center, which are included in transfer agent in the Statements of Operations.
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| | Period
November 1, 2008 to
September 30, 2009 | | Year Ended
October 31, 2008 | |
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Institutional | | | $ | 36 | | | | $ | 47 | | |
Investor A | | | $ | 283 | | | | $ | 163 | | |
Investor B | | | $ | 618 | | | | $ | 1,260 | | |
Investor C | | | $ | 448 | | | | $ | 805 | | |
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Certain officers and/or trustees of the Trust are officers and/or directors of BlackRock or its affiliates. The Fund reimburses the Manager for compensation paid to the Trust’s Chief Compliance Officer.
3. Investments:
Purchases and sales of US Government securities, excluding short-term securities, for the period November 1, 2008 to September 30, 2009 were $16,434,674 and $29,496,391, respectively.
4. Income Tax Information:
Reclassifications: Accounting principles generally accepted in the United States of America require that certain components of net assets be adjusted to reflect permanent differences between financial and tax reporting. This reclassification has no effect on net assets or net asset values per share. The following permanent difference as of September 30, 2009 attributable to net operating losses was reclassified to the following accounts:
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Paid-in capital | | $ | (395,659 | ) |
Undistributed net investment income | | $ | 395,659 | |
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As of September 30, 2009, the tax components of accumulated net losses were as follows:
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Capital loss carryforwards | | $ | (13,490,058 | ) |
Net unrealized gains* | | | 244,793 | |
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Total accumulated net losses | | $ | (13,245,265 | ) |
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| * | The differences between book-basis and tax-basis net unrealized gains were attributable primarily to the timing and recognition of partnership income. |
As of September 30, 2009, the Fund had capital loss carryforwards available to offset future realized capital gains through the expiration dates:
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Expires September 30, | | | | |
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2016 | | $ | 811,288 | |
2017 | | | 12,678,770 | |
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Total | | $ | 13,490,058 | |
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16 | BLACKROCK CORE PRINCIPAL PROTECTED FUND | SEPTEMBER 30, 2009 |
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Notes to Financial Statements (Liquidation Basis) (concluded) | BlackRock Core Principal Protected Fund |
5. Capital Share Transactions:
Transactions in capital shares for each class were as follows:
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| | Period November 1, 2008 to
September 30, 2009 | | Year Ended
October 31, 2008 | | Year Ended
October 31, 2007 | |
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| | Shares | | Amount | | Shares | | Amount | | Shares | | Amount | |
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Institutional | | | | | | | | | | | | | | | | | | | |
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Shares sold | | | 508 | | $ | 3,488 | | | — | | | — | | | — | | | — | |
Shares issued to shareholders in reinvestment of distributions | | | — | | | — | | | 20,910 | | $ | 212,860 | | | 13,375 | | $ | 158,359 | |
Shares redeemed | | | (56,609 | ) | | (384,251 | ) | | (117,030 | ) | | (1,109,444 | ) | | (138,956 | ) | | (1,716,843 | ) |
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Net decrease | | | (56,101 | ) | $ | (380,763 | ) | | (96,120 | ) | $ | (896,584 | ) | | (125,581 | ) | $ | (1,558,484 | ) |
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Investor A | | | | | | | | | | | | | | | | | | | |
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Shares sold and automatic conversion of shares | | | 335,018 | | $ | 2,232,247 | | | — | | | — | | | 306 | | $ | 9,670 | |
Shares issued to shareholders in reinvestment of distributions | | | — | | | — | | | 178,006 | | $ | 1,808,544 | | | 102,594 | | | 1,212,660 | |
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Total issued | | | 335,018 | | | 2,232,247 | | | 178,006 | | | 1,808,544 | | | 102,900 | | | 1,222,330 | |
Shares redeemed | | | (249,104 | ) | | (1,677,735 | ) | | (252,837 | ) | | (2,297,515 | ) | | (440,665 | ) | | (5,456,895 | ) |
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Net increase (decrease) | | | 85,914 | | $ | 554,512 | | | (74,831 | ) | $ | (488,971 | ) | | (337,765 | ) | $ | (4,234,565 | ) |
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Investor B | | | | | | | | | | | | | | | | | | | |
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Shares issued to shareholders in reinvestment of distributions | | | — | | | — | | | 1,300,489 | | $ | 13,017,897 | | | 705,931 | | $ | 8,231,154 | |
Shares redeemed and automatic conversion of shares | | | (2,115,709 | ) | $ | (13,847,201 | ) | | (2,450,664 | ) | | (21,394,387 | ) | | (1,853,518 | ) | | (22,564,691 | ) |
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Net decrease | | | (2,115,709 | ) | $ | (13,847,201 | ) | | (1,150,175 | ) | $ | (8,376,490 | ) | | (1,147,587 | ) | $ | (14,333,537 | ) |
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Investor C | | | | | | | | | | | | | | | | | | | |
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Shares issued to shareholders in reinvestment of distributions | | | — | | | — | | | 884,625 | | $ | 8,872,616 | | | 458,599 | | $ | 5,361,026 | |
Shares redeemed | | | (933,071 | ) | $ | (6,141,878 | ) | | (1,745,734 | ) | | (15,367,007 | ) | | (993,765 | ) | | (12,168,344 | ) |
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Net decrease | | | (933,071 | ) | $ | (6,141,878 | ) | | (861,109 | ) | $ | (6,494,391 | ) | | (535,166 | ) | $ | (6,807,318 | ) |
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6. Subsequent Events:
Management has evaluated the impact of all subsequent events on the Fund through November 25, 2009, the date the financial statements were issued, and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.
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BLACKROCK CORE PRINCIPAL PROTECTED FUND | SEPTEMBER 30, 2009 | 17 |
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Report of Independent Registered Public Accounting Firm | BlackRock Core Principal Protected Fund |
To the Investors and Board of Trustees of BlackRock Principal Protected Trust:
We have audited the accompanying statements of assets and liabilities (in liquidation) of BlackRock Core Principal Protected Fund (the “Fund”), one of the series constituting BlackRock Principal Protected Trust (the “Trust”) as of September 30, 2009, and the related statements of operations for the period November 1, 2008 to September 30, 2009 (in liquidation) and for the year ended October 31, 2008, the statements of changes in net assets for the period November 1, 2008 to September 30, 2009 (in liquidation) and for each of the two years in the period ended October 31, 2008, and the financial highlights for the period November 1, 2008 to September 30, 2009 (in liquidation) and for each of the five years in the period ended October 31, 2008. These financial statements and financial highlights are the responsibility of the Trust’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Trust is not required to have, nor were we engaged to perform an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
As discussed in Note 1 of the financial statements, on September 9, 2009, the Board of Trustees approved a proposal to liquidate the Fund on or about February 28, 2010. As a result, the Fund changed its basis of accounting from the going concern basis to the liquidation basis.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position (in liquidation) of BlackRock Core Principal Protected Fund of BlackRock Principal Protected Trust as of September 30, 2009, the results of its operations for the period November 1, 2008 to September 30, 2009 (in liquidation) and for the year ended October 31, 2008, the changes in its net assets for the period November 1, 2008 to September 30, 2009 (in liquidation) and for each of the two years in the period ended October 31, 2008, and the financial highlights for the period November 1, 2008 to September 30, 2009 (in liquidation) and for each of the five years in the period ended October 31, 2008, in conformity with accounting principles generally accepted in the United States of America.
Deloitte & ToucheLLP
Princeton, New Jersey
November 25, 2009
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18 | BLACKROCK CORE PRINCIPAL PROTECTED FUND | SEPTEMBER 30, 2009 |
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Officers and Trustees of the Trust |
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Name, Address
and Year of Birth | | Position(s)
Held with
Trust | | Length
of Time
Served as
a Trustee2 | | Principal Occupation(s) During Past Five Years | | Number of BlackRock-
Advised Registered
Investment Companies
(“RICs”) Consisting of
Investment Portfolios
(“Portfolios”) Overseen | | Public
Directorships |
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Non-Interested Trustees1 | | | | | | | |
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Robert M. Hernandez
40 East 52nd Street
New York, NY 10022
1944 | | Chairman of the Board, Trustee and Member of the Audit Committee | | Since 2007 | | Director, Vice Chairman and Chief Financial Officer of USX Corporation (energy and steel business) from 1991 to 2001. | | 35 RICs consisting of
101 Portfolios | | ACE Limited (insurance company); Eastman Chemical Company (chemical); RTI International Metals, Inc. (metals); TYCO Electronics (electronics) |
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Fred G. Weiss
40 East 52nd Street
New York, NY 10022
1941 | | Vice Chairman of the Board, Chairman of the Audit Committee and Trustee | | Since 2007 | | Managing Director, FGW Associates (consulting and investment company) since 1997; Director, Michael J. Fox Foundation for Parkinson’s Research since 2000; Director, BTG International Plc (a global technology commercialization company) from 2001 to 2007. | | 35 RICs consisting of
101 Portfolios | | Watson Pharmaceutical Inc. |
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James H. Bodurtha
40 East 52nd Street
New York, NY 10022
1944 | | Trustee | | Since 2007 | | Director, The China Business Group, Inc. (consulting firm) since 1996 and Executive Vice President thereof from 1996 to 2003; Chairman of the Board, Berkshire Holding Corporation since 1980. | | 35 RICs consisting of
101 Portfolios | | None |
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Bruce R. Bond
40 East 52nd Street
New York, NY 10022
1946 | | Trustee | | Since 2007 | | Trustee and member of the Governance Committee, State Street Research Mutual Funds from 1997 to 2005; Board Member of Governance, Audit and Finance Committee, Avaya Inc. (computer equipment) from 2003 to 2007. | | 35 RICs consisting of
101 Portfolios | | None |
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Donald W. Burton
40 East 52nd Street
New York, NY 10022
1944 | | Trustee | | Since 2007 | | Managing General Partner, The Burton Partnership, LP (an investment partnership) since 1979; Managing General Partner, The South Atlantic Venture Funds since 1983; Member of the Investment Advisory Council of the Florida State Board of Administration from 2001 to 2007. | | 35 RICs consisting of
101 Portfolios | | Knology, Inc. (telecommunications); Capital Southwest (financial) |
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Honorable
Stuart E. Eizenstat
40 East 52nd Street
New York, NY 10022
1943 | | Trustee | | Since 2007 | | Partner and Head of International Practice, Covington and Burling (law firm) since 2001; International Advisory Board Member, The Coca-Cola Company since 2002; Advisory Board Member, BT Americas (telecommunications) since 2004; Member of the Board of Directors, Chicago Climate Exchange (environmental) since 2006; Member of the International Advisory Board, GML (energy) since 2003. | | 35 RICs consisting of
101 Portfolios | | Alcatel-Lucent (telecommunications); Global Specialty Metallurgical (metallurgical industry); UPS Corporation (delivery service) |
|
|
|
|
|
|
|
|
|
|
|
Kenneth A. Froot
40 East 52nd Street
New York, NY 10022
1957 | | Trustee | | Since 2007 | | Professor, Harvard University since 1992. | | 35 RICs consisting of
101 Portfolios | | None |
|
|
|
|
|
|
|
|
|
|
|
John F. O’Brien
40 East 52nd Street
New York, NY 10022
1943 | | Trustee | | Since 2007 | | Trustee, Woods Hole Oceanographic Institute since 2003; Director, Allmerica Financial Corporation from 1995 to 2003; Director, ABIOMED from 1989 to 2006; Director, Ameresco, Inc. (energy solutions company) from 2006 to 2007. | | 35 RICs consisting of
101 Portfolios | | Cabot Corporation (chemicals); LKQ Corporation (auto parts manufacturing); TJX Companies, Inc. (retailer) |
|
|
|
|
|
|
|
|
|
|
|
Roberta Cooper Ramo
40 East 52nd Street
New York, NY 10022
1942 | | Trustee | | Since 2007 | | Shareholder, Modrall, Sperling, Roehl, Harris & Sisk, P.A. (law firm) since 1993; Chairman of the Board, Cooper’s Inc. (retail) since 2000; Director of ECMC Group (service provider to students, schools and lenders) since 2001; President, The American Law Institute (non-profit) since 2008; President, American Bar Association from 1995 to 1996. | | 35 RICs consisting of
101 Portfolios | | None |
|
|
|
|
|
|
|
|
|
|
|
| | |
|
|
|
BLACKROCK CORE PRINCIPAL PROTECTED FUND | SEPTEMBER 30, 2009 | 19 |
|
|
|
Officers and Trustees of the Trust (continued) |
| | | | | | | | | | |
Name, Address
and Year of Birth | | Position(s)
Held with
Trust | | Length
of Time
Served as
a Trustee2 | | Principal Occupation(s) During Past Five Years | | Number of BlackRock-
Advised Registered
Investment Companies
(“RICs”) Consisting of
Investment Portfolios
(“Portfolios”) Overseen | | Public
Directorships |
|
|
|
|
|
|
|
|
|
|
|
Non-Interested Trustees1 (concluded) | | | | |
|
|
|
|
|
David H. Walsh
40 East 52nd Street
New York, NY 10022
1941 | | Trustee | | Since 2007 | | Director, National Museum of Wildlife Art since 2007; Director, Ruckleshaus Institute and Haub School of Natural Resources at the University of Wyoming from 2006 to 2008; Trustee, University of Wyoming Foundation since 2008; Director, The American Museum of Fly Fishing since 1997; Director, The National Audubon Society from 1998 to 2005. | | 35 RICs consisting of
101 Portfolios | | None |
|
|
|
|
|
|
|
|
|
|
|
Richard R. West
40 East 52nd Street
New York, NY 10022
1938 | | Trustee and Member of the Audit Committee | | Since 2007 | | Dean Emeritus, New York University’s Leonard N. Stern School of Business Administration since 1995. | | 35 RICs consisting of
101 Portfolios | | Bowne & Co., Inc. (financial printers); Vornado Realty Trust (real estate company); Alexander’s Inc. (real estate company) |
| | |
|
|
|
| 1 | Trustees serve until their resignation, removal or death, or until December 31 of the year in which they turn 72. |
| | |
| 2 | Date shown is the earliest date a person has served as a Trustee for the Trust covered by this annual report. Following the combination of Merrill Lynch Investment Managers, L.P. (“MLIM”) and BlackRock, Inc. (“BlackRock”) in September 2006, the various legacy MLIM and legacy BlackRock Fund boards were realigned and consolidated into three new Fund boards in 2007. As a result, although the chart shows trustees as joining the Trust’s board in 2007, each trustee first became a member of the board of other legacy MLIM or legacy BlackRock Funds as follows: James H. Bodurtha since 1995; Bruce R. Bond since 2005; Donald W. Burton since 2002; Stuart E. Eizenstat since 2001; Kenneth A. Froot since 2005; Robert M. Hernandez since 1996; John F. O’Brien since 2004; Roberta Cooper Ramo since 2000; David H. Walsh since 2003; Fred G. Weiss since 1998; and Richard R. West since 1978. |
| | | | | | | | | | |
|
|
|
|
|
|
Interested Trustees3 | | | | | |
|
|
|
|
|
|
Richard S. Davis
40 East 52nd Street
New York, NY 10022
1945 | | Trustee | | Since 2007 | | Managing Director, BlackRock, Inc. since 2005; Chief Executive Officer, State Street Research & Management Company from 2000 to 2005; Chairman of the Board of Trustees, State Street Research Mutual Funds from 2000 to 2005; Chairman, SSR Realty from 2000 to 2004. | | 172 RICs consisting of
283 Portfolios | | None |
|
|
|
|
|
|
|
|
|
|
|
Laurence D. Fink
40 East 52nd Street
New York, NY 10022
1952 | | Trustee | | Since 2007 | | Chairman and Chief Executive Officer of BlackRock, Inc. since its formation in 1998 and of BlackRock, Inc.’s predecessor entities since 1988 and Chairman of the Executive and Management Committees; Formerly Managing Director, The First Boston Corporation, Member of its Management Committee, Co-Head of its Taxable Fixed Income Division and Head of its Mortgage and Real Estate Products Group; Chairman of the Board of several of BlackRock’s alternative investment vehicles; Director of several of BlackRock’s offshore funds; Member of the Board of Trustees of New York University, Chair of the Financial Affairs Committee and a member of the Executive Committee, the Ad Hoc Committee on Board Governance, and the Committee on Trustees; Co-Chairman of the NYU Hospitals Center Board of Trustees, Chairman of the Development/ Trustee Stewardship Committee and Chairman of the Finance Committee; Trustee, The Boys’ Club of New York. | | 35 RICs consisting of
101 Portfolios | | None |
|
|
|
|
|
|
|
|
|
|
|
Henry Gabbay
40 East 52nd Street
New York, NY 10022
1947 | | Trustee | | Since 2007 | | Consultant, BlackRock, Inc. from 2007 to 2008; Managing Director, BlackRock, Inc. from 1989 to 2007; Chief Administrative Officer, BlackRock Advisors, LLC from 1998 to 2007; President of BlackRock Funds and BlackRock Bond Allocation Target Shares from 2005 to 2007 and Treasurer of certain closed-end funds in the BlackRock fund complex from 1989 to 2006. | | 172 RICs consisting of
283 Portfolios | | None |
| | |
|
|
|
| 3 | Messrs. Davis and Fink are both “interested persons,” as defined in the Investment Company Act of 1940, of the Trust based on their positions with BlackRock, Inc. and its affiliates. Mr. Gabbay is an “interested person” of the Trust based on his former positions with BlackRock, Inc. and its affiliates as well as his ownership of BlackRock, Inc. and PNC securities. Trustees serve until their resignation, removal or death, or until December 31 of the year in which they turn 72. |
| | |
|
|
|
20 | BLACKROCK CORE PRINCIPAL PROTECTED FUND | SEPTEMBER 30, 2009 |
|
|
|
Officers and Trustees of the Trust (continued) |
| | | | | | |
Name, Address
and Year of Birth | | Position(s)
Held with
Trust | | Length
of Time
Served | | Principal Occupation(s) During Past Five Years |
|
|
|
|
|
|
|
Trust Officers1 | | | |
|
|
|
|
Anne F. Ackerley
40 East 52nd Street
New York, NY 10022
1962 | | President and Chief Executive Officer | | Since 2009 | | Managing Director of BlackRock, Inc. since 2000; Vice President of the BlackRock-advised Funds from 2007 to 2009; Chief Operating Officer of BlackRock’s Global Client Group (GCG) since 2009; Chief Operating Officer of BlackRock’s U.S. Retail Group from 2006 to 2009; Head of BlackRock’s Mutual Fund Group from 2000 to 2006. |
|
|
|
|
|
|
|
Jeffrey Holland, CFA
40 East 52nd Street
New York, NY 10022
1971 | | Vice President | | Since 2009 | | Director of BlackRock, Inc. since 2006; Chief Operating Officer of BlackRock’s U.S. Retail Group since 2009; Co-head of Product Development and Management for BlackRock’s U.S. Retail Group from 2007 to 2009; Product Manager of Raymond James & Associates from 2003 to 2006. |
|
|
|
|
|
|
|
Brendan Kyne
40 East 52nd Street
New York, NY 10022
1977 | | Vice President | | Since 2009 | | Director of BlackRock, Inc. since 2008; Head of Product Development and Management for BlackRock’s U.S. Retail Group since 2009, co-head thereof from 2007 to 2009; Vice President of BlackRock, Inc. from 2005 to 2008; Associate of BlackRock, Inc. from 2002 to 2004. |
|
|
|
|
|
|
|
Brian Schmidt
40 East 52nd Street
New York, NY 10022
1958 | | Vice President | | Since 2009 | | Managing Director of BlackRock, Inc. since 2004; Various positions with U.S. Trust Company from 1991 to 2003 including Director from 2001 to 2003 and Senior Vice President from 1998 to 2003; Vice President, Chief Financial Officer and Treasurer of Excelsior Funds, Inc., Excelsior Tax-Exempt Funds, Inc. and Excelsior Funds Trust from 2001 to 2003. |
|
|
|
|
|
|
|
Neal J. Andrews
40 East 52nd Street
New York, NY 10022
1966 | | Chief Financial Officer | | Since 2007 | | Managing Director of BlackRock, Inc. since 2006; Senior Vice President and Line of Business Head of Fund Accounting and Administration at PNC Global Investment Servicing (U.S.) Inc. from 1992 to 2006. |
|
|
|
|
|
|
|
Jay M. Fife
40 East 52nd Street
New York, NY 10022
1970 | | Treasurer | | Since 2007 | | Managing Director of BlackRock, Inc. since 2007 and Director in 2006; Assistant Treasurer of the Merrill Lynch Investment Managers, L.P. (“MLIM”) and Fund Asset Management, L.P. advised Funds from 2005 to 2006; Director of MLIM Fund Services Group from 2001 to 2006. |
|
|
|
|
|
|
|
| | |
|
|
|
BLACKROCK CORE PRINCIPAL PROTECTED FUND | SEPTEMBER 30, 2009 | 21 |
|
|
|
Officers and Trustees of the Trust (concluded) |
| | | | | | |
Name, Address
and Year of Birth | | Position(s)
Held with
Trust | | Length
of Time
Served | | Principal Occupation(s) During Past Five Years |
|
|
|
|
|
|
|
Trust Officers1 (concluded) |
|
Brian P. Kindelan
40 East 52nd Street
New York, NY 10022
1959 | | Chief Compliance Officer | | Since 2007 | | Chief Compliance Officer of the BlackRock-advised Funds since 2007; Managing Director and Senior Counsel of BlackRock, Inc. since 2005; Director and Senior Counsel of BlackRock Advisors, LLC from 2001 to 2004. |
|
|
|
|
|
|
|
Howard B. Surloff
40 East 52nd Street
New York, NY 10022
1965 | | Secretary | | Since 2007 | | Managing Director and General Counsel of U.S. Funds at BlackRock, Inc. since 2006; General Counsel (U.S.) of Goldman Sachs Asset Management, L.P. from 1993 to 2006. |
| | |
|
|
| 1 | Officers of the Trust serve at the pleasure of the Board. |
|
|
| Further information about the Trust’s Officers and Trustees is available in the Trust’s Statement of Additional Information, which can be obtained without charge by calling (800) 441-7762. |
|
|
Investment Advisor
BlackRock Advisors, LLC
Wilmington, DE 19809
Sub-Advisor
BlackRock Investment Management, LLC
Plainsboro, NJ 08536
Custodian
Brown Brothers Harriman & Co.
Boston, MA 02109
Transfer Agent
PNC Global Investment Servicing (U.S.) Inc.
Wilmington, DE 19809
Accounting Agent
State Street Bank and Trust Company
Princeton, NJ 08540
Distributor
BlackRock Investments, LLC
New York, NY 10022
Legal Counsel
Willkie Farr & GallagherLLP
New York, NY 10019
Independent Registered Public Accounting Firm
Deloitte & ToucheLLP
Princeton, NJ 08540
Address of the Fund
100 Bellevue Parkway
Wilmington, DE 19809
|
|
|
Effective July 31, 2009, Donald C. Burke, President and Chief Executive Officer of the Trust, retired. The Trust’s Board wishes Mr. Burke well in his retirement. |
|
Effective August 1, 2009, Anne F. Ackerley became President and Chief Executive Officer of the Trust, and Jeffrey Holland and Brian Schmidt became Vice Presidents of the Trust. |
|
Effective August 1, 2009, Jean Margo Reid resigned as Director of the Trust. The Board wishes Ms. Reid well in her future endeavors. |
|
Effective September 9, 2009, Brendan Kyne became a Vice President of the Trust. |
|
|
|
|
|
If you would like a copy, free of charge, of the most recent annual or quarterly report of AMBAC Assurance Corporation, the Guarantor: please contact the Fund at (800) 441-7762. |
|
|
| | |
|
|
|
22 | BLACKROCK CORE PRINCIPAL PROTECTED FUND | SEPTEMBER 30, 2009 |
| |
|
| |
Portfolio Summary | Master Large Cap Core Portfolio |
| |
|
As of September 30, 2009 |
|
| | | | |
Sector Allocation | | Percent of
Long-Term Investments | |
|
|
|
|
|
Health Care | | 22 | % | |
Energy | | 19 | | |
Industrials | | 13 | | |
Information Technology | | 11 | | |
Consumer Discretionary | | 8 | | |
Consumer Staples | | 8 | | |
Financials | | 6 | | |
Materials | | 5 | | |
Utilities | | 4 | | |
Telecommunication Services | | 4 | | |
|
|
|
|
|
| |
| For Portfolio compliance purposes, 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. This definition may not apply for purposes of this report, which may combine sector sub-classifications for reporting ease. |
| | | | |
Ten Largest Holdings | | Percent of
Long-Term Investments | |
|
|
|
|
|
Exxon Mobil Corp. | | 2 | % | |
Johnson & Johnson | | 2 | | |
Philip Morris International, Inc. | | 2 | | |
Apple, Inc. | | 2 | | |
Verizon Communications, Inc. | | 2 | | |
Amgen, Inc. | | 2 | | |
Wyeth | | 2 | | |
Schering-Plough Corp. | | 1 | | |
Amazon.com, Inc. | | 1 | | |
Anadarko Petroleum Corp. | | 1 | | |
|
|
|
|
|
| | |
|
|
|
BLACKROCK CORE PRINCIPAL PROTECTED FUND | SEPTEMBER 30, 2009 | 23 |
| |
|
| |
Schedule of Investments September 30, 2009 | Master Large Cap Core Portfolio |
| (Percentages shown are based on Net Assets) |
| | | | | | | |
Common Stocks | | Shares | | Value | |
|
|
|
|
|
|
|
|
Consumer Discretionary — 8.2% | | | | | | | |
Household Durables — 1.0% | | | | | | | |
Garmin Ltd. (a) | | | 1,090,000 | | $ | 41,136,600 | |
|
|
|
|
|
|
|
|
Internet & Catalog Retail — 1.3% | | | | | | | |
Amazon.com, Inc. (b) | | | 547,000 | | | 51,067,920 | |
|
|
|
|
|
|
|
|
Specialty Retail — 5.9% | | | | | | | |
Advance Auto Parts, Inc. | | | 360,000 | | | 14,140,800 | |
The Gap, Inc. | | | 1,930,000 | | | 41,302,000 | |
Limited Brands, Inc. | | | 2,250,000 | | | 38,227,500 | |
PetSmart, Inc. (a) | | | 650,000 | | | 14,137,500 | |
RadioShack Corp. | | | 2,270,000 | | | 37,613,900 | |
Ross Stores, Inc. | | | 920,000 | | | 43,948,400 | |
TJX Cos., Inc. | | | 1,160,000 | | | 43,094,000 | |
| | | | |
|
|
|
| | | | | | 232,464,100 | |
|
|
|
|
|
|
|
|
Total Consumer Discretionary | | | | | | 324,668,620 | |
|
|
|
|
|
|
|
|
Consumer Staples — 8.2% | | | | | | | |
Beverages — 1.2% | | | | | | | |
The Coca-Cola Co. | | | 140,000 | | | 7,518,000 | |
Coca-Cola Enterprises, Inc. | | | 1,970,000 | | | 42,177,700 | |
| | | | |
|
|
|
| | | | | | 49,695,700 | |
|
|
|
|
|
|
|
|
Food & Staples Retailing — 0.1% | | | | | | | |
Wal-Mart Stores, Inc. | | | 60,000 | | | 2,945,400 | |
|
|
|
|
|
|
|
|
Food Products — 1.3% | | | | | | | |
Archer-Daniels-Midland Co. | | | 1,530,000 | | | 44,706,600 | |
Sara Lee Corp. | | | 620,000 | | | 6,906,800 | |
| | | | |
|
|
|
| | | | | | 51,613,400 | |
|
|
|
|
|
|
|
|
Household Products — 0.6% | | | | | | | |
The Procter & Gamble Co. | | | 420,000 | | | 24,326,400 | |
|
|
|
|
|
|
|
|
Personal Products — 0.9% | | | | | | | |
Herbalife Ltd. | | | 1,060,000 | | | 34,704,400 | |
|
|
|
|
|
|
|
|
Tobacco — 4.1% | | | | | | | |
Lorillard, Inc. | | | 610,000 | | | 45,323,000 | |
Philip Morris International, Inc. (a) | | | 1,520,000 | | | 74,084,800 | |
Reynolds American, Inc. | | | 930,000 | | | 41,403,600 | |
| | | | |
|
|
|
| | | | | | 160,811,400 | |
|
|
|
|
|
|
|
|
Total Consumer Staples | | | | | | 324,096,700 | |
|
|
|
|
|
|
|
|
Energy — 19.3% | | | | | | | |
Energy Equipment & Services — 10.0% | | | | | | | |
Diamond Offshore Drilling, Inc. (a) | | | 420,000 | | | 40,118,400 | |
Dresser-Rand Group, Inc. (b) | | | 520,000 | | | 16,156,400 | |
ENSCO International, Inc. | | | 1,050,000 | | | 44,667,000 | |
FMC Technologies, Inc. (b) | | | 380,000 | | | 19,851,200 | |
Helix Energy Solutions Group, Inc. (b) | | | 540,000 | | | 8,089,200 | |
Nabors Industries Ltd. (b) | | | 2,130,000 | | | 44,517,000 | |
National Oilwell Varco, Inc. (b) | | | 1,090,000 | | | 47,011,700 | |
Oceaneering International, Inc. (b) | | | 350,000 | | | 19,862,500 | |
Patterson-UTI Energy, Inc. | | | 2,760,000 | | | 41,676,000 | |
Pride International, Inc. (b) | | | 1,300,000 | | | 39,572,000 | |
Rowan Cos., Inc. | | | 1,780,000 | | | 41,064,600 | |
Tidewater, Inc. | | | 730,000 | | | 34,375,700 | |
| | | | |
|
|
|
| | | | | | 396,961,700 | |
|
|
|
|
|
|
|
|
Oil, Gas & Consumable Fuels — 9.3% | | | | | | | |
Alpha Natural Resources, Inc. (b) | | | 500,000 | | | 17,550,000 | |
Anadarko Petroleum Corp. | | | 800,000 | | | 50,184,000 | |
Chevron Corp. | | | 210,000 | | | 14,790,300 | |
El Paso Corp. | | | 3,390,000 | | | 34,984,800 | |
Exxon Mobil Corp. | | | 1,270,000 | | | 87,134,700 | |
Frontier Oil Corp. | | | 520,000 | | | 7,238,400 | |
Marathon Oil Corp. | | | 1,480,000 | | | 47,212,000 | |
| | | | | | | |
Common Stocks | | Shares | | Value | |
|
|
|
|
|
|
|
|
Energy (concluded) | | | | | | | |
Oil, Gas & Consumable Fuels (concluded) | | | | | | | |
Murphy Oil Corp. | | | 700,000 | | $ | 40,299,000 | |
Tesoro Corp. | | | 2,630,000 | | | 39,397,400 | |
Valero Energy Corp. | | | 955,000 | | | 18,517,450 | |
Williams Cos., Inc. | | | 480,000 | | | 8,577,600 | |
| | | | |
|
|
|
| | | | | | 365,885,650 | |
|
|
|
|
|
|
|
|
Total Energy | | | | | | 762,847,350 | |
|
|
|
|
|
|
|
|
Financials — 5.5% | | | | | | | |
Capital Markets — 0.9% | | | | | | | |
The Goldman Sachs Group, Inc. | | | 180,000 | | | 33,183,000 | |
|
|
|
|
|
|
|
|
Commercial Banks — 0.3% | | | | | | | |
Wells Fargo & Co. (a) | | | 470,000 | | | 13,244,600 | |
|
|
|
|
|
|
|
|
Diversified Financial Services — 1.1% | | | | | | | |
Bank of America Corp. | | | 1,110,000 | | | 18,781,200 | |
JPMorgan Chase & Co. | | | 550,000 | | | 24,101,000 | |
| | | | |
|
|
|
| | | | | | 42,882,200 | |
|
|
|
|
|
|
|
|
Insurance — 3.2% | | | | | | | |
Chubb Corp. | | | 680,000 | | | 34,278,800 | |
HCC Insurance Holdings, Inc. | | | 560,000 | | | 15,316,000 | |
PartnerRe Ltd. | | | 510,000 | | | 39,239,400 | |
UnumProvident Corp. | | | 1,780,000 | | | 38,163,200 | |
| | | | |
|
|
|
| | | | | | 126,997,400 | |
|
|
|
|
|
|
|
|
Total Financials | | | | | | 216,307,200 | |
|
|
|
|
|
|
|
|
Health Care — 21.9% | | | | | | | |
Biotechnology — 1.6% | | | | | | | |
Amgen, Inc. (b) | | | 1,040,000 | | | 62,639,200 | |
|
|
|
|
|
|
|
|
Health Care Equipment & Supplies — 0.6% | | | | | | | |
Hospira, Inc. (b) | | | 300,000 | | | 13,380,000 | |
Kinetic Concepts, Inc. (b) | | | 250,000 | | | 9,245,000 | |
| | | | |
|
|
|
| | | | | | 22,625,000 | |
|
|
|
|
|
|
|
|
Health Care Providers & Services — 11.0% | | | | | | | |
Aetna, Inc. | | | 1,490,000 | | | 41,466,700 | |
AmerisourceBergen Corp. | | | 1,880,000 | | | 42,074,400 | |
Community Health Systems, Inc. (b) | | | 870,000 | | | 27,779,100 | |
Coventry Health Care, Inc. (b) | | | 700,000 | | | 13,972,000 | |
DaVita, Inc. (b) | | | 90,000 | | | 5,097,600 | |
Humana, Inc. (b) | | | 1,100,000 | | | 41,030,000 | |
Lincare Holdings, Inc. (b) | | | 1,250,000 | | | 39,062,500 | |
McKesson Corp. | | | 720,000 | | | 42,876,000 | |
Medco Health Solutions, Inc. (b) | | | 900,000 | | | 49,779,000 | |
Omnicare, Inc. | | | 603,774 | | | 13,596,990 | |
Quest Diagnostics, Inc. | | | 470,000 | | | 24,529,300 | |
UnitedHealth Group, Inc. | | | 1,980,000 | | | 49,579,200 | |
WellPoint, Inc. (b) | | | 960,000 | | | 45,465,600 | |
| | | | |
|
|
|
| | | | | | 436,308,390 | |
|
|
|
|
|
|
|
|
Life Sciences Tools & Services — 0.6% | | | | | | | |
Millipore Corp. (b) | | | 340,000 | | | 23,912,200 | |
|
|
|
|
|
|
|
|
Pharmaceuticals — 8.1% | | | | | | | |
Endo Pharmaceuticals Holdings, Inc. (b) | | | 540,000 | | | 12,220,200 | |
Forest Laboratories, Inc. (b) | | | 1,420,000 | | | 41,804,800 | |
Johnson & Johnson | | | 1,390,000 | | | 84,637,100 | |
Schering-Plough Corp. | | | 1,930,000 | | | 54,522,500 | |
Sepracor, Inc. (b) | | | 1,480,000 | | | 33,892,000 | |
Watson Pharmaceuticals, Inc. (b) | | | 910,000 | | | 33,342,400 | |
Wyeth | | | 1,230,000 | | | 59,753,400 | |
| | | | |
|
|
|
| | | | | | 320,172,400 | |
|
|
|
|
|
|
|
|
Total Health Care | | | | | | 865,657,190 | |
|
|
|
|
|
|
|
|
| | |
See Notes to Financial Statements. | |
|
|
|
24 | BLACKROCK CORE PRINCIPAL PROTECTED FUND | SEPTEMBER 30, 2009 |
| |
|
|
Schedule of Investments (continued) | Master Large Cap Core Portfolio |
| (Percentages shown are based on Net Assets) |
| | | | | | | |
Common Stocks | | Shares | | Value | |
|
|
|
|
|
|
Industrials — 12.8% | | | | | | | |
Aerospace & Defense — 4.7% | | | | | | | |
Goodrich Corp. | | | 380,000 | | $ | 20,649,200 | |
L-3 Communications Holdings, Inc. | | | 430,000 | | | 34,537,600 | |
Lockheed Martin Corp. | | | 510,000 | | | 39,820,800 | |
Northrop Grumman Corp. | | | 940,000 | | | 48,645,000 | |
Raytheon Co. | | | 890,000 | | | 42,693,300 | |
| | | | |
|
|
|
| | | | | | 186,345,900 | |
|
|
|
|
|
|
|
|
Airlines — 0.2% | | | | | | | |
Copa Holdings SA Class A | | | 160,000 | | | 7,118,400 | |
|
|
|
|
|
|
|
|
Commercial Services & Supplies — 0.4% | | | | | | | |
The Brink’s Co. | | | 210,000 | | | 5,651,100 | |
R.R. Donnelley & Sons Co. | | | 510,000 | | | 10,842,600 | |
| | | | |
|
|
|
| | | | | | 16,493,700 | |
|
|
|
|
|
|
|
|
Construction & Engineering — 1.0% | | | | | | | |
Shaw Group, Inc. (b) | | | 730,000 | | | 23,425,700 | |
URS Corp. (b) | | | 370,000 | | | 16,150,500 | |
| | | | |
|
|
|
| | | | | | 39,576,200 | |
|
|
|
|
|
|
|
|
Electrical Equipment — 0.7% | | | | | | | |
General Cable Corp. (b) | | | 740,000 | | | 28,971,000 | |
|
|
|
|
|
|
|
|
Industrial Conglomerates — 0.7% | | | | | | | |
General Electric Co. | | | 1,640,000 | | | 26,928,800 | |
|
|
|
|
|
|
|
|
Machinery — 4.0% | | | | | | | |
Flowserve Corp. | | | 410,000 | | | 40,401,400 | |
Illinois Tool Works, Inc. | | | 580,000 | | | 24,771,800 | |
Joy Global, Inc. | | | 860,000 | | | 42,088,400 | |
KBR, Inc. | | | 810,000 | | | 18,864,900 | |
Oshkosh Corp. | | | 400,000 | | | 12,372,000 | |
SPX Corp. | | | 280,000 | | | 17,155,600 | |
| | | | |
|
|
|
| | | | | | 155,654,100 | |
|
|
|
|
|
|
|
|
Professional Services — 0.5% | | | | | | | |
Manpower, Inc. | | | 350,000 | | | 19,848,500 | |
|
|
|
|
|
|
|
|
Road & Rail — 0.6% | | | | | | | |
CSX Corp. | | | 120,000 | | | 5,023,200 | |
Con-way, Inc. | | | 160,000 | | | 6,131,200 | |
Ryder System, Inc. | | | 270,000 | | | 10,546,200 | |
| | | | |
|
|
|
| | | | | | 21,700,600 | |
|
|
|
|
|
|
|
|
Total Industrials | | | | | | 502,637,200 | |
|
|
|
|
|
|
|
|
Information Technology — 11.3% | | | | | | | |
Communications Equipment — 0.4% | | | | | | | |
Cisco Systems, Inc. (b) | | | 570,000 | | | 13,417,800 | |
|
|
|
|
|
|
|
|
Computers & Peripherals — 4.5% | | | | | | | |
Apple, Inc. (b) | | | 363,000 | | | 67,289,310 | |
EMC Corp. (b) | | | 1,260,000 | | | 21,470,400 | |
International Business Machines Corp. (a) | | | 260,000 | | | 31,098,600 | |
Teradata Corp. (b) | | | 540,000 | | | 14,860,800 | |
Western Digital Corp. (b) | | | 1,150,000 | | | 42,009,500 | |
| | | | |
|
|
|
| | | | | | 176,728,610 | |
|
|
|
|
|
|
|
|
Electronic Equipment, Instruments & Components — 0.2% | | | | | | | |
Ingram Micro, Inc. Class A (b) | | | 600,000 | | | 10,110,000 | |
|
|
|
|
|
|
|
|
IT Services — 2.6% | | | | | | | |
Computer Sciences Corp. (b) | | | 790,000 | | | 41,640,900 | |
Hewitt Associates, Inc. Class A (b) | | | 930,000 | | | 33,879,900 | |
The Western Union Co. | | | 1,400,000 | | | 26,488,000 | |
| | | | |
|
|
|
| | | | | | 102,008,800 | |
|
|
|
|
|
|
|
|
| | | | | | | |
Common Stocks | | | Shares | | Value | |
|
|
|
|
|
|
|
|
Information Technology (concluded) | | | | | | | |
Internet Software & Services — 0.1% | | | | | | | |
Google, Inc. Class A (b) | | | 10,000 | | $ | 4,958,500 | |
|
|
|
|
|
|
|
|
Semiconductors & Semiconductor Equipment — 0.1% | | | | | | | |
Intel Corp. | | | 250,000 | | | 4,892,500 | |
|
|
|
|
|
|
|
|
Software — 3.4% | | | | | | | |
BMC Software, Inc. (b) | | | 270,000 | | | 10,133,100 | |
CA, Inc. | | | 1,880,000 | | | 41,341,200 | |
Compuware Corp. (b) | | | 1,470,000 | | | 10,775,100 | |
Microsoft Corp. | | | 1,370,000 | | | 35,469,300 | |
Sybase, Inc. (b) | | | 580,000 | | | 22,562,000 | |
VMware, Inc. (b) | | | 369,000 | | | 14,822,730 | |
| | | | |
|
|
|
| | | | | | 135,103,430 | |
|
|
|
|
|
|
|
|
Total Information Technology | | | | | | 447,219,640 | |
|
|
|
|
|
|
|
|
Materials — 5.2% | | | | | | | |
Chemicals — 1.9% | | | | | | | |
CF Industries Holdings, Inc. | | | 390,000 | | | 33,629,700 | |
Lubrizol Corp. | | | 380,000 | | | 27,154,800 | |
Terra Industries, Inc. (b) | | | 430,000 | | | 14,908,100 | |
| | | | |
|
|
|
| | | | | | 75,692,600 | |
|
|
|
|
|
|
|
|
Containers & Packaging — 2.0% | | | | | | | |
Ball Corp. | | | 380,000 | | | 18,696,000 | |
Pactiv Corp. (b) | | | 1,530,000 | | | 39,856,500 | |
Temple-Inland, Inc. | | | 1,250,000 | | | 20,525,000 | |
| | | | |
|
|
|
| | | | | | 79,077,500 | |
|
|
|
|
|
|
|
|
Metals & Mining — 1.1% | | | | | | | |
Walter Industries, Inc. | | | 700,000 | | | 42,042,000 | |
|
|
|
|
|
|
|
|
Paper & Forest Products — 0.2% | | | | | | | |
International Paper Co. | | | 260,000 | | | 5,779,800 | |
MeadWestvaco Corp. | | | 120,000 | | | 2,677,200 | |
| | | | |
|
|
|
| | | | | | 8,457,000 | |
|
|
|
|
|
|
|
|
Total Materials | | | | | | 205,269,100 | |
|
|
|
|
|
|
|
|
Telecommunication Services — 3.7% | | | | | | | |
Diversified Telecommunication Services — 3.7% | | | | | | | |
AT&T Inc. | | | 770,000 | | | 20,797,700 | |
CenturyTel, Inc. (a) | | | 525,000 | | | 17,640,000 | |
Qwest Communications International Inc. | | | 10,700,000 | | | 40,767,000 | |
Verizon Communications, Inc. | | | 2,200,000 | | | 66,594,000 | |
|
|
|
|
|
|
|
|
Total Telecommunication Services | | | | | | 145,798,700 | |
|
|
|
|
|
|
|
|
Utilities — 4.0% | | | | | | | |
Independent Power Producers & Energy Traders — 2.8% | | | | | | | |
The AES Corp. (b) | | | 3,020,000 | | | 44,756,400 | |
Calpine Corp. (a)(b) | | | 850,000 | | | 9,792,000 | |
Mirant Corp. (b) | | | 810,000 | | | 13,308,300 | |
NRG Energy, Inc. (b) | | | 1,540,000 | | | 43,412,600 | |
| | | | |
|
|
|
| | | | | | 111,269,300 | |
|
|
|
|
|
|
|
|
Multi-Utilities — 1.2% | | | | | | | |
CMS Energy Corp. | | | 2,380,000 | | | 31,892,000 | |
NiSource, Inc. | | | 1,030,000 | | | 14,306,700 | |
| | | | |
|
|
|
| | | | | | 46,198,700 | |
|
|
|
|
|
|
|
|
Total Utilities | | | | | | 157,468,000 | |
|
|
|
|
|
|
|
|
Total Long-Term Investments
(Cost — $3,411,438,192) — 100.1% | | | | | | 3,951,969,700 | |
|
|
|
|
|
|
|
|
| | |
See Notes to Financial Statements. |
|
BLACKROCK CORE PRINCIPAL PROTECTED FUND | SEPTEMBER 30, 2009 | 25 |
| |
|
|
Schedule of Investments (concluded) | Master Large Cap Core Portfolio |
| (Percentages shown are based on Net Assets) |
| | | | | | | |
Short-Term Securities | | Shares | | Value | |
|
|
|
|
|
|
Money Market Funds — 4.1% | | | | | | | |
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.20% (c)(d) | | | 31,839,442 | | $ | 31,839,442 | |
|
|
|
|
|
|
|
|
| | | | | | |
| | Beneficial
Interest
(000) | | | | |
|
|
|
|
|
|
|
|
BlackRock Liquidity Series, LLC Money Market Series, 0.29% (c)(d)(e) | | $ | 129,522 | | | 129,521,650 | |
|
|
|
|
|
|
|
|
Total Short-Term Securities
(Cost — $161,361,092) — 4.1% | | | | | | 161,361,092 | |
|
|
|
|
|
|
|
|
Total Investments (Cost — $3,572,799,284*) — 104.2% | | | | | | 4,113,330,792 | |
Liabilities in Excess of Other Assets — (4.2)% | | | | | | (167,008,474 | ) |
| | | | |
|
|
|
Net Assets — 100.0% | | | | | $ | 3,946,322,318 | |
| | | | |
|
|
|
| |
|
* | The cost and unrealized appreciation (depreciation) of investments as of September 30, 2009, as computed for federal income tax purposes, were as follows: |
| | | | |
Aggregate cost | | $ | 3,685,512,751 | |
| |
|
|
|
Gross unrealized appreciation | | $ | 451,461,181 | |
Gross unrealized depreciation | | | (23,643,140 | ) |
| |
|
|
|
Net unrealized appreciation | | $ | 427,818,041 | |
| |
|
|
|
| |
(a) | Security, or a portion of security, is on loan. |
| |
(b) | Non-income producing security. |
| |
(c) | Investments in companies considered to be an affiliate of the Portfolio, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, were as follows: |
| | | | | | | |
|
|
|
|
|
|
Affiliate | | Net
Activity | | Income | |
|
|
|
|
|
|
BlackRock Liquidity Funds, TempFund, Institutional Class | | $ | 31,839,442 | | $ | 5,965 | |
BlackRock Liquidity Series, LLC Cash Sweep Series | | | — | | $ | 717 | |
BlackRock Liquidity Series, LLC Money Market Series | | $ | 117,933,250 | | $ | 1,168,939 | |
|
|
|
|
|
|
|
|
| | |
(d) | Represents the current yield as of report date. |
| | |
(e) | Security was purchased with the cash collateral from securities loaned. |
| | |
• | For Portfolio compliance purposes, the Portfolio’s sector and industry classifications refer to any one or more of the sector and industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Portfolio management. This definition may not apply for purposes of this report, which may combine sector and industry sub-classifications for reporting ease. |
| | |
• | Fair Value Measurements — Various inputs are used in determining the fair value of investments, which are as follows: |
| | |
| • | Level 1 — price quotations in active markets/exchanges for identical assets and liabilities |
| | |
| • | Level 2 — other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs) |
| | |
| • | Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Portfolio’s own assumptions used in determining the fair value of investments) |
| | |
| The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For information about the Portfolio’s policy regarding valuation of investments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements. |
| | |
| The following table summarizes the inputs used as of September 30, 2009 in determining the fair valuation of the Portfolio’s investments: |
| | | | |
|
|
|
|
Valuation Inputs | | Investments in
Securities | |
|
|
|
|
| | Assets | |
| |
|
|
Level 1 | | | | |
Long-Term Investments1 | | $ | 3,951,969,700 | |
Short-Term Securities | | | 31,839,442 | |
| |
|
|
|
Total Level 1 | | | 3,983,809,142 | |
| |
|
|
|
Level 2 — Short-Term Securities | | | 129,521,650 | |
Level 3 | | | — | |
| |
|
|
|
Total | | $ | 4,113,330,792 | |
| |
|
|
|
| | |
| 1 | See above Schedule of Investments for values in each sector and industry. |
| | |
See Notes to Financial Statements. |
|
26 | BLACKROCK CORE PRINCIPAL PROTECTED FUND | SEPTEMBER 30, 2009 |
| |
|
| |
Statement of Assets and Liabilities | Master Large Cap Core Portfolio |
| | | | |
September 30, 2009 | | | | |
|
|
|
|
|
Assets | | | | |
|
|
|
|
|
Investments at value — unaffiliated (including securities loaned of $125,718,198) (cost — $3,411,438,192) | | $ | 3,951,969,700 | |
Investments at value — affiliated (cost — $161,361,092) | | | 161,361,092 | |
Investments sold receivable | | | 130,914,874 | |
Dividends receivable | | | 3,190,800 | |
Securities lending income receivable — affiliated | | | 93,557 | |
Contributions receivable from investors | | | 79,016 | |
Prepaid expenses | | | 77,787 | |
| |
|
|
|
Total assets | | | 4,247,686,826 | |
| |
|
|
|
| | | | |
|
|
|
|
|
Liabilities | | | | |
|
|
|
|
|
Collateral at value — securities loaned | | | 129,521,650 | |
Investments purchased payable — unaffiliated | | | 162,499,463 | |
Investments purchased payable — affiliated | | | 892,050 | |
Withdrawals payable to investors | | | 6,793,417 | |
Investment advisory fees payable | | | 1,463,703 | |
Other affiliates payable | | | 16,782 | |
Officer’s and Directors’ fees payable | | | 587 | |
Other accrued expenses payable | | | 174,108 | |
Other liabilities | | | 2,748 | |
| |
|
|
|
Total liabilities | | | 301,364,508 | |
| |
|
|
|
Net Assets | | $ | 3,946,322,318 | |
| |
|
|
|
| | | | |
|
|
|
|
|
Net Assets Consist of | | | | |
|
|
|
|
|
Investors’ capital | | $ | 3,405,790,810 | |
Net unrealized appreciation | | | 540,531,508 | |
| |
|
|
|
Net Assets | | $ | 3,946,322,318 | |
| |
|
|
|
| | | |
See Notes to Financial Statements. | | |
|
| BLACKROCK CORE PRINCIPAL PROTECTED FUND | SEPTEMBER 30, 2009 | 27 |
| |
|
| |
Statements of Operations | Master Large Cap Core Portfolio |
| | | | | | | |
| | Period
November 1,
2008 to
September 30,
2009 | | Year Ended
October 31,
2008 | |
|
|
|
|
|
|
|
|
Investment Income | | | | | | | |
|
|
|
|
|
|
|
|
Dividends | | $ | 58,759,457 | | $ | 60,423,512 | |
Securities lending — affiliated | | | 1,168,939 | | | 2,505,518 | |
Income — affiliated | | | 9,051 | | | 47,261 | |
Interest | | | 63 | | | — | |
| |
|
|
|
|
|
|
Total income | | | 59,937,510 | | | 62,976,291 | |
| |
|
|
|
|
|
|
| | | | | | | |
|
|
|
|
|
|
|
|
Expenses | | | | | | | |
|
|
|
|
|
|
|
|
Investment advisory | | | 13,518,511 | | | 20,282,735 | |
Accounting services | | | 522,851 | | | 704,837 | |
Custodian | | | 281,173 | | | 615,937 | |
Professional | | | 95,665 | | | 92,678 | |
Officer and Directors | | | 51,580 | | | 69,965 | |
Printing | | | 5,509 | | | 6,931 | |
Miscellaneous | | | 65,463 | | | 84,660 | |
| |
|
|
|
|
|
|
Total expenses | | | 14,540,752 | | | 21,857,743 | |
Less fees waived by advisor | | | (1,748 | ) | | — | |
| |
|
|
|
|
|
|
Total expenses after fees waived | | | 14,539,004 | | | 21,857,743 | |
| |
|
|
|
|
|
|
Net investment income | | | 45,398,506 | | | 41,118,548 | |
| |
|
|
|
|
|
|
| | | | | | | |
|
|
|
|
|
|
|
|
Realized and Unrealized Gain (Loss) | | | | | | | |
|
|
|
|
|
|
|
|
Net realized gain (loss) from: | | | | | | | |
Investments | | | (790,387,965 | ) | | (521,502,159 | ) |
Litigation proceeds | | | 11,958,247 | | | — | |
| |
|
|
|
|
|
|
| | | (778,429,718 | ) | | (521,502,159 | ) |
Net change in unrealized appreciation/depreciation on investments | | | 1,174,704,782 | | | (1,536,726,590 | ) |
| |
|
|
|
|
|
|
Total realized and unrealized gain (loss) | | | 396,275,064 | | | (2,058,228,749 | ) |
| |
|
|
|
|
|
|
Net Increase (Decrease) in Net Assets Resulting from Operations | | $ | 441,673,570 | | $ | (2,017,110,201 | ) |
| |
|
|
|
|
|
|
| | |
See Notes to Financial Statements. | |
|
28 | BLACKROCK CORE PRINCIPAL PROTECTED FUND | SEPTEMBER 30, 2009 |
| |
|
|
|
Statements of Changes in Net Assets | Master Large Cap Core Portfolio |
| | | | | | | | | | |
| | Period
November 1,
2008 to
September 30,
2009 | | | |
| | | | |
| | | Year Ended October 31, | |
| | |
|
|
Increase (Decrease) in Net Assets: | | | 2008 | | 2007 | |
|
|
|
|
|
|
|
|
Operations | | | | | | | | | | |
|
|
|
|
|
|
|
|
|
|
|
Net investment income | | $ | 45,398,506 | | $ | 41,118,548 | | $ | 27,760,104 | |
Net realized gain (loss) | | | (778,429,718 | ) | | (521,502,159 | ) | | 527,140,752 | |
Net change in unrealized appreciation/depreciation | | | 1,174,704,782 | | | (1,536,726,590 | ) | | 22,249,344 | |
| |
|
|
|
|
|
|
|
|
|
Net increase (decrease) in net assets resulting from operations | | | 441,673,570 | | | (2,017,110,201 | ) | | 577,150,200 | |
| |
|
|
|
|
|
|
|
|
|
| | | | | | | | | | |
|
|
|
|
|
|
|
|
|
|
|
Capital Transactions | | | | | | | | | | |
|
|
|
|
|
|
|
|
|
|
|
Proceeds from contributions | | | 1,506,405,011 | | | 986,366,566 | | | 1,415,268,883 | |
Fair value of withdrawals | | | (845,271,038 | ) | | (1,775,472,579 | ) | | (219,326,884 | ) |
| |
|
|
|
|
|
|
|
|
|
Net increase (decrease) in net assets derived from capital transactions | | | 661,133,973 | | | (789,106,013 | ) | | 1,195,941,999 | |
| |
|
|
|
|
|
|
|
|
|
| | | | | | | | | | |
|
|
|
|
|
|
|
|
|
|
|
Net Assets | | | | | | | | | | |
|
|
|
|
|
|
|
|
|
|
|
Total increase (decrease) in net assets | | | 1,102,807,543 | | | (2,806,216,214 | ) | | 1,773,092,199 | |
Beginning of period | | | 2,843,514,775 | | | 5,649,730,989 | | | 3,876,638,790 | |
| |
|
|
|
|
|
|
|
|
|
End of period | | $ | 3,946,322,318 | | $ | 2,843,514,775 | | $ | 5,649,730,989 | |
| |
|
|
|
|
|
|
|
|
|
| |
|
|
|
Financial Highlights | Master Large Cap Core Portfolio |
| | | | | | | | | | | | | | | | | | | |
| | Period
November 1,
2008 to
September 30,
2009 | | | |
| | | | |
| | | Year Ended October 31, | |
| | |
|
|
| | | 2008 | | 2007 | | 2006 | | 2005 | | 2004 | |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investment Return | | | | | | | | | | | | | | | | | | | |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total investment return | | | 12.63 | %1,2 | | (38.84 | )% | | 13.94 | % | | 17.32 | % | | 18.35 | % | | 9.61 | % |
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Net Assets | | | | | | | | | | | | | | | | | | | |
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Total expenses | | | 0.50 | %3 | | 0.50 | % | | 0.49 | % | | 0.49 | % | | 0.51 | % | | 0.52 | % |
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Total expenses after fees waived | | | 0.50 | %3 | | 0.50 | % | | 0.49 | % | | 0.49 | % | | 0.51 | % | | 0.52 | % |
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Net investment income | | | 1.56 | %3 | | 0.93 | % | | 0.63 | % | | 0.58 | % | | 0.72 | % | | 0.57 | % |
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Supplemental Data | | | | | | | | | | | | | | | | | | | |
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Net assets, end of period (000) | | $ | 3,946,322 | | $ | 2,843,515 | | $ | 5,649,731 | | $ | 3,876,639 | | $ | 2,666,699 | | $ | 1,831,300 | |
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Portfolio turnover | | | 168 | % | | 109 | % | | 96 | % | | 88 | % | | 94 | % | | 136 | % |
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| | |
| 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%. |
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| 3 | Annualized. |
See Notes to Financial Statements.
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BLACKROCK CORE PRINCIPAL PROTECTED FUND | SEPTEMBER 30, 2009 | 29 |
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|
Notes to Financial Statements | Master Large Cap Core Portfolio |
1. Organization and Significant Accounting Policies:
Master Large Cap Core Portfolio (the “Portfolio”) is a series of the 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 a diversified open-end management investment company and is organized as a Delaware limited liability company. The Limited Liability Company Agreement permits the Board of Directors (the “Board”) to issue non-transferable interests in the Master LLC, subject to certain limitations. The Portfolio’s financial statements are prepared in conformity with accounting principles generally accepted in the United States of America, which may require the use of management accruals and estimates. Actual results may differ from these estimates. During the period, the Portfolio changed its fiscal year end to September 30.
On January 30, 2009, the Portfolio received an in-kind contribution of portfolio securities from an affiliated investor, which was valued at $771,174,100.
The following is a summary of significant accounting policies followed by the Portfolio:
Valuation: Equity investments traded on a recognized securities exchange or the NASDAQ Global Market System 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 price. If no bid price is available, the prior day’s price will be used, unless it is determined that such prior day’s price no longer reflects the fair value of the security. Short-term securities with maturities less than 60 days may be valued at amortized cost, which approximates fair value. Investments in open-end investment companies are valued at net asset value each business day. The Portfolio values its investments in Cash Sweep Series and Money Market Series, each of the BlackRock Liquidity Series, LLC at fair value, which is ordinarily based upon their prorata ownership in the net assets of the underlying fund.
In the event that 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 is not available, the investment will be valued by a method approved by the Board as reflecting fair value (“Fair Value Assets”). When determining the price for Fair Value Assets, the investment advisor and/or sub-advisor 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 investment advisor and/or sub-advisor deems relevant. The pricing of all Fair Value Assets is subsequently reported to the Board or a committee thereof.
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. Interest income is recognized on the accrual basis.
Securities Lending: The Portfolio may lend securities to financial institutions that provide cash as collateral, which will be maintained at all times in an amount equal to at least 100% of the current market value of the loaned securities. The market value of the loaned securities is determined at the close of business of the Portfolio and any additional required collateral is delivered to the Portfolio on the next business day. The Portfolio typically receives income on loaned securities but does not receive income on the collateral. The Portfolio may invest the cash collateral and retain the amount earned on such investment, net of any amount rebated to the borrower. 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 Portfolio may pay reasonable lending agent, administrative and custodial fees in connection with its loans. In the event that the borrower defaults on its obligation to return borrowed securities because of insolvency or for any other reason, the Portfolio could experience delays and costs in gaining access to the collateral. The Portfolio also 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.
Income Taxes: The Portfolio is classified as a partnership for federal income tax purposes. As such, each investor in the Portfolio is treated as owner of its proportionate share of the 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.
Recent Accounting Standards: In June 2009, amended guidance was issued by the Financial Accounting Standards Board for transfers of financial assets. This guidance is intended to improve the relevance, representational faithfulness and comparability of the information that a reporting entity provides in its financial statements about a transfer of financial assets; the effects of a transfer on its financial position, financial performance, and cash flows; and a transferor’s continuing involvement, if any, in transferred financial assets. The amended guidance is effective for financial statements for fiscal years and interim periods beginning after November 15, 2009. Earlier application is prohibited. The recognition and measurement provisions of this guidance must be applied to transfers occurring on or after the effective date. Additionally, the enhanced disclosure provisions of the amended guidance should be applied to transfers that occurred both before and after the effective date of this guidance. The impact of this guidance on the Portfolio’s financial statements and disclosures, if any, is currently being assessed.
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.
2. Investment Advisory Agreement and Other Transactions with Affiliates:
The PNC Financial Services Group, Inc. (“PNC”) and Bank of America Corporation (“BAC”) are the largest stockholders of BlackRock, Inc. (“BlackRock”). BAC became a stockholder of BlackRock following its acquisition of Merrill Lynch & Co., Inc. (“Merrill Lynch”) on January 1, 2009. Prior to that date,
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30 | BLACKROCK CORE PRINCIPAL PROTECTED FUND | SEPTEMBER 30, 2009 |
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Notes to Financial Statements (continued) | Master Large Cap Core Portfolio |
both PNC and Merrill Lynch were considered affiliates of the Portfolio under the 1940 Act. Subsequent to the acquisition, PNC remains an affiliate, but due to the restructuring of Merrill Lynch’s ownership interest of BlackRock, BAC is not deemed to be an affiliate under the 1940 Act.
The Master LLC, on behalf of the Portfolio, has 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’s investments and provides the necessary personnel, facilities, equipment and certain other services necessary to the operations of the Portfolio. The Portfolio pays a monthly fee at an annual rate of 0.50% of the average daily net assets not exceeding $1 billion, 0.45% of the average daily net assets in excess of $1 billion but not exceeding $5 billion of the average daily net assets and 0.40% of the average daily net assets in excess of $5 billion.
The Manager has voluntarily agreed to waive its advisory fees by the amount of investment advisory fees the Portfolio pays to the Manager indirectly through its investment in affiliated money market funds. This amount is shown as fees waived by advisor in the Statements of Operations.
The Manager has entered into a separate sub-advisory agreement with BlackRock Investment Management, LLC (“BIM”), an affiliate of the Manager, under which the Manager pays BIM for services it provides, a monthly fee that is a percentage of the investment advisory fee paid by the Portfolio to the Manager.
For the period November 1, 2008 to September 30, 2009 and the year ended October 31, 2008, the Portfolio reimbursed the Manager $56,620 and $79,621, respectively, for certain accounting services, which is included in accounting services in the Statements of Operations.
The Master LLC has received an exemptive order from the Securities and Exchange Commission permitting it to lend portfolio securities to Merrill Lynch, Pierce, Fenner & Smith Incorporated, a wholly owned subsidiary of Merrill Lynch, or its affiliates. Pursuant to that order, the Portfolio has retained BIM as the securities lending agent for a fee based on a share of the income from investment of cash collateral. BIM may, on behalf of the Portfolio, invest cash collateral received by the Portfolio for such loans, among other things, in a private investment company managed by the Manager or in registered money market funds advised by the Manager or its affiliates. The share of income earned by the Portfolio on such investments is shown as securities lending — affiliated in the Statements of Operations. For the period November 1, 2008 to September 30, 2009 and the year ended October 31, 2008, BIM received $293,110 and $608,113, respectively, in securities lending agent fees for the Portfolio.
The Portfolio may earn income on positive cash balances in demand deposit accounts. For the period November 1, 2008 to September 30, 2009 and the year ended October 31, 2008, the Portfolio earned $2,369 and $36,030, respectively, which is included in income — affiliated in the Statements of Operations.
Certain officers and/or directors of the Master LLC are officers and/or directors of BlackRock or its affiliates. The Portfolio reimburses the Manager for compensation paid to the Master LLC’s Chief Compliance Officer.
3. Investments:
Purchases and sales of investments, excluding short-term securities, for the period November 1, 2008 to September 30, 2009 were $6,192,253,991 and $5,418,083,628, respectively.
4. Short-Term Borrowings:
The Master LLC, on behalf of the Portfolio, along with certain other funds managed by the Manager and its affiliates, is a party to a $500 million credit agreement with a group of lenders, which expired in November 2009 and was subsequently renewed until November 2010.The Portfolio may borrow under the credit agreement to fund shareholder redemptions and for other lawful purposes other than for leverage. The Portfolio may borrow up to the maximum amount allowable under the Portfolio’s current Prospectus and Statement of Additional Information, subject to various other legal, regulatory or contractual limits. The Portfolio paid its pro rata share of a 0.02% upfront fee on the aggregate commitment amount based on its net assets. The Portfolio pays a commitment fee of 0.08% per annum based on the Portfolio’s pro rata share of the unused portion of the credit agreement, which is included in miscellaneous in the Statements of Operations. Amounts borrowed under the credit agreement bear interest at a rate equal to the higher of the (a) federal funds effective rate and (b) reserve adjusted one month LIBOR, plus, in each case, the higher of (i) 1.50% and (ii) 50% of the CDX Index (as defined in the credit agreement). The Portfolio did not borrow under the credit agreement during the period November 1, 2008 to September 30, 2009.
5. Concentration, Market and Credit Risk:
The Portfolio invests a significant portion of its assets in securities in the health care sector. Please see the Schedule of Investments for these securities. Changes in economic conditions affecting the health care sector would have a greater impact on the Portfolio, and could affect the value, income and/or liquidity of positions in such securities.
In the normal course of business, the 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 (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 credit risk, the Portfolio may be exposed to counterparty risk, or the risk that an entity with which the Series has unsettled or open transactions may default. Financial assets, which potentially expose the Portfolio to credit and counterparty risks, consist principally of investments and cash due from counterparties. The extent of the Portfolio’s exposure to credit and counter-party risks with respect to these financial assets is approximated by their value recorded in the Portfolio’s Statement of Assets and Liabilities.
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BLACKROCK CORE PRINCIPAL PROTECTED FUND | SEPTEMBER 30, 2009 | 31 |
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Notes to Financial Statements (concluded) | Master Large Cap Core Portfolio |
6. Reorganization:
On September 24, 2007, an investor of the Portfolio acquired all of the net assets of BlackRock Investment Trust Portfolio of BlackRock Funds (“Investment Trust”), pursuant to a plan of reorganization. As a result of the reorganization, which included $286,539,853 of net unrealized appreciation, the Portfolio received an in-kind contribution of portfolio securities.
On November 14, 2008, an investor of the Portfolio acquired all of the assets and certain stated liabilities of PNC Growth & Income Fund (the “PNC Fund”), a series of PNC Funds, Inc. The reorganization was pursuant to an Agreement and Plan of Reorganization, which was approved by the shareholders of the PNC Fund on October 31, 2008. As a result of the reorganization, which included $59,817,678 of net unrealized depreciation, the Portfolio received an in-kind contribution of portfolio securities.
7. Subsequent Events:
Management has evaluated the impact of all subsequent events on the Portfolio through November 25, 2009, the date the financial statements were issued, and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.
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32 | BLACKROCK CORE PRINCIPAL PROTECTED FUND | SEPTEMBER 30, 2009 |
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Report of Independent Registered Public Accounting Firm | Master Large Cap Core Portfolio |
To the Investors and Board of Directors of Master Large Cap Series LLC:
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of Master Large Cap Core Portfolio, one of the portfolios constituting Master Large Cap Series LLC (the “Master LLC”), as of September 30, 2009, and the related statements of operations for the period November 1, 2008 through September 30, 2009 and for the year ended October 31, 2008, the statements of changes in net assets for the period November 1, 2008 through September 30, 2009 and for each of the two years in the period ended October 31, 2008, and the financial highlights for the period November 1, 2008 through September 30, 2009 and for each of the five years in the period ended October 31, 2008. These financial statements and financial highlights are the responsibility of the Master LLC’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Master LLC is not required to have, nor were we engaged to perform an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Master LLC’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of the securities owned as of September 30, 2009, by correspondence with the custodian and brokers; where replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Master Large Cap Core Portfolio of Master Large Cap Series LLC as of September 30, 2009, the results of its operations for the period November 1, 2008 through September 30, 2009 and for the year ended October 31, 2008, the changes in its net assets for the period November 1, 2008 through September 30, 2009 and for each of the two years in the period ended October 31, 2008, and the financial highlights for the period November 1, 2008 through September 30, 2009 and for each of the five years in the period ended October 31, 2008, in conformity with accounting principles generally accepted in the United States of America.
Deloitte & ToucheLLP
Princeton, New Jersey
November 25, 2009
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BLACKROCK CORE PRINCIPAL PROTECTED FUND | SEPTEMBER 30, 2009 | 33 |
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Officers and Directors of Master Large Cap Series LLC |
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Name, Address
and Year of Birth | | Position(s)
Held with
Master LLC | | Length
of Time
Served as
a Director2 | | Principal Occupation(s) During Past Five Years | | Number of BlackRock-
Advised Registered
Investment Companies
(“RICs”) Consisting of
Investment Portfolios
(“Portfolios”) Overseen | | Public
Directorships |
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Non-Interested Directors1 |
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Ronald W. Forbes
40 East 52nd Street
New York, NY 10022
1940 | | Co-Chair of
the Board of
Directors and
Director | | Since 2007 | | Professor Emeritus of Finance, School of Business, State University of New York at Albany since 2000. | | 34 RICs consisting of
81 Portfolios | | None |
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Rodney D. Johnson
40 East 52nd Street
New York, NY 10022
1941 | | Co-Chair of
the Board of
Directors and
Director | | Since 2007 | | President, Fairmount Capital Advisors, Inc. since 1987; Director, Fox Chase Cancer Center since 2002; Member of the Archdiocesan Investment Committee of the Archdiocese of Philadelphia since 2003; Director, The Committee of Seventy (civic) since 2006. | | 34 RICs consisting of
81 Portfolios | | None |
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David O. Beim
40 East 52nd Street
New York, NY 10022
1940 | | Director | | Since 2007 | | Professor of Finance and Economics at the Columbia University Graduate School of Business since 1991; Trustee, Phillips Exeter Academy since 2002; Chairman, Wave Hill Inc. (public garden and cultural center) from 1990 to 2006. | | 34 RICs consisting of
81 Portfolios | | None |
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Dr. Matina Horner
40 East 52nd Street
New York, NY 10022
1939 | | Director | | Since 2007 | | Executive Vice President of Teachers Insurance and Annuity Association and College Retirement Equities Fund from 1989 to 2003. | | 34 RICs consisting of
81 Portfolios | | NSTAR (electric and gas utility) |
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Herbert I. London
40 East 52nd Street
New York, NY 10022
1939 | | Director and
Member of
the Audit
Committee | | Since 1999 | | Professor Emeritus, New York University since 2005; John M. Olin Professor of Humanities, New York University from 1993 to 2005 and Professor thereof from 1980 to 2005; President, Hudson Institute (policy research organization) since 1997 and Trustee thereof since 1980; Chairman of the Board of Trustees for Grantham University since 2006; Director, InnoCentive, Inc. (strategic solutions company) since 2005; Director of Cerego, LLC (software development and design) since 2005. | | 34 RICs consisting of
81 Portfolios | | AIMS Worldwide, Inc. (marketing) |
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Cynthia A. Montgomery
40 East 52nd Street
New York, NY 10022
1952 | | Director | | Since 2007 | | Professor, Harvard Business School since 1989; Director, Harvard Business School Publishing since 2005; Director, McLean Hospital since 2005. | | 34 RICs consisting of
81 Portfolios | | Newell Rubbermaid, Inc. (manufacturing) |
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Joseph P. Platt, Jr.
40 East 52nd Street
New York, NY 10022
1947 | | Director | | Since 2007 | | Director, The West Penn Allegheny Health System (a not-for-profit health system) since 2008; Director, Jones and Brown (Canadian insurance broker) since 1998; General Partner, Thorn Partners, LP (private investment) since 1998. Partner, Amarna Corporation, LLC (private investment company) from 2002 to 2008. | | 34 RICs consisting of
81 Portfolios | | Greenlight Capital Re, Ltd (reinsurance company) |
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Robert C. Robb, Jr.
40 East 52nd Street
New York, NY 10022
1945 | | Director | | Since 2007 | | Partner, Lewis, Eckert, Robb and Company (management and financial consulting firm) since 1981. | | 34 RICs consisting of
81 Portfolios | | None |
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Toby Rosenblatt
40 East 52nd Street
New York, NY 10022
1938 | | Director | | Since 2007 | | President, Founders Investments Ltd. (private investments) since 1999; Director of Forward Management, LLC since 2007; Director, The James Irvine Foundation (philanthropic foundation) since 1997; Trustee, State Street Research Mutual Funds from 1990 to 2005; Trustee, Metropolitan Series Funds, Inc. from 2001 to 2005. | | 34 RICs consisting of
81 Portfolios | | A.P. Pharma, Inc. (specialty pharmaceuticals) |
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34 | BLACKROCK CORE PRINCIPAL PROTECTED FUND | SEPTEMBER 30, 2009 |
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|
Officers and Directors of Master Large Cap Series LLC (continued) |
| | | | | | | | | | |
Name, Address
and Year of Birth | | Position(s)
Held with
Master LLC | | Length
of Time
Served as
a Director2 | | Principal Occupation(s) During Past Five Years | | Number of BlackRock-
Advised Registered
Investment Companies
(“RICs”) Consisting of
Investment Portfolios
(“Portfolios”) Overseen | | Public
Directorships |
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Non-Interested Directors1 (concluded) |
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Kenneth L. Urish
40 East 52nd Street
New York, NY 10022
1951 | | Chair of
the Audit
Committee
and Director | | Since 2007 | | Managing Partner, Urish Popeck & Co., LLC (certified public accountants and consultants) since 1976; Member of External Advisory Board, The Pennsylvania State University Accounting Department since 2001; Trustee, The Holy Family Foundation since 2001; Committee Member, Professional Ethics Committee of the Pennsylvania Institute of Certified Public Accountants since 2007; President and Trustee, Pittsburgh Catholic Publishing Associates from 2003 to 2008; Director, Inter-Tel from 2006 to 2007. | | 34 RICs consisting of
81 Portfolios | | None |
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|
Frederick W. Winter
40 East 52nd Street
New York, NY 10022
1945 | | Director and
Member of
the Audit
Committee | | Since 2007 | | Professor and Dean Emeritus of the Joseph M. Katz School of Business, University of Pittsburgh since 2005 and Dean thereof from 1997 to 2005; Director, Alkon Corporation (pneumatics) since 1992; Director, Tippman Sports (recreation) since 2005; Director, Indotronix International (IT services) from 2004 to 2008. | | 34 RICs consisting of
81 Portfolios | | None |
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| 1 | Directors serve until their resignation, removal or death, or until December 31 of the year in which they turn 72. |
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| 2 | Date shown is the earliest date a person has served as a Director for the Master LLC covered by this annual report. Following the combination of Merrill Lynch Investment Managers, L.P. (“MLIM”) and BlackRock, Inc. (“BlackRock”) in September 2006, the various legacy MLIM and legacy BlackRock Fund boards were realigned and consolidated into three new Fund boards in 2007. As a result, although the chart shows certain directors as joining the Master LLC’s board in 2007, each director first became a member of the board of other legacy MLIM or legacy BlackRock Funds as follows: David O. Beim since 1998; Ronald W. Forbes since 1977; Matina Horner since 2004; Rodney D. Johnson since 1995; Herbert I. London since 1987; Cynthia A. Montgomery since 1994; Joseph P. Platt since 1999; Robert C. Robb, Jr. since 1998; Toby Rosenblatt since 2005; Kenneth L. Urish since 1999; and Frederick W. Winter since 1999. |
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Interested Directors3 |
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Richard S. Davis
40 East 52nd Street
New York, NY 10022
1945 | | Director | | Since 2007 | | Managing Director, BlackRock, Inc. since 2005; Chief Executive Officer, State Street Research & Management Company from 2000 to 2005; Chairman of the Board of Trustees, State Street Research Mutual Funds from 2000 to 2005; Chairman, SSR Realty from 2000 to 2004 | | 172 RICs consisting of
283 Portfolios | | None |
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|
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|
|
|
Henry Gabbay
40 East 52nd Street
New York, NY 10022
1947 | | Director | | Since 2007 | | Consultant, BlackRock, Inc. from 2007 to 2008; Managing Director, BlackRock, Inc. from 1989 to 2007; Chief Administrative Officer, BlackRock Advisors, LLC from 1998 to 2007; President of BlackRock Funds and BlackRock Bond Allocation Target Shares from 2005 to 2007 and Treasurer of certain closed-end funds in the BlackRock fund complex from 1989 to 2006. | | 172 RICs consisting of
283 Portfolios | | None |
| | |
|
|
|
| 3 | Mr. Davis is an “interested person,” as defined in the Investment Company Act of 1940, of the Master LLC based on his position with BlackRock, Inc. and its affiliates. Mr. Gabbay is an “interested person” of the Master LLC based on his former positions with BlackRock, Inc. and its affiliates as well as his ownership of BlackRock, Inc. and PNC securities. Directors serve until their resignation, removal or death, or until December 31 of the year in which they turn 72. |
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BLACKROCK CORE PRINCIPAL PROTECTED FUND | SEPTEMBER 30, 2009 | 35 |
|
|
|
Officers and Directors of Master Large Cap Series LLC (continued) |
| | | | | | | |
Name, Address
and Year of Birth | | Position(s)
Held with
Master LLC | | Length
of Time
Served | | Principal Occupation(s) During Past Five Years |
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|
Master LLC Officers1 |
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|
Anne F. Ackerley
40 East 52nd Street
New York, NY 10022
1962 | | President and
Chief Executive
Officer | | Since 2009 | | Managing Director of BlackRock, Inc. since 2000; Vice President of the BlackRock-advised Funds from 2007 to 2009; Chief Operating Officer of BlackRock’s Global Client Group (GCG) since 2009; Chief Operating Officer of BlackRock’s U.S. Retail Group from 2006 to 2009; Head of BlackRock’s Mutual Fund Group from 2000 to 2006. |
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Richard Hoerner, CFA
40 East 52nd St.
New York, NY 10022
1958 | | Vice
President | | Since 2009 | | Managing Director of BlackRock, Inc. since 2000; Co-head of BlackRock’s Cash Management Portfolio Management Group since 2002; Member of the Cash Management Group Executive Committee since 2005; Director of BlackRock, Inc. since 1998. |
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Jeffrey Holland, CFA
40 East 52nd Street
New York, NY 10022
1971 | | Vice
President | | Since 2009 | | Director of BlackRock, Inc. since 2006; Chief Operating Officer of BlackRock’s U.S. Retail Group since 2009; Co-head of Product Development and Management for BlackRock’s U.S. Retail Group from 2007 to 2009; Product Manager of Raymond James & Associates from 2003 to 2006. |
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Brendan Kyne
40 East 52nd Street
New York, NY 10022
1977 | | Vice
President | | Since 2009 | | Director of BlackRock, Inc. since 2008; Head of Product Development and Management for BlackRock’s U.S. Retail Group since 2009, co-head thereof from 2007 to 2009; Vice President of BlackRock, Inc. from 2005 to 2008; Associate of BlackRock, Inc. from 2002 to 2004. |
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Simon Mendelson
40 East 52nd St.
New York, NY 10022
1964 | | Vice
President | | Since 2009 | | Managing Director of BlackRock, Inc. since 2005; Chief Operating Officer and head of the Global Client Group for BlackRock’s Global Cash Management Business since 2007; Head of BlackRock’s Strategy and Development Group from 2005 to 2007; Partner of McKinsey & Co. from 1997 to 2005. |
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Brian Schmidt
40 East 52nd Street
New York, NY 10022
1958 | | Vice
President | | Since 2009 | | Managing Director of BlackRock, Inc. since 2004; Various positions with U.S. Trust Company from 1991 to 2003 including Director from 2001 to 2003 and Senior Vice President from 1998 to 2003; Vice President, Chief Financial Officer and Treasurer of Excelsior Funds, Inc., Excelsior Tax-Exempt Funds, Inc. and Excelsior Funds Trust from 2001 to 2003. |
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Christopher Stavrakos,
CFA
40 East 52nd St.
New York, NY 10022
1959 | | Vice
President | | Since 2009 | | Managing Director of BlackRock, Inc. since 2006; Co-head of BlackRock’s Cash Management Portfolio Management Group since 2006; Senior Vice President, CIO, and Director of Liability Management for the Securities Lending Group at Mellon Bank from 1999 to 2006. |
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Neal J. Andrews
40 East 52nd Street
New York, NY 10022
1966 | | Chief
Financial
Officer | | Since 2007 | | Managing Director of BlackRock, Inc. since 2006; Senior Vice President and Line of Business Head of Fund Accounting and Administration at PNC Global Investment Servicing (U.S.) Inc. from 1992 to 2006. |
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Jay M. Fife
40 East 52nd Street
New York, NY 10022
1970 | | Treasurer | | Since 2007 | | Managing Director of BlackRock, Inc. since 2007 and Director in 2006; Assistant Treasurer of the Merrill Lynch Investment Managers, L.P. (“MLIM”) and Fund Asset Management, L.P. advised Funds from 2005 to 2006; Director of MLIM Fund Services Group from 2001 to 2006. |
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Brian P. Kindelan
40 East 52nd Street
New York, NY 10022
1959 | | Chief
Compliance
Officer | | Since 2007 | | Chief Compliance Officer of the BlackRock-advised Funds since 2007; Managing Director and Senior Counsel of BlackRock, Inc. since 2005; Director and Senior Counsel of BlackRock Advisors, LLC from 2001 to 2004. |
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Howard B. Surloff
40 East 52nd Street
New York, NY 10022
1965 | | Secretary | | Since 2007 | | Managing Director and General Counsel of U.S. Funds at BlackRock, Inc. since 2006; General Counsel (U.S.) of Goldman Sachs Asset Management, L.P. from 1993 to 2006. |
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| | 1 | Officers of the Master LLC serve at the pleasure of the Board. |
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36 | BLACKROCK CORE PRINCIPAL PROTECTED FUND | SEPTEMBER 30, 2009 |
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Officers and Directors of Master Large Cap Series LLC (concluded) |
Investment Advisor
BlackRock Advisors, LLC
Wilmington, DE 19809
Sub-Advisor
BlackRock Investment Management, LLC
Plainsboro, NJ 08536
Custodian
Brown Brothers Harriman & Co.
Boston, MA 02109-3661
Accounting Agent
State Street Bank and Trust Company
Princeton, NJ 08540
Independent Registered Public Accounting Firm
Deloitte & ToucheLLP
Princeton, NJ 08540
Distributor
BlackRock Investments, LLC
New York, NY 10022
Legal Counsel
Sidley AustinLLP
New York, NY 10019
Address of the Master LLC
100 Bellevue Parkway
Wilmington, DE 19809
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Effective July 31, 2009, Donald C. Burke, President and Chief Executive Officer of the Master LLC, retired. The Master LLC’s Board wishes Mr. Burke well in his retirement. |
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Effective August 1, 2009, Anne F. Ackerley became President and Chief Executive Officer of the Master LLC, and Jeffrey Holland and Brian Schmidt became Vice Presidents of the Master LLC. |
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Effective September 17, 2009, Richard Hoerner, Brendan Kyne, Simon Mendelson and Christopher Stavrakos became a Vice President of the Master LLC. |
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Disclosure of Investment Advisory Agreement and Sub-Advisory Agreement |
The Board of Trustees (the “Board,” and the members of which are referred to as “Board Members”) of BlackRock Core Principal Protected Fund (the “Fund”), a series of the BlackRock Principal Protected Trust (the “Trust”) met on May 5, 2009 and June 4 – 5, 2009 to consider the approval of the Trust’s investment advisory agreement (the “Advisory Agreement”), on behalf of the Fund, with BlackRock Advisors, LLC (the “Manager”), the Fund’s investment advisor. The Board also considered the approval of the sub-advisory agreement (the “Sub-Advisory Agreement”) between the Manager and BlackRock Investment Management, LLC (the “Sub-Advisor”) with respect to the Fund. The Manager and the Sub-Advisor are referred to herein as “BlackRock.” For simplicity, the Fund and the Trust are referred to herein as the “Fund.” The Advisory Agreement and the Sub-Advisory Agreement are referred to herein as the “Agreements.”
Activities and Composition of the Board
The Board of the Fund consisted of fifteen individuals, twelve of whom were not “interested persons” of the Fund as defined in the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Board Members”), at the time of the Board’s approval of the Agreements. The Board Members are responsible for the oversight of the operations of the Fund and perform the various duties imposed on the directors of investment companies by the 1940 Act. The Independent Board Members have retained independent legal counsel to assist them in connection with their duties. The Chairman of the Board is an Independent Board Member. The Board has established five standing committees: an Audit Committee, a Governance and Nominating Committee, a Compliance Committee, a Performance Oversight Committee and an Executive Committee, each of which is composed of Independent Board Members (except for the Performance Oversight Committee and the Executive Committee, which each have one interested Board Member) and is chaired by Independent Board Members.
The Agreements
Pursuant to the 1940 Act, the Board is required to consider the continuation of the Agreements on an annual basis. In connection with this process, the Board assessed, among other things, the nature, scope and quality of the services provided to the Fund by the personnel of BlackRock and its affiliates, including investment management, administrative and shareholder services, oversight of fund accounting and custody, marketing services and assistance in meeting applicable legal and regulatory requirements.
Throughout the year, the Board, acting directly and through its committees, considers at each of its meetings factors that are relevant to its annual consideration of the renewal of the Agreements, including the services and support provided by BlackRock to the Fund and its shareholders. Among the matters the Board considered were: (a) investment performance for one-, three- and five-year periods, as applicable, against peer funds, and applicable benchmarks, if any, as well as senior management and portfolio managers’ analysis of the reasons for any out performance or underperformance against its peers; (b) fees, including advisory, administration, if applicable, and other amounts paid to BlackRock and its affiliates by the Fund for services, such as transfer agency, marketing and distribution, call center and fund accounting; (c) Fund operating expenses; (d) the resources devoted to and compliance reports relating to the Fund’s investment objective, policies and restrictions: (e) the Fund’s compliance with its Code of Ethics and compliance policies and procedures; (f) the nature, cost and character of non-investment management services provided by BlackRock and its affiliates;
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BLACKROCK CORE PRINCIPAL PROTECTED FUND | SEPTEMBER 30, 2009 | 37 |
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Disclosure of Investment Advisory Agreement and Sub-Advisory Agreement (continued) |
(g) BlackRock’s and other service providers’ internal controls; (h) BlackRock’s implementation of the proxy voting policies approved by the Board; (i) the use of brokerage commissions and execution quality; (j) BlackRock’s implementation of the Fund’s valuation and liquidity procedures; and (k) periodic updates on BlackRock’s business.
Board Considerations in Approving the Agreements
The Approval Process: Prior to the May 5, 2009 meeting, the Board requested and received materials specifically relating to the Agreements. The Board is engaged in an ongoing process with BlackRock to continuously review the nature and scope of the information provided to better assist its deliberations. The materials provided in connection with the May meeting included: (a) information independently compiled and prepared by Lipper, Inc. (“Lipper”) on Fund fees and expenses, and the investment performance of the Fund as compared with a peer group of funds as determined by Lipper and a customized peer group selected by BlackRock (collectively, “Peers”); (b) a discussion of fall-out benefits to BlackRock and its affiliates and significant shareholders; (c) a general analysis provided by BlackRock concerning investment advisory fees charged to other clients, such as institutional clients and closed-end funds, under similar investment mandates, as well as the performance of such other clients; (d) the impact of economies of scale; (e) a summary of aggregate amounts paid by the Fund to BlackRock; (f) sales and redemption data regarding the Fund’s shares; and (g) an internal comparison of management fees classified by Lipper, if applicable.
At an in-person meeting held on May 5, 2009, the Board reviewed materials relating to its consideration of the Agreements. As a result of the discussions that occurred during the May 5, 2009 meeting, the Board presented BlackRock with questions and requests for additional information and BlackRock responded to these requests with additional written information in advance of the June 4 – 5, 2009 Board meeting.
At an in-person meeting held on June 4 – 5, 2009, the Fund’s Board, including the Independent Board Members, unanimously approved the continuation of the Advisory Agreement between the Manager and the Fund and the Sub-Advisory Agreement between the Manager and the Sub-Advisor with respect to the Fund, each for a one-year term ending June 30, 2010. The Board considered all factors it believed relevant with respect to the Fund, including, among other factors: (a) the nature, extent and quality of the services provided by BlackRock; (b) the investment performance of the Fund and BlackRock portfolio management; (c) the advisory fee and the cost of the services and profits to be realized by BlackRock and certain affiliates from the relationship with the Fund, if any; (d) economies of scale; and (e) other factors.
The Board also considered other matters it deemed important to the approval process, such as payments made to BlackRock or its affiliates relating to the distribution of Fund shares, services related to the valuation and pricing of Fund portfolio holdings, direct and indirect benefits to BlackRock and its affiliates and significant shareholders from their relationship with the Fund and advice from independent legal counsel with respect to the review process and materials submitted for the Board’s review. The Board noted the willingness of BlackRock personnel to engage in open, candid discussions with the Board. The Board did not identify any particular information as controlling, and each Board Member may have attributed different weights to the various items considered.
A. Nature, Extent and Quality of the Services: The Board, including the Independent Board Members, reviewed the nature, extent and quality of services provided by BlackRock, including the investment advisory services and the resulting performance of the Fund. Throughout the year, the Board compared Fund performance to the performance of a comparable group of mutual funds, and the performance of a relevant benchmark, if any. The Board met with BlackRock’s senior management personnel responsible for investment operations, including the senior investment officers. The Board also reviewed the materials provided by the Fund’s portfolio management team discussing Fund performance and the Fund’s investment objective, strategies and outlook.
The Board considered, among other factors, the number, education and experience of BlackRock’s investment personnel generally and the Fund’s portfolio management team, investments by portfolio managers in the funds they manage, BlackRock’s portfolio trading capabilities, BlackRock’s use of technology, BlackRock’s commitment to compliance and BlackRock’s approach to training and retaining portfolio managers and other research, advisory and management personnel. The Board also reviewed a general description of BlackRock’s compensation structure with respect to the Fund’s portfolio management team and BlackRock’s ability to attract and retain high-quality talent.
In addition to advisory services, the Board considered the quality of the administrative and non-investment advisory services provided to the Fund. BlackRock and its affiliates and significant shareholders provide the Fund with certain administrative, transfer agency, shareholder and other services (in addition to any such services provided to the Fund by third parties) and officers and other personnel as are necessary for the operations of the Fund. In addition to investment advisory services, BlackRock and its affiliates and significant shareholders provide the Fund with other services, including: (i) preparing disclosure documents, such as the prospectus, the statement
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38 | BLACKROCK CORE PRINCIPAL PROTECTED FUND | SEPTEMBER 30, 2009 |
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Disclosure of Investment Advisory Agreement and Sub-Advisory Agreement (continued) |
of additional information and periodic shareholder reports; (ii) assisting with daily accounting and pricing; (iii) overseeing and coordinating the activities of other service providers; (iv) organizing Board meetings and preparing the materials for such Board meetings; (v) providing legal and compliance support; and (vi) performing other administrative functions necessary for the operation of the Fund, such as tax reporting, fulfilling regulatory filing requirements, and call center services. The Board reviewed the structure and duties of BlackRock’s fund administration, accounting, legal and compliance departments and considered BlackRock’s policies and procedures for assuring compliance with applicable laws and regulations.
B. The Investment Performance of the Fund and BlackRock: The Board, including the Independent Board Members, also reviewed and considered the performance history of the Fund. In preparation for the May 5, 2009 meeting, the Board was provided with reports, independently prepared by Lipper, which included a comprehensive analysis of the Fund’s performance. The Board also reviewed a narrative and statistical analysis of the Lipper data that was prepared by BlackRock, which analyzed various factors that affect Lipper’s rankings. In connection with its review, the Board received and reviewed information regarding the investment performance of the Fund as compared to a representative group of similar funds as determined by Lipper and to all funds in the Fund’s applicable Lipper category and customized peer group selected by BlackRock. The Board was provided with a description of the methodology used by Lipper to select peer funds. The Board regularly reviews the performance of the Fund throughout the year. The Board attaches more importance to performance over relatively long periods of time, typically three to five years.
The Board noted that the Fund ranked in the third, fourth and third quartiles against its Customized Lipper Peer Group for the one-, three- and five-year periods reported, respectively. The Board and BlackRock reviewed the reasons for the Fund’s underperformance during these periods compared with its Peers. The Board was informed that, among other things, underperformance for the Fund is related to the asset allocation of the Fund versus its Peers. The Board and BlackRock discussed BlackRock’s commitment to providing the resources necessary to assist the portfolio managers and to improve the Fund’s performance.
C. Consideration of the Advisory Fees and the Cost of the Services and Profits to be Realized by BlackRock and its Affiliates from their Relationship with the Fund, if any: The Board, including the Independent Board Members, reviewed the Fund’s contractual advisory fee rates compared with the other funds in its Lipper category. It also compared the Fund’s total expenses, as well as actual management fees, to those of other comparable funds. The Board considered the services provided and the fees charged by BlackRock to other types of clients with similar investment mandates, including separately managed institutional accounts.
The Board reviewed BlackRock’s profitability with respect to other funds the Board currently oversees for the year ended December 31, 2008 compared to available aggregate profitability data provided for the year ended December 31, 2007. The Board reviewed BlackRock’s profitability with respect to other fund complexes managed by the Manager and/or its affiliates. The Board reviewed BlackRock’s assumptions and methodology of allocating expenses in the profitability analysis, noting the inherent limitations in allocating costs among various advisory products. The Board recognized that profitability may be affected by numerous factors including, among other things, fee waivers and expense reimbursements by the Manager, the types of funds managed, expense allocations and business mix, and therefore comparability of profitability is somewhat limited.
The Board noted that, in general, individual fund or product line profitability of other advisors is not publicly available. Nevertheless, to the extent such information is available, the Board considered BlackRock’s operating margin, in general, compared to the operating margin for leading investment management firms whose operations include advising open-end funds, among other product types. The comparison indicated that operating margins for BlackRock with respect to its registered funds are generally consistent with margins earned by similarly situated publicly traded competitors. In addition, the Board considered, among other things, certain third party data comparing BlackRock’s operating margin with that of other publicly-traded asset management firms, which concluded that larger asset bases do not, in themselves, translate to higher profit margins.
In addition, the Board considered the cost of the services provided to the Fund by BlackRock, and BlackRock’s and its affiliates’ profits relating to the management and distribution of the Fund, if any, and the other funds advised by BlackRock and its affiliates. As part of its analysis, the Board reviewed BlackRock’s methodology in allocating its costs to the management of the Fund. The Board also considered whether BlackRock has the financial resources necessary to attract and retain high-quality investment management personnel to perform its obligations under the Agreements and to continue to provide the high quality of services that is expected by the Board.
The Board noted that, although the Fund’s contractual advisory fees were above the median contractual advisory fees paid by the Fund’s Peers, its actual advisory fees, after giving effect to any expense reimbursements or fee waivers, were lower than or equal to the median of its Peers. The Board also noted that BlackRock has contractually agreed to waive fees or reimburse expenses in order to limit the Fund’s total net expenses on a class-by-class basis, as applicable.
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BLACKROCK CORE PRINCIPAL PROTECTED FUND | SEPTEMBER 30, 2009 | 39 |
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Disclosure of Investment Advisory Agreement and Sub-Advisory Agreement (concluded) |
D. Economies of Scale: The Board, including the Independent Board Members, considered the extent to which economies of scale might be realized as the assets of the Fund increase and whether there should be changes in the advisory fee rate or structure in order to enable the Fund to participate in these economies of scale, for example through the use of breakpoints in the advisory fee based upon the assets of the Fund. The Board considered that the funds in the BlackRock fund complex share some common resources and, as a result, an increase in the overall size of the complex could permit each fund to incur lower expenses than it would otherwise as a stand-alone entity. The Board also considered BlackRock’s overall operations and its efforts to expand the scale of, and improve the quality of, its operations.
E. Other Factors: The Board also took into account other ancillary or “fall-out” benefits that BlackRock or its affiliates and significant shareholders may derive from its relationship with the Fund, both tangible and intangible, such as BlackRock’s ability to leverage its investment professionals who manage other portfolios, an increase in BlackRock’s profile in the investment advisory community, and the engagement of BlackRock’s affiliates and significant shareholders as service providers to the Fund, including for administrative, transfer agency and distribution services. The Board also noted that BlackRock may use third party research obtained by soft dollars generated by certain mutual fund transactions to assist itself in managing all or a number of its other client accounts.
In connection with its consideration of the Agreements, the Board also received information regarding BlackRock’s brokerage and soft dollar practices. The Board received reports from BlackRock which included information on brokerage commissions and trade execution practices throughout the year.
Conclusion
The Board, including the Independent Board Members, unanimously approved the continuation of the Advisory Agreement between the Manager and the Fund for a one-year term ending June 30, 2010 and the Sub-Advisory Agreement between the Manager and Sub-Advisor with respect to the Fund for a one-year term ending June 30, 2010. Based upon its evaluation of all these factors in their totality, the Board, including the Independent Board Members, was satisfied that the terms of the Agreements were fair and reasonable and in the best interest of the Fund and its shareholders. In arriving at a decision to approve the Agreements, the Board did not identify any single factor or group of factors as all-important or controlling, but considered all factors together, and different Board Members may have attributed different weights to the various factors considered. The Independent Board Members were also assisted by the advice of independent legal counsel in making this determination. The contractual fee arrangements for the Fund reflect the results of several years of review by the Board Members and predecessor Board Members, and discussions between such Board Members (and predecessor Board Members) and BlackRock. Certain aspects of the arrangements may be the subject of more attention in some years than in others, and the Board Members’ conclusions may be based in part on their consideration of these arrangements in prior years.
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40 | BLACKROCK CORE PRINCIPAL PROTECTED FUND | SEPTEMBER 30, 2009 |
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Additional Information |
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General Information |
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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:
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1) | Access the BlackRock website at http://www.blackrock.com/edelivery |
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2) | Click on the applicable link and follow the steps to sign up |
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3) | Log into your account |
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 it is intended to reduce expenses and eliminate duplicate mailings of shareholder documents. Mailings of your shareholder documents may be householded indefinitely unless you instruct us otherwise. If you do not want the mailing of these documents to be combined with those for other members of your household, please contact the Fund at (800) 441-7762.
Availability of Proxy Voting Policies and Procedures
A description of the policies and procedures that the Fund/Master LLC uses to determine how to vote proxies relating to portfolio securities is available (1) without charge, upon request, by calling toll-free (800) 441-7762; (2) at www.blackrock.com; and (3) on the Securities and Exchange Commission’s (the “SEC”) website at http://www.sec.gov.
Availability of Proxy Voting Record
Information about how the Fund/Master LLC votes proxies relating to securities held in the Fund’s/Master LLC’s portfolios during the most recent 12-month period ended June 30 is available upon request and without charge (1) at www.blackrock.com or by calling (800) 441-7762 and (2) on the SEC’s website at http://www.sec.gov.
Availability of Quarterly Portfolio Schedule
The Fund/Master LLC 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/Master LLC’s Forms N-Q are 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 the operation of the Public Reference Room may be obtained by calling (202) 551-8090. The Fund’s/Master LLC’s Forms N-Q may also be obtained upon request and without charge by calling (800) 441-7762.
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BLACKROCK CORE PRINCIPAL PROTECTED FUND | SEPTEMBER 30, 2009 | 41 |
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Additional Information (concluded) |
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Shareholder Privileges |
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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 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 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 Privacy Principles |
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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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42 | BLACKROCK CORE PRINCIPAL PROTECTED FUND | SEPTEMBER 30, 2009 |
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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.
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Equity Funds |
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BlackRock All-Cap Energy & Resources Portfolio |
BlackRock Asset Allocation Portfolio† |
BlackRock Aurora Portfolio |
BlackRock Balanced Capital Fund† |
BlackRock Basic Value Fund |
BlackRock Capital Appreciation Portfolio |
BlackRock Energy & Resources Portfolio |
BlackRock Equity Dividend Fund |
BlackRock EuroFund |
BlackRock Focus Growth Fund |
BlackRock Focus Value Fund |
BlackRock Fundamental Growth Fund |
BlackRock Global Allocation Fund† |
BlackRock Global Dynamic Equity Fund |
BlackRock Global Emerging Markets Fund |
BlackRock Global Financial Services Fund |
BlackRock Global Growth Fund |
BlackRock Global Opportunities Portfolio |
BlackRock Global SmallCap Fund |
BlackRock Health Sciences Opportunities Portfolio |
BlackRock Healthcare Fund |
BlackRock Index Equity Portfolio* |
BlackRock International Fund |
BlackRock International Diversification Fund |
BlackRock International Index Fund |
BlackRock International Opportunities Portfolio |
BlackRock International Value Fund |
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 Mid-Cap Growth Equity Portfolio |
BlackRock Mid-Cap Value Equity Portfolio |
BlackRock Mid Cap Value Opportunities Fund |
BlackRock Natural Resources Trust |
BlackRock Pacific Fund |
BlackRock Science & Technology Opportunities Portfolio |
BlackRock Small Cap Core Equity Portfolio |
BlackRock Small Cap Growth Equity Portfolio |
BlackRock Small Cap Growth Fund II |
BlackRock Small Cap Index Fund |
BlackRock Small Cap Value Equity Portfolio |
BlackRock Small/Mid-Cap Growth Portfolio |
BlackRock S&P 500 Index Fund |
BlackRock U.S. Opportunities Portfolio |
BlackRock Utilities and Telecommunications Fund |
BlackRock Value Opportunities Fund |
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Fixed Income Funds |
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BlackRock Bond Portfolio |
BlackRock Emerging Market Debt Portfolio |
BlackRock GNMA Portfolio |
BlackRock Government Income Portfolio |
BlackRock High Income Fund |
BlackRock High Yield Bond Portfolio |
BlackRock Income Portfolio† |
BlackRock Income Builder Portfolio† |
BlackRock Inflation Protected Bond Portfolio |
BlackRock Intermediate Government Bond Portfolio |
BlackRock International Bond Portfolio |
BlackRock Long Duration Bond Portfolio |
BlackRock Low Duration Bond Portfolio |
BlackRock Managed Income Portfolio |
BlackRock Short-Term Bond Fund |
BlackRock Strategic Income Portfolio |
BlackRock Total Return Fund |
BlackRock Total Return Portfolio II |
BlackRock World Income Fund |
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Municipal Bond Funds |
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BlackRock AMT-Free Municipal Bond Portfolio |
BlackRock California Municipal Bond Fund |
BlackRock Delaware Municipal Bond Portfolio |
BlackRock High Yield Municipal Fund |
BlackRock Intermediate Municipal Fund |
BlackRock Kentucky Municipal Bond Portfolio |
BlackRock Municipal Insured Fund |
BlackRock National Municipal Fund |
BlackRock New Jersey Municipal Bond Fund |
BlackRock New York Municipal Bond Fund |
BlackRock Ohio Municipal Bond Portfolio |
BlackRock Pennsylvania Municipal Bond Fund |
BlackRock Short-Term Municipal Fund |
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Target Risk & Target Date Funds |
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BlackRock Prepared Portfolios |
Conservative Prepared Portfolio |
Moderate Prepared Portfolio |
Growth Prepared Portfolio |
Aggressive Growth Prepared Portfolio |
BlackRock Lifecycle Prepared Portfolios |
Prepared Portfolio 2010 |
Prepared Portfolio 2015 |
Prepared Portfolio 2020 |
Prepared Portfolio 2025 |
Prepared Portfolio 2030 |
Prepared Portfolio 2035 |
Prepared Portfolio 2040 |
Prepared Portfolio 2045 |
Prepared Portfolio 2050 |
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* | See the prospectus for information on specific limitations on investments in the fund. |
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† | Mixed asset fund. |
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 CORE PRINCIPAL PROTECTED FUND | SEPTEMBER 30, 2009 | 43 |
This report is not authorized for use as an offer of sale or a solicitation of an offer to buy shares of the Fund unless accompanied or preceded by the 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.
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| #CPP-9/09 |
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Item 2 – | Code of Ethics – The registrant (or the “Fund”) has adopted a code of ethics, as of the end of the period covered by this report, applicable to the registrant’s principal executive officer, principal financial officer and principal accounting officer, or persons performing similar functions. During the period covered by this report, there have been no amendments to or waivers granted under the code of ethics. A copy of the code of ethics is available without charge at www.blackrock.com. |
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Item 3 – | Audit Committee Financial Expert – The registrant’s board of directors or trustees, as applicable (the “board of directors”) has determined that (i) the registrant has the following audit committee financial experts serving on its audit committee and (ii) each audit committee financial expert is independent: |
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| Robert M. Hernandez |
| Fred G. Weiss |
| Richard R. West |
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| Under applicable securities laws, a person determined to be an audit committee financial expert will not be deemed an “expert” for any purpose, including without limitation for the purposes of Section 11 of the Securities Act of 1933, as a result of being designated or identified as an audit committee financial expert. The designation or identification as an audit committee financial expert does not impose on such person any duties, obligations, or liabilities greater than the duties, obligations, and liabilities imposed on such person as a member of the audit committee and board of directors in the absence of such designation or identification. |
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Item 4 – | Principal Accountant Fees and Services |
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| | (a) Audit Fees | | (b) Audit-Related Fees1 | | (c) Tax Fees2 | | (d) All Other Fees3 |
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Entity Name | | Current
Fiscal Year
End | | Previous
Fiscal Year
End | | Current
Fiscal Year
End | | Previous
Fiscal Year
End | | Current
Fiscal Year
End | | Previous
Fiscal Year
End | | Current
Fiscal Year
End | | Previous
Fiscal Year
End |
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BlackRock Core Principal Protected Fund of BlackRock Principal Protected Trust | | $ | 27,500 | | $ | 27,300 | | $ | 0 | | $ | 0 | | $ | 6,100 | | $ | 6,100 | | $ | 1,028 | | $ | 1,049 |
Master Large Cap Core Portfolio of Master Large Cap Series LLC | | $ | 34,500 | | $ | 34,300 | | $ | 0 | | $ | 0 | | $ | 9,200 | | $ | 9,200 | | $ | 0 | | $ | 0 |
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1 The nature of the services include assurance and related services reasonably related to the performance of the audit of financial statements not included in Audit Fees. |
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2 The nature of the services include tax compliance, tax advice and tax planning. |
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3 The nature of the services include a review of compliance procedures and attestation thereto. |
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| (e)(1) Audit Committee Pre-Approval Policies and Procedures: |
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| The registrant’s audit committee (the “Committee”) has adopted policies and procedures with regard to the pre-approval of services. Audit, audit-related and tax compliance services provided to the registrant on an annual basis require specific pre-approval by the Committee. The Committee also must approve other non-audit services provided to the registrant and those non-audit services provided to the registrant’s affiliated service providers that relate directly to the operations and the financial reporting of the registrant. Certain of these non-audit services that the Committee believes are a) consistent with the SEC’s auditor independence rules and b) routine and recurring services |
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| that will not impair the independence of the independent accountants may be approved by the Committee without consideration on a specific case-by-case basis (“general pre-approval”). The term of any general pre-approval is 12 months from the date of the pre-approval, unless the Committee provides for a different period. Tax or other non-audit services provided to the registrant which have a direct impact on the operation or financial reporting of the registrant will only be deemed pre-approved provided that any individual project does not exceed $10,000 attributable to the registrant or $50,000 for all of the registrants the Committee oversees. For this purpose, multiple projects will be aggregated to determine if they exceed the previously mentioned cost levels. |
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| Any proposed services exceeding the pre-approved cost levels will require specific pre-approval by the Committee, as will any other services not subject to general pre-approval (e.g., unanticipated but permissible services). The Committee is informed of each service approved subject to general pre-approval at the next regularly scheduled in-person board meeting. At this meeting, an analysis of such services is presented to the Committee for ratification. The Committee may delegate to one or more of its members the authority to approve the provision of and fees for any specific engagement of permitted non-audit services, including services exceeding pre-approved cost levels. |
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| (e)(2) None of the services described in each of Items 4(b) through (d) were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X. |
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| (f) Not Applicable |
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| (g) Affiliates’ Aggregate Non-Audit Fees: |
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| Entity Name | | Current Fiscal Year
End | | Previous Fiscal Year
End |
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| BlackRock Core Principal Protected Fund of BlackRock Principal Protected Trust | | $ | 414,628 | | $ | 412,149 |
| Master Large Cap Core Portfolio of Master Large Cap Series LLC | | $ | 416,700 | | $ | 414,200 |
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| (h) The registrant’s audit committee has considered and determined that the provision of non-audit services that were rendered to the registrant’s investment adviser (not including any non-affiliated sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by the registrant’s investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence. |
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| Regulation S-X Rule 2-01(c)(7)(ii) – $407,500, 0% |
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Item 5 – | Audit Committee of Listed Registrants – Not Applicable |
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Item 6 – | Investments |
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| (a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1 of this form. |
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| (b) Not Applicable due to no such divestments during the semi-annual period covered since the previous Form N-CSR filing. |
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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 – The registrant’s Nominating and Governance Committee will consider nominees to the board of directors recommended by shareholders when a vacancy becomes available. Shareholders who wish to recommend a nominee should send nominations that include biographical information and set forth the qualifications of the proposed nominee to the registrant’s Secretary. There have been no material changes to these procedures. |
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Item 11 – | Controls and Procedures |
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11(a) – | The registrant’s principal executive and principal financial officers or persons performing similar functions have concluded that the registrant’s 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 15(d)-15(b) under the Securities Exchange Act of 1934, as amended. |
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11(b) – | There were no changes in the registrant’s 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 registrant’s internal control over financial reporting. |
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Item 12 – | Exhibits attached hereto |
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12(a)(1) – | Code of Ethics – See Item 2 |
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12(a)(2) – | Certifications – Attached hereto |
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12(a)(3) – | Not Applicable |
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12(b) – | Certifications – Attached hereto |
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| Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. |
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| BlackRock Core Principal Protected Fund of BlackRock Principal Protected Trust and Master Large Cap Core Portfolio of Master Large Cap Series LLC |
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| By: | /s/ Anne F. Ackerley | |
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| | Anne F. Ackerley |
| | Chief Executive Officer of |
| | BlackRock Core Principal Protected Fund of BlackRock Principal Protected Trust and Master Large Cap Core Portfolio of Master Large Cap Series LLC |
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| Date: November 20, 2009 |
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| Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. |
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| By: | /s/ Anne F. Ackerley | |
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| | Anne F. Ackerley |
| | Chief Executive Officer (principal executive officer) of |
| | BlackRock Core Principal Protected Fund of BlackRock Principal Protected Trust and Master Large Cap Core Portfolio of Master Large Cap Series LLC |
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| Date: November 20, 2009 |
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| By: | /s/ Neal J. Andrews | |
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| | Neal J. Andrews |
| | Chief Financial Officer (principal financial officer) of |
| | BlackRock Core Principal Protected Fund of BlackRock Principal Protected Trust and Master Large Cap Core Portfolio of Master Large Cap Series LLC |
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| Date: November 20, 2009 |
