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: 03/31/2014

 

Date of reporting period: 06/30/2013

 

Item 1 – Schedule of Investments

 
 
Schedule of Investments    June 30, 2013 (Unaudited)

BIF Treasury Fund

(Percentages shown are based on Net Assets)

 

Mutual Fund Value
Master Treasury LLC $ 1,440,689,159
Total Investments (Cost - $1,440,689,159) – 100.0%   1,440,689,159
Liabilities in Excess of Other Assets – (0.0)%   (53,612)
Net Assets – 100.0% $ 1,440,635,547

 

    

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 June 30, 2013, the value of the investment and the percentage owned by the Fund of the Master LLC was $1,440,689,159 and 64.7%, respectively.

       
  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.
       
  •    Fair Value Measurements - Various inputs are used in determining the fair value of investments. These inputs to valuation techniques 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 or liabilities that the Fund has the ability to access
       
    • 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)
       
    • 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)
       
  The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety.
       
  Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Master LLC’s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments is based on the pricing transparency of the investment and is not necessarily an indication of the risks associated with investing in those securities. For information about the Fund’s policy regarding valuation of investments, please refer to the Master LLC’s most recent financial statements as contained in its annual report.
       
  As of June 30, 2013, the Fund's investment in the Master LLC was classified as Level 2.
   
  There were no transfers between levels during the period ended June 30, 2013.

 

 

 

BIF TREASURY FUND JUNE 30, 2013 1
 
Schedule of Investments   June 30, 2013 (Unaudited)

Master Treasury LLC

(Percentages shown are based on Net Assets)

 

    Par
(000) 		    Value
US Treasury Obligations          
US Treasury Bills (a):              
0.04% - 0.13%, 7/05/13   $ 293,810     $ 293,809,010
0.02% - 0.12%, 7/11/13     164,979       164,975,461
0.04% - 0.06%, 7/18/13     335,989       335,981,297
0.04% - 0.05%, 7/25/13     264,000       263,992,739
0.05%, 8/01/13     83,500       83,496,096
0.05%, 8/08/13     20,000       19,998,852
0.12%, 8/15/13     50,000       49,992,333
0.04% - 0.14%, 8/22/13     108,000       107,988,030
0.04% - 0.05%, 8/29/13     173,000       172,987,525
0.05%, 9/05/13     64,000       63,994,314
0.05% - 0.12%, 9/12/13     146,000       145,978,314
0.11%, 9/19/13     16,000       15,998,033
0.11%, 9/26/13     25,000       24,993,278
0.06%, 10/03/13     44,000       43,993,950
0.10%, 10/10/13     20,000       19,994,475
0.08% - 0.09%, 10/17/13     50,000       49,987,131
0.08%, 11/07/13     5,000       4,998,556
0.08%, 11/21/13     25,000       24,991,850
0.08%, 11/29/13     30,000       29,989,867
                
    Par
(000) 		    Value
US Treasury Obligations              
US Treasury Bills (a) (concluded):              
0.08%, 12/05/13   $ 21,000     $ 20,992,627
0.08%, 12/19/13     10,000       9,996,178
0.11%, 12/26/13     25,000       24,986,948
US Treasury Notes:              
0.38%, 7/31/13     120,000       120,032,450
0.13%, 9/30/13     25,000       25,003,701
0.25%, 10/31/13     30,000       30,016,739
0.25%, 11/30/13     10,475       10,482,126
0.25%, 1/31/14     16,000       16,007,444
0.25%, 2/28/14     24,000       24,011,198
0.25%, 4/30/14     5,000       5,003,435
1.00%, 5/15/14     14,200       14,306,817
0.63%, 7/15/14     5,000       5,022,149
Total US Treasury Obligations – 99.9%           2,224,002,923
Total Investments (Cost - $2,224,002,923*) – 99.9%           2,224,002,923
Other Assets Less Liabilities – 0.1%           3,331,813
Net Assets – 100.0%       $ 2,227,334,736
               
*   Cost for federal income tax purposes.    

 

     

 

 

 

Notes to Schedule of Investments

(a) Rates shown are discount rates or a range of discount rates paid at the time of purchase.

 

MASTER TREASURY LLC JUNE 30, 2013 1
 
Schedule of Investments   (concluded)

Master Treasury LLC

 

•    Fair Value Measurements - Various inputs are used in determining the fair value of investments. These inputs to valuation techniques 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 or liabilities that the Master LLC has the ability to access
     
  • 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)
     
  • 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)
     
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety.
     
Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Master LLC's policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments is based on the pricing transparency of the investment and is not necessarily an indication of the risks associated with investing in those securities. For information about the Master LLC's policy regarding valuation of investments, please refer to the Master LLC's most recent financial statements as contained in its annual report.
     
The following table summarizes the Master LLC's investments categorized in the disclosure hierarchy as of June 30, 2013:

 

  Level 1 Level 2 Level 3 Total
Assets:
Investments:
    US Treasury Obligations — $2,224,002,923 — $2,224,002,923

 

Certain of the Master LLC 's liabilities are held at carrying amount, which approximates fair value for financial reporting purposes. As of June 30, 2013, a bank overdraft of $4,124 is categorized as Level 2 within the disclosure hierarchy.

 

There were no transfers between levels during the period ended June 30, 2013.

 

MASTER TREASURY LLC JUNE 30, 2013 2
 

Item 2 – Controls and Procedures

2(a) –     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.

2(b) –     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.

Item 3 – Exhibits

Certifications – Attached hereto

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.

 

BIF Treasury Fund and Master Treasury LLC

 

By: /s/ John M. Perlowski

John M. Perlowski

Chief Executive Officer (principal executive officer) of

BIF Treasury Fund and Master Treasury LLC

 

Date: August 23, 2013

 

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.

 

By: /s/ John M. Perlowski

John M. Perlowski

Chief Executive Officer (principal executive officer) of

BIF Treasury Fund and Master Treasury LLC

 

Date: August 23, 2013

 

By: /s/ Neal J. Andrews

Neal J. Andrews

Chief Financial Officer (principal financial officer) of

BIF Treasury Fund and Master Treasury LLC

 

Date: August 23, 2013

 
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