N-CSR 1 d419084dncsr.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 Bond Fund, Inc.
       BlackRock Total Return Fund

 

       Master Bond LLC
       Master Total Return Portfolio

 

Fund Address:   100 Bellevue Parkway, Wilmington, DE 19809

Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Bond Fund, Inc. and 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: 09/30/2022

Date of reporting period: 09/30/2022


Item 1 – Report to Stockholders

(a) The Report to Shareholders is attached herewith.


 

LOGO

  SEPTEMBER 30, 2022

 

 
    

2022 Annual Report

 

 

BlackRock Bond Fund, Inc.

· BlackRock Total Return Fund

 

 

 

 

 

Not FDIC Insured • May Lose Value • No Bank Guarantee


The Markets in Review

Dear Shareholder,

The 12-month reporting period as of September 30, 2022 saw the emergence of significant challenges that disrupted the economic recovery and strong financial markets of 2021. The U.S. economy shrank in the first half of 2022, ending the run of robust growth that followed the reopening of global economies and the development of COVID-19 vaccines. Changes in consumer spending patterns and a tight labor market led to elevated inflation, which reached a 40-year high. Moreover, while the foremost effect of Russia’s invasion of Ukraine has been a severe humanitarian crisis, the ongoing war continued to present challenges for both investors and policymakers.

Equity prices fell as interest rates rose, particularly weighing on relatively high-valuation growth stocks and economically sensitive small-capitalization stocks. While both large- and small-capitalization U.S. stocks fell, declines for small-capitalization U.S. stocks were steeper. Both emerging market stocks and international equities from developed markets fell significantly, pressured by rising interest rates and a strengthening U.S. dollar.

The 10-year U.S. Treasury yield (which is inversely related to bond prices) rose notably during the reporting period as investors reacted to higher inflation and attempted to anticipate its impact on future interest rate changes. The corporate bond market also faced inflationary headwinds, and increasing uncertainty led to higher corporate bond spreads (the difference in yield between U.S. Treasuries and similarly-dated corporate bonds).

The U.S. Federal Reserve (the “Fed”), acknowledging that inflation is proving more persistent than expected, raised interest rates five times while indicating that additional rate hikes were likely. Furthermore, the Fed wound down its bond-buying programs and is accelerating the reduction of its balance sheet. As investors attempted to assess the Fed’s future trajectory, the Fed’s statements late in the reporting period led markets to believe that additional tightening is likely in the near term.

The pandemic’s restructuring of the economy brought an ongoing mismatch between supply and demand, contributing to the current inflationary regime. While growth has slowed in 2022, we believe that taming inflation requires a more dramatic economic decline to bring demand back to a lower level that is more in line with the economy’s capacity. The Fed has been raising interest rates at the fastest pace in decades, and seems set to overtighten in its effort to get inflation back to target. With this in mind, we believe the possibility of a U.S. recession in the near-term is high, and the outlook for Europe and the U.K. is also troubling. Investors should expect a period of higher volatility as markets adjust to the new economic reality and policymakers attempt to adapt to rapidly changing conditions.

In this environment, while we favor an overweight to equities in the long-term, the market’s concerns over excessive rate hikes from central banks moderate our outlook. Rising input costs and a deteriorating economic backdrop in China and Europe are likely to challenge corporate earnings, so we are underweight equities overall in the near term. However, we see better opportunities in credit, where higher spreads provide income opportunities and partially compensate for inflation risk. We believe that investment-grade corporates, local-currency emerging market debt, and inflation-protected bonds (particularly in Europe) offer strong opportunities for a six- to twelve-month horizon.

Overall, our view is that investors need to think globally, position themselves to be prepared for a decarbonizing economy, 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, 2022  
     
     6-Month   12-Month
   

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

    (20.20)     (15.47)
   

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

    (19.01)       (23.50)  
   

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

    (22.51)       (25.13)  
   

Emerging market
equities (MSCI Emerging
Markets Index)

    (21.70)       (28.11)  
   

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

    0.58        0.63   
   

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

    (10.81)       (16.20)  
   

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

    (9.22)       (14.60)  
   

Tax-exempt municipal
bonds (Bloomberg Municipal  
Bond Index)

    (6.30)       (11.50)  
   

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

    (10.42)       (14.15)  

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

 

 

 

 

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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

     13  

Fund Financial Highlights

     14  

Fund Notes to Financial Statements

     21  

Fund 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

     112  

Statement of Operations

     114  

Statements of Changes in Net Assets

     115  

Master Portfolio Financial Highlights

     116  

Master Portfolio Notes to Financial Statements

     117  

Report of Independent Registered Public Accounting Firm

     130  

Director and Officer Information

     131  

Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements

     135  

Additional Information

     139  

Glossary of Terms Used in this Report

     141  

 

 

 

LOGO

 

 

  3


Fund Summary as of September 30, 2022    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 U.S. Aggregate Bond Index.

Portfolio Management Commentary

How did the Fund perform?

For the 12-month period ended September 30, 2022, all of the Fund’s share classes underperformed its benchmark, the Bloomberg U.S. Aggregate Bond Index. The Fund invests all of its assets in Master Total Return Portfolio (the “Master Portfolio”).

What factors influenced performance?

Exposure to credit-sensitive sectors weighed on the Master Portfolio’s performance relative to the benchmark over the period, most notably U.S. high yield corporate bonds and Asian corporate bonds. Exposure to securitized assets also detracted from performance.

Positive contributions to relative performance were led by active positioning with respect to duration and corresponding interest rate sensitivity as Treasury yields moved higher over the first quarter of 2022. Absolute return strategies and macro strategies also contributed to performance over the period.

The Master Portfolio held a 7.8% average cash position during the period and a 2.5% cash position at period end. For much of the period, the investment adviser was underweight duration versus the benchmark as the yield curve steepened, while also holding an elevated cash position. The Master Portfolio’s cash position did not have a material impact on performance during the period.

Describe recent portfolio activity.

Early in the reporting period the Master Portfolio shifted towards a much more defensive posture given a challenging macro and geopolitical backdrop. The Master Portfolio trimmed exposure to securities lower in the capital structure, most notably U.S. high yield corporate bonds and emerging market debt, while holding an elevated cash position and elevated exposure to high-quality assets, including U.S. investment grade corporate bonds and agency mortgage-backed securities (“MBS”).

In the second quarter of 2022, the Master Portfolio tactically reduced U.S. duration given elevated interest rate volatility and yield curve steepening. The investment adviser tactically added to Treasury inflation-protected securities on attractive valuations and hedging benefits on the view that the market underappreciated the potential for higher inflation. The Master Portfolio selectively deployed cash as both spreads and all-in yields began to look increasingly attractive. In addition, the Master Portfolio moderately added back exposure to high yield corporate bonds given a supportive supply backdrop and strong fundamentals. Within investment grade corporate bonds, the Master Portfolio added exposure while favoring less-cyclical sectors given elevated credit cycle concerns and sticky inflation. Holdings of agency MBS were trimmed on substantial weakness relative to other spread sectors.

During the third quarter of 2022, the Master Portfolio tactically added duration on the front- and back-end of the yield curve given more attractive yield levels and risk/reward profiles. The Master Portfolio rotated across select spread sectors given more attractive opportunities, favoring U.S. investment grade corporate bonds given attractive valuations, while tactically adding to agency MBS. The Master Portfolio also opportunistically rotated out of floating rate loan interest and into U.S. high yield corporate bonds given attractive yield levels and a favorable macro backdrop. In addition, the Master Portfolio held a core allocation to securitized assets while taking a defensive posture with respect to emerging markets.

Describe portfolio positioning at period end.

At period end, the Master Portfolio maintained a neutral duration stance given the degree to which rates have moved higher. Outside of the United States, the Master Portfolio held a tactical position in short-dated U.K. sovereign bonds, while remaining less favorable towards European sovereigns. The Fund was overweight investment grade corporate bonds with a focused on relatively short maturities, while looking to add to high quality securitized assets such as collateralized loan obligations and commercial mortgage-backed securities. The Master Portfolio was cautiously positioned with respect to emerging market and high yield corporate bonds.

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.

 

 

4  

2 0 2 2    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


Fund Summary as of September 30, 2022    BlackRock Total Return Fund

 

GROWTH OF $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

 

                          Average Annual Total Returns (a)        
         

 

 

   
                          1 Year           5 Years           10 Years        
         

 

 

     

 

 

     

 

 

   
        Standardized
30 Day Yields
         

Unsubsidized

30 Day Yields

   

Without

Sales

Charge

   

With

Sales

Charge

         

Without

Sales

Charge

   

With

Sales

Charge

         

Without

Sales

Charge

   

With

Sales

Charge

       
 

 

 

      

 

Institutional

    4.12       4.09     (15.99 )%      N/A         (0.15 )%      N/A         1.63     N/A    
 

Service

    3.80         3.75       (16.17     N/A         (0.43     N/A         1.35       N/A    
 

Investor A

    3.63         3.63       (16.16     (19.52 )%        (0.47     (1.28 )%        1.31       0.90  
 

Investor A1

    3.97         3.86       (16.04     N/A         (0.30     N/A         1.49       N/A    
 

Investor C

    3.09         3.06       (16.76     (17.57       (1.14     (1.14       0.78       0.78    
 

Class K

    4.19         4.19       (15.93     N/A         (0.08     N/A         1.70       N/A    
 

Class R

    3.51         3.48       (16.40     N/A         (0.73     N/A         1.05       N/A    
 

 

                       
 

Bloomberg U.S. Aggregate Bond Index

                  (14.60     N/A         (0.27     N/A         0.89       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” for a detailed description of share classes, including any related sales charges and fees.

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, 2022    BlackRock Total Return Fund

 

Expense Example

 

    Actual           Hypothetical 5% Return           
     Beginning
Account Value
(04/01/22)
     Ending
Account Value
(09/30/22)
    

Expenses
Paid During
the Period

           Beginning
Account Value
(04/01/22)
     Ending
Account Value
(09/30/22)
    

Expenses
Paid During

the Period(a)

       Annualized
Expense
Ratio
 

Institutional

  $ 1,000.00      $ 898.90      $ 2.09       $ 1,000.00      $ 1,022.86      $ 2.23          0.44

Service

    1,000.00        898.40        3.57         1,000.00        1,021.31        3.80          0.75  

Investor A

    1,000.00        898.40        3.57         1,000.00        1,021.31        3.80          0.75  

Investor A1

    1,000.00        899.00        2.81         1,000.00        1,022.11        2.99          0.59  

Investor C

    1,000.00        895.20        6.84         1,000.00        1,017.85        7.28          1.44  

Class K

    1,000.00        900.00        1.76         1,000.00        1,023.21        1.88          0.37  

Class R

    1,000.00        897.10        4.90               1,000.00        1,019.90        5.22          1.03  

 

  (a)   

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 183/365 (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” for further information on how expenses were calculated.

 

 

6  

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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.

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 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 table(s) assume reinvestment of all distributions, if any, at net asset value (“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(s) and/or reimbursement(s), the Fund’s performance would have been lower. With respect to the Fund’s voluntary waiver(s), 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(s) may be reduced or discontinued at any time. With respect to the Fund’s contractual waiver(s), 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 investment advisory fees, administration fees, service and distribution fees, including 12b-1 fees, acquired fund fees and expenses, and other fund expenses. The expense example shown (which is based on a hypothetical investment of $1,000 invested at the beginning of the period and held through the end of the period) 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. Annualized expense ratios reflect contractual and voluntary fee waivers, if any. 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    /    D I S C L O S U R E    O F    X  P E N S E S

  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. Pursuant to Rule 18f-4 under the 1940 Act, among other things, the Master Portfolio must either use derivative financial instruments with embedded leverage in a limited manner or comply with an outer limit on fund leverage risk based on value-at-risk. 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.

 

 

8  

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Statement of Assets and Liabilities

September 30, 2022

 

     BlackRock
Total Return
Fund
 

ASSETS

 

Investments at value — Master Portfolio

  $  16,680,633,133  

Receivables:

 

Capital shares sold

    36,218,148  

From the Manager

    337,186  

Withdrawals from the Master Portfolio

    40,512,542  

Prepaid expenses

    279,982  
 

 

 

 

Total assets

    16,757,980,991  
 

 

 

 

LIABILITIES

 

Payables:

 

Capital shares redeemed

    76,730,691  

Income dividend distributions

    4,884,048  

Investment advisory fees

    8,623,939  

Officer’s fees

    24,665  

Other accrued expenses

    3,843,168  

Other affiliate fees

    193,284  

Service and distribution fees

    373,111  
 

 

 

 

Total liabilities

    94,672,906  
 

 

 

 

NET ASSETS

  $ 16,663,308,085  
 

 

 

 

NET ASSETS CONSIST OF:

 

Paid-in capital

  $ 20,391,863,394  

Accumulated loss

    (3,728,555,309
 

 

 

 

NET ASSETS

  $ 16,663,308,085  
 

 

 

 

 

 

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, 2022

 

     BlackRock
Total Return
Fund
 

 

NET ASSET VALUE

 
Institutional      

Net assets

  $   8,809,120,563    
 

 

 

 

Shares outstanding

    902,135,981  
 

 

 

 

Net asset value

  $ 9.76  
 

 

 

 

Shares authorized

    1.6 billion  
 

 

 

 

Par value

  $ 0.10  
 

 

 

 
Service      

Net assets

  $ 42,155,314  
 

 

 

 

Shares outstanding

    4,316,189  
 

 

 

 

Net asset value

  $ 9.77  
 

 

 

 

Shares authorized

    50 million  
 

 

 

 

Par value

  $ 0.10  
 

 

 

 
Investor A      

Net assets

  $ 1,330,459,460  
 

 

 

 

Shares outstanding

    136,196,945  
 

 

 

 

Net asset value

  $ 9.77  
 

 

 

 

Shares authorized

    450 million  
 

 

 

 

Par value

  $ 0.10  
 

 

 

 
Investor A1      

Net assets

  $ 20,123,537  
 

 

 

 

Shares outstanding

    2,061,731  
 

 

 

 

Net asset value

  $ 9.76  
 

 

 

 

Shares authorized

    50 million  
 

 

 

 

Par value

  $ 0.10  
 

 

 

 
Investor C      

Net assets

  $ 56,467,590  
 

 

 

 

Shares outstanding

    5,785,236  
 

 

 

 

Net asset value

  $ 9.76  
 

 

 

 

Shares authorized

    100 million  
 

 

 

 

Par value

  $ 0.10  
 

 

 

 
Class K      

Net assets

  $ 6,340,121,878  
 

 

 

 

Shares outstanding

    649,355,468  
 

 

 

 

Net asset value

  $ 9.76  
 

 

 

 

Shares authorized

    1 billion  
 

 

 

 

Par value

  $ 0.10  
 

 

 

 
Class R      

Net assets

  $ 64,859,743  
 

 

 

 

Shares outstanding

    6,638,408  
 

 

 

 

Net asset value

  $ 9.77  
 

 

 

 

Shares authorized

    250 million  
 

 

 

 

Par value

  $ 0.10  
 

 

 

 

See notes to financial statements.

 

 

10  

2 0 2 2    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, 2022

 

    

BlackRock

Total Return

Fund

 

INVESTMENT INCOME

 

Net investment income allocated from the Master Portfolio:

 

Dividends — unaffiliated

  $ 1,314,977  

Dividends — affiliated

    4,575,816  

Interest — unaffiliated

    532,765,171  

Securities lending income — affiliated — net

    542,859  

Foreign taxes withheld

    (224,327

Expenses

    (13,128,277

Fees waived

    739,088  
 

 

 

 

Total investment income

    526,585,307  
 

 

 

 

FUND EXPENSES

 

Investment advisory

    56,953,606  

Transfer agent — class specific

    12,379,330  

Service and distribution — class specific

    5,357,684  

Proxy

    2,723,465  

Registration

    1,836,639  

Accounting services

    7,001  

Officer

    5,547  

Miscellaneous

    350,314  
 

 

 

 

Total expenses

    79,613,586  

Less:

 

Transfer agent fees waived and/or reimbursed — class specific

    (2,128,782
 

 

 

 

Total expenses after fees waived and/or reimbursed

    77,484,804  
 

 

 

 

Net investment income

    449,100,503  
 

 

 

 

REALIZED AND UNREALIZED GAIN (LOSS)

 

Net realized gain (loss) allocated from the Master Portfolio:

 

Investments — unaffiliated

      (1,006,784,496

Investments — affiliated

    1,605,866  

Options written

    (9,569,529

Futures contracts

    (270,765,731

Forward foreign currency exchange contracts

    81,265,969  

Foreign currency transactions

    (10,949,014

Payment by affiliate

    1,509  

Swaps

    (96,179,549
 

 

 

 
    (1,311,374,975
 

 

 

 

 

 

I N A N C I A L    T A T E M E N T  S

  11


Statement of Operations  (continued)

Year Ended September 30, 2022

 

    

BlackRock

Total Return

Fund

 

Net change in unrealized appreciation (depreciation) allocated from the Master Portfolio:

 

Investments — unaffiliated

  $ (2,317,631,136

Investments — affiliated

    (70,834

Options written

    (72,526,626

Futures contracts

    (80,601,078

Forward foreign currency exchange contracts

    (549,475

Foreign currency translations

    870,911  

Short sales — unaffiliated

    (24,499

Swaps

    (1,253,858

Unfunded floating rate loan interests

    (401,116

Unfunded SPAC PIPE commitments

    (2,483,205
 

 

 

 
      (2,474,670,916
 

 

 

 

Total net realized and unrealized loss

    (3,786,045,891
 

 

 

 

NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS

  $ (3,336,945,388
 

 

 

 

See notes to financial statements.    

 

 

12  

2 0 2 2    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 Changes in Net Assets

 

    BlackRock Total Return Fund        
    

Year Ended

09/30/22

   

Year Ended

09/30/21

        

INCREASE (DECREASE) IN NET ASSETS

     

OPERATIONS

     

Net investment income

  $ 449,100,503     $ 369,092,875    

Net realized gain (loss)

    (1,311,374,975     145,657,786    

Net change in unrealized appreciation (depreciation)

    (2,474,670,916     (280,177,778  
 

 

 

   

 

 

   

Net increase (decrease) in net assets resulting from operations

    (3,336,945,388     234,572,883    
 

 

 

   

 

 

   

DISTRIBUTIONS TO SHAREHOLDERS

     

Institutional

    (299,087,560     (548,172,960  

Service

    (1,318,341     (2,984,612  

Investor A

    (41,803,454     (123,065,737  

Investor A1

    (613,205     (1,369,181  

Investor C

    (1,485,206     (6,320,169  

Class K

    (219,556,363     (438,946,612  

Class R

    (1,810,350     (4,575,210  
 

 

 

   

 

 

   

Decrease in net assets resulting from distributions to shareholders

    (565,674,479     (1,125,434,481  
 

 

 

   

 

 

   

CAPITAL SHARE TRANSACTIONS

     

Net increase in net assets derived from capital share transactions

    91,715,235       2,351,539,765    
 

 

 

   

 

 

   

NET ASSETS

     

Total increase (decrease) in net assets

    (3,810,904,632     1,460,678,167    

Beginning of year

    20,474,212,717       19,013,534,550    
 

 

 

   

 

 

   

End of year

  $  16,663,308,085     $  20,474,212,717    
 

 

 

   

 

 

   

See notes to financial statements.    

 

 

I N A N C I A L    T A T E M E N T  S

  13


Financial Highlights  

(For a share outstanding throughout each period)

 

    BlackRock Total Return Fund  
    Institutional  
     Year Ended
09/30/22
    Year Ended
09/30/21
    Year Ended
09/30/20
    Year Ended
09/30/19
    Year Ended
09/30/18
 

Net asset value, beginning of year

  $ 11.96     $ 12.53     $ 11.95     $ 11.21     $ 11.77  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income(a)

    0.25       0.23       0.28       0.38       0.38  

Net realized and unrealized gain (loss)

    (2.13     (0.07     0.60       0.75       (0.56
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) from investment operations

    (1.88     0.16       0.88       1.13       (0.18
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Distributions(b)

         

From net investment income

    (0.25     (0.24     (0.30     (0.39     (0.38

From net realized gain

    (0.07     (0.49                  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total distributions

    (0.32     (0.73     (0.30     (0.39     (0.38
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of year

  $ 9.76     $ 11.96     $ 12.53     $ 11.95     $ 11.21  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Return(c)

         

Based on net asset value

    (15.99 )%      1.25     7.51 %(d)       10.23     (1.55 )%(d)  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Ratios to Average Net Assets(e)(f)

         

Total expenses

    0.47 %(g)       0.47 %(g)       0.47 %(h)       0.47 %(h)       0.75 %(g)  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses after fees waived and/or reimbursed

    0.45 %(g)       0.45 %(g)       0.44 %(h)       0.44 %(h)       0.71 %(g)  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
Total expenses after fees waived and/or reimbursed and excluding interest expense     0.45 %(g)       0.45 %(g)       0.44 %(h)       0.44 %(h)       0.45 %(g)  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income

    2.30 %(g)       1.88 %(g)       2.32 %(h)       3.33 %(h)       3.31 %(g)  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Supplemental Data

         

Net assets, end of year (000)

  $  8,809,121     $  9,915,659     $  9,067,527     $  6,535,538     $  5,402,121  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Portfolio turnover rate of the Master Portfolio(i)

    289     459     556     574     734
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

(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 fees and expenses incurred indirectly as a result of investments in underlying funds.

(g) 

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

(h) 

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

(i) 

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

 

           
     Year Ended
09/30/22
     Year Ended
09/30/21
     Year Ended
09/30/20
     Year Ended
09/30/19
     Year Ended
09/30/18
 

Portfolio turnover rate (excluding MDRs)

    42      161      274      241      350 %   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

See notes to financial statements.

 

 

14  

2 0 2 2    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)  
    Service  
     Year Ended
09/30/22
    Year Ended
09/30/21
    Year Ended
09/30/20
    Year Ended
09/30/19
    Year Ended
09/30/18
 

Net asset value, beginning of year

  $ 11.96     $ 12.54     $ 11.95     $ 11.22     $ 11.77  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income(a)

    0.22       0.19       0.26       0.35       0.34  

Net realized and unrealized gain (loss)

    (2.12     (0.08     0.60       0.73       (0.54
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) from investment operations

    (1.90     0.11       0.86       1.08       (0.20
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Distributions(b)

         

From net investment income

    (0.22     (0.20     (0.27     (0.35     (0.35

From net realized gain

    (0.07     (0.49                  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total distributions

    (0.29     (0.69     (0.27     (0.35     (0.35
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of year

  $ 9.77     $ 11.96     $ 12.54     $ 11.95     $ 11.22  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Return(c)

         

Based on net asset value

    (16.17 )%      0.86     7.28 %(d)       9.80     (1.76 )%(d) 
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Ratios to Average Net Assets(e)(f)

         

Total expenses

    0.80 %(g)      0.80 %(g)      0.74 %(h)      0.74 %(h)       1.03 %(g)  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses after fees waived and/or reimbursed

    0.76 %(g)      0.76 %(g)      0.74 %(h)      0.74 %(h)       1.03 %(g)  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
Total expenses after fees waived and/or reimbursed and excluding interest expense     0.76 %(g)      0.76 %(g)      0.74 %(h)      0.74 %(h)       0.75 %(g)  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income

    1.98 %(g)      1.57 %(g)      2.15 %(h)      3.04 %(h)       3.01 %(g)  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Supplemental Data

         

Net assets, end of year (000)

  $  42,155     $  55,378     $  57,849     $  120,243     $  117,278  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Portfolio turnover rate of the Master Portfolio(i)

    289     459     556     574     734
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

(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 fees and expenses incurred indirectly as a result of investments in underlying funds.

(g) 

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

(h) 

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

(i) 

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

 

           
     Year Ended  
09/30/22  
       Year Ended  
09/30/21  
     Year Ended  
09/30/20  
     Year Ended  
09/30/19  
     Year Ended
09/30/18
 

Portfolio turnover rate (excluding MDRs)

    42      161      274      241      350 %   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

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 A  
     Year Ended
09/30/22
    Year Ended
09/30/21
    Year Ended
09/30/20
    Year Ended
09/30/19
    Year Ended
09/30/18
 

Net asset value, beginning of year

  $ 11.96     $ 12.54     $ 11.96     $ 11.22     $ 11.78  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income(a)

    0.22       0.19       0.25       0.34       0.34  

Net realized and unrealized gain (loss)

    (2.12     (0.08     0.60       0.75       (0.56
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) from investment operations

    (1.90     0.11       0.85       1.09       (0.22
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Distributions(b)

         

From net investment income

    (0.22     (0.20     (0.27     (0.35     (0.34

From net realized gain

    (0.07     (0.49                  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total distributions

    (0.29     (0.69     (0.27     (0.35     (0.34
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of year

  $ 9.77     $ 11.96     $ 12.54     $ 11.96     $ 11.22  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Return(c)

         

Based on net asset value

    (16.16 )%      0.87     7.16 %(d)       9.85     (1.88 )%(d)  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Ratios to Average Net Assets(e)(f)

         

Total expenses

    0.76 %(g)       0.74 %(g)       0.76 %(h)       0.79 %(h)       1.08 %(g)  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses after fees waived and/or reimbursed

    0.76 %(g)       0.74 %(g)       0.76 %(h)       0.78 %(h)       1.07 %(g)  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
Total expenses after fees waived and/or reimbursed and excluding interest expense     0.76 %(g)       0.74 %(g)       0.76 %(h)       0.78 %(h)       0.79 %(g)  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income

    1.98 %(g)       1.58 %(g)       2.02 %(h)       3.00 %(h)       2.97 %(g)  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Supplemental Data

         

Net assets, end of year (000)

  $  1,330,459     $  1,822,670     $  2,147,025     $  1,840,587     $  1,729,459  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Portfolio turnover rate of the Master Portfolio(i)

    289     459     556     574     734
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

(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 fees and expenses incurred indirectly as a result of investments in underlying funds.

(g) 

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

(h) 

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

(i) 

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

 

           
     Year Ended
09/30/22
     Year Ended
09/30/21
     Year Ended
09/30/20
     Year Ended
09/30/19
     Year Ended
09/30/18
 

Portfolio turnover rate (excluding MDRs)

    42      161      274      241      350
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

See notes to financial statements.

 

 

16  

2 0 2 2    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 A1  
     Year Ended
09/30/22
    Year Ended
09/30/21
    Year Ended
09/30/20
    Year Ended
09/30/19
    Year Ended
09/30/18
 

Net asset value, beginning of year

  $ 11.95     $ 12.53     $ 11.95     $ 11.21     $ 11.77  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income(a)

    0.24       0.21       0.27       0.37       0.36  

Net realized and unrealized gain (loss)

    (2.13     (0.08     0.60       0.74       (0.56
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) from investment operations

    (1.89     0.13       0.87       1.11       (0.20
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Distributions(b)

         

From net investment income

    (0.23     (0.22     (0.29     (0.37     (0.36

From net realized gain

    (0.07     (0.49                  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total distributions

    (0.30     (0.71     (0.29     (0.37     (0.36
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of year

  $ 9.76     $ 11.95     $ 12.53     $ 11.95     $ 11.21  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Return(c)

         

Based on net asset value

    (16.04 )%      1.02     7.35 %(d)      10.06     (1.69 )%(d) 
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Ratios to Average Net Assets(e)(f)

         

Total expenses

    0.70 %(g)      0.68 %(g)      0.61 %(h)      0.63 %(g)      0.92 %(g) 
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses after fees waived and/or reimbursed

    0.60 %(g)      0.60 %(g)      0.59 %(h)      0.59 %(g)      0.88 %(g) 
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
Total expenses after fees waived and/or reimbursed and excluding interest expense     0.60 %(g)      0.60 %(g)      0.59 %(h)      0.59 %(g)      0.60 %(g) 
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income

    2.19 %(g)      1.73 %(g)      2.22 %(h)      3.20 %(g)      3.17 %(g) 
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Supplemental Data

         

Net assets, end of year (000)

  $  20,124     $  21,957     $  24,443     $  28,769     $  28,072  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Portfolio turnover rate of the Master Portfolio(i)

    289     459     556     574     734
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

(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 fees and expenses incurred indirectly as a result of investments in underlying funds.

(g) 

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

(h) 

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

(i) 

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

 

           
     Year Ended
09/30/22
     Year Ended
09/30/21
     Year Ended
09/30/20
     Year Ended
09/30/19
     Year Ended
09/30/18
 

Portfolio turnover rate (excluding MDRs)

    42      161      274      241      350
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

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)  
    Investor C  
     Year Ended
09/30/22
    Year Ended
09/30/21
    Year Ended
09/30/20
    Year Ended
09/30/19
    Year Ended
09/30/18
 

Net asset value, beginning of year

  $ 11.95     $ 12.53     $ 11.95     $ 11.21     $ 11.77  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income(a)

    0.14       0.11       0.16       0.27       0.27  

Net realized and unrealized gain (loss)

    (2.12     (0.08     0.60       0.74       (0.56
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) from investment operations

    (1.98     0.03       0.76       1.01       (0.29
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Distributions(b)

         

From net investment income

    (0.14     (0.12     (0.18     (0.27     (0.27

From net realized gain

    (0.07     (0.49                  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total distributions

    (0.21     (0.61     (0.18     (0.27     (0.27
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of year

  $ 9.76     $ 11.95     $ 12.53     $ 11.95     $ 11.21  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Return(c)

         

Based on net asset value

    (16.76 )%      0.16     6.44 %(d)       9.14     (2.53 )%(d) 
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Ratios to Average Net Assets(e)(f)

         

Total expenses

    1.48 %(g)(h)      1.47 %(g)       1.49 %(i)       1.51 %(i)       1.82 %(g)  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses after fees waived and/or reimbursed

    1.46 %(g)(h)      1.45 %(g)       1.44 %(i)       1.44 %(i)       1.74 %(g)  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
Total expenses after fees waived and/or reimbursed and excluding interest expense     1.46 %(g)(h)      1.45 %(g)       1.44 %(i)       1.44 %(i)       1.45 %(g)  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income

    1.23 %(g)      0.89 %(g)       1.36 %(i)       2.35 %(i)       2.32 %(g)  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Supplemental Data

         

Net assets, end of year (000)

  $  56,468     $  100,462     $  140,034     $  209,532     $  235,682  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Portfolio turnover rate of the Master Portfolio(j)

    289     459     556     574     734
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

(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 fees and expenses incurred indirectly as a result of investments in underlying funds.

(g) 

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

(h) 

Includes non-recurring expenses of proxy costs. Without these costs, total expenses, total expenses after fees waived and/or reimbursed, and total expenses after fees waived and/or reimbursed and excluding interest expense would have been 1.46%, 1.44% and 1.44%, respectively.

(i) 

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

(j) 

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

 

           
     Year Ended
09/30/22
     Year Ended
09/30/21
     Year Ended
09/30/20
     Year Ended
09/30/19
     Year Ended
09/30/18
 

Portfolio turnover rate (excluding MDRs)

    42      161      274      241      350 %   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

See notes to financial statements.

 

 

18  

2 0 2 2    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 K  
     Year Ended
09/30/22
    Year Ended
09/30/21
    Year Ended
09/30/20
    Year Ended
09/30/19
    Year Ended
09/30/18
 

Net asset value, beginning of year

  $ 11.96     $ 12.53     $ 11.95     $ 11.21     $ 11.77  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income(a)

    0.26       0.24       0.29       0.39       0.39  

Net realized and unrealized gain (loss)

    (2.13     (0.07     0.60       0.74       (0.56
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) from investment operations

    (1.87     0.17       0.89       1.13       (0.17
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Distributions(b)

         

From net investment income

    (0.26     (0.25     (0.31     (0.39     (0.39

From net realized gain

    (0.07     (0.49                  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total distributions

    (0.33     (0.74     (0.31     (0.39     (0.39
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of year

  $ 9.76     $ 11.96     $ 12.53     $ 11.95     $ 11.21  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Return(c)

         

Based on net asset value

    (15.93 )%      1.32     7.59 %(d)       10.30     (1.49 )%(d)  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Ratios to Average Net Assets(e)(f)

         

Total expenses

    0.38 %(g)       0.38 %(g)       0.37 %(h)       0.37 %(h)       0.64 %(g)  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses after fees waived and/or reimbursed

    0.38 %(g)       0.38 %(g)       0.37 %(h)       0.37 %(h)       0.64 %(g)  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
Total expenses after fees waived and/or reimbursed and excluding interest expense     0.38 %(g)       0.38 %(g)       0.37 %(h)       0.37 %(h)       0.38 %(g)  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income

    2.37 %(g)       1.94 %(g)       2.41 %(h)       3.40 %(h)       3.36 %(g)  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Supplemental Data

         

Net assets, end of year (000)

  $   6,340,122     $   8,472,180     $   7,491,107     $   6,015,062     $   4,726,240  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Portfolio turnover rate of the Master Portfolio(i)

    289     459     556     574     734
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

(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 fees and expenses incurred indirectly as a result of investments in underlying funds.

(g) 

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

(h) 

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

(i) 

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

 

           
     Year Ended
09/30/22
     Year Ended
09/30/21
     Year Ended
09/30/20
     Year Ended
09/30/19
     Year Ended
09/30/18
 

Portfolio turnover rate (excluding MDRs)

    42      161      274      241      350 %   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

See notes to financial statements.

 

 

I N A N C I A L    I G H L I G H T  S

  19


Financial Highlights  (continued)

(For a share outstanding throughout each period)

 

    BlackRock Total Return Fund (continued)  
    Class R  
     Year Ended
09/30/22
    Year Ended
09/30/21
    Year Ended
09/30/20
    Year Ended
09/30/19
    Year Ended
09/30/18
 

Net asset value, beginning of year

  $ 11.96     $ 12.54     $ 11.96     $ 11.22     $ 11.78  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income(a)

    0.19       0.16       0.22       0.32       0.31  

Net realized and unrealized gain (loss)

    (2.13     (0.08     0.59       0.74       (0.56
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) from investment operations

    (1.94     0.08       0.81       1.06       (0.25
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Distributions(b)

         

From net investment income

    (0.18     (0.17     (0.23     (0.32     (0.31

From net realized gain

    (0.07     (0.49                  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total distributions

    (0.25     (0.66     (0.23     (0.32     (0.31
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of year

  $ 9.77     $ 11.96     $ 12.54     $ 11.96     $ 11.22  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Return(c)

         

Based on net asset value

    (16.40 )%      0.57     6.88 %(d)      9.58     (2.12 )%(d) 
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Ratios to Average Net Assets(e)(f)

         

Total expenses

    1.06 %(g)      1.05 %(g)      1.04 %(h)      1.07 %(g)       1.37 %(g)  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses after fees waived and/or reimbursed

    1.04 %(g)      1.04 %(g)      1.03 %(h)      1.03 %(g)       1.31 %(g)  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
Total expenses after fees waived and/or reimbursed and excluding interest expense     1.04 %(g)      1.04 %(g)      1.03 %(h)      1.03 %(g)       1.04 %(g)  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income

    1.71 %(g)      1.29 %(g)      1.80 %(h)      2.76 %(g)       2.72 %(g)  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Supplemental Data

         

Net assets, end of year (000)

  $   64,860     $   85,906     $   85,550     $   142,718     $   156,009  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Portfolio turnover rate of the Master Portfolio(i)

    289     459     556     574     734
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

(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 fees and expenses incurred indirectly as a result of investments in underlying funds.

(g) 

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

(h) 

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

(i) 

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

 

           
     Year Ended
09/30/22
     Year Ended
09/30/21
     Year Ended
09/30/20
     Year Ended
09/30/19
     Year Ended
09/30/18
 

Portfolio turnover rate (excluding MDRs)

    42      161      274      241      350
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

See notes to financial statements.

 

 

20  

2 0 2 2    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


Notes to Financial Statements  

 

1.

ORGANIZATION

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 Corporation is organized as a Maryland corporation. BlackRock Total Return Fund (the “Fund”) is a series of the Corporation. 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 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, 2022, the percentage of the Master Portfolio owned by the Fund was 96.4%. 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 8 years

 

(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.

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 open-ended non-index fixed-income 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 dates 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 Corporation, 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 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. Net appreciation (depreciation) in the value of participants’ deferral accounts is allocated among the participating funds in the BlackRock Fixed Income Complex and reflected as Trustee and Officer expense on the Statement of Operations. The Trustee and Officer expense may be negative as a result of a decrease in value of the deferred account.

 

 

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)

 

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 each of BlackRock International Limited (“BIL”) and BlackRock (Singapore) Limited (“BSL”), each an affiliate of the Manager. The Manager pays BIL and BSL for services they provide for that portion of the Fund for which BIL and BSL, 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

Class R

    0.25        0.25  

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, 2022, 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      Class R      Total    

Service and distribution — class specific

  $  127,876      $  4,028,481      $  22,330      $  785,845      $  393,152      $  5,357,684    

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. For the year ended September 30, 2022, the Fund paid $460,881 for the Fund’s Institutional Shares to affiliates of BlackRock in return for these services, which are included in transfer agent — class specific in the Statement of Operations.

 

 

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Notes to Financial Statements  (continued)

 

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, 2022, 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          Class K          Class R                  Total   

Reimbursed amounts

    $    22,909        $    36        $    9,452        $        176        $    2,914        $  8,470        $    857        $  44,814   

For the year ended September 30, 2022, 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      Class K      Class R      Total   

Transfer agent — class specific

  $  9,758,532      $  87,655      $  2,092,698      $  50,028      $  78,652      $  167,221      $  144,544      $  12,379,330   

Other Fees: For the year ended September 30, 2022, affiliates earned underwriting discounts, direct commissions and dealer concessions on sales of the Fund’s Investor A Shares of $19,888.

For the year ended September 30, 2022, affiliates received CDSCs as follows:

 

   
Share Class   Amounts  

Investor A

  $  133,830  

Investor C

    11,153  

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 June 30, 2023. 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, 2022, there were no fees waived 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

Class K

  0.39

Class R

  1.03

The Manager has agreed not to reduce or discontinue the contractual expense limitation through June 30, 2023, 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, 2022, there were no fees waived and/or reimbursed by the Manager pursuant to this agreement.

In addition, these amounts waived and/or reimbursed by the Manager are included in transfer agent fees waived and/or reimbursed — class specific in the Statement of Operations. For the year ended September 30, 2022, the class specific waivers and/or reimbursements are as follows:

 

                 
     Institutional      Service      Investor A      Investor A1      Investor C      Class K      Class R      Total  

Transfer agent fees waived and/or reimbursed — class specific

  $  2,005,473      $  18,733      $  2,040      $  22,233      $  19,249      $  46,115      $  14,939      $  2,128,782  

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, 2022, the Fund did not participate in the Interfund Lending Program.

 

 

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)

 

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.

 

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 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, 2022, 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:

 

     
     09/30/22      09/30/21  

Ordinary income

  $ 477,820,291      $ 807,449,148  

Long-term capital gains

    87,854,188        317,985,333  
 

 

 

    

 

 

 
  $   565,674,479      $   1,125,434,481  
 

 

 

    

 

 

 

As of September 30, 2022, the tax components of accumulated earnings (loss) were as follows:

 

   
      Amounts  

Net unrealized losses(a)

   $ (2,327,718,931

Qualified late-year losses

     (1,400,836,378
  

 

 

 
   $   (3,728,555,309
  

 

 

 

 

  (a) 

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

 

 

6.

CAPITAL SHARE TRANSACTIONS

Transactions in capital shares for each class were as follows:

 

       
    Year Ended 09/30/22            Year Ended 09/30/21  
Share Class   Shares     Amount             Shares     Amount  

Institutional

          

Shares sold

    471,198,724     $ 5,294,524,445          347,718,814     $ 4,215,821,985  

Shares issued in reinvestment of distributions

    23,849,602       262,361,092          40,007,908       486,765,535  

Shares redeemed

    (422,169,779         (4,601,574,876        (281,922,724         (3,419,176,351
 

 

 

   

 

 

      

 

 

   

 

 

 
    72,878,547     $ 955,310,661          105,803,998     $ 1,283,411,169  
 

 

 

   

 

 

      

 

 

   

 

 

 

Service

          

Shares sold

    955,363     $ 10,691,567          1,413,301     $ 17,081,292  

Shares issued in reinvestment of distributions

    118,949       1,310,630          244,825       2,980,022  

Shares redeemed

    (1,388,626     (15,040,752        (1,642,376     (20,109,497
 

 

 

   

 

 

      

 

 

   

 

 

 
    (314,314   $ (3,038,555        15,750     $ (48,183
 

 

 

   

 

 

      

 

 

   

 

 

 

Investor A

          

Shares sold

    33,567,548     $ 373,631,405              $  

Shares sold and automatic conversion of shares

                   62,592,112       760,467,479  

Shares issued in reinvestment of distributions

    2,640,697       29,156,417          9,660,792       117,612,929  

Shares redeemed

    (52,383,659     (576,880,831        (91,115,199     (1,103,115,618
 

 

 

   

 

 

      

 

 

   

 

 

 
    (16,175,414   $ (174,093,009        (18,862,295   $ (225,035,210
 

 

 

   

 

 

      

 

 

   

 

 

 

 

 

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Notes to Financial Statements  (continued)

 

       
    Year Ended 09/30/22            Year Ended 09/30/21  
Share Class   Shares     Amount             Shares     Amount  

Investor A1

          

Shares sold

    614,430     $ 6,895,105          227,822     $ 2,778,915  

Shares issued in reinvestment of distributions

    6,605       72,696          95,070       1,156,545  

Shares redeemed

    (396,358     (4,299,413        (436,858     (5,288,702
 

 

 

   

 

 

      

 

 

   

 

 

 
    224,677     $ 2,668,388          (113,966   $ (1,353,242
 

 

 

   

 

 

      

 

 

   

 

 

 

Investor C

          

Shares sold

    575,953     $ 6,423,509          1,647,551     $ 20,112,472  

Shares issued in reinvestment of distributions

    114,547       1,269,910          494,222       6,019,066  

Shares redeemed and automatic conversion of shares

    (3,310,438     (36,470,705        (4,913,706     (59,685,959
 

 

 

   

 

 

      

 

 

   

 

 

 
    (2,619,938   $ (28,777,286        (2,771,933   $ (33,554,421
 

 

 

   

 

 

      

 

 

   

 

 

 

Class K

          

Shares sold

    141,634,495     $ 1,580,228,305          225,881,007     $ 2,731,739,388  

Shares issued in reinvestment of distributions

    18,480,602       203,331,003          33,763,627       410,632,353  

Shares redeemed

    (219,382,907         (2,438,386,314        (148,791,540         (1,818,590,635
 

 

 

   

 

 

      

 

 

   

 

 

 
    (59,267,810   $ (654,827,006        110,853,094     $ 1,323,781,106  
 

 

 

   

 

 

      

 

 

   

 

 

 

Class R

          

Shares sold

    1,800,108     $ 19,919,767          2,501,470     $ 30,288,716  

Shares issued in reinvestment of distributions

    161,358       1,777,727          375,163       4,568,950  

Shares redeemed

    (2,503,561     (27,225,452        (2,518,160     (30,519,120
 

 

 

   

 

 

      

 

 

   

 

 

 
    (542,095   $ (5,527,958        358,473     $ 4,338,546  
 

 

 

   

 

 

      

 

 

   

 

 

 
    (5,816,347   $ 91,715,235          195,283,121     $ 2,351,539,765  
 

 

 

   

 

 

      

 

 

   

 

 

 

 

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, 2022, 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, 2022, 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 22, 2022

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

 

 

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Important Tax Information (unaudited)

 

The following amounts, or maximum amounts allowable by law are hereby designated as qualified dividend income for individuals for the fiscal year ended September 30, 2022:

 

   
Fund Name   Qualified Dividend
Income
 

BlackRock Total Return Fund

  $ 5,518,198  

The Fund hereby designates the following amounts, or maximum amounts allowable by law, as capital gain dividends, subject to a long-term capital gains tax rate as noted below, for the fiscal year ended September 30, 2022:

 

   
Fund Name   20% Rate
Long-Term
Capital Gain
Dividends
 

BlackRock Total Return Fund

  $ 87,854,188  

The Fund hereby designates the following amounts, or maximum amounts allowable by law, of distributions from direct federal obligation interest, for the fiscal year ended September 30, 2022:

 

   
Fund Name   Federal Obligation
Interest
 

BlackRock Total Return Fund

  $ 22,937,051  

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.

The following percentages, or maximum percentages allowable by law, of ordinary income distributions paid during the fiscal year ended September 30, 2022 qualified for the dividends-received deduction for corporate shareholders:

 

 

 
Fund Name   Dividends-Received
Deduction
 

 

 

BlackRock Total Return Fund

    0.88

 

 

The Fund hereby designates the following amounts, or maximum amounts allowable by law, as interest income eligible to be treated as a Section 163(j) interest dividend, for the fiscal year ended September 30, 2022:

 

   
Fund Name   Interest Dividends  

BlackRock Total Return Fund

  $ 449,384,572  

The Fund hereby designates the following amounts, or maximum amounts allowable by law, as interest-related dividends and qualified short-term capital gains eligible for exemption from U.S. withholding tax for nonresident aliens and foreign corporations, for the fiscal year ended September 30, 2022:

 

     
Fund Name   Interest-
Related
Dividends
     Qualified Short-
Term Gains
 

BlackRock Total Return Fund

  $   384,020,407      $ 43,283,754  

 

 

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, 2022    Master Total Return Portfolio

 

PORTFOLIO COMPOSITION

 

Asset Type    
Percent of
Total Investments
 
(a) 

U.S. Government Sponsored Agency Securities

    46.2

Corporate Bonds

    24.0  

Asset-Backed Securities

    10.7  

U.S. Treasury Obligations

    7.4  

Non-Agency Mortgage-Backed Securities

    7.0  

Floating Rate Loan Interests

    2.6  

Foreign Government Obligations

    0.7  

Municipal Bonds

    0.5  

Common Stocks

    0.4  

Preferred Securities

    0.4  

Foreign Agency Obligations

    0.1  

Investment Companies

    (b) 

Warrants

    (b) 

Rights

    (b) 

CREDIT QUALITY ALLOCATION

 

Credit Rating(c)    
Percent of
Total Investments
 
(a) 

AAA/Aaa(d)

    59.8

AA/Aa

    2.4  

A

    9.4  

BBB/Baa

    13.6  

BB/Ba

    2.2  

B

    2.3  

CCC/Caa

    0.5  

CC/Ca

    0.3  

C

    0.2  

N/R

    9.3  
 

 

(a) 

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

(b) 

Amount is less than 0.1%.

(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.

 

 

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Schedule of Investments

September 30, 2022

  

Master Total Return Portfolio

(Percentages shown are based on Net Assets)

 

Security   Par
                         (000)
                        Value  
Asset-Backed Securities  

510 Loan Acquisition Trust, Series 2020-1, Class A, 5.11%, 09/25/60(a)(b)

  USD 5,410     $ 5,092,648  

522 Funding CLO Ltd.

   

Series 2019-4A, Class CR, (3 mo. LIBOR US + 2.40%), 5.11%, 04/20/30(a)(c)

    625       588,485  

Series 2019-4A, Class DR, (3 mo. LIBOR US + 3.65%), 6.36%, 04/20/30(a)(c)

    2,170       1,979,009  

Series 2019-5A, Class AR, (3 mo. CME Term SOFR + 1.33%), 3.66%, 04/15/35(a)(c)

    510       488,656  

ACE Securities Corp. Home Equity Loan Trust

   

Series 2003-OP1, Class A2, (1 mo. LIBOR US + 0.72%), 3.80%, 12/25/33(c)

    577       515,748  

Series 2006-CW1, Class A2C, (1 mo. LIBOR US + 0.28%), 3.36%, 07/25/36(c)

    266       219,409  

Series 2007-HE4, Class A2A, (1 mo. LIBOR US + 0.26%), 3.34%, 05/25/37(c)

    2,503       504,680  

Series 2007-HE4, Class A2C, (1 mo. LIBOR US + 0.60%), 3.68%, 05/25/37(c)

    221       45,153  

ACRES Commercial Realty Ltd., Series 2021- FL1, Class A, (1 mo. LIBOR US + 1.20%), 4.14%, 06/15/36(a)(c)

    2,212       2,156,997  

AGL CLO 11 Ltd., Series 2021-11A, Class E, (3 mo. LIBOR US + 6.36%), 8.87%, 04/15/34(a)(c)

    250       212,356  

AGL CLO 12 Ltd., Series 2021-12A, Class A1, (3 mo. LIBOR US + 1.16%), 3.87%, 07/20/34(a)(c)

    7,640       7,328,689  

AGL CLO 14 Ltd., Series 2021-14A, Class A, (3 mo. LIBOR US + 1.15%), 3.88%, 12/02/34(a)(c)

    1,000       957,505  

AGL CLO 7 Ltd.

   

Series 2020-7A, Class AR, (3 mo. LIBOR US + 1.20%), 3.71%, 07/15/34(a)(c)

    2,400       2,301,749  

Series 2020-7A, Class DR, (3 mo. LIBOR US + 3.10%), 5.61%, 07/15/34(a)(c)

    500       432,461  

AGL CLO 9 Ltd., Series 2020-9A, Class D, (3 mo. LIBOR US + 3.70%), 6.41%, 01/20/34(a)(c)

    250       221,088  

AGL Core CLO 15 Ltd., Series 2021-15A, Class A1, (3 mo. LIBOR US + 1.15%), 3.86%, 01/20/35(a)(c)

    250       240,788  

AGL Core CLO 2 Ltd., Series 2019-2A, Class A1, (3 mo. LIBOR US + 1.39%), 4.10%, 04/20/32(a)(c)

    8,405       8,242,249  

AGL Core CLO 4 Ltd., Series 2020-4A, Class A1R, (3 mo. LIBOR US + 1.07%), 3.78%, 04/20/33(a)(c)

    3,620       3,510,308  

AGL Static CLO 18 Ltd., Series 2022-18A, Class B, (3 mo. CME Term SOFR + 2.00%), 3.12%, 04/21/31(a)(c)

    1,400       1,337,639  

AIG CLO Ltd., Series 2018-1A, Class A1R, (3 mo. LIBOR US + 1.12%), 3.83%, 04/20/32(a)(c)

    1,730       1,685,711  

AIMCO CLO

   

Series 2015-AA, Class BR2, (3 mo. LIBOR US + 1.60%), 4.34%, 10/17/34(a)(c)

    1,200       1,130,381  

Series 2017-AA, Class AR, (3 mo. LIBOR US + 1.05%), 3.76%, 04/20/34(a)(c)

    250       238,855  

Series 2017-AA, Class CR, (3 mo. LIBOR US + 2.10%), 4.81%, 04/20/34(a)(c)

    500       448,507  

Series 2017-AA, Class DR, (3 mo. LIBOR US + 3.15%), 5.86%, 04/20/34(a)(c)

    250       217,883  

Series 2018-BA, Class AR, (3 mo. LIBOR US + 1.10%), 3.61%, 01/15/32(a)(c)

    5,770       5,611,717  
Security   Par
                         (000)
                        Value  
Asset-Backed Securities (continued)  

Ajax Mortgage Loan Trust

   

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

  USD 38     $ 30,142  

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

    75       76,112  

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

    173       126,575  

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

    23       15,548  

Series 2018-E, Class C, 0.00%, 06/25/58(a)(c)

    7       6,687  

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

    258       168,407  

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

    10,042       9,876,922  

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

    2,600       2,542,833  

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

    5,467       4,903,471  

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

    10,815       10,275,903  

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

    2,120       1,861,285  

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

    5,380       2,845,085  

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

    5,078       4,968,447  

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

    1,970       1,908,341  

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

    4,761       4,467,490  

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

    18,926       18,387,933  

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

    3,853       3,681,201  

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

    9,093       5,693,164  

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

    1,261       1,239,253  

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

    2,981       2,870,281  

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

    9,355       8,493,862  

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

    4,786       4,504,046  

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

    4,238       4,069,350  

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

    10,013       8,969,136  

Series 2021-C, Class A, 2.12%, 01/25/61(a)(b)

    13,484       12,425,794  

Series 2021-C, Class B, 3.72%, 01/25/61(a)(b)

    3,277       3,015,129  

Series 2021-C, Class C, 0.00%, 01/25/61(a)

    8,282       7,732,826  

Series 2021-D, Class A, 2.00%, 03/25/60(a)(b)

    31,127       28,385,503  

Series 2021-D, Class B, 4.00%, 03/25/60(a)(c)

    5,836       5,338,604  

Series 2021-D, Class C, 0.00%, 03/25/60(a)(c)(d)

    8,627       5,313,279  

Series 2021-E, Class A1, 1.74%, 12/25/60(a)(c)

    25,488       21,572,381  

Series 2021-E, Class A2, 2.69%, 12/25/60(a)(c)

    4,422       3,530,014  

Series 2021-E, Class B1, 3.73%, 12/25/60(a)(c)

    2,669       2,102,428  

Series 2021-E, Class B3, 4.01%, 12/25/60(a)(c)

    7,653       4,542,614  

Series 2021-E, Class M1, 2.94%, 12/25/60(a)(c)

    1,744       1,341,421  

Series 2021-E, Class SA, 0.00%, 12/25/60(a)(c)

    123       57,615  

Series 2021-F, Class A, 1.88%, 06/25/61(a)(b)

    45,744       41,449,428  

Series 2021-F, Class B, 3.75%, 06/25/61(a)(b)

    6,403       5,838,395  

Series 2021-F, Class C, 0.00%, 06/25/61(a)(d)

    11,947       10,320,704  

Allegro CLO II-S Ltd., Series 2014-1RA, Class A1, (3 mo. LIBOR US + 1.08%), 3.81%, 10/21/28(a)(c)

    3,023       2,982,454  

Allegro CLO IV Ltd., Series 2016-1A, Class BR2, (3 mo. LIBOR US + 1.55%), 4.06%, 01/15/30(a)(c)

    400       383,194  

Allegro CLO VIII Ltd., Series 2018-2A, Class B1, (3 mo. LIBOR US + 1.67%), 4.18%, 07/15/31(a)(c)

    250       240,994  

Allegro CLO XI Ltd.

   

Series 2019-2A, Class A2A, (3 mo. LIBOR US + 1.85%), 4.59%, 01/19/33(a)(c)

    500       483,036  

Series 2019-2A, Class C, (3 mo. LIBOR US + 3.00%), 5.74%, 01/19/33(a)(c)

    250       233,576  

ALM Ltd.

   

Series 2020-1A, Class A2, (3 mo. LIBOR US + 1.85%), 4.36%, 10/15/29(a)(c)

    7,780       7,412,768  

Series 2020-1A, Class B, (3 mo. LIBOR US + 2.00%), 4.51%, 10/15/29(a)(c)

    250       231,537  
 

 

 

A S T E R    O R T F O L I O     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, 2022

  

Master Total Return Portfolio

(Percentages shown are based on Net Assets)

 

Security   Par
                         (000)
                        Value  
Asset-Backed Securities (continued)  

ALME Loan Funding V BV, Series 5A, Class ER, (3 mo. EURIBOR + 5.41%), 5.41%, 07/15/31(a)(c)

  EUR 1,500     $ 1,197,777  

AMMC CLO 21 Ltd., Series 2017-21A, Class A, (3 mo. LIBOR US + 1.25%), 4.04%, 11/02/30(a)(c)

  USD 750       740,000  

AMMC CLO 22 Ltd., Series 2018-22A, Class B, (3 mo. LIBOR US + 1.45%), 4.23%, 04/25/31(a)(c)

    500       467,447  

AMMC CLO XIII Ltd., Series 2013-13A, Class A1R2, (3 mo. LIBOR US + 1.05%), 3.83%, 07/24/29(a)(c)

    2,608       2,579,785  

AMSR Trust

   

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

    1,280       1,182,154  

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

    2,437       2,261,323  

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

    2,490       2,235,838  

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

    2,500       2,207,668  

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

    2,760       2,433,912  

Anchorage Capital CLO 16 Ltd., Series 2020-16A, Class A1R, (3 mo. LIBOR US + 1.20%), 3.94%, 01/19/35(a)(c)

    250       239,120  

Anchorage Capital CLO 17 Ltd., Series 2021-17A, Class A1, (3 mo. LIBOR US + 1.17%), 3.68%, 07/15/34(a)(c)

    11,115       10,667,503  

Anchorage Capital CLO 3-R Ltd.

   

Series 2014-3RA, Class A, (3 mo. LIBOR US + 1.05%), 3.84%, 01/28/31(a)(c)

    2,356       2,317,438  

Series 2014-3RA, Class B, (3 mo. LIBOR US + 1.50%), 4.29%, 01/28/31(a)(c)

    3,850       3,702,090  

Series 2014-3RA, Class C, (3 mo. LIBOR US + 1.85%), 4.64%, 01/28/31(a)(c)

    500       457,916  

Anchorage Capital CLO 4-R Ltd.

   

Series 2014-4RA, Class A, (3 mo. LIBOR US + 1.05%), 3.84%, 01/28/31(a)(c)

    5,330       5,243,093  

Series 2014-4RA, Class C, (3 mo. LIBOR US + 1.85%), 4.64%, 01/28/31(a)(c)

    5,550       5,103,040  

Anchorage Capital CLO 5-R Ltd.

   

Series 2014-5RA, Class B, (3 mo. LIBOR US + 1.45%), 3.96%, 01/15/30(a)(c)

    9,200       8,927,623  

Series 2014-5RA, Class C, (3 mo. LIBOR US + 1.85%), 4.36%, 01/15/30(a)(c)

    3,540       3,365,454  

Anchorage Capital CLO 6 Ltd., Series 2015-6A, Class ARR, (3 mo. LIBOR US + 1.05%), 3.56%, 07/15/30(a)(c)

    5,470       5,380,975  

Anchorage Capital CLO 7 Ltd.

   

Series 2015-7A, Class AR2, (3 mo. LIBOR US + 1.09%), 3.88%, 01/28/31(a)(c)

    4,936       4,851,011  

Series 2015-7A, Class BR2, (3 mo. LIBOR US + 1.75%), 4.54%, 01/28/31(a)(c)

    7,620       7,289,585  

Series 2015-7A, Class CR2, (3 mo. LIBOR US + 2.20%), 4.99%, 01/28/31(a)(c)

    4,250       3,940,407  

Series 2015-7A, Class D1R2, (3 mo. LIBOR US + 3.50%), 6.29%, 01/28/31(a)(c)

    1,140       1,029,103  

Anchorage Capital CLO 8 Ltd.

   

Series 2016-8A, Class AR2A, (3 mo. LIBOR US + 1.20%), 3.97%, 10/27/34(a)(c)

    2,430       2,340,932  
Security   Par
                         (000)
                        Value  
Asset-Backed Securities (continued)  

Anchorage Capital CLO 8 Ltd.

   

Series 2016-8A, Class BR2, (3 mo. LIBOR US + 1.80%), 4.57%, 10/27/34(a)(c)

  USD 2,800     $ 2,638,905  

Anchorage Capital CLO Ltd.

   

Series 2013-1A, Class A1R, (3 mo. LIBOR US + 1.25%), 3.71%, 10/13/30(a)(c)

    3,075       3,034,332  

Series 2013-1A, Class A2R, (3 mo. LIBOR US + 1.65%), 4.11%, 10/13/30(a)(c)

    750       721,200  

Series 2013-1A, Class BR, (3 mo. LIBOR US + 2.15%), 4.61%, 10/13/30(a)(c)

    1,410       1,336,315  

Anchorage Capital Europe CLO 2 DAC

 

 

Series 2A, Class B1R, (3 mo. EURIBOR + 1.60%), 1.60%, 04/15/34(a)(c)

  EUR 1,327       1,143,592  

Series 2A, Class DR, (3 mo. EURIBOR + 3.55%), 3.55%, 04/15/34(a)(c)

    1,380       1,170,743  

Anchorage Capital Europe CLO DAC, Series 4A, Class D, (3 mo. EURIBOR + 3.20%), 3.35%, 04/25/34(a)(c)

    542       463,664  

Antares CLO Ltd., Series 2021-1A, Class A1, (3 mo. LIBOR US + 1.53%), 4.31%, 07/25/33(a)(c)

  USD 10,760       10,462,499  

Apidos CLO XII, Series 2013-12A, Class AR, (3 mo. LIBOR US + 1.08%), 3.59%, 04/15/31(a)(c)

    3,652       3,569,026  

Apidos CLO XV, Series 2013-15A, Class A1RR, (3 mo. LIBOR US + 1.01%), 3.72%, 04/20/31(a)(c)

    1,080       1,056,673  

Apidos CLO XVIII, Series 2018-18A, Class A1, (3 mo. LIBOR US + 1.14%), 3.90%, 10/22/30(a)(c)

    880       855,552  

Apidos CLO XX

   

Series 2015-20A, Class A1RA, (3 mo. LIBOR US + 1.10%), 3.84%, 07/16/31(a)(c)

    450       437,043  

Series 2015-20A, Class A2RR, (3 mo. LIBOR US + 1.55%), 4.29%, 07/16/31(a)(c)

    250       236,564  

Apidos CLO XXII

   

Series 2015-22A, Class A2R, (3 mo. LIBOR US + 1.50%), 4.21%, 04/20/31(a)(c)

    500       473,964  

Series 2015-22A, Class BR, (3 mo. LIBOR US + 1.95%), 4.66%, 04/20/31(a)(c)

    250       231,663  

Series 2015-22A, Class CR, (3 mo. LIBOR US + 2.95%), 5.66%, 04/20/31(a)(c)

    850       762,958  

Apidos CLO XXVI, Series 2017-26A, Class BR, (3 mo. LIBOR US + 1.95%), 4.69%, 07/18/29(a)(c)

    570       532,934  

Apidos CLO XXX, Series XXXA, Class A1A, (3 mo. LIBOR US + 1.14%), 3.88%, 10/18/31(a)(c)

    250       243,017  

Apidos CLO XXXI, Series 2019-31A, Class BR, (3 mo. LIBOR US + 1.55%), 4.06%, 04/15/31(a)(c)

    500       470,351  

Apidos CLO XXXII

   

Series 2019-32A, Class C, (3 mo. LIBOR US + 2.40%), 5.11%, 01/20/33(a)(c)

    250       229,454  

Series 2019-32A, Class D, (3 mo. LIBOR US + 3.50%), 6.21%, 01/20/33(a)(c)

    300       273,158  

Apidos CLO XXXVII, Series 2021-37A, Class E, (3 mo. LIBOR US + 6.30%), 9.06%, 10/22/34(a)(c)

    455       384,476  

Apres Static CLO Ltd., Series 2019-1A, Class A2R, (3 mo. LIBOR US + 1.70%), 4.21%, 10/15/28(a)(c)

    250       242,796  
 

 

 

30  

2 0 2 2    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, 2022

  

Master Total Return Portfolio

(Percentages shown are based on Net Assets)

 

Security   Par
                         (000)
                        Value  
Asset-Backed Securities (continued)  

Aqua Finance Trust, Series 2021-A, Class A, 1.54%, 07/17/46(a)

  USD 582     $ 526,912  

Arbor Realty Commercial Real Estate Notes Ltd.

   

Series 2021-FL4, Class A, (1 mo. LIBOR US + 1.35%), 4.17%, 11/15/36(a)(c)

    883       861,852  

Series 2022-FL2, Class A, (1 mo. CME Term SOFR + 1.85%), 4.70%, 05/15/37(a)(c)

    8,334       8,154,475  

Ares European CLO XII DAC, Series 12A, Class B1R, (3 mo. EURIBOR + 1.70%), 1.75%, 04/20/32(a)(c)

  EUR 889       788,806  

Ares LII CLO Ltd.

   

Series 2019-52A, Class A1R, (3 mo. LIBOR US + 1.05%), 3.81%, 04/22/31(a)(c)

  USD 7,910       7,694,398  

Series 2019-52A, Class A2R, (3 mo. LIBOR US + 1.45%), 4.21%, 04/22/31(a)(c)

    250       239,717  

Ares LIX CLO Ltd., Series 2021-59A, Class A, (3 mo. LIBOR US + 1.03%), 3.81%, 04/25/34(a)(c)

    500       473,451  

Ares LVI CLO Ltd.

   

Series 2020-56A, Class AR, (3 mo. LIBOR US + 1.16%), 3.94%, 10/25/34(a)(c)

    2,110       2,030,394  

Series 2020-56A, Class ER, (3 mo. LIBOR US + 6.50%), 9.28%, 10/25/34(a)(c)

    1,720       1,485,878  

Ares XLVIII CLO Ltd., Series 2018-48A, Class B, (3 mo. LIBOR US + 1.58%), 4.29%, 07/20/30(a)(c)

    370       351,500  

Ares XXXVII CLO Ltd., Series 2015-4A, Class A1R, (3 mo. LIBOR US + 1.17%), 3.68%, 10/15/30(a)(c)

    1,150       1,131,759  

Argent Mortgage Loan Trust, Series 2005-W1, Class A2, (1 mo. LIBOR US + 0.48%), 3.56%, 05/25/35(c)

    2,860       2,482,702  

ARM Master Trust LLC Agricultural Loan Backed Notes, Series 2021-T1, Class A, 2.43%, 11/15/27(a)

    1,819       1,662,802  

Armada Euro CLO III DAC, Series 3A, Class DR, (3 mo. EURIBOR + 3.30%), 3.30%, 07/15/31(a)(c)

  EUR 1,563       1,370,807  

ASSURANT CLO I Ltd., Series 2017-1A, Class CR, (3 mo. LIBOR US + 2.15%), 4.86%, 10/20/34(a)(c)

  USD 1,420       1,267,513  

ASSURANT CLO Ltd., Series 2018-2A, Class A, (3 mo. LIBOR US + 1.04%), 3.75%, 04/20/31(a)(c)

    750       729,828  

Atrium IX, Series 9A, Class AR2, (3 mo. LIBOR US + 0.99%), 4.03%, 05/28/30(a)(c)

    4,007       3,937,650  

Atrium XII, Series 12A, Class CR, (3 mo. LIBOR US + 1.65%), 4.41%, 04/22/27(a)(c)

    2,381       2,267,218  

Atrium XIII

   

Series 13A, Class A1, (3 mo. LIBOR US + 1.18%), 3.96%, 11/21/30(a)(c)

    500       492,607  

Series 13A, Class B, (3 mo. LIBOR US + 1.50%), 4.28%, 11/21/30(a)(c)

    1,250       1,186,696  

Series 13A, Class C, (3 mo. LIBOR US + 1.80%), 4.58%, 11/21/30(a)(c)

    390       362,018  

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

  EUR 400       358,712  

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

    400       346,213  
Security   Par
                         (000)
                        Value  
Asset-Backed Securities (continued)  

Avoca CLO XXII DAC

   

Series 22A, Class D, (3 mo. EURIBOR + 2.90%), 2.90%, 04/15/35(a)(c)

  EUR 500     $ 413,007  

Series 22X, Class B1, (3 mo. EURIBOR + 1.30%), 1.30%, 04/15/35(c)(e)

    850       727,260  

Avoca CLO XXIII DAC, Series 23A, Class D, (3 mo. EURIBOR + 3.05%), 3.05%, 04/15/34(a)(c)

    500       419,459  

Babson CLO Ltd., Series 2015-IA, Class BR, (3 mo. LIBOR US + 1.40%), 4.11%, 01/20/31(a)(c)

  USD 610       574,671  

Bain Capital Credit CLO Ltd.

   

Series 2017-1A, Class BR, (3 mo. LIBOR US + 1.50%), 4.21%, 07/20/30(a)(c)

    850       809,240  

Series 2018-2A, Class A1, (3 mo. LIBOR US + 1.08%), 3.82%, 07/19/31(a)(c)

    1,670       1,634,522  

Series 2018-2A, Class B, (3 mo. LIBOR US + 1.60%), 4.34%, 07/19/31(a)(c)

    500       468,126  

Series 2021-3A, Class D, (3 mo. LIBOR US + 3.10%), 5.88%, 07/24/34(a)(c)

    250       220,013  

Series 2021-4A, Class A1, (3 mo. LIBOR US + 1.17%), 3.88%, 10/20/34(a)(c)

    310       296,720  

Balboa Bay Loan Funding Ltd., Series 2021-1A, Class E, (3 mo. LIBOR US + 6.16%), 8.87%, 07/20/34(a)(c)

    250       207,835  

Ballyrock CLO 14 Ltd., Series 2020-14A, Class D, (3 mo. LIBOR US + 7.00%), 9.71%, 01/20/34(a)(c)

    250       219,373  

Ballyrock CLO Ltd.

   

Series 2016-1A, Class DR2, (3 mo. LIBOR US + 3.15%), 5.66%, 10/15/28(a)(c)

    500       482,899  

Series 2018-1A, Class A2, (3 mo. LIBOR US + 1.60%), 4.31%, 04/20/31(a)(c)

    500       469,639  

Series 2020-2A, Class DR, (3 mo. LIBOR US + 6.15%), 8.86%, 10/20/31(a)(c)

    250       217,080  

BankAmerica Manufactured Housing Contract Trust

   

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

    1,680       538,771  

Series 1998-2, Class B1, 7.35%, 12/10/25(c)

    2,790       735,864  

Bankers Healthcare Group Securitization Trust, Series 2020-A, Class C, 5.17%, 09/17/31(a)

    410       378,718  

Bardot CLO Ltd., Series 2019-2A, Class DR, (3 mo. LIBOR US + 3.00%), 5.76%, 10/22/32(a)(c)

    250       222,144  

Barings CLO Ltd.

   

Series 2015-2A, Class AR, (3 mo. LIBOR US + 1.19%), 3.90%, 10/20/30(a)(c)

    2,590       2,544,462  

Series 2018-3A, Class A1, (3 mo. LIBOR US + 0.95%), 3.66%, 07/20/29(a)(c)

    699       688,499  

Series 2019-3A, Class A1R, (3 mo. LIBOR US + 1.07%), 3.78%, 04/20/31(a)(c)

    1,330       1,296,244  

Battalion CLO 18 Ltd., Series 2020-18A, Class BR, (3 mo. LIBOR US + 1.75%), 4.26%, 10/15/36(a)(c)

    1,827       1,706,953  

Battalion CLO IX Ltd., Series 2015-9A, Class DR, (3 mo. LIBOR US + 3.25%), 5.76%, 07/15/31(a)(c)

    250       224,438