UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSRS
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-21162
811-09739
Name of Fund: BlackRock Core Principal Protected Fund of BlackRock Principal
Protected Trust
Master Large Cap Core Portfolio of Master Large Cap Series Trust
Fund Address: P.O. Box 9011
Princeton, NJ 08543-9011
Name and address of agent for service: Robert C. Doll, Jr., Chief Executive
Officer, BlackRock Core Principal Protected Fund of BlackRock Principal
Protected Trust and Master Large Cap Core Portfolio of Master Large Cap
Series Trust, 800 Scudders Mill Road, Plainsboro, NJ, 08536. Mailing
address: P.O. Box 9011, Princeton, NJ, 08543-9011
Registrant's telephone number, including area code: (800) 441-7762
Date of fiscal year end: 10/31/07
Date of reporting period: 11/01/06 - 04/30/07
Item 1 - Report to Stockholders
ALTERNATIVES BLACKROCK SOLUTIONS EQUITIES
FIXED INCOME LIQUIDITY REAL ESTATE
BlackRock Core Principal BLACKROCK
Protected Fund
OF BLACKROCK PRINCIPAL PROTECTED TRUST
SEMI-ANNUAL REPORT
APRIL 30, 2007 | (UNAUDITED)
NOT FDIC INSURED
MAY LOSE VALUE
NO BANK GUARANTEE
BlackRock Core Principal Protected Fund
Officers and Trustees of the Trust
Robert C. Doll, Jr., Trust President, Trustee and Portfolio Manager
David O. Beim, Trustee
James T. Flynn, Trustee
W. Carl Kester, Trustee
Karen P. Robards, Trustee
Donald C. Burke, Vice President and Treasurer
Karen Clark, Fund Chief Compliance Officer
Alice A. Pellegrino, Secretary
Custodian
Brown Brothers Harriman & Co.
40 Water Street
Boston, MA 02109-3661
Transfer Agent
PFPC Inc.
Wilmington, DE 19809
2 BLACKROCK CORE PRINCIPAL PROTECTED FUND APRIL 30, 2007
A Letter to Shareholders
Dear Shareholder
In its first four months, 2007 could already be termed an eventful year for
investors. For most financial markets, 2007 opened just as 2006 ended -- on a
positive trajectory. Then, at the end of February and into March, global equity
markets registered their first significant decline since last summer. The market
jitters were triggered by a significant setback in the Chinese market and were
exacerbated by worries of a weakening economy, escalating geopolitical concerns
and rising delinquencies in the subprime mortgage market. Still, underlying
stock market fundamentals appeared quite sound, supported by a generally
favorable global economic backdrop, tame inflation, slowing but still positive
earnings growth, relatively low interest rates and attractive valuations. These
conditions prevailed later, and the Dow Jones Industrial Average crossed the
13,000 mark for the first time in its history in late April.
Not unlike the equity market, the bond market also experienced volatility as
observers attempted to interpret mixed economic signals. A bond market rally
(falling yields and rising prices) late last year reversed itself early in 2007
amid some transitory signs of economic strength. Overall, yields have fluctuated
month to month but ended April little changed from the beginning of the year.
However, compared to one year ago, yields on 30-year Treasury bonds fell 36
basis points (.36%) and 10-year yields fell 44 basis points, while prices
correspondingly rose.
For its part, the Federal Reserve Board (the Fed) has left the target short-term
interest rate on hold at 5.25% since first pausing in its interest rate-hiking
campaign on August 8, 2006. The central bankers continue to express concern
about potential inflationary pressures, but also acknowledge signs of economic
weakness. Given this relatively "balanced" assessment, most observers believe
the Fed will keep interest rates on hold for now.
Against this backdrop, most major market indexes posted positive returns for the
annual and semi-annual reporting periods ended April 30, 2007:
Total Returns as of April 30, 2007 6-month 12-month
====================================================================================================================
U.S. equities (Standard & Poor's 500 Index) + 8.60% +15.24%
- --------------------------------------------------------------------------------------------------------------------
Small cap U.S. equities (Russell 2000 Index) + 6.86 + 7.83
- --------------------------------------------------------------------------------------------------------------------
International equities (MSCI Europe, Australasia, Far East Index) +15.46 +19.81
- --------------------------------------------------------------------------------------------------------------------
Fixed income (Lehman Brothers Aggregate Bond Index) + 2.64 + 7.36
- --------------------------------------------------------------------------------------------------------------------
Tax-exempt fixed income (Lehman Brothers Municipal Bond Index) + 1.59 + 5.78
- --------------------------------------------------------------------------------------------------------------------
High yield bonds (Lehman Brothers U.S. Corporate High Yield 2% Issuer Cap Index) + 6.96 +11.72
- --------------------------------------------------------------------------------------------------------------------
If the first four months are any guide, 2007 could be a year of enhanced market
volatility. As you navigate the uncertainties, we encourage you to review your
investment goals with your financial professional and to make portfolio changes,
as needed. For more insight, we invite you to view "What's Ahead in 2007: An
Investment Perspective" and "Are You Prepared for Volatility?" at
www.blackrock.com/funds. We thank you for entrusting BlackRock with your
investment assets, and we look forward to continuing to serve you in the months
and years ahead.
Sincerely,
/s/ Robert C. Doll, Jr.
Robert C. Doll, Jr.
Trust President and Trustee
BLACKROCK CORE PRINCIPAL PROTECTED FUND APRIL 30, 2007 3
A Discussion With Your Fund's Portfolio Manager
The Fund met its primary objective of preserving investor principal and
also outperformed its comparable Lipper category of Mixed-Asset Target
Allocation Growth Funds for the six-month period.
How did the Fund perform during the period in light of the existing market
conditions?
For the six-month period ended April 30, 2007, BlackRock Core Principal
Protected Fund's Institutional, Investor A, Investor B and Investor C Shares had
total returns of +9.01%, +8.85%, +8.54% and +8.51%, respectively. (Fund results
shown do not reflect sales charges and would be lower if sales charges were
included. Complete performance information can be found on pages 6 and 7 of this
report to shareholders.) For the same period, the benchmark Russell 1000 Index
posted a total return of +9.10%, while the Lipper Mixed-Asset Target Allocation
Growth Funds category had an average return of +7.59%. (By portfolio practice,
funds in this Lipper category maintain a mix of 60% - 80% equity securities,
with the remainder invested in bonds, cash and cash equivalents.)
Throughout the six-month period, the Fund's equity allocation remained at 100%
of net assets and the fixed income allocation at 0%. Within the equity
portfolio, we invest primarily in a diversified portfolio of large cap companies
selected from securities found in the Russell 1000 Index.
Stock selection drove Fund performance results during the period, particularly
within the health care (pharmaceuticals), energy (fuels), financials (banks) and
consumer staples (food retailers) sectors. At the individual stock level, the
largest positive contributors to performance were Goodyear Tire & Rubber Co.,
Southern Copper Corp., Schering-Plough Corp., Cummins, Inc. and Holly Corp. The
largest detractors were technology companies BEA Systems Inc., Lexmark
International, Inc. and Intuit, Inc., and retailers Ann Taylor Stores Corp. and
Office Depot Inc. As important as it was that we invested in stocks that
performed well, it was equally significant that we avoided those names that did
not perform well. Examples of stocks that performed poorly within the benchmark,
but aided the Fund's relative results because they were underweighted in the
portfolio, include Amgen Inc. and Starbucks Corp.
Because the Fund invests in large-capitalization stocks that represent a
significant part of the U.S. stock market, its portfolio was influenced by the
same economic and market events that affected the broader stock market during
the past six months. This investing environment was challenging at times. The
beginning of the period saw mid-term elections in Congress in which control
shifted from Republicans to Democrats. We believe this shift is likely to change
the course of legislation over the next few years. Free trade policies,
healthcare-related legislation (such as Medicare prescription drug benefits) and
tax policies (specifically, moderating or eliminating reduced taxation) all may
be affected in the near future.
Economic news was mixed throughout the period, but its impact on the markets was
at first minimal, as the beginning of the period saw equities reach record
highs. Although fears over a weakening U.S. housing market and a slowdown in
consumer spending sparked investor concern, markets rallied from the start of
the period until February, when the Dow Jones Industrial Average, the U.S. index
containing 30 stocks listed on the New York Stock Exchange, lost more than 416
points. This represented the largest one-week decline since September 2001, and
came on the heels of a substantial correction in Asian markets, particularly
China. The markets rebounded in the weeks that followed, but remained volatile
amid an increase in subprime mortgage delinquencies and the high-profile
bankruptcy of a leading subprime mortgage company. However, there was ongoing
investor debate as to whether the subprime meltdown would spread through other
parts of the economy.
During the six-month period, crude oil prices stabilized under $61 per barrel
thanks to unseasonably warm winter weather and ample inventories from non-OPEC
countries. The Federal Reserve Board (the Fed) remained at a pause in its
monetary policy, keeping interest rates steady at 5.25%. Gross domestic product
(GDP) growth for first quarter 2007 was revised down to 1.3%, compared to 2.5%
growth in fourth quarter 2006.
4 BLACKROCK CORE PRINCIPAL PROTECTED FUND APRIL 30, 2007
What changes were made to the Portfolio during the period?
Overall, we continued to identify companies with favorable growth
characteristics and earnings developments selling at attractive relative
valuations. As a result of our bottom-up stock-selection process, we increased
the Portfolio's position in health care and reduced exposure to the energy,
industrials, consumer discretionary, financials and consumer staples sectors.
The largest purchases during the period in terms of dollars spent were in
UnitedHealth Group, Inc., Schering-Plough, Coach, Inc., CIGNA Corp. and Applied
Materials, Inc. The largest sales were in Merck & Co. Inc., Texas Instruments
Inc., Occidental Petroleum Corp., Motorola, Inc. and Cardinal Health, Inc. These
transactions reflect our ongoing refinement of the Portfolio, as we continue to
look for stocks that best meet our investment criteria while pruning those that
have deteriorated versus our original assessment.
How would you characterize the Portfolio's position at the close of the period?
As of April 30, 2007, portfolio assets were invested 100% in equities and 0% in
fixed income securities. The Portfolio's largest overweights at period-end were
in the health care, consumer discretionary, information technology, materials
and energy sectors. The largest underweights were in financials, consumer
staples and telecommunication services.
Given the mounting evidence of slowing economic growth, attention is
increasingly focusing on the Fed, with many observers wondering when the central
bank will begin cutting interest rates. Despite weaker growth rates, however, it
appears there are still enough mitigating factors to keep the Fed on hold for
now. Having said that, we do believe the Fed will begin cutting interest rates
by the end of the year as the economy continues to slow and as inflationary
pressures recede.
Based on the equity market run-up at the end of the period, there has been some
concern that stocks may be overbought, which could result in some sort of
near-term market correction. We acknowledge that the markets face headwinds in
the form of slowing economic growth, weakening corporate earnings growth and a
Fed that is not presently accommodative. In our opinion, however, the backdrop
for an equity bear market simply does not exist. Monetary policy is by no means
overly tight, inflation (while higher than the Fed would like) is still low and
seems to be easing, and earnings growth is slowing, not collapsing. From our
perspective, the tailwinds of good valuation levels, strong global economic
growth, ongoing corporate deal activity and the relative attractiveness of
stocks compared to other investments (chiefly bonds) should help the equity bull
market to continue.
Robert C. Doll, Jr.
Trust President, Trustee and Portfolio Manager
May 14, 2007
BLACKROCK CORE PRINCIPAL PROTECTED FUND APRIL 30, 2007 5
Performance Data
About Fund Performance
Effective October 2, 2006, the Fund's Class A, Class B, Class C and Class I
Shares were redesignated Investor A, Investor B, Investor C and Institutional
Shares, respectively. As previously communicated to shareholders, new sales
charge schedules came into effect at the same time for certain of these classes.
The Fund has multiple classes of shares:
o Institutional Shares are not subject to any sales charge. Institutional
Shares bear no ongoing distribution or service fees and are available only
to eligible investors.
o Investor A Shares incur a maximum initial sales charge (front-end load) of
5.25% and a service fee of 0.25% per year (but no distribution fee).
o Investor B Shares are subject to a maximum contingent deferred sales
charge of 4.50% declining to 0% after six years. In addition, Investor B
Shares are subject to a distribution fee of 0.75% per year and a service
fee of 0.25% per year. These shares automatically convert to Investor A
Shares after approximately eight years. (There is no initial sales charge
for automatic share conversions.) All returns for periods greater than
eight years reflect this conversion.
o Investor C Shares are subject to a distribution fee of 0.75% per year and
a service fee of 0.25% per year. In addition, Investor C Shares are
subject to a 1% contingent deferred sales charge if redeemed within one
year of purchase.
Performance information reflects past performance and does not guarantee future
results. Current performance may be lower or higher than the performance data
quoted. Refer to www.blackrock.com to obtain performance data current to the
most recent month-end. Performance results do not reflect the deduction of taxes
that a shareholder would pay on fund distributions or the redemption of fund
shares. Figures shown in each of the following tables assume reinvestment of all
dividends and capital gain distributions, if any, at net asset value on the
ex-dividend date. The Fund's Investment Adviser waived a portion of the Fund's
expenses. Without such waiver, the Fund's performance would have been lower.
Investment return and principal value of shares will fluctuate so that shares,
when redeemed, may be worth more or less than their original cost. Dividends
paid to each class of shares will vary because of the different levels of
service, distribution and transfer agency fees applicable to each class, which
are deducted from the income available to be paid to shareolders.
Recent Performance Results
6-Month 12-Month Since Inception
As of April 30, 2007 Total Return Total Return Total Return
=================================================================================================================
Institutional Shares* +9.01% +11.39% +67.92%
- -----------------------------------------------------------------------------------------------------------------
Investor A Shares* +8.85 +11.14 +66.18
- -----------------------------------------------------------------------------------------------------------------
Investor B Shares* +8.54 +10.39 +61.13
- -----------------------------------------------------------------------------------------------------------------
Investor C Shares* +8.51 +10.27 +61.02
- -----------------------------------------------------------------------------------------------------------------
Merrill Lynch U.S. Corporate Master Index** +2.83 + 8.39 +21.38
- -----------------------------------------------------------------------------------------------------------------
Lehman Brothers Aggregate Bond Index*** +2.64 + 7.36 +16.74
- -----------------------------------------------------------------------------------------------------------------
Russell 1000(R) Index**** +9.10 +15.16 +94.92
- -----------------------------------------------------------------------------------------------------------------
* Investment results shown do not reflect sales charges; results shown would
be lower if a sales charge was included. Cumulative total investment
returns are based on changes in net asset values for the periods shown,
and assume reinvestment of all dividends and capital gains distributions
at net asset value on the ex-dividend date. The Fund's inception date is
2/28/03.
** This unmanaged Index is comprised of all investment grade corporate bonds,
rated BBB or higher, of all maturities. Since inception total return is
from 2/28/03.
*** This unmanaged market-weighted Index is comprised of U.S. government and
agency securities, mortgage-backed securities issued by the Government
National Mortgage Association, Freddie Mac or Fannie Mae and investment
grade (rated BBB or better) corporate bonds with at least one year to
maturity. Since inception total return is from 2/28/03.
**** This unmanaged broad-based Index measures the performance of the 1,000
largest companies in the Russell 3000(R) Index, which represents
approximately 92% of the total market capitalization of the Russell 3000
Index. Since inception total return is from 2/28/03.
Russell 1000 and Russell 3000 are registered trademarks of the Frank
Russell Company.
6 BLACKROCK CORE PRINCIPAL PROTECTED FUND APRIL 30, 2007
Performance Data (concluded)
Core Principal Protected
BlackRock Core Principal Protected Fund -- Edgar
Total Return Based on a $10,000 Investment
A line graph depicting the growth of an investment in the Fund's Institutional,
Investor A, Investor B & Investor C Shares compared to growth of an investment
in the Merrill Lynch U.S. Corporate Master Index, Lehman Brothers Aggregate Bond
Index and the Russell 1000 Index. Values are from February 28, 2003 to April
2007:
Merrill Lynch Lehman Brothers
Institutional Investor A Investor B Investor C U.S. Corporate Aggregate Bond Russell 1000
Shares*+ Shares*+ Shares*+ Shares*+ Master Index++ Index+++ Index++++
2/28/03** $10,000 $9,475 $10,000 $10,000 $10,000 $10,000 $10,000
4/03 $10,200 $9,665 $10,190 $10,190 $10,237 $10,100 $10,972
4/04 $11,369 $10,740 $11,238 $11,238 $10,621 $10,284 $13,594
4/05 $12,217 $11,514 $11,956 $11,959 $11,238 $10,825 $14,573
4/06 $15,076 $14,167 $14,596 $14,601 $11,239 $10,901 $17,008
4/07 $16,792 $15,745 $15,913 $16,102 $12,138 $11,674 $19,492
* Assuming maximum sales charge, if any, transaction costs and other
operating expenses, including administration fees.
** Commencement of operations.
+ The Fund invests all of its equity component assets in Master Large Cap
Core Portfolio of Master Large Cap Series Trust. The Portfolio invests
primarily in a diversified portfolio of equity securities of large cap
companies located in the United States that the Manager believes blends
growth and value.
++ This unmanaged Index is comprised of all investment grade corporate bonds,
rated BBB or higher, of all maturities.
+++ This unmanaged market-weighted Index is comprised of U.S. government and
agency securities, mortgage-backed securities issued by the Government
National Mortgage Association, Freddie Mac or Fannie Mae and investment
grade (rated BBB or better) corporate bonds with at least one year to
maturity.
++++ This unmanaged broad-based Index measures the performance of the 1,000
largest companies in the Russell 3000(R) Index, which represents
approximately 92% of the total market capitalization of the Russell 3000
Index.
Past performance is not indicative of future results.
Average Annual Total Return
Return
================================================================================
Institutional Shares
================================================================================
One Year Ended 4/30/07 +11.39%
- --------------------------------------------------------------------------------
Inception (2/28/03)
through 4/30/07 +13.24
- --------------------------------------------------------------------------------
Return Without Return With
Sales Charge Sales Charge*
================================================================================
Investor A Shares
================================================================================
One Year Ended 4/30/07 +11.14% + 5.30%
- --------------------------------------------------------------------------------
Inception (2/28/03)
through 4/30/07 +12.95 +11.50
- --------------------------------------------------------------------------------
Return Return
Without CDSC With CDSC+++
================================================================================
Investor B Shares+
================================================================================
One Year Ended 4/30/07 +10.39% + 5.89%
- --------------------------------------------------------------------------------
Inception (2/28/03)
through 4/30/07 +12.12 +11.78
- --------------------------------------------------------------------------------
Return Return
Without CDSC With CDSC+++
================================================================================
Investor C Shares++
================================================================================
One Year Ended 4/30/07 +10.27% + 9.27%
- --------------------------------------------------------------------------------
Inception (2/28/03)
through 4/30/07 +12.10 +12.10
- --------------------------------------------------------------------------------
* Assuming maximum sales charge of 5.25%.
+ Maximum contingent deferred sales charge is 4.50% and is reduced to 0%
after six years.
++ Maximum contingent deferred sales charge is 1% and is reduced to 0% after
one year.
+++ Assuming payment of applicable contingent deferred sales charge.
BLACKROCK CORE PRINCIPAL PROTECTED FUND APRIL 30, 2007 7
Disclosure of Expenses
Shareholders of this Fund may incur the following charges: (a) expenses related
to transactions, including sales charges, redemption fees and exchange fees; and
(b) operating expenses including advisory fees, distribution fees including
12b-1 fees, and other Fund expenses. The following example (which is based on a
hypothetical investment of $1,000 invested on November 1, 2006 and held through
April 30, 2007) is intended to assist shareholders both in calculating expenses
based on an investment in the Fund and in comparing these expenses with similar
costs of investing in other mutual funds.
The first table below provides information about actual account values and
actual expenses. In order to estimate the expenses a shareholder paid during the
period covered by this report, shareholders can divide their account value by
$1,000 and then multiply the result by the number in the first line under the
heading entitled "Expenses Paid During the Period."
The second table below provides information about hypothetical account values
and hypothetical expenses based on the Fund's actual expense ratio and an
assumed rate of return of 5% per year before expenses. In order to assist
shareholders in comparing the ongoing expenses of investing in this Fund and
other funds, compare the 5% hypothetical example with the 5% hypothetical
examples that appear in other funds' shareholder reports.
The expenses shown in the table are intended to highlight shareholders' ongoing
costs only and do not reflect any transactional expenses, such as sales charges,
redemption fees or exchange fees. Therefore, the second table is useful in
comparing ongoing expenses only, and will not help shareholders determine the
relative total expenses of owning different funds. If these transactional
expenses were included, shareholder expenses would have been higher.
Expenses Paid
Beginning Ending During the Period*
Account Value Account Value November 1, 2006
November 1, 2006 April 30, 2007 to April 30, 2007
============================================================================================================================
Actual
============================================================================================================================
Institutional $1,000 $1,090.10 $ 8.24
- ----------------------------------------------------------------------------------------------------------------------------
Investor A $1,000 $1,083.00 $ 9.45
- ----------------------------------------------------------------------------------------------------------------------------
Investor B $1,000 $1,085.40 $13.39
- ----------------------------------------------------------------------------------------------------------------------------
Investor C $1,000 $1,085.10 $13.39
============================================================================================================================
Hypothetical (5% annual return before expenses)**
============================================================================================================================
Institutional $1,000 $1,016.92 $ 7.95
- ----------------------------------------------------------------------------------------------------------------------------
Investor A $1,000 $1,015.73 $ 9.15
- ----------------------------------------------------------------------------------------------------------------------------
Investor B $1,000 $1,011.96 $12.92
- ----------------------------------------------------------------------------------------------------------------------------
Investor C $1,000 $1,011.96 $12.92
- ----------------------------------------------------------------------------------------------------------------------------
* For each class of the Fund, expenses are equal to the annualized expense
ratio for the class (1.59% for Institutional, 1.83% for Investor A, 2.59%
for Investor B and 2.59% for Investor C), multiplied by the average
account value over the period, multiplied by 181/365 (to reflect the
one-half year period shown). Because the Fund invests significantly in a
master portfolio, the expense table example reflects the expenses of both
the fund and the master portfolio in which it invests.
** Hypothetical 5% annual return before expenses is calculated by pro-rating
the number of days in the most recent fiscal half year divided by 365.
8 BLACKROCK CORE PRINCIPAL PROTECTED FUND APRIL 30, 2007
Statement of Assets and Liabilities BlackRock Core Principal Protected Fund
As of April 30, 2007 (Unaudited)
===================================================================================================================================
Assets
- -----------------------------------------------------------------------------------------------------------------------------------
Investment in Master Large Cap Core Portfolio (the "Portfolio"), at value
(identified cost -- $127,857,705*) ............................................ $ 176,624,873
Prepaid expenses ................................................................ 5,615
-------------
Total assets .................................................................... 176,630,488
-------------
===================================================================================================================================
Liabilities
- -----------------------------------------------------------------------------------------------------------------------------------
Payables:
Distributor ................................................................. $ 132,886
Financial warranty fee ...................................................... 90,648
Advisory fee ................................................................ 41,739
Other affiliates ............................................................ 2,246 267,519
-------------
Accrued expenses ................................................................ 53,581
-------------
Total liabilities ............................................................... 321,100
-------------
===================================================================================================================================
Net Assets
- -----------------------------------------------------------------------------------------------------------------------------------
Net assets ...................................................................... $ 176,309,388
=============
===================================================================================================================================
Net Assets Consist of
- -----------------------------------------------------------------------------------------------------------------------------------
Paid-in capital, unlimited shares of no par value authorized .................... $ 119,833,864
Accumulated investment loss -- net .............................................. $ (1,086,931)
Undistributed realized capital gains -- net ..................................... 8,795,287
Unrealized appreciation -- net .................................................. 48,767,168
-------------
Total accumulated earnings -- net ............................................... 56,475,524
-------------
Net Assets ...................................................................... $ 176,309,388
=============
===================================================================================================================================
Net Asset Value
- -----------------------------------------------------------------------------------------------------------------------------------
Institutional -- Based on net assets of $4,904,187 and 389,377 shares outstanding $ 12.59
=============
Investor A -- Based on net assets of $13,023,387 and 1,037,344 shares outstanding $ 12.55
=============
Investor B -- Based on net assets of $95,772,012 and 7,751,226 shares outstanding $ 12.36
=============
Investor C -- Based on net assets of $62,609,802 and 5,055,922 shares outstanding $ 12.38
=============
* The cost and unrealized appreciation of investments as of April 30, 2007,
as computed for federal income tax purposes, were as follows:
Aggregate cost ........................................ $127,857,705
============
Gross unrealized appreciation ......................... $ 48,767,168
Gross unrealized depreciation ......................... --
------------
Net unrealized appreciation ........................... $ 48,767,168
============
See Notes to Financial Statements.
BLACKROCK CORE PRINCIPAL PROTECTED FUND APRIL 30, 2007 9
Statement of Operations BlackRock Core Principal Protected Fund
For the Six Months Ended April 30, 2007 (Unaudited)
===================================================================================================================================
Investment Income
- -----------------------------------------------------------------------------------------------------------------------------------
Net investment income allocated from the Portfolio:
Dividends ................................................................... $ 1,129,722
Securities lending -- net ................................................... 18,427
Interest from affiliates .................................................... 1,850
Expenses .................................................................... (438,545)
-------------
Total income .................................................................... 711,454
-------------
===================================================================================================================================
Expenses
- -----------------------------------------------------------------------------------------------------------------------------------
Investment advisory fees ........................................................ $ 671,455
Financial warranty fee .......................................................... 559,546
Service and distribution fees -- Investor B ..................................... 487,740
Service and distribution fees -- Investor C ..................................... 313,668
Printing and shareholder reports ................................................ 38,831
Accounting services ............................................................. 30,157
Professional fees ............................................................... 23,946
Transfer agent fees -- Investor B ............................................... 21,659
Service fees -- Investor A ...................................................... 17,332
Transfer agent fees -- Investor C ............................................... 13,795
Trustees' fees and expenses ..................................................... 11,658
Custodian fees .................................................................. 9,683
Transfer agent fees -- Investor A ............................................... 2,483
Transfer agent fees -- Institutional ............................................ 1,254
Pricing fees .................................................................... 315
Other ........................................................................... 9,430
-------------
Total expenses before waiver .................................................... 2,212,952
Waiver of expenses .............................................................. (414,567)
-------------
Total expenses after waiver ..................................................... 1,798,385
-------------
Investment loss -- net .......................................................... (1,086,931)
-------------
===================================================================================================================================
Realized & Unrealized Gain Allocated from the Portfolio -- Net
- -----------------------------------------------------------------------------------------------------------------------------------
Realized gain on investments -- net ............................................. 8,795,294
Change in unrealized appreciation on investments -- net ......................... 7,052,587
-------------
Total realized and unrealized gain -- net ....................................... 15,847,881
-------------
Net Increase in Net Assets Resulting from Operations ............................ $ 14,760,950
=============
See Notes to Financial Statements.
10 BLACKROCK CORE PRINCIPAL PROTECTED FUND APRIL 30, 2007
Statements of Changes in Net Assets BlackRock Core Principal Protected Fund
For the Six
Months Ended For the
April 30, Year Ended
2007 October 31,
Increase (Decrease) in Net Assets: (Unaudited) 2006
===================================================================================================================================
Operations
- -----------------------------------------------------------------------------------------------------------------------------------
Investment loss -- net .......................................................... $ (1,086,931) $ (2,796,671)
Realized gain -- net ............................................................ 8,795,294 16,640,357
Change in unrealized appreciation -- net ........................................ 7,052,587 14,361,843
-------------------------------
Net increase in net assets resulting from operations ............................ 14,760,950 28,205,529
-------------------------------
===================================================================================================================================
Distributions to Shareholders
- -----------------------------------------------------------------------------------------------------------------------------------
Realized gain:
Institutional ............................................................... (517,532) (477,242)
Investor A .................................................................. (1,289,442) (501,048)
Investor B .................................................................. (9,019,454) (7,011,819)
Investor C .................................................................. (5,717,830) (3,979,145)
-------------------------------
Net decrease in net assets resulting from distributions to shareholders ......... (16,544,258) (11,969,254)
-------------------------------
===================================================================================================================================
Beneficial Interests Transactions
- -----------------------------------------------------------------------------------------------------------------------------------
Net decrease in net assets derived from beneficial interests transactions ....... (7,982,727) (33,246,056)
-------------------------------
===================================================================================================================================
Net Assets
- -----------------------------------------------------------------------------------------------------------------------------------
Total decrease in net assets .................................................... (9,766,035) (17,009,781)
Beginning of period ............................................................. 186,075,423 203,085,204
-------------------------------
End of period* .................................................................. $ 176,309,388 $ 186,075,423
===============================
* Accumulated investment loss -- net ........................................ $ (1,086,931) --
===============================
See Notes to Financial Statements.
BLACKROCK CORE PRINCIPAL PROTECTED FUND APRIL 30, 2007 11
Financial Highlights BlackRock Core Principal Protected Fund
Institutional
--------------------------------------------------------------------------------
For the For the
Six Months Period
The following per share data and Ended For the Year Ended February 28,
ratios have been derived from April 30, October 31, 2003+ to
information provided in the 2007 --------------------------------------------- October 31,
financial statements. (Unaudited) 2006 2005 2004 2003
================================================================================================================================
Per Share Operating Performance
- --------------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period ....... $ 12.66 $ 11.66 $ 11.48 $ 11.34 $ 10.00
--------------------------------------------------------------------------------
Investment income (loss) -- net ............ (.02)@@ (.06)@@ --+++@@ .04 .03
Realized and unrealized gain -- net ........ 1.09 1.88 1.31 .45 1.31
--------------------------------------------------------------------------------
Total from investment operations ........... 1.07 1.82 1.31 .49 1.34
--------------------------------------------------------------------------------
Less distributions from realized
gain -- net .............................. (1.14) (.82) (1.13) (.35) --
--------------------------------------------------------------------------------
Net asset value, end of period ............. $ 12.59 $ 12.66 $ 11.66 $ 11.48 $ 11.34
================================================================================
================================================================================================================================
Total Investment Return**
- --------------------------------------------------------------------------------------------------------------------------------
Based on net asset value per share ......... 9.01%@ 16.25% 11.88% 4.44% 13.40%@
================================================================================
================================================================================================================================
Ratios to Average Net Assets++
- --------------------------------------------------------------------------------------------------------------------------------
Expenses, net of waiver .................... 1.59%* 1.55% 1.58% 1.58% 1.75%*
================================================================================
Expenses ................................... 2.05%* 2.02% 2.00% 1.91% 2.01%*
================================================================================
Investment income (loss) -- net ............ (.29%)* (.47%) (.01%) .39% .35%*
================================================================================
================================================================================================================================
Supplemental Data
- --------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) ........................... $ 4,904 $ 5,824 $ 7,034 $ 9,893 $ 14,290
================================================================================
Portfolio turnover of the Fund ............. .00% .00% 186.21% 167.08% 175.43%
================================================================================
Portfolio turnover of the Portfolio ........ 36.05% 87.67% 93.95% 135.48% 138.73%
================================================================================
Investor A
--------------------------------------------------------------------------------
For the For the
Six Months Period
The following per share data and Ended For the Year Ended February 28,
ratios have been derived from April 30, October 31, 2003+ to
information provided in the 2007 --------------------------------------------- October 31,
financial statements. (Unaudited) 2006 2005 2004 2003
================================================================================================================================
Per Share Operating Performance
- --------------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period ....... $ 12.64 $ 11.63 $ 11.44 $ 11.32 $ 10.00
--------------------------------------------------------------------------------
Investment income (loss) -- net ............ (.03)@@ (.11)@@ (.03)@@ .01 .01
Realized and unrealized gain -- net ........ 1.08 1.90 1.31 .44 1.31
--------------------------------------------------------------------------------
Total from investment operations ........... 1.05 1.79 1.28 .45 1.32
--------------------------------------------------------------------------------
Less distributions from realized
gain -- net .............................. (1.14) (.78) (1.09) (.33) --
--------------------------------------------------------------------------------
Net asset value, end of period ............. $ 12.55 $ 12.64 $ 11.63 $ 11.44 $ 11.32
================================================================================
================================================================================================================================
Total Investment Return**
- --------------------------------------------------------------------------------------------------------------------------------
Based on net asset value per share ......... 8.85%@ 16.02% 11.62% 4.14% 13.20%@
================================================================================
================================================================================================================================
Ratios to Average Net Assets++
- --------------------------------------------------------------------------------------------------------------------------------
Expenses, net of waiver .................... 1.83%* 1.80% 1.83% 1.83% 2.00%*
================================================================================
Expenses ................................... 2.29%* 2.27% 2.25% 2.16% 2.26%*
================================================================================
Investment income (loss) -- net ............ (.53%)* (.74%) (.26%) .13% .10%*
================================================================================
================================================================================================================================
Supplemental Data
- --------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) ........................... $ 13,023 $ 15,414 $ 7,932 $ 11,534 $ 18,674
================================================================================
Portfolio turnover of the Fund ............. .00% .00% 186.21% 167.08% 175.43%
================================================================================
Portfolio turnover of the Portfolio ........ 36.05% 87.67% 93.95% 135.48% 138.73%
================================================================================
* Annualized.
** Total investment returns exclude the effects of any sales charges.
+ Commencement of operations.
++ Includes the Fund's share of the Portfolio's allocated expenses and/or
investment income -- net.
+++ Amount is less than $(.01) per share.
@ Aggregate total investment return.
@@ Based on average shares outstanding.
See Notes to Financial Statements.
12 BLACKROCK CORE PRINCIPAL PROTECTED FUND APRIL 30, 2007
Financial Highlights (concluded) BlackRock Core Principal Protected Fund
Investor B
--------------------------------------------------------------------------------
For the For the
Six Months Period
The following per share data and Ended For the Year Ended February 28,
ratios have been derived from April 30, October 31, 2003+ to
information provided in the 2007 --------------------------------------------- October 31,
financial statements. (Unaudited) 2006 2005 2004 2003
================================================================================================================================
Per Share Operating Performance
- --------------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period ....... $ 12.50 $ 11.51 $ 11.33 $ 11.26 $ 10.00
--------------------------------------------------------------------------------
Investment loss -- net ..................... (.08)@@ (.19)@@ (.12)@@ (.07) (.05)
Realized and unrealized gain -- net ........ 1.08 1.87 1.30 .44 1.31
--------------------------------------------------------------------------------
Total from investment operations ........... 1.00 1.68 1.18 .37 1.26
--------------------------------------------------------------------------------
Less distributions from realized gain -- net (1.14) (.69) (1.00) (.30) --
--------------------------------------------------------------------------------
Net asset value, end of period ............. $ 12.36 $ 12.50 $ 11.51 $ 11.33 $ 11.26
================================================================================
================================================================================================================================
Total Investment Return**
- --------------------------------------------------------------------------------------------------------------------------------
Based on net asset value per share ......... 8.54%@ 15.11% 10.81% 3.36% 12.60%@
================================================================================
================================================================================================================================
Ratios to Average Net Assets++
- --------------------------------------------------------------------------------------------------------------------------------
Expenses, net of waiver .................... 2.59%* 2.56% 2.59% 2.58% 2.76%*
================================================================================
Expenses ................................... 3.05%* 3.03% 3.01% 2.91% 3.03%*
================================================================================
Investment loss -- net ..................... (1.30%)* (1.48%) (1.07%) (.59%) (.68%)*
================================================================================
================================================================================================================================
Supplemental Data
- --------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (in thousands) ... $ 95,772 $ 100,974 $ 118,858 $ 130,014 $ 145,568
================================================================================
Portfolio turnover of the Fund ............. .00% .00% 186.21% 167.08% 175.43%
================================================================================
Portfolio turnover of the Portfolio ........ 36.05% 87.67% 93.95% 135.48% 138.73%
================================================================================
Investor C
--------------------------------------------------------------------------------
For the For the
Six Months Period
The following per share data and Ended For the Year Ended February 28,
ratios have been derived from April 30, October 31, 2003+ to
information provided in the 2007 --------------------------------------------- October 31,
financial statements. (Unaudited) 2006 2005 2004 2003
================================================================================================================================
Per Share Operating Performance
- --------------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period ....... $ 12.52 $ 11.53 $ 11.33 $ 11.26 $ 10.00
--------------------------------------------------------------------------------
Investment loss -- net ..................... (.08)@@ (.18)@@ (.12)@@ (.07) (.05)
Realized and unrealized gain -- net ........ 1.08 1.86 1.30 .44 1.31
--------------------------------------------------------------------------------
Total from investment operations ........... 1.00 1.68 1.18 .37 1.26
--------------------------------------------------------------------------------
Less distributions from realized gain -- net (1.14) (.69) (.98) (.30) --
--------------------------------------------------------------------------------
Net asset value, end of period ............. $ 12.38 $ 12.52 $ 11.53 $ 11.33 $ 11.26
================================================================================
================================================================================================================================
Total Investment Return**
- --------------------------------------------------------------------------------------------------------------------------------
Based on net asset value per share ......... 8.51%@ 15.03% 10.83% 3.37% 12.60%@
================================================================================
================================================================================================================================
Ratios to Average Net Assets++
- --------------------------------------------------------------------------------------------------------------------------------
Expenses, net of waiver .................... 2.59%* 2.56% 2.59% 2.59% 2.76%*
================================================================================
Expenses ................................... 3.05%* 3.03% 3.01% 2.91% 3.03%*
================================================================================
Investment loss -- net ..................... (1.30%)* (1.48%) (1.05%) (.61%) (.68%)*
================================================================================
================================================================================================================================
Supplemental Data
- --------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (in thousands) ... $ 62,610 $ 63,864 $ 69,261 $ 82,398 $ 108,700
================================================================================
Portfolio turnover of the Fund ............. .00% .00% 186.21% 167.08% 175.43%
================================================================================
Portfolio turnover of the Portfolio ........ 36.05% 87.67% 93.95% 135.48% 138.73%
================================================================================
* Annualized.
** Total investment returns exclude the effect of sales charges.
+ Commencement of operations.
++ Includes the Fund's share of the Portfolio's allocated expenses and/or
investment income -- net.
@ Aggregate total investment return.
@@ Based on average shares outstanding.
See Notes to Financial Statements.
BLACKROCK CORE PRINCIPAL PROTECTED FUND APRIL 30, 2007 13
Notes to Financial Statements (Unaudited)
BlackRock Core Principal Protected Fund
1. Significant Accounting Policies:
BlackRock Core Principal Protected Fund (the "Fund") is a series of BlackRock
Principal Protected Trust ("the Trust"). Under the Investment Company Act of
1940, as amended, the Fund is diversified and the Trust is registered as an
open-end management investment company. The Fund invests all or a portion of its
assets in Master Large Cap Core Portfolio (the "Portfolio"), which is a series
of Master Large Cap Series Trust. 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 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 U.S. generally accepted accounting
principles, which may require the use of management accruals and estimates.
Actual results may differ from these estimates. These unaudited financial
statements reflect all adjustments, which are, in the opinion of management,
necessary to present a fair statement of the results for the interim period. All
such adjustments are of a normal, recurring nature. The percentage of the
Portfolio owned by the Fund at April 30, 2007 was 4.0%. 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 Fund will be
offered on a continuous basis after the Guarantee Maturity Date. Institutional
Shares are sold only to certain eligible investors. Investor A Shares are sold
with a front-end sales charge. Shares of Investor B and Investor C 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. 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). Income, expenses (other than expenses
attributable to a specific class) and realized and unrealized gains and losses
are allocated daily to each class based on its relative net assets. The
following is a summary of significant accounting policies followed by the Fund.
(a) Valuation of investments -- The Fund records its investments in the
Portfolio at fair value. Valuation of securities held by the Portfolio is
discussed in Note 1(a) of the Portfolio's Notes to Financial Statements, which
are included elsewhere in this report.
(b) Derivative financial instruments -- The Fund may engage in various portfolio
investment strategies both to increase the return of the Fund and to hedge, or
protect its exposure to interest rate movements and movements in the securities
markets. Losses may arise due to changes in the value of the contract or if the
counterparty does not perform under the contract.
o Financial futures contracts -- The Fund may purchase or sell financial
futures contracts and options on such financial futures contracts.
Financial futures contracts are contracts for delayed delivery of
securities at a specific future date and at a specific price or yield.
Upon entering into a contract, the Fund deposits, and maintains as
collateral, such initial margin as required by the exchange on which the
transaction is effected. Pursuant to the contract, the Fund agrees to
receive from or pay to the broker an amount of cash equal to the daily
fluctuation in value of the contract. Such receipts or payments are known
as variation margin and are recorded by the Fund as unrealized gains or
losses. When the contract is closed, the Fund records a realized gain or
loss equal to the difference between the value of the contract at the time
it was opened and the value at the time it was closed.
o Options -- The Fund may write and purchase call and put options. When the
Fund writes an option, an amount equal to the premium received by the Fund
is reflected as an asset and an equivalent liability. The amount of the
liability is subsequently marked-to-market to reflect the current market
value of the option written. When a security is purchased or sold through
an exercise of an option, the related premium paid (or received) is added
to (or deducted from) the basis of the security acquired or deducted from
(or added to) the proceeds of the security sold. When an option expires
(or the Fund enters into a closing transaction), the Fund realizes a gain
or loss on the option to the extent of the premiums received or paid (or
gain or loss to the extent the cost of the closing transaction exceeds the
premium paid or received).
Written and purchased options are non-income producing investments.
14 BLACKROCK CORE PRINCIPAL PROTECTED FUND APRIL 30, 2007
Notes to Financial Statements (continued)
BlackRock Core Principal Protected Fund
(c) Security transactions, investment income and expenses -- Security
transactions are recorded on the dates the transactions are entered into (the
trade dates). Investment transactions in the Portfolio are accounted for on a
trade date basis. Realized gains and losses on security 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. The Fund
amortizes all premiums and discounts on debt securities. The Fund records daily
its proportionate share of the Portfolio's income, expenses and realized and
unrealized gains and losses. In addition, the Fund accrues its own expenses.
(d) 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.
(e) Prepaid registration fees -- Prepaid registration fees are charged to
expense as the related shares are issued.
(f) Dividends and distributions -- Dividends and distributions paid by the Fund
are recorded on the ex-dividend dates.
(g) Recent accounting pronouncements -- In July 2006, the Financial Accounting
Standards Board ("FASB") issued Interpretation No. 48 ("FIN 48"), "Accounting
for Uncertainty in Income Taxes -- an interpretation of FASB Statement No. 109."
FIN 48 prescribes the minimum recognition threshold a tax position must meet in
connection with accounting for uncertainties in income tax positions taken or
expected to be taken by an entity, including mutual funds, before being measured
and recognized in the financial statements. Adoption of FIN 48 is required for
the last net asset value calculation in the first required financial statement
reporting period for fiscal years beginning after December 15, 2006. The impact
on the Fund's financial statements, if any, is currently being assessed.
In September 2006, "Statement of Financial Accounting Standards No. 157, Fair
Value Measurements" ("FAS 157"), was issued and is effective for fiscal years
beginning after November 15, 2007. FAS 157 defines fair value, establishes a
framework for measuring fair value and expands disclosures about fair value
measurements. At this time, management is evaluating the implications of FAS 157
and its impact on the Fund's financial statements, if any, has not been
determined.
In addition, in February 2007, FASB issued "Statement of Financial Accounting
Standards No. 159, The Fair Value Option for Financial Assets and Financial
Liabilities" ("FAS 159"), which is effective for fiscal years beginning after
November 15, 2007. Early adoption is permitted as of the beginning of a fiscal
year that begins on or before November 15, 2007, provided the entity also elects
to apply the provisions of FAS 157. FAS 159 permits entities to choose to
measure many financial instruments and certain other items at fair value that
are not currently required to be measured at fair value. FAS 159 also
establishes presentation and disclosure requirements designed to facilitate
comparisons between entities that choose different measurement attributes for
similar types of assets and liabilities. At this time, management is evaluating
the implications of FAS 159 and its impact on the Fund's financial statements,
if any, has not been determined.
2. Investment Advisory Agreements and Transactions with Affiliates:
The Investment Advisory Agreement between the Trust, on behalf of the Fund, and
BlackRock Advisors, LLC (the "Manager"), an indirect, wholly owned subsidiary of
BlackRock, Inc., became effective on September 29, 2006. Prior to September 29,
2006, Fund Asset Management, L.P. ("FAM") was the Fund's manager. The general
partner of FAM is Princeton Services, Inc. ("PSI"), an indirect, wholly owned
subsidiary of Merrill Lynch & Co., Inc. ("Merrill Lynch"), which is the limited
partner. Merrill Lynch and The PNC Financial Services Group, Inc. are the
principal owners of BlackRock, Inc.
The Fund has also entered into separate Distribution Agreements and Distribution
Plans with FAM Distributors, Inc. ("FAMD") and BlackRock Distributors, Inc. and
its affiliates ("BDI") (collectively, the "Distributor"). FAMD is a wholly owned
subsidiary of Merrill Lynch Group, Inc., and BDI is an affiliate of BlackRock,
Inc.
The Manager is responsible for the management of the Fund's portfolio and
provides the necessary personnel, facilities, equipment and certain other
services necessary to the operations of the Fund. For such services, the Fund
pays a monthly fee at the annual rate of .75% of the Fund's average daily net
assets. The Manager has contractually agreed to waive its management fee by the
amount of management fees the Fund pays the Manager indirectly through its
investment in the Portfolio. For the six months ended April 30, 2007, the
Manager earned fees of $671,455, of which $414,567 was waived. 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
BLACKROCK CORE PRINCIPAL PROTECTED FUND APRIL 30, 2007 15
Notes to Financial Statements (continued)
BlackRock Core Principal Protected Fund
1.99%. This arrangement has a one-year term and is renewable. In addition, the
Manager has entered into a 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 management fee paid by the Fund to the Manager.
Pursuant to the Distribution Plans adopted by the Fund in accordance with Rule
12b-1 under the Investment Company Act of 1940, the Fund pays the Distributor
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:
- --------------------------------------------------------------------------------
Service Distribution
Fee Fee
- --------------------------------------------------------------------------------
Investor A ......................................... .25% --
Investor B ......................................... .25% .75%
Investor C ......................................... .25% .75%
- --------------------------------------------------------------------------------
Pursuant to sub-agreements with each Distributor, broker-dealers, including
Merrill Lynch, Pierce, Fenner & Smith Incorporated ("MLPF&S"), a wholly owned
subsidiary of Merrill Lynch and an affiliate of each Distributor, provides
shareholder servicing and distribution services to the Fund. The ongoing service
fee compensates the Distributor and each broker-dealer (including MLPF&S) for
providing shareholder servicing to Investor A, Investor B and Investor C
shareholders. The ongoing distribution fee compensates each Distributor and
MLPF&S for providing shareholder and distribution-related services to Investor B
and Investor C shareholders.
For the six months ended April 30, 2007, MLPF&S and BDI received contingent
deferred sales charges of $110,104 and $1,387, respectively, relating to
transactions in Investor B Shares. Furthermore, MLPF&S received contingent
deferred sales charges of $23,523 relating to transactions subject to front-end
sales charge waivers in Investor A Shares.
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 six months
ended April 30, 2007, the following amounts have been accrued by the Fund to
reimburse the Manager for costs incurred running the call center, which are a
component of the transfer agent fees in the accompanying Statement of
Operations.
- --------------------------------------------------------------------------------
Call Center Fees
- --------------------------------------------------------------------------------
Institutional .................................................... $ 40
Investor A ....................................................... $ 78
Investor B ....................................................... $632
Investor C ....................................................... $595
- --------------------------------------------------------------------------------
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 Guarantee 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 .625% of the Fund's average daily net assets during the Guarantee Period. If
the value of the Fund's assets on the Guarantee 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
his or her Guaranteed Amount.
PFPC Inc., an indirect, wholly owned subsidiary of The PNC Financial Services
Group, Inc. and an affiliate of the Manager, is the Fund's transfer agent.
For the six months ended April 30, 2007, the Fund reimbursed the Manager $1,977
for certain accounting services.
Certain officers and/or trustees of the Fund are officers and/or directors of
BlackRock, Inc. or its affiliates.
3. Beneficial Interests Transactions:
Net decrease in net assets derived from beneficial interests transactions was
$7,982,727 and $33,246,056 for the six months ended April 30, 2007 and the year
ended October 31, 2006, respectively.
16 BLACKROCK CORE PRINCIPAL PROTECTED FUND APRIL 30, 2007
Notes to Financial Statements (concluded)
BlackRock Core Principal Protected Fund
Transactions in beneficial interests for each class were as follows:
- -------------------------------------------------------------------------------
Institutional Shares for the Six Dollar
Months Ended April 30, 2007 Shares Amount
- -------------------------------------------------------------------------------
Shares issued to shareholders in
reinvestment of distributions .............. 13,375 $ 158,360
Shares redeemed .............................. (84,068) (1,021,367)
---------------------------
Net decrease ................................. (70,693) $ (863,007)
===========================
- -------------------------------------------------------------------------------
Institutional Shares for the Year Dollar
Ended October 31, 2006 Shares Amount
- -------------------------------------------------------------------------------
Shares issued to shareholders in
reinvestment of distributions .............. 10,970 $ 127,250
Shares redeemed .............................. (154,237) (1,859,945)
---------------------------
Net decrease ................................. (143,267) $ (1,732,695)
===========================
- -------------------------------------------------------------------------------
Investor A Shares for the Six Dollar
Months Ended April 30, 2007 Shares Amount
- -------------------------------------------------------------------------------
Shares issued to shareholders in
reinvestment of distributions .............. 102,494 $ 1,212,730
Shares redeemed .............................. (285,071) (3,483,325)
---------------------------
Net decrease ................................. (182,577) $ (2,270,595)
===========================
- -------------------------------------------------------------------------------
Investor A Shares for the Year Dollar
Ended October 31, 2006 Shares Amount
- -------------------------------------------------------------------------------
Shares converted* ............................ 810,674 $ 9,768,858
Shares issued to shareholders in
reinvestment of distributions .............. 37,792 438,385
---------------------------
Total issued ................................. 848,466 10,207,243
Shares redeemed .............................. (310,493) (3,745,822)
---------------------------
Net increase ................................. 537,973 $ 6,461,421
===========================
- -------------------------------------------------------------------------------
Investor B Shares for the Six Dollar
Months Ended April 30, 2007 Shares Amount
- -------------------------------------------------------------------------------
Shares issued to shareholders in
reinvestment of distributions .............. 705,928 $ 8,229,310
Shares redeemed .............................. (1,034,458) (12,387,496)
---------------------------
Net decrease ................................. (328,530) $ (4,158,186)
===========================
- -------------------------------------------------------------------------------
Investor B Shares for the Year Dollar
Ended October 31, 2006 Shares Amount
- -------------------------------------------------------------------------------
Shares issued to shareholders in
reinvestment of distributions .............. 561,268 $ 6,482,761
Shares redeemed or converted* ................ (2,808,283) (33,508,192)
---------------------------
Net decrease ................................. (2,247,015) $(27,025,431)
===========================
- -------------------------------------------------------------------------------
Investor C Shares for the Six Dollar
Months Ended April 30, 2007 Shares Amount
- -------------------------------------------------------------------------------
Shares issued to shareholders in
reinvestment of distributions .............. 458,595 $ 5,361,176
Shares redeemed .............................. (502,634) (6,052,115)
---------------------------
Net decrease ................................. (44,039) $ (690,939)
===========================
- -------------------------------------------------------------------------------
Investor C Shares for the Year Dollar
Ended October 31, 2006 Shares Amount
- -------------------------------------------------------------------------------
Shares issued to shareholders in
reinvestment of distributions .............. 320,589 $ 3,712,581
Shares redeemed .............................. (1,229,286) (14,661,932)
---------------------------
Net decrease ................................. (908,697) $(10,949,351)
===========================
* In September 2006, certain brokerages, including a wholly owned subsidiary
of Merrill Lynch, entered into a remediation agreement with a regulatory
organization, which among other things, permitted certain shareholders of
Investor B Shares to convert their shares into the Fund's Investor A
Shares.
BLACKROCK CORE PRINCIPAL PROTECTED FUND APRIL 30, 2007 17
Portfolio Information as of April 30, 2007 Master Large Cap Core Portfolio
Percent of
Ten Largest Equity Holdings Net Assets
- --------------------------------------------------------------------------------
Exxon Mobil Corp. ................................................ 4.0%
JPMorgan Chase & Co. ............................................. 2.2
Chevron Corp. .................................................... 2.1
International Business Machines Corp. ............................ 2.1
Cisco Systems, Inc. .............................................. 2.1
Hewlett-Packard Co. .............................................. 1.8
General Electric Co. ............................................. 1.6
The Goldman Sachs Group, Inc. .................................... 1.6
Morgan Stanley ................................................... 1.6
United Health Group, Inc. ........................................ 1.5
- --------------------------------------------------------------------------------
Percent of
Five Largest Industries Net Assets
- --------------------------------------------------------------------------------
Health Care Providers & Services ................................. 11.7%
Oil, Gas & Consumable Fuels ...................................... 10.6
Specialty Retail ................................................. 6.6
Software ......................................................... 5.7
Computers & Peripherals .......................................... 5.6
- --------------------------------------------------------------------------------
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.
Percent of
Sector Representation Total Investments
- --------------------------------------------------------------------------------
Health Care ...................................................... 17.7%
Information Technology ........................................... 16.2
Consumer Discretionary ........................................... 15.1
Financial ........................................................ 9.7
Energy ........................................................... 9.0
Industrials ...................................................... 8.5
Materials ........................................................ 4.3
Consumer Staples ................................................. 2.6
Telecommunication Services ....................................... 1.5
Other* ........................................................... 15.4
- --------------------------------------------------------------------------------
* Includes portfolio holdings in short-term investments.
18 BLACKROCK CORE PRINCIPAL PROTECTED FUND APRIL 30, 2007
Schedule of Investments as of April 30, 2007 (Unaudited)
Master Large Cap Core Portfolio
Shares
Sector Industry Common Stocks Held Value
===============================================================================
Consumer Discretionary -- 17.8%
Auto Components -- 0.2%
The Goodyear Tire & Rubber Co. (a)(c) 310,000 $ 10,310,600
---------------------------------------------------------------------
Automobiles -- 1.0%
General Motors Corp. (c) 1,450,000 45,283,500
---------------------------------------------------------------------
Diversified Consumer
Services -- 0.5%
ITT Educational Services, Inc. (a) 220,000 21,386,200
---------------------------------------------------------------------
Leisure Equipment &
Products -- 1.4%
Hasbro, Inc. 420,000 13,276,200
Mattel, Inc. (c) 1,670,000 47,261,000
--------------
60,537,200
---------------------------------------------------------------------
Media -- 3.8%
The DIRECTV Group, Inc. (a)(c) 1,980,000 47,203,200
Meredith Corp. 110,000 6,371,200
Omnicom Group (c) 460,000 48,166,600
Walt Disney Co. (c) 1,820,000 63,663,600
--------------
165,404,600
---------------------------------------------------------------------
Multiline Retail -- 3.2%
Dollar Tree Stores, Inc. (a) 90,000 3,538,800
JC Penney Co., Inc. 490,000 38,754,100
Kohl's Corp. (a)(c) 680,000 50,347,200
Nordstrom, Inc. (c) 880,000 48,329,600
--------------
140,969,700
---------------------------------------------------------------------
Specialty Retail -- 6.6%
Abercrombie & Fitch Co. Class A (c) 490,000 40,013,400
American Eagle Outfitters, Inc. 1,410,000 41,552,700
AutoZone, Inc. (a) 340,000 45,233,600
OfficeMax, Inc. 430,000 21,164,600
RadioShack Corp. 1,310,000 38,081,700
Ross Stores, Inc. 1,120,000 37,128,000
The Sherwin-Williams Co. 400,000 25,508,000
TJX Cos., Inc. 1,490,000 41,556,100
--------------
290,238,100
---------------------------------------------------------------------
Textiles, Apparel & Luxury
Goods -- 1.1%
Coach, Inc. (a)(c) 970,000 47,365,100
---------------------------------------------------------------------
Total Consumer Discretionary 781,495,000
===============================================================================
Consumer Staples -- 3.1%
Food & Staples Retailing -- 2.3%
The Kroger Co. 1,740,000 51,347,400
Safeway, Inc. 1,360,000 49,368,000
--------------
100,715,400
---------------------------------------------------------------------
Food Products -- 0.3%
HJ Heinz Co. 330,000 15,546,300
---------------------------------------------------------------------
Household Products -- 0.5%
The Procter & Gamble Co. 320,000 20,579,200
---------------------------------------------------------------------
Total Consumer Staples 136,840,900
===============================================================================
Energy -- 10.6%
Oil, Gas & Consumable
Fuels -- 10.6%
Chevron Corp. 1,210,000 94,125,900
Exxon Mobil Corp. 2,230,000 177,017,400
Frontier Oil Corp. 1,250,000 44,162,500
Holly Corp. 720,000 45,792,000
Marathon Oil Corp. 540,000 54,837,000
Tesoro Corp. 390,000 47,268,000
---------------------------------------------------------------------
Total Energy 463,202,800
===============================================================================
Financials -- 11.5%
Capital Markets -- 3.5%
The Goldman Sachs Group, Inc. 320,000 69,955,200
Lehman Brothers Holdings, Inc. (c) 170,000 12,797,600
Morgan Stanley 840,000 70,568,400
--------------
153,321,200
---------------------------------------------------------------------
Diversified Financial
Services -- 3.9%
Bank of America Corp. 490,000 24,941,000
Citigroup, Inc. 700,000 37,534,000
Moody's Corp. (c) 180,000 11,901,600
JPMorgan Chase & Co. 1,830,000 95,343,000
--------------
169,719,600
---------------------------------------------------------------------
Insurance -- 3.8%
AMBAC Financial Group, Inc. 260,000 23,868,000
The Allstate Corp. 770,000 47,986,400
American International Group, Inc. 170,000 11,884,700
Prudential Financial, Inc. 250,000 23,750,000
Safeco Corp. 80,000 5,339,200
The Travelers Cos., Inc. 1,020,000 55,182,000
--------------
168,010,300
---------------------------------------------------------------------
Real Estate Management &
Development -- 0.3%
CB Richard Ellis Group, Inc. (a) 360,000 12,186,000
---------------------------------------------------------------------
Total Financials 503,237,100
===============================================================================
Health Care -- 20.9%
Biotechnology -- 0.9%
Biogen Idec, Inc. (a) 850,000 40,128,500
---------------------------------------------------------------------
Health Care Equipment &
Supplies -- 2.0%
Kinetic Concepts, Inc. (a) 760,000 38,000,000
Zimmer Holdings, Inc. (a) 560,000 50,668,800
--------------
88,668,800
---------------------------------------------------------------------
Health Care Providers &
Services -- 11.7%
Aetna, Inc. 1,140,000 53,443,200
AmerisourceBergen Corp. (c) 876,000 43,791,240
Cigna Corp. 330,000 51,344,700
Express Scripts, Inc. (a)(c) 480,000 45,864,000
Humana, Inc. (a)(c) 730,000 46,165,200
Laboratory Corp. of America
Holdings (a)(c) 550,000 43,417,000
McKesson Corp. 830,000 48,828,900
Medco Health Solutions, Inc. (a) 690,000 53,833,800
UnitedHealth Group, Inc. 1,210,000 64,202,600
WellPoint, Inc. (a)(c) 750,000 59,227,500
--------------
510,118,140
---------------------------------------------------------------------
Health Care Technology -- 1.0%
Emdeon Corp. (a) 2,770,000 44,707,800
---------------------------------------------------------------------
Life Sciences Tools &
Services -- 0.7%
Waters Corp. (a) 530,000 31,497,900
---------------------------------------------------------------------
BLACKROCK CORE PRINCIPAL PROTECTED FUND APRIL 30, 2007 19
Schedule of Investments (continued) Master Large Cap Core Portfolio
Shares
Sector Industry Common Stocks Held Value
===============================================================================
Health Care (concluded)
Pharmaceuticals -- 4.6%
Forest Laboratories, Inc. (a)(c) 910,000 $ 48,421,100
Johnson & Johnson 210,000 13,486,200
King Pharmaceuticals, Inc. (a)(c) 1,211,000 24,764,950
Pfizer, Inc. 2,038,000 53,925,480
Schering-Plough Corp. 1,840,000 58,383,200
--------------
198,980,930
---------------------------------------------------------------------
Total Health Care 914,102,070
===============================================================================
Industrials -- 10.1%
Aerospace & Defense -- 3.6%
Honeywell International, Inc. 1,070,000 57,972,600
Lockheed Martin Corp. (c) 550,000 52,877,000
Raytheon Co. 867,200 46,429,888
--------------
157,279,488
---------------------------------------------------------------------
Airlines -- 2.0%
AMR Corp. (a) 1,580,000 41,222,200
Continental Airlines, Inc. Class B (a)(c) 1,250,000 45,700,000
--------------
86,922,200
---------------------------------------------------------------------
Commercial Services &
Supplies -- 1.1%
Avery Dennison Corp. 270,000 16,794,000
Manpower, Inc. 390,000 31,297,500
--------------
48,091,500
---------------------------------------------------------------------
Industrial Conglomerates -- 1.6%
General Electric Co. 1,890,000 69,665,400
---------------------------------------------------------------------
Machinery -- 1.8%
Cummins, Inc. 490,000 45,158,400
Manitowoc Co. 176,000 12,008,480
Terex Corp. (a) 150,000 11,677,500
Toro Co. 210,000 10,552,500
--------------
79,396,880
---------------------------------------------------------------------
Total Industrials 441,355,468
===============================================================================
Information Technology -- 19.2%
Communications
Equipment -- 2.1%
Cisco Systems, Inc. (a) 3,450,000 92,253,000
---------------------------------------------------------------------
Computers & Peripherals -- 5.6%
Hewlett-Packard Co. 1,870,000 78,801,800
International Business Machines Corp. 910,000 93,011,100
Lexmark International, Inc. Class A (a) 710,000 38,695,000
NCR Corp. (a) 653,000 32,911,200
--------------
243,419,100
---------------------------------------------------------------------
Electronic Equipment &
Instruments -- 0.9%
Avnet, Inc. (a)(c) 680,000 27,812,000
Mettler Toledo International, Inc. (a) 130,000 12,690,600
--------------
40,502,600
---------------------------------------------------------------------
IT Services -- 1.1%
Electronic Data Systems Corp. 1,660,000 48,538,400
---------------------------------------------------------------------
Office Electronics -- 1.1%
Xerox Corp. (a) 2,580,000 47,730,000
---------------------------------------------------------------------
Semiconductors & Semiconductor
Equipment -- 2.7%
Applied Materials, Inc. (c) 2,730,000 52,470,600
Integrated Device Technology, Inc. (a) 1,340,000 20,073,200
Novellus Systems, Inc. (a) 1,450,000 46,936,500
--------------
119,480,300
---------------------------------------------------------------------
Software -- 5.7%
BEA Systems, Inc. (a) 2,960,000 34,898,400
BMC Software, Inc. (a)(c) 1,480,000 47,907,600
Cadence Design Systems, Inc. (a) 1,510,000 33,522,000
Compuware Corp. (a) 1,110,000 10,955,700
McAfee, Inc. (a) 170,000 5,523,300
Microsoft Corp. 1,810,000 54,191,400
Oracle Corp. (a) 3,230,000 60,724,000
--------------
247,722,400
---------------------------------------------------------------------
Total Information Technology 839,645,800
===============================================================================
Materials -- 5.1%
Chemicals -- 0.9%
Lyondell Chemical Co. 1,330,000 41,389,600
---------------------------------------------------------------------
Containers & Packaging -- 1.3%
Crown Holdings, Inc. (a) 640,000 15,468,800
Pactiv Corp. (a) 1,180,000 40,804,400
--------------
56,273,200
---------------------------------------------------------------------
Metals & Mining -- 2.1%
Nucor Corp. 730,000 46,325,800
Southern Copper Corp. (c) 580,000 46,574,000
--------------
92,899,800
---------------------------------------------------------------------
Paper & Forest Products -- 0.8%
International Paper Co. (c) 870,000 32,816,400
---------------------------------------------------------------------
Total Materials 223,379,000
===============================================================================
Telecommunication Services -- 1.7%
Diversified Telecommunication
Services -- 1.7%
AT&T Inc. 790,000 30,588,800
Qwest Communications
International Inc. (a)(c) 5,070,000 45,021,600
---------------------------------------------------------------------
Total Telecommunication Services 75,610,400
===============================================================================
Total Common Stocks
(Cost -- $3,560,516,210) -- 100.0% 4,378,868,538
===============================================================================
===============================================================================
Short-Term Beneficial
Securities Interest
===============================================================================
BlackRock Liquidity Series, LLC Money
Market Series, 5.33% (b)(d)(e) $799,478,410 799,478,410
---------------------------------------------------------------------
Total Short-Term Securities
(Cost -- $799,478,410) -- 18.3% 799,478,410
===============================================================================
Total Investments
(Cost -- $4,359,994,620*) -- 118.3% 5,178,346,948
Liabilities in Excess of Other Assets -- (18.3%) (800,795,644)
--------------
Net Assets -- 100.0% $4,377,551,304
==============
20 BLACKROCK CORE PRINCIPAL PROTECTED FUND APRIL 30, 2007
Schedule of Investments (concluded) Master Large Cap Core Portfolio
* The cost and unrealized appreciation (depreciation) of investments as of
April 30, 2007, as computed for federal income tax purposes, were as
follows:
Aggregate cost ....................................... $ 4,371,963,500
===============
Gross unrealized appreciation ........................ $ 836,369,956
Gross unrealized depreciation ........................ (29,986,508)
---------------
Net unrealized appreciation .......................... $ 806,383,448
===============
(a) Non-income producing security.
(b) Security was purchased with the cash proceeds from securities loans.
(c) Security, or a portion of security, is on loan.
(d) Represents the current yield as of April 30, 2007.
(e) 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:
- --------------------------------------------------------------------------------
Net Interest
Affiliate Activity Income
- --------------------------------------------------------------------------------
BlackRock Liquidity Series, LLC
Cash Sweep Series -- $ 42,714
BlackRock Liquidity Series, LLC
Money Market Series $150,599,610 $ 429,213
- --------------------------------------------------------------------------------
o 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. Sectors and
industries are shown as a percent of net assets.
See Notes to Financial Statements.
BLACKROCK CORE PRINCIPAL PROTECTED FUND APRIL 30, 2007 21
Statement of Assets and Liabilities Master Large Cap Core Portfolio
As of April 30, 2007 (Unaudited)
===================================================================================================================================
Assets
- -----------------------------------------------------------------------------------------------------------------------------------
Investments in unaffiliated securities, at value (including securities
loaned of $767,285,481) (identified cost -- $3,560,516,210) .................. $4,378,868,538
Investments in affiliated securities, at value (identified cost -- $799,478,410) 799,478,410
Receivables:
Securities sold ............................................................ $ 16,001,101
Contributions .............................................................. 13,128,826
Dividends .................................................................. 1,399,416
Securities lending ......................................................... 172,562
Interest from affiliates ................................................... 2,360 30,704,265
--------------
Prepaid expenses ............................................................... 58,616
--------------
Total assets ................................................................... 5,209,109,829
--------------
===================================================================================================================================
Liabilities
- -----------------------------------------------------------------------------------------------------------------------------------
Collateral on securities loaned, at value ...................................... 799,478,410
Bank overdraft ................................................................. 127,015
Payables:
Securities purchased ....................................................... 16,482,128
Withdrawals ................................................................ 13,489,472
Investment adviser ......................................................... 1,639,639
Other affiliates ........................................................... 41,713 31,652,952
--------------
Accrued expenses and other liabilities ......................................... 300,148
--------------
Total liabilities .............................................................. 831,558,525
--------------
===================================================================================================================================
Net Assets
- -----------------------------------------------------------------------------------------------------------------------------------
Net assets ..................................................................... $4,377,551,304
==============
===================================================================================================================================
Net Assets Consist of
- -----------------------------------------------------------------------------------------------------------------------------------
Investors' capital ............................................................. $3,559,198,976
Unrealized appreciation -- net ................................................. 818,352,328
--------------
Net Assets ..................................................................... $4,377,551,304
==============
See Notes to Financial Statements.
22 BLACKROCK CORE PRINCIPAL PROTECTED FUND APRIL 30, 2007
Statement of Operations Master Large Cap Core Portfolio
For the Six Months Ended April 30, 2007 (Unaudited)
===================================================================================================================================
Investment Income
- -----------------------------------------------------------------------------------------------------------------------------------
Dividends .......................................................... $ 25,306,109
Securities lending -- net .......................................... 429,213
Interest from affiliates ........................................... 42,714
--------------
Total income ....................................................... 25,778,036
--------------
===================================================================================================================================
Expenses
- -----------------------------------------------------------------------------------------------------------------------------------
Investment advisory fees ........................................... $ 9,392,454
Accounting services ................................................ 298,971
Custodian fees ..................................................... 128,991
Trustees' fees and expenses ........................................ 50,322
Professional fees .................................................. 34,426
Printing and shareholder reports ................................... 651
Pricing fees ....................................................... 500
Other .............................................................. 30,865
--------------
Total expenses ..................................................... 9,937,180
--------------
Investment income -- net ........................................... 15,840,856
--------------
===================================================================================================================================
Realized & Unrealized Gain -- Net
- -----------------------------------------------------------------------------------------------------------------------------------
Realized gain on investments -- net ................................ 200,873,842
Change in unrealized appreciation on investments -- net ............ 164,770,531
--------------
Total realized and unrealized gain -- net .......................... 365,644,373
--------------
Net Increase in Net Assets Resulting from Operations ............... $ 381,485,229
==============
See Notes to Financial Statements.
BLACKROCK CORE PRINCIPAL PROTECTED FUND APRIL 30, 2007 23
Statements of Changes in Net Assets Master Large Cap Core Portfolio
For the Six
Months Ended For the
April 30, Year Ended
2007 October 31,
Increase (Decrease) in Net Assets: (Unaudited) 2006
===================================================================================================================================
Operations
- -----------------------------------------------------------------------------------------------------------------------------------
Investment income -- net ........................................... $ 15,840,856 $ 19,476,807
Realized gain -- net ............................................... 200,873,842 195,731,487
Change in unrealized appreciation -- net ........................... 164,770,531 289,376,493
---------------------------------
Net increase in net assets resulting from operations ............... 381,485,229 504,584,787
---------------------------------
===================================================================================================================================
Capital Transactions
- -----------------------------------------------------------------------------------------------------------------------------------
Proceeds from contributions ........................................ 647,217,166 1,448,673,363
Fair value of withdrawals .......................................... (527,789,881) (743,318,106)
---------------------------------
Net increase in net assets derived from capital transactions ....... 119,427,285 705,355,257
---------------------------------
===================================================================================================================================
Net Assets
- -----------------------------------------------------------------------------------------------------------------------------------
Total increase in net assets ....................................... 500,912,514 1,209,940,044
Beginning of period ................................................ 3,876,638,790 2,666,698,746
---------------------------------
End of period ...................................................... $4,377,551,304 $3,876,638,790
=================================
See Notes to Financial Statements.
Financial Highlights Master Large Cap Core Portfolio
For the Six
Months Ended
April 30, For the Year Ended October 31,
The following ratios have been derived from 2007 -------------------------------------------------------------
information provided in the financial statements. (Unaudited) 2006 2005 2004 2003 2002
==================================================================================================================================
Total Investment Return
- ----------------------------------------------------------------------------------------------------------------------------------
Total investment return ................ 9.64%@ 17.32% 18.35% 9.61% 25.11% (8.13%)
===========================================================================
==================================================================================================================================
Ratios to Average Net Assets
- ----------------------------------------------------------------------------------------------------------------------------------
Expenses ............................... .49%* .49% .51% .52% .54% .57%
===========================================================================
Investment income -- net ............... .78%* .58% .72% .57% .48% .83%
===========================================================================
==================================================================================================================================
Supplemental Data
- ----------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (in thousands) $4,377,551 $3,876,639 $2,666,699 $1,831,300 $1,454,109 $ 873,704
===========================================================================
Portfolio turnover ..................... 36.05% 87.67% 93.95% 135.48% 138.73% 150.18%
===========================================================================
* Annualized.
@ Aggregate total investment return.
See Notes to Financial Statements.
24 BLACKROCK CORE PRINCIPAL PROTECTED FUND APRIL 30, 2007
Notes to Financial Statements (Unaudited) Master Large Cap Core Portfolio
1. Significant Accounting Policies:
Master Large Cap Core Portfolio (the "Portfolio") is a series of Master Large
Cap Series Trust (the "Trust"). The Trust is registered under the Investment
Company Act of 1940, as amended, and is organized as a Delaware statutory trust.
The Declaration of Trust permits the Trustees to issue nontransferable interests
in the Portfolio, subject to certain limitations. The Portfolio's financial
statements are prepared in conformity with U.S. generally accepted accounting
principles, which may require the use of management accruals and estimates.
Actual results may differ from these estimates. These unaudited financial
statements reflect all adjustments, which are, in the opinion of management,
necessary to present a fair statement of the results for the interim period. All
such adjustments are of a normal, recurring nature. The following is a summary
of significant accounting policies followed by the Portfolio.
(a) Valuation of investments -- Equity securities held by the Portfolio that are
traded on stock exchanges or the NASDAQ Global Market are valued at the last
sale price or official close price on the exchange, as of the close of business
on the day the securities are being valued or, lacking any sales, at the last
available bid price for long positions, and at the last available asked price
for short positions. In cases where equity securities are traded on more than
one exchange, the securities are valued on the exchange designated as the
primary market by or under the authority of the Board of Trustees of the Trust.
Long positions traded in the over-the-counter ("OTC") market, NASDAQ Capital
Market or Bulletin Board are valued at the last available bid price or yield
equivalent obtained from one or more dealers or pricing services approved by the
Board of Trustees of the Trust. Short positions traded in the OTC market are
valued at the last available asked price. Portfolio securities that are traded
both in the OTC market and on a stock exchange are valued according to the
broadest and most representative market.
Options written or purchased are valued at the last sale price in the case of
exchange-traded options. Options traded in the OTC market are valued at the last
asked price (options written) or the last bid price (options purchased). Swap
agreements are valued based upon quoted fair valuations received daily by the
Portfolio from a pricing service or counterparty. Financial futures contracts
and options thereon, which are traded on exchanges, are valued at their last
sale price as of the close of such exchanges. Valuation of short-term investment
vehicles is generally based on the net asset value of the underlying investment
vehicle or amortized cost.
Repurchase agreements are valued at cost plus accrued interest. The Portfolio
employs pricing services to provide certain securities prices for the Portfolio.
Securities and assets for which market quotations are not readily available are
valued at fair value as determined in good faith by or under the direction of
the Board of Trustees of the Trust, including valuations furnished by the
pricing services retained by the Portfolio, which may use a matrix system for
valuations. The procedures of a pricing service and its valuations are reviewed
by the officers of the Trust under the general supervision of the Board of
Trustees of the Trust. Such valuations and procedures will be reviewed
periodically by the Board of Trustees of the Trust.
Generally, trading in foreign securities, as well as U.S. government securities
and money market instruments, is substantially completed each day at various
times prior to the close of business on the New York Stock Exchange ("NYSE").
The values of such securities used in computing the net assets of the Portfolio
are determined as of such times. Foreign currency exchange rates will generally
be determined as of the close of business on the NYSE. Occasionally, events
affecting the values of such securities and such exchange rates may occur
between the times at which they are determined and the close of business on the
NYSE that may not be reflected in the computation of the Portfolio's net assets.
If events (for example, a company announcement, market volatility or a natural
disaster) occur during such periods that are expected to materially affect the
value of such securities, those securities will be valued at their fair value as
determined in good faith by the Board of Trustees of the Trust or by BlackRock
Advisors, LLC (the "Manager"), an indirect, wholly owned subsidiary of
BlackRock, Inc. using a pricing service and/or procedures approved by the Board
of Trustees of the Trust.
(b) Derivative financial instruments -- The Portfolio may engage in various
portfolio investment strategies both to increase the return of the Portfolio and
to hedge, or protect, its exposure to interest rate movements and movements in
the securities markets. Losses may arise due to changes in the value of the
contract or if the counterparty does not perform under the contract.
o Financial futures contracts -- The Portfolio may purchase or sell
financial futures contracts and options on such financial futures
contracts. Financial futures contracts are contracts for delayed delivery
of securities at a specific future date and at a specific price or yield.
Upon entering into a contract, the Portfolio deposits, and maintains as
collateral, such initial margin as required by the exchange
BLACKROCK CORE PRINCIPAL PROTECTED FUND APRIL 30, 2007 25
Notes to Financial Statements (continued) Master Large Cap Core Portfolio
on which the transaction is effected. Pursuant to the contract, the
Portfolio agrees to receive from or pay to the broker an amount of cash
equal to the daily fluctuation in value of the contract. Such receipts or
payments are known as variation margin and are recorded by the Portfolio
as unrealized gains or losses. When the contract is closed, the Portfolio
records a realized gain or loss equal to the difference between the value
of the contract at the time it was opened and the value at the time it was
closed.
o Options -- The Portfolio may purchase and write call and put options. When
the Portfolio writes an option, an amount equal to the premium received by
the Portfolio is reflected as an asset and an equivalent liability. The
amount of the liability is subsequently marked-to-market to reflect the
current market value of the option written. When a security is purchased
or sold through an exercise of an option, the related premium paid (or
received) is added to (or deducted from) the basis of the security
acquired or deducted from (or added to) the proceeds of the security sold.
When an option expires (or the Portfolio enters into a closing
transaction), the Portfolio realizes a gain or loss on the option to the
extent of the premiums received or paid (or a gain or loss to the extent
that the cost of the closing transaction exceeds the premium paid or
received).
Written and purchased options are non-income producing investments.
(c) 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. Under the applicable foreign tax law, a withholding tax
may be imposed on interest, dividends and capital gains at various rates. 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.
(d) Security transactions and investment income -- Security transactions are
accounted for on the date the securities are purchased or sold (the trade
dates). Realized gains and losses on security transactions are determined on the
identified cost basis. Dividend income is recorded on the ex-dividend dates.
Dividends from foreign securities where the ex-dividend date may have passed are
subsequently recorded when the Portfolio has determined the ex-dividend date.
Interest income is recognized on the accrual basis.
(e) Securities lending -- The Portfolio may lend securities to financial
institutions that provide cash or securities issued or guaranteed by the U.S.
government 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. Where the Portfolio receives securities as
collateral for the loaned securities, it collects a fee from the borrower. The
Portfolio typically receives the income on the loaned securities but does not
receive the income on the collateral. Where the Portfolio receives cash
collateral, it may invest such 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 five business days. The Portfolio may pay reasonable
finder's, 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 where the value of the collateral falls below
the market value of the borrowed securities, in the event of borrower default or
in the event of losses on investments made with cash collateral.
(f) Bank overdraft -- The Portfolio recorded a bank overdraft, which resulted
from management estimates of available cash.
(g) Recent accounting pronouncements -- In July 2006, the Financial Accounting
Standards Board ("FASB") issued Interpretation No. 48 ("FIN 48"), "Accounting
for Uncertainty in Income Taxes -- an interpretation of FASB Statement No. 109."
FIN 48 prescribes the minimum recognition threshold a tax position must meet in
connection with accounting for uncertainties in income tax positions taken or
expected to be taken by an entity, including mutual funds, before being measured
and recognized in the financial statements. Adoption of FIN 48 is required for
the last net asset value calculation in the first required financial statement
reporting period for fiscal years beginning after December 15, 2006. The impact
on the Portfolio's financial statements, if any, is currently being assessed.
In September 2006, "Statement of Financial Accounting Standards No. 157, Fair
Value Measurements" ("FAS 157"), was issued and is effective for fiscal years
beginning after
26 BLACKROCK CORE PRINCIPAL PROTECTED FUND APRIL 30, 2007
Notes to Financial Statements (continued) Master Large Cap Core Portfolio
November 15, 2007. FAS 157 defines fair value, establishes a framework for
measuring fair value and expands disclosures about fair value measurements. At
this time, management is evaluating the implications of FAS 157 and its impact
on the Portfolio's financial statements, if any, has not been determined.
In addition, in February 2007, FASB issued "Statement of Financial Accounting
Standards No. 159, The Fair Value Option for Financial Assets and Financial
Liabilities" ("FAS 159"), which is effective for fiscal years beginning after
November 15, 2007. Early adoption is permitted as of the beginning of a fiscal
year that begins on or before November 15, 2007, provided the entity also elects
to apply the provisions of FAS 157. FAS 159 permits entities to choose to
measure many financial instruments and certain other items at fair value that
are not currently required to be measured at fair value. FAS 159 also
establishes presentation and disclosure requirements designed to facilitate
comparisons between entities that choose different measurement attributes for
similar types of assets and liabilities. At this time, management is evaluating
the implications of FAS 159 and its impact on the Portfolio's financial
statements, if any, has not been determined.
2. Investment Advisory Agreement and Transactions with Affiliates:
The Investment Advisory Agreement between the Trust, on behalf of the Portfolio
and the Manager became effective on September 29, 2006. Prior to September 29,
2006, Fund Asset Management, L.P. ("FAM") was the Portfolio's manager. The
general partner of FAM is Princeton Services, Inc. ("PSI"), an indirect, wholly
owned subsidiary of Merrill Lynch & Co., Inc. ("Merrill Lynch"), which is the
limited partner. Merrill Lynch and The PNC Financial Services Group, Inc. are
the principal owners of BlackRock, Inc.
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. For such services, the
Portfolio pays a monthly fee at an annual rate of .50% of the average daily
value of the Portfolio's net assets not exceeding $1 billion; .45% of average
daily net assets in excess of $1 billion but not exceeding $5 billion and .40%
of average daily net assets in excess of $5 billion.
The Manager has entered into a sub-advisory agreement with BlackRock Investment
Management, LLC ("BIM"), an affiliate of the Manager, under which the Manager
pays BIM for services it provides to the Portfolio a monthly fee at an annual
rate that is a percentage of the management fee paid by the Portfolio to the
Manager.
The Portfolio has received an exemptive order from the Securities and Exchange
Commission permitting it to lend portfolio securities to Merrill Lynch, Pierce,
Fenner & Smith Incorporated ("MLPF&S"), a wholly owned subsidiary of Merrill
Lynch, or its affiliates. As of April 30, 2007, the Portfolio lent securities
with a value of $275,443,584 to MLPF&S 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 returns on investment of cash collateral. Prior to
September 29, 2006, BIM was organized as Merrill Lynch Investment Managers, LLC
("MLIM, LLC"), an affiliate of FAM, and MLIM, LLC was the securities lending
agent. 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. For the six months ended April 30, 2007, BIM
received $195,547 in securities lending agent fees.
For the six months ended April 30, 2007, the Portfolio reimbursed the Manager
$21,161 for certain accounting services.
Certain officers and/or trustees of the Trust are officers and/or directors of
BlackRock, Inc. or its affiliates.
3. Investments:
Purchases and sales of investments, excluding short-term securities, for the six
months ended April 30, 2007 were $1,610,219,797 and $1,473,584,141,
respectively.
4. Short-Term Borrowings:
The Portfolio, along with certain other funds managed by the Manager and its
affiliates, is party to a $500,000,000 credit agreement with a group of lenders.
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
BLACKROCK CORE PRINCIPAL PROTECTED FUND APRIL 30, 2007 27
Notes to Financial Statements (concluded) Master Large Cap Core Portfolio
and statement of additional information, subject to various other legal,
regulatory or contractual limits. On November 22, 2006, the credit agreement was
renewed for one year under substantially the same terms. The Portfolio pays a
commitment fee of .06% per annum based on the Portfolio's pro rata share of the
unused portion of the credit agreement. Amounts borrowed under the credit
agreement bear interest at a rate equal to, at each fund's election, the federal
funds rate plus .35% or a base rate as defined in the credit agreement. The
Portfolio did not borrow under the credit agreement during the six months ended
April 30, 2007.
Officers and Trustees of Master Large Cap Series Trust
Robert C. Doll, Jr., Trust President, Trustee and Portfolio Manager
James H. Bodurtha, Trustee
Kenneth A. Froot, Trustee
Joe Grills, Trustee
Herbert I. London, Trustee
Roberta Cooper Ramo, Trustee
Robert S. Salomon, Jr., Trustee
Donald C. Burke, Vice President and Treasurer
Karen Clark, Trust Chief Compliance Officer
Alice A. Pellegrino, Secretary
Custodian
Brown Brothers Harriman & Co.
40 Water Street
Boston, MA 02109-3661
28 BLACKROCK CORE PRINCIPAL PROTECTED FUND APRIL 30, 2007
BlackRock Funds
BlackRock Privacy Principles
BlackRock is committed to maintaining the privacy of its current and former fund
investors and individual clients (collectively, "Clients") and to safeguarding
their non-public personal information. The following information is provided to
help you understand what personal information BlackRock collects, how we protect
that information and why in certain cases we share such information with select
parties.
If you are located in a jurisdiction where specific laws, rules or regulations
require BlackRock to provide you with additional or different privacy-related
rights beyond what is set forth below, then BlackRock will comply with those
specific laws, rules or regulations.
BlackRock obtains or verifies personal non-public information from and about you
from different sources, including the following: (i) information we receive from
you or, if applicable, your financial intermediary, on applications, forms or
other documents; (ii) information about your transactions with us, our
affiliates, or others; (iii) information we receive from a consumer reporting
agency; and (iv) from visits to our Web sites.
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.
Availability of Additional Information
Electronic copies of most financial reports and prospectuses are available on
the Fund's Web site 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 Advisers, Banks or Brokerages:
Please contact your financial advisor. Please note that not all investment
advisers, banks or brokerages may offer this service.
Shareholders Who Hold Accounts Directly with BlackRock:
1) Access the BlackRock Web site at http://www.blackrock.com/edelivery
2) Select eDelivery under the More Information section
3) Log into your account
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.
BLACKROCK CORE PRINCIPAL PROTECTED FUND APRIL 30, 2007 29
BlackRock Funds (concluded)
Availability of Additional Information (concluded)
Availability of Proxy Voting Policies and Procedures
The Fund has delegated proxy voting responsibilities to BlackRock and its
affiliates, subject to the general oversight of the Fund's Board of Trustees. A
description of the policies and procedures that BlackRock and its affiliates use
to determine how to vote proxies relating to portfolio securities is available
without charge, upon request, on our Web site at www.blackrock.com, by calling
(800) 441-7762, or on the Web site of the Securities and Exchange Commission
(the"Commission") at http://www.sec.gov.
Availability of Proxy Voting Record
Information on how proxies relating to the Fund's voting securities were voted
(if any) by the Fund's previous manager during the most recent 12-month period
ended June 30 is available, upon request and without charge, on our Web site at
www.blackrock.com, by calling (800) 441-7762 or on the Web site of the
Commission at http://www.sec.gov.
Availability of Quarterly Portfolio Schedule
The Fund files its complete schedule of portfolio holdings for the first and
third quarters of its fiscal year with the Commission on Form N-Q. The Fund's
Forms N-Q are available on the Commission's Web site at http://www.sec.gov and
may be reviewed and copied at the Commission's Public Reference Room in
Washington, D.C. Information regarding the operation of the Public Reference
Room may be obtained by calling (800) SEC-0330. The Fund's Forms N-Q may also be
obtained upon request, without charge, by calling (800) 441-7762.
Shareholder Privileges
Account Information
Call us at (800) 441-7762 8:00 AM - 6:00 PM EST to get information about your
account balances, recent transactions and share prices. You can also reach us on
the Web at www.blackrock.com.
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 portfolios.
Systematic Withdrawal Plans
Investor Class shareholders can establish a systematic withdrawal plan and
receive periodic payments of $50 or more from their BlackRock portfolios, 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.
30 BLACKROCK CORE PRINCIPAL PROTECTED FUND APRIL 30, 2007
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.
Equity Funds
BlackRock All-Cap Global Resources Portfolio
BlackRock Aurora Portfolio
BlackRock Asset Allocation Portfolio+
BlackRock Balanced Capital Fund+
BlackRock Basic Value Fund
BlackRock Capital Appreciation Portfolio
BlackRock Developing Capital Markets Fund
BlackRock Equity Dividend Fund
BlackRock EuroFund
BlackRock Focus Twenty Fund
BlackRock Focus Value Fund
BlackRock Fundamental Growth Fund
BlackRock Global Allocation Fund+
BlackRock Global Dynamic Equity Fund
BlackRock Global Financial Services Fund
BlackRock Global Growth Fund
BlackRock Global Opportunities Portfolio
BlackRock Global Resources Portfolio*
BlackRock Global Science & Technology Opportunities Portfolio
BlackRock Global SmallCap Fund
BlackRock Global Technology Fund
BlackRock Healthcare Fund
BlackRock Health Sciences Opportunities Portfolio
BlackRock Index Equity Portfolio*
BlackRock International Fund
BlackRock International Index Fund
BlackRock International Opportunities Portfolio*
BlackRock International Value Fund
BlackRock Investment Trust
BlackRock Large Cap Core 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 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
Fixed Income Funds
BlackRock Bond Fund
BlackRock Commodity Strategies Fund
BlackRock Enhanced Income Portfolio
BlackRock GNMA Portfolio
BlackRock Government Income Portfolio
BlackRock High Income Fund
BlackRock High Yield Bond Portfolio
BlackRock Inflation Protected Bond Portfolio
BlackRock Intermediate Bond Portfolio II
BlackRock Intermediate Government Bond Portfolio
BlackRock International Bond Portfolio
BlackRock Low Duration Bond Portfolio
BlackRock Managed Income Portfolio
BlackRock Short-Term Bond Fund
BlackRock Total Return Portfolio
BlackRock Total Return Portfolio II
BlackRock World Income Fund
Municipal Bond Funds
BlackRock AMT-Free Municipal Bond Portfolio
BlackRock California Insured Municipal Bond Fund
BlackRock Delaware Municipal Bond Portfolio
BlackRock Florida Municipal Bond Fund
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
Target Risk & Target Date Funds
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
* See the prospectus for information on specific limitations on investments
in the fund.
+ Mixed asset fund.
BlackRock mutual funds are distributed by BlackRock Distributors, Inc. and
certain funds are also distributed by FAM Distributors, Inc. 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
800-882-0052 or from your financial advisor. The prospectus should be read
carefully before investing.
BLACKROCK CORE PRINCIPAL PROTECTED FUND APRIL 30, 2007 31
This report is transmitted to shareholders only. It is not authorized for use as
an offer of sale or a solicitation of an offer to buy shares of the 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.
BlackRock Core Principal Protected Fund
Of BlackRock Principal Protected Trust
P.O. Box 9011
Princeton, NJ 08543-9011
BLACKROCK
#CPP-4/07
Item 2 - Code of Ethics - Not Applicable to this semi-annual report
Item 3 - Audit Committee Financial Expert - Not Applicable to this semi-annual
report
Item 4 - Principal Accountant Fees and Services - Not Applicable to this
semi-annual report
Item 5 - Audit Committee of Listed Registrants - Not Applicable
Item 6 - Schedule of Investments - The registrant's Schedule of Investments is
included as part of the Report to Stockholders filed under Item 1 of
this form.
Item 7 - Disclosure of Proxy Voting Policies and Procedures for Closed-End
Management Investment Companies - Not Applicable
Item 8 - Portfolio Managers of Closed-End Management Investment Companies -
Not Applicable
Item 9 - Purchases of Equity Securities by Closed-End Management Investment
Company and Affiliated Purchasers - Not Applicable
Item 10 - Submission of Matters to a Vote of Security Holders - The
registrant's Nominating Committee will consider nominees to the Board
recommended by shareholders when a vacancy becomes available.
Shareholders who wish to recommend a nominee should send nominations
which 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.
Item 11 - Controls and Procedures
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
15d-15(b) under the Securities and Exchange Act of 1934, as amended.
11(b) - There were no changes in the registrant's internal control over
financial reporting (as defined in Rule 30a-3(d) under the Act (17
CFR 270.30a-3(d)) 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.
Item 12 - Exhibits attached hereto
12(a)(1) - Code of Ethics - Not Applicable to this semi-annual report
12(a)(2) - Certifications - Attached hereto
12(a)(3) - Not Applicable
12(b) - Certifications - Attached hereto
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
BlackRock Core Principal Protected Fund of BlackRock Principal Protected Trust
and Master Large Cap Core Portfolio of Master Large Cap Series Trust
By: /s/ Robert C. Doll, Jr.
-----------------------------------
Robert C. Doll, Jr.,
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 Trust
Date: June 19, 2007
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By: /s/ Robert C. Doll, Jr.
-----------------------------------
Robert C. Doll, Jr.,
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 Trust
Date: June 19, 2007
By: /s/ Donald C. Burke
-----------------------------------
Donald C. Burke,
Chief Financial Officer of
BlackRock Core Principal Protected Fund of BlackRock Principal Protected
Trust and Master Large Cap Core Portfolio of Master Large Cap Series Trust
Date: June 19, 2007