UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number 811-21162 and 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 - 10/31/2008
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
ANNUAL REPORT | OCTOBER 31, 2008
NOT FDIC INSURED
MAY LOSE VALUE
NO BANK GUARANTEE
Table of Contents
================================================================================
Page
- --------------------------------------------------------------------------------
A Letter to Shareholders ................................................. 3
Annual Report:
Fund Summary ............................................................. 4
About Fund Performance ................................................... 6
Disclosure of Expenses ................................................... 6
Fund Financial Statements:
Statement of Assets and Liabilities .................................... 7
Statement of Operations ................................................ 8
Statements of Changes in Net Assets .................................... 9
Fund Financial Highlights ................................................ 10
Fund Notes to Financial Statements ....................................... 12
Fund Report of Independent Registered Public Accounting Firm ............. 16
Important Tax Information (Unaudited) .................................... 16
Officers and Trustees of the Trust ....................................... 17
Portfolio Summary ........................................................ 20
Master Financial Statements:
Schedule of Investments ................................................ 21
Statement of Assets and Liabilities .................................... 24
Statement of Operations ................................................ 25
Statements of Changes in Net Assets .................................... 26
Master Financial Highlights .............................................. 26
Master Notes to Financial Statements ..................................... 27
Master Report of Independent Registered Public Accounting Firm ........... 29
Officers and Directors of Master Large Cap Series LLC .................... 30
Disclosure of Investment Advisory Agreement and Subadvisory Agreement .... 33
Additional Information ................................................... 37
Mutual Fund Family ....................................................... 39
2 BLACKROCK CORE PRINCIPAL PROTECTED FUND OCTOBER 31, 2008
A Letter to Shareholders
Dear Shareholder
It has been a tumultuous period for investors, marked by almost daily headlines
of deepening turmoil in financial markets and a darkening economic outlook. The
news took an extraordinarily heavy tone late in the period as the credit crisis
boiled over and triggered unprecedented failures and consolidation in the
financial sector, stoking fears of a market and economic collapse and prompting
a series of new government programs designed to contain and combat the fallout.
The Federal Reserve Board (the "Fed") has taken decisive measures to restore
liquidity and stabilize the financial system. Key moves included slashing the
target federal funds rate 250 basis points (2.50%) between November 2007 and
April 2008 and providing massive cash injections and lending programs. In
October, as credit conditions further deteriorated, the central bank cut the key
interest rate by 50 basis points on two separate occasions -- on October 8 in
coordination with five other global central banks, and again during its
regularly scheduled meeting on October 29. This left the key short-term rate at
just 1.0%, its lowest level since 2004. While the U.S. economy appeared fairly
resilient through the second quarter of 2008, the third quarter saw a
contraction of 0.5%, and a more significant decline is expected for the fourth
quarter. Moreover, on December 1, the National Bureau of Economic Research
confirmed that the U.S. had entered a recession in December 2007.
Against this backdrop, U.S. equity markets experienced intense volatility, with
periods of downward pressure punctuated by sharp rebounds. Losses were
significant and broad-based, though small-cap stocks fared moderately better
than their larger counterparts. Non-U.S. markets decelerated at a considerably
faster pace than domestic equities -- a stark reversal of recent years' trends,
when international stocks generally outpaced U.S. stocks.
Treasury issues also traded in a volatile fashion, but rallied overall (yields
fell and prices correspondingly rose) and outperformed other fixed income assets
as investors continued their flight to higher quality and more liquid
securities. Tax-exempt issues generally underperformed, as problems among
municipal bond insurers and the collapse in the market for auction rate
securities afflicted the group throughout the course of the past year. At the
same time, the above mentioned economic headwinds and malfunctioning credit
markets plagued the high yield sector, with the third quarter of 2008 marking
one of the worst periods in history for the asset class.
Facing unprecedented volatility and macro pressures, the major benchmark indexes
generally recorded losses for the six- and 12-month reporting periods:
Total Returns as of October 31, 2008 6-month 12-month
============================================================================================================
U.S. equities (S&P 500 Index) (29.28)% (36.10)%
- ------------------------------------------------------------------------------------------------------------
Small cap U.S. equities (Russell 2000 Index) (24.39) (34.16)
- ------------------------------------------------------------------------------------------------------------
International equities (MSCI Europe, Australasia, Far East Index) (41.21) (46.62)
- ------------------------------------------------------------------------------------------------------------
Fixed income (Barclays Capital U.S. Aggregate Index*) (3.63) 0.30
- ------------------------------------------------------------------------------------------------------------
Tax-exempt fixed income (Barclays Capital Municipal Bond Index*) (4.70) (3.30)
- ------------------------------------------------------------------------------------------------------------
High yield bonds (Barclays Capital U.S. Corporate High Yield 2% Issuer Capped Index*) (24.86) (25.41)
- ------------------------------------------------------------------------------------------------------------
* Formerly a Lehman Brothers Index.
Past performance is no guarantee of future results. Index performance
shown is for illustrative purposes only. You cannot invest directly in an
index.
Through periods of market turbulence, as ever, BlackRock's full resources are
dedicated to the management of our clients' assets. For our most current views
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 investments, 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
THIS PAGE NOT PART OF YOUR FUND REPORT 3
Fund Summary BlackRock Core Principal Protected Fund
Portfolio Management Commentary
How did the Fund perform?
o The Fund, through its investment in Master Large Cap Core Portfolio (the
"Portfolio"), outperformed its all-equity benchmark, the Russell 1000
Index for the twelve-month period ended October 31, 2008. At the beginning
of the period, the Portfolio's equity allocation was at 100% of net assets
and the fixed income allocation was at 0%. However, from July through the
end of the period, market conditions dictated an increased allocation to
fixed income, and therefore a reduced allocation to equity.
What factors influenced performance?
o The Fund's underperformance in consumer staples was almost entirely due to
its underweight position, but stock selection in the sector was negative
as well. We believe the underweight positioning is justified by the high
valuations in that sector. Performance was also hurt by a combination of
disappointing stock selection and an overweight in the information
technology (IT) sector, especially among office electronics and
semiconductors names. Finally, disappointing results from stock selection
within health care, materials, energy and industrials offset the positive
effects of allocation decisions among those sectors.
o The consumer discretionary sector was a significant contributor to
performance, as we focused on finding high-quality companies, companies
with global revenue streams, turn-around companies, and companies that
will benefit as consumers "trade down" (e.g., discounters such as Ross
Stores, Inc.). The Portfolio's underweight in financials stocks (most
notably in mortgage finance and capital markets companies) also helped
performance.
o The most significant individual contributors to Fund performance included
AutoZone, Inc., Chubb Corp. and Express Scripts, Inc., as well as
underweights in American International Group, Inc. and Citigroup, Inc. The
biggest individual detractors from performance included Seagate
Technology, Valero Energy Corp. and JPMorgan Chase & Co., as well as
underweights in Wal-Mart Stores, Inc. and Wells Fargo & Co.
Describe recent Portfolio activity.
o During the period, we increased the Portfolio's exposure to the energy,
IT, health care, industrials, consumer staples and consumer discretionary
sectors. The Portfolio's largest purchases included Occidental Petroleum
Corp., Cummins, Inc., Johnson & Johnson, Apache Corp. and Hess Corp.
o We reduced Portfolio exposure to the materials and financials sectors. The
Portfolio's largest sales included MetLife, Inc., Cisco Systems, Inc.,
International Business Machines Corp., American International Group, Inc.
and Medco Health Solutions, Inc.
Describe Portfolio positioning at period-end.
o On October 31, 2008, the Portfolio was overweight versus the benchmark in
IT, health care, energy and consumer discretionary, and underweight in
financials, consumer staples, utilities and telecommunication services.
o We believe the U.S. economy is facing a deeper-than-normal recession that
will put a significant drag on corporate earnings. Going forward, we still
believe in the importance of high-quality U.S. multinationals, as many
still have good earnings growth, quality balance sheets and good
valuations. In this uncertain environment, quality is key. While the
time-tested importance of fundamentals appears to have been absent from
valuations recently, fundamentals do matter. When the market returns to a
more "normal" state, we believe that owning high-quality companies will
stand us in good stead.
The views expressed reflect the opinions of BlackRock as of the date of this
report and are subject to change based on changes in market, economic or other
conditions. These views are not intended to be a forecast of future events and
are no guarantee of future results.
Expense Example
Actual Hypothetical 2
------------------------------------------------------ ------------------------------------------------------
Beginning Ending Beginning Ending
Account Value Account Value Expenses Paid Account Value Account Value Expenses Paid
May 1, 2008 October 31, 2008 During the Period 1 May 1, 2008 October 31, 2008 During the Period 1
- ------------------------------------------------------------------------------------------------------------------------------------
Institutional ..... $1,000 $780.80 $ 7.88 $1,000 $1,016.25 $ 8.92
Investor A ........ $1,000 $779.10 $ 8.63 $1,000 $1,015.40 $ 9.78
Investor B ........ $1,000 $776.30 $12.06 $1,000 $1,011.53 $13.65
Investor C ........ $1,000 $776.80 $12.06 $1,000 $1,011.53 $13.65
- ------------------------------------------------------------------------------------------------------------------------------------
1 For each class of the Fund, expenses are equal to the annualized expense
ratio for the class (1.76% for Institutional, 1.93% for Investor A, 2.70%
for Investor B and 2.70% for Investor C), multiplied by the average
account value over the period, multiplied by 184/366 (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.
2 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 OCTOBER 31, 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, Barclays Capital U.S. Aggregate Index and the
Russell 1000 Index. Values are from February 28, 2003 to October 2008:
Merrill Lynch Barclays Capital
Institutional Investor A U.S. Corporate U.S Aggregate Russell 1000
Shares(1,2) Shares(1,2) Master Index(3) Index(4) Index(5)
2/28/03(6) $10,000 $ 9,475 $10,000 $10,000 $10,000
10/31/03 $11,340 $10,726 $10,387 $10,132 $12,750
10/31/04 $11,843 $11,170 $11,105 $10,692 $13,940
10/31/05 $13,251 $12,468 $11,194 $10,814 $15,399
10/31/06 $15,404 $14,465 $11,803 $11,375 $17,867
10/31/07 $17,366 $16,260 $12,312 $11,987 $20,553
10/31/08 $11,372 $10,626 $10,549 $12,024 $12,989
1 Assuming maximum sales charge, if any, transaction costs and other
operating expenses, including administration fees.
2 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.
3 This unmanaged Index is comprised of all investment grade corporate bonds,
rated BBB or higher, of all maturities.
4 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.
5 This unmanaged broad-based Index measures the performance of the 1,000
largest companies in the Russell 3000 Index, which represents
approximately 92% of the total market capitalization of the Russell 3000
Index.
6 Commencement of operations.
Performance Summary for the Period Ended October 31, 2008
Average Annual Total Returns 7
----------------------------------------------------------------------
1 Year 5 Years Since Inception 8
-------------------- -------------------- ---------------------
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 ............................... (21.92)% (34.52)% -- 0.06% -- 2.29% --
Investor A .................................. (22.09) (34.65) (38.08)% (0.19) (1.26)% 2.04 1.08%
Investor B .................................. (22.37) (35.18) (37.58) (0.94) (1.19) 1.27 1.15
Investor C .................................. (22.32) (35.15) (35.68) (0.93) (0.93) 1.28 1.28
Merrill Lynch U.S. Corporate Master Index ... (15.42) (14.32) -- 0.31 -- 0.95 --
Barclays Capital U.S. Aggregate Index ....... (3.63) 0.30 -- 3.48 -- 3.30 --
Russell 1000 Index .......................... (30.13) (36.80) -- 0.37 -- 4.72 --
- ------------------------------------------------------------------------------------------------------------------------------------
7 Assuming maximum sales charges, if any. See "About Fund Performance" on
page 6 for a detailed description of share classes, including any related
sales charges and fees.
8 The Fund commenced operations on 2/28/03.
Past performance is not indicative of future results.
BLACKROCK CORE PRINCIPAL PROTECTED FUND OCTOBER 31, 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 May 1, 2008 and held
through October 31, 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 example is useful
in comparing ongoing expenses only, and will not help shareholders determine the
relative total expenses of owning different funds. If these transactional
expenses were included, shareholder expenses would have been higher.
6 BLACKROCK CORE PRINCIPAL PROTECTED FUND OCTOBER 31, 2008
Statement of Assets and Liabilities BlackRock Core Principal Protected Fund
October 31, 2008
===================================================================================================================================
Assets
- -----------------------------------------------------------------------------------------------------------------------------------
Investments at value -- Master Large Cap Core Portfolio (the "Portfolio") (cost -- $26,208,0941) .................. $ 16,299,937
Withdrawals receivable from the Portfolio ......................................................................... 251,083
Investments sold receivable ....................................................................................... 3,500,105
Investment in U.S. Treasury STRIPS2, 3.81%, 2/15/10 (Par -- $56,645,000; cost -- $55,563,4581) .................... 55,722,807
Prepaid expenses .................................................................................................. 3,032
------------
Total assets ...................................................................................................... 75,776,964
------------
===================================================================================================================================
Liabilities
- -----------------------------------------------------------------------------------------------------------------------------------
Investments purchased payable ..................................................................................... 2,198,399
Contributions payable to the Portfolio ............................................................................ 1,301,706
Capital shares redeemed payable ................................................................................... 251,083
Service and distribution fees payable ............................................................................. 55,171
Financial warranty fees payable ................................................................................... 39,286
Investment advisory fees payable .................................................................................. 37,755
Other affiliates payable .......................................................................................... 13,582
Officer's and Trustees' fees payable .............................................................................. 41
Other accrued expenses payable .................................................................................... 26,958
------------
Total liabilities ................................................................................................. 3,923,981
------------
Net Assets ........................................................................................................ $ 71,852,983
============
===================================================================================================================================
Net Assets Consist of
- -----------------------------------------------------------------------------------------------------------------------------------
Paid-in capital, unlimited shares of no par value authorized ...................................................... $ 83,067,920
Undistributed net investment income ............................................................................... 277,282
Accumulated net realized loss ..................................................................................... (1,743,411)
Net unrealized appreciation/depreciation .......................................................................... (9,748,808)
------------
Net Assets ........................................................................................................ $ 71,852,983
============
===================================================================================================================================
Net Asset Value
- -----------------------------------------------------------------------------------------------------------------------------------
Institutional -- Based on net assets of $1,662,981 and 238,369 shares outstanding ................................. $ 6.98
============
Investor A -- Based on net assets of $5,611,904 and 807,325 shares outstanding .................................... $ 6.95
============
Investor B -- Based on net assets of $39,326,492 and 5,781,994 shares outstanding ................................. $ 6.80
============
Investor C -- Based on net assets of $25,251,606 and 3,703,686 shares outstanding ................................. $ 6.82
============
1 The cost and unrealized depreciation of investments as of October 31,
2008, as computed for federal income tax purposes, were as follows:
Aggregate cost .......................................... $ 82,426,393
============
Gross unrealized appreciation ........................... $ 172,912
Gross unrealized depreciation ........................... (10,576,561)
------------
Net unrealized depreciation ............................. $(10,403,649)
============
2 Separately Traded Registered Interest and Principal of Securities.
See Notes to Financial Statements.
BLACKROCK CORE PRINCIPAL PROTECTED FUND OCTOBER 31, 2008 7
Statement of Operations BlackRock Core Principal Protected Fund
Year Ended October 31, 2008
===================================================================================================================================
Investment Income
- -----------------------------------------------------------------------------------------------------------------------------------
Interest and amortization of premiums and discounts ............................................................... $ 105,121
Net investment income allocated from the Portfolio:
Dividends ....................................................................................................... 1,486,170
Securities lending -- affiliated ................................................................................ 61,360
Income -- affiliated ............................................................................................ 1,112
Expenses ........................................................................................................ (528,031)
------------
Total income ...................................................................................................... 1,125,732
------------
===================================================================================================================================
Expenses
- -----------------------------------------------------------------------------------------------------------------------------------
Investment advisory ............................................................................................... 850,336
Service -- Investor A ............................................................................................. 20,753
Service and distribution -- Investor B ............................................................................ 619,534
Service and distribution -- Investor C ............................................................................ 403,579
Transfer agent -- Institutional ................................................................................... 3,612
Transfer agent -- Investor A ...................................................................................... 4,633
Transfer agent -- Investor B ...................................................................................... 50,798
Transfer agent -- Investor C ...................................................................................... 31,520
Financial warranty ................................................................................................ 708,614
Professional ...................................................................................................... 57,515
Accounting services ............................................................................................... 50,937
Printing .......................................................................................................... 48,910
Officer and Trustees .............................................................................................. 19,794
Custodian ......................................................................................................... 14,134
Miscellaneous ..................................................................................................... 15,207
------------
Total expenses .................................................................................................... 2,899,876
Less fees waived by advisor ....................................................................................... (493,109)
------------
Total expenses after waiver ....................................................................................... 2,406,767
------------
Net investment loss ............................................................................................... (1,281,035)
------------
===================================================================================================================================
Realized and Unrealized Gain (Loss)
- -----------------------------------------------------------------------------------------------------------------------------------
Net realized loss from:
Investments ..................................................................................................... (40,616)
Allocations from the Portfolio .................................................................................. (1,641,726)
------------
(1,682,342)
------------
Net change in unrealized appreciation/depreciation on:
Investments ..................................................................................................... 159,349
Allocations from the Portfolio .................................................................................. (44,596,005)
------------
(44,436,656)
------------
Total realized and unrealized loss ................................................................................ (46,118,998)
------------
Net Decrease in Net Assets Resulting from Operations .............................................................. $(47,400,033)
============
See Notes to Financial Statements.
8 BLACKROCK CORE PRINCIPAL PROTECTED FUND OCTOBER 31, 2008
Statements of Changes in Net Assets BlackRock Core Principal Protected Fund
Year Ended
October 31,
Increase (Decrease) in Net Assets: 2008 2007
===================================================================================================================================
Operations
- -----------------------------------------------------------------------------------------------------------------------------------
Net investment loss ............................................................................ $ (1,281,035) $ (2,344,585)
Net realized gain (loss) ....................................................................... (1,682,342) 28,813,525
Net change in unrealized appreciation/depreciation ............................................. (44,436,656) (7,026,733)
-------------------------------
Net increase (decrease) in net assets resulting from operations ................................ (47,400,033) 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 ................................................................................... (9,494,921) (5,717,830)
-------------------------------
Decrease in net assets resulting from distributions to shareholders ............................ (26,530,016) (16,544,258)
-------------------------------
===================================================================================================================================
Capital Share Transactions
- -----------------------------------------------------------------------------------------------------------------------------------
Net decrease in net assets derived from capital share transactions ............................. (16,256,436) (26,933,904)
-------------------------------
===================================================================================================================================
Net Assets
- -----------------------------------------------------------------------------------------------------------------------------------
Total decrease in net assets ................................................................... (90,186,485) (24,035,955)
Beginning of year .............................................................................. 162,039,468 186,075,423
-------------------------------
End of year .................................................................................... $ 71,852,983 $ 162,039,468
===============================
End of year undistributed net investment income ................................................ $ 277,282 --
===============================
See Notes to Financial Statements.
BLACKROCK CORE PRINCIPAL PROTECTED FUND OCTOBER 31, 2008 9
Financial Highlights BlackRock Core Principal Protected Fund
Institutional
----------------------------------------------------------------
Year Ended October 31,
----------------------------------------------------------------
2008 2007 2006 2005 2004
===========================================================================================================
Per Share Operating Performance
- -----------------------------------------------------------------------------------------------------------
Net asset value, beginning of year .... $ 13.02 $ 12.66 $ 11.66 $ 11.48 $ 11.34
----------------------------------------------------------------
Net investment income (loss) .......... (0.02) 1 (0.06) 1 (0.06) 1 (0.00) 1,2 0.04
Net realized and unrealized gain (loss) (3.77) 1.56 1.88 1.31 0.45
----------------------------------------------------------------
Net increase (decrease) from
investment operations ............... (3.79) 1.50 1.82 1.31 0.49
----------------------------------------------------------------
Distributions from net realized gain .. (2.25) (1.14) (0.82) (1.13) (0.35)
----------------------------------------------------------------
Net asset value, end of year .......... $ 6.98 $ 13.02 $ 12.66 $ 11.66 $ 11.48
================================================================
===========================================================================================================
Total Investment Return 3
- -----------------------------------------------------------------------------------------------------------
Based on net asset value .............. (34.52)% 12.73% 16.25% 11.88% 4.44%
================================================================
===========================================================================================================
Ratios to Average Net Assets 4
- -----------------------------------------------------------------------------------------------------------
Total expenses after fees waived ...... 1.72% 1.61% 1.55% 1.58% 1.58%
================================================================
Total expenses ........................ 2.15% 2.07% 2.02% 2.00% 1.91%
================================================================
Net investment income (loss) .......... (0.25)% (0.44)% (0.47)% (0.01)% 0.39%
================================================================
===========================================================================================================
Supplemental Data
- -----------------------------------------------------------------------------------------------------------
Net assets, end of year (000) ......... $ 1,663 $ 4,354 $ 5,824 $ 7,034 $ 9,893
================================================================
Portfolio turnover of the Fund ........ 133% 0% 0% 186% 167%
================================================================
Portfolio turnover of the Portfolio ... 109% 96% 88% 94% 135%
================================================================
Investor A
----------------------------------------------------------------
Year Ended October 31,
----------------------------------------------------------------
2008 2007 2006 2005 2004
===========================================================================================================
Per Share Operating Performance
- -----------------------------------------------------------------------------------------------------------
Net asset value, beginning of year .... $ 12.96 $ 12.64 $ 11.63 $ 11.44 $ 11.32
----------------------------------------------------------------
Net investment income (loss) .......... (0.04) 1 (0.08) 1 (0.11) 1 (0.03) 1 0.01
Net realized and unrealized gain (loss) (3.75) 1.54 1.90 1.31 0.44
----------------------------------------------------------------
Net increase (decrease) from
investment operations ............... (3.79) 1.46 1.79 1.28 0.45
----------------------------------------------------------------
Distributions from net realized gain .. (2.22) (1.14) (0.78) (1.09) (0.33)
----------------------------------------------------------------
Net asset value, end of year .......... $ 6.95 $ 12.96 $ 12.64 $ 11.63 $ 11.44
================================================================
===========================================================================================================
Total Investment Return3
- -----------------------------------------------------------------------------------------------------------
Based on net asset value .............. (34.65)% 12.41% 16.02% 11.62% 4.14%
================================================================
===========================================================================================================
Ratios to Average Net Assets4
- -----------------------------------------------------------------------------------------------------------
Total expenses after fees waived ...... 1.89% 1.83% 1.80% 1.83% 1.83%
================================================================
Total expenses ........................ 2.32% 2.29% 2.27% 2.25% 2.16%
================================================================
Net investment income (loss) .......... (0.43)% (0.66)% (0.74)% (0.26)% 0.13%
================================================================
===========================================================================================================
Supplemental Data
- -----------------------------------------------------------------------------------------------------------
Net assets, end of year (000) ......... $ 5,612 $ 11,436 $ 15,414 $ 7,932 $ 11,534
================================================================
Portfolio turnover of the Fund ........ 133% 0% 0% 186% 167%
================================================================
Portfolio turnover of the Portfolio ... 109% 96% 88% 94% 135%
================================================================
1 Based on average shares outstanding.
2 Amount is less than $(0.01) per share.
3 Total investment returns exclude the effect of any sales charges.
4 Includes the Fund's share of the Portfolio's allocated expenses and/or net
investment income.
See Notes to Financial Statements.
10 BLACKROCK CORE PRINCIPAL PROTECTED FUND OCTOBER 31, 2008
Financial Highlights (concluded) BlackRock Core Principal Protected Fund
Investor B
----------------------------------------------------------------
Year Ended October 31,
----------------------------------------------------------------
2008 2007 2006 2005 2004
===========================================================================================================
Per Share Operating Performance
- -----------------------------------------------------------------------------------------------------------
Net asset value, beginning of year .... $ 12.71 $ 12.50 $ 11.51 $ 11.33 $ 11.26
----------------------------------------------------------------
Net investment loss ................... (0.11) 1 (0.18) 1 (0.19) 1 (0.12) 1 (0.07)
Net realized and unrealized gain (loss) (3.68) 1.53 1.87 1.30 0.44
----------------------------------------------------------------
Net increase (decrease) from
investment operations ............... (3.79) 1.35 1.68 1.18 0.37
----------------------------------------------------------------
Distributions from net realized gain .. (2.12) (1.14) (0.69) (1.00) (0.30)
----------------------------------------------------------------
Net asset value, end of year .......... $ 6.80 $ 12.71 $ 12.50 $ 11.51 $ 11.33
================================================================
===========================================================================================================
Total Investment Return 2
- -----------------------------------------------------------------------------------------------------------
Based on net asset value .............. (35.18)% 11.61% 15.11% 10.81% 3.36%
================================================================
===========================================================================================================
Ratios to Average Net Assets 3
- -----------------------------------------------------------------------------------------------------------
Total expenses after fees waived ...... 2.66% 2.60% 2.56% 2.59% 2.58%
================================================================
Total expenses ........................ 3.09% 3.06% 3.03% 3.01% 2.91%
================================================================
Net investment loss ................... (1.21)% (1.44)% (1.48)% (1.07)% (0.59)%
================================================================
===========================================================================================================
Supplemental Data
- -----------------------------------------------------------------------------------------------------------
Net assets, end of year (000) ......... $ 39,326 $ 88,104 $100,974 $118,858 $130,014
================================================================
Portfolio turnover of the Fund ........ 133% 0% 0% 186% 167%
================================================================
Portfolio turnover of the Portfolio ... 109% 96% 88% 94% 135%
================================================================
Investor C
----------------------------------------------------------------
Year Ended October 31,
----------------------------------------------------------------
2008 2007 2006 2005 2004
===========================================================================================================
Per Share Operating Performance
- -----------------------------------------------------------------------------------------------------------
Net asset value, beginning of year .... $ 12.74 $ 12.52 $ 11.53 $ 11.33 $ 11.26
----------------------------------------------------------------
Net investment loss ................... (0.11) 1 (0.18) 1 (0.18) 1 (0.12) 1 (0.07)
Net realized and unrealized gain (loss) (3.69) 1.54 1.86 1.30 0.44
----------------------------------------------------------------
Net increase (decrease) from
investment operations ............... (3.80) 1.36 1.68 1.18 0.37
----------------------------------------------------------------
Distributions from net realized gain .. (2.12) (1.14) (0.69) (0.98) (0.30)
----------------------------------------------------------------
Net asset value, end of year .......... $ 6.82 $ 12.74 $ 12.52 $ 11.53 $ 11.33
================================================================
===========================================================================================================
Total Investment Return 2
- -----------------------------------------------------------------------------------------------------------
Based on net asset value .............. (35.15)% 11.67% 15.03% 10.83% 3.37%
================================================================
===========================================================================================================
Ratios to Average Net Assets 3
- -----------------------------------------------------------------------------------------------------------
Total expenses after fees waived ...... 2.66% 2.60% 2.56% 2.59% 2.59%
================================================================
Total expenses ........................ 3.09% 3.06% 3.03% 3.01% 2.91%
================================================================
Net investment loss ................... (1.20)% (1.44)% (1.48)% (1.05)% (0.61)%
================================================================
===========================================================================================================
Supplemental Data
- -----------------------------------------------------------------------------------------------------------
Net assets, end of year (000) ......... $ 25,252 $ 58,146 $ 63,864 $ 69,261 $ 82,398
================================================================
Portfolio turnover of the Fund ........ 133% 0% 0% 186% 167%
================================================================
Portfolio turnover of the Portfolio ... 109% 96% 88% 94% 135%
================================================================
1 Based on average shares outstanding.
2 Total investment returns exclude the effect of sales charges.
3 Includes the Fund's share of the Portfolio's allocated expenses and/or net
investment income.
See Notes to Financial Statements.
BLACKROCK CORE PRINCIPAL PROTECTED FUND OCTOBER 31, 2008 11
Notes to Financial Statements BlackRock Core Principal Protected Fund
1. Organization and 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 is organized as a Delaware statutory
trust. The Fund seeks to achieve its investment objective by investing all or a
portion of its assets in Master Large Cap Core Portfolio (the "Portfolio"),
which is a series of Master Large Cap Series LLC. The value of the Fund's
investment in the Portfolio reflects the Fund's proportionate interest in the
net assets of the Portfolio. The performance of the Fund is directly affected by
the performance of the Portfolio. The 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 October 31, 2008
was 0.6%. 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.
The Fund values its bond investments on the basis of last available bid price or
current market quotations provided by dealers or pricing services selected under
the supervision of the Fund's Board of Trustees (the "Board"). In determining
the value of a particular investment, pricing services may use certain
information with respect to transactions in such investments, quotations from
dealers, pricing matrixes, market transactions in comparable investments,
various relationships observed in the market between investments, and calculated
yield measures based on valuation technology commonly employed in the market for
such investments.
In the event that application of these methods of valuation results in a price
for an investment which is deemed not to be representative of the market value
of such investment, the investment will be valued by a method approved by the
Board as reflecting fair value ("Fair Value Assets"). When determining the price
for Fair Value Assets, the investment advisor and/or sub-advisor seeks to
determine the price that the Fund might reasonably expect to receive from the
current sale of that asset in an arm's-length transaction. Fair value
determinations shall be based upon all available factors that the investment
advisor and/or subadvisor deems relevant. The pricing of all Fair Value Assets
is subsequently reported to the Board or a committee thereof.
Investment Transactions and Net 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. 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 investment 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 tax returns remains open for the years ended October
31, 2005 through October 31, 2007.The statutes of limitations on the Fund's
state and local tax returns may remain open for an additional year depending
upon the jurisdiction.
12 BLACKROCK CORE PRINCIPAL PROTECTED FUND OCTOBER 31, 2008
Notes to Financial Statements (continued)
BlackRock Core Principal Protected Fund
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 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. 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. In September 2008, FASB Staff
Position No. 133-1 and FASB Interpretation No. 45-4 (the "FSP"), "Disclosures
about Credit Derivatives and Certain Guarantees: An Amendment of FASB Statement
No. 133 and FASB Interpretation No. 45; and Clarification of the Effective Date
of FASB Statement No. 161," was issued and is effective for fiscal years and
interim periods ending after November 15, 2008. The FSP amends FASB Statement
No. 133 ("FAS 133"), "Accounting for Derivative Instruments and Hedging
Activities," to require disclosures by sellers of credit derivatives, including
credit derivatives embedded in hybrid instruments. The FSP also clarifies the
effective date of FAS 161, whereby disclosures required by FAS 161 are effective
for financial statements issued for fiscal years and interim periods beginning
after November 15, 2008. The impact on the Funds' 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. Merrill Lynch & Co., Inc. ("Merrill Lynch") and The PNC
Financial Services Group, Inc. ("PNC") are principal owners of BlackRock, Inc.
The Advisor is responsible for the management of the Fund's portfolio and
provides the necessary personnel, facilities, equipment and certain other
services necessary to the operation of the Fund. For such services, the Fund
pays a monthly fee at an annual rate of 0.75% of the Fund's average daily net
assets.
The 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 year ended October 31, 2008, the Advisor
earned fees of $850,336, of which $493,109 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.
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.
For the year ended October 31, 2008, the Fund reimbursed the Advisor $1,995, for
certain accounting services, which is included in accounting services in the
Statement of Operations.
Effective October 1, 2008, the Fund has entered into separate Distribution
Agreements and Distribution Plans with BlackRock Investments, Inc. ("BII"),
which replaced FAM Distributors, Inc. ("FAMD") and BlackRock Distributors, Inc.
and its affiliates ("BDI") (collectively, the "Distributor") as the sole
distributor of the Fund. FAMD is a wholly owned subsidiary of Merrill Lynch
Group, Inc., and BII and BDI are affiliates of BlackRock, Inc. The service and
distribution fees did not change as a result of this transaction.
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 the Distributor provide shareholder servicing
and distribution services to the Fund. The ongoing service 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.
BLACKROCK CORE PRINCIPAL PROTECTED FUND OCTOBER 31, 2008 13
Notes to Financial Statements (continued)
BlackRock Core Principal Protected Fund
For the year ended October 31, 2008, the affiliates received contingent deferred
sales charges of $126,629 and $2,016 relating to transactions in Investor B and
Investor C Shares, respectively.
The Fund may earn income on positive cash balances in demand deposit accounts
that are maintained by the transfer agent on behalf of the Fund. For the year
ended October 31, 2008, the Fund earned $866, which is included in income from
affiliates in the Statement of Operations.
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 0.625% of the Fund's average daily net assets during the Guarantee Period. If
the value of the Fund's assets on the Guaranteed Maturity Date is insufficient
to result in the value of each shareholder's account being at least equal to the
shareholder's Guaranteed Amount, AMBAC will pay the Fund an amount sufficient to
make sure that each shareholder's account can be redeemed for an amount equal to
each shareholder's Guaranteed Amount.
Pursuant to written agreements, certain affiliates provide the Fund with
sub-accounting, recordkeeping, sub-transfer agency and other administrative
services with respect to sub-accounts they service. For these services, these
affiliates receive an annual fee per shareholder account which will vary
depending on share class. For the year ended October 31, 2008, the Fund paid
$81,042 in return for these services, which are a component of the transfer
agent fees in the accompanying Statement of Operations.
PNC Global Investment Servicing (U.S.) Inc., formerly PFPC Inc., an indirect,
wholly owned subsidiary of PNC and an affiliate of the Advisor, is the Fund's
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 mailing of 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.
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 year ended
October 31, 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 ................................................... $ 47
Investor A ...................................................... $ 163
Investor B ...................................................... $1,260
Investor C ...................................................... $ 805
- --------------------------------------------------------------------------------
Certain officers and/or trustees of the Trust are officers and/or trustees of
BlackRock, Inc. or its affiliates. The Fund reimburses the Advisor for
compensation paid to the Fund's Chief Compliance Officer.
3. Investments:
Purchases and sales of investments, excluding short-term securities, for the
year ended October 31, 2008 were $65,149,195 and $9,650,242, respectively.
4. Income Tax Information:
Reclassifications: Accounting principles generally accepted in the United States
of America require that certain components of net assets be adjusted to reflect
permanent differences between financial and tax reporting. The following
permanent differences as of October 31, 2008 attributable to net operating
losses were reclassified to the following accounts:
- -------------------------------------------------------------------------------
Decrease paid-in capital ....................................... $(1,558,331)
Increase undistributed net investment income ................... $ 1,558,317
Increase accumulated net realized loss ......................... $ 14
- -------------------------------------------------------------------------------
The tax character of distributions paid during the fiscal years ended October
31, 2008 and October 31, 2007 was as follows:
- --------------------------------------------------------------------------------
10/31/08 10/31/07
- --------------------------------------------------------------------------------
Distributions paid from:
Ordinary income ................................ $ 3,342,850 --
Long-term capital .............................. 23,187,166 $16,544,258
--------------------------
Total taxable distributions ...................... $26,530,016 $16,544,258
==========================
As of October 31, 2008, the components of accumulated losses on a tax basis were
as follows:
- ------------------------------------------------------------------------------
Capital loss carryforward .................................... $ (811,288)
Net unrealized losses ........................................ (10,403,649)*
------------
Total accumulated net losses ................................. $(11,214,937)
============
* The difference between book-basis and tax-basis net unrealized losses is
attributable primarily to the tax deferral of losses on wash sales and the
timing of income recognition from partnership interests.
As of October 31, 2008, the Fund had a capital loss carryforward available to
offset future realized capital gains through the indicated expiration dates:
- --------------------------------------------------------------------------------
Expires October 31,
- --------------------------------------------------------------------------------
2016 .............................................................. $811,288
--------
Total .............................................................. $811,288
========
14 BLACKROCK CORE PRINCIPAL PROTECTED FUND OCTOBER 31, 2008
Notes to Financial Statements (concluded)
BlackRock Core Principal Protected Fund
5. Capital Share Transactions:
Transactions in shares for each class were as follows:
Year Ended Year Ended
October 31, 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 ................................................ (117,030) (1,109,444) (138,956) (1,716,843)
--------------------------- ---------------------------
Net decrease ................................................... (96,120) $ (896,584) (125,581) $ (1,558,484)
=========================== ===========================
- -----------------------------------------------------------------------------------------------------------------------------------
Investor A
- -----------------------------------------------------------------------------------------------------------------------------------
Shares issued .................................................. -- -- 306 $ 9,670
Shares issued to shareholders in reinvestment of distributions . 178,006 $ 1,808,544 102,594 1,212,660
--------------------------- ---------------------------
Total issued ................................................... 178,006 1,808,544 102,900 1,222,330
Shares redeemed ................................................ (252,837) (2,297,515) (440,665) (5,456,895)
--------------------------- ---------------------------
Net decrease ................................................... (74,831) $ (488,971) (337,765) $ (4,234,565)
=========================== ===========================
- -----------------------------------------------------------------------------------------------------------------------------------
Investor B
- -----------------------------------------------------------------------------------------------------------------------------------
Shares issued to shareholders in reinvestment of distributions . 1,300,489 $ 13,017,897 705,931 $ 8,231,154
Shares redeemed ................................................ (2,450,664) (21,394,387) (1,853,518) (22,564,691)
--------------------------- ---------------------------
Net decrease ................................................... (1,150,175) $ (8,376,490) (1,147,587) $(14,333,537)
=========================== ===========================
- -----------------------------------------------------------------------------------------------------------------------------------
Investor C
- -----------------------------------------------------------------------------------------------------------------------------------
Shares issued to shareholders in reinvestment of distributions . 884,625 $ 8,872,616 458,599 $ 5,361,026
Shares redeemed ................................................ (1,745,734) (15,367,007) (993,765) (12,168,344)
--------------------------- ---------------------------
Net decrease ................................................... (861,109) $ (6,494,391) (535,166) $ (6,807,318)
=========================== ===========================
6. Subsequent Events:
On September 15, 2008, Bank of America Corporation announced that it has agreed
to acquire Merrill Lynch, one of the principal owners of BlackRock, Inc. The
purchase has been approved by the shareholders and directors of both companies
and certain regulators. Subject to other regulatory approvals, the transaction
is expected to close on or about December 31, 2008.
BLACKROCK CORE PRINCIPAL PROTECTED FUND OCTOBER 31, 2008 15
Report of Independent Registered Public Accounting Firm
BlackRock Core Principal Protected Fund
To the Shareholders and Board of Trustees of BlackRock Principal Protected
Trust:
We have audited the accompanying statement of assets and liabilities of
BlackRock Core Principal Protected Fund, one of the series constituting
BlackRock Principal Protected Trust (the "Trust") as of October 31, 2008, and
the related statement of operations for the year then ended, the statements of
changes in net assets for each of the two years in the period then ended, and
the financial highlights for each of the five years in the period then ended.
These financial statements and financial highlights are the responsibility of
the Trust's management. Our responsibility is to express an opinion on these
financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statements and financial highlights are free of material misstatement. The Trust
is not required to have, nor were we engaged to perform an audit of its internal
control over financial reporting. Our audits included consideration of internal
control over financial reporting as a basis for designing audit procedures that
are appropriate in the circumstances, but not for the purpose of expressing an
opinion on the effectiveness of the Trust's internal control over financial
reporting. Accordingly, we express no such opinion. An audit also includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements, assessing the accounting principles used and
significant estimates made by management, as well as evaluating the overall
financial statement presentation. Our procedures included confirmation of the
securities owned as of October 31, 2008, by correspondence with the custodian
and brokers; where replies were not received from brokers, we performed other
auditing procedures. We believe that our audits provide a reasonable basis for
our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of
BlackRock Core Principal Protected Fund of BlackRock Principal Protected Trust
as of October 31, 2008, the results of its operations for the year then ended,
the changes in its net assets for each of the two years in the period then
ended, and the financial highlights for each of the five years in the period
then ended, in conformity with accounting principles generally accepted in the
United States of America.
Deloitte & Touche LLP
Princeton, New Jersey
December 30, 2008
Important Tax Information (Unaudited)
The following information is provided with respect to the ordinary income
distributions paid by BlackRock Core Principal Protected Fund during the taxable
year ended October 31, 2008:
================================================================================
Record Date December 11, 2007
Payable Date December 12, 2007
================================================================================
Qualified Dividend Income for Individuals* 54.76%
- --------------------------------------------------------------------------------
Dividends Qualifying for the Dividends Received Deduction
for Corporations* 54.92%
- --------------------------------------------------------------------------------
Short-Term Capital Gain Dividends for Non-U.S. Residents** 100%
- --------------------------------------------------------------------------------
* The Fund hereby designates the percentage indicated above or the maximum
amount allowable by law.
** Represents the portion of the taxable ordinary income dividends eligible
for exemption from U.S. withholding tax for nonresident aliens and foreign
corporations.
Additionally, the Fund distributed long-term capital gains of $1.861694 per
share to shareholders of record on December 11, 2007.
16 BLACKROCK CORE PRINCIPAL PROTECTED FUND OCTOBER 31, 2008
Officers and Trustees of the Trust
Number of
BlackRock-
Position(s) Length of Time Advised Funds
Name, Address Held with Served as a Principal Occupation(s) and Portfolios
and Year of Birth Fund Trustee 2 During Past Five Years Overseen Public Directorships
====================================================================================================================================
Non-Interested Trustees 1
- ------------------------------------------------------------------------------------------------------------------------------------
Robert M. Hernandez Chairman of Since 2007 Formerly Director, Vice Chairman 37 Funds ACE Limited (insur-
40 East 52nd Street the Board, and Chief Financial Officer of 104 Portfolios ance company);
New York, NY 10022 Trustee and USX Corporation (energy and Eastman Chemical
1944 Member of steel business) from 1991 to Company (chemical);
the Audit 2001. RTI International
Committee Metals, Inc. (metals);
TYCO Electronics
(electronics)
- ------------------------------------------------------------------------------------------------------------------------------------
Fred G. Weiss Vice Chairman Since 2007 Managing Director, FGW 37 Funds Watson
40 East 52nd Street of the Board, Associates (consulting and 104 Portfolios Pharmaceutical Inc.
New York, NY 10022 Chairman of investment company) since
1941 the Audit 1997; Director, Michael J. Fox
Committee Foundation for Parkinson's
and Trustee Research since 2000; Formerly
Director of BTG International
Plc (a global technology
commercialization company) from
2001 to 2007.
- ------------------------------------------------------------------------------------------------------------------------------------
James H. Bodurtha Trustee Since 2007 Director, The China Business 37 Funds None
40 East 52nd Street Group, Inc. (consulting firm) 104 Portfolios
New York, NY 10022 since 1996 and formerly
1944 Executive Vice President thereof
from 1996 to 2003; Chairman of
the Board, Berkshire Holding
Corporation since 1980.
- ------------------------------------------------------------------------------------------------------------------------------------
Bruce R. Bond Trustee Since 2007 Formerly Trustee and Member of 37 Funds None
40 East 52nd Street the Governance Committee, State 104 Portfolios
New York, NY 10022 Street Research Mutual Funds
1946 from 1997 to 2005; Formerly
Board Member of Governance,
Audit and Finance Committee,
Avaya Inc. (computer equipment)
from 2003 to 2007.
- ------------------------------------------------------------------------------------------------------------------------------------
Donald W. Burton Trustee Since 2007 Managing General Partner, The 37 Funds Knology, Inc.
40 East 52nd Street Burton Partnership, LP (an 104 Portfolios (telecommunications);
New York, NY 10022 investment partnership) since Capital
1944 1979; Managing General Partner, Southwest (financial)
The South Atlantic Venture Funds
since 1983; Member of the
Investment Advisory Council of
the Florida State Board of
Administration from 2001 to
2007.
- ------------------------------------------------------------------------------------------------------------------------------------
Honorable Trustee Since 2007 Partner and Head of 37 Funds UPS Corporation
Stuart E. Eizenstat International Practice, 104 Portfolios (delivery service)
40 East 52nd Street Covington and Burling (law firm)
New York, NY 10022 since 2001; International
1943 Advisory Board Member, The Coca-
Cola Company since 2002;
Advisory Board Member, BT
Americas (telecommunications)
since 2004; Member of the Board
of Directors, Chicago Climate
Exchange (environmental) since
2006; Member of the
International Advisory Board,
GML (energy) since 2003.
- ------------------------------------------------------------------------------------------------------------------------------------
Kenneth A. Froot Trustee Since 2007 Professor, Harvard University since 37 Funds None
40 East 52nd Street 1992. 104 Portfolios
New York, NY 10022
1957
- ------------------------------------------------------------------------------------------------------------------------------------
John F. O'Brien Trustee Since 2007 Trustee, Woods Hole 37 Funds Cabot Corporation
40 East 52nd Street Oceanographic Institute since 104 Portfolios (chemicals); LKQ
New York, NY 10022 2003; Formerly Director, Corporation (auto
1943 Allmerica Financial Corporation parts manufacturing);
from 1995 to 2003; Formerly TJX Companies,
Director, ABIOMED from 1989 to Inc. (retailer)
2006; Formerly Director,
Ameresco, Inc. (energy solutions
company) from 2006 to 2007.
- ------------------------------------------------------------------------------------------------------------------------------------
Roberta Cooper Ramo Trustee Since 2007 Shareholder, Modrall, Sperling, 37 Funds None
40 East 52nd Street Roehl, Harris & Sisk, P.A. (law 104 Portfolios
New York, NY 10022 firm) since 1993; Chairman of
1942 the Board, Cooper's Inc.
(retail) since 2000; Director of
ECMC Group (service provider to
students, schools and lenders)
since 2001; President Elect, The
American Law Institute
(non-profit), 2007; Formerly
President, American Bar
Association from 1995 to 1996.
- ------------------------------------------------------------------------------------------------------------------------------------
BLACKROCK CORE PRINCIPAL PROTECTED FUND OCTOBER 31, 2008 17
Officers and Trustees of the Trust (continued)
Number of
BlackRock-
Position(s) Length of Time Advised Funds
Name, Address Held with Served as a Principal Occupation(s) and Portfolios
and Year of Birth Fund Trustee 2 During Past Five Years Overseen Public Directorships
====================================================================================================================================
Non-Interested Trustees 1 (concluded)
- ------------------------------------------------------------------------------------------------------------------------------------
Jean Margo Reid Trustee Since 2007 Self-employed consultant since 37 Funds None
40 East 52nd Street 2001; Director and Secretary, 104 Portfolios
New York, NY 10022 SCB, Inc. (holding company)
1945 since 1998; Director and
Secretary, SCB Partners, Inc.
(holding company) since 2000;
Formerly Director, Covenant
House (non-profit) from 2001 to
2004.
- ------------------------------------------------------------------------------------------------------------------------------------
David H. Walsh Trustee Since 2007 Director, National Museum of 37 Funds None
40 East 52nd Street Wildlife Art since 2007; 104 Portfolios
New York, NY 10022 Director, Ruckleshaus Institute
1941 and Haub School of Natural
Resources at the University of
Wyoming since 2006; Director,
The American Museum of Fly
Fishing since 1997; Formerly
Consultant with Putnam
Investments from 1993 to 2003;
Formerly Director, The National
Audubon Society from 1998 to
2005.
- ------------------------------------------------------------------------------------------------------------------------------------
Richard R. West Trustee and Since 2007 Dean Emeritus, New York 37 Funds Bowne & Co., Inc.
40 East 52nd Street Member of University's Leonard N. Stern 104 Portfolios (financial printers);
New York, NY 10022 the Audit School of Business Vornado Realty Trust
1938 Committee Administration since 1995. (real estate com-
pany); Alexander's
Inc. (real estate
company)
------------------------------------------------------------------------------------------------------------
1 Trustees serve until their resignation, removal or death, or until December 31 of the year in which
they turn 72.
2 Following the combination of Merrill Lynch Investment Managers, L.P. ("MLIM") and BlackRock, Inc.
("BlackRock") in September 2006, the various legacy MLIM and legacy BlackRock Fund boards were
realigned and consolidated into three new Fund boards in 2007. As a result, although the chart shows
trustees as joining the Fund's board in 2007, each trustee first became a member of the board of
trustees of other legacy MLIM or legacy BlackRock Funds as follows: James H. Bodurtha since 1995;
Bruce R. Bond since 2005; Donald W. Burton since 2002; Stuart E. Eizenstat since 2001; Kenneth A.
Froot since 2005; Robert M. Hernandez since 1996; John F. O'Brien since 2004; Roberta Cooper Ramo
since 2000; Jean Margo Reid since 2004; David H. Walsh since 2003; Fred G. Weiss since 1998; and
Richard R. West since 1978.
====================================================================================================================================
Interested Trustees 3
- ------------------------------------------------------------------------------------------------------------------------------------
Richard S. Davis Trustee Since 2007 Managing Director, BlackRock, 184 Funds None
40 East 52nd Street Inc. since 2005; Formerly Chief 295 Portfolios
New York, NY 10022 Executive Officer, State
1945 Street Research & Management
Company from 2000 to 2005;
Formerly Chairman of the Board
of Trustees, State Street
Research Mutual Funds from 2000
to 2005; Formerly Chairman, SSR
Realty from 2000 to 2004.
- ------------------------------------------------------------------------------------------------------------------------------------
Laurence D. Fink Trustee Since 2007 Chairman and Chief Executive 37 Funds None
40 East 52nd Street Officer of BlackRock, Inc. since 104 Portfolios
New York, NY 10022 its formation in 1998 and of
1952 BlackRock, Inc.'s predecessor
entities since 1988 and Chairman
of the Executive and Management
Committees; Formerly Managing
Director, The First Boston
Corporation, Member of its
Management Committee, Co-Head of
its Taxable Fixed Income
Division and Head of its
Mortgage and Real Estate
Products Group; Chairman of the
Board of several of BlackRock's
alternative investment vehicles;
Director of several of
BlackRock's offshore funds;
Member of the Board of Trustees
of New York University, Chair of
the Financial Affairs Committee
and a member of the Executive
Committee, the Ad Hoc Committee
on Board Governance, and the
Committee on Trustees;
Co-Chairman of the NYU Hospitals
Center Board of Trustees,
Chairman of the
Development/Trustee Stewardship
Committee and Chairman of the
Finance Committee; Trustee, The
Boys' Club of New York.
- ------------------------------------------------------------------------------------------------------------------------------------
Henry Gabbay Trustee Since 2007 Consultant, BlackRock, Inc. 184 Funds None
40 East 52nd Street since 2007; Formerly Managing 295 Portfolios
New York, NY 10022 Director, BlackRock, Inc. from
1947 1989 to 2007; Formerly Chief
Administrative Officer,
BlackRock Advisors, LLC from
1998 to 2007; Formerly President
of BlackRock Funds and BlackRock
Bond Allocation Target Shares
from 2005 to 2007 and Treasurer
of certain closed-end funds in
the BlackRock fund complex from
1989 to 2006.
------------------------------------------------------------------------------------------------------------
3 Messrs. Davis and Fink are both "interested persons," as defined in the Investment Company Act of
1940, of the Fund based on their positions with BlackRock, Inc. and its affiliates. Mr. Gabbay is an
"interested person" of the Fund due to his consulting arrangement with BlackRock, Inc. as well as his
ownership of BlackRock, Inc. and PNC securities. Trustees serve until their resignation, removal or
death, or until December 31 of the year in which they turn 72.
18 BLACKROCK CORE PRINCIPAL PROTECTED FUND OCTOBER 31, 2008
Officers and Trustees of the Trust (concluded)
Position(s)
Name, Address Held with Length of Time
and Year of Birth Fund Served Principal Occupation(s) During Past Five Years
====================================================================================================================================
Fund Officers 1
- ------------------------------------------------------------------------------------------------------------------------------------
Donald C. Burke Fund Since 2007 Managing Director of BlackRock, Inc. since 2006; Formerly Managing
40 East 52nd Street President and Director of Merrill Lynch Investment Managers, L.P. ("MLIM") and Fund
New York, NY 10022 Chief Executive Asset Management, L.P. ("FAM") in 2006; First Vice President thereof
1960 Officer from 1997 to 2005; Treasurer thereof from 1999 to 2006 and Vice
President thereof from 1990 to 1997.
- ------------------------------------------------------------------------------------------------------------------------------------
Anne F. Ackerley Vice Since 2007 Managing Director of BlackRock, Inc. since 2000; Chief Operating Officer
40 East 52nd Street President of BlackRock's U.S. Retail Group since 2006; Head of BlackRock's Mutual
New York, NY 10022 Fund Group from 2000 to 2006; Merrill Lynch & Co., Inc. from 1984 to
1962 1986 and from 1988 to 2000, most recently as First Vice President and
Operating Officer of the Mergers and Acquisitions Group.
- ------------------------------------------------------------------------------------------------------------------------------------
Neal J. Andrews Chief Since 2007 Managing Director of BlackRock, Inc. since 2006; Formerly Senior Vice
40 East 52nd Street Financial President and Line of Business Head of Fund Accounting and
New York, NY 10022 Officer Administration at PNC Global Investment Servicing (U.S.) Inc. (formerly
1966 PFPC Inc.) from 1992 to 2006.
- ------------------------------------------------------------------------------------------------------------------------------------
Jay M. Fife Treasurer Since 2007 Managing Director of BlackRock, Inc. since 2007 and Director in 2006;
40 East 52nd Street Formerly Assistant Treasurer of the MLIM/FAM advised Funds from 2005 to
New York, NY 10022 2006; Director of MLIM Fund Services Group from 2001 to 2006.
1970
- ------------------------------------------------------------------------------------------------------------------------------------
Brian P. Kindelan Chief Since 2007 Chief Compliance Officer of the BlackRock-advised Funds since 2007;
40 East 52nd Street Compliance Anti-Money Laundering Officer of the BlackRock-advised Funds since 2007;
New York, NY 10022 Officer of Managing Director and Senior Counsel of BlackRock, Inc. since 2005;
1959 the Fund Director and Senior Counsel of BlackRock Advisors, Inc. from 2001 to
2004 and Vice President and Senior Counsel thereof from 1998 to 2000;
Formerly Senior Counsel of The PNC Bank Corp. from 1995 to 1998.
- ------------------------------------------------------------------------------------------------------------------------------------
Howard B. Surloff Secretary Since 2007 Managing Director of BlackRock, Inc. and General Counsel of U.S. Funds
40 East 52nd Street at BlackRock, Inc. since 2006; Formerly General Counsel (U.S.)of Goldman
New York, NY 10022 Sachs Asset Management, L.P. from 1993 to 2006.
1965
------------------------------------------------------------------------------------------------------------
1 Officers of the Fund serve at the pleasure of the Board of Trustees.
------------------------------------------------------------------------------------------------------------
Further information about the Fund's Officers and Trustees is available in the Fund's Statement of
Additional Information, which can be obtained without charge by calling (800) 441-7762.
- ------------------------------------------------------------------------------------------------------------------------------------
Custodian
Brown Brothers Harriman & Co.
Boston, MA 02109
Transfer Agent
PNC Global Investment
Servicing (U.S.) Inc.
Wilmington, DE 19809
Accounting Agent
State Street Bank and
Trust Company
Princeton, NJ 08540
Independent Registered Public Accounting Firm
Deloitte & Touche LLP
Princeton, NJ 08540
Legal Counsel
Willkie Farr & Gallagher LLP
New York, NY 10019
- --------------------------------------------------------------------------------
If you would like a copy, free of charge, of the most recent annual or quarterly
report of AMBAC Assurance Corporation, the Guarantor: please contact the Fund at
(800) 441-7762.
- --------------------------------------------------------------------------------
BLACKROCK CORE PRINCIPAL PROTECTED FUND OCTOBER 31, 2008 19
Portfolio Summary Master Large Cap Core Portfolio
As of October 31, 2008
Percent of
Ten Largest Equity Holdings Net Assets
- --------------------------------------------------------------------------------
Exxon Mobil Corp. ................................................... 5%
Johnson & Johnson ................................................... 3
Chevron Corp. ....................................................... 3
Pfizer, Inc. ........................................................ 2
Hewlett-Packard Co. ................................................. 2
ConocoPhillips ...................................................... 2
Amgen, Inc. ......................................................... 2
Occidental Petroleum Corp. .......................................... 2
Walt Disney Co. ..................................................... 2
Apache Corp. ........................................................ 1
- --------------------------------------------------------------------------------
Percent of
Five Largest Industries Net Assets
- --------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels ......................................... 16%
Pharmaceuticals ..................................................... 7
Specialty Retail .................................................... 7
Health Care Providers & Services .................................... 7
Semiconductors & Semiconductor Equipment ............................ 6
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Percent of
Sector Representation Long-Term Investments
- --------------------------------------------------------------------------------
Information Technology .............................................. 23%
Energy .............................................................. 19
Health Care ......................................................... 18
Consumer Discretionary .............................................. 15
Industrials ......................................................... 12
Consumer Staples .................................................... 6
Financials .......................................................... 5
Materials ........................................................... 1
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.
20 BLACKROCK CORE PRINCIPAL PROTECTED FUND OCTOBER 31, 2008
Schedule of Investments October 31, 2008 Master Large Cap Core Portfolio
(Percentages shown are based on Net Assets)
Common Stocks Shares Value
===============================================================================
Consumer Discretionary -- 14.6%
Hotels, Restaurants & Leisure -- 1.0%
Panera Bread Co. Class A (a)(b) 630,000 $ 28,425,600
- -------------------------------------------------------------------------------
Household Durables -- 0.2%
NVR, Inc. (a) 10,000 4,902,100
- -------------------------------------------------------------------------------
Leisure Equipment & Products -- 1.0%
Hasbro, Inc. 970,000 28,197,900
- -------------------------------------------------------------------------------
Media -- 2.5%
Omnicom Group Inc. 960,000 28,358,400
Walt Disney Co. 1,650,000 42,735,000
--------------
71,093,400
- -------------------------------------------------------------------------------
Multiline Retail -- 3.2%
Big Lots, Inc. (a) 1,350,000 32,980,500
Dollar Tree, Inc. (a) 770,000 29,275,400
Family Dollar Stores, Inc. 1,070,000 28,793,700
--------------
91,049,600
- -------------------------------------------------------------------------------
Specialty Retail -- 6.7%
Advance Auto Parts, Inc. 1,060,000 33,072,000
AutoZone, Inc. (a) 250,000 31,822,500
Foot Locker, Inc. 720,000 10,526,400
The Gap, Inc. 2,060,000 26,656,400
RadioShack Corp. 2,340,000 29,624,400
Ross Stores, Inc. 940,000 30,728,600
TJX Cos., Inc. 1,130,000 30,238,800
--------------
192,669,100
- -------------------------------------------------------------------------------
Total Consumer Discretionary 416,337,700
===============================================================================
Consumer Staples -- 6.4%
Beverages -- 0.2%
The Coca-Cola Co. 110,000 4,846,600
- -------------------------------------------------------------------------------
Food & Staples Retailing -- 3.4%
BJ's Wholesale Club, Inc. (a) 870,000 30,624,000
The Kroger Co. 1,170,000 32,128,200
SYSCO Corp. 570,000 14,934,000
Wal-Mart Stores, Inc. 360,000 20,091,600
--------------
97,777,800
- -------------------------------------------------------------------------------
Household Products -- 1.5%
Church & Dwight Co., Inc. 200,000 11,818,000
The Procter & Gamble Co. 480,000 30,979,200
--------------
42,797,200
- -------------------------------------------------------------------------------
Personal Products -- 1.3%
The Estee Lauder Cos., Inc. Class A 340,000 12,253,600
Herbalife Ltd. 940,000 22,964,200
--------------
35,217,800
- -------------------------------------------------------------------------------
Total Consumer Staples 180,639,400
===============================================================================
Energy -- 18.8%
Energy Equipment & Services -- 2.4%
Baker Hughes, Inc. 400,000 13,980,000
ENSCO International, Inc. 740,000 28,127,400
Tidewater, Inc. 570,000 24,857,700
--------------
66,965,100
- -------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels -- 16.4%
Apache Corp. 450,000 37,048,500
Chevron Corp. 990,000 73,854,000
ConocoPhillips 1,010,000 52,540,200
Exxon Mobil Corp. 1,940,000 143,792,800
Hess Corp. 570,000 34,319,700
Marathon Oil Corp. 1,220,000 35,502,000
Murphy Oil Corp. 550,000 27,852,000
Occidental Petroleum Corp. 780,000 43,321,200
Valero Energy Corp. 900,000 18,522,000
--------------
466,752,400
- -------------------------------------------------------------------------------
Total Energy 533,717,500
===============================================================================
Financials -- 4.7%
Commercial Banks -- 0.2%
Wells Fargo & Co. 190,000 6,469,500
- -------------------------------------------------------------------------------
Consumer Finance -- 1.2%
Capital One Financial Corp. 850,000 33,252,000
- -------------------------------------------------------------------------------
Diversified Financial Services -- 0.7%
Bank of America Corp. 250,000 6,042,500
JPMorgan Chase & Co. 340,000 14,025,000
--------------
20,067,500
- -------------------------------------------------------------------------------
Insurance -- 2.6%
The Allstate Corp. 930,000 24,542,700
Chubb Corp. 70,000 3,627,400
The Travelers Cos., Inc. 330,000 14,041,500
UnumProvident Corp. 2,010,000 31,657,500
--------------
73,869,100
- -------------------------------------------------------------------------------
Total Financials 133,658,100
===============================================================================
Health Care -- 18.7%
Biotechnology -- 1.7%
Amgen, Inc. (a) 800,000 47,912,000
- -------------------------------------------------------------------------------
Health Care Equipment & Supplies -- 2.4%
C.R. Bard, Inc. 340,000 30,005,000
Edwards Lifesciences Corp. (a) 520,000 27,476,800
Varian Medical Systems, Inc. (a) 250,000 11,377,500
--------------
68,859,300
- -------------------------------------------------------------------------------
Health Care Providers & Services -- 6.7%
AmerisourceBergen Corp. 700,000 21,889,000
Cigna Corp. 290,000 4,727,000
Express Scripts, Inc. (a) 550,000 33,335,500
Lincare Holdings, Inc. (a) 1,010,000 26,613,500
McKesson Corp. 760,000 27,960,400
Omnicare, Inc. 260,000 7,168,200
Quest Diagnostics, Inc. 690,000 32,292,000
WellPoint, Inc. (a) 910,000 35,371,700
--------------
189,357,300
- -------------------------------------------------------------------------------
Life Sciences Tools & Services -- 0.6%
Invitrogen Corp. (a) 630,000 18,137,700
- -------------------------------------------------------------------------------
Pharmaceuticals -- 7.3%
Eli Lilly & Co. 1,070,000 36,187,400
Forest Laboratories, Inc. (a) 1,300,000 30,199,000
Johnson & Johnson 1,260,000 77,288,400
Pfizer, Inc. 3,630,000 64,287,300
--------------
207,962,100
- -------------------------------------------------------------------------------
Total Health Care 532,228,400
===============================================================================
See Notes to Financial Statements.
BLACKROCK CORE PRINCIPAL PROTECTED FUND OCTOBER 31, 2008 21
Schedule of Investments (continued) Master Large Cap Core Portfolio
(Percentages shown are based on Net Assets)
Common Stocks Shares Value
===============================================================================
Industrials -- 11.9%
Aerospace & Defense -- 4.9%
General Dynamics Corp. 590,000 $ 35,588,800
L-3 Communications Holdings, Inc. 400,000 32,468,000
Lockheed Martin Corp. 400,000 34,020,000
Raytheon Co. 710,000 36,288,100
--------------
138,364,900
- -------------------------------------------------------------------------------
Commercial Services & Supplies -- 1.1%
Waste Management, Inc. 1,030,000 32,166,900
- -------------------------------------------------------------------------------
Electrical Equipment -- 0.8%
Cooper Industries Ltd. Class A 760,000 23,522,000
- -------------------------------------------------------------------------------
Industrial Conglomerates -- 1.1%
General Electric Co. 1,590,000 31,020,900
- -------------------------------------------------------------------------------
Machinery -- 2.5%
AGCO Corp. (a) 670,000 21,118,400
Cummins, Inc. 1,020,000 26,367,000
Dover Corp. 750,000 23,827,500
--------------
71,312,900
- -------------------------------------------------------------------------------
Road & Rail -- 1.0%
CSX Corp. 130,000 5,943,600
Ryder System, Inc. 560,000 22,187,200
--------------
28,130,800
- -------------------------------------------------------------------------------
Trading Companies & Distributors -- 0.5%
MSC Industrial Direct Co. Class A 430,000 15,419,800
- -------------------------------------------------------------------------------
Total Industrials 339,938,200
===============================================================================
Information Technology -- 23.0%
Communications Equipment -- 0.2%
Cisco Systems, Inc. (a) 260,000 4,620,200
- -------------------------------------------------------------------------------
Computers & Peripherals --5.9%
Hewlett-Packard Co. 1,540,000 58,951,200
International Business Machines Corp. 110,000 10,226,700
Lexmark International, Inc. Class A (a) 860,000 22,213,800
NetApp, Inc. (a) 1,170,000 15,830,100
QLogic Corp. (a) 1,820,000 21,876,400
Seagate Technology 2,330,000 15,774,100
Western Digital Corp. (a) 1,480,000 24,420,000
--------------
169,292,300
- -------------------------------------------------------------------------------
Electronic Equipment & Instruments -- 0.9%
Agilent Technologies, Inc. (a) 1,170,000 25,962,300
- -------------------------------------------------------------------------------
IT Services -- 3.1%
Accenture Ltd. Class A 1,090,000 36,024,500
Affiliated Computer Services, Inc. Class A (a) 150,000 6,150,000
Computer Sciences Corp. (a) 792,900 23,913,864
Global Payments, Inc. 270,000 10,937,700
Hewitt Associates, Inc. Class A (a) 360,000 10,040,400
--------------
87,066,464
- -------------------------------------------------------------------------------
Office Electronics -- 0.9%
Xerox Corp. 3,150,000 25,263,000
- -------------------------------------------------------------------------------
Semiconductors & Semiconductor
Equipment -- 6.1%
Altera Corp. 1,710,000 29,668,500
Analog Devices, Inc. 1,320,000 28,195,200
Broadcom Corp. Class A (a) 1,690,000 28,865,200
Integrated Device Technology, Inc. (a) 1,340,000 8,522,400
Intersil Corp. Class A 330,000 4,517,700
LSI Corp. (a) 4,360,000 16,786,000
Novellus Systems, Inc. (a) 1,760,000 27,808,000
Xilinx, Inc. 1,590,000 29,287,800
--------------
173,650,800
- -------------------------------------------------------------------------------
Software -- 5.9%
Adobe Systems, Inc. (a) 750,000 19,980,000
BMC Software, Inc. (a) 1,110,000 28,660,200
CA, Inc. 1,820,000 32,396,000
Compuware Corp. (a) 1,620,000 10,335,600
Microsoft Corp. 1,240,000 27,689,200
Symantec Corp. (a) 2,540,000 31,953,200
Synopsys, Inc. (a) 930,000 17,000,400
--------------
168,014,600
- -------------------------------------------------------------------------------
Total Information Technology 653,869,664
===============================================================================
Materials -- 1.3%
Containers & Packaging -- 0.8%
Crown Holdings, Inc. (a) 1,130,000 22,803,400
- -------------------------------------------------------------------------------
Metals & Mining -- 0.5%
Reliance Steel & Aluminum Co. 520,000 13,020,800
- -------------------------------------------------------------------------------
Total Materials 35,824,200
===============================================================================
Telecommunication Services -- 0.7%
Diversified Telecommunication Services -- 0.7%
AT&T Inc. 780,000 20,880,600
- -------------------------------------------------------------------------------
Total Telecommunication Services 20,880,600
===============================================================================
Total Long-Term Investments
(Cost -- $3,421,449,360) -- 100.1% 2,847,093,764
===============================================================================
===============================================================================
Beneficial
Interest
Short-Term Securities (000)
===============================================================================
BlackRock Liquidity Series, LLC
Money Market Series, 1.57% (c)(d)(e) $11,588 11,588,400
- -------------------------------------------------------------------------------
Total Short-Term Securities
(Cost -- $11,588,400) -- 0.4% 11,588,400
===============================================================================
Total Investments (Cost -- $3,433,037,760*) -- 100.5% 2,858,682,164
Liabilities in Excess of Other Assets -- (0.5)% (15,167,389)
--------------
Net Assets -- 100.0% $2,843,514,775
==============
See Notes to Financial Statements.
22 BLACKROCK CORE PRINCIPAL PROTECTED FUND OCTOBER 31, 2008
Schedule of Investments (concluded) Master Large Cap Core Portfolio
* The cost and unrealized appreciation (depreciation) of investments as of
October 31, 2008, as computed for federal income tax purposes, were as
follows:
Aggregate cost ....................................... $ 3,497,291,826
===============
Gross unrealized appreciation ........................ $ 163,213,998
Gross unrealized depreciation ........................ (801,823,660)
---------------
Net unrealized depreciation .......................... $ (638,609,662)
===============
(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) Represents the current yield as of the report date.
(e) Investments in companies considered to be an affiliate of the Portfolio,
for purposes of Section 2(a)(3) of the Investment Company Act of 1940,
were as follows:
--------------------------------------------------------------------------
Net
Affiliate Activity Income
--------------------------------------------------------------------------
BlackRock Liquidity Series, LLC
Cash Sweep Series -- $ 11,231
BlackRock Liquidity Series, LLC
Money Market Series $(870,851,900) $2,505,518
--------------------------------------------------------------------------
o For Portfolio compliance purposes, the Portfolio's sector and industry
classifications refer to any one or more of the sector and industry
sub-classifications used by one or more widely recognized market indexes
or ratings group indexes, and/or as defined by Portfolio management. This
definition may not apply for purposes of this report, which may combine
sector and industry sub-classifications for reporting ease. These sector
and industry classifications are unaudited.
See Notes to Financial Statements.
BLACKROCK CORE PRINCIPAL PROTECTED FUND OCTOBER 31, 2008 23
Statement of Assets and Liabilities Master Large Cap Core Portfolio
October 31, 2008
===================================================================================================================================
Assets
- -----------------------------------------------------------------------------------------------------------------------------------
Investments at value -- unaffiliated (including securities loaned of $12,019,968) (cost -- $3,421,449,360) ..... $ 2,847,093,764
Investments at value -- affiliated (cost -- $11,588,400) ....................................................... 11,588,400
Investments sold receivable .................................................................................... 45,760,045
Dividends receivable ........................................................................................... 2,433,100
Securities lending income receivable -- affiliated ............................................................. 223,735
Interest receivable ............................................................................................ 1,883
Prepaid expenses ............................................................................................... 99,276
Other assets ................................................................................................... 2,011
---------------
Total assets ................................................................................................... 2,907,202,214
---------------
===================================================================================================================================
Liabilities
- -----------------------------------------------------------------------------------------------------------------------------------
Collateral at value -- securities loaned ....................................................................... 11,588,400
Bank overdraft ................................................................................................. 6,233,552
Investments purchased payable .................................................................................. 34,529,698
Withdrawals payable from Investor .............................................................................. 6,504,044
Investments purchased payable -- affiliates .................................................................... 3,410,000
Investment advisory fees payable ............................................................................... 1,137,920
Other affiliates payable ....................................................................................... 23,952
Officer's and Directors' fees payable .......................................................................... 471
Other accrued expenses payable ................................................................................. 259,402
---------------
Total liabilities .............................................................................................. 63,687,439
---------------
Net Assets ..................................................................................................... $ 2,843,514,775
===============
===================================================================================================================================
Net Assets Consist of
- -----------------------------------------------------------------------------------------------------------------------------------
Investors' capital ............................................................................................. $ 3,417,870,371
Net unrealized appreciation/depreciation ....................................................................... (574,355,596)
---------------
Net Assets ..................................................................................................... $ 2,843,514,775
===============
See Notes to Financial Statements.
24 BLACKROCK CORE PRINCIPAL PROTECTED FUND OCTOBER 31, 2008
Statement of Operations Master Large Cap Core Portfolio
Year Ended October 31, 2008
===================================================================================================================================
Investment Income
- -----------------------------------------------------------------------------------------------------------------------------------
Dividends ...................................................................................................... $ 60,423,512
Securities lending -- affiliated ............................................................................... 2,505,518
Income -- affiliated ........................................................................................... 47,261
---------------
Total income ................................................................................................... 62,976,291
---------------
===================================================================================================================================
Expenses
- -----------------------------------------------------------------------------------------------------------------------------------
Investment advisory ............................................................................................ 20,282,735
Accounting services ............................................................................................ 704,837
Custodian ...................................................................................................... 615,937
Professional ................................................................................................... 92,678
Officer and Directors .......................................................................................... 69,965
Printing ....................................................................................................... 6,931
Miscellaneous .................................................................................................. 84,660
---------------
Total expenses ................................................................................................. 21,857,743
---------------
Net investment income .......................................................................................... 41,118,548
---------------
===================================================================================================================================
Realized and Unrealized Loss
- -----------------------------------------------------------------------------------------------------------------------------------
Net realized loss from investments ............................................................................. (521,502,159)
Net change in unrealized appreciation/depreciation on investments .............................................. (1,536,726,590)
---------------
Total realized and unrealized loss ............................................................................. (2,058,228,749)
---------------
Net Decrease in Net Assets Resulting from Operations ........................................................... $(2,017,110,201)
===============
See Notes to Financial Statements.
BLACKROCK CORE PRINCIPAL PROTECTED FUND OCTOBER 31, 2008 25
Statements of Changes in Net Assets Master Large Cap Core Portfolio
(As Restated for 2007. See Note 6)
Year Ended
October 31,
-----------------------------------
Increase (Decrease) in Net Assets: 2008 2007
===================================================================================================================================
Operations
- -----------------------------------------------------------------------------------------------------------------------------------
Net investment income ...................................................................... $ 41,118,548 $ 27,760,104
Net realized gain (loss) ................................................................... (521,502,159) 527,140,752
Net change in unrealized appreciation/depreciation ......................................... (1,536,726,590) 22,249,344
-----------------------------------
Net increase (decrease) in net assets resulting from operations ............................ (2,017,110,201) 577,150,200
-----------------------------------
===================================================================================================================================
Capital Transactions
- -----------------------------------------------------------------------------------------------------------------------------------
Proceeds from contributions ................................................................ 986,366,566 1,415,268,883
Fair value of withdrawals .................................................................. (1,775,472,579) (219,326,884)
-----------------------------------
Net increase (decrease) in net assets derived from capital transactions .................... (789,106,013) 1,195,941,999
-----------------------------------
===================================================================================================================================
Net Assets
- -----------------------------------------------------------------------------------------------------------------------------------
Total increase (decrease) in net assets .................................................... (2,806,216,214) 1,773,092,199
Beginning of year .......................................................................... 5,649,730,989 3,876,638,790
-----------------------------------
End of year ................................................................................ $ 2,843,514,775 $ 5,649,730,989
===================================
Financial Highlights Master Large Cap Core Portfolio
Year Ended October 31,
-----------------------------------------------------------------------
2008 2007 2006 2005 2004
===================================================================================================================================
Total Investment Return
- -----------------------------------------------------------------------------------------------------------------------------------
Total investment return ................................ (38.84)% 13.94% 17.32% 18.35% 9.61%
=======================================================================
===================================================================================================================================
Ratios to Average Net Assets
- -----------------------------------------------------------------------------------------------------------------------------------
Total expenses ......................................... 0.50% 0.49% 0.49% 0.51% 0.52%
=======================================================================
Net investment income .................................. 0.93% 0.63% 0.58% 0.72% 0.57%
=======================================================================
===================================================================================================================================
Supplemental Data
- -----------------------------------------------------------------------------------------------------------------------------------
Net assets, end of year (000) .......................... $2,843,515 $5,649,731 $3,876,639 $2,666,699 $1,831,300
=======================================================================
Portfolio turnover ..................................... 109% 96% 88% 94% 136%
=======================================================================
See Notes to Financial Statements.
26 BLACKROCK CORE PRINCIPAL PROTECTED FUND OCTOBER 31, 2008
Notes to Financial Statements Master Large Cap Core Portfolio
1. Organization and Significant Accounting Policies:
Master Large Cap Core Portfolio (the "Portfolio") is a series of 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 Board of Directors (the "Board") to issue non-transferable interests
in the Master LLC, subject to certain limitations. The Portfolio's financial
statements are prepared in conformity with accounting principles generally
accepted in the United States of America, which may require the use of
management accruals and estimates. Actual results may differ from these
estimates.
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. For equity
investments traded on more than one exchange, the last reported sale price on
the exchange where the stock is primarily traded is used. Equity investments
traded on a recognized exchange for which there were no sales on that day are
valued at the last available bid price. If no bid price is available, the prior
day's price will be used, unless it is determined that such prior day's price no
longer reflects the fair value of the security. The Portfolio values its
investments in the BlackRock Liquidity Series, LLC Money Market Series at fair
value, which is ordinarily based upon its pro-rata ownership in the net assets
of the underlying fund.
In the event that application of these methods of valuation results in a price
for an investment which is deemed not to be representative of the market value
of such investment, the investment will be valued by a method approved by the
Board as reflecting fair value ("Fair Value Assets"). When determining the price
for Fair Value Assets, the investment advisor and/or sub-advisor seeks to
determine the price that the Portfolio might reasonably expect to receive from
the current sale of that asset in an arm's-length transaction. Fair value
determinations shall be based upon all available factors that the investment
advisor and/or sub-advisor deems relevant. The pricing of all Fair Value Assets
is subsequently reported to the Board or a committee thereof.
Investment Transactions and Investment Income: 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.
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. The
Portfolio may receive a flat fee for its loans. 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 invested collateral falls below the market value of the
borrowed securities, either in the event of borrower default or in the event of
losses on investments made with cash collateral. For the year ended October 31,
2008, the Fund received only cash collateral for any securities loaned.
Income Taxes: The Portfolio is classified as a "pass-through entity" for federal
income tax purposes. As such, each investor in the Portfolio is treated as owner
of its proportionate share of the net assets, income, expenses and realized and
unrealized gains and losses of the Portfolio. Therefore, no federal income tax
provision is required.
It is intended that the Portfolio's assets will be managed so an investor in the
Portfolio can satisfy the requirements of Subchapter M of the Internal Revenue
Code. The Portfolio is disregarded as an entity separate from its owners for tax
purposes, therefore it is not required to file income tax returns.
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 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. 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. In September 2008, FASB Staff
Position No. 133-1
BLACKROCK CORE PRINCIPAL PROTECTED FUND OCTOBER 31, 2008 27
Notes to Financial Statements (continued) Master Large Cap Core Portfolio
and FASB Interpretation No. 45-4 (the "FSP"), "Disclosures about Credit
Derivatives and Certain Guarantees: An Amendment of FASB Statement No. 133 and
FASB Interpretation No. 45; and Clarification of the Effective Date of FASB
Statement No. 161," was issued and is effective for fiscal years and interim
periods ending after November 15, 2008. The FSP amends FASB Statement No. 133,
"Accounting for Derivative Instruments and Hedging Activities," to require
disclosures by sellers of credit derivatives, including credit derivatives
embedded in hybrid instruments. The FSP also clarifies the effective date of FAS
161, whereby disclosures required by FAS 161 are effective for financial
statements issued for fiscal years and interim periods beginning after November
15, 2008. 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
estimates of available cash.
Other: Expenses directly related to the Portfolio are charged to that 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, 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.
The Advisor has entered into a separate sub-advisory agreement with BlackRock
Investment Management, LLC ("BIM"), an affiliate of the Advisor with respect to
the Portfolio, 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 year ended October 31, 2008, the Portfolio reimbursed the Advisor
$79,621 for certain accounting services, which are included in accounting
services 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 October 31, 2008, the Portfolio lent securities
with a value of $4,015,680 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 year ended October 31, 2008, BIM received $608,113 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. The Portfolio reimburses the
Advisor for compensation paid to the Master LLC's Chief Compliance Officer.
3. Investments:
Purchases and sales of investments, excluding short-term securities, for the
year ended October 31, 2008 were $4,835,571,071 and $5,584,713,693,
respectively.
4. Short-Term Borrowings:
The Master LLC, on behalf of the Portfolio, along with certain other funds
managed by the Advisor and its affiliates, is party to a $500,000,000 credit
agreement with a group of lenders, which expired November 2008 and was
subsequently renewed until November 2009. The Portfolio may borrow under the
credit agreement to fund shareholder redemptions and for other lawful purposes
other than for leverage. The Portfolio may borrow up to the maximum amount
allowable under the Portfolio's current prospectus and statement of additional
information, subject to various other legal, regulatory or contractual limits.
The Portfolio pays a commitment fee of 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
year ended October 31, 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.
6. Restatement:
During the current year's financial reporting process, the Portfolio determined
that the net unrealized appreciation recognized as a result of the
28 BLACKROCK CORE PRINCIPAL PROTECTED FUND OCTOBER 31, 2008
Notes to Financial Statements (concluded) Master Large Cap Core Portfolio
September 24, 2007 reorganization described in Note 5 should have been reported
in the financial statements as proceeds received from contributions rather than
as part of the net change in unrealized appreciation for the year ended October
31, 2007. Accordingly, the Portfolio has restated its Statement of Changes in
Net Assets for the year ended October 31, 2007 to appropriately reduce the net
change in unrealized appreciation/depreciation and increase the proceeds from
contributions by a corresponding amount.
- --------------------------------------------------------------------------------
Statement of Changes in Net Assets Previously
For the Year Ended October 31, 2007 Reported Restated
- --------------------------------------------------------------------------------
Net change in unrealized
appreciation/depreciation ................ $ 308,789,197 $ 22,249,344
Net increase in net assets
resulting from operations ................ $ 863,690,053 $ 577,150,200
Proceeds from contributions ................ $1,128,729,030 $1,415,268,883
Net increase (decrease) in net assets
derived from capital transactions ........ $ 909,402,146 $1,195,941,999
- --------------------------------------------------------------------------------
7. Subsequent Events:
On September 15, 2008, Bank of America Corporation announced that it has agreed
to acquire Merrill Lynch, one of the principal owners of BlackRock, Inc. The
purchase has been approved by the shareholders and directors of both companies
and certain regulators. Subject to other regulatory approvals, the transaction
is expected to close on or about December 31, 2008.
On November 14, 2008 (the "Reorganization Date"), an investor of the Portfolio
acquired all of the assets and certain stated liabilities of PNC Growth & Income
Fund (the "PNC Fund"), a series of PNC Funds, Inc. The reorganization was
pursuant to an Agreement and Plan of Reorganization, which was approved by the
shareholders of the PNC Fund on October 31, 2008. As a result of the
reorganization, which included $59,817,678 of net unrealized depreciation,
Master Large Cap Core received an in-kind contribution of portfolio securities.
Report of Independent Registered Public Accounting Firm
Master Large Cap Core Portfolio
To the Investors and Board of Directors of Master Large Cap Series LLC:
We have audited the accompanying statement of assets and liabilities, including
the schedule of investments, of Master Large Cap Core Portfolio, one of the
portfolios constituting Master Large Cap Series LLC (the "Master LLC"), as of
October 31, 2008, the related statement of operations for the year then ended,
the statements of changes in net assets for each of the two years in the period
then ended and the financial highlights for each of the five years in the period
then ended. These financial statements and financial highlights are the
responsibility of the Master LLC's management. Our responsibility is to express
an opinion on these financial statements and financial highlights based on our
audits.
We conducted our audits in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statements and financial highlights are free of material misstatement. The
Master LLC is not required to have, nor were we engaged to perform, an audit of
its internal control over financial reporting. Our audits included consideration
of internal control over financial reporting as a basis for designing audit
procedures that are appropriate in the circumstances, but not for the purpose of
expressing an opinion on the effectiveness of the Master LLC's internal control
over financial reporting. Accordingly, we express no such opinion. An audit also
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, as well as evaluating the
overall financial statement presentation. Our procedures included confirmation
of securities owned as of October 31, 2008, by correspondence with the custodian
and brokers; where replies were not received from brokers, we performed other
auditing procedures. We believe that our audits provide a reasonable basis for
our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of Master
Large Cap Core Portfolio of Master Large Cap Series LLC as of October 31, 2008,
the results of its operations for the year then ended, the changes in its net
assets for each of the two years in the period then ended and its financial
highlights for each of the five years in the period then ended, in conformity
with accounting principles generally accepted in the United States of America.
As discussed in Note 6, the Statement of Changes in Net Assets of Master Large
Cap Core Portfolio for the year ended October 31, 2007, has been restated.
Deloitte & Touche LLP
Princeton, New Jersey
December 30, 2008
BLACKROCK CORE PRINCIPAL PROTECTED FUND OCTOBER 31, 2008 29
Officers and Directors of Master Large Cap Series LLC
Number of
BlackRock-
Position(s) Length of Advised Funds
Name, Address Held with Time Served Principal Occupation(s) and Portfolios Public
and Year of Birth Master LLC as a Director 2 During Past Five Years Overseen Directorships
====================================================================================================================================
Non-Interested Directors 1
- ------------------------------------------------------------------------------------------------------------------------------------
Ronald W. Forbes Co-Chair of Since 2007 Professor Emeritus of Finance, 34 Funds None
40 East 52nd Street the Board of School of Business, State 81 Portfolios
New York, NY 10022 Directors and University of New York at Albany
1940 Director since 2000.
- ------------------------------------------------------------------------------------------------------------------------------------
Rodney D. Johnson Co-Chair of Since 2007 President, Fairmount Capital 34 Funds None
40 East 52nd Street the Board of Advisors, Inc. since 1987; 81 Portfolios
New York, NY 10022 Directors and Director, Fox Chase Cancer
1941 Director Center since 2002; Member of the
Archdiocesan Investment
Committee of the Archdiocese of
Philadelphia since 2003;
Director, The Committee of
Seventy (civic) since 2006.
- ------------------------------------------------------------------------------------------------------------------------------------
David O. Beim Director Since 2007 Professor of Finance and 34 Funds None
40 East 52nd Street Economics at the Columbia 81 Portfolios
New York, NY 10022 University Graduate School of
1940 Business since 1991; Trustee,
Phillips Exeter Academy since
2002; Formerly Chairman, Wave
Hill Inc. (public garden and
cultural center) from 1990 to
2006.
- ------------------------------------------------------------------------------------------------------------------------------------
Dr. Matina Horner Director Since 2007 Formerly Executive Vice 34 Funds NSTAR (electric
40 East 52nd Street President of Teachers Insurance 81 Portfolios and gas utility)
New York, NY 10022 and Annuity Association and
1939 College Retirement Equities Fund
from 1989 to 2003.
- ------------------------------------------------------------------------------------------------------------------------------------
Herbert I. London Director and Since 1999 Professor Emeritus, New York 34 Funds AIMS Worldwide, Inc.
40 East 52nd Street Member of University since 2005; John M. 81 Portfolios (marketing)
New York, NY 10022 the Audit Olin Professor of Humanities,
1939 Committee New York University from 1993 to
2005 and Professor thereof from
1980 to 2005; President, Hudson
Institute (policy research
organization) since 1997 and
Trustee thereof since 1980;
Chairman of the Board of
Trustees for Grantham University
since 2006; Director,
InnoCentive, Inc. (strategic
solutions company) since 2005;
Director of Cerego, LLC
(software development and
design) since 2005.
- ------------------------------------------------------------------------------------------------------------------------------------
Cynthia A. Montgomery Director Since 2007 Professor, Harvard Business 34 Funds Newell Rubbermaid,
40 East 52nd Street School since 1989; Director, 81 Portfolios Inc. (manufacturing)
New York, NY 10022 Harvard Business School
1952 Publishing since 2005; Director,
McLean Hospital since 2005.
- ------------------------------------------------------------------------------------------------------------------------------------
Joseph P. Platt, Jr. Director Since 2007 Director, The West Penn 34 Funds Greenlight Capital
40 East 52nd Street Allegheny Health System (a 81 Portfolios Re, Ltd (reinsurance
New York, NY 10022 not-for-profit health system) company)
1947 since 2008; Partner, Amarna
Corporation, LLC (private
investment company) since 2002;
Director, WQED Multimedia (PBS
and Multimedia, a not-for-profit
company) since 2002; Director,
Jones and Brown (Canadian
insurance broker) since 1998;
General Partner, Thorn Partner,
LP (private investment) since
1998.
- ------------------------------------------------------------------------------------------------------------------------------------
Robert C. Robb, Jr. Director Since 2007 Partner, Lewis, Eckert, Robb and 34 Funds None
40 East 52nd Street Company (management and 81 Portfolios
New York, NY 10022 financial consulting firm) since
1945 1981.
- ------------------------------------------------------------------------------------------------------------------------------------
Toby Rosenblatt Director Since 2007 President, Founders Investments 34 Funds A.P. Pharma, Inc.
40 East 52nd Street Ltd. (private investments) since 81 Portfolios (specialty
New York, NY 10022 1999; Director of Forward pharmaceuticals)
1938 Management, LLC since 2007;
Director, The James Irvine
Foundation (philanthropic
foundation) since 1997; Formerly
Trustee, State Street Research
Mutual Funds from 1990 to 2005;
Formerly Trustee, Metropolitan
Series Funds, Inc. from 2001 to
2005.
- ------------------------------------------------------------------------------------------------------------------------------------
30 BLACKROCK CORE PRINCIPAL PROTECTED FUND OCTOBER 31, 2008
Officers and Directors of Master Large Cap Series LLC (continued)
Number of
BlackRock-
Position(s) Length of Advised Funds
Name, Address Held with Time Served Principal Occupation(s) and Portfolios Public
and Year of Birth Master LLC as a Director 2 During Past Five Years Overseen Directorships
====================================================================================================================================
Non-Interested Directors1 (concluded)
- ------------------------------------------------------------------------------------------------------------------------------------
Kenneth L. Urish Chair of Since 2007 Managing Partner, Urish Popeck & 34 Funds None
40 East 52nd Street the Audit Co., LLC (certified public 81 Portfolios
New York, NY 10022 Committee accountants and consultants)
1951 and Director since 1976; Member of External
Advisory Board, The Pennsylvania
State University Accounting
Department since 2001; Trustee,
The Holy Family Foundation since
2001; Committee Member/
Professional Ethics Committee of
the Pennsylvania Institute of
Certified Public Accountants
since 2007; President and
Trustee, Pittsburgh Catholic
Publishing Associates since
2003; Formerly Director,
Inter-Tel from 2006 to 2007.
- ------------------------------------------------------------------------------------------------------------------------------------
Frederick W. Winter Director and Since 2007 Professor and Dean Emeritus of 34 Funds None
40 East 52nd Street Member of the Joseph M. Katz School of 81 Portfolios
New York, NY 10022 the Audit Business, University of
1945 Committee Pittsburgh since 2005 and Dean
thereof from 1997 to 2005;
Director, Alkon Corporation
(pneumatics) since 1992;
Director, Indotronix
International (IT services)
since 2004; Director, Tippman
Sports (recreation) since 2005.
------------------------------------------------------------------------------------------------------------
1 Directors serve until their resignation, removal or death, or until December 31 of the year in which
they turn 72.
2 Following the combination of Merrill Lynch Investment Managers, L.P. ("MLIM") and BlackRock, Inc.
("BlackRock") in September 2006, the various legacy MLIM and legacy BlackRock Fund boards were
realigned and consolidated into three new Fund boards in 2007. As a result, although the chart shows
certain directors as joining the Master LLC's board in 2007, each director first became a member of
the board of directors of other legacy MLIM or legacy BlackRock Funds as follows: David O. Beim since
1998; Ronald W. Forbes since 1977; Matina Horner since 2004; Rodney D. Johnson since 1995; Herbert I.
London since 1987; Cynthia A. Montgomery since 1994; Joseph P. Platt since 1999; Robert C. Robb, Jr.
since 1999; Toby Rosenblatt since 2005; Kenneth L. Urish since 1999; and Frederick W. Winter since
1999.
====================================================================================================================================
Interested Directors 3
- ------------------------------------------------------------------------------------------------------------------------------------
Richard S. Davis Director Since 2007 Managing Director, BlackRock, 184 Funds None
40 East 52nd Street Inc. since 2005; Formerly Chief 295 Portfolios
New York, NY 10022 Executive Officer, State Street
1945 Research & Management Company
from 2000 to 2005; Formerly
Chairman of the Board of
Trustees, State Street Research
Mutual Funds from 2000 to 2005;
Formerly Chairman, SSR Realty
from 2000 to 2004
- ------------------------------------------------------------------------------------------------------------------------------------
Henry Gabbay Director Since 2007 Consultant, BlackRock, Inc. 184 Funds None
40 East 52nd Street since 2007; Formerly Managing 295 Portfolios
New York, NY 10022 Director, BlackRock, Inc. from
1947 1989 to 2007; Formerly Chief
Administrative Officer,
BlackRock Advisors, LLC from
1998 to 2007; Formerly President
of BlackRock Funds and BlackRock
Bond Allocation Target Shares
from 2005 to 2007 and Treasurer
of certain closed-end funds in
the BlackRock fund complex from
1989 to 2006.
------------------------------------------------------------------------------------------------------------
3 Mr. Davis is an "interested person," as defined in the Investment Company Act of 1940, of the Master
LLC based on his position with BlackRock, Inc. and its affiliates. Mr. Gabbay is an "interested
person" of the Master LLC due to his consulting arrangement with BlackRock, Inc. as well as his
ownership of BlackRock, Inc. and PNC securities. Directors serve until their resignation, removal or
death, or until December 31 of the year in which they turn 72.
BLACKROCK CORE PRINCIPAL PROTECTED FUND OCTOBER 31, 2008 31
Officers and Directors of Master Large Cap Series LLC (concluded)
Position(s)
Name, Address Held with Length of Time
and Year of Birth Master LLC Served Principal Occupation(s) During Past Five Years
====================================================================================================================================
Master LLC Officers(1)
- ------------------------------------------------------------------------------------------------------------------------------------
Donald C. Burke Fund Since 2007 Managing Director of BlackRock, Inc. since 2006; Formerly Managing
40 East 52nd Street President and Director of Merrill Lynch Investment Managers, L.P. ("MLIM") and Fund
New York, NY 10022 Chief Executive Asset Management, L.P. ("FAM") in 2006; First Vice President thereof
1960 Officer from 1997 to 2005; Treasurer thereof from 1999 to 2006 and Vice
President thereof from 1990 to 1997.
- ------------------------------------------------------------------------------------------------------------------------------------
Anne F. Ackerley Vice Since 2007 Managing Director of BlackRock, Inc. since 2000; Chief Operating Officer
40 East 52nd Street President of BlackRock's U.S. Retail Group since 2006; Head of BlackRock's Mutual
New York, NY 10022 Fund Group from 2000 to 2006; Merrill Lynch & Co., Inc. from 1984 to
1962 1986 and from 1988 to 2000, most recently as First Vice President and
Operating Officer of the Mergers and Acquisitions Group.
- ------------------------------------------------------------------------------------------------------------------------------------
Neal J. Andrews Chief Since 2007 Managing Director of BlackRock, Inc. since 2006; Formerly Senior Vice
40 East 52nd Street Financial President and Line of Business Head of Fund Accounting and
New York, NY 10022 Officer Administration at PNC Global Investment Servicing (U.S.) Inc. (formerly
1966 PFPC Inc.) from 1992 to 2006.
- ------------------------------------------------------------------------------------------------------------------------------------
Jay M. Fife Treasurer Since 2007 Managing Director of BlackRock, Inc. since 2007 and Director in 2006;
40 East 52nd Street Formerly Assistant Treasurer of the MLIM/FAM-advised Funds from 2005 to
New York, NY 10022 2006; Director of MLIM Fund Services Group from 2001 to 2006.
1970
- ------------------------------------------------------------------------------------------------------------------------------------
Brian P. Kindelan Chief Since 2007 Chief Compliance Officer of the BlackRock-advised Funds since 2007;
40 East 52nd Street Compliance Anti-Money Laundering Officer of the BlackRock-advised Funds since 2007;
New York, NY 10022 Officer of Managing Director and Senior Counsel of BlackRock, Inc. since 2005;
1959 the Fund Director and Senior Counsel of BlackRock Advisors, Inc. from 2001 to
2004 and Vice President and Senior Counsel thereof from 1998 to 2000;
Formerly Senior Counsel of The PNC Bank Corp. from 1995 to 1998.
- ------------------------------------------------------------------------------------------------------------------------------------
Howard B. Surloff Secretary Since 2007 Managing Director of BlackRock, Inc. and General Counsel of U.S. Funds
40 East 52nd Street at BlackRock, Inc. since 2006; Formerly General Counsel (U.S.) of
New York, NY 10022 Goldman Sachs Asset Management, L.P. from 1993 to 2006.
1965
------------------------------------------------------------------------------------------------------------
1 Officers of the Master LLC serve at the pleasure of the Board of Directors.
------------------------------------------------------------------------------------------------------------
Further information about the Master LLC's Officers and Directors is available in the Master LLC's
Statement of Additional Information, which can be obtained without charge by calling (800) 441-7762.
- ------------------------------------------------------------------------------------------------------------------------------------
Custodian
Brown Brothers Harriman & Co.
Boston, MA 02109-3661
Accounting Agent
State Street Bank and
Trust Company
Princeton, NJ 08540
Independent Registered Public Accounting Firm Sidley
Deloitte & Touche LLP
Princeton, NJ 08540
Legal Counsel
Sidley Austin LLP
New York, NY 10019
32 BLACKROCK CORE PRINCIPAL PROTECTED FUND OCTOBER 31, 2008
Disclosure of Investment Advisory Agreement and Subadvisory Agreement
The Board of Trustees (the "Board," the members of which are referred to as
"Trustees") of BlackRock Core Principal Protected Fund (the "Fund"), a series of
BlackRock Principal Protected Trust (the "Trust") met in April and June 2008 to
consider the approval of the Trust's investment advisory agreement (the
"Advisory Agreement") with BlackRock Advisors, LLC (the "Advisor"), the Trust's
investment advisor. The Board also considered the approval of the subadvisory
agreement (the "Subadvisory Agreement") between the Advisor and BlackRock
Investment Management, LLC (the "Subadvisor"). For simplicity, the Fund and the
Trust are referred to herein as the "Fund." The Advisor and the Subadvisor are
referred to herein as "BlackRock." The Advisory Agreement and the Subadvisory
Agreement are referred to herein as the "Agreements."
Activities and Composition of the Board
The Board of the Fund consists of fifteen individuals, twelve of whom are not
"interested persons" of the Fund as defined in the Investment Company Act of
1940, as amended (the "1940 Act") (the "Independent Trustees"). The Trustees are
responsible for the oversight of the operations of the Fund and perform the
various duties imposed on the directors of investment companies by the 1940 Act.
The Independent Trustees have retained independent legal counsel to assist them
in connection with their duties. The Chairman of the Board is an Independent
Trustee. The Board established four standing committees: an Audit Committee, a
Governance and Nominating Committee, a Compliance Committee and a Performance
Oversight Committee, each of which is composed of, and chaired by Independent
Trustees.
The Agreements
Upon the consummation of the combination of BlackRock's investment management
business with Merrill Lynch & Co., Inc.'s investment management business,
including Merrill Lynch Investment Managers, L.P., and certain affiliates (the
"Transaction"), the Fund entered into the Advisory Agreement with an initial
two-year term and the Advisor entered into the Subadvisory Agreement with the
Subadvisor with an initial two-year term. Consistent with the 1940 Act, prior to
the expiration of the Agreements' respective initial two-year term, the Board is
required to consider the continuation of the Fund's Agreements on an annual
basis. In connection with this process, the Board assessed, among other things,
the nature, scope and quality of the services provided to the Fund by the
personnel of BlackRock and its affiliates, including investment management,
administrative services, shareholder services, oversight of fund accounting and
custody, marketing services and assistance in meeting legal and regulatory
requirements.
Throughout the year, the Board, acting directly and through its committees,
considers at each of its meetings factors that are relevant to its annual
consideration of the renewal of the Fund's Agreements, including the services
and support provided to the Fund and its shareholders. Among the matters the
Board considered were: (a) investment performance for one, three and five years,
as applicable, against peer funds, as well as senior management and portfolio
managers' analysis of the reasons for underperformance, if applicable; (b) fees,
including advisory, administration, if applicable, and other fees paid to
BlackRock and its affiliates by the Fund, such as transfer agency fees and fees
for marketing and distribution; (c) Fund operating expenses; (d) the resources
devoted to and compliance reports relating to the Fund's investment objective,
policies and restrictions; (e) the Fund's compliance with its Code of Ethics and
compliance policies and procedures; (f) the nature, cost and character of
non-investment management services provided by BlackRock and its affiliates; (g)
BlackRock's and other service providers' internal controls; (h) BlackRock's
implementation of the proxy voting guidelines approved by the Board; (i) the use
of brokerage commissions and spread and execution quality; (j) valuation and
liquidity procedures; and (k) periodic overview of BlackRock's business,
including BlackRock's response to the increasing scale of its business.
Board Considerations in Approving the Agreements
The Approval Process: At an in-person meeting held on April 10, 2008, the Board
reviewed materials relating to its consideration of the Agreements. At an
in-person meeting held on June 5 - 6, 2008, the Fund's Board, including the
Independent Trustees, unanimously approved the continuation of the Advisory
Agreement between the Advisor and the Fund for a one-year term ending June 30,
2009 and the Subadvisory Agreement between the Advisor and BlackRock Investment
Management, LLC for a one-year term ending June 30, 2009. In considering the
approval of the Agreements, the Board received and discussed various materials
provided to it in advance of the April 10, 2008 meeting. As a result of the
discussions that occurred during the April 10, 2008 meeting, the Board requested
and BlackRock provided additional information, as detailed below, in advance of
the June 5 - 6, 2008 Board meeting. The Board considered all factors it believed
relevant with respect to the Fund, including, among other factors: (a) the
nature, extent and quality of the services provided by BlackRock; (b) the
investment performance of the Fund and BlackRock portfolio management; (c) the
advisory fee and the cost of the services and profits to be realized by
BlackRock and certain affiliates from the relationship with the Fund; (d)
economies of scale; and (e) other factors.
BLACKROCK CORE PRINCIPAL PROTECTED FUND OCTOBER 31, 2008 33
Disclosure of Investment Advisory Agreement and Subadvisory Agreement
(continued)
Prior to the April 10, 2008 meeting, the Board requested and received materials
specifically relating to the Agreements. The Board is engaged in an ongoing
process with BlackRock to continuously review the nature and scope of the
information provided to better assist its deliberations. These materials
included (a) information independently compiled and prepared by Lipper, Inc.
("Lipper") on Fund fees and expenses, and the investment performance of the Fund
as compared with a peer group of funds as determined by Lipper ("Peers"); (b)
information on the profitability of the Agreements to BlackRock and certain
affiliates, including their other relationships with the Fund, and a discussion
of fall-out benefits; (c) a general analysis provided by BlackRock concerning
investment advisory fees charged to other clients, such as institutional and
closed-end funds, under similar investment mandates, as well as the performance
of such other clients; (d) a report on economies of scale; (e) sales and
redemption data regarding the Fund's shares; and (f) an internal comparison of
management fees classified by Lipper, if applicable. At the April 10, 2008
meeting, the Board requested and subsequently received from BlackRock (i) a
comprehensive analysis of total expenses on a fund-by-fund basis; (ii) further
analysis of investment performance; (iii) further data regarding Fund
profitability, Fund size and Fund fee levels; and (iv) additional information on
sales and redemptions.
The Board also considered other matters it deemed important to the approval
process, such as payments made to BlackRock or its affiliates relating to the
distribution of Fund shares, services related to the valuation and pricing of
Fund portfolio holdings, and direct and indirect benefits to BlackRock and its
affiliates from their relationship with the Fund. The Board did not identify any
particular information as controlling, and each Trustee may have attributed
different weights to the various items considered.
A. Nature, Extent and Quality of the Services: The Board, including the
Independent Trustees, reviewed the nature, extent and quality of services
provided by BlackRock, including the investment advisory services and the
resulting performance of the Fund. Throughout the year, the Board compared Fund
performance to the performance of a comparable group of mutual funds as
classified by Lipper and the performance of at least one relevant index or
combination of indices. The Board met with BlackRock's senior management
personnel responsible for investment operations, including the senior investment
officers. The Board also reviewed the materials provided by the Fund's portfolio
management team discussing Fund performance and the Fund's investment objective,
strategies and outlook.
The Board considered, among other factors, the number, education and experience
of BlackRock's investment personnel generally and the Fund's portfolio
management team, BlackRock's portfolio trading capabilities, BlackRock's use of
technology, BlackRock's commitment to compliance and BlackRock's approach to
training and retaining portfolio managers and other research, advisory and
management personnel. The Board also reviewed BlackRock's compensation structure
with respect to the Fund's portfolio management team and BlackRock's ability to
attract and retain high-quality talent.
In addition to advisory services, the Board considered the quality of the
administrative and non-investment advisory services provided to the Fund.
BlackRock and its affiliates provide the Fund with certain administrative,
transfer agency, shareholder and other services (in addition to any such
services provided to the Fund by third parties) and officers and other personnel
as are necessary for the operations of the Fund. In addition to investment
advisory services, BlackRock and its affiliates provide the Fund with other
services, including (i) preparing disclosure documents, such as the prospectus,
the statement of additional information and shareholder reports; (ii) assisting
with daily accounting and pricing; (iii) overseeing and coordinating the
activities of other service providers; (iv) organizing Board meetings and
preparing the materials for such Board meetings; (v) providing legal and
compliance support; and (vi) performing other administrative functions necessary
for the operation of the Fund, such as tax reporting and fulfilling regulatory
filing requirements. The Board reviewed the structure and duties of BlackRock's
fund administration, accounting, legal and compliance departments.
B. The Investment Performance of the Fund and BlackRock: The Board, including
the Independent Trustees, also reviewed and considered the performance history
of the Fund. In preparation for the April 10, 2008 meeting, the Board was
provided with reports, independently prepared by Lipper, which included a
comprehensive analysis of the Fund's performance. The Board also reviewed a
narrative and statistical analysis of the Lipper data that was prepared by
BlackRock, which analyzed various factors that affect Lipper's rankings. In
connection with its review, the Board received and reviewed information
regarding the investment performance of the Fund as compared to a representative
group of similar funds as determined by Lipper and to all funds in the Fund's
applicable Lipper category. The Board was provided with a description of the
methodology used by Lipper to select peer funds. The Board regularly reviews the
performance of the Fund throughout the year. The Board attaches more importance
to performance over relatively long periods of time, typically three to five
years.
34 BLACKROCK CORE PRINCIPAL PROTECTED FUND OCTOBER 31, 2008
Disclosure of Investment Advisory Agreement and Subadvisory Agreement
(continued)
The Fund ranked in the third, third and fourth quartiles on a net basis against
its Lipper peer universe for the one-year and three-year periods and since
inception ended December 31, 2007, respectively. The Board expressed its concern
with the Fund's investment performance. The Board will continue its ongoing
dialogue with BlackRock on the Fund's performance.
C. Consideration of the Advisory Fees and the Cost of the Services and Profits
to be Realized by BlackRock and its Affiliates from the Relationship with the
Fund: The Board, including the Independent Trustees, reviewed the Fund's
contractual advisory fee rates compared with the other funds in its Lipper
category. It also compared the Fund's total expenses to those of other
comparable funds. The Board considered the services provided and the fees
charged by BlackRock to other types of clients with similar investment mandates,
including separately managed institutional accounts.
The Board received and reviewed statements relating to BlackRock's financial
condition and profitability with respect to the services it provided the Fund.
The Board was also provided with a profitability analysis that detailed the
revenues earned and the expenses incurred by BlackRock and certain affiliates
that provide services to the Fund. The Board reviewed BlackRock's profitability
with respect to the Fund and each fund the Board currently oversees for the year
ended December 31, 2007 compared to aggregated profitability data provided for
the year ended December 31, 2005.
In addition, the Board considered the cost of the services provided to the Fund
by BlackRock, and BlackRock's and its affiliates' profits relating to the
management and distribution of the Fund and the other funds advised by BlackRock
and its affiliates. As part of its analysis, the Board reviewed BlackRock's
methodology in allocating its costs to the management of the Fund and concluded
that there was a reasonable basis for the allocation. The Board also considered
whether BlackRock has the financial resources necessary to attract and retain
high quality investment management personnel to perform its obligations under
the Agreements and to continue to provide the high quality of services that are
expected by the Board.
The Board noted that, although the Fund has contractual advisory fees higher
than its Peers because Lipper includes the contractual advisory fees of Master
Large Cap Core Portfolio (the "Master Portfolio"), a series of Master Large Cap
Series LLC, in which the Fund invests a portion of its assets. Taking into
account the contractual waiver of the advisory fee by the amount of advisory
fees the Fund pays BlackRock indirectly through its investment in the Master
Portfolio, the Fund's contractual advisory fee would be comparable to fees paid
by its Peers. The Board noted that BlackRock has agreed to contractually cap the
total annual operating expenses, excluding certain expenses, of one or more
share classes of the Fund, at certain levels. The Board observed that those
expense caps benefited shareholders by keeping total fees down even in the
absence of breakpoints.
D. Economies of Scale: The Board, including the Independent Trustees, considered
the extent to which economies of scale might be realized as the assets of the
Fund increase and whether there should be changes in the advisory fee rate or
structure in order to enable the Fund to participate in these economies of
scale. The Board, including the Independent Trustees, considered whether the
shareholders would benefit from economies of scale and whether there was
potential for future realization of economies with respect to the Fund. The
Board considered that the funds in the BlackRock fund complex share common
resources and, as a result, an increase in the overall size of the complex could
permit each fund to incur lower expenses than it would otherwise as stand-alone
entities. The Board also considered the anticipated efficiencies in the
processes of BlackRock's overall operations as it continues to add personnel and
commit capital to expand the scale of operations. The Board found, based on its
review of comparable funds, that the Fund's management fee is appropriate in
light of the scale of the Fund.
E. Other Factors: The Board also took into account other ancillary or "fall-out"
benefits that BlackRock may derive from its relationship with the Fund, both
tangible and intangible, such as BlackRock's ability to leverage its investment
professionals that manage other portfolios, an increase in BlackRock's profile
in the investment advisory community, and the engagement of BlackRock's
affiliates as service providers to the Fund, including for administrative,
transfer agency and distribution services. The Board also noted that BlackRock
may use third-party research obtained by soft dollars generated by transactions
in the Fund to assist itself in managing all or a number of its other client
accounts.
BLACKROCK CORE PRINCIPAL PROTECTED FUND OCTOBER 31, 2008 35
Disclosure of Investment Advisory Agreement and Subadvisory Agreement
(concluded)
In connection with its consideration of the Agreements, the Board also received
information regarding BlackRock's brokerage and soft dollar practices. The Board
received reports from BlackRock which included information on brokerage
commissions and trade execution practices throughout the year.
Conclusion
The Board approved the continuation of the Advisory Agreement between the
Advisor and the Fund for a one-year term ending June 30, 2009 and the
Subadvisory Agreement between the Advisor and BlackRock Investment Management,
LLC for a one-year term ending June 30, 2009. Based upon its evaluation of all
these factors in their totality, the Board, including the Independent Trustees,
was satisfied that the terms of the Agreements were fair and reasonable and in
the best interest of the Fund and the Fund's shareholders. In arriving at a
decision to approve the Agreements, the Board did not identify any single factor
or group of factors as all-important or controlling, but considered all factors
together. The Independent Trustees were also assisted by the advice of
independent legal counsel in making this determination. The contractual fee
arrangements for the Fund reflect the result of several years of review by the
Trustees and predecessor Trustees, and discussions between the Trustees (and
predecessor Trustees) and BlackRock. Certain aspects of the arrangements may be
the subject of more attention in some years than in others, and the Trustees'
conclusions may be based in part on their consideration of these arrangements in
prior years.
36 BLACKROCK CORE PRINCIPAL PROTECTED FUND OCTOBER 31, 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
Householding
The Fund will mail only one copy of shareholder documents, including
prospectuses, annual and semi-annual reports and proxy statements, to
shareholders with multiple accounts at the same address. This practice is
commonly called "householding" and it is intended to reduce expenses and
eliminate duplicate mailings of shareholder documents. Mailings of your
shareholder documents may be householded indefinitely unless you instruct us
otherwise. If you do not want the mailing of these documents to be combined with
those for other members of your household, please contact the Fund at (800)
441-7762.
Availability of Proxy Voting Policies and Procedures
A description of the policies and procedures that the Fund/Master LLC uses to
determine how to vote proxies relating to portfolio securities is available (1)
without charge, upon request, by calling toll-free (800) 441-7762; (2) at
www.blackrock.com; and (3) on the Securities and Exchange Commission's (the
"SEC") website at http://www.sec.gov.
BLACKROCK CORE PRINCIPAL PROTECTED FUND OCTOBER 31, 2008 37
Additional Information (concluded)
Availability of Additional Information (concluded)
Availability of Proxy Voting Record
Information about how the Fund/Master LLC votes proxies relating to securities
held in the Fund's/Master LLC's portfolios during the most recent 12-month
period ended June 30 is available upon request and without charge (1) at
www.blackrock.com or by calling (800) 441-7762 and (2) on the SEC's website at
http://www.sec.gov.
Availability of Quarterly Portfolio Schedule
The Fund/Master LLC files its complete schedule of portfolio holdings with the
SEC for the first and third quarters of each fiscal year on Form N-Q. The
Fund's/Master LLC's Forms N-Q are available on the SEC's website at
http://www.sec.gov and may also be reviewed and copied at the SEC's Public
Reference Room in Washington, D.C. Information on the operation of the Public
Reference Room may be obtained by calling (800) SEC-0330. The Fund's/Master
LLC'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.
38 BLACKROCK CORE PRINCIPAL PROTECTED FUND OCTOBER 31, 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 SmallCap Fund
BlackRock Health Sciences Opportunities Portfolio*
BlackRock Healthcare Fund
BlackRock Index Equity Portfolio*
BlackRock International Fund
BlackRock International Diversification Fund
BlackRock International Index Fund
BlackRock International Opportunities Portfolio
BlackRock International Value Fund
BlackRock Large Cap Core Fund
BlackRock Large Cap Core Plus Fund
BlackRock Large Cap Growth Fund
BlackRock Large Cap Value Fund
BlackRock Latin America Fund
BlackRock Mid-Cap Growth Equity Portfolio
BlackRock Mid-Cap Value Equity Portfolio
BlackRock Mid Cap Value Opportunities Fund
BlackRock Natural Resources Trust
BlackRock Pacific Fund
BlackRock Science & Technology Opportunities Portfolio
BlackRock Small Cap Core Equity Portfolio
BlackRock Small Cap Growth Equity Portfolio
BlackRock Small Cap Growth Fund II
BlackRock Small Cap Index Fund
BlackRock Small Cap Value Equity Portfolio*
BlackRock Small/Mid-Cap Growth Portfolio
BlackRock S&P 500 Index Fund
BlackRock U.S. Opportunities Portfolio
BlackRock Utilities and Telecommunications Fund
BlackRock Value Opportunities Fund
Fixed Income Funds
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 currently distributed by BlackRock Investments, Inc.
You should consider the investment objectives, risks, charges and expenses of
the funds under consideration carefully before investing. Each fund's prospectus
contains this and other information and is available at www.blackrock.com or by
calling (800) 882-0052 or from your financial advisor. The prospectus should be
read carefully before investing.
BLACKROCK CORE PRINCIPAL PROTECTED FUND OCTOBER 31, 2008 39
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-10/08
Item 2 - Code of Ethics - The registrant (or the "Fund") has adopted a code
of ethics, as of the end of the period covered by this report,
applicable to the registrant's principal executive officer,
principal financial officer and principal accounting officer, or
persons performing similar functions. During the period covered by
this report, there have been no amendments to or waivers granted
under the code of ethics. A copy of the code of ethics is available
without charge at www.blackrock.com.
Item 3 - Audit Committee Financial Expert - The registrant's board of
directors or trustees, as applicable (the "board of directors") has
determined that (i) the registrant has the following audit committee
financial experts serving on its audit committee and (ii) each audit
committee financial expert is independent:
Robert M. Hernandez
Fred G. Weiss
Richard R. West
Under applicable securities laws, a person determined to be an audit
committee financial expert will not be deemed an "expert" for any
purpose, including without limitation for the purposes of Section 11
of the Securities Act of 1933, as a result of being designated or
identified as an audit committee financial expert. The designation
or identification as an audit committee financial expert does not
impose on such person any duties, obligations, or liabilities
greater than the duties, obligations, and liabilities imposed on
such person as a member of the audit committee and board of
directors in the absence of such designation or identification.
Item 4 - Principal Accountant Fees and Services
- -----------------------------------------------------------------------------------------------------------------------------------
(a) Audit Fees (b) Audit-Related Fees(1) (c) Tax Fees(2) (d) All Other Fees(3)
- -----------------------------------------------------------------------------------------------------------------------------------
Current Previous Current Previous Current Previous Current Previous
Fiscal Year Fiscal Fiscal Year Fiscal Fiscal Year Fiscal Fiscal Year Fiscal
Entity Name End Year End End Year End End Year End End Year End
- -----------------------------------------------------------------------------------------------------------------------------------
BlackRock Core
Principal Protected
Fund $27,300 $26,900 $0 $0 $6,100 $6,100 $1,049 $1,042
- -----------------------------------------------------------------------------------------------------------------------------------
Master Large Cap
Core Portfolio $34,300 $44,200 $0 $0 $9,200 $9,200 $0 $0
- -----------------------------------------------------------------------------------------------------------------------------------
1 The nature of the services include assurance and related services
reasonably related to the performance of the audit of financial statements
not included in Audit Fees.
2 The nature of the services include tax compliance, tax advice and tax
planning.
3 The nature of the services include a review of compliance procedures and
attestation thereto.
(e)(1) Audit Committee Pre-Approval Policies and Procedures:
The registrant's audit committee (the "Committee") has adopted
policies and procedures with regard to the pre-approval of services.
Audit, audit-related and tax compliance services provided to the
registrant on an annual basis require specific pre-approval by the
Committee. The Committee also must approve other non-audit services
provided to the registrant and those non-audit services provided to
the registrant's affiliated service providers that relate directly
to the operations and the financial reporting of the registrant.
Certain of these non-audit services that the Committee believes are
a) consistent with the SEC's auditor independence rules and b)
routine and recurring services that will not impair the independence
of the independent accountants may be approved by the Committee
without consideration on a specific case-by-case basis ("general
pre-approval"). The term of any general pre-approval is 12 months
from the date of the pre-approval, unless the Committee provides for
a different period. Tax or other non-audit services provided to the
registrant which have a direct impact on the operation or financial
reporting of the registrant will only be deemed pre-approved
provided that any individual project does not exceed $10,000
attributable to the registrant or $50,000 for all of the registrants
the Committee oversees. For this purpose, multiple projects will be
aggregated to determine if they exceed the previously mentioned cost
levels.
Any proposed services exceeding the pre-approved cost levels
will require specific pre-approval by the Committee, as will any
other services not subject to general pre-approval (e.g.,
unanticipated but permissible services). The Committee is informed
of each service approved subject to general pre-approval at the next
regularly scheduled in-person board meeting. At this meeting, an
analysis of such services is presented to the Committee for
ratification. The Committee may delegate to one or more of its
members the authority to approve the provision of and fees for any
specific engagement of permitted non-audit services, including
services exceeding pre-approved cost levels.
(e)(2) None of the services described in each of Items 4(b) through
(d) were approved by the audit committee pursuant to paragraph
(c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) Not Applicable
(g) Affiliates' Aggregate Non-Audit Fees:
--------------------------------------------------------------------
Current Fiscal Previous Fiscal
Entity Name Year End Year End
--------------------------------------------------------------------
BlackRock Core Principal
Protected Fund $294,649 $291,642
--------------------------------------------------------------------
Master Large Cap Core Portfolio $296,700 $293,700
--------------------------------------------------------------------
(h) The registrant's audit committee has considered and determined
that the provision of non-audit services that were rendered to the
registrant's investment adviser (not including any non-affiliated
sub-adviser whose role is primarily portfolio management and is
subcontracted with or overseen by the registrant's investment
adviser), and any entity controlling, controlled by, or under common
control with the investment adviser that provides ongoing services
to the registrant that were not pre-approved pursuant to paragraph
(c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with
maintaining the principal accountant's independence.
Regulation S-X Rule 2-01(c)(7)(ii) - $287,500, 0%
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 of directors recommended by shareholders when
a vacancy becomes available. Shareholders who wish to recommend a
nominee should send nominations that include biographical
information and set forth the qualifications of the proposed nominee
to the registrant's Secretary. There have been no material changes
to these procedures.
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 - See Item 2
12(a)(2) - Certifications - Attached hereto
12(a)(3) - Not Applicable
12(b) - Certifications - Attached hereto
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
BlackRock Core Principal Protected Fund of BlackRock Principal Protected Trust
and Master Large Cap Core Portfolio of Master Large Cap Series LLC
By: /s/ Donald C. Burke
-------------------
Donald C. Burke
Chief Executive Officer of
BlackRock Core Principal Protected Fund of BlackRock Principal Protected
Trust and Master Large Cap Core Portfolio of Master Large Cap Series LLC
Date: December 19, 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: December 19, 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: December 19, 2008