N-CSR 1 d33299dncsr.htm BLACKROCK BOND FUND, INC. BlackRock Bond Fund, Inc.

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: 811-02857 and 811-21434

Name of Fund: BlackRock Total Return Fund of BlackRock Bond Fund, Inc. and Master Total Return Portfolio of Master Bond LLC

 

Fund Address:   100 Bellevue Parkway, Wilmington, DE 19809

Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Total Return Fund of BlackRock Bond Fund, Inc. and Master Total Return Portfolio of Master Bond LLC, 55 East 52nd Street, New York,
NY 10055

Registrants’ telephone number, including area code: (800) 441-7762

Date of fiscal year end: 09/30/2020

Date of reporting period: 09/30/2020


Item 1 – Report to Stockholders


 

LOGO

  SEPTEMBER 30, 2020

 

   2020 Annual Report

 

BlackRock Bond Fund, Inc.

 

·  

BlackRock Total Return Fund

 

 

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Fund’s shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from BlackRock or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.

You may elect to receive all future reports in paper free of charge. If you hold accounts directly with BlackRock, you can call (800) 441-7762 to inform BlackRock that you wish to continue receiving paper copies of your shareholder reports. If you hold accounts through a financial intermediary, you can follow the instructions included with this disclosure, if applicable, or contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports. Please note that not all financial intermediaries may offer this service. Your election to receive reports in paper will apply to all funds advised by BlackRock Advisors, LLC, BlackRock Fund Advisors or their affiliates, or all funds held with your financial intermediary, as applicable.

If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive electronic delivery of shareholder reports and other communications by: (i) accessing the BlackRock website at blackrock.com/edelivery and logging into your accounts, if you hold accounts directly with BlackRock, or (ii) contacting your financial intermediary, if you hold accounts through a financial intermediary. Please note that not all financial intermediaries may offer this service.

 

 

Not FDIC Insured • May Lose Value • No Bank Guarantee

 


The Markets in Review

Dear Shareholder,

The 12-month reporting period as of September 30, 2020 has been a time of sudden change in global financial markets, as the emergence and spread of the coronavirus (or “COVID-19”) led to a vast disruption in the global economy and financial markets. Prior to the outbreak of the virus, U.S. equities and bonds both delivered impressive returns, despite fears and doubts about the economy that were ultimately laid to rest with unprecedented monetary stimulus and a sluggish yet resolute performance from the U.S. economy. But as the threat from the coronavirus became more apparent throughout February and March 2020, countries around the world took economically disruptive countermeasures. Stay-at-home orders and closures of non-essential businesses became widespread, many workers were laid off, and unemployment claims spiked, causing a global recession and a sharp fall in equity prices.

After markets hit their lowest point during the reporting period in late March 2020, a steady recovery ensued, as businesses began to re-open and governments learned to adapt to life with the virus. Equity prices continued to rise throughout the summer, fed by strong fiscal and monetary support and improving economic indicators. Many equity indices neared or surpassed all-time highs in early September 2020 before retreating amid concerns about a second wave of infections. In the United States, large-capitalization stocks advanced, outperforming small-capitalization stocks, which gained only marginally during the reporting period. International equities from developed economies were nearly flat, lagging emerging market stocks, which rebounded sharply.

During the market downturn, the performance of different types of fixed-income securities initially diverged due to a reduced investor appetite for risk. U.S. Treasuries benefited from the risk-off environment, and posted solid returns, as the 10-year U.S. Treasury yield (which is inversely related to bond prices) touched an all-time low. In the corporate bond market, support from the U.S. Federal Reserve (the “Fed”) assuaged credit concerns and both investment-grade and high-yield bonds recovered to post positive returns.

The Fed reduced short-term interest rates in late 2019 to support slowing economic growth. After the coronavirus outbreak, the Fed instituted an additional two emergency rate cuts, pushing short-term interest rates close to zero. To stabilize credit markets, the Fed also implemented a new bond-buying program, as did several other central banks around the world, including the European Central Bank and the Bank of Japan.

Looking ahead, while coronavirus-related disruptions have clearly hindered worldwide economic growth, we believe that the global expansion is likely to continue as economic activity resumes. Several risks remain, however, including a potential resurgence of the coronavirus amid loosened restrictions, policy fatigue among governments already deep into deficit spending, and structural damage to the financial system from lengthy economic interruptions.

Overall, we favor a moderately positive stance toward risk, and in particular toward credit given the extraordinary central bank measures taken in recent months. This support extends beyond investment-grade corporates and into high-yield, leading to attractive opportunities in that end of the market. We believe that international diversification and a focus on sustainability can help provide portfolio resilience, and the disruption created by the coronavirus appears to be accelerating the shift toward sustainable investments. We remain neutral on equities overall while favoring European stocks, which are poised for cyclical upside as re-openings continue.

In this environment, our view is that investors need to think globally, extend their scope across a broad array of asset classes, and be nimble as market conditions change. We encourage you to talk with your financial advisor and visit blackrock.com for further insight about investing in today’s markets.

Sincerely,

 

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

 

Total Returns as of September 30, 2020  
     6-Month     12-Month  
   

U.S. large cap equities
(S&P 500® Index)

    31.31     15.15
   

U.S. small cap equities
(Russell 2000® Index)

    31.60       0.39  
   

International equities
(MSCI Europe, Australasia, Far East Index)

    20.39       0.49  
   

Emerging market equities
(MSCI Emerging Markets Index)

    29.37       10.54  
   

3-month Treasury bills
(ICE BofA 3-Month U.S. Treasury Bill Index)

    0.06       1.10  
   

U.S. Treasury securities
(ICE BofA 10-Year U.S. Treasury Index)

    0.71       10.74  
   

U.S. investment grade bonds (Bloomberg Barclays U.S. Aggregate Bond Index)

    3.53       6.98  
   

Tax-exempt municipal bonds (S&P Municipal Bond Index)

    3.78       3.85  
   

U.S. high yield bonds (Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index)

    15.18       3.20  

 

Past performance is not an indication of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.

 

 

 

 

2  

H I S  A G E  I S  O T   A R T  O F  O U R  U N D  E P O R T


Table of Contents

    

 

     

Page

 

 

 

The Markets in Review

     2  

Annual Report:

  

Fund Summary

     4  

About Fund Performance

     7  

Disclosure of Expenses

     7  

Derivative Financial Instruments

     8  

Fund Financial Statements:

  

Statement of Assets and Liabilities

     9  

Statement of Operations

     11  

Statements of Changes in Net Assets

     12  

Fund Financial Highlights

     13  

Fund Notes to Financial Statements

     20  

Report of Independent Registered Public Accounting Firm

     26  

Important Tax Information

     27  

Master Portfolio Information

     28  

Master Portfolio Financial Statements:

  

Schedule of Investments

     29  

Statement of Assets and Liabilities

     100  

Statement of Operations

     102  

Statements of Changes in Net Assets

     103  

Master Portfolio Financial Highlights

     104  

Master Portfolio Notes to Financial Statements

     105  

Report of Independent Registered Public Accounting Firm

     118  

Disclosure of Investment Advisory Agreement and Sub-Advisory Agreements

     119  

Director and Officer Information

     123  

Additional Information

     127  

Glossary of Terms Used in this Report

     129  

 

 

LOGO

 

 

  3


Fund Summary as of September 30, 2020    BlackRock Total Return Fund

 

    

 

Investment Objective

BlackRock Total Return Fund’s (the “Fund”) investment objective is to realize a total return that exceeds that of the Bloomberg Barclays U.S. Aggregate Bond Index.

Portfolio Management Commentary

How did the Fund perform?

For the 12-month period ended September 30, 2020, all of the Fund’s share classes outperformed its benchmark, the Bloomberg Barclays U.S. Aggregate Bond Index, with the exception of Investor C Shares and Class R Shares, which underperformed the benchmark. The Fund invests all of its assets in Master Total Return Portfolio (the “Master Portfolio”).

What factors influenced performance?

During the 12-month period, the Master Portfolio’s active positioning with respect to duration (sensitivity to interest rate changes) was a leading positive contributor to performance relative to the benchmark. In addition, overweight positions to credit-oriented sectors including investment grade corporate bonds and emerging market debt contributed positively to relative performance, along with an overweight to agency mortgage-backed securities (“MBS”).

Overweight positioning within U.S. municipal bonds detracted slightly from performance as COVID-19-related conditions exerted pressure on the sector.

The Master Portfolio held derivatives for risk management purposes as well as to manage exposures, with the goals of generating return and managing risk. The use of derivatives had a positive impact on the Master Portfolio’s performance for the period.

The Master Portfolio held a slightly higher cash position at period end. The Master Portfolio has often held an elevated cash position as part of its “barbell” approach to maturity structure, holding cash instruments along with other income-generating securities in the portfolio given the decreased hedging effectiveness from duration. The Master Portfolio’s cash position did not have a material impact on Fund performance during the period.

Describe recent portfolio activity.

During the fourth quarter of 2019, the Master Portfolio’s duration was slightly reduced, but a small overweight in duration versus the benchmark was maintained. Duration exposure was reduced mainly from the long end of the yield curve, with some of the risk shifted to the front end of the curve. As exposures in investment grade credits were reduced given valuation concerns, overweight positions in agency MBS and inflation-protected bonds were increased. The Master Portfolio favored agency MBS on the view that demand from banks and foreign investors should remain supportive, and prepayment speeds will likely be slower than the market expects. The investment adviser also anticipated slow and steady increases in inflation driven mainly by a weaker U.S. dollar, a strong labor market and a bottoming out of global growth.

In the first quarter of 2020, the tone of the markets took a sharply negative turn as the COVID-19 pandemic emerged, essentially bringing much of the global economy to a halt. With investors reaching for cash, liquidity became a major issue across fixed-income markets. Given the massive magnitude of the economic shock, while still holding a duration overweight versus the benchmark, the Master Portfolio eliminated its overweight within the front end of the yield curve and added to the three- to five-year and 15-year plus portions of the curve. After meaningfully reducing exposure to agency MBS in February on valuation concerns, the Master Portfolio returned to an overweight position in mid-March as mortgage spreads widened alongside other risk assets. The sector has since benefited as the Fed announced an MBS purchase program. Securitized assets experienced significant selling pressure in March as investors sought liquidity. The Master Portfolio’s positioning in securitized assets focused on higher quality assets with strong levels of protection.

For the second half of the 12-month period, the Master Portfolio’s duration was shifted to a slight underweight versus the benchmark, as U.S. rates continued to move to historically low levels. In addition, the Master Portfolio’s overweight positions in emerging markets, European sovereign debt and non-agency MBS were increased on the view that each of these segments continues to possess reasonable upside potential. At the same time, the Master Portfolio’s positioning within agency MBS was reduced.

Describe portfolio positioning at period end.

At period end, the Master Portfolio maintained a modest duration underweight versus the benchmark. Most of the Master Portfolio’s underweight positions were positioned at the long end of the yield curve given the increasing level of issuance expected, with a small overweight in the seven- to 10-year portion of the curve. The investment adviser also held a constructive view regarding inflation-protected bonds given the recent strength of the Consumer Price Index and the Fed’s shift to a more flexible approach in evaluating inflation levels. Given tight spread levels across high quality credit names, the Master Portfolio continued to trade opportunistically within sectors outside of the realm of Fed policy, including mid-quality assets within U.S. high yield and emerging market debt.

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.

 

 

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Fund Summary as of September 30, 2020 (continued)    BlackRock Total Return Fund

 

    

 

TOTAL RETURN BASED ON $10,000 INVESTMENT

 

LOGO

 

  (a) 

Assuming maximum sales charges, if any, transaction costs and other operating expenses, including investment advisory fees and administration fees, if any. Institutional Shares do not have a sales charge.

  (b) 

The Fund invests all of its assets in the Master Portfolio. The Master Portfolio typically invests more than 90% of its assets in a diversified portfolio of fixed-income securities such as corporate bonds and notes, mortgage-backed securities, asset-backed securities, convertible securities, preferred securities and government obligations. Under normal circumstances, the Master Portfolio invests at least 80% of its assets in bonds and invests primarily in investment grade fixed income securities.

  (c) 

A widely recognized unmanaged market-weighted index, comprised of investment grade corporate bonds rated BBB or better, mortgages and U.S. Treasury and U.S. Government agency issues with at least one year to maturity.

Performance Summary for the Period Ended September 30, 2020

 

                          Average Annual Total Returns(a)  
         

 

 

 
                          1 Year            5 Years     10 Years  
         

 

 

      

 

 

   

 

 

 
         Standardized
30 Day Yields
    Unsubsidized
30 Day Yields
    6-Month
Total
Returns
    Without
Sales
Charge
    With
Sales
Charge
              Without
Sales
Charge
    With
Sales
Charge
    Without
Sales
Charge
    With
Sales
Charge
 

      

 

Institutional

    1.81     1.81     7.45     7.51     N/A          4.53     N/A       4.50     N/A  
 

Service

    1.49       1.49       7.37       7.28       N/A          4.23       N/A       4.22       N/A  
 

Investor A

    1.48       1.48       7.37       7.16       2.87        4.20       3.36     4.16       3.74
 

Investor A1

    1.65       1.65       7.46       7.35       N/A          4.40       N/A       4.36       N/A  
 

Investor C

    0.82       0.82       7.01       6.44       5.44          3.52       3.52       3.50       3.50  
 

Class K

    1.91       1.91       7.58       7.59       N/A          4.60       N/A       4.58       N/A  
 

Class R

    1.25       1.25       7.22       6.88       N/A          3.94       N/A       3.90       N/A  
 

Bloomberg Barclays U.S. Aggregate Bond Index     

                3.53       6.98       N/A                4.18       N/A       3.64       N/A  

 

  (a) 

Assuming maximum sales charges, if any. Average annual total returns with and without sales charges reflect reductions for distribution and service fees. See “About Fund Performance” on page 7 for a detailed description of share classes, including any related sales charges and fees, and how performance was calculated for certain share classes.

N/A - Not applicable as share class and index do not have a sales charge.

Past performance is not an indication of future results.

Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

 

 

U N D  U M M A R Y

  5


Fund Summary as of September 30, 2020 (continued)    BlackRock Total Return Fund

 

    

 

Expense Example

 

    Actual     Hypothetical(a)      
 

 

 

   

 

 

   
     

Beginning
Account Value
(04/01/20)
 
 
 
    

Ending
Account Value
(09/30/20)
 
 
 
    

Expenses
Paid During
the Period
 
 
(b) 
   

Beginning
Account Value
(04/01/20)
 
 
 
    

Ending
Account Value
(09/30/20)
 
 
 
    

Expenses
Paid During
the Period
 
 
(b) 
 

Annualized   

Expense   

Ratio    

Institutional

    $ 1,000.00        $ 1,074.50        $ 2.28       $ 1,000.00        $ 1,022.80        $ 2.22     0.44% 

Service

    1,000.00        1,073.70        3.77       1,000.00        1,021.36        3.67     0.73    

Investor A

    1,000.00        1,073.70        3.90       1,000.00        1,021.23        3.81     0.75    

Investor A1

    1,000.00        1,074.60        3.06       1,000.00        1,022.05        2.98     0.59    

Investor C

    1,000.00        1,070.10        7.45       1,000.00        1,017.80        7.26     1.44    

Class K

    1,000.00        1,075.80        1.86       1,000.00        1,023.21        1.81     0.36    

Class R

    1,000.00        1,072.20        5.33       1,000.00        1,019.86        5.19     1.03    

 

  (a) 

Hypothetical 5% annual return before expenses is calculated by prorating the number of days in the most recent fiscal half year divided by 366.

 
  (b) 

For each class of the Fund, expenses are equal to the annualized expense ratio for the class, multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period shown). Because the Fund invests all of its assets in the Master Portfolio the expense example reflects the net expenses of both the Fund and the Master Portfolio in which it invests.

 

See “Disclosure of Expenses” on page 7 for further information on how expenses were calculated.

 

 

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About Fund Performance

    

 

Institutional and Class K Shares are not subject to any sales charge. These shares bear no ongoing distribution or service fees and are available only to certain eligible investors.

Service Shares are not subject to any sales charge. These shares are subject to a service fee of 0.25% per year (but no distribution fee) and are only available to certain eligible investors.

Investor A Shares are subject to a maximum initial sales charge (front-end load) of 4.00% and a service fee of 0.25% per year (but no distribution fee). Certain redemptions of these shares may be subject to a contingent deferred sales charge (“CDSC”) where no initial sales charge was paid at the time of purchase. These shares are generally available through financial intermediaries. On February 24, 2020, the Fund’s issued and outstanding Investor C1 and Investor C2 Shares converted into Investor A Shares with the same relative aggregate net asset value (“NAV”).

Investor A1 Shares are subject to a maximum initial sales charge (front-end load) of 1.00% and a service fee of 0.10% per year (but no distribution fee). The maximum initial sales charge does not apply to current eligible shareholders of Investor A1 Shares of the Fund. These shares are only available for dividend and capital gain reinvestment by existing shareholders and for purchase by certain eligible employer-sponsored retirement plans. Certain redemptions of these shares may be subject to a CDSC where no initial sales charge was paid at the time of purchase. However, the CDSC does not apply to redemptions by certain employer-sponsored retirement plans or to redemptions of shares acquired through the reinvestment of dividends and capital gains by existing shareholders.

Investor C Shares are subject to a 1.00% CDSC if redeemed within one year of purchase. In addition, these shares are subject to a distribution fee of 0.75% per year and a service fee of 0.25% per year. These shares are generally available through financial intermediaries. These shares automatically convert to Investor A Shares after approximately ten years. Effective November 23, 2020, the automatic conversion feature will be modified to reduce the conversion period from ten years to eight years.

Class R Shares are not subject to any sales charge. These shares are subject to a distribution fee of 0.25% per year and a service fee of 0.25% per year. These shares are available only to certain employer-sponsored retirement plans.

Past performance is not an indication of future results. Financial markets have experienced extreme volatility and trading in many instruments has been disrupted. These circumstances may continue for an extended period of time, and may continue to affect adversely the value and liquidity of the fund’s investments. As a result, current performance may be lower or higher than the performance data quoted. Refer to blackrock.com 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. Figures shown in the performance tables on the previous page assume reinvestment of all distributions, if any, at NAV on the ex-dividend date or payable date, as applicable. Investment return and principal value of shares will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Distributions 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.

BlackRock Advisors, LLC (the “Manager”), the Fund’s investment adviser, has contractually and/or voluntarily agreed to waive and/or reimburse a portion of the Fund’s expenses. Without such waiver and/or reimbursement, the Fund’s performance would have been lower. With respect to the Fund’s voluntary waivers, if any, the Manager is under no obligation to waive and/or reimburse or to continue waiving and/or reimbursing its fees and such voluntary waiver may be reduced or discontinued at any time. With respect to the Fund’s contractual waivers, if any, the Manager is under no obligation to continue waiving and/or reimbursing its fees after the applicable termination date of such agreement. See the Notes to Financial Statements for additional information on waivers and/or reimbursements. The standardized 30-day yield includes the effects of any waivers and/or reimbursements. The unsubsidized 30-day yield excludes the effects of any waivers and/or reimbursements.

Disclosure of Expenses

Shareholders of the Fund may incur the following charges: (a) transactional expenses, such as sales charges; and (b) operating expenses, including administration fees, service and distribution fees, including 12b-1 fees, acquired fund fees and expenses, and other fund expenses. The expense example shown on the previous page (which is based on a hypothetical investment of $1,000 invested on April 1, 2020 and held through September 30, 2020) 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 expense example 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 expense example 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 the Fund and other funds, compare the 5% hypothetical example with the 5% hypothetical examples that appear in shareholder reports of other funds.

The expenses shown in the expense example are intended to highlight shareholders’ ongoing costs only and do not reflect transactional expenses, such as sales charges, if any. 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.

 

 

B O U T  U N D  E R F O R M A  N C E

  7


Derivative Financial Instruments

    

 

The Master Portfolio may invest in various derivative financial instruments. These instruments are used to obtain exposure to a security, commodity, index, market, and/or other assets without owning or taking physical custody of securities, commodities and/or other referenced assets or to manage market, equity, credit, interest rate, foreign currency exchange rate, commodity and/or other risks. Derivative financial instruments may give rise to a form of economic leverage and involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the instrument. The Master Portfolio’s successful use of a derivative financial instrument depends on the investment adviser’s ability to predict pertinent market movements accurately, which cannot be assured. The use of these instruments may result in losses greater than if they had not been used, may limit the amount of appreciation the Master Portfolio can realize on an investment and/or may result in lower distributions paid to shareholders. The Master Portfolio’s investments in these instruments, if any, are discussed in detail in the Master Portfolio’s Notes to Financial Statements.

 

 

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Statement of Assets and Liabilities

September 30, 2020

    

 

   

BlackRock

Total Return

Fund

       

 

 

ASSETS

   

Investments at value — Master Portfolio

  $ 19,028,621,460    

Receivables:

   

Capital shares sold

    39,779,218    

From the Manager

    322,951    

Withdrawals from the Master Portfolio

    20,710,344    

Prepaid expenses

    208,578    
 

 

 

   

Total assets

    19,089,642,551    
 

 

 

   

LIABILITIES

   

Payables:

   

Capital shares redeemed

    60,489,562    

Income dividend distributions

    6,014,307    

Investment advisory fees

    4,519,215    

Officer’s fees

    9,504    

Other accrued expenses

    4,088,127    

Other affiliate fees

    384,313    

Service and distribution fees

    602,973    
 

 

 

   

Total liabilities

    76,108,001    
 

 

 

   

NET ASSETS

  $ 19,013,534,550    
 

 

 

   

NET ASSETS CONSIST OF

   

Paid-in capital

  $ 17,948,608,394    

Accumulated earnings

    1,064,926,156    
 

 

 

   

NET ASSETS

  $ 19,013,534,550    
 

 

 

   

 

 

I N A N C I A L  T A T E M E N T  S

  9


 

Statement of Assets and Liabilities (continued)

September 30, 2020

    

 

   

BlackRock

Total Return

Fund

       

 

 

NET ASSET VALUE

   
Institutional            

Net assets

  $  9,067,527,477    
 

 

 

   

Shares outstanding

    723,453,436    
 

 

 

   

Net asset value

  $ 12.53    
 

 

 

   

Shares authorized

    1 billion    
 

 

 

   

Par value

  $ 0.10    
 

 

 

   
Service            

Net assets

  $ 57,849,082    
 

 

 

   

Shares outstanding

    4,614,753    
 

 

 

   

Net asset value

  $ 12.54    
 

 

 

   

Shares authorized

    50 million    
 

 

 

   

Par value

  $ 0.10    
 

 

 

   
Investor A            

Net assets

  $ 2,147,024,663    
 

 

 

   

Shares outstanding

    171,234,654    
 

 

 

   

Net asset value

  $ 12.54    
 

 

 

   

Shares authorized

    450 million    
 

 

 

   

Par value

  $ 0.10    
 

 

 

   
Investor A1            

Net assets

  $ 24,442,797    
 

 

 

   

Shares outstanding

    1,951,020    
 

 

 

   

Net asset value

  $ 12.53    
 

 

 

   

Shares authorized

    50 million    
 

 

 

   

Par value

  $ 0.10    
 

 

 

   
Investor C            

Net assets

  $ 140,033,699    
 

 

 

   

Shares outstanding

    11,177,107    
 

 

 

   

Net asset value

  $ 12.53    
 

 

 

   

Shares authorized

    100 million    
 

 

 

   

Par value

  $ 0.10    
 

 

 

   
Class K            

Net assets

  $ 7,491,107,302    
 

 

 

   

Shares outstanding

    597,770,184    
 

 

 

   

Net asset value

  $ 12.53    
 

 

 

   

Shares authorized

    1 billion    
 

 

 

   

Par value

  $ 0.10    
 

 

 

   
Class R            

Net assets

  $ 85,549,530    
 

 

 

   

Shares outstanding

    6,822,030    
 

 

 

   

Net asset value

  $ 12.54    
 

 

 

   

Shares authorized

    250 million    
 

 

 

   

Par value

  $ 0.10    
 

 

 

   

See notes to financial statements.

 

 

10  

2 0 2 0  B L A C K O C K  N  N U A L  E P O R T  T O  H A R E H O L D E R S


 

Statement of Operations

Year Ended September 30, 2020

    

 

    

BlackRock

Total Return

Fund

 

INVESTMENT INCOME

 

Other income

  $ 8,824  

Net investment income allocated from the Master Portfolio:

 

Dividends — unaffiliated

    997,715  

Dividends — affiliated

    9,890,274  

Interest — unaffiliated

    457,714,616  

Securities lending income — affiliated — net

    8,138  

Foreign taxes withheld

    (587,650

Expenses

    (11,326,286

Fees waived

    889,443  
 

 

 

 

Total investment income

    457,595,074  
 

 

 

 

FUND EXPENSES

 

Investment advisory

    49,132,692  

Transfer agent — class specific

    12,756,070  

Service and distribution — class specific

    7,449,632  

Registration

    843,600  

Professional

    289,703  

Printing and postage

    286,931  

Officer

    20,690  

Accounting services

    7,020  

Miscellaneous

    13,948  
 

 

 

 

Total expenses

    70,800,286  

Less:

 

Transfer agent fees waived and/or reimbursed — class specific

    (2,851,360
 

 

 

 

Total expenses after fees waived and/or reimbursed

    67,948,926  
 

 

 

 

Net investment income

    389,646,148  
 

 

 

 

REALIZED AND UNREALIZED GAIN (LOSS)

 

Net realized gain (loss) from:

 

Payment by affiliate

    4,198  

Net realized gain from investments, capital gain distributions received from affiliated investment companies, foreign currency transactions, forward foreign currency exchange contracts, futures contracts, options written and swaps allocated from the Master Portfolio

    783,156,261  
 

 

 

 
    783,160,459  
 

 

 

 

Net change in unrealized appreciation (depreciation) on investments, foreign currency translations, forward foreign currency exchange contracts, futures contracts, options written, swaps and unfunded floating rate loan interests allocated from the Master Portfolio

    35,540,690  
 

 

 

 

Total net realized and unrealized gain

    818,701,149  
 

 

 

 

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS

  $ 1,208,347,297  
 

 

 

 

See notes to financial statements.

 

 

I N A N C I A L  T A T E M E N T  S

  11


 

Statements of Changes in Net Assets

    

 

    BlackRock Total Return Fund  
    Year Ended September 30,  
     2020     2019  

INCREASE (DECREASE) IN NET ASSETS

   

OPERATIONS

   

Net investment income

  $ 389,646,148     $ 428,386,632  

Net realized gain

    783,160,459       218,652,965  

Net change in unrealized appreciation (depreciation)

    35,540,690       624,071,217  
 

 

 

   

 

 

 

Net increase in net assets resulting from operations

    1,208,347,297       1,271,110,814  
 

 

 

   

 

 

 

DISTRIBUTIONS TO SHAREHOLDERS(a)

   

Institutional

    (197,028,390     (187,713,642

Service

    (2,365,465     (3,358,018

Investor A

    (41,081,533     (51,952,065

Investor A1

    (543,852     (951,501

Investor C

    (2,978,957     (5,071,504

Investor C1

    (17,662     (123,069

Investor C2

    (4,721     (19,709

Class K

    (171,018,050     (177,543,510

Class R

    (1,847,802     (3,950,278
 

 

 

   

 

 

 

Decrease in net assets resulting from distributions to shareholders

    (416,886,432     (430,683,296
 

 

 

   

 

 

 

CAPITAL SHARE TRANSACTIONS

   

Net increase in net assets derived from capital share transactions

    3,326,092,408       1,648,881,289  
 

 

 

   

 

 

 

NET ASSETS

   

Total increase in net assets

    4,117,553,273       2,489,308,807  

Beginning of year

    14,895,981,277       12,406,672,470  
 

 

 

   

 

 

 

End of year

  $ 19,013,534,550     $ 14,895,981,277  
 

 

 

   

 

 

 

 

(a) 

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

See notes to financial statements.

 

 

12  

2 0 2 0  B L A C K O C K  N  N U A L  E P O R T  T O  H A R E H O L D E R S


Financial Highlights  

(For a share outstanding throughout each period)

    

 

        BlackRock Total Return Fund  
        Institutional  
        Year Ended September 30,  
          2020            2019     2018     2017     2016  

Net asset value, beginning of year

  $ 11.95       $ 11.21     $ 11.77     $ 11.96     $ 11.71  
   

 

 

     

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income(a)

    0.28         0.38       0.38       0.34       0.31  

Net realized and unrealized gain (loss)

    0.60         0.75       (0.56     (0.18     0.32  
   

 

 

     

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) from investment operations

    0.88         1.13       (0.18     0.16       0.63  
   

 

 

     

 

 

   

 

 

   

 

 

   

 

 

 

Distributions from net investment income(b)

    (0.30       (0.39     (0.38     (0.35     (0.38
   

 

 

     

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of year

  $ 12.53       $ 11.95     $ 11.21     $ 11.77     $ 11.96  
   

 

 

     

 

 

   

 

 

   

 

 

   

 

 

 

Total Return(c)

           

Based on net asset value

    7.51 %(d)         10.23     (1.55 )%(d)       1.43     5.47
   

 

 

     

 

 

   

 

 

   

 

 

   

 

 

 

Ratios to Average Net Assets(e)

           

Total expenses(f)

    0.47 %(g)         0.47 %(g)       0.75 %(h)       0.74 %(h)       0.61 %(h)  
   

 

 

     

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses after fees waived and/or reimbursed(f)

    0.44 %(g)         0.44 %(g)       0.71 %(h)       0.69 %(h)       0.58 %(h)  
   

 

 

     

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses after fees waived and/or reimbursed and excluding interest expense(f)

    0.44 %(g)         0.44 %(g)       0.45 %(h)       0.45 %(h)       0.45 %(h)  
   

 

 

     

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income(f)

    2.32 %(g)         3.33 %(g)       3.31 %(h)       2.93 %(h)       2.63 %(h)  
   

 

 

     

 

 

   

 

 

   

 

 

   

 

 

 

Supplemental Data

           

Net assets, end of year (000)

  $  9,067,527       $  6,535,538     $  5,402,121     $  4,621,641     $  3,126,440  
   

 

 

     

 

 

   

 

 

   

 

 

   

 

 

 

Portfolio turnover rate of the Master Portfolio(i)

    556       574     734     806     841
   

 

 

     

 

 

   

 

 

   

 

 

   

 

 

 

(a) Based on average shares outstanding.

(b) Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

(c)  Where applicable, assumes the reinvestment of distributions.

(d) Includes a payment received from an affiliate, which had no impact on the Fund’s total return.

(e) Includes the Fund’s share of the Master Portfolio’s allocated expenses and/or net investment income.

(f)  Excludes expenses incurred indirectly as a result of investments in underlying funds as follows:

 

  

  

   

  

  

   

   
        Year Ended September 30,  
         2020            2019     2018     2017     2016  
 

 Investments in underlying funds

          0.01             0.01           0.01           0.01           0.01
   

 

 

     

 

 

   

 

 

   

 

 

   

 

 

 

(g) Includes the Fund’s share of the Master Portfolio’s allocated fees waived of 0.01%.

(h) Includes the Fund’s share of the Master Portfolio’s allocated fees waived of less than 0.01%.

(i)  Includes mortgage dollar roll transactions (“MDRs”). Additional information regarding portfolio turnover rate is as follows:

 

  

  

   

   
        Year Ended September 30,  
         2020            2019     2018     2017     2016  
 

 Portfolio turnover rate (excluding MDRs)

          274             241           350           540           598
   

 

 

     

 

 

   

 

 

   

 

 

   

 

 

 

See notes to financial statements.

 

 

I N A N C I A L  I G H L I G H T  S

  13


Financial Highlights  (continued)

(For a share outstanding throughout each period)

    

 

        BlackRock Total Return Fund (continued)  
        Service  
        Year Ended September 30,  
          2020     2019     2018     2017     2016  

Net asset value, beginning of year

  $ 11.95     $ 11.22     $ 11.77     $ 11.96     $ 11.71  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income(a)

    0.26       0.35       0.34       0.31       0.28  

Net realized and unrealized gain (loss)

    0.60       0.73       (0.54     (0.18     0.31  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) from investment operations

    0.86       1.08       (0.20     0.13       0.59  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Distributions from net investment income(b)

    (0.27     (0.35     (0.35     (0.32     (0.34
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of year

  $ 12.54     $ 11.95     $ 11.22     $ 11.77     $ 11.96  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Return(c)

         

Based on net asset value

    7.28 %(d)      9.80     (1.76 )%(d)      1.13     5.15
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Ratios to Average Net Assets(e)

         

Total expenses(f)

    0.74 %(g)      0.74 %(g)       1.03 %(h)       1.02 %(h)       0.93 %(h) 
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses after fees waived and/or reimbursed(f)

    0.74 %(g)      0.74 %(g)       1.03 %(h)       1.00 %(h)       0.88 %(h) 
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses after fees waived and/or reimbursed and excluding interest expense(f)

    0.74 %(g)      0.74 %(g)       0.75 %(h)       0.75 %(h)       0.75 %(h) 
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income(f)

    2.15 %(g)      3.04 %(g)       3.01 %(h)       2.62 %(h)       2.35 %(h) 
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Supplemental Data

         

Net assets, end of year (000)

  $ 57,849     $  120,243     $  117,278     $  125,903     $  74,723  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Portfolio turnover rate of the Master Portfolio(i)

    556     574     734     806     841
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

(a) Based on average shares outstanding.

         

(b) Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

  

(c)  Where applicable, assumes the reinvestment of distributions.

   

(d) Includes a payment received from an affiliate, which had no impact on the Fund’s total return.

  

 

(e) Includes the Fund’s share of the Master Portfolio’s allocated expenses and/or net investment income.

  

 

(f)  Excludes expenses incurred indirectly as a result of investments in underlying funds as follows:

   

                                           
        Year Ended September 30,  
         2020     2019     2018     2017     2016  
 

Investments in underlying funds

          0.01           0.01           0.01           0.01           0.01
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

(g) Includes the Fund’s share of the Master Portfolio’s allocated fees waived of 0.01%.

  

(h) Includes the Fund’s share of the Master Portfolio’s allocated fees waived of less than 0.01%.

  

(i)  Includes MDRs. Additional information regarding portfolio turnover rate is as follows:

   

                                           
        Year Ended September 30,  
         2020     2019     2018     2017     2016  
 

Portfolio turnover rate (excluding MDRs)

          274           241           350           540           598
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

See notes to financial statements.

 

 

14  

2 0 2 0  B L A C K O C K  N  N U A L  E P O R T  T O  H A R E H O L D E R S


Financial Highlights  (continued)

(For a share outstanding throughout each period)

    

 

        BlackRock Total Return Fund (continued)  
        Investor A  
        Year Ended September 30,  
          2020     2019     2018     2017     2016  

Net asset value, beginning of year

  $ 11.96     $ 11.22     $ 11.78     $ 11.96     $ 11.71  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income(a)

    0.25       0.34       0.34       0.30       0.28  

Net realized and unrealized gain (loss)

    0.60       0.75       (0.56     (0.16     0.31  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) from investment operations

    0.85       1.09       (0.22     0.14       0.59  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Distributions from net investment income(b)

    (0.27     (0.35     (0.34     (0.32     (0.34
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of year

  $ 12.54     $ 11.96     $ 11.22     $ 11.78     $ 11.96  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Return(c)

         

Based on net asset value

    7.16 %(d)       9.85     (1.88 )%(d)       1.18     5.12
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Ratios to Average Net Assets(e)

         

Total expenses(f)

    0.76 %(g)       0.79 %(g)       1.08 %(h)       1.04 %(h)       0.91 %(h)  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses after fees waived and/or reimbursed(f)

    0.76 %(g)       0.78 %(g)       1.07 %(h)       1.03 %(h)       0.91 %(h)  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses after fees waived and/or reimbursed and excluding interest expense(f)

    0.76 %(g)       0.78 %(g)       0.79 %(h)       0.79 %(h)       0.78 %(h)  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income(f)

    2.02 %(g)       3.00 %(g)       2.97 %(h)       2.58 %(h)       2.34 %(h)  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Supplemental Data

         

Net assets, end of year (000)

  $  2,147,025     $  1,840,587     $  1,729,459     $  2,033,975     $  2,087,043  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Portfolio turnover rate of the Master Portfolio(i)

    556     574     734     806     841
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

(a) Based on average shares outstanding.

(b) Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

(c)  Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

(d) Includes a payment received from an affiliate, which had no impact on the Fund’s total return.

(e) Includes the Fund’s share of the Master Portfolio’s allocated expenses and/or net investment income.

(f)  Excludes expenses incurred indirectly as a result of investments in underlying funds as follows:

  

  

   

  

  

   

                                           
        Year Ended September 30,  
         2020     2019     2018     2017     2016  
 

 Investments in underlying funds

          0.01           0.01           0.01           0.01           0.01
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

(g) Includes the Fund’s share of the Master Portfolio’s allocated fees waived of 0.01%.

(h) Includes the Fund’s share of the Master Portfolio’s allocated fees waived of less than 0.01%.

(i)  Includes MDRs. Additional information regarding portfolio turnover rate is as follows:

  

  

   

                                           
        Year Ended September 30,  
         2020     2019     2018     2017     2016  
 

 Portfolio turnover rate (excluding MDRs)

          274           241           350           540           598
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

See notes to financial statements.

 

 

I N A N C I A L  I G H L I G H T  S

  15


Financial Highlights  (continued)

(For a share outstanding throughout each period)

    

 

        BlackRock Total Return Fund (continued)  
        Investor A1  
        Year Ended September 30,  
          2020     2019     2018     2017     2016  

Net asset value, beginning of year

  $ 11.95     $ 11.21     $ 11.77     $ 11.95     $ 11.70  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income(a)

    0.27       0.37       0.36       0.32       0.30  

Net realized and unrealized gain (loss)

    0.60       0.74       (0.56     (0.16     0.31  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) from investment operations

    0.87       1.11       (0.20     0.16       0.61  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Distributions from net investment income(b)

    (0.29     (0.37     (0.36     (0.34     (0.36
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of year

  $ 12.53     $ 11.95     $ 11.21     $ 11.77     $ 11.95  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Return(c)

         

Based on net asset value

    7.35 %(d)      10.06     (1.69 )%(d)      1.37     5.32
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Ratios to Average Net Assets(e)

         

Total expenses(f)

    0.61 %(g)      0.63 %(h)      0.92 %(h)      0.86 %(h)      0.74 %(h) 
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses after fees waived and/or reimbursed(f)

    0.59 %(g)      0.59 %(h)      0.88 %(h)      0.84 %(h)      0.72 %(h) 
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses after fees waived and/or reimbursed and excluding interest expense(f)

    0.59 %(g)      0.59 %(h)      0.60 %(h)      0.60 %(h)      0.60 %(h) 
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income(f)

    2.22 %(g)      3.20 %(h)      3.17 %(h)      2.77 %(h)      2.54 %(h) 
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Supplemental Data

         

Net assets, end of year (000)

  $  24,443     $  28,769     $  28,072     $  31,705     $  34,722  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Portfolio turnover rate of the Master Portfolio(i)

    556     574     734     806     841
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

(a) Based on average shares outstanding.

(b) Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

(c)  Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

(d) Includes a payment received from an affiliate, which had no impact on the Fund’s total return.

(e) Includes the Fund’s share of the Master Portfolio’s allocated expenses and/or net investment income.

(f)  Excludes expenses incurred indirectly as a result of investments in underlying funds as follows:

  

  

   

  

  

   

                                           
            Year Ended September 30,  
         2020     2019     2018     2017     2016  
 

 Investments in underlying funds

          0.01           0.01           0.01           0.01           0.01
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

(g) Includes the Fund’s share of the Master Portfolio’s allocated fees waived of 0.01%.

(h) Includes the Fund’s share of the Master Portfolio’s allocated fees waived of less than 0.01%.

(i)  Includes MDRs. Additional information regarding portfolio turnover rate is as follows:

  

  

   

                                           
        Year Ended September 30,  
         2020     2019     2018     2017     2016  
 

 Portfolio turnover rate (excluding MDRs)

          274           241           350           540           598
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

See notes to financial statements.

 

 

16  

2 0 2 0  B L A C K O C K  N  N U A L  E P O R T  T O  H A R E H O L D E R S


Financial Highlights  (continued)

(For a share outstanding throughout each period)

    

 

        BlackRock Total Return Fund (continued)  
        Investor C  
        Year Ended September 30,  
          2020     2019     2018     2017     2016  

Net asset value, beginning of year

  $ 11.95     $ 11.21     $ 11.77     $ 11.95     $ 11.70  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income(a)

    0.16       0.27       0.27       0.22       0.20  

Net realized and unrealized gain (loss)

    0.60       0.74       (0.56     (0.16     0.31  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) from investment operations

    0.76       1.01       (0.29     0.06       0.51  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Distributions from net investment income(b)

    (0.18     (0.27     (0.27     (0.24     (0.26
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of year

  $ 12.53     $ 11.95     $ 11.21     $ 11.77     $ 11.95  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Return(c)

         

Based on net asset value

    6.44 %(d)       9.14     (2.53 )%(d)      0.52     4.42
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Ratios to Average Net Assets(e)

         

Total expenses(f)

    1.49 %(g)       1.51 %(g)       1.82 %(h)       1.76 %(h)       1.66 %(h)  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses after fees waived and/or reimbursed(f)

    1.44 %(g)       1.44 %(g)       1.74 %(h)       1.68 %(h)       1.58 %(h)  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses after fees waived and/or reimbursed and excluding interest expense(f)

    1.44 %(g)       1.44 %(g)       1.45 %(h)       1.45 %(h)       1.45 %(h)  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income(f)

    1.36 %(g)       2.35 %(g)       2.32 %(h)       1.90 %(h)       1.67 %(h)  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Supplemental Data

         

Net assets, end of year (000)

  $  140,034     $  209,532     $  235,682     $  339,329     $  498,254  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Portfolio turnover rate of the Master Portfolio(i)

    556     574     734     806     841
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

(a) Based on average shares outstanding.

(b) Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

(c)  Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

(d) Includes a payment received from an affiliate, which had no impact on the Fund’s total return.

(e) Includes the Fund’s share of the Master Portfolio’s allocated expenses and/or net investment income.

(f)  Excludes expenses incurred indirectly as a result of investments in underlying funds as follows:

  

  

   

  

  

   

                                           
           Year Ended September 30,  
         2020     2019     2018     2017     2016  
 

 Investments in underlying funds

          0.01           0.01           0.01           0.01           0.01
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

(g) Includes the Fund’s share of the Master Portfolio’s allocated fees waived of 0.01%.

(h) Includes the Fund’s share of the Master Portfolio’s allocated fees waived of less than 0.01%.

(i)  Includes MDRs. Additional information regarding portfolio turnover rate is as follows:

  

  

   

                                           
        Year Ended September 30,  
         2020     2019     2018     2017     2016  
 

 Portfolio turnover rate (excluding MDRs)

          274           241           350           540           598
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

See notes to financial statements.

 

 

I N A N C I A L  I G H L I G H T  S

  17


Financial Highlights  (continued)

(For a share outstanding throughout each period)

    

 

        BlackRock Total Return Fund (continued)  
        Class K  
        Year Ended September 30,  
          2020     2019     2018     2017     2016  

Net asset value, beginning of year

  $ 11.95     $ 11.21     $ 11.77     $ 11.95     $ 11.71  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income(a)

    0.29       0.39       0.39       0.35       0.32  

Net realized and unrealized gain (loss)

    0.60       0.74       (0.56     (0.17     0.30  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) from investment operations

    0.89       1.13       (0.17     0.18       0.62  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Distributions from net investment income(b)

    (0.31     (0.39     (0.39     (0.36     (0.38
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of year

  $ 12.53     $ 11.95     $ 11.21     $ 11.77     $ 11.95  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Return(c)

         

Based on net asset value

    7.59 %(d)       10.30     (1.49 )%(d)       1.59     5.44
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Ratios to Average Net Assets(e)

         

Total expenses(f)

    0.37 %(g)       0.37 %(g)       0.64 %(h)       0.64 %(h)       0.52 %(h)  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses after fees waived and/or reimbursed(f)

    0.37 %(g)       0.37 %(g)       0.64 %(h)       0.63 %(h)       0.52 %(h)  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses after fees waived and/or reimbursed and excluding interest expense(f)

    0.37 %(g)       0.37 %(g)       0.38 %(h)       0.39 %(h)       0.39 %(h)  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income(f)

    2.41 %(g)       3.40 %(g)       3.36 %(h)       3.00 %(h)       2.73 %(h)  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Supplemental Data

         

Net assets, end of year (000)

  $  7,491,107     $  6,015,062     $  4,726,240     $  3,751,146     $  2,770,095  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Portfolio turnover rate of the Master Portfolio(i)

    556     574     734     806     841
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

(a) Based on average shares outstanding.

(b) Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

(c)  Where applicable, assumes the reinvestment of distributions.

(d) Includes a payment received from an affiliate, which had no impact on the Fund’s total return.

(e) Includes the Fund’s share of the Master Portfolio’s allocated expenses and/or net investment income.

(f)  Excludes expenses incurred indirectly as a result of investments in underlying funds as follows:

  

  

   

  

  

   

                                           
        Year Ended September 30,  
         2020     2019     2018     2017     2016  
 

 Investments in underlying funds

          0.01           0.01           0.01           0.01           0.01
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

(g) Includes the Fund’s share of the Master Portfolio’s allocated fees waived of 0.01%.

(h) Includes the Fund’s share of the Master Portfolio’s allocated fees waived of less than 0.01%.

(i)  Includes MDRs. Additional information regarding portfolio turnover rate is as follows:

  

  

   

                                           
        Year Ended September 30,  
         2020     2019     2018     2017     2016  
 

 Portfolio turnover rate (excluding MDRs)

          274           241         350           540           598
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

See notes to financial statements.

 

 

18  

2 0 2 0  B L A C K O C K  N  N U A L  E P O R T  T O  H A R E H O L D E R S


Financial Highlights  (continued)

(For a share outstanding throughout each period)

    

 

         BlackRock Total Return Fund (continued)  
         Class R  
         Year Ended September 30,  
           2020     2019     2018     2017     2016  

Net asset value, beginning of year

   $ 11.96     $ 11.22     $ 11.78     $ 11.96     $ 11.71  
    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income(a)

     0.22       0.32       0.31       0.28       0.24  

Net realized and unrealized gain (loss)

     0.59       0.74       (0.56     (0.17     0.32  
    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) from investment operations

     0.81       1.06       (0.25     0.11       0.56  
    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Distributions from net investment income(b)

     (0.23     (0.32     (0.31     (0.29     (0.31
    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of year

   $ 12.54     $ 11.96     $ 11.22     $ 11.78     $ 11.96  
    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Return(c)

          

Based on net asset value

     6.88 %(d)      9.58     (2.12 )%(d)      0.93     4.86
    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Ratios to Average Net Assets(e)

          

Total expenses(f)

     1.04 %(g)      1.07 %(h)       1.37 %(h)       1.34 %(h)       1.22 %(h) 
    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses after fees waived and/or reimbursed(f)

     1.03 %(g)      1.03 %(h)       1.31 %(h)       1.29 %(h)       1.17 %(h) 
    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses after fees waived and/or reimbursed and excluding interest expense(f)

     1.03 %(g)      1.03 %(h)       1.04 %(h)       1.04 %(h)       1.04 %(h) 
    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income(f)

     1.80 %(g)      2.76 %(h)       2.72 %(h)       2.36 %(h)       2.06 %(h) 
    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Supplemental Data

          

Net assets, end of year (000)

   $  85,550     $  142,718     $  156,009     $  160,166     $  90,332  
    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Portfolio turnover rate of the Master Portfolio(i)

     556     574     734     806     841
    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

(a) Based on average shares outstanding.

(b) Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

(c)  Where applicable, assumes the reinvestment of distributions.

(d) Includes a payment received from an affiliate, which had no impact on the Fund’s total return.

(e) Includes the Fund’s share of the Master Portfolio’s allocated expenses and/or net investment income.

(f)  Excludes expenses incurred indirectly as a result of investments in underlying funds as follows:

 

  

  

   

  

  

   

   
         Year Ended September 30,  
          2020     2019     2018     2017     2016  
 

 Investments in underlying funds

           0.01           0.01           0.01           0.01           0.01
    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

(g) Includes the Fund’s share of the Master Portfolio’s allocated fees waived of 0.01%.

(h) Includes the Fund’s share of the Master Portfolio’s allocated fees waived of less than 0.01%.

(i)  Includes MDRs. Additional information regarding portfolio turnover rate is as follows:

  

  

   

                                            
             Year Ended September 30,  
          2020     2019     2018     2017     2016  
 

 Portfolio turnover rate (excluding MDRs)

           274           241           350           540           598
    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

See notes to financial statements.

 

 

I N A N C I A L  I G H L I G H T  S

  19


Notes to Financial Statements

    

 

1.

ORGANIZATION

BlackRock Total Return Fund (the “Fund”), a series of BlackRock Bond Fund, Inc. (the “Corporation”), is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Fund is classified as diversified. The Fund seeks to achieve its investment objective by investing all of its assets in Master Total Return Portfolio (the “Master Portfolio”) of Master Bond LLC, an affiliate of the Fund, which has the same investment objective and strategies as the Fund. The Corporation is organized as a Maryland corporation. The Master Bond LLC is organized as a Delaware limited liability company. The value of the Fund’s investment in the Master Portfolio reflects the Fund’s proportionate interest in the net assets of the Master Portfolio. The performance of the Fund is directly affected by the performance of the Master Portfolio. At September 30, 2020, the percentage of the Master Portfolio owned by the Fund was 95.1%. The financial statements of the Master 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 offers multiple classes of shares. All classes of shares have identical voting, dividend, liquidation and other rights and are subject to the same terms and conditions, except that certain classes bear expenses related to the shareholder servicing and distribution of such shares. Institutional, Service and Class K Shares are sold only to certain eligible investors. Class R Shares are sold only to certain employer-sponsored retirement plans. Service, Investor A, Investor A1, Investor C and Class R Shares bear certain expenses related to shareholder servicing of such shares, and Investor C and Class R Shares also bear certain expenses related to the distribution of such shares. Investor A and Investor C Shares are generally available through financial intermediaries. Investor A1 Shares are only available for dividend and capital gain reinvestment by existing shareholders, and for purchase by certain employer-sponsored retirement plans. Each class has exclusive voting rights with respect to matters relating to its shareholder servicing and distribution expenditures (except that Investor C shareholders may vote on material changes to the Investor A Shares distribution and service plan).

The Board of Directors of the Corporation and Board of Directors of the Master Bond LLC are referred to throughout this report as the “Board of Directors” or the “Board” and the members are referred to as “Directors”.

 

       
Share Class   Initial Sales Charge     CDSC     Conversion Privilege  

Institutional, Service, Class K and Class R Shares

    No       No       None  

Investor A Shares

    Yes       No (a)      None  

Investor A1 Shares

    No (b)      No (c)      None  

Investor C Shares

    No       Yes (d)      To Investor A Shares after approximately 10 years(e)  

 

(a) 

Investor A Shares may be subject to a contingent deferred sales charge (“CDSC”) where no initial sales charge was paid at the time of purchase.

(b) 

Investor A1 Shares are subject to a maximum sales charge on purchases of 1.00%. The sales charge does not apply to dividend and capital gain reinvestments by existing shareholders and new purchases for certain employer-sponsored retirement plans, which are currently the only investors who may invest in Investor A1 Shares.

(c) 

Investor A1 Shares may be subject to a CDSC for certain redemptions where no initial sales charge was paid at the time of purchase. However, the CDSC does not apply to redemptions by certain employer-sponsored retirement plans, or to redemptions of shares acquired through reinvestment of dividends and capital gains by existing shareholders.

(d) 

A CDSC of 1.00% is assessed on certain redemptions of Investor C Shares made within one year of after purchase.

(e) 

Effective November 23, 2020, the automatic conversion feature will be modified to reduce the conversion period from ten years to eight years.

On February 24, 2020, the Fund’s issued and outstanding Investor C1 and Investor C2 Shares converted into Investor A Shares.

The Fund, together with certain other registered investment companies advised by BlackRock Advisors, LLC (the “Manager”) or its affiliates, is included in a complex of non-index fixed-income mutual funds and all BlackRock-advised closed-end funds referred to as the BlackRock Fixed-Income Complex.

 

2.

SIGNIFICANT ACCOUNTING POLICIES

The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. The Fund is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:

Investment Transactions and Income Recognition: For financial reporting purposes, contributions to and withdrawals from the Master Portfolio are accounted for on a trade date basis. The Fund records its proportionate share of the Master Portfolio’s income, expenses and realized and unrealized gains and losses on a daily basis. Realized and unrealized gains and losses are adjusted utilizing partnership tax allocation rules. In addition, the Fund accrues its own expenses. Income, expenses and realized and unrealized gains and losses are allocated daily to each class based on its relative net assets.

Distributions: Distributions from net investment income are declared daily and paid monthly. Distributions of capital gains are recorded on the ex-dividend date and made at least annually. The character and timing of distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.

Deferred Compensation Plan: Under the Deferred Compensation Plan (the “Plan”) approved by the Corporation’s Board, the directors who are not “interested persons” of the Fund, as defined in the 1940 Act (“Independent Directors”), may defer a portion of their annual complex-wide compensation. Deferred amounts earn an approximate return as though equivalent dollar amounts had been invested in common shares of certain funds in the BlackRock Fixed-Income Complex selected by the Independent Directors. This has the same economic effect for the Independent Directors as if the Independent Directors had invested the deferred amounts directly in certain funds in the BlackRock Fixed-Income Complex.

The Plan is not funded and obligations thereunder represent general unsecured claims against the general assets of the Fund, as applicable. Deferred compensation liabilities, if any, are included in the Directors’ and Officer’s fees payable in the Statement of Assets and Liabilities and will remain as a liability of the Fund until such amounts are distributed in accordance with the Plan.

 

 

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Notes to Financial Statements  (continued)

    

 

Indemnifications: In the normal course of business, the Fund enters into contracts that contain a variety of representations that provide general indemnification. The Fund’s maximum exposure under these arrangements is unknown because it involves future potential claims against the Fund, which cannot be predicted with any certainty.

Other: Expenses directly related to the Fund or its classes are charged to the Fund or the applicable class. Expenses directly related to the Fund and other shared expenses prorated to the Fund are allocated daily to each class based on its relative net assets or other appropriate methods. Other operating expenses shared by several funds, including other funds managed by the Manager, are prorated among those funds on the basis of relative net assets or other appropriate methods.

The Fund has an arrangement with its custodian whereby credits are earned on uninvested cash balances, which could be used to reduce custody fees and/or overdraft charges. The Fund may incur charges on overdrafts, subject to certain conditions.

 

3.

INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS

The Fund’s policy is to value its financial instruments at fair value. The Fund records its investment in the Master Portfolio at fair value based on the Fund’s proportionate interest in the net assets of the Master Portfolio. Valuation of securities held by the Master Portfolio is discussed in Note 3 of the Master Portfolio’s Notes to Financial Statements, which are included elsewhere in this report.

 

4.

INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES

Investment Advisory: The Corporation, on behalf of the Fund, entered into an Investment Advisory Agreement with the Manager, the Fund’s investment adviser and an indirect, wholly-owned subsidiary of BlackRock, Inc. (“BlackRock”), to provide investment advisory and administrative services. The Manager is responsible for the management of the Fund’s portfolio and provides the personnel, facilities, equipment and certain other services necessary to the operations of the Fund.

For such services, the Fund pays the Manager a monthly fee at an annual rate equal to the following percentages of the average daily value of the Fund’s net assets:

 

   
Average Daily Net Assets  

Investment   

Advisory Fees(a)   

First $250 million

  0.32% 

$250 million — $500 million

  0.31    

$500 million — $750 million

  0.30    

Greater than $750 million

  0.29    

 

(a) 

This investment advisory fee applies to the Fund for as long as the Fund invests in the Master Portfolio or another master fund advised by the Manager or an affiliate thereof in a master-feeder structure. If the Fund ceases to operate as a feeder fund in a master/feeder structure, the maximum actual investment advisory fees payable to the Manager (as a percentage of average daily net assets) by the Fund are as follows: 0.48% (first $250 million), 0.43% ($250 million - $500 million), 0.38% ($500 million - $750 million) and 0.34% (greater than $750 million).

With respect to the Fund, the Manager entered into separate sub-advisory agreements with BlackRock International Limited (“BIL”) and BlackRock (Singapore) Limited (“BRS”), each an affiliate of the Manager. The Manager pays BIL and BRS for services they provide for that portion of the Fund for which BIL and BRS, as applicable, act as sub-advisers, a monthly fee that is equal to a percentage of the investment advisory fees paid by the Fund to the Manager.

Service and Distribution Fees: The Corporation, on behalf of the Fund, entered into a Distribution Agreement and a Distribution and Service Plan with BlackRock Investments, LLC (“BRIL”), an affiliate of the Manager. Pursuant to the Distribution and Service Plan and in accordance with Rule 12b-1 under the 1940 Act, the Fund pays BRIL 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 relevant share class of the Fund as follows:

 

     
Share Class   Service Fees      Distribution Fees   

Service

    0.25    N/A   

Investor A

    0.25      N/A   

Investor A1

    0.10      N/A   

Investor C

    0.25      0.75%

Investor C1(a)

    0.25      0.55   

Investor C2(a)

    0.25      0.25   

Class R

    0.25      0.25   

 

  (a) 

On February 24, 2020, the Fund’s Investor C1 and Investor C2 Shares converted into Investor A Shares.

 

BRIL and broker-dealers, pursuant to sub-agreements with BRIL, provide shareholder servicing and distribution services to the Fund. The ongoing service and/or distribution fee compensates BRIL and each broker-dealer for providing shareholder servicing and/or distribution related services to shareholders.

For the year ended September 30, 2020, the following table shows the class specific service and distribution fees borne directly by each share class of the Fund:

 

                 
     Service    Investor A    Investor A1    Investor C    Investor C1(a)    Investor C2(a)    Class R    Total   

Service and distribution fees — class specific

  $ 256,902    $ 4,716,052    $ 22,848    $ 1,972,851    $ 7,563    $ 1,062    $ 472,354    $ 7,449,632   

 

  (a) 

On February 24, 2020, the Fund’s Investor C1 and Investor C2 Shares converted into Investor A Shares.

 

 

 

O T E S  T O  I N A N C I A L  T A T E M E N T S

  21


Notes to Financial Statements  (continued)

    

 

Transfer Agent: Pursuant to written agreements, certain financial intermediaries, some of which may be affiliates, provide the Fund with sub-accounting, recordkeeping, sub-transfer agency and other administrative services with respect to servicing of underlying investor accounts. For these services, these entities receive an asset-based fee or an annual fee per shareholder account, which will vary depending on share class and/or net assets. The Fund paid the following amounts to affiliates of BlackRock in return for these services, which are included in transfer agent — class specific in the Statement of Operations:

 

     
 Institutional   Class R    Total   

$ 1,278,860

  $ 10    $ 1,278,870   

The Manager maintains a call center that is responsible for providing certain shareholder services to the Fund. Shareholder services include responding to inquiries and processing purchases and sales based upon instructions from shareholders. For the year ended September 30, 2020, the Fund reimbursed the Manager the following amounts for costs incurred in running the call center, which are included in transfer agent — class specific in the Statement of Operations:

 

                     
     Institutional    Service    Investor A    Investor A1    Investor C    Investor C1(a)    Investor C2(a)    Class K    Class R    Total   

Amounts reimbursed

  $ 38,847    $ 763    $ 14,713    $ 148    $ 3,551    $ 20    $ 4    $ 14,434    $ 1,311    $ 73,791   

 

  (a) 

On February 24, 2020, the Fund’s Investor C1 and Investor C2 Shares converted into Investor A Shares.

 

For the year ended September 30, 2020, the following table shows the class specific transfer agent fees borne directly by each share class of the Fund:

 

                     
     Institutional    Service    Investor A    Investor A1    Investor C    Investor C1(a)    Investor C2(a)    Class K    Class R    Total   

Transfer agent fees — class specific

  $ 8,982,015    $ 131,186    $ 2,844,365    $ 33,000    $ 248,582    $ 2,945    $ 683    $ 346,466    $ 166,828    $ 12,756,070   

 

  (a) 

On February 24, 2020, the Fund’s Investor C1 and Investor C2 Shares converted into Investor A Shares.

 

Other Fees: For the year ended September 30, 2020, affiliates earned underwriting discounts, direct commissions and dealer concessions on sales of the Fund’s Investor A Shares of $65,873.

For the year ended September 30, 2020, affiliates received CDSCs as follows:

 

 

 
Share Class   Amounts  

 

 

Investor A

  $  106,681  

Investor C

    14,742  
 

 

 

 
  $  121,423  
 

 

 

 

Expense Limitations, Waivers and Reimbursements: With the exception of the Fund’s investment in the Master Portfolio, the Manager contractually agreed to waive its investment advisory fee with respect to any portion of the Fund’s assets invested in affiliated equity and fixed-income mutual funds and affiliated exchange-traded funds that have a contractual management fee through January 31, 2021. The contractual agreement may be terminated upon 90 days’ notice by a majority of the Independent Directors, or by a vote of a majority of the outstanding voting securities of the Fund. For the year ended September 30, 2020, there were no fees waived and/or reimbursed by the Manager pursuant to this arrangement.

With respect to the Fund, the Manager contractually agreed to waive and/or reimburse fees or expenses in order to limit expenses, excluding interest expense, dividend expense, tax expense, acquired fund fees and expenses, and certain other fund expenses, which constitute extraordinary expenses not incurred in the ordinary course of the Fund’s business (“expense limitation”). The expense limitations as a percentage of average daily net assets are as follows:

 

 

 
Share Class   Expense
Limitations
 

 

 

Institutional

    0.44%  

Service

    0.75  

Investor A

    0.78  

Investor A1

    0.59  

Investor C

    1.44  

Investor C1(a)

    1.36  

Investor C2(a)

    1.03  

Class K

    0.39  

Class R

    1.03  

 

 

 

  (a) 

On February 24, 2020, the Fund’s Investor C1 and Investor C2 Shares converted into Investor A Shares.

 

The Manager has agreed not to reduce or discontinue this contractual expense limitation through January 31, 2021, unless approved by the Board, including a majority of the Independent Directors, or by a vote of a majority of the outstanding voting securities of the Fund. For the year ended September 30, 2020, there were no fees waived and/or reimbursed by the Manager pursuant to this agreement.

 

 

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Notes to Financial Statements  (continued)

    

 

These amounts waived and/or reimbursed are included in transfer agent fees waived and/or reimbursed — class specific in the Statement of Operations. For the year ended September 30, 2020, the class specific waivers and/or reimbursements are as follows:

 

                   
     Institutional     Service     Investor A     Investor A1     Investor C     Investor C1(a)     Investor C2(a)     Class R     Total     

Transfer agent fees waived and/or reimbursed — class specific

    $ 2,735,506       $ 2,915       $ 4,330       $ 4,255       $ 94,382     $ 991       $ 324       $ 8,657       $ 2,851,360     

 

  (a) 

On February 24, 2020, the Fund’s Investor C1 and Investor C2 Shares converted into Investor A Shares.

 

Interfund Lending: In accordance with an exemptive order (the “Order”) from the U.S. Securities and Exchange Commission (“SEC”), the Fund may participate in a joint lending and borrowing facility for temporary purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the Fund’s investment policies and restrictions. The Fund is currently permitted to borrow under the Interfund Lending Program.

A lending BlackRock fund may lend in aggregate up to 15% of its net assets, but may not lend more than 5% of its net assets to any one borrowing fund through the Interfund Lending Program. A borrowing BlackRock fund may not borrow through the Interfund Lending Program or from any other source more than 33 1/3% of its total assets (or any lower threshold provided for by the fund’s investment restrictions). If a borrowing BlackRock fund’s total outstanding borrowings exceed 10% of its total assets, each of its outstanding interfund loans will be subject to collateralization of at least 102% of the outstanding principal value of the loan. All interfund loans are for temporary or emergency purposes and the interest rate to be charged will be the average of the highest current overnight repurchase agreement rate available to a lending fund and the bank loan rate, as calculated according to a formula established by the Board.

During the year ended September 30, 2020, the Fund did not participate in the Interfund Lending Program.

Directors and Officers: Certain directors and/or officers of the Corporation are directors and/or officers of BlackRock or its affiliates. The Fund reimburses the Manager for a portion of the compensation paid to the Corporation’s Chief Compliance Officer, which is included in Officer in the Statement of Operations.

Other Transactions: During the year ended September 30, 2020, the Fund received a reimbursement of $4,198 from an affiliate, which is included in payment by affiliate in the Statement of Operations, related to an operating event.

 

5.

INCOME TAX INFORMATION

It is the Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of its taxable income to its shareholders. Therefore, no U.S. federal income tax provision is required.

The Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Fund’s U.S. federal tax returns generally remains open for a period of three fiscal years after they are filed. The statutes of limitations on the Fund’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.

Management has analyzed tax laws and regulations and their application to the Fund as of September 30, 2020, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Fund’s financial statements.

The tax character of distributions paid was as follows:

 

 

 
    09/30/20      09/30/19  

 

 

Ordinary income

  $  416,886,432      $  430,683,296  

 

 

As of period end, the tax components of accumulated net earnings (losses) were as follows:

 

 

 
    Amounts  

 

 

Undistributed ordinary income

  $ 397,887,250  

Undistributed long-term capital gains

    305,327,437  

Net unrealized gains(a)

    361,711,469  
 

 

 

 
  $   1,064,926,156  
 

 

 

 
 

 

 

 

  (a) 

The difference between book-basis and tax-basis net unrealized gains was attributable primarily to the timing of income recognition on partnership interests.

 

During the year ended September 30, 2020, the Fund utilized $61,799,267 of its capital loss carryforward.

 

 

O T E S  T O  I N A N C I A L  T A T E M E N T S

  23


Notes to Financial Statements  (continued)

    

 

6.

CAPITAL SHARE TRANSACTIONS

Transactions in capital shares for each class were as follows:

 

       
    Year Ended 09/30/20     Year Ended 09/30/19        
Share Class   Shares     Amounts     Shares     Amounts         

Institutional

         

Shares sold

    407,197,673     $ 4,930,002,061       248,575,631     $ 2,861,599,396                       

Shares issued in reinvestment of distributions

    14,373,580       175,160,958       14,525,913       167,432,098    

Shares redeemed

    (244,952,396     (2,956,238,422     (197,982,082     (2,255,643,059  
 

 

 

   

 

 

   

 

 

   

 

 

   
    176,618,857     $ 2,148,924,597       65,119,462     $ 773,388,435    
 

 

 

   

 

 

   

 

 

   

 

 

   

Service

         

Shares sold

    2,119,639     $ 25,615,636       2,633,011     $ 30,539,897    

Shares issued in reinvestment of distributions

    194,920       2,358,873       290,731       3,346,732    

Shares redeemed

    (7,758,975     (94,719,115     (3,320,538     (37,717,924  
 

 

 

   

 

 

   

 

 

   

 

 

   
    (5,444,416   $ (66,744,606     (396,796   $ (3,831,295  
 

 

 

   

 

 

   

 

 

   

 

 

   

Investor A

         

Shares sold and automatic conversion of shares

    84,663,818     $ 1,032,517,166       52,838,741     $ 608,058,533    

Shares issued in reinvestment of distributions

    3,222,095       39,242,986       4,315,535       49,716,759    

Shares redeemed

    (70,592,751     (850,309,256     (57,369,066     (655,450,031  
 

 

 

   

 

 

   

 

 

   

 

 

   
    17,293,162     $ 221,450,896       (214,790   $ 2,325,261    
 

 

 

   

 

 

   

 

 

   

 

 

   

Investor A1

         

Shares sold

    522,733     $ 6,411,563       728,073     $ 8,251,242    

Shares issued in reinvestment of distributions

    37,182       451,698       71,592       823,903    

Shares redeemed

    (1,016,865     (12,228,873     (895,767     (10,300,632  
 

 

 

   

 

 

   

 

 

   

 

 

   
    (456,950   $ (5,365,612     (96,102   $ (1,225,487  
 

 

 

   

 

 

   

 

 

   

 

 

   

Investor C

         

Shares sold

    3,772,518     $ 45,891,628       2,388,212     $ 27,390,322    

Shares issued in reinvestment of distributions

    217,692       2,637,204       394,319       4,531,917    

Shares redeemed and automatic conversion of shares

    (10,351,551     (128,116,264     (6,268,068     (71,295,742  
 

 

 

   

 

 

   

 

 

   

 

 

   
    (6,361,341   $ (79,587,432     (3,485,537   $ (39,373,503  
 

 

 

   

 

 

   

 

 

   

 

 

   

Investor C1(a)

         

Shares sold

    8,015     $ 95,808       47,120     $ 538,826    

Shares issued in reinvestment of distributions

    1,289       15,443       10,726       122,547    

Shares redeemed and automatic conversion of shares

    (246,294     (2,992,951     (782,823     (8,816,460  
 

 

 

   

 

 

   

 

 

   

 

 

   
    (236,990   $ (2,881,700     (724,977   $ (8,155,087  
 

 

 

   

 

 

   

 

 

   

 

 

   

Investor C2(a)

         

Shares sold

    2,071     $ 24,731       15,166     $ 173,976    

Shares issued in reinvestment of distributions

    357       4,268       1,693       19,459    

Shares redeemed and automatic conversion of shares

    (60,923     (735,119     (49,499     (554,379  
 

 

 

   

 

 

   

 

 

   

 

 

   
    (58,495   $ (706,120     (32,640   $ (360,944  
 

 

 

   

 

 

   

 

 

   

 

 

   

Class K

         

Shares sold

    202,032,912     $ 2,461,899,430       177,823,402     $   2,038,544,786    

Shares issued in reinvestment of distributions

    13,179,979       160,520,192       14,426,091       166,439,994    

Shares redeemed

    (120,799,590     (1,450,443,307     (110,398,196     (1,256,722,089  
 

 

 

   

 

 

   

 

 

   

 

 

   
    94,413,301     $   1,171,976,315       81,851,297     $ 948,262,691    
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

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Notes to Financial Statements  (continued)

    

 

       
    Year Ended 09/30/20     Year Ended 09/30/19        
Share Class   Shares     Amounts     Shares     Amounts         

Class R

         

Shares sold

    2,264,561     $ 27,639,353       3,353,858     $ 38,664,537                       

Shares issued in reinvestment of distributions

    151,229       1,836,493       341,935       3,935,434    

Shares redeemed

    (7,529,338     (90,449,776     (5,664,806     (64,748,753  
 

 

 

   

 

 

   

 

 

   

 

 

   
    (5,113,548   $ (60,973,930     (1,969,013   $ (22,148,782  
 

 

 

   

 

 

   

 

 

   

 

 

   
    270,653,580     $   3,326,092,408       140,050,904     $   1,648,881,289    
 

 

 

   

 

 

   

 

 

   

 

 

   

 

  (a) 

On February 24, 2020, the Fund’s issued and outstanding Investor C1 and Investor C2 Shares converted into Investor A Shares.

 

 

7.

SUBSEQUENT EVENTS

Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were issued and has determined that there were no subsequent events requiring adjustment or additional disclosure in the financial statements.

 

 

O T E S  T O  I N A N C I A L  T A T E M E N T S

  25


Report of Independent Registered Public Accounting Firm

    

 

To the Shareholders of BlackRock Total Return Fund and the Board of Directors of BlackRock Bond Fund, Inc.:

Opinion on the Financial Statements and Financial Highlights

We have audited the accompanying statement of assets and liabilities of BlackRock Total Return Fund of Blackrock Bond Fund, Inc. (the “Fund”), as of September 30, 2020, 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, the financial highlights for each of the five years in the period then ended, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of September 30, 2020, and 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.

Basis for Opinion

These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. 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, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. We believe that our audits provide a reasonable basis for our opinion.

Deloitte & Touche LLP

Boston, Massachusetts

November 20, 2020

We have served as the auditor of one or more BlackRock investment companies since 1992.

 

 

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Important Tax Information  (unaudited)

    

  

 

For the fiscal year ended September 30, 2020, the Fund hereby designates the following maximum amounts allowable as interest-related dividends eligible for exemption from U.S. withholding tax for nonresident aliens and foreign corporations:

 

 

 
Fund Name   Interest-Related
Dividends
 

 

 

BlackRock Total Return Fund

    $ 337,775,940  

 

 

The Fund hereby designates the following amount of distributions from direct federal obligation interest for the fiscal year ended September 30, 2020:

 

 

 
Fund Name   Federal Obligation
Interest
 

 

 

BlackRock Total Return Fund

    $ 14,909,911  

 

 

The law varies in each state as to whether and what percent of ordinary income dividends attribute to federal obligations is exempt from state income tax. Shareholders are advised to check with their tax advisers to determine if any portion of the dividends received is exempt from state income tax.

 

 

M P O R T A N T  A X  N F O R  M A T I O N

  27


Portfolio Information as of September 30, 2020

  

Master Total Return Portfolio

 

PORTFOLIO COMPOSITION

 

 

 

Asset Type

   

Percent of  

Total Investments(a)

 

 

 

 

U.S. Government Sponsored Agency Securities

    40%  

Corporate Bonds

    28     

U.S. Treasury Obligations

    10     

Asset-Backed Securities

    8     

Foreign Government Obligations

    5     

Non-Agency Mortgage-Backed Securities

    4     

Municipal Bonds

    2     

Floating Rate Loan Interests

    1     

Investment Companies

    1     

Foreign Agency Obligations

    1     

Preferred Securities

    (b)    

Common Stocks

    (b)    

Warrants

    (b)    

 

 

CREDIT QUALITY ALLOCATION

 

 

 

Credit Rating(c)

   

Percent of  

Total Investments(a)

 

 

 

 

AAA/Aaa(d)

    55%  

AA/Aa

    4     

A

    14     

BBB/Baa

    14     

BB/Ba

    4     

B

    2     

CCC/Caa

    1     

N/R

    6     

 

 
 
(a) 

Total investments exclude short-term securities, options purchased, options written and TBA sale commitments.

(b) 

Amount is less than 1%.

(c) 

For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P Global Ratings or Moody’s if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.

(d) 

The investment adviser evaluates the credit quality of unrated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors, individual investments and/or issuers. Using this approach, the investment adviser has deemed unrated U.S. Government Sponsored Agency Securities and U.S. Treasury Obligations to be of similar credit quality as investments rated AAA/Aaa.

 

 

28  

2 0 2 0  B L A C K O C K  N  N U A L  E P O R T  T O  H A R E H O L D E R S


Schedule of Investments

September 30, 2020

  

Master Total Return Portfolio

(Percentages shown are based on Net Assets)

 

 

Security  

Par

(000)

    Value  

Asset-Backed Securities

 

ACE Securities Corp. Home Equity Loan Trust

     

Series 2003-OP1, Class A2, (1 mo. LIBOR US + 0.72%), 0.87%, 12/25/33(a)

    USD       581     $ 517,304  

Series 2006-CW1, Class A2C, (1 mo. LIBOR US + 0.14%), 0.29%, 07/25/36(a)

      352       302,596  

Series 2007-HE4, Class A2A, (1 mo. LIBOR US + 0.13%), 0.28%, 05/25/37(a)

      2,657       686,030  

Series 2007-HE4, Class A2C, (1 mo. LIBOR US + 0.30%), 0.45%, 05/25/37(a)

      234       65,466  

ACIS CLO Ltd., Series 2014-4A, Class A, (3 mo. LIBOR US + 1.42%), 1.67%, 05/01/26(a)(b)

      511       510,409  

Adams Mill CLO Ltd.

     

Series 2014-1A, Class A2R, (3 mo. LIBOR US + 1.10%),
1.38%, 07/15/26(a)(b)

      2,544       2,533,287  

Series 2014-1A, Class C1R, (3 mo. LIBOR US + 2.35%),
2.63%, 07/15/26(a)(b)

      1,610       1,592,450  

AGL CLO 7 Ltd.

     

Series 2020-7A, Class A1, (3 mo. LIBOR US + 1.80%), 2.05%, 07/15/31(a)(b)

      2,400       2,400,003  

Series 2020-7A, Class D, (3 mo. LIBOR US + 4.40%), 4.65%, 07/15/31(a)(b)

      500       500,013  

AGL Core CLO 2 Ltd., Series 2019-2A, Class A1, (3 mo. LIBOR US + 1.39%), 1.66%, 04/20/32(a)(b)

      8,405       8,396,956  

AGL Core CLO 5 Ltd., Series 2020-5A, Class D, (3 mo. LIBOR US + 4.95%), 5.25%, 07/20/30(a)(b)(c)

      1,750       1,737,400  

AIMCO CLO

     

Series 2015-AA, Class BR, (3 mo. LIBOR US + 1.30%), 1.58%, 01/15/28(a)(b)

      950       924,073  

Series 2017-AA, Class A, (3 mo. LIBOR US + 1.26%), 1.53%, 07/20/29(a)(b)

      500       497,204  

Series 2017-AA, Class C, (3 mo. LIBOR US + 2.45%), 2.72%, 07/20/29(a)(b)

      500       489,707  

Ajax Mortgage Loan Trust

     

Series 2017-D, Class A,
3.75%, 12/25/57(b)

      8,436       8,468,338  

Series 2017-D, Class B,
0.00%, 12/25/57(b)(c)(d)

      1,691       993,123  

Series 2018-A, Class A,
3.85%, 04/25/58(b)(c)

      8,881       8,837,932  

Series 2018-A, Class B,
0.00%, 04/25/58(b)

      2,641       1,354,051  

Series 2018-B, Class A,
3.75%, 02/26/57(b)(c)

      3,835       3,830,735  

Series 2018-B, Class B,
0.00%, 02/26/57(b)

      2,646       728,691  

Series 2018-D, Class A,
3.75%, 08/25/58(b)(c)(d)

      10,203       10,202,793  

Series 2018-D, Class B,
0.00%, 08/25/58(b)(c)(d)

      2,846       1,437,193  

Series 2018-E, Class A,
4.38%, 06/25/58(b)(d)

      4,472       4,588,967  

Series 2018-E, Class B,
5.25%, 06/25/58(b)(c)(d)

      840       844,956  

Series 2018-E, Class C,
0.00%, 06/25/58(b)(d)

      2,116       1,611,265  

Series 2018-F, Class A,
4.38%, 11/25/58(b)(c)(d)

      14,503       14,620,807  

Series 2018-F, Class B,
5.25%, 11/25/58(b)(c)(d)

      2,415       2,393,657  

Series 2018-F, Class C,
0.00%, 11/25/58(b)

      5,661       3,545,878  

Series 2018-G, Class A,
4.38%, 06/25/57(b)(c)(d)

      11,942       11,643,824  

Series 2018-G, Class B,
5.25%, 06/25/57(b)(c)(d)

      2,042       1,541,710  

Series 2018-G, Class C,
0.00%, 06/25/57(b)(c)

      5,261       5,173,482  

Series 2019-A, Class A,
3.75%, 08/25/57(b)(d)

      12,182       12,392,604  

Series 2019-A, Class B,
5.25%, 08/25/57(b)(d)

      1,720       1,542,193  

Series 2019-A, Class C,
0.00%, 08/25/57(b)(c)

      4,309       3,569,411  

Series 2019-B, Class A,
3.75%, 01/25/59(b)(d)

      19,873       20,214,846  

Series 2019-B, Class B,
5.25%, 01/25/59(b)(c)(d)

      2,845       2,147,975  

Series 2019-B, Class C,
0.00%, 01/25/59(b)(c)

      7,281       6,249,106  

Series 2019-C, Class A,
3.95%, 10/25/58(b)(d)

      6,414       6,440,581  

Series 2019-E, Class A,
3.00%, 09/25/59(b)

      22,336       22,189,098  

Series 2019-E, Class B,
4.88%, 09/25/59(b)

      2,600       2,245,827  

Series 2019-E, Class C,
0.00%, 09/25/59(b)

      5,988       3,207,124  
Security  

Par

(000)

    Value  

Asset-Backed Securities (continued)

 

Ajax Mortgage Loan Trust

     

Series 2019-G, Class A,
3.00%, 09/25/59(b)(e)

    USD       15,656     $     15,528,496  

Series 2019-G, Class B,
4.25%, 09/25/59(b)(e)

      2,120       1,786,009  

Series 2019-G, Class C,
0.00%, 09/25/59(b)

      5,425       4,195,698  

Series 2019-H, Class A,
3.00%, 11/25/59(b)(e)

      13,839       13,725,534  

Series 2019-H, Class B,
4.25%, 11/25/59(b)(e)

      1,970       1,659,640  

Series 2019-H, Class C,
0.00%, 11/25/59(b)

      5,033       4,083,577  

Series 2020-A, Class A,
2.38%, 12/25/59(b)

      27,491       27,415,027  

Series 2020-A, Class B,
3.50%, 12/25/59(b)

      3,853       3,836,097  

Series 2020-A, Class C,
0.00%, 12/25/59(b)(c)

      9,310       5,834,255  

Series 2020-C, Class A,
2.25%, 09/27/60(b)(c)(e)

      30,440       29,921,360  

Series 2020-C, Class B,
5.00%, 09/27/60(b)(e)

      2,981       2,939,389  

Series 2020-C, Class C,
0.00%, 09/27/60(b)

      10,135       8,273,031  

Series 2020-D, Class A,
2.25%, 06/25/60(b)(c)(e)

      29,270       28,791,699  

Series 2020-D, Class B,
5.00%, 06/25/60(b)(e)

      4,238       4,179,318  

Series 2020-D, Class C,
0.00%, 06/25/60(b)

      10,899       8,688,731  

Allegro CLO II-S Ltd., Series 2014-1RA, Class A1, (3 mo. LIBOR US + 1.08%), 1.35%, 10/21/28(a)(b)

      3,790       3,779,830  

Allegro CLO IV Ltd.

     

Series 2016-1A, Class AR, (3 mo. LIBOR US + 1.15%), 1.43%, 01/15/30(a)(b)

      6,568       6,542,057  

Series 2016-1A, Class BR, (3 mo. LIBOR US + 1.70%), 1.98%, 01/15/30(a)(b)

      2,530       2,485,527  

Allegro CLO V Ltd., Series 2017-1A, Class A, (3 mo. LIBOR US + 1.24%), 1.51%, 10/16/30(a)(b)

      1,100       1,093,812  

ALM 2020 Ltd., Series 2020-1A, Class A2, (3 mo. LIBOR US + 1.85%),
2.13%, 10/15/29(a)(b)

      7,780       7,773,920  

ALM VII Ltd.

     

Series 2012-7A, Class A1A2, (3 mo. LIBOR US + 1.17%),
1.45%, 07/15/29(a)(b)

      750       745,986  

Series 2012-7A, Class A2R2, (3 mo. LIBOR US + 1.85%),
2.13%, 07/15/29(a)(b)

      591       586,221  

ALM VII R Ltd., Series 2013-7RA, Class A1R, (3 mo. LIBOR US + 1.41%), 1.69%, 10/15/28(a)(b)

      2,970       2,957,604  

ALM XIX Ltd.

     

Series 2016-19A, Class A1RA, (3 mo. LIBOR US + 1.00%),
1.28%, 04/16/29(a)(b)(c)

      750       747,375  

Series 2016-19A, Class A1RB, (3 mo. LIBOR US + 1.35%),
1.63%, 04/16/29(a)(b)(c)

      500       482,850  

Series 2016-19A, Class A2RA, (3 mo. LIBOR US + 1.45%),
1.73%, 04/16/29(a)(b)(c)

      3,370       3,338,996  

ALM XVI Ltd./ALM XVI LLC

     

Series 2015-16A, Class A2R2, (3 mo. LIBOR US + 1.50%),
1.78%, 07/15/27(a)(b)

      6,284       6,223,344  

Series 2015-16A, Class BR2, (3 mo. LIBOR US + 1.90%),
2.18%, 07/15/27(a)(b)

      2,060       2,006,035  

ALM XVIII Ltd., Series 2016-18A, Class A2R, (3 mo. LIBOR US + 1.65%), 1.93%, 01/15/28(a)(b)

      1,250       1,225,797  

AMMC CLO 16 Ltd., Series 2015-16A, Class BR, (3 mo. LIBOR US + 1.60%), 1.87%, 04/14/29(a)(b)

      500       487,979  

AMMC CLO 21 Ltd., Series 2017-21A, Class A, (3 mo. LIBOR US + 1.25%), 1.50%, 11/02/30(a)(b)

      750       743,920  

AMMC CLO XII Ltd., Series 2013-12A, Class AR, (3 mo. LIBOR US + 1.20%),
1.44%, 11/10/30(a)(b)

      540       536,437  
 

 

C H E D U L E  O F  N V E S T M E N  T S

  29


Schedule of Investments  (continued)

September 30, 2020

  

Master Total Return Portfolio

(Percentages shown are based on Net Assets)

 

 

Security  

Par

(000)

    Value  

Asset-Backed Securities (continued)

 

AMMC CLO XIII Ltd., Series 2013-13A, Class A1LR, (3 mo. LIBOR US + 1.26%), 1.52%, 07/24/29(a)(b)

    USD       2,592     $   2,585,474  

AMMC CLO XIV Ltd., Series 2014-14A, Class A1LR, (3 mo. LIBOR US + 1.25%), 1.49%, 07/25/29(a)(b)

      6,220       6,197,343  

AMSR Trust

     

Series 2020-SFR1, Class E, 3.22%, 04/17/37(b).

      1,280       1,299,885  

Series 2020-SFR2, Class D, 3.28%, 07/17/37(b)

      2,437       2,534,057  

Series 2020-SFR3, Class E1, 2.56%, 09/17/37(b)

      2,490       2,490,239  

Series 2020-SFR4, Class E2, 2.46%, 11/17/37(b)

      2,500       2,502,674  

Series 2020-SFR4, Class F, 2.86%, 11/17/37(b)

      2,760       2,761,701  

Anchorage Capital CLO 3-R Ltd.

     

Series 2014-3RA, Class A, (3 mo. LIBOR US + 1.05%), 1.30%, 01/28/31(a)(b)

      2,120       2,101,599  

Series 2014-3RA, Class B, (3 mo. LIBOR US + 1.50%), 1.75%, 01/28/31(a)(b)

      3,600       3,534,065  

Series 2014-3RA, Class C, (3 mo. LIBOR US + 1.85%), 2.10%, 01/28/31(a)(b)

      500       484,160  

Anchorage Capital CLO 4-R Ltd.

     

Series 2014-4RA, Class A, (3 mo. LIBOR US + 1.05%), 1.30%, 01/28/31(a)(b)

      5,330       5,277,371  

Series 2014-4RA, Class C, (3 mo. LIBOR US + 1.85%), 2.10%, 01/28/31(a)(b)

      5,550       5,319,544  

Anchorage Capital CLO 5-R Ltd.

     

Series 2014-5RA, Class B, (3 mo. LIBOR US + 1.45%), 1.73%, 01/15/30(a)(b)

      9,200       8,985,844  

Series 2014-5RA, Class C, (3 mo. LIBOR US + 1.85%), 2.13%, 01/15/30(a)(b)

      3,540       3,383,750  

Anchorage Capital CLO 6 Ltd., Series 2015-6A, Class AR, (3 mo. LIBOR US + 1.27%), 1.55%, 07/15/30(a)(b)

      4,010       3,982,788  

Anchorage Capital CLO 7 Ltd.

     

Series 2015-7A, Class AR2, (3 mo. LIBOR US + 1.09%), 1.34%, 01/28/31(a)(b)

      4,936       4,871,673  

Series 2015-7A, Class BR2, (3 mo. LIBOR US + 1.75%), 2.00%, 01/28/31(a)(b)

      7,620       7,457,055  

Series 2015-7A, Class CR2, (3 mo. LIBOR US + 2.20%), 2.45%, 01/28/31(a)(b)

      4,250       4,122,752  

Series 2015-7A, Class D1R2, (3 mo. LIBOR US + 3.50%),
3.75%, 01/28/31(a)(b)

      1,140       1,085,441  

Anchorage Capital CLO 8 Ltd.

     

Series 2016-8A, Class AR, (3 mo. LIBOR US + 1.00%), 1.25%, 07/28/28(a)(b)

      2,430       2,423,458  

Series 2016-8A, Class BR, (3 mo. LIBOR US + 1.60%), 1.85%, 07/28/28(a)(b)

      3,050       3,001,945  

Anchorage Capital CLO Ltd.

     

Series 2013-1A, Class A1R, (3 mo. LIBOR US + 1.25%), 1.52%, 10/13/30(a)(b)

      2,755       2,745,246  

Series 2013-1A, Class A2R, (3 mo. LIBOR US + 1.65%), 1.92%, 10/13/30(a)(b)

      750       734,256  

Series 2013-1A, Class BR, (3 mo. LIBOR US + 2.15%), 2.42%, 10/13/30(a)(b)

      1,410       1,367,922  

Anchorage Capital Europe CLO 2 DAC, Series 2A, Class B, (3 mo. EURIBOR + 1.80%), 1.80%, 05/15/31(a)(b)

    EUR       250       292,540  

Apidos CLO XII, Series 2013-12A, Class AR, (3 mo. LIBOR US + 1.08%), 1.36%, 04/15/31(a)(b)

    USD       3,152       3,103,141  
Security  

Par

(000)

    Value  

Asset-Backed Securities (continued)

 

Apidos CLO XV, Series 2013-15A, Class A1RR, (3 mo. LIBOR US + 1.01%), 1.28%, 04/20/31(a)(b)

    USD       1,080     $   1,073,068  

Apidos CLO XVIII, Series 2018-18A, Class A1, (3 mo. LIBOR US + 1.14%),
1.40%, 10/22/30(a)(b)

      880       868,840  

Apidos CLO XXXI, Series 2019-31A, Class B, (3 mo. LIBOR US + 1.90%),
2.18%, 04/15/31(a)(b)

      2,950       2,949,988  

Apres Static CLO Ltd., Series 2019-1A, Class A2, (3 mo. LIBOR US + 1.75%), 2.03%, 01/15/27(a)(b)

      350       348,203  

Aqueduct European CLO DAC

     

Series 2019-4A, Class B1, (3 mo. EURIBOR + 1.80%), 1.80%, 07/15/32(a)(b)

    EUR       750       878,537  

Series 2019-4X, Class B1, (3 mo. EURIBOR + 1.80%), 1.80%, 07/15/32(a)

      1,560       1,827,356  

Arbor Realty Collateralized Loan Obligation Ltd., Series 2017-FL3, Class A, (1 mo. LIBOR US + 0.99%), 1.14%, 12/15/27(a)(b)

    USD       3,740       3,696,446  

Arbour CLO II DAC, Series 2014-2X, Class B2R, (3 mo. EURIBOR + 1.50%), 1.50%, 05/15/30(a)

    EUR       995       1,159,669  

ARBOUR CLO VIII DAC, Series 8A, Class C, (3 mo. EURIBOR + 2.90%),
2.90%, 07/15/33(a)(b)(c)

      550       644,851  

Ares European CLO X BV, Series 10X, Class B1, (3 mo. EURIBOR + 1.70%), 1.70%, 10/15/31(a)

      820       954,191  

Ares European CLO XI BV, Series 11X, Class B1, (3 mo. EURIBOR + 1.85%), 1.85%, 04/15/32(a)

      730       853,411  

Ares European CLO XII BV, Series 12X, Class B1, (3 mo. EURIBOR + 1.75%), 1.75%, 04/20/32(a)

      1,370       1,600,495  

Ares XXXVII CLO Ltd., Series 2015-4A, Class A1R, (3 mo. LIBOR US + 1.17%), 1.45%, 10/15/30(a)(b)

    USD       1,150       1,138,426  

Argent Mortgage Loan Trust, Series 2005-W1, Class A2, (1 mo. LIBOR US + 0.48%), 0.63%, 05/25/35(a)

      3,796       3,435,506  

ASSURANT CLO I Ltd., Series 2017-1A, Class B, (3 mo. LIBOR US + 1.70%), 1.97%, 10/20/29(a)(b)

      1,400       1,371,556  

Atrium IX, Series 9A, Class AR, (3 mo. LIBOR US + 1.24%), 1.50%, 05/28/30(a)(b)

      4,010       3,913,133  

Atrium XII

     

Series 12A, Class AR, (3 mo. LIBOR US + 0.83%), 1.09%, 04/22/27(a)(b)

      1,602       1,586,783  

Series 12A, Class CR, (3 mo. LIBOR US + 1.65%), 1.91%, 04/22/27(a)(b)

      2,381       2,259,779  

Atrium XIII, Series 13A, Class B, (3 mo. LIBOR US + 1.50%), 1.76%, 11/21/30(a)(b)

      1,000       972,758  

Avery Point IV CLO Ltd., Series 2014-1A, Class AR, (3 mo. LIBOR US + 1.10%), 1.35%, 04/25/26(a)(b)

      7,040       7,037,769  

Avery Point V CLO Ltd.

     

Series 2014-5A, Class AR, (3 mo. LIBOR US + 0.98%), 1.25%, 07/17/26(a)(b)

      1,344       1,341,937  

Series 2014-5A, Class BR, (3 mo. LIBOR US + 1.50%), 1.77%, 07/17/26(a)(b)

      2,250       2,230,822  

Avery Point VI CLO Ltd.

     

Series 2015-6A, Class AR, (3 mo. LIBOR US + 1.05%), 1.30%, 08/05/27(a)(b)

      3,959       3,955,238  

Series 2015-6A, Class BR, (3 mo. LIBOR US + 1.50%), 1.75%, 08/05/27(a)(b)

      3,240       3,172,795  
 

 

30  

2 0 2 0  B L A C K O C K  N  N U A L  E P O R T  T O  H A R E H O L D E R S


Schedule of Investments  (continued)

September 30, 2020

  

Master Total Return Portfolio

(Percentages shown are based on Net Assets)

 

 

Security  

Par

(000)

    Value  

Asset-Backed Securities (continued)

 

Avery Point VII CLO Ltd., Series 2015-7A, Class AR, (3 mo. LIBOR US + 1.14%), 1.42%, 01/15/28(a)(b)

    USD       7,480     $  7,440,052  

Avoca CLO XII Ltd., Series 12X, Class CR, (3 mo. EURIBOR + 2.05%), 2.05%, 04/15/30(a)

    EUR       475       548,864  

Avoca CLO XV DAC, Series 15X, Class B2R, (3 mo. EURIBOR + 1.05%), 1.05%, 04/15/31(a)

      400       456,258  

Avoca CLO XVII DAC, Series 17A, Class B1R, (3 mo. EURIBOR + 1.70%), 1.70%, 10/15/32(a)(b)

      1,390       1,639,088  

Avoca CLO XVIII DAC, Series 18X, Class C, (3 mo. EURIBOR + 1.75%), 1.75%, 04/15/31(a)

      400       455,458  

B2R Mortgage Trust, Series 2015-2, Class A, 3.34%, 11/15/48(b)

    USD       26       25,879  

Babson CLO Ltd.

     

Series 2015-2A, Class AR, (3 mo. LIBOR US + 1.19%), 1.46%, 10/20/30(a)(b)

      2,590       2,571,497  

Series 2015-IA, Class BR, (3 mo. LIBOR US + 1.40%), 1.67%, 01/20/31(a)(b)

      610       595,697  

Bain Capital Credit CLO Ltd.

     

Series 2016-2A, Class AR, (3 mo. LIBOR US + 1.14%), 1.42%, 01/15/29(a)(b)

      1,346       1,332,618  

Series 2016-2A, Class BR, (3 mo. LIBOR US + 1.80%), 2.08%, 01/15/29(a)(b)

      1,000       991,332  

Series 2018-2A, Class A1, (3 mo. LIBOR US + 1.08%), 1.35%, 07/19/31(a)(b)

      1,420       1,402,553  

BankAmerica Manufactured Housing Contract Trust

     

Series 1997-2, Class B1,
7.07%, 02/10/22(d)

      1,680       995,198  

Series 1998-2, Class B1,
7.46%, 12/10/25(d)

      2,790       1,314,909  

Barings CLO Ltd., Series 2018-3A, Class A1, (3 mo. LIBOR US + 0.95%), 1.22%, 07/20/29(a)(b)

      1,085       1,073,637  

Battalion CLO 18 Ltd.

     

Series 2020-18A, Class B, (3 mo. LIBOR US + 2.30%), 0.00%, 10/15/32(a)(b)

      1,827       1,827,000  

Series 2020-18A, Class D1, (3 mo. LIBOR US + 4.00%),
0.00%, 10/15/32(a)(b)

      1,617       1,617,000  

Battalion CLO VII Ltd., Series 2014-7A, Class A1RR, (3 mo. LIBOR US + 1.04%), 1.31%, 07/17/28(a)(b)

      3,450       3,429,869  

Battalion CLO VIII Ltd.

     

Series 2015-8A, Class A1R2, (3 mo. LIBOR US + 1.07%),
1.34%, 07/18/30(a)(b)

      6,500       6,421,809  

Series 2015-8A, Class A2R2, (3 mo. LIBOR US + 1.55%),
1.82%, 07/18/30(a)(b)

      3,250       3,155,678  

Series 2015-8A, Class BR2, (3 mo. LIBOR US + 2.00%),
2.27%, 07/18/30(a)(b)

      2,901       2,714,249  

Battalion CLO X Ltd., Series 2016-10A, Class A1R, (3 mo. LIBOR US + 1.25%),
1.51%, 01/24/29(a)(b)

      23,120       23,027,437  

Bayview Financial Revolving Asset Trust

     

Series 2004-B, Class A1, (1 mo. LIBOR US + 1.00%), 1.15%, 05/28/39(a)(b)

      10,520       8,597,070  

Series 2004-B, Class A2, (1 mo. LIBOR US + 1.30%), 1.45%, 05/28/39(a)(b)

      216       179,548  

Series 2005-A, Class A1, (1 mo. LIBOR US + 1.00%), 1.15%, 02/28/40(a)(b)

      2,270       2,127,589  

Series 2005-E, Class A1, (1 mo. LIBOR US + 1.00%), 1.15%, 12/28/40(a)(b)

      827       729,795  

BCMSC Trust

     

Series 2000-A, Class A2,
7.58%, 06/15/30(d)

      1,674       493,954  
Security  

Par

(000)

    Value  

Asset-Backed Securities (continued)

 

BCMSC Trust

     

Series 2000-A, Class A3,
7.83%, 06/15/30(d)

    USD       1,554     $ 473,885  

Series 2000-A, Class A4,
8.29%, 06/15/30(d)

      1,121       361,925  

BDS Ltd., Series 2019-FL3, Class A, (1 mo.

     

LIBOR US + 1.40%), 1.55%, 12/15/35(a)(b)

      4,680       4,598,307  

Bear Stearns Asset-Backed Securities I Trust

     

Series 2004-HE7, Class M2, (1 mo. LIBOR US + 1.73%), 1.87%, 08/25/34(a)

      186       185,419  

Series 2006-HE1, Class 1M4, (1 mo. LIBOR US + 0.68%), 0.83%, 12/25/35(a)

      1,688       2,180,845  

Series 2006-HE7, Class 1A2, (1 mo. LIBOR US + 0.17%), 0.32%, 09/25/36(a)

      2,680       3,294,611  

Series 2007-FS1, Class 1A3, (1 mo. LIBOR US + 0.17%), 0.32%, 05/25/35(a)

      894       984,087  

Series 2007-HE1, Class 21A2, (1 mo. LIBOR US + 0.16%), 0.31%, 01/25/37(a)

      560       552,106  

Series 2007-HE2, Class 1A4, (1 mo. LIBOR US + 0.32%), 0.47%, 03/25/37(a)

      1,004       803,399  

Series 2007-HE2, Class 22A, (1 mo. LIBOR US + 0.14%), 0.29%, 03/25/37(a)

      883       872,804  

Series 2007-HE2, Class 23A, (1 mo. LIBOR US + 0.14%), 0.29%, 03/25/37(a)

      1,615       1,687,672  

Series 2007-HE3, Class 1A3, (1 mo. LIBOR US + 0.25%), 0.40%, 04/25/37(a)

      1,031       1,128,138  

Series 2007-HE3, Class 1A4, (1 mo. LIBOR US + 0.35%), 0.50%, 04/25/37(a)

      6,111       5,484,475  

Bear Stearns Asset-Backed Securities Trust, Series 2005-4, Class M2, (1 mo. LIBOR US + 1.20%), 1.35%, 01/25/36(a)

      33       32,684  

Benefit Street Partners CLO II Ltd., Series 2013- IIA, Class A2R, (3 mo. LIBOR US + 1.75%), 2.03%, 07/15/29(a)(b)

      900       894,477  

Benefit Street Partners CLO III Ltd., Series 2013- IIIA, Class A1R, (3 mo. LIBOR US + 1.25%), 1.52%, 07/20/29(a)(b)

      749       748,071  

Benefit Street Partners CLO IV Ltd., Series 2014- IVA, Class A1RR, (3 mo. LIBOR US + 1.25%), 1.52%, 01/20/29(a)(b)

      7,830       7,798,839  

Benefit Street Partners CLO V-B Ltd., Series 2018-5BA, Class A1A, (3 mo. LIBOR US + 1.09%), 1.36%, 04/20/31(a)(b)

      4,360       4,324,970  

Benefit Street Partners CLO VI Ltd.

     

Series 2015-VIA, Class A1R, (3 mo. LIBOR US + 1.24%), 1.51%, 10/18/29(a)(b)

      12,030       11,980,546  

Series 2015-VIA, Class A2R, (3 mo. LIBOR US + 1.72%), 1.99%, 10/18/29(a)(b)

      3,320       3,260,881  

Benefit Street Partners CLO VII Ltd.

     

Series 2015-VIIA, Class A1AR, (3 mo. LIBOR US + 0.78%),
1.05%, 07/18/27(a)(b)

      1,634       1,625,559  

Series 2015-VIIA, Class CR, (3 mo. LIBOR US + 2.40%), 2.67%, 07/18/27(a)(b)

      600       573,764  

Benefit Street Partners CLO VIII Ltd., Series 2015- 8A, Class A1AR, (3 mo. LIBOR US + 1.10%), 1.37%, 01/20/31(a)(b)

      1,250       1,232,802  

Benefit Street Partners CLO X Ltd.

     

Series 2016-10A, Class A1R, (3 mo. LIBOR US + 1.14%),
1.42%, 01/15/29(a)(b)

      1,000       993,087  

Series 2016-10A, Class A2R, (3 mo. LIBOR US + 1.75%),
2.03%, 01/15/29(a)(b)

      600       591,541  

Benefit Street Partners CLO XX Ltd., Series 2020- 20A, Class D, (3 mo. LIBOR US + 4.25%), 4.40%, 07/15/31(a)(b)

      3,010       3,007,886  
 

 

C H E D U L E  O F  N V E S T M E N  T S

  31


Schedule of Investments  (continued)

September 30, 2020

  

Master Total Return Portfolio

(Percentages shown are based on Net Assets)

 

    

 

Security  

Par

(000)

    Value  

Asset-Backed Securities (continued)

 

Birch Grove CLO Ltd., Series 19A, Class D, (3 mo. LIBOR US + 3.90%), 4.15%, 06/15/31(a)(b)

    USD       1,195     $   1,183,789  

Black Diamond CLO Ltd., Series 2013-1A, Class A2R, (3 mo. LIBOR US + 1.45%), 1.72%, 02/06/26(a)(b)

      345       344,368  

BlueMountain CLO Ltd.