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: 12/31/2013

 

Item 1 – Schedule of Investments

 
 
Schedule of Investments   December 31, 2013 (Unaudited) 

BIF Treasury Fund

(Percentages shown are based on Net Assets)

 

Mutual Fund   Value
Master Treasury LLC $ 1,182,196,252
Total Investments (Cost - $1,182,196,252) – 100.0%   1,182,196,252
Liabilities in Excess of Other Assets – (0.0)%   (61,323)
Net Assets – 100.0% $ 1,182,134,929

 

 

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, 2013, the value of the investment and the percentage owned by the Fund of the Master LLC was $1,182,196,252 and 66.6%, 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 semi-annual report.
   
  As of December 31, 2013, the Fund’s investment in the Master LLC was classified as Level 2.  
     
         

There were no transfers between levels during the period ended December 31, 2013.

 

 

BIF TREASURY FUND DECEMBER 31, 2013 1
 

Schedule of Investments December 31, 2013 (Unaudited) Master Treasury LLC
(Percentages shown are based on Net Assets)

 

US Treasury Obligations Par
(000) 		  Value  
 
US Treasury Bills (a):          
  0.01% - 0.03%, 1/02/14 $ 204,692 $ 204,691,682  
  0.02% - 0.08%, 1/09/14   150,178   150,177,095  
  0.01% - 0.08%, 1/16/14   130,000   129,998,884  
  0.03% - 0.07%, 1/23/14   195,455   195,449,791  
  0.01% - 0.04%, 1/30/14   27,949   27,948,218  
  0.05%, 2/06/14   117,000   116,994,219  
  0.07%, 2/13/14   149,532   149,518,761  
  0.08%, 2/20/14   50,000   49,994,333  
  0.04% - 0.09%, 3/06/14   276,706   276,676,968  
  0.04% - 0.07%, 3/13/14   200,000   199,978,222  
  0.06%, 4/10/14   41,000   40,992,882  
  0.08% - 0.13%, 4/24/14   80,000   79,974,033  
  0.08%, 5/08/14   10,000   9,997,156  
  0.10%, 5/22/14   20,000   19,992,111  
  0.09%, 6/19/14   35,000   34,985,125  
  0.09%, 6/26/14   8,069   8,065,429  
  0.09%, 7/03/14   40,000   39,981,800  
US Treasury Obligations Par
(000) 		  Value  
 
US Treasury Notes:          
  0.25% - 1.75%, 1/31/14 $ 78,000 $ 78,090,695  
  0.25%, 2/28/14   24,000   24,002,719  
  0.25%, 4/30/14   38,000   38,016,487  
  1.00%, 5/15/14   14,200   14,245,205  
  0.25%, 6/02/14   10,000   10,005,680  
  0.63%, 7/15/14   10,900   10,926,742  
 
Total Investments
(Cost — $1,910,704,237*) — 107.7% 		  1,910,704,237  
Liabilities in Excess of Other Assets — (7.7)%   (136,288,835)  
   
Net Assets — 100.0% $ 1,774,415,402  
 

 

* 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.

 
• 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 semi-annual report.

The following table summarizes the Master LLC’s investments categorized in the disclosure hierarchy as of December 31, 2013:

 

 
  Level 1   Level 2   Level 3   Total  
 
Assets:    
Investments:  
  US Treasury Obligations   — $ 1,910,704,237   — $ 1,910,704,237  
 
                                 

MASTER TREASURY LLC DECEMBER 31, 2013 1
 
Schedule of Investments (concluded) Master Treasury LLC

 

The carrying amount for certain of the Master LLC’s assets and/or liabilities approximates fair value for financial reporting purposes. As of December 31, 2013, cash of $489 is categorized as Level 1 within the disclosure hierarchy.

 

There were no transfers between levels during the period ended December 31, 2013.

 

MASTER TREASURY LLC DECEMBER 31, 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: February 24, 2014
     
  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: February 24, 2014
     
  By: /s/ Neal J. Andrews
    Neal J. Andrews
    Chief Financial Officer (principal financial officer) of
    BIF Treasury Fund and Master Treasury LLC
     
  Date: February 24, 2014

 

 
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