UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number 811-21162
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 LLC
Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809
Name and address of agent for service: Donald C. Burke, Chief Executive Officer,
BlackRock Core Principal Protected Fund of BlackRock Principal Protected
Trust and Master Large Cap Core Portfolio of Master Large Cap Series LLC,
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: 10/31/2007
Date of reporting period: 11/01/2006 - 10/31/2007
Item 1 - Report to Stockholders
EQUITIES FIXED INCOME REAL ESTATE
LIQUIDITY ALTERNATIVES BLACKROCK SOLUTIONS
BlackRock Core Principal BLACKROCK
Protected Fund
OF BLACKROCK PRINCIPAL PROTECTED TRUST
ANNUAL REPORT | OCTOBER 31, 2007
NOT FDIC INSURED
MAY LOSE VALUE
NO BANK GUARANTEE
Table of Contents
================================================================================
Page
- --------------------------------------------------------------------------------
A Letter to Shareholders ................................................. 3
Annual Report:
Fund Summary ............................................................. 4
About Fund Performance ................................................... 6
Disclosure of Expenses ................................................... 6
Fund Financial Statements:
Statement of Assets and Liabilities ................................... 7
Statement of Operations ............................................... 8
Statements of Changes in Net Assets ................................... 9
Fund Financial Highlights ................................................ 10
Fund Notes to Financial Statements ....................................... 12
Fund Report of Independent Registered Public Accounting Firm ............. 15
Officers and Trustees of the Trust ....................................... 16
Important Tax Information ................................................ 17
Portfolio Summary ........................................................ 18
Master Financial Statements:
Schedule of Investments ............................................... 19
Statement of Assets and Liabilities ................................... 22
Statement of Operations ............................................... 23
Statements of Changes in Net Assets ................................... 24
Master Financial Highlights .............................................. 24
Master Notes to Financial Statements ..................................... 25
Master Report of Independent Registered Public Accounting Firm ........... 28
Officers and Directors of Master Large Cap Series LLC .................... 29
Proxy Results ............................................................ 32
BlackRock Fund Information ............................................... 33
Mutual Fund Family ....................................................... 35
2 BLACKROCK CORE PRINCIPAL PROTECTED FUND OCTOBER 31, 2007
A Letter to Shareholders
Dear Shareholder
The October reporting period was fairly tumultuous for financial markets, but
culminated in positive performance for most major benchmarks:
Total Returns as of October 31, 2007 6-month 12-month
================================================================================================================
U.S. equities (S&P 500 Index) +5.49% +14.56%
- ----------------------------------------------------------------------------------------------------------------
Small cap U.S. equities (Russell 2000 Index) +2.25% + 9.27%
- ----------------------------------------------------------------------------------------------------------------
International equities (MSCI Europe, Australasia, Far East Index) +8.19% +24.91%
- ----------------------------------------------------------------------------------------------------------------
Fixed income (Lehman Brothers U.S. Aggregate Bond Index) +2.68% + 5.38%
- ----------------------------------------------------------------------------------------------------------------
Tax-exempt fixed income (Lehman Brothers Municipal Bond Index) +1.30% + 2.91%
- ----------------------------------------------------------------------------------------------------------------
High yield bonds (Lehman Brothers U.S. Corporate High Yield 2% Issuer Cap Index) -0.07% + 6.89%
- ----------------------------------------------------------------------------------------------------------------
Past performance is no guarantee of future results. Index performance shown for
illustrative purposes only. You cannot invest directly in an index.
Subprime mortgage woes dominated headlines for much of 2007, but intensified in
the summer and fall, spawning a widespread liquidity and credit crisis with
ramifications across global markets. The Federal Reserve Board (the "Fed") and
other countries' central banks stepped in to inject liquidity into the markets
and bolster investor confidence. The Fed cut the federal funds rate by 0.50% in
September and another 0.25% on the final day of the reporting period, bringing
its target rate to 4.50%. In taking action, the central bankers, who had long
deemed themselves inflation fighters, were seeking to stem the fallout from the
credit crunch and forestall a wider economic unraveling. By period-end, the Fed
had cited the risks between slower economic growth and faster inflation as
equally balanced.
Amid the volatility throughout the past year, equity markets have displayed
surprising resilience. Most recently, the credit turmoil dampened corporate
merger-and-acquisition (M&A) activity, a key source of strength for equity
markets. Still, market fundamentals have held firm, dividend payouts and share
buybacks have continued to grow, and valuations remain attractive. These
tailwinds generally have prevailed over the headwinds created by the slowing
U.S. economy, troubled housing market and, recently, a more difficult corporate
earnings backdrop. International markets fared even better than U.S. equities,
benefiting from robust M&A activity and generally stronger economies.
In fixed income markets, mixed economic signals and the credit woes resulted in
a flight to quality. At the height of the uncertainty, investors shunned bonds
associated with the housing and credit markets in favor of higher-quality
Treasury issues. The yield on 10-year Treasury issues, which touched 5.30% in
June (its highest level in five years), fell to 4.48% by period-end, while
prices correspondingly rose. The tax-exempt bond market has been challenged by a
combination of record-setting supply year-to-date, economic uncertainty and
concerns around the credit worthiness of bond insurers. This has brought
municipal bond prices to relatively attractive levels and, as such, demand
generally has remained firm.
As you navigate market volatility, we encourage you to review your investment
goals with your financial professional and to make portfolio changes, as needed.
For more market insight and commentary from BlackRock investment professionals,
we invite you to visit www.blackrock.com/funds. As always, 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.
Vice Chairman, BlackRock, Inc.
3
THIS PAGE NOT PART OF YOUR FUND REPORT
Fund Summary BlackRock Core Principal Protected Fund
Portfolio Management Commentary
How did the Fund perform?
o The Fund generated strong absolute returns for the fiscal year, but
slightly underperformed its all-equity benchmark, the Russell 1000 Index.
Throughout the 12-month period, the Fund's equity allocation remained at
100% of net assets and the fixed income allocation at 0% through its
investment in Master Large Cap Core Portfolio.
What factors influenced performance?
o At a very high level, strong performance generated by asset allocation
decisions was offset by disappointing stock selection results.
o Favorable asset allocation decisions included overweight positions in
energy and information technology, and an underweight in financials. The
Fund's weighting in financials is significantly below that of the
benchmark, particularly in commercial banks and mortgage companies.
o Stock selection within the health care sector enhanced performance,
particularly in biotechnology companies and service providers. Stock
selection within industrials and materials also contributed positively to
returns. The largest individual contributors to performance were Southern
Copper Corp., Tesoro Corp., EMC Corp., The Goodyear Tire & Rubber Co. and
Frontier Oil Corp.
o Stock selection in energy and information technology (IT) offset the
aforementioned gains stemming from allocation decisions in these sectors.
Within energy, recent underperformance is attributed largely to the
refiners, which came under pressure in the third quarter of 2007 as
margins were expected to compress. However, we believed that refiners were
oversold and added to some of our positions on price weakness. Within
technology, our lack of ownership of a few outperforming companies and
stock-specific disappointments in the semiconductor, software and IT
services areas hurt performance. The largest individual detractors were
Apple Inc., Lexmark International, Inc., BEA Systems Ltd., RadioShack
Corp. and Electronic Data Systems Corp.
o The Fund's overweight position and stock selection in consumer
discretionary proved negative for the period. Given ongoing concerns about
consumer spending, we shifted the cyclical bias of the Fund away from the
domestic consumer and toward more global, industrial-based companies.
Describe recent portfolio activity.
o During the period, we increased the Fund's exposure to information
technology and telecommunication services. Among our largest purchases
were American International Group, Inc., ConocoPhillips Co., UnitedHealth
Group, Inc., Valero Energy Corp. and Applied Materials, Inc.
o We reduced exposure to the consumer discretionary, energy, financials,
industrials, consumer staples and materials sectors. Our largest sales
included JPMorgan Chase & Co., Biogen Idec, Inc., Morgan Stanley, CSX
Corp. and The Goldman Sachs Group, Inc.
Describe the Fund's positioning at period-end.
o Relative to the Russell 1000 Index, the Fund ended its fiscal year
overweight in information technology, health care, consumer discretionary
and energy, and underweight in financials, consumer staples, utilities and
telecommunication services.
o In our view, stocks are now more susceptible to economic and earnings
disappointments than they were during the initial stages of the Federal
Reserve Board's easing cycle. However, we believe more monetary relief
should be in the pipeline, as economic conditions warrant further
stimulus. Importantly, we do not believe inflation stands in the way of
more rate cuts. As the economic data worsens, reflation should strengthen
as the dominant market force, setting the stage for higher valuations.
Expense Example
Actual Hypothetical**
---------------------------------------------------- ----------------------------------------------------
Beginning Ending Beginning Ending
Account Value Account Value Expenses Paid Account Value Account Value Expenses Paid
May 1, 2007 Oct. 31, 2007 During the Period* May 1, 2007 Oct. 31, 2007 During the Period*
- ------------------------------------------------------------------------------------------------------------------------------------
Institutional ........ $ 1,000 $ 1,034.20 $ 8.41 $ 1,000 $ 1,016.93 $ 8.34
Investor A ........... $ 1,000 $ 1,032.70 $ 9.38 $ 1,000 $ 1,015.97 $ 9.30
Investor B ........... $ 1,000 $ 1,028.30 $ 13.34 $ 1,000 $ 1,012.04 $ 13.24
Investor C .. ........ $ 1,000 $ 1,029.10 $ 13.30 $ 1,000 $ 1,012.09 $ 13.19
- ------------------------------------------------------------------------------------------------------------------------------------
* For each class of the Fund, expenses are equal to the annualized expense
ratio for the class (1.64% for Institutional, 1.83% for Investor A, 2.61%
for Investor B and 2.60% for Investor C), multiplied by the average
account value over the period, multiplied by 184/365 (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.
See "Disclosure of Expenses" on page 6 for further information on how
expenses were calculated.
4 BLACKROCK CORE PRINCIPAL PROTECTED FUND OCTOBER 31, 2007
Total Return Based on a $10,000 Investment
A line graph depicting the growth of an investment in the Fund's Institutional
and Investor A 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 October 2007:
Merrill Lynch Lehman Brothers
Institutional Investor A U.S. Corporate Aggregate Bond Russell 1000
Shares*+ Shares*+ Master Index++ Index+++ Index++++
2/28/03** $10,000 $9,475 $10,000 $10,000 $10,000
10/03 $11,340 $10,726 $10,387 $10,132 $12,750
10/04 $11,843 $11,170 $11,105 $10,692 $13,940
10/05 $13,251 $12,468 $11,194 $10,814 $15,399
10/06 $15,404 $14,465 $11,803 $11,375 $17,867
10/07 $17,366 $16,260 $12,312 $11,987 $20,553
* 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 LLC. 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. Russell 1000 and Russell 3000 are registered trademarks of the
Frank Russell Company.
Past performance is not indicative of future results.
Performance Summary for the Period Ended October 31, 2007
Average Annual Total Returns*
-------------------------------------------------------
1 Year Since Inception**
----------------------- -----------------------
6-Month w/o sales w/sales w/o sales w/sales
Total Returns charge charge charge charge
- -----------------------------------------------------------------------------------------------------------------------------------
Institutional ....................................... +3.42% +12.73% -- +12.54% --
Investor A .......................................... +3.27 +12.41 + 6.51% +12.26 +10.97%
Investor B .......................................... +2.83 +11.61 + 7.11 +11.42 +11.13
Investor C .......................................... +2.91 +11.67 +10.67 +11.42 +11.42
Merrill Lynch U.S. Corporate Master Index ........... +1.44 + 4.31 -- + 4.55 --
Lehman Brothers U.S. Aggregate Bond Index ........... +2.68 + 5.38 -- + 3.96 --
Russell 1000 Index .................................. +5.44 +15.03 -- +16.68 --
- -----------------------------------------------------------------------------------------------------------------------------------
* Assuming maximum sales charges. See "About Fund Performance" on page 6 for
a detailed description of share classes, including any related sales
charges and fees.
** The Fund commenced operations on 2/28/03.
Past performance is not indicative of future results.
BLACKROCK CORE PRINCIPAL PROTECTED FUND OCTOBER 31, 2007 5
About Fund Performance
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.)
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/funds to obtain performance data current to
the most recent month-end. Performance results do not reflect the deduction of
taxes that a shareholder would pay on fund distributions or the redemption of
fund shares. Performance data does not reflect this potential fee. Figures shown
in the performance tables on page 5 assume reinvestment of all dividends and
capital gain distributions, if any, at net asset value on the ex-dividend date.
Investment return and principal value of shares will fluctuate so that shares,
when redeemed, may be worth more or less than their original cost. Dividends
paid to each class of shares will vary because of the different levels of
service, distribution and transfer agency fees applicable to each class, which
are deducted from the income available to be paid to shareholders.
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 expense example on page 4 (which is
based on a hypothetical investment of $1,000 invested on May 1, 2007 and held
through October 31, 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 table provides information about actual account values and actual expenses.
In order to estimate the expenses a shareholder paid during the period covered
by this report, shareholders can divide their account value by $1,000 and then
multiply the result by the number corresponding to their share class under the
heading entitled "Expenses Paid During the Period."
The table also provides information about hypothetical account values and
hypothetical expenses based on the Fund's actual expense ratio and an assumed
rate of return of 5% per year before expenses. In order to assist shareholders
in comparing the ongoing expenses of investing in 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 hypothetical 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.
6 BLACKROCK CORE PRINCIPAL PROTECTED FUND OCTOBER 31, 2007
Statement of Assets and Liabilities BlackRock Core Principal Protected Fund
As of October 31, 2007
====================================================================================================================================
Assets
- ------------------------------------------------------------------------------------------------------------------------------------
Investment in Master Large Cap Core Portfolio (the "Portfolio"), at value
(identified cost -- $127,654,898*) ........................................................... $ 162,342,746
Prepaid expenses ............................................................................... 918
--------------
Total assets ................................................................................... 162,343,664
--------------
====================================================================================================================================
Liabilities
- ------------------------------------------------------------------------------------------------------------------------------------
Payables:
Distributor ................................................................................ $ 126,426
Financial warranty fee ..................................................................... 85,943
Advisory fee ............................................................................... 40,686
Other affiliates ........................................................................... 18,451 271,506
--------------
Accrued expenses ............................................................................... 32,690
--------------
Total liabilities .............................................................................. 304,196
--------------
====================================================================================================================================
Net Assets
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets ..................................................................................... $ 162,039,468
==============
====================================================================================================================================
Net Assets Consist of
- ------------------------------------------------------------------------------------------------------------------------------------
Paid-in capital, unlimited shares of no par value authorized ................................... $ 100,882,687
Undistributed realized capital gains -- net .................................................... $ 26,468,933
Unrealized appreciation -- net ................................................................. 34,687,848
--------------
Total accumulated earnings -- net .............................................................. 61,156,781
--------------
Net assets ..................................................................................... $ 162,039,468
==============
====================================================================================================================================
Net Asset Value
- ------------------------------------------------------------------------------------------------------------------------------------
Institutional -- Based on net assets of $4,354,390 and 334,489 shares outstanding .............. $ 13.02
==============
Investor A -- Based on net assets of $11,435,866 and 882,156 shares outstanding ................ $ 12.96
==============
Investor B -- Based on net assets of $88,103,549 and 6,932,169 shares outstanding .............. $ 12.71
==============
Investor C -- Based on net assets of $58,145,663 and 4,564,795 shares outstanding .............. $ 12.74
==============
* The cost and unrealized appreciation of investments as of October 31, 2007,
as computed for federal income tax purposes, were as follows:
Aggregate cost ........................................................................... $ 127,654,898
==============
Gross unrealized appreciation ............................................................ $ 34,687,848
Gross unrealized depreciation ............................................................ --
--------------
Net unrealized appreciation .............................................................. $ 34,687,848
==============
See Notes to Financial Statements.
BLACKROCK CORE PRINCIPAL PROTECTED FUND OCTOBER 31, 2007 7
Statement of Operations BlackRock Core Principal Protected Fund
For the Year Ended October 31, 2007
===================================================================================================================================
Investment Income
- -----------------------------------------------------------------------------------------------------------------------------------
Net investment income allocated from the Portfolio:
Dividends ......................................................................... $ 1,963,655
Securities lending -- net ......................................................... 52,738
Interest from affiliates .......................................................... 2,317
Expenses .......................................................................... (855,273)
------------------
Total income .......................................................................... 1,163,437
------------------
===================================================================================================================================
Expenses
- -----------------------------------------------------------------------------------------------------------------------------------
Investment advisory fees .............................................................. $ 1,303,316
Financial warranty fee ................................................................ 1,086,097
Service and distribution fees -- Investor B ........................................... 946,034
Service and distribution fees -- Investor C ........................................... 614,479
Transfer agent fees -- Investor B ..................................................... 64,094
Printing and shareholder reports ...................................................... 59,594
Accounting services ................................................................... 52,390
Professional fees ..................................................................... 46,722
Transfer agent fees -- Investor C ..................................................... 40,266
Service fees -- Investor A ............................................................ 32,784
Trustees' fees and expenses ........................................................... 19,374
Custodian fees ........................................................................ 16,705
Transfer agent fees -- Investor A ..................................................... 6,922
Transfer agent fees -- Institutional .................................................. 4,327
Pricing fees .......................................................................... 568
Other ................................................................................. 16,501
------------------
Total expenses before waiver .......................................................... 4,310,173
Waiver of expenses .................................................................... (802,151)
------------------
Total expenses after waiver ........................................................... 3,508,022
------------------
Investment loss -- net ................................................................ (2,344,585)
------------------
===================================================================================================================================
Realized & Unrealized Gain (Loss) Allocated from the Portfolio -- Net
- -----------------------------------------------------------------------------------------------------------------------------------
Realized gain on investments -- net ................................................... 28,813,525
Change in unrealized appreciation on investments -- net ............................... (7,026,733)
------------------
Total realized and unrealized gain -- net ............................................. 21,786,792
------------------
Net Increase in Net Assets Resulting from Operations .................................. $ 19,442,207
==================
See Notes to Financial Statements.
8 BLACKROCK CORE PRINCIPAL PROTECTED FUND OCTOBER 31, 2007
Statements of Changes in Net Assets BlackRock Core Principal Protected Fund
For the Year Ended
October 31,
-------------------------------
Increase (Decrease) in Net Assets: 2007 2006
===================================================================================================================================
Operations
- -----------------------------------------------------------------------------------------------------------------------------------
Investment loss -- net ......................................................................... $ (2,344,585) $ (2,796,671)
Realized gain -- net ........................................................................... 28,813,525 16,640,357
Change in unrealized appreciation -- net ....................................................... (7,026,733) 14,361,843
-------------------------------
Net increase in net assets resulting from operations ........................................... 19,442,207 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 Interest Transactions
- -----------------------------------------------------------------------------------------------------------------------------------
Net decrease in net assets derived from beneficial interest transactions ....................... (26,933,904) (33,246,056)
-------------------------------
===================================================================================================================================
Net Assets
- -----------------------------------------------------------------------------------------------------------------------------------
Total decrease in net assets ................................................................... (24,035,955) (17,009,781)
Beginning of year .............................................................................. 186,075,423 203,085,204
-------------------------------
End of year .................................................................................... $ 162,039,468 $ 186,075,423
===============================
See Notes to Financial Statements.
BLACKROCK CORE PRINCIPAL PROTECTED FUND OCTOBER 31, 2007 9
Financial Highlights BlackRock Core Principal Protected Fund
Institutional
------------------------------------------------------------------
For the
Period
The following per share data and For the Year Ended February 28,
ratios have been derived from October 31, 2003+ to
information provided in the -------------------------------------------------- October 31,
financial statements. 2007 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 .... (.06)@@ (.06)@@ --+++@@ .04 .03
Realized and unrealized gain -- net 1.56 1.88 1.31 .45 1.31
------------------------------------------------------------------
Total from investment operations ... 1.50 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 ..... $ 13.02 $ 12.66 $ 11.66 $ 11.48 $ 11.34
==================================================================
==========================================================================================================
Total Investment Return**
- ----------------------------------------------------------------------------------------------------------
Based on net asset value per share . 12.73% 16.25% 11.88% 4.44% 13.40%@
==================================================================
==========================================================================================================
Ratios to Average Net Assets++
- ----------------------------------------------------------------------------------------------------------
Expenses, net of waiver ............ 1.61% 1.55% 1.58% 1.58% 1.75%*
==================================================================
Expenses ........................... 2.07% 2.02% 2.00% 1.91% 2.01%*
==================================================================
Investment income (loss) -- net .... (.44%) (.47%) (.01%) .39% .35%*
==================================================================
==========================================================================================================
Supplemental Data
- ----------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) ................... $ 4,354 $ 5,824 $ 7,034 $ 9,893 $ 14,290
==================================================================
Portfolio turnover of the Fund ..... 0% 0% 186% 167% 175%
==================================================================
Portfolio turnover of the Portfolio 96% 88% 94% 135% 139%
==================================================================
Investor A
------------------------------------------------------------------
For the
Period
The following per share data and For the Year Ended February 28,
ratios have been derived from October 31, 2003+ to
information provided in the -------------------------------------------------- October 31,
financial statements. 2007 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 .... (.08)@@ (.11)@@ (.03)@@ .01 .01
Realized and unrealized gain -- net 1.54 1.90 1.31 .44 1.31
------------------------------------------------------------------
Total from investment operations ... 1.46 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 ..... $ 12.96 $ 12.64 $ 11.63 $ 11.44 $ 11.32
==================================================================
==========================================================================================================
Total Investment Return**
- ----------------------------------------------------------------------------------------------------------
Based on net asset value per share . 12.41% 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 .... (.66%) (.74%) (.26%) .13% .10%*
==================================================================
==========================================================================================================
Supplemental Data
- ----------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) ................... $ 11,436 $ 15,414 $ 7,932 $ 11,534 $ 18,674
==================================================================
Portfolio turnover of the Fund ..... 0% 0% 186% 167% 175%
==================================================================
Portfolio turnover of the Portfolio 96% 88% 94% 135% 139%
==================================================================
* 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.
10 BLACKROCK CORE PRINCIPAL PROTECTED FUND OCTOBER 31, 2007
Financial Highlights (concluded) BlackRock Core Principal Protected Fund
Investor B
------------------------------------------------------------------
For the
Period
The following per share data and For the Year Ended February 28,
ratios have been derived from October 31, 2003+ to
information provided in the -------------------------------------------------- October 31,
financial statements. 2007 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 ............. (.18)@@ (.19)@@ (.12)@@ (.07) (.05)
Realized and unrealized gain -- net 1.53 1.87 1.30 .44 1.31
------------------------------------------------------------------
Total from investment operations ... 1.35 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 ..... $ 12.71 $ 12.50 $ 11.51 $ 11.33 $ 11.26
==================================================================
==========================================================================================================
Total Investment Return**
- ----------------------------------------------------------------------------------------------------------
Based on net asset value per share . 11.61% 15.11% 10.81% 3.36% 12.60%@
==================================================================
==========================================================================================================
Ratios to Average Net Assets++
- ----------------------------------------------------------------------------------------------------------
Expenses, net of waiver ............ 2.60% 2.56% 2.59% 2.58% 2.76%*
==================================================================
Expenses ........................... 3.06% 3.03% 3.01% 2.91% 3.03%*
==================================================================
Investment loss -- net ............. (1.44%) (1.48%) (1.07%) (.59%) (.68%)*
==================================================================
==========================================================================================================
Supplemental Data
- ----------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) ................... $ 88,104 $100,974 $118,858 $130,014 $145,568
==================================================================
Portfolio turnover of the Fund ..... 0% 0% 186% 167% 175%
==================================================================
Portfolio turnover of the Portfolio 96% 88% 94% 135% 139%
==================================================================
Investor C
------------------------------------------------------------------
For the
Period
The following per share data and For the Year Ended February 28,
ratios have been derived from October 31, 2003+ to
information provided in the -------------------------------------------------- October 31,
financial statements. 2007 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 ............. (.18)@@ (.18)@@ (.12)@@ (.07) (.05)
Realized and unrealized gain -- net 1.54 1.86 1.30 .44 1.31
------------------------------------------------------------------
Total from investment operations ... 1.36 1.68 1.18 .37 1.26
------------------------------------------------------------------
Less distributions from realized
gain -- net ...................... (1.14) (.69) (.98) (.30) --
------------------------------------------------------------------
Net asset value, end of period ..... $ 12.74 $ 12.52 $ 11.53 $ 11.33 $ 11.26
==================================================================
==========================================================================================================
Total Investment Return**
- ----------------------------------------------------------------------------------------------------------
Based on net asset value per share . 11.67% 15.03% 10.83% 3.37% 12.60%@
==================================================================
==========================================================================================================
Ratios to Average Net Assets++
- ----------------------------------------------------------------------------------------------------------
Expenses, net of waiver ............ 2.60% 2.56% 2.59% 2.59% 2.76%*
==================================================================
Expenses ........................... 3.06% 3.03% 3.01% 2.91% 3.03%*
==================================================================
Investment loss -- net ............. (1.44%) (1.48%) (1.05%) (.61%) (.68%)*
==================================================================
==========================================================================================================
Supplemental Data
- ----------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) ................... $ 58,146 $ 63,864 $ 69,261 $ 82,398 $108,700
==================================================================
Portfolio turnover of the Fund ..... 0% 0% 186% 167% 175%
==================================================================
Portfolio turnover of the Portfolio 96% 88% 94% 135% 139%
==================================================================
* Annualized.
** Total investment returns exclude the effects 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 OCTOBER 31, 2007 11
Notes to Financial Statements 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 LLC (the "Master LLC"). Effective June 15, 2007, the
Master LLC was converted from a Delaware statutory trust to a Delaware limited
liability company. 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. The percentage of the Portfolio
owned by the Fund at October 31, 2007 was 2.9%. 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. The counterparty for certain
instruments may pledge cash or securities as collateral.
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.
(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.
12 BLACKROCK CORE PRINCIPAL PROTECTED FUND OCTOBER 31, 2007
Notes to Financial Statements (continued)
BlackRock Core Principal Protected Fund
(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, Statement of Financial Accounting Standards No.
159, "The Fair Value Option for Financial Assets and Financial Liabilities"
("FAS 159"), was issued and 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.
(h) Reclassification -- U.S. generally accepted accounting principles require
that certain components of net assets be adjusted to reflect permanent
differences between financial and tax reporting. Accordingly, during the current
year, $2,344,585 has been reclassified between undistributed net realized
capital gains and accumulated net investment loss as a result of permanent
differences attributable to net operating losses. This reclassification has no
effect on net assets or net asset values per share.
2. Investment Advisory Agreements and Transactions with Affiliates:
The Trust, on behalf of the Fund, entered into an Investment Advisory Agreement
with BlackRock Advisors, LLC (the "Manager"). The Trust has also entered into
separate Distribution Agreements and Distribution Plans with FAM Distributors,
Inc. ("FAMD") and BlackRock Distributors, Inc. ("BDI") (collectively, "the
Distributor"). FAMD is a wholly owned subsidiary of Merrill Lynch Group, Inc.
and BDI is an affiliate of BlackRock, Inc. Merrill Lynch and Co., Inc. ("Merrill
Lynch") and The PNC Financial Services Group, Inc. ("PNC") are the principal
owners 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 year ended October 31, 2007, the Manager
earned fees of $1,303,316, of which $802,151 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 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 the sub-adviser 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 each Distributor provide 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 the Distributor and the broker-dealers for
providing shareholder and distribution-related services to Investor B and
Investor C shareholders.
For the year ended October 31, 2007, affiliates received contingent deferred
sales charges of $246,219 and $115 relating to transactions in Investor B and
Investor C Shares, respectively.
BLACKROCK CORE PRINCIPAL PROTECTED FUND OCTOBER 31, 2007 13
Notes to Financial Statements (continued)
BlackRock Core Principal Protected Fund
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 year ended
October 31, 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 .................................................. $ 55
Investor A ..................................................... $ 135
Investor B ..................................................... $1,173
Investor C ..................................................... $ 748
- --------------------------------------------------------------------------------
The Trust, on behalf of the Fund, and the Manager have entered into a Financial
Guarantee Agreement with Ambac Assurance Corporation ("Ambac"). The Financial
Guarantee Agreement is intended to make sure that on the Guaranteed Maturity
Date, each shareholder of the Fund will be entitled to redeem his or her shares
for an amount no less than the initial value of that shareholder's account (less
expenses and sales charges not covered by the Financial Guarantee Agreement),
provided that all dividends and distributions received from the Fund have been
reinvested and no shares have been redeemed (the "Guaranteed Amount"). The Fund
will pay to Ambac, under the Financial Guarantee Agreement, an annual fee equal
to .625% of the Fund's average daily net assets during the Guarantee Period. If
the value of the Fund's assets on the Guaranteed Maturity Date is insufficient
to result in the value of each shareholder's account being at least equal to the
shareholder's Guaranteed Amount, Ambac will pay the Fund an amount sufficient to
make sure that each shareholder's account can be redeemed for an amount equal to
his or her Guaranteed Amount.
PFPC Inc., an indirect, wholly owned subsidiary of PNC and an affiliate of the
Manager, is the Fund's transfer agent.
For the year ended October 31, 2007, the Fund reimbursed the Manager $3,168 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 Interest Transactions:
Net decrease in net assets derived from beneficial interest transactions was
$26,933,904 and $33,246,056 for the years ended October 31, 2007 and October 31,
2006, respectively.
Transactions in beneficial interest for each class were as follows:
- -------------------------------------------------------------------------------
Institutional Shares for the Year Dollar
Ended October 31, 2007 Shares Amount
- -------------------------------------------------------------------------------
Shares issued to shareholders in reinvestment
of distributions. .......................... 13,375 $ 158,359
Shares redeemed .............................. (138,956) (1,716,843)
-----------------------------
Net decrease ................................. (125,581) $ (1,558,484)
=============================
- -------------------------------------------------------------------------------
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 Year Dollar
Ended October 31, 2007 Shares Amount
- -------------------------------------------------------------------------------
Shares issued ................................ 306 $ 9,670
Shares issued to shareholders in reinvestment
of distributions ........................... 102,594 1,212,660
-----------------------------
Total issued. ................................ 102,900 1,222,330
Shares redeemed .............................. (440,665) (5,456,895)
-----------------------------
Net decrease ................................. (337,765) $ (4,234,565)
=============================
- -------------------------------------------------------------------------------
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 Year Dollar
Ended October 31, 2007 Shares Amount
- -------------------------------------------------------------------------------
Shares issued to shareholders in reinvestment
of distributions ........................... 705,931 $ 8,231,154
Shares redeemed .............................. (1,853,518) (22,564,691)
-----------------------------
Net decrease ................................. (1,147,587) $(14,333,537)
=============================
- -------------------------------------------------------------------------------
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)
=============================
14 BLACKROCK CORE PRINCIPAL PROTECTED FUND OCTOBER 31, 2007
Notes to Financial Statements (continued)
BlackRock Core Principal Protected Fund
- -------------------------------------------------------------------------------
Investor C Shares for the Year Dollar
Ended October 31, 2007 Shares Amount
- -------------------------------------------------------------------------------
Shares issued to shareholders in reinvestment
of distributions ........................... 458,599 $ 5,361,026
Shares redeemed .............................. (993,765) (12,168,344)
-----------------------------
Net decrease ................................. (535,166) $ (6,807,318)
=============================
- -------------------------------------------------------------------------------
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.
4. Distributions to Shareholders:
The tax character of distributions paid during the fiscal years ended October
31, 2007 and October 31, 2006 was as follows:
- -------------------------------------------------------------------------------
10/31/2007 10/31/2006
- -------------------------------------------------------------------------------
Distributions paid from:
Ordinary income ............................ -- $ 3,285,416
Net long-term capital gains ................ $ 16,544,258 8,683,838
-----------------------------
Total taxable distributions .................. $ 16,544,258 $ 11,969,254
=============================
As of October 31, 2007, the components of accumulated earnings on a tax basis
were as follows:
- -------------------------------------------------------------------------------
Undistributed ordinary income -- net ........................... $ 3,342,837
Undistributed long-term capital gains -- net ................... 23,187,165
-----------
Total undistributed earnings -- net ............................ 26,530,002
Capital loss carryforward ...................................... --
Unrealized gains -- net ........................................ 34,626,779*
-----------
Total accumulated earnings -- net .............................. $61,156,781
===========
* The difference between book-basis and tax-basis net unrealized gain is
attributable to the tax deferral of losses on wash sales.
5. Subsequent Event:
The Fund paid an ordinary income dividend in the amount of $.392787 per
Institutional Share, $.360154 per Investor A Share, $.256877 per Investor B
Share and $.259256 per Investor C Share on December 13, 2007 to shareholders of
record on December 11, 2007. In addition, the Fund paid a long-term capital gain
distribution in the amount of $1.861694 per Institutional Share, $1.861694 per
Investor A Share, $1.861694 per Investor B Share and $1.861694 per Investor C
Share on December 13, 2007 to shareholders of record on December 11, 2007.
Report of Independent Registered Public Accounting Firm
BlackRock Core Principal Protected Fund
To the Shareholders and Board of Trustees of
BlackRock Principal Protected Trust:
We have audited the accompanying statement of assets and liabilities of
BlackRock Core Principal Protected Fund, one of the series constituting
BlackRock Principal Protected Trust (the "Trust"), as of October 31, 2007, and
the related statement of operations for the year then ended, the statements of
changes in net assets for each of the two years in the period then ended and the
financial highlights for each of the respective periods then ended. These
financial statements and financial highlights are the responsibility of the
Trust's management. Our responsibility is to express an opinion on these
financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statements and financial highlights are free of material misstatement. The Trust
is not required to have, nor were we engaged to perform, an audit of its
internal control over financial reporting. Our audits included consideration of
internal control over financial reporting as a basis for designing audit
procedures that are appropriate in the circumstances, but not for the purpose of
expressing an opinion on the effectiveness of the Trust's internal control over
financial reporting. Accordingly, we express no such opinion. An audit also
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, as well as evaluating the
overall financial statement presentation. We believe that our audits provide a
reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of
BlackRock Core Principal Protected Fund of BlackRock Principal Protected Trust
as of October 31, 2007, the results of its operations for the year then ended,
the changes in its net assets for each of the two years in the period then ended
and its financial highlights for each of the respective periods then ended, in
conformity with accounting principles generally accepted in the United States of
America.
Deloitte & Touche LLP
Princeton, New Jersey
December 26, 2007
BLACKROCK CORE PRINCIPAL PROTECTED FUND OCTOBER 31, 2007 15
Officers and Trustees of the Trust as of October 31, 2007
Number of
Funds and
Portfolios in
Position(s) Length of Fund Complex Other Public
Name, Address Held with Time Overseen by Directorships
and Year of Birth Fund Served Principal Occupation(s) During Past 5 Years Trustee Held by Trustee
====================================================================================================================================
Interested Trustee
- ------------------------------------------------------------------------------------------------------------------------------------
Robert C. Doll, Jr.* Fund 2005 to Vice Chairman and Director of BlackRock, 120 Funds None
P.O. Box 9011 President 2007 Inc., Global Chief Investment Officer for 161 Portfolios
Princeton, NJ 08543-9011 and Equities, Chairman of the BlackRock Retail
1954 Trustee Operating Committee, and member of the
BlackRock Executive Committee since 2006;
President of the funds advised by Merrill
Lynch Investment Managers, L.P. ("MLIM") and
its affiliates ("MLIM/FAM-advised funds")
from 2005 to 2006 and Chief Investment
Officer thereof from 2001 to 2006; President
of MLIM and Fund Asset Management, L.P.
("FAM") from 2001 to 2006; Co-Head (Americas
Region) thereof from 2000 to 2001 and Senior
Vice President from 1999 to 2001; President
and Director of Princeton Services, Inc.
("Princeton Services") and President of
Princeton Administrators, L.P. ("Princeton
Administrators") from 2001 to 2006; Chief
Investment Officer of OppenheimerFunds, Inc.
in 1999 and Executive Vice President thereof
from 1991 to 1999.
----------------------------------------------------------------------------------------------------------
* Mr. Doll is a director, trustee or member of an advisory board of certain other investment companies
for which BlackRock Advisors, LLC and its affiliates act as investment adviser. Mr. Doll is an
"interested person," as defined in the Investment Company Act, of the Fund based on his positions
with BlackRock, Inc. and its affiliates. Trustees serve until their resignation, removal or death,
or until December 31 of the year in which they turn 72. As Fund President, Mr. Doll serves at the
pleasure of the Board of Trustees.
====================================================================================================================================
Independent Trustees*
- ------------------------------------------------------------------------------------------------------------------------------------
David O. Beim** Trustee 2002 to Professor of Finance and Economics at the 17 Funds None
P.O. Box 9095 2007 Columbia University Graduate School of 24 Portfolios
Princeton, NJ 08543-9095 Business since 1991; Chairman of Outward
1940 Bound U.S.A. from 1997 to 2001; Chairman of
Wave Hill, Inc. from 1990 to 2006; Trustee
of Phillips Exeter Academy from 2002 to
present.
- ------------------------------------------------------------------------------------------------------------------------------------
James T. Flynn Trustee 2002 to Chief Financial Officer of JPMorgan & Co., 17 Funds None
P.O. Box 9095 2007 Inc. from 1990 to 1995 and an employee of 24 Portfolios
Princeton, NJ 08543-9095 JPMorgan in various capacities from 1967 to
1939 1995.
- ------------------------------------------------------------------------------------------------------------------------------------
W. Carl Kester Trustee 2002 to Deputy Dean for Academic Affairs, Harvard 17 Funds None
P.O. Box 9095 2007 Business School since 2006; The Mizuho 24 Portfolios
Princeton, NJ 08543-9095 Financial Group, Professor of Finance,
1951 Harvard Business School since 2006; Unit
Head, Finance, Harvard Business School, from
2005 to 2006; Senior Associate Dean and
Chairman of the MBA Program of Harvard
Business School, from1999 to 2005, Member of
the faculty of Harvard Business School since
1981; Independent Consultant since 1978.
- ------------------------------------------------------------------------------------------------------------------------------------
Karen P. Robards*** Trustee 2002 to Partner of Robards & Company, LLC., a 17 Funds AtriCure, Inc.
P.O. Box 9095 2007 financial advisory firm since 1987; formerly 24 Portfolios (medical devices);
Princeton, NJ 08543-9095 an investment banker with Morgan Stanley for Care Investment
1950 more than ten years; Director of Enable Trust, Inc.
Medical Corp. from 1996 to 2005; Director of
AtriCure, Inc., since 2000; Director of Care
Investment Trust, Inc. (a health care REIT),
since 2007; Co-founder and Director of the
Cooke Center for Learning and Development, a
not-for-profit organization, since 1987.
----------------------------------------------------------------------------------------------------------
* Trustees serve until their resignation, removal or death, or until December 31 of the year in which
they turn 72.
** Chairman of the Audit Committee.
*** Chair of the Board of Trustees.
16 BLACKROCK CORE PRINCIPAL PROTECTED FUND OCTOBER 31, 2007
Officers and Trustees of the Trust (concluded)
Position(s) Length of
Name, Address Held with Time
and Year of Birth Fund Served Principal Occupation(s) During Past 5 Years
====================================================================================================================================
Fund Officers*
- ------------------------------------------------------------------------------------------------------------------------------------
Donald C. Burke Vice 2002 to Managing Director of BlackRock, Inc. since 2006; Managing Director of Merrill
P.O. Box 9011 President 2007 Lynch Investment Managers, L.P. ("MLIM") and Fund Asset Management, L.P. ("FAM")
Princeton, NJ 08543-9011 and in 2006; First Vice President of MLIM and FAM from 1997 to 2005 and Treasurer
1960 Treasurer thereof from 1999 to 2006; Vice President of MLIM and FAM from 1990 to 1997.
- ------------------------------------------------------------------------------------------------------------------------------------
Karen Clark Chief 2007 Managing Director of BlackRock, Inc. and Chief Compliance Officer of certain
P.O. Box 9011 Compliance BlackRock-advised funds since 2007; Director of BlackRock, Inc. from 2005 to
Princeton, NJ 08543-9011 Officer 2007; Principal and Senior Compliance Officer, State Street Global Advisors,
1965 from 2001 to 2005; Principal Consultant, PricewaterhouseCoopers, LLP from 1998
to 2001; Branch Chief, Division of Investment Management and Office of
Compliance Inspections and Examinations, U.S. Securities and Exchange
Commission, from 1993 to 1998.
- ------------------------------------------------------------------------------------------------------------------------------------
Howard Surloff Secretary 2007 Managing Director of BlackRock Inc. and General Counsel of U.S. Funds at
P.O. Box 9011 BlackRock, Inc. since 2006; General Counsel (U.S.) of Goldman Sachs Asset
Princeton, NJ 08543-9011 Management from 1993 to 2006.
1965
----------------------------------------------------------------------------------------------------------
* Officers of the Fund serve at the pleasure of the Board of Trustees.
- ------------------------------------------------------------------------------------------------------------------------------------
Further information about the Fund's Officers and Trustees is available in the Fund's Statement of
Additional Information, which can be obtained without charge by calling 1-800-441-7762.
- ------------------------------------------------------------------------------------------------------------------------------------
Accounting Agent
State Street Bank and
Trust Company
Princeton, NJ 08540
Custodian
Brown Brothers Harriman & Co.
40 Water Street
Boston, MA 02109-3661
Transfer Agent
PFPC Inc.
Wilmington, DE 19809
Independent Registered Public Accounting Firm
Deloitte & Touche LLP
Princeton, NJ 08540
Legal Counsel
Sidley Austin LLP
New York, NY 10019
------------------------------------------------------
If you would like a copy, free of charge, of the most
recent annual or quarterly report of Ambac Assurance
Corporation, the Guarantor: please contact the Fund at
1-800-441-7762.
------------------------------------------------------
Important Tax Information
During the fiscal year ended October 31, 2007, BlackRock Core Principal
Protected Fund of BlackRock Principal Protected Trust distributed long-term
capital gains of $1.13863 to shareholders of record on December 8, 2006.
BLACKROCK CORE PRINCIPAL PROTECTED FUND OCTOBER 31, 2007 17
Portfolio Summary Master Large Cap Core Portfolio
As of October 31, 2007
Percent of
Ten Largest Equity Holdings Net Assets
- --------------------------------------------------------------------------------
Exxon Mobil Corp. .................................................... 4.0%
Chevron Corp. ........................................................ 2.2
Cisco Systems, Inc. .................................................. 2.2
International Business Machines Corp. ................................ 2.1
ConocoPhillips ....................................................... 1.8
Hewlett-Packard Co. .................................................. 1.8
American International Group, Inc. ................................... 1.8
General Electric Co. ................................................. 1.7
Microsoft Corp. ...................................................... 1.6
Oracle Corp. ......................................................... 1.6
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Percent of
Five Largest Industries Net Assets
- --------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels .......................................... 12.9%
Health Care Providers & Services ..................................... 11.1
Computers & Peripherals .............................................. 7.3
Insurance ............................................................ 7.0
Software ............................................................. 6.6
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Percent of
Sector Representation Long-Term Investments
- --------------------------------------------------------------------------------
Information Technology ............................................... 26.7%
Health Care .......................................................... 15.9
Energy ............................................................... 14.3
Consumer Discretionary ............................................... 13.4
Industrials .......................................................... 12.5
Financials ........................................................... 8.8
Materials ............................................................ 4.0
Consumer Staples ..................................................... 2.4
Telecommunication Services ........................................... 1.9
Utilities ............................................................ 0.1
- --------------------------------------------------------------------------------
For Portfolio compliance purposes, 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.
18 BLACKROCK CORE PRINCIPAL PROTECTED FUND OCTOBER 31, 2007
Schedule of Investments as of October 31, 2007 Master Large Cap Core Portfolio
Shares
Common Stocks Held Value
==============================================================================================
Consumer Discretionary -- 13.8%
Diversified Consumer Services -- 2.1%
Apollo Group, Inc. Class A (a)(c) 800,000 $ 63,408,000
ITT Educational Services, Inc. (a) 410,000 52,147,900
--------------
115,555,900
- ----------------------------------------------------------------------------------------------
Hotels, Restaurants & Leisure -- 0.5%
Darden Restaurants, Inc. 640,000 27,520,000
- ----------------------------------------------------------------------------------------------
Household Durables -- 0.2%
Whirlpool Corp. (c) 106,000 8,393,080
- ----------------------------------------------------------------------------------------------
Internet & Catalog Retail -- 1.0%
Amazon.com, Inc. (a)(c) 550,000 49,032,500
Expedia, Inc. (a)(c) 208,000 6,793,280
--------------
55,825,780
- ----------------------------------------------------------------------------------------------
Internet Software & Services -- 0.4%
eBay, Inc. (a)(c) 690,000 24,909,000
- ----------------------------------------------------------------------------------------------
Media -- 2.2%
Omnicom Group Inc. 910,000 46,391,800
Walt Disney Co. (c) 2,324,400 80,493,972
--------------
126,885,772
- ----------------------------------------------------------------------------------------------
Multiline Retail -- 2.4%
Big Lots, Inc. (a)(c) 2,100,000 50,358,000
Dollar Tree Stores, Inc. (a) 1,307,000 50,058,100
Family Dollar Stores, Inc. (c) 1,420,000 35,997,000
--------------
136,413,100
- ----------------------------------------------------------------------------------------------
Specialty Retail -- 3.8%
AutoZone, Inc. (a)(c) 360,000 44,787,600
GameStop Corp. Class A (a) 1,070,000 63,365,400
RadioShack Corp. (c) 2,060,800 42,493,696
The Sherwin-Williams Co. (c) 920,000 58,806,400
TJX Cos., Inc. (c) 266,200 7,701,166
--------------
217,154,262
- ----------------------------------------------------------------------------------------------
Textiles, Apparel & Luxury Goods -- 1.2%
Nike, Inc. Class B 1,020,000 67,585,200
- ----------------------------------------------------------------------------------------------
Total Consumer Discretionary 780,242,094
==============================================================================================
Consumer Staples -- 2.4%
Beverages -- 0.5%
The Coca-Cola Co. 310,500 19,176,480
Pepsi Bottling Group, Inc. 170,000 7,323,600
--------------
26,500,080
- ----------------------------------------------------------------------------------------------
Food & Staples Retailing -- 1.2%
The Kroger Co. 2,270,000 66,715,300
- ----------------------------------------------------------------------------------------------
Food Products -- 0.1%
Tyson Foods, Inc. Class A 470,000 7,426,000
- ----------------------------------------------------------------------------------------------
Household Products -- 0.6%
Energizer Holdings, Inc. (a) 60,200 6,278,860
The Procter & Gamble Co. 360,000 25,027,200
--------------
31,306,060
- ----------------------------------------------------------------------------------------------
Total Consumer Staples 131,947,440
==============================================================================================
Energy -- 14.3%
Energy Equipment & Services -- 1.4%
ENSCO International, Inc. 420,000 23,305,800
Global Industries Ltd. (a) 850,000 20,927,000
Tidewater, Inc. 630,000 34,442,100
--------------
78,674,900
- ----------------------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels -- 12.9%
Chevron Corp. 1,384,500 126,695,595
ConocoPhillips 1,210,000 102,801,600
Exxon Mobil Corp. 2,442,900 224,722,371
Frontier Oil Corp. 1,210,000 55,405,900
Holly Corp. 670,000 42,076,000
Marathon Oil Corp. 970,000 57,356,100
Tesoro Corp. (c) 890,000 53,871,700
Valero Energy Corp. 960,000 67,612,800
--------------
730,542,066
- ----------------------------------------------------------------------------------------------
Total Energy 809,216,966
==============================================================================================
Financials -- 8.8%
Capital Markets -- 1.0%
The Goldman Sachs Group, Inc. (c) 90,000 22,312,800
Janus Capital Group, Inc. (c) 1,050,000 36,235,500
--------------
58,548,300
- ----------------------------------------------------------------------------------------------
Diversified Financial Services -- 0.8%
Bank of America Corp. 510,000 24,622,800
Citigroup, Inc. 470,000 19,693,000
--------------
44,315,800
- ----------------------------------------------------------------------------------------------
Insurance -- 7.0%
ACE Ltd. 95,300 5,776,133
AON Corp. (c) 720,000 32,630,400
American International Group, Inc. 1,620,000 102,254,400
Chubb Corp. 1,030,000 54,950,500
MetLife, Inc. 970,000 66,784,500
The Travelers Cos., Inc. 1,300,000 67,873,000
UnumProvident Corp. (c) 262,700 6,131,418
XL Capital Ltd. Class A 830,000 59,718,500
--------------
396,118,851
- ----------------------------------------------------------------------------------------------
Total Financials 498,982,951
==============================================================================================
Health Care -- 15.9%
Health Care Equipment & Supplies -- 1.0%
Baxter International, Inc. 103,900 6,235,039
Kinetic Concepts, Inc. (a)(c) 842,200 50,616,220
--------------
56,851,259
- ----------------------------------------------------------------------------------------------
Health Care Providers & Services -- 11.1%
Aetna, Inc. 1,260,000 70,774,200
AmerisourceBergen Corp. 876,000 41,268,360
Cigna Corp. 490,000 25,720,100
Coventry Health Care, Inc. (a) 810,000 48,851,100
Express Scripts, Inc. (a) 1,050,000 66,255,000
Humana, Inc. (a) 820,000 61,459,000
Laboratory Corp. of America Holdings (a)(c) 510,000 35,062,500
McKesson Corp. (c) 800,000 52,880,000
Medco Health Solutions, Inc. (a) 740,000 69,841,200
UnitedHealth Group, Inc. 1,650,000 81,097,500
WellPoint, Inc. (a) 940,000 74,476,200
--------------
627,685,160
- ----------------------------------------------------------------------------------------------
Life Sciences Tools & Services -- 0.8%
Invitrogen Corp. (a) 69,600 6,324,552
Waters Corp. (a)(c) 530,000 40,799,400
--------------
47,123,952
- ----------------------------------------------------------------------------------------------
BLACKROCK CORE PRINCIPAL PROTECTED FUND OCTOBER 31, 2007 19
Schedule of Investments (continued) Master Large Cap Core Portfolio
Shares
Common Stocks Held Value
==============================================================================================
Health Care (concluded)
Pharmaceuticals -- 3.0%
Eli Lilly & Co. 196,200 $ 10,624,230
Johnson & Johnson 220,000 14,337,400
Merck & Co., Inc. 372,900 21,725,154
Pfizer, Inc. 2,632,700 64,790,747
Schering-Plough Corp. 1,790,000 54,630,800
--------------
166,108,331
- ----------------------------------------------------------------------------------------------
Total Health Care 897,768,702
==============================================================================================
Industrials -- 12.6%
Aerospace & Defense -- 4.2%
Honeywell International, Inc. 1,230,000 74,304,300
L-3 Communications Holdings, Inc. 220,000 24,120,800
Lockheed Martin Corp. 610,800 67,212,432
Raytheon Co. 1,087,000 69,144,070
--------------
234,781,602
- ----------------------------------------------------------------------------------------------
Airlines -- 0.7%
Continental Airlines, Inc. Class B (a)(c) 1,200,000 41,220,000
- ----------------------------------------------------------------------------------------------
Commercial Services & Supplies -- 0.2%
Allied Waste Industries, Inc. (a) 620,700 7,845,648
- ----------------------------------------------------------------------------------------------
Construction & Engineering -- 1.1%
Fluor Corp. (c) 390,000 61,620,000
- ----------------------------------------------------------------------------------------------
Electrical Equipment -- 1.5%
Rockwell Automation, Inc. (c) 890,000 61,303,200
Thomas & Betts Corp. (a) 440,000 24,644,400
--------------
85,947,600
- ----------------------------------------------------------------------------------------------
Industrial Conglomerates -- 1.7%
General Electric Co. 2,340,000 96,314,400
- ----------------------------------------------------------------------------------------------
Machinery -- 3.2%
Deere & Co. 460,000 71,254,000
Eaton Corp. 83,900 7,767,462
Manitowoc Co. 1,040,000 51,230,400
Parker Hannifin Corp. 550,000 44,203,500
Toro Co. (c) 140,000 7,792,400
--------------
182,247,762
- ----------------------------------------------------------------------------------------------
Total Industrials 709,977,012
==============================================================================================
Information Technology -- 26.3%
Communications Equipment -- 3.3%
Cisco Systems, Inc. (a) 3,826,000 126,487,560
Juniper Networks, Inc. (a) 1,730,000 62,280,000
--------------
188,767,560
- ----------------------------------------------------------------------------------------------
Computers & Peripherals -- 7.3%
Dell, Inc. (a)(c) 2,160,000 66,096,000
EMC Corp. (a)(c) 2,970,000 75,408,300
Hewlett-Packard Co. 1,984,000 102,533,120
International Business Machines Corp. 1,002,900 116,456,748
Seagate Technology 1,810,000 50,390,400
Western Digital Corp. (a) 60,000 1,555,200
--------------
412,439,768
- ----------------------------------------------------------------------------------------------
Electronic Equipment & Instruments -- 0.8%
Avnet, Inc. (a) 800,000 33,376,000
Mettler Toledo International, Inc. (a) 130,000 13,825,500
--------------
47,201,500
- ----------------------------------------------------------------------------------------------
IT Services -- 3.4%
Accenture Ltd. Class A (c) 1,640,000 64,042,000
Computer Sciences Corp. (a)(c) 792,900 46,297,431
DST Systems, Inc. (a)(c) 540,000 45,743,400
Electronic Data Systems Corp. 1,770,000 38,214,300
--------------
194,297,131
- ----------------------------------------------------------------------------------------------
Office Electronics -- 0.8%
Xerox Corp. (a) 2,580,000 44,995,200
- ----------------------------------------------------------------------------------------------
Semiconductors & Semiconductor
Equipment -- 4.1%
Applied Materials, Inc. 3,330,000 64,668,600
Integrated Device Technology, Inc. (a) 1,340,000 17,996,200
Intersil Corp. Class A 330,000 10,012,200
KLA-Tencor Corp. (c) 780,000 41,067,000
Novellus Systems, Inc. (a) 1,420,000 40,342,200
Nvidia Corp. (a) 1,610,000 56,961,800
--------------
231,048,000
- ----------------------------------------------------------------------------------------------
Software -- 6.6%
BMC Software, Inc. (a) 1,730,000 58,543,200
CA, Inc. (c) 590,000 15,605,500
Cadence Design Systems, Inc. (a)(c) 1,782,600 34,938,960
Compuware Corp. (a) 1,110,000 11,100,000
McAfee, Inc. (a) 1,280,000 52,928,000
Microsoft Corp. 2,400,700 88,369,767
Oracle Corp. (a) 3,980,000 88,236,600
Synopsys, Inc. (a) 700,000 19,782,000
--------------
369,504,027
- ----------------------------------------------------------------------------------------------
Total Information Technology 1,488,253,186
==============================================================================================
Materials -- 4.0%
Chemicals -- 1.3%
Eastman Chemical Co. 141,900 9,449,121
Lubrizol Corp. 86,200 5,851,256
The Mosaic Co. (a) 830,000 57,934,000
--------------
73,234,377
- ----------------------------------------------------------------------------------------------
Containers & Packaging -- 0.5%
Packaging Corp. of America (c) 830,000 26,427,200
- ----------------------------------------------------------------------------------------------
Metals & Mining -- 1.1%
Southern Copper Corp. (c) 450,000 62,865,000
- ----------------------------------------------------------------------------------------------
Paper & Forest Products -- 1.1%
International Paper Co. (c) 1,730,000 63,940,800
- ----------------------------------------------------------------------------------------------
Total Materials 226,467,377
==============================================================================================
20 BLACKROCK CORE PRINCIPAL PROTECTED FUND OCTOBER 31, 2007
Schedule of Investments (concluded) Master Large Cap Core Portfolio
Shares
Common Stocks Held Value
==============================================================================================
Telecommunication Services -- 1.9%
Diversified Telecommunication Services -- 1.9%
AT&T Inc. 910,000 $ 38,028,900
Qwest Communications International Inc. (a)(c) 7,450,000 53,491,000
Verizon Communications, Inc. 317,491 14,626,810
- ----------------------------------------------------------------------------------------------
Total Telecommunication Services 106,146,710
==============================================================================================
Utilities -- 0.1%
Electric Utilities -- 0.1%
Edison International 128,600 7,478,090
- ----------------------------------------------------------------------------------------------
Total Utilities 7,478,090
==============================================================================================
Total Common Stocks (Cost -- $4,694,109,534) -- 100.1% 5,656,480,528
Beneficial
Short-Term Securities Interest Value
==============================================================================================
BlackRock Liquidity Series, LLC
Money Market Series, 5.04% (b)(d)(e) $ 882,440,300 $ 882,440,300
- ----------------------------------------------------------------------------------------------
Total Short-Term Securities
(Cost -- $882,440,300) -- 15.6% 882,440,300
==============================================================================================
Total Investments
(Cost -- $5,576,549,834*) -- 115.7% 6,538,920,828
Liabilities in Excess of Other Assets -- (15.7%) (889,189,839)
--------------
Net Assets -- 100.0% $5,649,730,989
==============
* The cost and unrealized appreciation (depreciation) of investments as of
October 31, 2007, as computed for federal income tax purposes, were as
follows:
Aggregate cost ....................................... $ 5,590,044,063
===============
Gross unrealized appreciation ........................ $ 1,061,508,790
Gross unrealized depreciation ........................ (112,632,025)
---------------
Net unrealized appreciation .......................... $ 948,876,765
===============
(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 October 31, 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 -- $ 55,193
BlackRock Liquidity Series, LLC
Money Market Series $233,561,500 $1,434,000
--------------------------------------------------------------------------
o For Portfolio compliance purposes, the Portfolio's sector and industry
classifications refer to any one or more of the industry
sub-classifications used by one or more widely recognized market indexes
or ratings group indexes, and/or as defined by 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. These sector and industry
classifications are unaudited.
See Notes to Financial Statements.
BLACKROCK CORE PRINCIPAL PROTECTED FUND OCTOBER 31, 2007 21
Statement of Assets and Liabilities Master Large Cap Core Portfolio
As of October 31, 2007
====================================================================================================================================
Assets
- ------------------------------------------------------------------------------------------------------------------------------------
Investments in unaffiliated securities, at value (including securities loaned of $869,986,977)
(identified cost -- $4,694,109,534) .......................................................... $5,656,480,528
Investments in affiliated securities, at value (identified cost -- $882,440,300) ............... 882,440,300
Receivables:
Securities sold ............................................................................ $ 34,659,347
Contributions .............................................................................. 5,717,545
Dividends .................................................................................. 2,781,152
Securities lending ......................................................................... 234,396 43,392,440
--------------
Prepaid expenses ............................................................................... 944,428
--------------
Total assets ................................................................................... 6,583,257,696
--------------
====================================================================================================================================
Liabilities
- ------------------------------------------------------------------------------------------------------------------------------------
Collateral on securities loaned, at value ...................................................... 882,440,300
Bank overdraft ................................................................................. 4,334,105
Payables:
Securities purchased ....................................................................... 29,810,803
Withdrawals ................................................................................ 14,518,072
Investment adviser ......................................................................... 2,158,393
Other affiliates ........................................................................... 26,785 46,514,053
--------------
Accrued expenses and other liabilities ......................................................... 238,249
--------------
Total liabilities .............................................................................. 933,526,707
--------------
====================================================================================================================================
Net Assets
- ------------------------------------------------------------------------------------------------------------------------------------
Net assets ..................................................................................... $5,649,730,989
==============
====================================================================================================================================
Net Assets Consist of
- ------------------------------------------------------------------------------------------------------------------------------------
Investors' capital ............................................................................. $4,400,820,142
Unrealized appreciation -- net ................................................................. 1,248,910,847
--------------
Net Assets ..................................................................................... $5,649,730,989
==============
See Notes to Financial Statements.
22 BLACKROCK CORE PRINCIPAL PROTECTED FUND OCTOBER 31, 2007
Statement of Operations Master Large Cap Core Portfolio
For the Year Ended October 31, 2007
====================================================================================================================================
Investment Income
- ------------------------------------------------------------------------------------------------------------------------------------
Dividends .................................................................................... $ 47,804,061
Securities lending -- net .................................................................... 1,434,000
Interest from affiliates ..................................................................... 55,193
---------------
Total income ................................................................................. 49,293,254
---------------
====================================================================================================================================
Expenses
- ------------------------------------------------------------------------------------------------------------------------------------
Investment advisory fees ..................................................................... $ 20,167,935
Accounting services .......................................................................... 703,218
Custodian fees ............................................................................... 369,952
Directors' fees and expenses ................................................................. 118,998
Professional fees ............................................................................ 91,920
Pricing fees ................................................................................. 1,136
Printing and shareholder reports ............................................................. 725
Other ........................................................................................ 79,266
---------------
Total expenses ............................................................................... 21,533,150
---------------
Investment income -- net ..................................................................... 27,760,104
---------------
====================================================================================================================================
Realized & Unrealized Gain -- Net
- ------------------------------------------------------------------------------------------------------------------------------------
Realized gain on investments -- net .......................................................... 527,140,752
Change in unrealized appreciation on investments -- net ...................................... 308,789,197
---------------
Total realized and unrealized gain -- net .................................................... 835,929,949
---------------
Net Increase in Net Assets Resulting from Operations ......................................... $ 863,690,053
===============
See Notes to Financial Statements.
BLACKROCK CORE PRINCIPAL PROTECTED FUND OCTOBER 31, 2007 23
Statements of Changes in Net Assets Master Large Cap Core Portfolio
For the Year Ended
October 31,
-----------------------------------
Increase (Decrease) in Net Assets: 2007 2006
===================================================================================================================================
Operations
- -----------------------------------------------------------------------------------------------------------------------------------
Investment income -- net ................................................................... $ 27,760,104 $ 19,476,807
Realized gain -- net ....................................................................... 527,140,752 195,731,487
Change in unrealized appreciation -- net ................................................... 308,789,197 289,376,493
-----------------------------------
Net increase in net assets resulting from operations ....................................... 863,690,053 504,584,787
-----------------------------------
===================================================================================================================================
Capital Transactions
- -----------------------------------------------------------------------------------------------------------------------------------
Proceeds from contributions ................................................................ 1,128,729,030 1,448,673,363
Fair value of withdrawals .................................................................. (219,326,884) (743,318,106)
-----------------------------------
Net increase in net assets derived from capital transactions ............................... 909,402,146 705,355,257
-----------------------------------
===================================================================================================================================
Net Assets
- -----------------------------------------------------------------------------------------------------------------------------------
Total increase in net assets ............................................................... 1,773,092,199 1,209,940,044
Beginning of year .......................................................................... 3,876,638,790 2,666,698,746
-----------------------------------
End of year ................................................................................ $ 5,649,730,989 $ 3,876,638,790
===================================
See Notes to Financial Statements.
Financial Highlights Master Large Cap Core Portfolio
For the Year Ended October 31,
The following ratios have been derived from ---------------------------------------------------------------------------
information provided in the financial statements. 2007 2006 2005 2004 2003
===================================================================================================================================
Total Investment Return
- -----------------------------------------------------------------------------------------------------------------------------------
Total investment return ............................ 13.94% 17.32% 18.35% 9.61% 25.11%
===========================================================================
===================================================================================================================================
Ratios to Average Net Assets
- -----------------------------------------------------------------------------------------------------------------------------------
Expenses ........................................... .49% .49% .51% .52% .54%
===========================================================================
Investment income -- net ........................... .63% .58% .72% .57% .48%
===========================================================================
===================================================================================================================================
Supplemental Data
- -----------------------------------------------------------------------------------------------------------------------------------
Net assets, end of year (in thousands) ............. $ 5,649,731 $ 3,876,639 $ 2,666,699 $ 1,831,300 $ 1,454,109
===========================================================================
Portfolio turnover ................................. 96% 88% 94% 136% 139%
===========================================================================
See Notes to Financial Statements.
24 BLACKROCK CORE PRINCIPAL PROTECTED FUND OCTOBER 31, 2007
Notes to Financial Statements Master Large Cap Core Portfolio
1. Significant Accounting Policies:
Master Large Cap Core Portfolio (the "Portfolio") is a series of Master Large
Cap Series LLC (the "Master LLC"). The Master LLC is registered under the
Investment Company Act of 1940, as amended, and is organized as a Delaware
limited liability company. Prior to June 15, 2007, the Master LLC was organized
as a Delaware statutory trust (the "Trust"). The Limited Liability Company
Agreement (the "LLC Agreement") permits the Directors (and prior to June 15,
2007, the Declaration of Trust permitted the Trustees) to issue nontransferable
interests in the Master LLC/Trust, subject to certain limitations. Throughout
this report the Trust and the Master LLC are referred to as the Master LLC and
the Board of Directors of the Master LLC and the Board of Trustees of the Trust
are referred to as the Board of Directors. 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. 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 Directors of the Master
LLC. 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 Directors of the Master LLC. 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.
Effective September 4, 2007, exchange-traded options are valued at the mean
between the last bid and ask prices at the close of the options market in which
the options trade and previously were valued at the last sales price as of the
close of options trading on applicable exchanges. 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 Directors of the Master LLC, 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 Master LLC under the general supervision of the Board of
Directors of the Master LLC. Such valuations and procedures will be reviewed
periodically by the Board of Directors of the Master LLC.
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 Directors of the Master LLC 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 Directors of the Master LLC.
(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. The
counterparty for certain instruments may pledge cash or securities as
collateral.
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 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
BLACKROCK CORE PRINCIPAL PROTECTED FUND OCTOBER 31, 2007 25
Notes to Financial Statements (continued) Master Large Cap Core Portfolio
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. 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 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, Statement of Financial Accounting Standards No.
159, "The Fair Value Option for Financial Assets and Financial Liabilities"
("FAS 159"), was issued and 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 Master LLC, on behalf of the Portfolio, entered into an Investment Advisory
Agreement with the Manager. Merrill Lynch and Co., Inc. ("Merrill Lynch") and
The PNC Financial Services Group, Inc. ("PNC") 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
26 BLACKROCK CORE PRINCIPAL PROTECTED FUND OCTOBER 31, 2007
Notes to Financial Statements (concluded) Master Large Cap Core Portfolio
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.
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 the sub-adviser for services it provides 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 October 31, 2007, the Portfolio lent securities
with a value of $176,250,285 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. 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 year ended October 31, 2007, BIM received $464,185 in
securities lending agent fees.
In addition, MLPF&S received $100 in commissions on the execution of portfolio
security transactions for the Portfolio for the year ended October 31, 2007.
For the year ended October 31, 2007, the Portfolio reimbursed the Manager $224
for certain accounting services.
Certain officers and/or directors of the Master LLC are officers and/or
directors of BlackRock, Inc. or its affiliates.
3. Investments:
Purchases and sales of investments, excluding short-term securities, for the
year ended October 31, 2007 were $4,306,839,166 and $4,216,123,520,
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,
which expires November 2007 and was subsequently renewed. The Portfolio may
borrow under the credit agreement to fund shareholder redemptions and for other
lawful purposes other than for leverage. The Portfolio may borrow up to the
maximum amount allowable under the Portfolio's current prospectus and statement
of additional information, subject to various other legal, regulatory or
contractual limits. The Portfolio 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 year ended October 31, 2007.
5. Acquisitions:
On September 24, 2007, an investor of the Portfolio acquired all of the net
assets of BlackRock Investment Trust Portfolio of BlackRock Funds ("Investment
Trust"), pursuant to a plan of reorganization. As a result of the
reorganization, which included $286,539,853 of net unrealized appreciation, the
Portfolio received an in-kind contribution of portfolio securities.
BLACKROCK CORE PRINCIPAL PROTECTED FUND OCTOBER 31, 2007 27
Report of Independent Registered Public Accounting Firm
Master Large Cap Core Portfolio
To the Investors and Board of Directors of
Master Large Cap Series LLC:
We have audited the accompanying statement of assets and liabilities, including
the schedule of investments, of Master Large Cap Core Portfolio, one of the
portfolios constituting Master Large Cap Series LLC (formerly Master Large Cap
Series Trust) (the "Master LLC"), as of October 31, 2007, the related statement
of operations for the year then ended, the statements of changes in net assets
for each of the two years in the period then ended and the financial highlights
for each of the five years in the period then ended. These financial statements
and financial highlights are the responsibility of the Master LLC's management.
Our responsibility is to express an opinion on these financial statements and
financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statements and financial highlights are free of material misstatement. The
Master LLC is not required to have, nor were we engaged to perform, an audit of
its internal control over financial reporting. Our audits included consideration
of internal control over financial reporting as a basis for designing audit
procedures that are appropriate in the circumstances, but not for the purpose of
expressing an opinion on the effectiveness of the Master LLC's internal control
over financial reporting. Accordingly, we express no such opinion. An audit also
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, as well as evaluating the
overall financial statement presentation. Our procedures included confirmation
of securities owned as of October 31, 2007, by correspondence with the custodian
and brokers; where replies were not received from brokers, we performed other
auditing procedures. We believe that our audits provide a reasonable basis for
our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of Master
Large Cap Core Portfolio of Master Large Cap Series LLC as of October 31, 2007,
the results of its operations for the year then ended, the changes in its net
assets for each of the two years in the period then ended and its financial
highlights for each of the five years in the period then ended, in conformity
with accounting principles generally accepted in the United States of America.
Deloitte & Touche LLP
Princeton, New Jersey
December 26, 2007
28 BLACKROCK CORE PRINCIPAL PROTECTED FUND OCTOBER 31, 2007
Officers and Directors of Master Large Cap Series LLC as of October 31, 2007
Number of
Funds and
Portfolios in
Position(s) Length of Fund Complex Other Public
Name, Address Held with Time Overseen by Directorships
and Year of Birth Master LLC Served Principal Occupation(s) During Past 5 Years Director Held by Director
====================================================================================================================================
Interested Director
- ------------------------------------------------------------------------------------------------------------------------------------
Robert C. Doll, Jr.* Fund 2005 to Vice Chairman and Director of BlackRock, 120 Funds None
P.O. Box 9011 President 2007 Inc., Global Chief Investment Officer for 161 Portfolios
Princeton, NJ 08543-9011 and Equities, Chairman of the BlackRock Retail
1954 Director Operating Committee, and member of the
BlackRock Executive Committee since 2006;
President of the funds advised by Merrill
Lynch Investment Managers, L.P. ("MLIM") and
its affiliates ("MLIM/FAM-advised funds")
from 2005 to 2006 and Chief Investment
Officer thereof from 2001 to 2006; President
of MLIM and Fund Asset Management, L.P.
("FAM") from 2001 to 2006; Co-Head (Americas
Region) thereof from 2000 to 2001 and Senior
Vice President from 1999 to 2001; President
and Director of Princeton Services, Inc.
("Princeton Services") and President of
Princeton Administrators, L.P. ("Princeton
Administrators") from 2001 to 2006; Chief
Investment Officer of OppenheimerFunds, Inc.
in 1999 and Executive Vice President thereof
from 1991 to 1999.
- ------------------------------------------------------------------------------------------------------------------------------------
* Mr. Doll is a director, trustee or member of an advisory board of certain other investment companies
for which BlackRock Advisors, LLC and its affiliates act as investment adviser. Mr. Doll is an
"interested person," as defined in the Investment Company Act, of the Master LLC based on his
positions with BlackRock, Inc. and its affiliates. Directors serve until their resignation, removal
or death, or until December 31 of the year in which they turn 72. As Fund President, Mr. Doll serves
at the pleasure of the Board of Directors.
====================================================================================================================================
Independent Directors*
- ------------------------------------------------------------------------------------------------------------------------------------
James H. Bodurtha** Director 1999 to Director, The China Business Group, Inc. 37 Funds None
P.O. Box 9095 2007 since 1996 and Executive Vice President 57 Portfolios
Princeton, NJ 08543-9095 thereof from 1996 to 2003; Chairman of the
1944 Board, Berkshire Holding Corporation since
1980; Partner, Squire, Sanders & Dempsey
from 1980 to 1993.
- ------------------------------------------------------------------------------------------------------------------------------------
Kenneth A. Froot Director 2005 to Professor, Harvard University since 1992; 37 Funds None
P.O. Box 9095 2007 Professor, Massachusetts Institute of 57 Portfolios
Princeton, NJ 08543-9095 Technology from 1986 to 1992.
1957
- ------------------------------------------------------------------------------------------------------------------------------------
BLACKROCK CORE PRINCIPAL PROTECTED FUND OCTOBER 31, 2007 29
Officers and Directors of Master Large Cap Series LLC (continued)
Number of
Funds and
Portfolios in
Position(s) Length of Fund Complex Other Public
Name, Address Held with Time Overseen by Directorships
and Year of Birth Master LLC Served Principal Occupation(s) During Past 5 Years Director Held by Director
====================================================================================================================================
Independent Directors* (concluded)
- ------------------------------------------------------------------------------------------------------------------------------------
Joe Grills** Director 2002 to Member of the Committee of Investment of 37 Funds Kimco Realty
P.O. Box 9095 2007 Employee Benefit Assets of the Association 57 Portfolios Corporation
Princeton, NJ 08543-9095 of Financial Professionals ("CIEBA") since
1935 1986; Member of CIEBA's Executive Committee
since 1988 and its Chairman from 1991 to
1992; Assistant Treasurer of International
Business Machines Corporation ("IBM") and
Chief Investment Officer of IBM Retirement
Funds from 1986 to 1993; Member of the
Investment Advisory Committee of the State
of New York Common Retirement Fund from 1989
to 2006; Member of the Investment Advisory
Committee of the Howard Hughes Medical
Institute from 1997 to 2000; Director, Duke
University Management Company from 1992 to
2004, Vice Chairman thereof from 1998 to
2004, and Director Emeritus thereof since
2004; Director, LaSalle Street Fund from
1995 to 2001; Director, Kimco Realty
Corporation since 1997; Member of the
Investment Advisory Committee of the
Virginia Retirement System since 1998, Vice
Chairman thereof from 2002 to 2005, and
Chairman thereof since 2005; Director,
Montpelier Foundation since 1998, its Vice
Chairman from 2000 to 2006, and Chairman,
thereof, since 2006; Member of the
Investment Committee of the Woodberry Forest
School since 2000; Member of the Investment
Committee of the National Trust for Historic
Preservation since 2000.
- ------------------------------------------------------------------------------------------------------------------------------------
Herbert I. London Director 1999 to Professor Emeritus, New York University 37 Funds AIMS Worldwide, Inc.
P.O. Box 9095 present since 2005; John M. Olin Professor of 57 Portfolios
Princeton, NJ 08543-9095 Humanities, New York University from 1993 to
1939 2005; and Professor thereof from 1980 to
2005; President, Hudson Institute since 1997
and Trustee thereof since 1980; Dean,
Gallatin Division of New York University
from 1976 to 1993; Distinguished Fellow,
Herman Kahn Chair, Hudson Institute from
1984 to 1985; Chairman of the Board of
Directors of Vigilant Research, Inc. since
2006; Member of the Board of Directors for
Grantham University since 2006; Director of
AIMS Worldwide, Inc. since 2006; Director of
Reflex Security since 2006; Director of
InnoCentive, Inc. since 2006; Director of
Cerego, LLC since 2005; Director, Damon
Corp. from 1991 to 1995; Overseer, Center
for Naval Analyses from 1983 to 1993.
- ------------------------------------------------------------------------------------------------------------------------------------
Roberta Cooper Ramo Director 1999 to Shareholder, Modrall, Sperling, Roehl, 37 Funds None
P.O. Box 9095 2007 Harris & Sisk, P.A. since 1993; President, 57 Portfolios
Princeton, NJ 08543-9095 American Bar Association from 1995 to 1996
1942 and Member of the Board of Governors thereof
from 1994 to 1997; Shareholder, Poole, Kelly
and Ramo, Attorneys at Law P.C. from 1977 to
1993; Director of ECMC Group (service
provider to students, schools and lenders)
since 2001; Director, United New Mexico Bank
(now Wells Fargo) from 1983 to 1988;
Director, First National Bank of New Mexico
(now Wells Fargo) from 1975 to 1976; Vice
President, American Law Institute from 2004
to 2007 and President elect thereof since
2007.
- ------------------------------------------------------------------------------------------------------------------------------------
Robert S. Salomon, Jr. Director 2002 to Principal of STI Management (investment 37 Funds None
P.O. Box 9095 2007 adviser) from 1994 to 2005; Chairman and CEO 57 Portfolios
Princeton, NJ 08543-9095 of Salomon Brothers Asset Management Inc.
1936 from 1992 to 1995; Chairman of Salomon
Brothers Equity Mutual Funds from 1992 to
1995; regular columnist with Forbes Magazine
from 1992 to 2002; Director of Stock
Research and U.S. Equity Strategist at
Salomon Brothers Inc. from 1975 to 1991;
Trustee, Commonfund from 1980 to 2001.
----------------------------------------------------------------------------------------------------------
* Directors serve until their resignation, removal or death, or until December 31 of the year in which
they turn 72.
** Co-Chairman of the Board of Directors and the Audit Committee.
30 BLACKROCK CORE PRINCIPAL PROTECTED FUND OCTOBER 31, 2007
Officers and Directors of Master Large Cap Series LLC (concluded)
Position(s) Length of
Name, Address Held with Time
and Year of Birth Master LLC Served Principal Occupation(s) During Past 5 Years
====================================================================================================================================
Master LLC Officers*
- ------------------------------------------------------------------------------------------------------------------------------------
Donald C. Burke Vice 1999 to Managing Director of BlackRock, Inc. since 2006; Managing Director of Merrill
P.O. Box 9011 President 2007 Lynch Investment Managers, L.P. ("MLIM") and Fund Asset Management, L.P. ("FAM")
Princeton, NJ 08543-9011 and in 2006; First Vice President of MLIM and FAM from 1997 to 2005 and Treasurer
1960 Treasurer thereof from 1999 to 2006; Vice President of MLIM and FAM from 1990 to 1997.
- ------------------------------------------------------------------------------------------------------------------------------------
Karen Clark Chief 2007 Managing Director of BlackRock, Inc. and Chief Compliance Officer of certain
P.O. Box 9011 Compliance BlackRock-advised funds since 2007; Director of BlackRock, Inc. from 2005 to
Princeton, NJ 08543-9011 Officer 2007; Principal and Senior Compliance Officer, State Street Global Advisors,
1965 from 2001 to 2005; Principal Consultant, PricewaterhouseCoopers, LLP from 1998
to 2001; Branch Chief, Division of Investment Management and Office of
Compliance Inspections and Examinations, U.S. Securities and Exchange
Commission, from 1993 to 1998.
- ------------------------------------------------------------------------------------------------------------------------------------
Howard Surloff Secretary 2007 Managing Director, of BlackRock Inc. and General Counsel of U.S. Funds at
P.O. Box 9011 BlackRock, Inc. since 2006; General Counsel (U.S.) of Goldman Sachs Asset
Princeton, NJ 08543-9011 Management from 1993 to 2006.
1965
----------------------------------------------------------------------------------------------------------
* Officers of the Master LLC serve at the pleasure of the Board of Directors.
- ------------------------------------------------------------------------------------------------------------------------------------
Further information about the Master LLC's Officers and Directors is available in the Master LLC's
Statement of Additional Information, which can be obtained without charge by calling 1-800-441-7762.
- ------------------------------------------------------------------------------------------------------------------------------------
Custodian
Brown Brothers Harriman & Co.
40 Water Street
Boston, MA 02109-3661
Accounting Agent
State Street Bank and
Trust Company
Princeton, NJ 08540
Independent Registered Public Accounting Firm
Deloitte & Touche LLP
Princeton, NJ 08540
Legal Counsel
Sidley Austin LLP
New York, NY 10019
BLACKROCK CORE PRINCIPAL PROTECTED FUND OCTOBER 31, 2007 31
Proxy Results
BlackRock Core Principal Protected Fund
During the six-month period ended October 31, 2007, the shareholders of
BlackRock Core Principal Protected Fund of BlackRock Principal Protected Trust
voted on the following proposal, which was approved at a special shareholders'
meeting on September 7, 2007. This proposal was a part of the reorganization of
the Fund's Board of Trustees to take effect on or about November 1, 2007. A
description of the proposal and number of shares voted are as follows:
- -------------------------------------------------------------------------------------------------------
Shares Voted Shares Withheld
For From Voting
- -------------------------------------------------------------------------------------------------------
To elect the Fund's Board of Trustees: James H. Bodurtha 13,432,944 56,483
Bruce R. Bond 13,419,310 70,117
Donald W. Burton 13,432,944 56,483
Richard S. Davis 13,419,310 70,117
Stuart E. Eizenstat 13,432,944 56,483
Laurence D. Fink 13,419,310 70,117
Kenneth A. Froot 13,432,944 56,483
Henry Gabbay 13,419,310 70,117
Robert M. Hernandez 13,432,944 56,483
John F. O'Brien 13,419,128 70,299
Roberta Cooper Ramo 13,432,944 56,483
Jean Margo Reid 13,419,128 70,299
David H. Walsh 13,432,762 56,665
Fred G. Weiss 13,414,800 74,627
Richard R. West 13,428,434 60,993
- -------------------------------------------------------------------------------------------------------
Master Large Cap Series LLC
During the six-month period ended October 31, 2007, the shareholders of Master
Large Cap Series LLC voted on the following proposal, which was approved at a
special shareholders' meeting on September 7, 2007. This proposal was a part of
the reorganization of the Master LLC's Board of Directors to take effect on or
about November 1, 2007. A description of the proposal and number of shares voted
are as follows:
- -------------------------------------------------------------------------------------------------------
Shares Voted Shares Withheld
For From Voting
- -------------------------------------------------------------------------------------------------------
To elect the Master LLC's Board of Directors: David O. Beim 507,099,566 8,032,945
Richard S. Davis 507,047,547 8,084,964
Ronald W. Forbes 507,098,389 8,034,122
Henry Gabbay 507,079,851 8,052,660
Dr. Matina Horner 507,087,905 8,044,606
Rodney D. Johnson 507,099,505 8,033,006
Herbert I. London 507,103,835 8,028,676
Cynthia A. Montgomery 507,108,955 8,023,556
Joseph P. Platt, Jr. 507,103,288 8,029,223
Robert C. Robb, Jr. 507,090,959 8,041,552
Toby Rosenblatt 507,135,247 7,997,264
Kenneth L. Urish 507,137,128 7,995,383
Frederick W. Winter 507,143,402 7,989,109
- -------------------------------------------------------------------------------------------------------
32 BLACKROCK CORE PRINCIPAL PROTECTED FUND OCTOBER 31, 2007
BlackRock Fund Information
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 OCTOBER 31, 2007 33
BlackRock Fund Information (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 Directors. 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/funds.
Automatic Investment Plans
Investor Class shareholders who want to invest regularly can arrange to have $50
or more automatically deducted from their checking or savings account and
invested in any of the BlackRock funds.
Systematic Withdrawal Plans
Investor Class shareholders can establish a systematic withdrawal plan and
receive periodic payments of $50 or more from their BlackRock funds, as long as
their account is at least $10,000.
Retirement Plans
Shareholders may make investments in conjunction with Traditional, Rollover,
Roth, Coverdell, Simple IRAs, SEP IRAs and 403(b) Plans.
34 BLACKROCK CORE PRINCIPAL PROTECTED FUND OCTOBER 31, 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 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 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 Technology Fund
BlackRock U.S. Opportunities Portfolio
BlackRock Utilities and Telecommunications Fund
BlackRock Value Opportunities Fund
Fixed Income Funds
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 Fund
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 OCTOBER 31, 2007 35
This report is transmitted to shareholders only. It is not authorized for use as
an offer of sale or a solicitation of an offer to buy shares of the 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-10/07
Item 2 - Code of Ethics - The registrant (or the "Fund") has adopted a code
of ethics, as of the end of the period covered by this report,
applicable to the registrant's principal executive officer,
principal financial officer and principal accounting officer, or
persons performing similar functions. During the period covered by
this report, there have been no amendments to or waivers granted
under the code of ethics. A copy of the code of ethics is available
without charge at www.blackrock.com.
Item 3 - Audit Committee Financial Expert - The registrant's board of
directors or trustees, as applicable (the "board of directors") has
determined that (i) the registrant has the following audit committee
financial experts serving on its audit committee and (ii) each audit
committee financial expert is independent:
David O. Beim (term ended, effective November 1, 2007)
Robert M. Hernandez (term began, effective November 1, 2007)
W. Carl Kester (term ended, effective November 1, 2007)
James T. Flynn (term ended, effective November 1, 2007)
Karen P. Robards (term ended, effective November 1, 2007)
Fred G. Weiss (term began, effective November 1, 2007)
Richard R. West (term began, effective November 1, 2007)
The registrant's board of directors has determined that David O.
Beim, W. Carl Kester and Karen P. Robards qualify as financial
experts pursuant to Item 3(c)(4) of Form N-CSR.
Mr. Beim has a thorough understanding of generally accepted
accounting principles, financial statements and internal control
over financial reporting as well as audit committee functions. For
25 years, Mr. Beim was an investment banker actively engaged in
financial analysis for securities transactions and mergers. These
transactions presented a breadth and level of complexity of
accounting issues that are generally comparable to the breadth and
complexity of issues that can reasonably be expected to be raised by
the registrant's financial statements. Mr. Beim has also been a
professor of finance and economics at the Columbia University
Graduate School of Business since 1991.
Prof. Kester has a thorough understanding of generally accepted
accounting principles, financial statements and internal control
over financial reporting as well as audit committee functions. Prof.
Kester has been involved in providing valuation and other financial
consulting services to corporate clients since 1978. Prof. Kester's
financial consulting services present a breadth and level of
complexity of accounting issues that are generally comparable to the
breadth and complexity of issues that can reasonably be expected to
be raised by the registrant's financial statements.
Ms. Robards has a thorough understanding of generally accepted
accounting principles, financial statements and internal control
over financial reporting as well as audit committee functions. Ms.
Robards has been President of Robards & Company, a financial
advisory firm, since 1987. Ms. Robards was formerly an investment
banker for more than 10 years where she was responsible for
evaluating and assessing the performance of companies based on their
financial results. Ms. Robards has over 30 years of experience
analyzing financial statements. She also is the member of the Audit
Committees of one publicly held company and a non-profit
organization.
Under applicable securities laws, a person determined to be an audit
committee financial expert will not be deemed an "expert" for any
purpose, including without limitation for the purposes of Section 11
of the Securities Act of 1933, as a result of being designated or
identified as an audit committee financial expert. The designation
or identification as an audit committee financial expert does not
impose on such person any duties, obligations, or liabilities
greater than the duties, obligations, and liabilities imposed on
such person as a member of the audit committee and board of
directors in the absence of such designation or identification.
Item 4 - Principal Accountant Fees and Services
- ----------------------------------------------------------------------------------------------------------------------------------
(a) Audit Fees (b) Audit-Related Fees(1) (c) Tax Fees(2) (d) All Other Fees(3)
- ----------------------------------------------------------------------------------------------------------------------------------
Current Previous Current Previous Current Previous Current Previous
Fiscal Year Fiscal Fiscal Year Fiscal Fiscal Year Fiscal Fiscal Year Fiscal
Entity Name End Year End End Year End End Year End End Year End
- ----------------------------------------------------------------------------------------------------------------------------------
BlackRock Core
Principal Protected
Fund $26,900 $26,900 $0 $0 $6,100 $6,000 $1,042 $0
- ----------------------------------------------------------------------------------------------------------------------------------
Master Large Cap
Core Portfolio $44,200 $36,000 $0 $10,400(4) $9,200 $9,200 $0 $0
- ----------------------------------------------------------------------------------------------------------------------------------
1 The nature of the services include assurance and related services reasonably
related to the performance of the audit of financial statements not included in
Audit Fees.
2 The nature of the services include tax compliance, tax advice and tax
planning.
3 The nature of the services include a review of compliance procedures and
attestation thereto.
4 Paid by the Adviser.
(e)(1) Audit Committee Pre-Approval Policies and Procedures:
The registrant's audit committee (the "Committee") has adopted
policies and procedures with regard to the pre-approval of services.
Audit, audit-related and tax compliance services provided to the
registrant on an annual basis require specific pre-approval by the
Committee. The Committee also must approve other non-audit services
provided to the registrant and those non-audit services provided to
the registrant's affiliated service providers that relate directly
to the operations and the financial reporting of the registrant.
Certain of these non-audit services that the Committee believes are
a) consistent with the SEC's auditor independence rules and b)
routine and recurring services that will not impair the independence
of the independent accountants may be approved by the Committee
without consideration on a specific case-by-case basis ("general
pre-approval"). However, such services will only be deemed
pre-approved provided that any individual project does not exceed
$5,000 attributable to the registrant or $50,000 for all of the
registrants the Committee oversees. Any proposed services exceeding
the pre-approved cost levels will require specific pre-approval by
the Committee, as will any other services not subject to general
pre-approval (e.g., unanticipated but permissible services). The
Committee is informed of each service approved subject to general
pre-approval at the next regularly scheduled in-person board
meeting.
(e)(2) None of the services described in each of Items 4(b) through
(d) were approved by the audit committee pursuant to paragraph
(c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) Not Applicable
(g) Affiliates' Aggregate Non-Audit Fees:
--------------------------------------------------------------------
Current Fiscal Previous Fiscal
Entity Name Year End Year End
--------------------------------------------------------------------
BlackRock Core Principal
Protected Fund $291,642 $2,924,583
--------------------------------------------------------------------
Master Large Cap Core Portfolio $293,700 $2,938,183
--------------------------------------------------------------------
(h) The registrant's audit committee has considered and determined
that the provision of non-audit services that were rendered to the
registrant's investment adviser (not including any non-affiliated
sub-adviser whose role is primarily portfolio management and is
subcontracted with or overseen by the registrant's investment
adviser), and any entity controlling, controlled by, or under common
control with the investment adviser that provides ongoing services
to the registrant that were not pre-approved pursuant to paragraph
(c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with
maintaining the principal accountant's independence.
Regulation S-X Rule 2-01(c)(7)(ii) - $284,500, 0%
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 and Governance 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 1940 Act)
that occurred during the second fiscal quarter of the period covered
by this report that have materially affected, or are reasonably
likely to materially affect, the registrant's internal control over
financial reporting.
Item 12 - Exhibits attached hereto
12(a)(1) - Code of Ethics - See Item 2
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 LLC
By: /s/ Donald C. Burke
-------------------
Donald C. Burke,
Chief Executive Officer (principal executive officer) of
BlackRock Core Principal Protected Fund of BlackRock Principal Protected
Trust and Master Large Cap Core Portfolio of Master Large Cap Series LLC
Date: December 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/ Donald C. Burke
-------------------
Donald C. Burke,
Chief Executive Officer (principal executive officer) of
BlackRock Core Principal Protected Fund of BlackRock Principal Protected
Trust and Master Large Cap Core Portfolio of Master Large Cap Series LLC
Date: December 19, 2007
By: /s/ Neal J. Andrews
-------------------
Neal J. Andrews,
Chief Financial Officer (principal financial officer) of
BlackRock Core Principal Protected Fund of BlackRock Principal Protected
Trust and Master Large Cap Core Portfolio of Master Large Cap Series LLC
Date: December 19, 2007