UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSRS
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number 811-21162
811-09739
Name of Fund: BlackRock Core Principal Protected Fund of
BlackRock Principal Protected Trust
Master Large Cap Core Portfolio of Master Large Cap Series 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: 10/31/2008
Date of reporting period: 11/01/2007 - 04/30/2008
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
SEMI-ANNUAL REPORT
APRIL 30, 2008 | (UNAUDITED)
NOT FDIC INSURED
MAY LOSE VALUE
NO BANK GUARANTEE
Table of Contents
================================================================================
Page
- --------------------------------------------------------------------------------
A Letter to Shareholders .................................................. 3
Semi-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 ........................................ 14
Officers and Trustees of the Trust ........................................ 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
Officers and Directors of Master Large Cap Series LLC ..................... 28
Additional Information .................................................... 29
Mutual Fund Family ........................................................ 31
2 BLACKROCK CORE PRINCIPAL PROTECTED FUND APRIL 30, 2008
A Letter to Shareholders
Dear Shareholder
Over the past several months, financial markets have been buffeted by the
housing recession, the credit market unraveling and related liquidity freeze and
steadily rising commodity prices. Counterbalancing these difficulties were
booming export activity, a robust non-financial corporate sector and, notably,
aggressive and timely monetary and fiscal policy actions.
Amid the market tumult, the Federal Reserve Board (the "Fed") intervened with a
series of moves to bolster liquidity and ensure financial market stability.
Since September 2007, the central bank slashed the target federal funds rate 325
basis points (3.25%), bringing the rate to 2.0% as of period-end. Of greater
magnitude, however, were the Fed's other policy decisions, which included
opening the discount window directly to broker dealers and investment banks and
backstopping the unprecedented rescue of Bear Stearns.
The Fed's response to the financial crisis helped to improve credit conditions
and investor mood. After hitting a low point on March 17 (coinciding with the
collapse of Bear Stearns), equity markets found a welcome respite in April, when
the S&P 500 Index of U.S. stocks posted positive monthly performance for the
first time since October 2007. International markets, which outpaced those of
the U.S. for much of 2007, saw a reversal in that trend, as effects of the
credit crisis and downward pressures on growth were far-reaching.
In contrast to equity markets, Treasury securities rallied (yields fell as
prices correspondingly rose), as a broad "flight-to-quality" theme persisted.
The yield on 10-year Treasury issues, which touched 5.30% in June 2007 (its
highest level in five years), fell to 4.04% by year-end and to 3.77% by April
30. Treasury issues relinquished some of their gains in April, however, as
investor appetite for risk returned and other high-quality fixed income sectors
outperformed.
Problems within the monoline insurance industry and the failure of auctions for
auction rate securities plagued the municipal bond market, driving yields higher
and prices lower across the curve. However, in conjunction with the more recent
shift in sentiment, the sector delivered strong performance in the final month
of the reporting period.
Overall, the major benchmark indexes generated results that generally reflected
heightened investor risk aversion:
Total Returns as of April 30, 2008 6-month 12-month
=================================================================================================================
U.S. equities (S&P 500 Index) - 9.64% - 4.68%
- -----------------------------------------------------------------------------------------------------------------
Small cap U.S. equities (Russell 2000 Index) -12.92 -10.96
- -----------------------------------------------------------------------------------------------------------------
International equities (MSCI Europe, Australasia, Far East Index) - 9.21 - 1.78
- -----------------------------------------------------------------------------------------------------------------
Fixed income (Lehman Brothers U.S. Aggregate Index) + 4.08 + 6.87
- -----------------------------------------------------------------------------------------------------------------
Tax-exempt fixed income (Lehman Brothers Municipal Bond Index) + 1.47 + 2.79
- -----------------------------------------------------------------------------------------------------------------
High yield bonds (Lehman Brothers U.S. Corporate High Yield 2% Issuer Capped Index) - 0.73 - 0.80
- -----------------------------------------------------------------------------------------------------------------
Past performance is no guarantee of future results. Index performance shown for
illustrative purposes only. You cannot invest directly in an index.
As you navigate today's volatile markets, we encourage you to review your
investment goals with your financial professional and to make portfolio changes,
as needed. For more up-to-date commentary on the economy and financial markets,
we invite you to visit www.blackrock.com/funds. As always, we thank you for
entrusting BlackRock with your investment assets, and we look forward to
continuing to serve you in the months and years ahead.
Sincerely,
/s/ Rob Kapito
Rob Kapito
President, BlackRock Advisors, LLC
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 underperformed its all-equity benchmark, the Russell 1000 Index,
for the period. Throughout the six months, the Fund's equity allocation
remained at 100% of net assets and the fixed income allocation at 0%.
What factors influenced performance?
o Broadly speaking, the Fund's underperformance for the period resulted from
both asset allocation and stock selection factors.
o Unfavorable asset allocation decisions included overweight positions
versus the benchmark in health care and information technology (IT), and
an underweight in consumer staples. Our stock picks in health care (mainly
health care providers) and IT (especially in semiconductor and software
names) had the greatest negative impact on relative returns. Security
selection in consumer staples and consumer discretionary (notably hotels
and restaurants, specialty retailers and luxury goods providers) also
detracted from performance.
o An overweight in the energy sector proved advantageous, but was
overshadowed by disappointing stock selection among oil and gas names. The
underperformance was concentrated among oil refiners, whose profit margins
were compressed by higher oil prices.
o On the positive side, a significant underweight in financials
(particularly capital markets, commercial banks and consumer finance) and
an underweight in telecommunication services (primarily in wireless
telecommunication services) benefited the Fund's comparative performance
for the period.
Describe recent portfolio activity.
o During the period, we increased the Fund's exposure to the energy and
health care sectors. We reduced exposure to the financials and consumer
discretionary sectors.
o Among our largest purchases were Occidental Petroleum Corp., Texas
Instruments, Inc., Best Buy Co., Inc., Biogen Idec, Inc. and The NASDAQ
OMX Group, Inc. Our largest sales for the period included Cisco Systems,
Inc., American International Group, Inc., Mosaic Co., Southern Copper
Corp. and Apollo Group, Inc.
Describe Fund positioning at period-end.
o On April 30, 2008, the Fund remained 100% invested in equities and was
overweight relative to the equity benchmark in IT, health care, energy and
consumer discretionary, and underweight in financials, consumer staples,
utilities and telecommunication services.
o We continue to expect lackluster U.S. economic growth over the next
several quarters as counteracting forces prevent both an outright
recession and a return to its historical trend or above-trend growth.
While inflationary problems do exist in some emerging markets, we expect
inflationary pressures in the U.S. to diminish in the months ahead,
particularly since the credit squeeze and housing bust are both
deflationary forces and the economy continues to operate below its
potential. We recognize that economic risks remain and the rally in global
equity prices late in the semi-annual period may have advanced to the
point at which some additional corrective action could take place. In our
view, however, the broad economic, corporate earnings and inflationary
backdrop should benefit most market sectors and act as a foundation for
improved market conditions, which we believe has already begun to fall
into place.
Expense Example
Actual Hypothetical**
------------------------------------------------------ ------------------------------------------------------
Beginning Ending Beginning Ending
Account Value Account Value Expenses Paid Account Value Account Value Expenses Paid
November 1, 2007 April 30, 2008 During the Period* November 1, 2007 April 30, 2008 During the Period*
- ------------------------------------------------------------------------------------------------------------------------------------
Institutional .... $1,000 $ 838.70 $ 7.73 $1,000 $ 1,016.50 $ 8.47
Investor A ....... $1,000 $ 838.80 $ 8.50 $1,000 $ 1,015.65 $ 9.32
Investor B ....... $1,000 $ 835.10 $ 12.00 $1,000 $ 1,011.82 $ 13.16
Investor C ....... $1,000 $ 834.90 $ 12.00 $1,000 $ 1,011.82 $ 13.16
- ------------------------------------------------------------------------------------------------------------------------------------
* For each class of the Fund, expenses are equal to the annualized expense
ratio for the class (1.69% for Institutional, 1.86% for Investor A, 2.63%
for Investor B and 2.63% for Investor C), multiplied by the average
account value over the period, multiplied by 182/366 (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 366.
See "Disclosure of Expenses" on page 6 for further information on how
expenses were calculated.
4 BLACKROCK CORE PRINCIPAL PROTECTED FUND APRIL 30, 2008
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 U.S. Aggregate Index and the
Russell 1000(R) Index. Values are from February 28, 2003 to April 2008:
Merrill Lynch Lehman Brothers
Institutional Investor A U.S. Corporate U.S Aggregate Russell 1000(R)
Shares*+ Shares*+ Master Index++ Index+++ Index++++
2/28/03 **$10,000 $9,475 $10,000 $10,000 $10,000
4/03 $10,200 $9,665 $10,199 $10,075 $10,919
4/04 $11,369 $10,740 $10,583 $10,258 $13,529
4/05 $12,217 $11,514 $11,197 $10,798 $14,503
4/06 $15,076 $14,167 $11,198 $10,874 $16,926
4/07 $16,792 $15,745 $12,138 $11,674 $19,492
4/08 $14,565 $13,638 $12,473 $12,476 $18,592
* 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 April 30, 2008
Average Annual Total Returns*
-------------------------------------------------------------
1 Year 5 Years Since Inception**
------------------ ------------------ ------------------
6-Month w/o sales w/sales w/o sales w/sales w/o sales w/sales
Total Returns charge charge charge charge charge charge
- -----------------------------------------------------------------------------------------------------------------------
Institutional ........................... -16.13% -13.27% -- + 7.38% -- + 7.55% --
Investor A .............................. -16.12 -13.38 -17.93% + 7.13 +5.98% + 7.30 +6.19%
Investor B .............................. -16.49 -14.13 -17.32 + 6.31 +6.04 + 6.49 +6.36
Investor C .............................. -16.51 -14.08 -14.79 + 6.31 +6.31 + 6.48 +6.48
Merrill Lynch U.S. Corporate Master Index + 1.31 + 2.77 -- + 4.11 -- + 4.37 --
Lehman Brothers U.S. Aggregate Index .... + 4.08 + 6.87 -- + 4.37 -- + 4.37 --
Russell 1000 Index ...................... - 9.54 - 4.62 -- +11.23 -- +12.75 --
- -----------------------------------------------------------------------------------------------------------------------
* 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 APRIL 30, 2008 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 November 1, 2007 and
held through April 30, 2008) 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 APRIL 30, 2008
Statement of Assets and Liabilities BlackRock Core Principal Protected Fund
April 30, 2008 (Unaudited)
===================================================================================================================================
Assets
- -----------------------------------------------------------------------------------------------------------------------------------
Investment at value -- Master Large Cap Core Portfolio (the "Portfolio") (cost -- $97,674,350) ................... $ 112,419,837
Prepaid expenses ................................................................................................. 918
-------------
Total assets ..................................................................................................... 112,420,755
-------------
===================================================================================================================================
Liabilities
- -----------------------------------------------------------------------------------------------------------------------------------
Distribution fees payable ........................................................................................ 86,081
Financial warranty fees payable .................................................................................. 58,536
Investment advisory fees payable ................................................................................. 27,011
Other affiliates payable ......................................................................................... 17,977
Officer payable .................................................................................................. 60
Other accrued expenses payable ................................................................................... 10,838
-------------
Total liabilities ................................................................................................ 200,503
-------------
===================================================================================================================================
Net Assets
- -----------------------------------------------------------------------------------------------------------------------------------
Net Assets ....................................................................................................... $ 112,220,252
=============
===================================================================================================================================
Net Assets Consist of
- -----------------------------------------------------------------------------------------------------------------------------------
Paid-in capital, unlimited shares of no par value authorized ..................................................... $ 103,083,654
Accumulated net investment loss .................................................................................. (804,971)
Accumulated net realized loss allocated from the Portfolio ....................................................... (4,803,918)
Net unrealized appreciation/depreciation allocated from the Portfolio ............................................ 14,745,487
-------------
Net Assets ....................................................................................................... $ 112,220,252
=============
===================================================================================================================================
Net Asset Value
- -----------------------------------------------------------------------------------------------------------------------------------
Institutional -- Based on net assets of $2,527,394 and 282,678 shares outstanding ................................ $ 8.94
=============
Investor A -- Based on net assets of $8,440,667 and 946,693 shares outstanding ................................... $ 8.92
=============
Investor B -- Based on net assets of $60,938,113 and 6,957,755 shares outstanding ................................ $ 8.76
=============
Investor C -- Based on net assets of $40,314,078 and 4,591,891 shares outstanding ................................ $ 8.78
=============
See Notes to Financial Statements.
BLACKROCK CORE PRINCIPAL PROTECTED FUND APRIL 30, 2008 7
Statement of Operations BlackRock Core Principal Protected Fund
Six Months Ended April 30, 2008 (Unaudited)
===================================================================================================================================
Investment Income
- -----------------------------------------------------------------------------------------------------------------------------------
Investment income allocated from the Portfolio:
Dividends ..................................................................................................... $ 825,222
Securities lending ............................................................................................ 42,282
Interest from affiliates ...................................................................................... 188
Expenses ...................................................................................................... (319,311)
------------
Total income ...................................................................................................... 548,381
------------
===================================================================================================================================
Expenses
- -----------------------------------------------------------------------------------------------------------------------------------
Investment advisory ............................................................................................... 490,370
Service -- Investor A ............................................................................................. 11,591
Service and distribution -- Investor B ............................................................................ 357,277
Service and distribution -- Investor C ............................................................................ 233,322
Transfer agent -- Institutional ................................................................................... 2,103
Transfer agent -- Investor A ...................................................................................... 2,659
Transfer agent -- Investor B ...................................................................................... 29,068
Transfer agent -- Investor C ...................................................................................... 17,749
Financial warranty ................................................................................................ 408,642
Professional ...................................................................................................... 28,962
Accounting services ............................................................................................... 24,521
Printing .......................................................................................................... 23,439
Officer and Trustees .............................................................................................. 9,913
Custodian ......................................................................................................... 7,143
Miscellaneous ..................................................................................................... 7,417
------------
Total expenses .................................................................................................... 1,654,176
Less fees waived by advisor ....................................................................................... (300,824)
------------
Total expenses after waiver ....................................................................................... 1,353,352
------------
Net investment loss ............................................................................................... (804,971)
------------
===================================================================================================================================
Realized and Unrealized Loss Allocated from the Portfolio
- -----------------------------------------------------------------------------------------------------------------------------------
Realized loss from investments .................................................................................... (4,742,836)
Net change in unrealized appreciation/depreciation on investments ................................................. (19,942,361)
------------
Total realized and unrealized loss ................................................................................ (24,685,197)
------------
Net Decrease in Net Assets Resulting from Operations .............................................................. $(25,490,168)
============
See Notes to Financial Statements.
8 BLACKROCK CORE PRINCIPAL PROTECTED FUND APRIL 30, 2008
Statements of Changes in Net Assets BlackRock Core Principal Protected Fund
Six Months
Ended
April 30, Year Ended
2008 October 31,
Increase (Decrease) in Net Assets: (Unaudited) 2007
===================================================================================================================================
Operations
- -----------------------------------------------------------------------------------------------------------------------------------
Net investment loss ............................................................................ $ (804,971) $ (2,344,585)
Net realized gain (loss) ....................................................................... (4,742,836) 28,813,525
Net change in unrealized appreciation/depreciation ............................................. (19,942,361) (7,026,733)
-------------------------------
Net increase (decrease) in net assets resulting from operations ................................ (25,490,168) 19,442,207
-------------------------------
===================================================================================================================================
Distributions to Shareholders from:
- -----------------------------------------------------------------------------------------------------------------------------------
Net realized gain:
Institutional .............................................................................. (725,018) (517,532)
Investor A ................................................................................. (1,917,311) (1,289,442)
Investor B ................................................................................. (14,392,766) (9,019,454)
Investor C ................................................................................. (9,494,920) (5,717,830)
-------------------------------
Decrease in net assets resulting from distributions to shareholders ............................ (26,530,015) (16,544,258)
-------------------------------
===================================================================================================================================
Beneficial Interest Transactions
- -----------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets derived from beneficial interest transactions ............ 2,200,967 (26,933,904)
-------------------------------
===================================================================================================================================
Net Assets
- -----------------------------------------------------------------------------------------------------------------------------------
Total decrease in net assets ................................................................... (49,819,216) (24,035,955)
Beginning of period ............................................................................ 162,039,468 186,075,423
-------------------------------
End of period .................................................................................. $ 112,220,252 $ 162,039,468
===============================
End of period accumulated net investment loss .................................................. $ (804,971) --
===============================
See Notes to Financial Statements.
BLACKROCK CORE PRINCIPAL PROTECTED FUND APRIL 30, 2008 9
Financial Highlights BlackRock Core Principal Protected Fund
Institutional
---------------------------------------------------------------------------------
Six Months Period
Ended February 28,
April 30, Year Ended October 31, 2003 1 to
2008 ---------------------------------------------------- October 31,
(Unaudited) 2007 2006 2005 2004 2003
====================================================================================================================================
Per Share Operating Performance
- ------------------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period ............. $ 13.02 $ 12.66 $ 11.66 $ 11.48 $ 11.34 $ 10.00
---------------------------------------------------------------------------------
Net investment income (loss) ..................... (0.02) 2 (0.06) 2 (0.06) 2 -- 2,3 0.04 0.03
Net realized and unrealized gain (loss) .......... (1.81) 1.56 1.88 1.31 0.45 1.31
---------------------------------------------------------------------------------
Net increase (decrease) from investment operations (1.83) 1.50 1.82 1.31 0.49 1.34
---------------------------------------------------------------------------------
Distributions from net realized gain ............. (2.25) (1.14) (0.82) (1.13) (0.35) --
---------------------------------------------------------------------------------
Net asset value, end of period ................... $ 8.94 $ 13.02 $ 12.66 $ 11.66 $ 11.48 $ 11.34
=================================================================================
====================================================================================================================================
Total Investment Return 4
- ------------------------------------------------------------------------------------------------------------------------------------
Based on net asset value ......................... (16.13%) 5 12.73% 16.25% 11.88% 4.44% 13.40% 5
=================================================================================
====================================================================================================================================
Ratios to Average Net Assets 6
- ------------------------------------------------------------------------------------------------------------------------------------
Total expenses after waiver ...................... 1.69% 7 1.61% 1.55% 1.58% 1.58% 1.75% 7
=================================================================================
Total expenses ................................... 2.15% 7 2.07% 2.02% 2.00% 1.91% 2.01% 7
=================================================================================
Net investment income (loss) ..................... (0.34%) 7 (0.44%) (0.47%) (0.01%) 0.39% 0.35% 7
=================================================================================
====================================================================================================================================
Supplemental Data
- ------------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (000) .................. $ 2,527 $ 4,354 $ 5,824 $ 7,034 $ 9,893 $ 14,290
=================================================================================
Portfolio turnover of the Fund ................... 0% 0% 0% 186% 167% 175%
=================================================================================
Portfolio turnover of the Portfolio .............. 52% 96% 88% 94% 135% 139%
=================================================================================
1 Commencement of operations.
2 Based on average shares outstanding.
3 Amount is less than $(0.01) per share.
4 Total investment returns exclude the effect of any sales charges.
5 Aggregate total investment return.
6 Includes the Fund's share of the Portfolio's allocated expenses and/or net
investment income.
7 Annualized.
See Notes to Financial Statements.
10 BLACKROCK CORE PRINCIPAL PROTECTED FUND APRIL 30, 2008
Financial Highlights (continued) BlackRock Core Principal Protected Fund
Investor A
---------------------------------------------------------------------------------
Six Months Period
Ended February 28,
April 30, Year Ended October 31, 2003 1 to
2008 ---------------------------------------------------- October 31,
(Unaudited) 2007 2006 2005 2004 2003
====================================================================================================================================
Per Share Operating Performance
- ------------------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period ............. $ 12.96 $ 12.64 $ 11.63 $ 11.44 $ 11.32 $ 10.00
---------------------------------------------------------------------------------
Net investment income (loss) ..................... (0.03) 2 (0.08) 2 (0.11) 2 (0.03) 2 0.01 0.01
Net realized and unrealized gain (loss) .......... (1.79) 1.54 1.90 1.31 0.44 1.31
---------------------------------------------------------------------------------
Net increase (decrease) from investment operations (1.82) 1.46 1.79 1.28 0.45 1.32
---------------------------------------------------------------------------------
Distributions from net realized gain ............. (2.22) (1.14) (0.78) (1.09) (0.33) --
---------------------------------------------------------------------------------
Net asset value, end of period ................... $ 8.92 $ 12.96 $ 12.64 $ 11.63 $ 11.44 $ 11.32
=================================================================================
====================================================================================================================================
Total Investment Return 3
- ------------------------------------------------------------------------------------------------------------------------------------
Based on net asset value ......................... (16.12%) 4 12.41% 16.02% 11.62% 4.14% 13.20% 4
=================================================================================
====================================================================================================================================
Ratios to Average Net Assets 5
- ------------------------------------------------------------------------------------------------------------------------------------
Total expenses after waiver ...................... 1.86% 6 1.83% 1.80% 1.83% 1.83% 2.00% 6
=================================================================================
Total expenses ................................... 2.32% 6 2.29% 2.27% 2.25% 2.16% 2.26% 6
=================================================================================
Net investment income (loss) ..................... (0.54%)6 (0.66%) (0.74%) (0.26%) 0.13% 0.10% 6
=================================================================================
====================================================================================================================================
Supplemental Data
- ------------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (000) .................. $ 8,441 $ 11,436 $ 15,414 $ 7,932 $ 11,534 $ 18,674
=================================================================================
Portfolio turnover of the Fund ................... 0% 0% 0% 186% 167% 175%
=================================================================================
Portfolio turnover of the Portfolio .............. 52% 96% 88% 94% 135% 139%
=================================================================================
1 Commencement of operations.
2 Based on average shares outstanding.
3 Total investment returns exclude the effect of sales charges.
4 Aggregate total investment return.
5 Includes the Fund's share of the Portfolio's allocated expenses and/or net
investment income.
6 Annualized.
See Notes to Financial Statements.
BLACKROCK CORE PRINCIPAL PROTECTED FUND APRIL 30, 2008 11
Financial Highlights (continued) BlackRock Core Principal Protected Fund
Investor B
---------------------------------------------------------------------------------
Six Months Period
Ended February 28,
April 30, Year Ended October 31, 2003 1 to
2008 --------------------------------------------------- October 31,
(Unaudited) 2007 2006 2005 2004 2003
====================================================================================================================================
Per Share Operating Performance
- ------------------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period ............. $ 12.71 $ 12.50 $ 11.51 $ 11.33 $ 11.26 $ 10.00
---------------------------------------------------------------------------------
Net investment loss .............................. (0.06) 2 (0.18) 2 (0.19) 2 (0.12) 2 (0.07) (0.05)
Net realized and unrealized gain (loss) .......... (1.77) 1.53 1.87 1.30 0.44 1.31
---------------------------------------------------------------------------------
Net increase (decrease) from investment operations (1.83) 1.35 1.68 1.18 0.37 1.26
---------------------------------------------------------------------------------
Distributions from net realized gain ............. (2.12) (1.14) (0.69) (1.00) (0.30) --
---------------------------------------------------------------------------------
Net asset value, end of period ................... $ 8.76 $ 12.71 $ 12.50 $ 11.51 $ 11.33 $ 11.26
=================================================================================
====================================================================================================================================
Total Investment Return 3
- ------------------------------------------------------------------------------------------------------------------------------------
Based on net asset value ......................... (16.49%) 4 11.61% 15.11% 10.81% 3.36% 12.60% 4
=================================================================================
====================================================================================================================================
Ratios to Average Net Assets 5
- ------------------------------------------------------------------------------------------------------------------------------------
Total expenses after waiver ...................... 2.63% 6 2.60% 2.56% 2.59% 2.58% 2.76% 6
=================================================================================
Total expenses ................................... 3.09% 6 3.06% 3.03% 3.01% 2.91% 3.03% 6
=================================================================================
Net investment loss .............................. (1.31%) 6 (1.44%) (1.48%) (1.07%) (0.59%) (0.68%) 6
=================================================================================
====================================================================================================================================
Supplemental Data
- ------------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (000) .................. $ 60,938 $ 88,104 $ 100,974 $ 118,858 $ 130,014 $ 145,568
=================================================================================
Portfolio turnover of the Fund ................... 0% 0% 0% 186% 167% 175%
=================================================================================
Portfolio turnover of the Portfolio .............. 52% 96% 88% 94% 135% 139%
=================================================================================
1 Commencement of operations.
2 Based on average shares outstanding.
3 Total investment returns exclude the effect of sales charges.
4 Aggregate total investment return.
5 Includes the Fund's share of the Portfolio's allocated expenses and/or net
investment income.
6 Annualized.
See Notes to Financial Statements.
12 BLACKROCK CORE PRINCIPAL PROTECTED FUND APRIL 30, 2008
Financial Highlights (concluded) BlackRock Core Principal Protected Fund
Investor C
---------------------------------------------------------------------------------
Six Months Period
Ended February 28,
April 30, Year Ended October 31, 2003 1 to
2008 ---------------------------------------------------- October 31,
(Unaudited) 2007 2006 2005 2004 2003
====================================================================================================================================
Per Share Operating Performance
- ------------------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period ............. $ 12.74 $ 12.52 $ 11.53 $ 11.33 $ 11.26 $ 10.00
---------------------------------------------------------------------------------
Net investment loss .............................. (0.06) 2 (0.18) 2 (0.18) 2 (0.12) 2 (0.07) (0.05)
Net realized and unrealized gain (loss) .......... (1.78) 1.54 1.86 1.30 0.44 1.31
---------------------------------------------------------------------------------
Net increase (decrease) from investment operations (1.84) 1.36 1.68 1.18 0.37 1.26
---------------------------------------------------------------------------------
Distributions from net realized gain ............. (2.12) (1.14) (0.69) (0.98) (0.30) --
---------------------------------------------------------------------------------
Net asset value, end of period ................... $ 8.78 $ 12.74 $ 12.52 $ 11.53 $ 11.33 $ 11.26
=================================================================================
====================================================================================================================================
Total Investment Return 3
- ------------------------------------------------------------------------------------------------------------------------------------
Based on net asset value ......................... (16.51%) 4 11.67% 15.03% 10.83% 3.37% 12.60% 4
=================================================================================
====================================================================================================================================
Ratios to Average Net Assets 5
- ------------------------------------------------------------------------------------------------------------------------------------
Total expenses after waiver ...................... 2.63% 6 2.60% 2.56% 2.59% 2.59% 2.76% 6
=================================================================================
Total expenses ................................... 3.08% 6 3.06% 3.03% 3.01% 2.91% 3.03% 6
=================================================================================
Net investment loss .............................. (1.30%) 6 (1.44%) (1.48%) (1.05%) (0.61%) (0.68%) 6
=================================================================================
====================================================================================================================================
Supplemental Data
- ------------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (000) .................. $ 40,314 $ 58,146 $ 63,864 $ 69,261 $ 82,398 $ 108,700
=================================================================================
Portfolio turnover of the Fund ................... 0% 0% 0% 186% 167% 175%
=================================================================================
Portfolio turnover of the Portfolio .............. 52% 96% 88% 94% 135% 139%
=================================================================================
1 Commencement of operations.
2 Based on average shares outstanding.
3 Total investment returns exclude the effect of sales charges.
4 Aggregate total investment return.
5 Includes the Fund's share of the Portfolio's allocated expenses and/or net
investment income.
6 Annualized.
See Notes to Financial Statements.
BLACKROCK CORE PRINCIPAL PROTECTED FUND APRIL 30, 2008 13
Notes to Financial Statements (Unaudited)
BlackRock Core Principal Protected Fund
1. Significant Accounting Policies:
BlackRock Core Principal Protected Fund (the "Fund") is a series of BlackRock
Principal Protected Trust ("the Trust") and is registered under the Investment
Company Act of 1940, as amended (the "1940 Act"), as a diversified, open-end
management investment company. The Fund seeks to achieve its investment
objective by investing all or a portion of its assets in Master Large Cap Core
Portfolio (the "Portfolio"), which is a series of Master Large Cap Series LLC.
The value of the Fund's investment in the Portfolio reflects the Fund's
proportionate interest in the net assets of the Portfolio. The performance of
the Fund is directly affected by the performance of the Portfolio. The financial
statements of the Portfolio, including the Schedule of Investments, are included
elsewhere in this report and should be read in conjunction with the Fund's
financial statements. The Fund's financial statements are prepared in conformity
with accounting principles generally accepted in the United States of America,
which may require the use of management accruals and estimates. Actual results
may differ from these estimates. The percentage of the Portfolio owned by the
Fund at April 30, 2008 was 2.5%. 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 without a sales
charge and only to certain eligible investors. Investor A Shares are generally
sold with a front-end sales charge. Investor B and Investor C Shares may be
subject to a contingent deferred sales charge. All classes of shares have
identical voting, dividend, liquidation and other rights and the same terms and
conditions, except that Investor A, Investor B and Investor C Shares bear
certain expenses related to the shareholder servicing of such shares, and
Investor B and Investor C Shares also bear certain expenses related to the
distribution of such shares. Each class has exclusive voting rights with respect
to matters relating to its shareholder servicing and distribution expenditures
(except that Investor B shareholders may vote on material changes to the
Investor A distribution plan).
The following is a summary of significant accounting policies followed by the
Fund:
Valuation of Investments: The Fund records its investment in the Portfolio at
fair value. Valuation of securities held by the Portfolio is discussed in Note 1
of the Portfolio's Notes to Financial Statements, which are included elsewhere
in this report.
Investment Transactions and Net Investment Income: Investment transactions in
the Portfolio are accounted for on a trade date basis. 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.
Income and realized and unrealized gains and losses are allocated daily to each
class based on its relative net assets.
Dividends and Distributions to Shareholders: Dividends and distributions paid by
the Fund are recorded on the ex-dividend dates.
Income Taxes: It is the Fund's policy to comply with the requirements of the
Internal Revenue Code applicable to regulated investment companies and to
distribute substantially all of its taxable income to its shareholders.
Therefore, no federal income tax provision is required.
Effective April 30, 2008, the Fund implemented Financial Accounting Standards
Board ("FASB") Interpretation No. 48, "Accounting for Uncertainty in Income
Taxes -- an interpretation of FASB Statement No. 109" ("FIN 48"). 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 investment companies, before being
measured and recognized in the financial statements. The advisor has evaluated
the application of FIN 48 to the Fund, and has determined that the adoption of
FIN 48 does not have a material impact on the Fund's financial statements. The
Fund files U.S. federal and various state and local tax returns. No income tax
returns are currently under examination. The statute of limitations on the
Fund's U.S. federal tax returns remains open for the years ended October 31,
2004 through October 31, 2006.The statutes of limitations on the Fund's state
and local tax returns may remain open for an additional year depending upon the
jurisdiction.
Recent Accounting Pronouncements: 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. The impact on the Fund's financial
statement disclosures, if any, is currently being assessed.
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. The impact on the Fund's financial
statement disclosures, if any, is currently being assessed.
14 BLACKROCK CORE PRINCIPAL PROTECTED FUND APRIL 30, 2008
Notes to Financial Statements (continued)
BlackRock Core Principal Protected Fund
In March 2008, Statement of Financial Accounting Standards No. 161, "Disclosures
about Derivative Instruments and Hedging Activities -- an amendment of FASB
Statement No. 133" ("FAS 161"), was issued and is effective for fiscal years
beginning after November 15, 2008. FAS 161 is intended to improve financial
reporting for derivative instruments by requiring enhanced disclosure that
enables investors to understand how and why an entity uses derivatives, how
derivatives are accounted for, and how derivative instruments affect an entity's
results of operations and financial position. The advisor is currently
evaluating the implications of FAS 161 and the impact on the Fund's financial
statement disclosures, if any, is currently being assessed.
Other: Expenses directly related to the Fund or its classes are charged to that
Fund or class. Other operating expenses shared by several funds are pro-rated
among those funds on the basis of relative net assets or other appropriate
methods. Other expenses of the Fund are allocated daily to each class based on
its relative net assets.
2. Investment Advisory Agreement and Other Transactions with Affiliates:
The Trust, on behalf of the Fund, has entered into an Investment Advisory
Agreement with BlackRock Advisors, LLC (the "Advisor"), an indirect, wholly
owned subsidiary of BlackRock, Inc., to provide investment advisory and
administrative services. For such services, the Fund pays a monthly fee at an
annual rate of 0.75% of the Fund's average daily net assets. Merrill Lynch &
Co., Inc. ("Merrill Lynch") and The PNC Financial Services Group, Inc. ("PNC")
are principal owners of BlackRock, Inc.
The Advisor has contractually agreed to waive its advisory fee by the amount of
investment advisory fees the Fund pays the Advisor indirectly through its
investment in the Portfolio. For the six months ended April 30, 2008, the
Advisor earned fees of $490,370, of which $300,824 was waived. This amount is
shown on the Statement of Operations as fees waived by the Advisor. In addition,
the Advisor 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. For the six months ended April 30, 2008, the
Fund reimbursed the Advisor $1,000 for certain accounting services, which are
included in accounting services in the Statement of Operations.
In addition, the Advisor has entered into a separate sub-advisory agreement with
BlackRock Investment Management, LLC ("BIM"), an affiliate of the Advisor, under
which the Advisor pays BIM, for services it provides, a monthly fee that is a
percentage of the investment advisory fee paid by the Fund to the Advisor.
The Fund has also entered into separate Distribution Agreements and Distribution
Plans with FAM Distributors, Inc. ("FAMD") and BlackRock Distributors, Inc. and
its affiliates ("BDI") (collectively, the "Distributor"). FAMD is a wholly owned
subsidiary of Merrill Lynch Group, Inc., and BDI is an affiliate of BlackRock,
Inc.
Pursuant to the Distribution Plans adopted by the Fund in accordance with Rule
12b-1 under the 1940 Act, 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 .................................. 0.25% --
Investor B .................................. 0.25% 0.75%
Investor C .................................. 0.25% 0.75%
- --------------------------------------------------------------------------------
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 and/or
distribution fee compensates the Distributor and each broker-dealer for
providing shareholder servicing and/or distribution related services to Investor
A, Investor B and Investor C shareholders.
For the six months ended April 30, 2008, affiliates received contingent deferred
sales charges of $80,274 and $792 relating to transactions in Investor B and
Investor C Shares, respectively.
The Advisor maintains a call center, which is responsible for providing certain
shareholder services to the Fund, such as responding to shareholder inquiries
and processing transactions based upon instructions from shareholders with
respect to the subscription and redemption of Fund shares. During the six months
ended April 30, 2008, the following amounts have been accrued by the Fund to
reimburse the Advisor 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 .................................................. $ 48
Investor A ..................................................... $ 133
Investor B ..................................................... $1,098
Investor C ..................................................... $ 708
BLACKROCK CORE PRINCIPAL PROTECTED FUND APRIL 30, 2008 15
Notes to Financial Statements (concluded)
BlackRock Core Principal Protected Fund
The Trust, on behalf of the Fund, and the Advisor 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
each shareholder's Guaranteed Amount.
PFPC Inc., an indirect, wholly owned subsidiary of PNC and an affiliate of the
Advisor, serves as transfer agent. Each class of the Fund bears the costs of
transfer agent fees associated with such respective classes. Transfer agency
fees borne by each class of the Fund are comprised of those fees charged for all
shareholder communications including shareholder reports, dividend and
distribution notices, and proxy materials for shareholders meetings, as well as
per account and per transaction fees related to servicing and maintenance of
shareholder accounts, including the issuing, redeeming and transferring of
shares of each class of the Fund, 12b-1 fee calculation, check writing,
anti-money laundering services, and customer identification services.
Certain officers and/or trustees of the Trust are officers and/or trustees of
BlackRock, Inc. or its affiliates.
3. Beneficial Interest Transactions:
Transactions in beneficial interest for each class were as follows:
Six Months Ended Year Ended
April 30, 2008 October 31, 2007
----------------------------- -----------------------------
Shares Amount Shares Amount
- ---------------------------------------------------------------------------------------------------------------------------------
Institutional
- ---------------------------------------------------------------------------------------------------------------------------------
Shares issued to shareholders in reinvestment of distributions 20,910 $ 212,860 13,375 $ 158,359
Shares redeemed .............................................. (72,721) (725,795) (138,956) (1,716,843)
----------------------------- -----------------------------
Net decrease ................................................. (51,811) $ (512,935) (125,581) $ (1,558,484)
============================= =============================
- ---------------------------------------------------------------------------------------------------------------------------------
Investor A
- ---------------------------------------------------------------------------------------------------------------------------------
Shares issued ................................................ -- -- 306 $ 9,670
Shares issued to shareholders in reinvestment of distributions 178,715 $ 1,815,674 102,594 1,212,660
----------------------------- -----------------------------
Total issued ................................................. 178,715 1,815,674 102,900 1,222,330
Shares redeemed .............................................. (114,178) (1,125,137) (440,665) (5,456,895)
----------------------------- -----------------------------
Net increase (decrease) ...................................... 64,537 $ 690,537 (337,765) $ (4,234,565)
============================= =============================
- ---------------------------------------------------------------------------------------------------------------------------------
Investor B
- ---------------------------------------------------------------------------------------------------------------------------------
Shares issued to shareholders in reinvestment of distributions 1,300,489 13,017,895 705,931 $ 8,231,154
Shares redeemed .............................................. (1,274,903) (11,813,447) (1,853,518) (22,564,691)
----------------------------- -----------------------------
Net increase (decrease) ...................................... 25,586 $ 1,204,448 (1,147,587) $(14,333,537)
============================= =============================
- ---------------------------------------------------------------------------------------------------------------------------------
Investor C
- ---------------------------------------------------------------------------------------------------------------------------------
Shares issued to shareholders in reinvestment of distributions 884,625 $ 8,872,472 458,599 $ 5,361,026
Shares redeemed .............................................. (857,529) (8,053,555) (993,765) (12,168,344)
----------------------------- -----------------------------
Net increase (decrease) ...................................... 27,096 $ 818,917 (535,166) $ (6,807,318)
============================= =============================
16 BLACKROCK CORE PRINCIPAL PROTECTED FUND APRIL 30, 2008
Officers and Trustees of the Trust
James H. Bodurtha, Trustee
Bruce R. Bond, Trustee
Donald W. Burton, Trustee
Richard S. Davis, Trustee
Stuart E. Eizenstat, Trustee
Laurence D. Fink, Trustee
Kenneth A. Froot, Trustee
Henry Gabbay, Trustee
Robert M. Hernandez, Trustee
John F. O'Brien, Trustee
Roberta Cooper Ramo, Trustee
Jean Margo Reid, Trustee
David H. Walsh, Trustee
Fred G. Weiss, Trustee
Richard R. West, Trustee
Donald C. Burke, Trust President and Chief Executive Officer
Anne F. Ackerley, Vice President
Neal J. Andrews, Chief Financial Officer
Jay M. Fife, Treasurer
Brian P. Kindelan, Chief Compliance Officer of the Funds
Howard Surloff, Secretary
Custodian
Brown Brothers Harriman & Co.
Boston, MA 02109
Transfer Agent
PFPC Inc.
Wilmington, DE 19809
Accounting Agent
State Street Bank and Trust Company
Princeton, NJ 08540
Independent Registered Public Accounting Firm
Deloitte & Touche LLP
Princeton, NJ 08540
Legal Counsel
Willkie Farr & Gallagher LLP
New York, NY 10019
BLACKROCK CORE PRINCIPAL PROTECTED FUND APRIL 30, 2008 17
Portfolio Summary Master Large Cap Core Portfolio
As of April 30, 2008
Percent of
Ten Largest Equity Holdings Net Assets
- --------------------------------------------------------------------------------
Exxon Mobil Corp. ....................................................... 5%
Chevron Corp. ........................................................... 3
Microsoft Corp. ......................................................... 2
International Business Machines Corp. ................................... 2
ConocoPhillips .......................................................... 2
Pfizer, Inc. ............................................................ 2
Hewlett-Packard Co. ..................................................... 2
Oracle Corp. ............................................................ 2
Occidental Petroleum Corp. .............................................. 2
Johnson & Johnson ....................................................... 2
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Percent of
Five Largest Industries Net Assets
- --------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels ............................................. 17%
Health Care Providers & Services ........................................ 8
Computers & Peripherals ................................................. 8
Software ................................................................ 7
Specialty Retail ........................................................ 6
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Percent of
Sector Representation Long-Term Investments
- --------------------------------------------------------------------------------
Information Technology .................................................. 25%
Health Care ............................................................. 19
Energy .................................................................. 18
Industrials ............................................................. 13
Consumer Discretionary .................................................. 11
Financials .............................................................. 7
Materials ............................................................... 4
Consumer Staples ........................................................ 2
Telecommunication Services .............................................. 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 APRIL 30, 2008
Schedule of Investments April 30, 2008 (Unaudited)
Master Large Cap Core Portfolio
(Percentages shown are based on Net Assets)
Common Stocks Shares Value
===============================================================================
Consumer Discretionary -- 11.2%
Household Durables -- 0.1%
NVR, Inc. (a) 10,000 $ 6,135,000
- -------------------------------------------------------------------------------
Internet & Catalog Retail -- 1.0%
Expedia, Inc. (a)(b) 1,830,000 46,225,800
- -------------------------------------------------------------------------------
Media -- 2.7%
Omnicom Group Inc. 1,050,000 50,127,000
Walt Disney Co. (b) 2,140,000 69,400,200
--------------
119,527,200
- -------------------------------------------------------------------------------
Specialty Retail -- 6.2%
AutoZone, Inc. (a) 360,000 43,470,000
Best Buy Co., Inc. (b) 1,120,000 48,182,400
GameStop Corp. Class A (a)(b) 840,000 46,233,600
The Gap, Inc. 2,680,000 49,901,600
RadioShack Corp. (b) 2,060,800 28,645,120
Ross Stores, Inc. 370,000 12,391,300
TJX Cos., Inc. 1,500,000 48,330,000
--------------
277,154,020
- -------------------------------------------------------------------------------
Textiles, Apparel & Luxury Goods -- 1.2%
Nike, Inc. Class B (b) 780,000 52,104,000
- -------------------------------------------------------------------------------
Total Consumer Discretionary 501,146,020
===============================================================================
Consumer Staples -- 1.9%
Beverages -- 0.3%
Coca-Cola Enterprises, Inc. 260,000 5,850,000
Pepsi Bottling Group, Inc. 240,000 8,090,400
--------------
13,940,400
- -------------------------------------------------------------------------------
Food & Staples Retailing -- 0.1%
BJ's Wholesale Club, Inc. (a)(b) 180,000 6,861,600
- -------------------------------------------------------------------------------
Household Products -- 0.7%
The Procter & Gamble Co. 440,000 29,502,000
- -------------------------------------------------------------------------------
Personal Products -- 0.8%
Herbalife Ltd. 840,000 36,775,200
- -------------------------------------------------------------------------------
Total Consumer Staples 87,079,200
===============================================================================
Energy -- 18.1%
Energy Equipment & Services -- 1.1%
ENSCO International, Inc. 760,000 48,434,800
- -------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels -- 17.0%
Anadarko Petroleum Corp. 470,000 31,283,200
Apache Corp. 450,000 60,606,000
Chevron Corp. (b) 1,210,000 116,341,500
ConocoPhillips 1,100,000 94,765,000
Devon Energy Corp. 310,000 35,154,000
Exxon Mobil Corp. 2,260,000 210,338,200
Frontier Oil Corp. 1,210,000 30,068,500
Marathon Oil Corp. 480,000 21,873,600
Noble Energy, Inc. (b) 550,000 47,850,000
Occidental Petroleum Corp. (b) 850,000 70,728,500
Valero Energy Corp. 940,000 45,919,000
--------------
764,927,500
- -------------------------------------------------------------------------------
Total Energy 813,362,300
===============================================================================
Financials -- 7.2%
Consumer Finance -- 1.1%
Capital One Financial Corp. 890,000 47,170,000
- -------------------------------------------------------------------------------
Diversified Financial Services -- 0.4%
Bank of America Corp. 290,000 10,886,600
JPMorgan Chase & Co. 160,000 7,624,000
--------------
18,510,600
- -------------------------------------------------------------------------------
Insurance -- 5.7%
ACE Ltd. 330,000 19,895,700
The Allstate Corp. (b) 1,080,000 54,388,800
Chubb Corp. 980,000 51,910,600
MetLife, Inc. 950,000 57,807,500
The Travelers Cos., Inc. 1,110,000 55,944,000
UnumProvident Corp. (b) 750,000 17,407,500
--------------
257,354,100
- -------------------------------------------------------------------------------
Total Financials 323,034,700
===============================================================================
Health Care -- 19.1%
Biotechnology -- 1.1%
Biogen Idec, Inc. (a)(b) 840,000 50,979,600
- -------------------------------------------------------------------------------
Health Care Equipment & Supplies -- 3.1%
Baxter International, Inc. 930,000 57,957,600
C.R. Bard, Inc. 530,000 49,910,100
Kinetic Concepts, Inc. (a) 842,200 33,401,652
--------------
141,269,352
- -------------------------------------------------------------------------------
Health Care Providers & Services -- 8.4%
Aetna, Inc. 1,150,000 50,140,000
AmerisourceBergen Corp. 700,000 28,385,000
Cigna Corp. 490,000 20,927,900
Coventry Health Care, Inc. (a)(b) 810,000 36,231,300
Express Scripts, Inc. (a)(b) 710,000 49,714,200
Humana, Inc. (a) 1,000,000 47,790,000
Lincare Holdings, Inc. (a) 1,010,000 24,583,400
McKesson Corp. 150,000 7,818,000
Medco Health Solutions, Inc. (a) 1,070,000 53,007,800
UnitedHealth Group, Inc. 170,000 5,547,100
WellPoint, Inc. (a) 1,070,000 53,232,500
--------------
377,377,200
- -------------------------------------------------------------------------------
Life Sciences Tools & Services -- 1.4%
Applera Corp. -- Applied Biosystems Group 160,000 5,105,600
Invitrogen Corp. (a) 210,000 19,649,700
Waters Corp. (a) 590,000 36,261,400
--------------
61,016,700
- -------------------------------------------------------------------------------
Pharmaceuticals -- 5.1%
Eli Lilly & Co. 1,180,000 56,805,200
Forest Laboratories, Inc. (a) 320,000 11,107,200
Johnson & Johnson 1,040,000 69,773,600
Pfizer, Inc. 4,570,000 91,902,700
--------------
229,588,700
- -------------------------------------------------------------------------------
Total Health Care 860,231,552
===============================================================================
See Notes to Financial Statements.
BLACKROCK CORE PRINCIPAL PROTECTED FUND APRIL 30, 2008 19
Schedule of Investments (continued) Master Large Cap Core Portfolio
(Percentages shown are based on Net Assets)
Common Stocks Shares Value
===============================================================================
Industrials -- 12.6%
Aerospace & Defense -- 3.9%
Honeywell International, Inc. 240,000 $ 14,256,000
L-3 Communications Holdings, Inc. 440,000 49,038,000
Lockheed Martin Corp. (b) 560,000 59,382,400
Raytheon Co. 850,000 54,374,500
--------------
177,050,900
- -------------------------------------------------------------------------------
Commercial Services & Supplies -- 1.1%
Allied Waste Industries, Inc. (a) 620,700 7,671,852
The Brink's Co. 30,000 2,182,500
Waste Management, Inc. 1,120,000 40,432,000
--------------
50,286,352
- -------------------------------------------------------------------------------
Electrical Equipment -- 1.0%
Rockwell Automation, Inc. (b) 790,000 42,841,700
- -------------------------------------------------------------------------------
Industrial Conglomerates -- 1.5%
General Electric Co. 2,040,000 66,708,000
- -------------------------------------------------------------------------------
Machinery -- 4.9%
AGCO Corp. (a) 700,000 42,091,000
Cummins, Inc. 590,000 36,963,500
Deere & Co. 650,000 54,645,500
Dover Corp. 410,000 20,282,700
Flowserve Corp. 90,000 11,168,100
Parker Hannifin Corp. 630,000 50,305,500
Toro Co. (b) 140,000 5,934,600
--------------
221,390,900
- -------------------------------------------------------------------------------
Road & Rail -- 0.2%
Ryder System, Inc. 130,000 8,901,100
- -------------------------------------------------------------------------------
Total Industrials 567,178,952
===============================================================================
Information Technology -- 24.8%
Communications Equipment -- 1.3%
Cisco Systems, Inc. (a) 290,000 7,435,600
Juniper Networks, Inc. (a)(b) 1,880,000 51,925,600
--------------
59,361,200
- -------------------------------------------------------------------------------
Computers & Peripherals -- 7.6%
Hewlett-Packard Co. 1,770,000 82,039,500
International Business Machines Corp. 820,000 98,974,000
Lexmark International, Inc. Class A (a)(b) 380,000 11,928,200
Seagate Technology 2,550,000 48,118,500
Sun Microsystems, Inc. (a) 3,250,000 50,895,000
Western Digital Corp. (a) 1,680,000 48,703,200
--------------
340,658,400
- -------------------------------------------------------------------------------
Electronic Equipment & Instruments -- 0.7%
Avnet, Inc. (a) 760,000 19,904,400
Mettler Toledo International, Inc. (a) 130,000 12,383,800
--------------
32,288,200
- -------------------------------------------------------------------------------
IT Services -- 2.7%
Accenture Ltd. Class A 1,360,000 51,068,000
Computer Sciences Corp. (a) 792,900 34,562,511
Electronic Data Systems Corp. 1,770,000 32,851,200
--------------
118,481,711
- -------------------------------------------------------------------------------
Office Electronics -- 0.8%
Xerox Corp. 2,580,000 36,042,600
- -------------------------------------------------------------------------------
Semiconductors & Semiconductor
Equipment -- 4.5%
Integrated Device Technology, Inc. (a) 1,340,000 14,324,600
Intersil Corp. Class A 330,000 8,817,600
KLA-Tencor Corp. (b) 780,000 34,070,400
Novellus Systems, Inc. (a) 1,780,000 38,910,800
Texas Instruments, Inc. (b) 1,950,000 56,862,000
Xilinx, Inc. 2,030,000 50,283,100
--------------
203,268,500
- -------------------------------------------------------------------------------
Software -- 7.2%
BMC Software, Inc. (a) 1,390,000 48,316,400
CA, Inc. 890,000 19,704,600
Compuware Corp. (a) 1,620,000 12,214,800
McAfee, Inc. (a) 1,280,000 42,560,000
Microsoft Corp. 3,530,000 100,675,600
Oracle Corp. (a) 3,510,000 73,183,500
Symantec Corp. (a)(b) 400,000 6,888,000
Synopsys, Inc. (a) 930,000 21,492,300
--------------
325,035,200
- -------------------------------------------------------------------------------
Total Information Technology 1,115,135,811
===============================================================================
Materials -- 3.7%
Chemicals -- 0.5%
Eastman Chemical Co. 141,900 10,429,650
Monsanto Co. 90,000 10,261,800
--------------
20,691,450
- -------------------------------------------------------------------------------
Containers & Packaging -- 1.4%
Owens-Illinois, Inc. (a) 740,000 40,811,000
Packaging Corp. of America (b) 910,000 20,001,800
--------------
60,812,800
- -------------------------------------------------------------------------------
Metals & Mining -- 0.8%
Nucor Corp. 490,000 36,995,000
- -------------------------------------------------------------------------------
Paper & Forest Products -- 1.0%
International Paper Co. (b) 1,750,000 45,797,500
- -------------------------------------------------------------------------------
Total Materials 164,296,750
===============================================================================
Telecommunication Services -- 1.5%
Diversified Telecommunication Services -- 1.5%
AT&T Inc. 910,000 35,226,100
Qwest Communications International Inc. (b) 5,880,000 30,340,800
- -------------------------------------------------------------------------------
Total Telecommunication Services 65,566,900
===============================================================================
Total Common Stocks (Cost -- $4,242,502,765) -- 100.1% 4,497,032,185
===============================================================================
===============================================================================
Beneficial
Interest
Short-Term Securities (000)
===============================================================================
BlackRock Liquidity Series, LLC
Money Market Series, 2.85% (c)(d)(e) $496,650 496,650,100
- -------------------------------------------------------------------------------
Total Short-Term Securities (Cost -- $496,650,100) -- 11.0% 496,650,100
===============================================================================
Total Investments (Cost -- $4,739,152,865*) -- 111.1% 4,993,682,285
Liabilities in Excess of Other Assets -- (11.1%) (500,240,353)
--------------
Net Assets -- 100.0% $4,493,441,932
==============
See Notes to Financial Statements.
20 BLACKROCK CORE PRINCIPAL PROTECTED FUND APRIL 30, 2008
Schedule of Investments (concluded) Master Large Cap Core Portfolio
* The cost and unrealized appreciation (depreciation) of investments as of
April 30, 2008, as computed for federal income tax purposes, were as
follows:
Aggregate cost ....................................... $ 4,752,647,094
===============
Gross unrealized appreciation ........................ $ 540,791,718
Gross unrealized depreciation ........................ (299,756,527)
---------------
Net unrealized appreciation .......................... $ 241,035,191
===============
(a) Non-income producing security.
(b) Security, or a portion of security, is on loan.
(c) Security was purchased with the cash proceeds from securities loans.
(d) 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
Activity Interest
Affiliate (000) Income
--------------------------------------------------------------------------
BlackRock Liquidity Series, LLC
Cash Sweep Series -- $ 6,973
BlackRock Liquidity Series, LLC
Money Market Series $(385,790) $1,585,920
--------------------------------------------------------------------------
(e) Represents the current yield as of report date.
o For Portfolio compliance purposes, the Portfolio's sector and industry
classifications refer to any one or more of the sector and industry
sub-classifications used by one or more widely recognized market indexes
or ratings group indexes, and/or as defined by Portfolio management. This
definition may not apply for purposes of this report, which may combine
industry sub-classifications for reporting ease.
See Notes to Financial Statements.
BLACKROCK CORE PRINCIPAL PROTECTED FUND APRIL 30, 2008 21
Statement of Assets and Liabilities Master Large Cap Core Portfolio
April 30, 2008 (Unaudited)
====================================================================================================================================
Assets
- ------------------------------------------------------------------------------------------------------------------------------------
Investments at value -- unaffiliated (cost -- $4,242,502,765) (including securities loaned of $476,946,809) ...... $4,497,032,185
Investments at value -- affiliated (cost -- $496,650,100) ........................................................ 496,650,100
Investments sold receivables ..................................................................................... 95,320,232
Contributions receivable ......................................................................................... 5,788,883
Dividends receivable ............................................................................................. 1,554,484
Securities lending income receivable ............................................................................. 186,700
Prepaid expenses ................................................................................................. 8,550
Interest receivable -- affiliated ................................................................................ 115
Other receivables ................................................................................................ 290,456
--------------
Total assets ..................................................................................................... 5,096,831,705
--------------
====================================================================================================================================
Liabilities
- ------------------------------------------------------------------------------------------------------------------------------------
Collateral at value -- securities loaned ......................................................................... 496,650,100
Bank overdraft ................................................................................................... 11,087,813
Investments purchased payable .................................................................................... 80,619,075
Withdrawals payable .............................................................................................. 13,234,536
Investment advisory fees payable ................................................................................. 1,709,571
Other affiliates payable ......................................................................................... 49,693
Officers payable ................................................................................................. 647
Other accrued expenses payable ................................................................................... 38,338
--------------
Total liabilities ................................................................................................ 603,389,773
--------------
====================================================================================================================================
Net Assets
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets ....................................................................................................... $4,493,441,932
==============
====================================================================================================================================
Net Assets Consist of
- ------------------------------------------------------------------------------------------------------------------------------------
Investors' capital ............................................................................................... $4,238,912,512
Net unrealized appreciation/depreciation ......................................................................... 254,529,420
--------------
Net Assets ....................................................................................................... $4,493,441,932
==============
See Notes to Financial Statements.
22 BLACKROCK CORE PRINCIPAL PROTECTED FUND APRIL 30, 2008
Statement of Operations Master Large Cap Core Portfolio
Six Months Ended April 30, 2008 (Unaudited)
===================================================================================================================================
Investment Income
- -----------------------------------------------------------------------------------------------------------------------------------
Dividends ...................................................................................................... $ 30,168,153
Securities lending ............................................................................................. 1,585,920
Interest from affiliates ....................................................................................... 6,973
---------------
Total income ................................................................................................... 31,761,046
---------------
===================================================================================================================================
Expenses
- -----------------------------------------------------------------------------------------------------------------------------------
Investment advisory ............................................................................................ 11,134,291
Accounting services ............................................................................................ 356,414
Custodian ...................................................................................................... 208,514
Professional ................................................................................................... 46,228
Officer and Directors .......................................................................................... 34,414
Printing ....................................................................................................... 2,875
Miscellaneous .................................................................................................. 38,269
---------------
Total expenses ................................................................................................. 11,821,005
---------------
Net investment income .......................................................................................... 19,940,041
---------------
===================================================================================================================================
Realized and Unrealized Loss
- -----------------------------------------------------------------------------------------------------------------------------------
Realized loss from investments ................................................................................. (186,163,412)
Net change in unrealized appreciation/depreciation on investments .............................................. (994,381,427)
---------------
Total realized and unrealized loss ............................................................................. (1,180,544,839)
---------------
Net Decrease in Net Assets Resulting from Operations ........................................................... $(1,160,604,798)
===============
See Notes to Financial Statements.
BLACKROCK CORE PRINCIPAL PROTECTED FUND APRIL 30, 2008 23
Statements of Changes in Net Assets Master Large Cap Core Portfolio
Six Months
Ended
April 30, Year Ended
2008 October 31,
Increase (Decrease) in Net Assets: (Unaudited) 2007
===================================================================================================================================
Operations
- -----------------------------------------------------------------------------------------------------------------------------------
Net investment income ...................................................................... $ 19,940,041 $ 27,760,104
Net realized gain (loss) ................................................................... (186,163,412) 527,140,752
Net change in unrealized appreciation/depreciation ......................................... (994,381,427) 308,789,197
-----------------------------------
Net increase (decrease) in net assets resulting from operations ............................ (1,160,604,798) 863,690,053
-----------------------------------
===================================================================================================================================
Capital Transactions
- -----------------------------------------------------------------------------------------------------------------------------------
Proceeds from contributions ................................................................ 650,312,857 1,128,729,030
Fair value of withdrawals .................................................................. (645,997,116) (219,326,884)
-----------------------------------
Net increase in net assets derived from capital transactions ............................... 4,315,741 909,402,146
-----------------------------------
===================================================================================================================================
Net Assets
- -----------------------------------------------------------------------------------------------------------------------------------
Total increase (decrease) in net assets .................................................... (1,156,289,057) 1,773,092,199
Beginning of period ........................................................................ 5,649,730,989 3,876,638,790
-----------------------------------
End of period .............................................................................. $ 4,493,441,932 $ 5,649,730,989
===================================
Financial Highlights Master Large Cap Core Portfolio
Six Months
Ended
April 30, Year Ended October 31,
2008 ----------------------------------------------------------------------
(Unaudited) 2007 2006 2005 2004 2003
===================================================================================================================================
Total Investment Return
- -----------------------------------------------------------------------------------------------------------------------------------
Total investment return .................. (15.66%) 1 13.94% 17.32% 18.35% 9.61% 25.11%
=====================================================================================
===================================================================================================================================
Ratios to Average Net Assets
- -----------------------------------------------------------------------------------------------------------------------------------
Total expenses ........................... 0.49% 2 0.49% 0.49% 0.51% 0.52% 0.54%
=====================================================================================
Net investment income .................... 0.82% 2 0.63% 0.58% 0.72% 0.57% 0.48%
=====================================================================================
===================================================================================================================================
Supplemental Data
- -----------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (000) $4,493,442 $5,649,731 $3,876,639 $2,666,699 $1,831,300 $1,454,109
=====================================================================================
Portfolio turnover ....................... 52% 96% 88% 94% 136% 139%
=====================================================================================
1 Aggregate total investment return.
2 Annualized.
See Notes to Financial Statements.
24 BLACKROCK CORE PRINCIPAL PROTECTED FUND APRIL 30, 2008
Notes to Financial Statements (Unaudited) Master Large Cap Core Portfolio
1. Significant Accounting Policies:
Master Large Cap Core Portfolio (the "Portfolio") is a series of Master Large
Cap Series LLC (the "Master LLC"). The Master LLC is registered under the
Investment Company Act of 1940, as amended (the "1940 Act"), and is organized as
a Delaware limited liability company. The Limited Liability Company Agreement
permits the Directors to issue non-transferable interests in the Master LLC,
subject to certain limitations. The Portfolio's financial statements are
prepared in conformity with accounting principles generally accepted in the
United States of America, which may require the use of management accruals and
estimates. Actual results may differ from these estimates.
The following is a summary of significant accounting policies followed by the
Portfolio:
Valuation of Investments: Equity investments traded on a recognized securities
exchange or the NASDAQ Global Market System are valued at the last reported sale
price that day or the NASDAQ official closing price, if applicable. Equity
investments traded on a recognized exchange for which there were no sales on
that day are valued at the last available bid price. Investments in open-end
investment companies are valued at net asset value each business day.
In the event that application of these methods of valuation results in a price
for an investment which is deemed not to be representative of the market value
of such investment, the investment will be valued by a method approved by the
Board of Directors (the "Board") as reflecting fair value ("Fair Value Assets").
When determining the price for Fair Value Assets, the investment advisor and/or
sub-advisor seeks to determine the price that the Portfolio might reasonably
expect to receive from the current sale of that asset in an arm's-length
transaction. Fair value determinations shall be based upon all available factors
that the investment advisor and/or sub-advisor deems relevant. The pricing of
all Fair Value Assets is subsequently reported to the Board or a committee
thereof.
Investment Transactions and Investment Income: Investment transactions are
recorded on the dates the transactions are entered into (the trade dates).
Realized gains and losses on security transactions are determined on the
identified cost basis. 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.
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. 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 the standard time period for
settlement of securities transactions. The Portfolio may pay reasonable lending
agent, administrative and custodial fees in connection with its loans. In the
event that the borrower defaults on its obligation to return borrowed securities
because of insolvency or for any other reason, the Portfolio could experience
delays and costs in gaining access to the collateral. The Portfolio also could
suffer a loss 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.
Income Taxes: It is the Portfolio'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. Under the applicable
foreign tax laws, a withholding tax may be imposed on interest, dividends and
capital gains at various rates.
Effective April 30, 2008, the Portfolio implemented Financial Accounting
Standards Board ("FASB") Interpretation No. 48, "Accounting for Uncertainty in
Income Taxes -- an interpretation of FASB Statement No. 109" ("FIN 48"). 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 investment companies, before being
measured and recognized in the financial statements. The investment advisor has
evaluated the application of FIN 48 to the Portfolio and has determined that the
adoption of FIN 48 does not have a material impact on the Portfolio's financial
statements. The Portfolio files U.S. federal and various state and local tax
returns. No income tax returns are currently under examination. The statute of
limitations on the Portfolio's U.S. federal tax returns remains open for the
years ended October 31, 2004 through October 31, 2006. The statutes of
limitations on the Portfolio's state and local tax returns may remain open for
an additional year depending upon the jurisdiction.
BLACKROCK CORE PRINCIPAL PROTECTED FUND APRIL 30, 2008 25
Notes to Financial Statements (continued) Master Large Cap Core Portfolio
Recent Accounting Pronouncements: 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. The impact on the Portfolio's
financial statement disclosures, if any, is currently being assessed.
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. The impact on the Portfolio's financial
statement disclosures, if any, is currently being assessed.
In March 2008, Statement of Financial Accounting Standards No. 161, "Disclosures
about Derivative Instruments and Hedging Activities -- an amendment of FASB
Statement No. 133" ("FAS 161"), was issued and is effective for fiscal years
beginning after November 15, 2008. FAS 161 is intended to improve financial
reporting for derivative instruments by requiring enhanced disclosure that
enables investors to understand how and why an entity uses derivatives, how
derivatives are accounted for, and how derivative instruments affect an entity's
results of operations and financial position. The investment advisor is
currently evaluating the implications of FAS 161 and the impact on the
Portfolio's financial statement disclosures, if any, is currently being
assessed.
Bank Overdraft: The Portfolio recorded a bank overdraft, which resulted from
management estimates of available cash.
Other: Expenses directly related to the Portfolio are charged to the Portfolio.
Other operating expenses shared by several funds are pro-rated among those funds
on the basis of relative net assets or other appropriate methods.
2. Investment Advisory Agreement and Other Transactions with Affiliates:
The Master LLC, on behalf of the Portfolio, has entered into an Investment
Advisory Agreement with BlackRock Advisors, LLC (the "Advisor"), an indirect,
wholly owned subsidiary of BlackRock, Inc., to provide investment advisory and
administration services. Merrill Lynch & Co., Inc. ("Merrill Lynch") and The PNC
Financial Services Group, Inc. are principal owners of BlackRock, Inc.
The Advisor is responsible for the management of the Portfolio's investments and
provides the necessary personnel, facilities, equipment and certain other
services necessary to the operations of the Portfolio. For such services, the
Portfolio pays the Advisor a monthly fee at an annual rate of 0.50% of average
daily net assets not exceeding $1 billion, 0.45% of average daily net assets in
excess of $1 billion but not exceeding $5 billion and 0.40% of average daily net
assets in excess of $5 billion.
In addition, the Advisor has entered into a separate sub-advisory agreement with
BlackRock Investment Management, LLC ("BIM"), an affiliate of the Advisor, under
which the Advisor pays BIM, for services it provides, a monthly fee that is a
percentage of the investment advisory fee paid by the Portfolio to the Advisor.
For the six months ended April 30, 2008, the Portfolio reimbursed the Advisor
$39,010 for certain accounting services, which are included in accounting
services expenses in the Statement of Operations.
The Master LLC has received an exemptive order from the Securities and Exchange
Commission permitting it to lend portfolio securities to Merrill Lynch, Pierce,
Fenner & Smith Incorporated ("MLPF&S"), a wholly owned subsidiary of Merrill
Lynch, or its affiliates. As of April 30, 2008, the Portfolio lent securities
with a value of $237,892,898 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
Advisor or in registered money market funds advised by the Advisor or its
affiliates. For the six months ended April 30, 2008, BIM received $392,006 in
securities lending agent fees.
Certain officers and/or directors of the Master LLC are officers and/or
directors of BlackRock, Inc. or its affiliates.
26 BLACKROCK CORE PRINCIPAL PROTECTED FUND APRIL 30, 2008
Notes to Financial Statements (concluded) Master Large Cap Core Portfolio
3. Investments:
Purchases and sales of investments, excluding short-term securities for the six
months ended April 30, 2008 were $2,560,109,067 and $2,824,750,819,
respectively.
4. Short-Term Borrowings:
The Portfolio, along with certain other funds managed by the Advisor and its
affiliates, is a party to a $500,000,000 credit agreement with a group of
lenders. The Portfolio may borrow under the credit agreement to fund shareholder
redemptions and for other lawful purposes other than for leverage. The Portfolio
may borrow up to the maximum amount allowable under the Portfolio's current
prospectus and statement of additional information, subject to various other
legal, regulatory or contractual limits. On November 21, 2007, the credit
agreement was renewed for one year under substantially the same terms. The
Portfolio pays a commitment fee of 0.06% per annum based on the Portfolio's pro
rata share of the unused portion of the credit agreement, which is included in
miscellaneous expenses in the Statement of Operations. Amounts borrowed under
the credit agreement bear interest at a rate equal to, at each fund's election,
the federal funds rate plus 0.35% or a base rate as defined in the credit
agreement. The Portfolio did not borrow under the credit agreement during the
six months ended April 30, 2008.
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 APRIL 30, 2008 27
Officers and Directors of Master Large Cap Series LLC
David O. Beim, Director
Richard S. Davis, Director
Ronald W. Forbes, Director
Henry Gabbay, Director
Dr. Matina Horner, Director
Rodney D. Johnson, Director
Herbert I. London, Director
Cynthia A. Montgomery, Director
Joseph P. Platt, Jr., Director
Robert C. Robb, Jr., Director
Toby Rosenblatt, Director
Kenneth L. Urish, Director
Frederick W. Winter, Director
Donald C. Burke, Master LLC President and Chief Executive Officer
Anne F. Ackerley, Vice President
Neal J. Andrews, Chief Financial Officer
Jay M. Fife, Treasurer
Brian P. Kindelan, Chief Compliance Officer of the Funds
Howard Surloff, Secretary
Custodian
Brown Brothers Harriman & Co.
Boston, MA 02109
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
28 BLACKROCK CORE PRINCIPAL PROTECTED FUND APRIL 30, 2008
Additional 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 websites.
BlackRock does not sell or disclose to non-affiliated third parties any
non-public personal information about its Clients, except as permitted by law or
as is necessary to respond to regulatory requests or to service Client accounts.
These non-affiliated third parties are required to protect the confidentiality
and security of this information and to use it only for its intended purpose.
We may share information with our affiliates to service your account or to
provide you with information about other BlackRock products or services that may
be of interest to you. In addition, BlackRock restricts access to non-public
personal information about its Clients to those BlackRock employees with a
legitimate business need for the information. BlackRock maintains physical,
electronic and procedural safeguards that are designed to protect the non-public
personal information of its Clients, including procedures relating to the proper
storage and disposal of such information.
Availability of Additional Information
Electronic copies of most financial reports and prospectuses are available on
the Fund's website or shareholders can sign up for e-mail notifications of
quarterly statements, annual and semi-annual reports and prospectuses by
enrolling in the Fund's electronic delivery program.
To enroll: Shareholders Who Hold Accounts with Investment Advisors, Banks or
Brokerages:
Please contact your financial advisor. Please note that not all investment
advisors, banks or brokerages may offer this service.
Shareholders Who Hold Accounts Directly with BlackRock:
1) Access the BlackRock website at http://www.blackrock.com/edelivery
2) Click on the applicable link and follow the steps to sign up
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.
Availability of Proxy Voting Policies and Procedures
A description of the policies and procedures that the Fund uses to determine how
to vote proxies relating to portfolio securities is available (1) without
charge, upon request, by calling toll-free (800) 441-7762; (2) at
www.blackrock.com; and (3) on the Securities and Exchange Commission's (the
"SEC") website at http://www.sec.gov.
BLACKROCK CORE PRINCIPAL PROTECTED FUND APRIL 30, 2008 29
Additional Information (concluded)
Availability of Additional Information (concluded)
Availability of Proxy Voting Record
Information about how the Fund votes proxies relating to securities held in the
Fund's portfolios during the most recent 12-month period ended June 30 is
available upon request and without charge (1) at www.blackrock.com or by calling
(800) 441-7762 and (2) on the SEC's website at http://www.sec.gov.
Availability of Quarterly Portfolio Schedule
The Fund files its complete schedule of portfolio holdings with the SEC for the
first and third quarters of each fiscal year on Form N-Q. The Fund's Forms N-Q
are available on the SEC's website at http://www.sec.gov and may also be
reviewed and copied at the SEC's Public Reference Room in Washington, D.C.
Information on the operation of the Public Reference Room may be obtained by
calling (800) SEC-0330. The Fund's Forms N-Q may also be obtained upon request
and without charge by calling (800) 441-7762.
Shareholder Privileges
Account Information
Call us at (800) 441-7762 from 8:00 AM to 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.
Warranty Information
If you would like a copy, free of charge, of the most recent annual or quarterly
report of Ambac Assurance Corporation, the Guarantor, please contact the Fund at
(800) 441-7762.
30 BLACKROCK CORE PRINCIPAL PROTECTED FUND APRIL 30, 2008
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 Asset Allocation Portfolio+
BlackRock Aurora Portfolio
BlackRock Balanced Capital Fund+
BlackRock Basic Value Fund
BlackRock Capital Appreciation Portfolio
BlackRock Equity Dividend Fund
BlackRock EuroFund
BlackRock Focus Growth Fund
BlackRock Focus Value Fund
BlackRock Fundamental Growth Fund
BlackRock Global Allocation Fund+
BlackRock Global Dynamic Equity Fund
BlackRock Global Emerging Markets Fund
BlackRock Global Financial Services Fund
BlackRock Global Growth Fund
BlackRock Global Opportunities Portfolio
BlackRock Global Resources Portfolio
BlackRock Global Science & Technology Opportunities Portfolio
BlackRock Global SmallCap Fund
BlackRock Health Sciences Opportunities Portfolio*
BlackRock Healthcare Fund
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 Emerging Market Debt Portfolio
BlackRock Enhanced Income Portfolio
BlackRock GNMA Portfolio
BlackRock Government Income Portfolio
BlackRock High Income Fund
BlackRock High Yield Bond Portfolio
BlackRock Income Portfolio
BlackRock Income Builder Portfolio
BlackRock Inflation Protected Bond Portfolio
BlackRock Intermediate Bond Portfolio II
BlackRock Intermediate Government Bond Portfolio
BlackRock International Bond Portfolio
BlackRock Long Duration Bond Portfolio
BlackRock Low Duration Bond Portfolio
BlackRock Managed Income Portfolio
BlackRock Short-Term Bond Fund
BlackRock Strategic Income Portfolio
BlackRock Total Return Fund
BlackRock Total Return Portfolio II
BlackRock World Income Fund
Municipal Bond Funds
BlackRock AMT-Free Municipal Bond Portfolio
BlackRock California Insured Municipal Bond Fund
BlackRock Delaware Municipal Bond Portfolio
BlackRock Florida Municipal Bond Fund
BlackRock High Yield Municipal Fund
BlackRock Intermediate Municipal Fund
BlackRock Kentucky Municipal Bond Portfolio
BlackRock Municipal Insured Fund
BlackRock National Municipal Fund
BlackRock New Jersey Municipal Bond Fund
BlackRock New York Municipal Bond Fund
BlackRock Ohio Municipal Bond Portfolio
BlackRock Pennsylvania Municipal Bond Fund
BlackRock Short-Term Municipal Fund
Target Risk & Target Date Funds
BlackRock Prepared Portfolios
Conservative Prepared Portfolio
Moderate Prepared Portfolio
Growth Prepared Portfolio
Aggressive Growth Prepared Portfolio
BlackRock Lifecycle Prepared Portfolios
Prepared Portfolio 2010
Prepared Portfolio 2015
Prepared Portfolio 2020
Prepared Portfolio 2025
Prepared Portfolio 2030
Prepared Portfolio 2035
Prepared Portfolio 2040
Prepared Portfolio 2045
Prepared Portfolio 2050
* See the prospectus for information on specific limitations on investments
in the fund.
+ Mixed asset fund.
BlackRock mutual funds are distributed by BlackRock Distributors, Inc. and
certain funds are also distributed by FAM Distributors, Inc. You should consider
the investment objectives, risks, charges and expenses of the funds under
consideration carefully before investing. Each fund's prospectus contains this
and other information and is available at www.blackrock.com or by calling (800)
882-0052 or from your financial advisor. The prospectus should be read carefully
before investing.
BLACKROCK CORE PRINCIPAL PROTECTED FUND APRIL 30, 2008 31
This report is not authorized for use as an offer of sale or a solicitation of
an offer to buy shares of the Fund unless accompanied or preceded by the Fund's
current prospectus. Past performance results shown in this report should not be
considered a representation of future performance. Investment returns and
principal value of shares will fluctuate so that shares, when redeemed, may be
worth more or less than their original cost. Statements and other information
herein are as dated and are subject to change.
BlackRock Core Principal Protected Fund
Of BlackRock Principal Protected Trust
100 Bellevue Parkway
Wilmington, DE 19809
BLACKROCK
#CPP-4/08
Item 2 - Code of Ethics - Not Applicable to this semi-annual report
Item 3 - Audit Committee Financial Expert - Not Applicable to this
semi-annual report
Item 4 - Principal Accountant Fees and Services - Not Applicable to this
semi-annual report
Item 5 - Audit Committee of Listed Registrants - Not Applicable
Item 6 - Investments
(a) The registrant's Schedule of Investments is included as part of
the Report to Stockholders filed under Item 1 of this form.
(b) Not Applicable due to no such divestments during the semi-annual
period covered since the previous Form N-CSR filing.
Item 7 - Disclosure of Proxy Voting Policies and Procedures for Closed-End
Management Investment Companies - Not Applicable
Item 8 - Portfolio Managers of Closed-End Management Investment Companies -
Not Applicable
Item 9 - Purchases of Equity Securities by Closed-End Management Investment
Company and Affiliated Purchasers - Not Applicable
Item 10 - Submission of Matters to a Vote of Security Holders - The
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 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 - Not Applicable to this semi-annual report
12(a)(2) - Certifications - Attached hereto
12(a)(3) - Not Applicable
12(b) - Certifications - Attached hereto
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
BlackRock Core Principal Protected Fund of BlackRock Principal Protected Trust
and Master Large Cap Core Portfolio of Master Large Cap Series LLC
By: /s/ Donald C. Burke
-----------------------------------
Donald C. Burke
Chief Executive Officer of
BlackRock Core Principal Protected Fund of
BlackRock Principal Protected Trust and
Master Large Cap Core Portfolio of Master Large Cap Series LLC
Date: June 23, 2008
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By: /s/ Donald C. Burke
-----------------------------------
Donald C. Burke
Chief Executive Officer (principal executive officer) of
BlackRock Core Principal Protected Fund of
BlackRock Principal Protected Trust and
Master Large Cap Core Portfolio of Master Large Cap Series LLC
Date: June 23, 2008
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: June 23, 2008