- Quarterly Schedule of Portfolio Holdings of Registered Management Investment Company (N-Q)
25 February 2012 - 6:31AM
Edgar (US Regulatory)
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number 811-06196 and 811-21298
Name of Fund: BIF Treasury Fund and Master Treasury LLC
Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809
Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BIF Treasury Fund and Master Treasury LLC, 55 East 52
nd
Street, New York, NY 10055
Registrants’ telephone number, including area code: (800) 626-1960
Date of fiscal year end: 03/31/2012
Date of reporting period: 12/31/2011
Item 1 – Schedule of Investments
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Schedule of Investments
December 31, 2011 (Unaudited)
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BIF Treasury Fund
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(Percentages shown are based on Net Assets)
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Mutual Fund
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Value
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Master Treasury LLC
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$
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1,996,298,391
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Total
Investments (Cost - $1,996,298,391) – 100.2%
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1,996,298,391
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Liabilities
in Excess of Other Assets – (0.2)%
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(3,090,183
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)
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Net Assets
– 100.0%
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$
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1,993,208,208
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BIF Treasury Fund (the
“Fund”) seeks to achieve its investment objective by investing all of its
assets in Master Treasury LLC (the “Master LLC”), which has the same
investment objective and strategies as the Fund. As of December 31, 2011, the
value of the investment and the percentage owned by the Fund of the Master
LLC was $1,996,298,391 and 59.3%, respectively.
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The Fund records its
investment in the Master LLC at fair value. The Fund’s investment in the
Master LLC is valued pursuant to the pricing policies approved by the Board
of Directors of the Master LLC.
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•
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Fair Value Measurements –
Various inputs are used in determining the fair value of investments. These
inputs are categorized into a disclosure hierarchy consisting of three broad
levels for financial reporting purposes as follows:
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•
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Level 1 – unadjusted price
quotations in active markets/exchanges for identical assets and liabilities
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•
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Level 2 – other observable
inputs (including, but not limited to: quoted prices for similar assets or
liabilities in markets that are active, quoted prices for identical or
similar assets or liabilities in markets that are not active, inputs other
than quoted prices that are observable for the assets or liabilities (such as
interest rates, yield curves, volatilities, prepayment speeds, loss
severities, credit risks and default rates) or other market-corroborated
inputs)
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•
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Level 3 – unobservable
inputs based on the best information available in the circumstances, to the
extent observable inputs are not available (including the Fund’s own
assumptions used in determining the fair value of investments)
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Changes in valuation
techniques may result in transfers in or out of an assigned level within the
disclosure hierarchy. The categorization of a value determined for
investments is based on the pricing transparency of the investment and does
not necessarily correspond to the Fund’s perceived risk of investing in those
securities. For information about the Fund’s policy regarding valuation of
investments and other significant accounting policies, please refer to the
Master LLC’s most recent financial statements as contained in its semi-annual
report.
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As of December 31, 2011,
the Fund’s investment in the Master LLC was classified as Level 2.
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BIF TREASURY FUND
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DECEMBER 31, 2011
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1
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Schedule of Investments
December
31, 2011 (Unaudited)
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Master Treasury LLC
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(Percentages shown are based on Net Assets)
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US Treasury
Obligations
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Par
(000)
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Value
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US Treasury Bills
(a):
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0.03%, 1/05/12
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$
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120,000
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$
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119,999,400
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0.00% - 0.04%, 1/12/12
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319,533
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319,531,267
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0.00% - 0.06%, 1/19/12
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760,274
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760,272,084
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0.00% - 0.03%, 1/26/12
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200,000
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199,998,921
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0.02% - 0.03%, 2/02/12
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6,919
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6,918,870
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0.01% - 0.02%, 2/09/12
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160,264
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160,263,021
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0.01% - 0.08%, 2/16/12
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340,000
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339,976,557
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0.02%, 2/23/12
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22,799
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22,798,477
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0.02% - 0.04%, 3/01/12
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109,418
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109,414,806
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0.01% - 0.03%, 3/08/12
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254,935
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254,929,067
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0.01% - 0.02%, 3/15/12
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350,569
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350,553,318
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0.02% - 0.04%, 3/29/12
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97,133
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97,124,148
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0.01% - 0.02%, 4/05/12
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24,275
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24,272,680
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0.05%, 4/12/12
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100,000
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99,985,556
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0.07%, 4/19/12
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25,000
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24,994,990
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0.06%, 4/26/12
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50,000
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49,990,167
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0.03% - 0.05%, 5/03/12
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77,730
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77,720,986
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0.04%, 5/10/12
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50,000
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49,993,583
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0.10%, 8/23/12
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15,000
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14,990,125
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US Treasury Notes:
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1.13%, 1/15/12
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100,000
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100,048,680
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0.88%, 1/31/12
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100,000
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100,075,641
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0.88%, 2/29/12
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30,000
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30,041,893
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4.50%, 3/31/12
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10,000
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10,111,697
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0.63%, 6/30/12
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40,000
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40,110,448
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Total
Investments (Cost — $3,364,116,382*) - 100.0%)
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3,364,116,382
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Other
Assets Less Liabilities – 0.0%
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1,138,492
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Net
Assets – 100.0%
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$
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3,365,254,874
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*
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Cost for federal
income tax purposes.
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(a)
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Rates shown are
discount rates or a range of discount rates paid at the time of purchase.
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•
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Fair Value
Measurements - Various inputs are used in determining the fair value of
investments. These inputs are categorized into a disclosure hierarchy
consisting of three broad levels for financial reporting purposes as follows:
|
|
|
|
|
|
•
|
Level 1 —
unadjusted price quotations in active markets/exchanges for identical assets
and liabilities
|
|
|
|
|
|
|
•
|
Level 2 — other
observable inputs (including, but not limited to: quoted prices for similar
assets or liabilities in markets that are active, quoted prices for identical
or similar assets or liabilities in markets that are not active, inputs other
than quoted prices that are observable for the assets or liabilities (such as
interest rates, yield curves, volatilities, prepayment speeds, loss
severities, credit risks and default rates) or other market-corroborated
inputs)
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|
|
|
|
|
|
•
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Level 3 —
unobservable inputs based on the best information available in the
circumstances, to the extent observable inputs are not available (including
the Master LLC’s own assumptions used in determining the fair value of
investments)
|
Changes in valuation techniques may result in transfers in or out of an
assigned level within the disclosure hierarchy. The categorization of a value
determined for investments is based on the pricing transparency of the
investment and does not necessarily correspond to the Master LLC’s perceived
risk of investing in those securities. For information about the Master LLC’s
policy regarding valuation of investments and other significant accounting
policies, please refer to the Master LLC’s most recent financial statements as
contained in its semi-annual report.
The following table summarizes the inputs used as of December 31, 2011
in determining the fair valuation of the Master LLC’s investments:
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Valuation
Inputs
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Level 1
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Level 2
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Level 3
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Total
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Assets:
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Investments:
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US Treasury
Obligations
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—
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$
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3,364,116,382
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—
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$
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3,364,116,382
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MASTER TREASURY LLC
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DECEMBER 31, 2011
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1
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Item 2 –
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Controls and Procedures
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2(a) –
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The registrants’ principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrants’ 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.
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2(b) –
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There were no changes in the registrants’ internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrants’ last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrants’ internal control over financial reporting.
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Item 3 –
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Exhibits
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Certifications – Attached hereto
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Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, each registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
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BIF Treasury Fund and Master Treasury LLC
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By:
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/s/ John M. Perlowski
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John M. Perlowski
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Chief Executive Officer (principal executive officer) of
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BIF Treasury Fund and Master Treasury LLC
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Date: February 24, 2012
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Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of each registrant and in the capacities and on the dates indicated.
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By:
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/s/ John M. Perlowski
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John M. Perlowski
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Chief Executive Officer (principal executive officer) of
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BIF Treasury Fund and Master Treasury LLC
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Date: February 24, 2012
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By:
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/s/ Neal J. Andrews
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Neal J. Andrews
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Chief Financial Officer (principal financial officer) of
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BIF Treasury Fund and Master Treasury LLC
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Date: February 24, 2012
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