Correspondence 0001193125-23-203992 from BLACKROCK LIQUIDITY FUNDS (CIK 0000097098)
BLACKROCK LIQUIDITY FUNDS (CIK 0000097098)
Date: Aug. 4, 2023 · CIK: 0000097098 · Accession: 0001193125-23-203992
AI Filing Summary & Sentiment
File numbers found in text: 811-02354, 811-02405, 811-02661, 811-03091, 811-03290, 811-05542, 811-05576, 811-05603, 811-05611, 811-05723, 811-05742, 811-06349, 811-07332, 811-08217, 811-08603, 811-10543, 811-21053, 811-21126, 811-21178, 811-21318, 811-21349, 811-21413, 811-21506, 811-21566, 811-21656, 811-21702, 811-21729, 811-21759, 811-21784, 811-21793, 811-21972, 811-22032, 811-22061, 811-22501, 811-22606, 811-22774, 811-22991, 811-23285, 811-23339, 811-23345, 811-23346, 811-23357, 811-23428, 811-23466, 811-23564, 811-23625, 811-23701
Letter
Division of Investment Management Securities and Exchange Commission 100 F Street, NE Washington, DC 20549 Re: Annual Reports of the Funds Listed on Appendix A
Dear Mr. Manion:
On behalf of the funds set forth in Appendix A (each, a “Fund” and collectively, the “Funds”), this letter responds to comments provided by the staff of the Division of Investment Management (the “Staff”) of the Securities and Exchange Commission (the “Commission”) to the undersigned and Eli Schwartz of Willkie Farr & Gallagher LLP by telephone on July 5, 2023 regarding the Annual Reports to Shareholders on Form N-CSR (each, an “Annual Report”) and the Annual Report for Registered Investment Companies on Form N-CEN (each, a “Form N-CEN” and together with the Annual Reports, the “Reports”) of each Fund for the fiscal year ended as of the date specified for such Fund in Appendix A.
For your convenience, the substance of the Staff’s comments has been restated below. We have discussed the Staff’s comments with representatives of the Funds. Each Fund’s joint or individual responses to each comment, as applicable, are set out immediately under the restated comment. Please note that we have not independently verified information provided by the Funds. Unless otherwise indicated, defined terms used herein have the meanings set forth in the relevant Report(s).
Comment No. 1: Please discuss generally the reason(s) for the amendments to Form N-CEN filed by certain Funds on May 4, 2023. For future amendments to Form N-CEN, please include the reason(s) for the amendment in a cover letter to the filing or an explanatory note in the filing.
Response: The aforementioned amendments to Form N-CEN were filed to update certain performance related information in Item C.3.ii and Item C.3.iii. The Funds will include the reason(s) for future amendments to Form N-CEN in a cover letter to the filing or in an explanatory note in the filing.
BRUSSELS CHICAGO FRANKFURT HOUSTON LONDON LOS ANGELES MILAN
NEW YORK PALO ALTO PARIS ROME SAN FRANCISCO WASHINGTON
Comment No. 2: BlackRock Enhanced Government Fund, Inc.’s portfolio turnover has increased significantly over the prior two fiscal years based on historic trends. Please discuss generally the factors that have led to this increase. For the Funds’ future shareholder reports, please consider discussing the impact of significant changes in portfolio turnover on the Fund’s performance in the Management’s Discussion of Financial Performance.
Response: Significant volatility in interest rates and fixed income markets more broadly during the last two fiscal years resulted in higher portfolio turnover within BlackRock Enhanced Government Fund, Inc. During the last two fiscal years, the Fund increased its mortgage-backed securities exposure to take advantage of mortgage valuations. The rise in mortgage-backed securities exposure combined with rolling of new “to-be-announced” contracts factored into the increase in portfolio turnover. The Funds will consider including a discussion of the impact of significant changes in portfolio turnover on a Fund’s performance in the Management’s Discussion of Financial Performance in future shareholder reports.
Comment No. 3: In response to Item C.7.n.i of BlackRock Inflation Protected Bond Portfolio’s Form N-CEN filed on March 13, 2023, the Fund responded affirmatively that it was excepted from Rule 18f-4 as a limited derivatives user. In addition, in response to Item C.7.n.ii, the Fund responded affirmatively that it was a leveraged/inverse fund excepted from the requirements to comply with limit on fund leverage in Rule 18f-4. The Staff notes that the Fund had reverse repurchase agreements open at December 31, 2022 that were greater than 10% of net assets and the average notional value of the Fund’s derivatives also exceeded 10% of net assets.
(a) How does the Fund meet the exception requirements under 18f-4 as a limited derivatives user give the volume of its derivatives at period end?
(b) For the purposes of Rule 18f-4, are reverse repurchase agreements considered derivatives?
(c) How does the Fund meet the requirements of an leveraged/inverse fund?
(d) How does the Fund meet the exception to the requirements to limit fund leverage risk in Rule 18f-4(c)(5)?
Response: The Fund notes that it filed an amended Form N-CEN on June 16, 2023 to correct the responses to Item C.7.n by removing the affirmative responses to Items C.7.n.i and C.7.n.ii and instead responding affirmatively to Items C.7.n.iii and C.7.n.vi. As indicated in the response to Item C.7.n.iii in the Fund’s amended Form N-CEN filing, the Fund did not treat reverse repurchase agreements or similar financing transactions as derivatives for purposes of Rule 18f-4 during the fiscal year covered by the Form N-CEN.
Comment No. 4: BlackRock Exchange Portfolio’s current policy is to retain long-term capital gains and pay excise tax at current federal tax rates, for which the Fund has accrued expenses. For future financial statements, please consider additional disclosure on how the estimate for this accrual is determined, including the rates and other items which are a part of this estimate.
Response: BlackRock will consider adding the requested disclosure regarding the estimates for the Fund’s accrued federal income taxes in future financial statements.
- 2 -
Comment No. 5: For certain Funds (for example, BlackRock Global Allocation V.I. Fund, BlackRock Capital Allocation Term Trust and BlackRock ESG Capital Allocation Term Trust), the Staff would expect to see a “commitments and contingencies” line item in the Statement of Assets and Liabilities, even if there are none as of the date of the Statement. In addition, when Funds have equity commitments, they should disclose the nature and risks of such equity commitments in the Notes to Financial Statements, as required by ASC 820-10-50-6A. Please address these comments in future shareholder reports, as applicable.
Response: When applicable, BlackRock will add a “commitments and contingencies” line item to the Statements of Assets and Liabilities in future shareholder reports and include disclosure regarding the nature and risks of such equity commitments in the Notes to Financial Statements.
Comment No. 6: The Staff notes that the gross and net expense ratios for Class I and II shares of BlackRock Advantage Large Cap Core V.I. Fund increased as compared to the prior fiscal year, whereas the Fund’s Class III shares’ gross expense ratio decreased and its net expense ratio increased as compared to the prior fiscal year. Please explain the reasons for the increases and the reason why Class III shares’ gross expense ratio decreased while all other expense ratios increased.
Response: In 2022, BlackRock Advantage Large Cap Core V.I. Fund experienced a 60% decrease in average net assets which was primarily due to a 94% decrease in Class III assets. The reduction of assets resulted in an increase of fund level expenses, including the fund’s advisory fee due to its tiered breakpoint schedule, resulting in increased gross and net expense ratios for Class I and Class II shares of the Fund. The decrease in Class III shares’ gross expense ratio was due to a decrease in the asset-based, class-specific transfer agent fees for Class III. This amount was offset by the decrease in class-level expenses eligible to be waived, which resulted in an increase in the Class III shares’ net expense ratio as compared to the prior fiscal period.
Comment No. 7: For certain Funds that have fully consolidated subsidiaries for reporting purposes, the internal control reports of the Funds’ auditors filed with Form N-CEN do not refer to consolidated financial statements. For future internal control reports, when applicable, please include references to consolidated financial statements.
Response: We have discussed this comment with our independent auditors and have confirmed that references to consolidated financial statements will be included in future internal control reports for applicable Funds.
* * * * * * * * * *
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Please do not hesitate to contact me at (212) 728-8955 if you have comments or if you require additional information regarding the Reports.
Respectfully submitted,
/s/ Bissie K. Bonner
Show Raw Text
CORRESP
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filename1.htm
SEC Comment Response Letter
787 Seventh Avenue
New York, NY
10019-6099
Tel: 212 728 8000
Fax: 212 728 8111
August 4, 2023
Mr. David Manion
Division of Investment Management
Securities and Exchange Commission
100 F Street, NE
Washington, DC 20549
Re:
Annual Reports of the Funds Listed on Appendix
A
Dear Mr. Manion:
On behalf of the funds
set forth in Appendix A (each, a “Fund” and collectively, the “Funds”), this letter responds to comments provided by the staff of the Division of Investment Management (the “Staff”) of the Securities and Exchange
Commission (the “Commission”) to the undersigned and Eli Schwartz of Willkie Farr & Gallagher LLP by telephone on July 5, 2023 regarding the Annual Reports to Shareholders on
Form N-CSR (each, an “Annual Report”) and the Annual Report for Registered Investment Companies on Form N-CEN (each, a “Form N-CEN” and together with the Annual Reports, the “Reports”) of each Fund for the fiscal year ended as of the date specified for such Fund in Appendix A.
For your convenience, the substance of the Staff’s comments has been restated below. We have discussed the Staff’s comments with
representatives of the Funds. Each Fund’s joint or individual responses to each comment, as applicable, are set out immediately under the restated comment. Please note that we have not independently verified information provided by the Funds.
Unless otherwise indicated, defined terms used herein have the meanings set forth in the relevant Report(s).
Comment
No. 1: Please discuss generally the reason(s) for the amendments to Form N-CEN filed by certain Funds on May 4, 2023.
For future amendments to Form N-CEN, please include the reason(s) for the amendment in a cover letter to the filing or an explanatory note in the filing.
Response: The aforementioned amendments to Form N-CEN were filed to update certain performance related information in Item C.3.ii and Item C.3.iii. The Funds will include the reason(s) for future amendments to Form
N-CEN in a cover letter to the filing or in an explanatory note in the filing.
BRUSSELS CHICAGO FRANKFURT
HOUSTON LONDON LOS ANGELES MILAN
NEW YORK PALO
ALTO PARIS ROME SAN FRANCISCO WASHINGTON
Comment No. 2: BlackRock Enhanced
Government Fund, Inc.’s portfolio turnover has increased significantly over the prior two fiscal years based on historic trends. Please discuss generally the factors that have led to this increase. For the Funds’ future shareholder
reports, please consider discussing the impact of significant changes in portfolio turnover on the Fund’s performance in the Management’s Discussion of Financial Performance.
Response: Significant volatility in interest rates and
fixed income markets more broadly during the last two fiscal years resulted in higher portfolio turnover within BlackRock Enhanced Government Fund, Inc. During the last two fiscal years, the Fund increased its mortgage-backed securities exposure to
take advantage of mortgage valuations. The rise in mortgage-backed securities exposure combined with rolling of new “to-be-announced” contracts factored into
the increase in portfolio turnover. The Funds will consider including a discussion of the impact of significant changes in portfolio turnover on a Fund’s performance in the Management’s Discussion of Financial Performance in future
shareholder reports.
Comment No. 3: In response to Item C.7.n.i of BlackRock
Inflation Protected Bond Portfolio’s Form N-CEN filed on March 13, 2023, the Fund responded affirmatively that it was excepted from Rule 18f-4 as
a limited derivatives user. In addition, in response to Item C.7.n.ii, the Fund responded affirmatively that it was a leveraged/inverse fund excepted from the requirements to comply with limit on fund leverage in Rule
18f-4. The Staff notes that the Fund had reverse repurchase agreements open at December 31, 2022 that were greater than 10% of net assets and the average notional value of the Fund’s
derivatives also exceeded 10% of net assets.
(a)
How does the Fund meet the exception requirements under 18f-4 as a
limited derivatives user give the volume of its derivatives at period end?
(b)
For the purposes of Rule 18f-4, are reverse repurchase agreements
considered derivatives?
(c)
How does the Fund meet the requirements of an leveraged/inverse fund?
(d)
How does the Fund meet the exception to the requirements to limit fund leverage risk in Rule 18f-4(c)(5)?
Response:
The Fund notes that it filed an amended Form N-CEN on June 16, 2023 to correct the responses to Item C.7.n by removing the
affirmative responses to Items C.7.n.i and C.7.n.ii and instead responding affirmatively to Items C.7.n.iii and C.7.n.vi. As indicated in the response to Item C.7.n.iii in the Fund’s amended Form N-CEN
filing, the Fund did not treat reverse repurchase agreements or similar financing transactions as derivatives for purposes of Rule 18f-4 during the fiscal year covered by the Form N-CEN.
Comment No. 4: BlackRock Exchange Portfolio’s current
policy is to retain long-term capital gains and pay excise tax at current federal tax rates, for which the Fund has accrued expenses. For future financial statements, please consider additional disclosure on how the estimate for this accrual is
determined, including the rates and other items which are a part of this estimate.
Response:
BlackRock will consider adding the requested disclosure regarding the estimates for the Fund’s accrued federal income taxes in future financial statements.
- 2 -
Comment No. 5: For certain Funds
(for example, BlackRock Global Allocation V.I. Fund, BlackRock Capital Allocation Term Trust and BlackRock ESG Capital Allocation Term Trust), the Staff would expect to see a “commitments and contingencies” line item in the Statement of
Assets and Liabilities, even if there are none as of the date of the Statement. In addition, when Funds have equity commitments, they should disclose the nature and risks of such equity commitments in the Notes to Financial Statements, as required
by ASC 820-10-50-6A. Please address these comments in future shareholder reports, as applicable.
Response: When applicable, BlackRock will add a
“commitments and contingencies” line item to the Statements of Assets and Liabilities in future shareholder reports and include disclosure regarding the nature and risks of such equity commitments in the Notes to Financial Statements.
Comment No. 6: The Staff notes that the gross and net expense ratios for
Class I and II shares of BlackRock Advantage Large Cap Core V.I. Fund increased as compared to the prior fiscal year, whereas the Fund’s Class III shares’ gross
expense ratio decreased and its net expense ratio increased as compared to the prior fiscal year. Please explain the reasons for the increases and the reason why Class III shares’ gross expense ratio
decreased while all other expense ratios increased.
Response:
In 2022, BlackRock Advantage Large Cap Core V.I. Fund experienced a 60% decrease in average net assets which was primarily due to a 94% decrease in Class III
assets. The reduction of assets resulted in an increase of fund level expenses, including the fund’s advisory fee due to its tiered breakpoint schedule, resulting in increased gross and net expense ratios for Class I and Class II
shares of the Fund. The decrease in Class III shares’ gross expense ratio was due to a decrease in the asset-based, class-specific transfer agent fees for Class III. This amount was offset by the decrease in class-level expenses
eligible to be waived, which resulted in an increase in the Class III shares’ net expense ratio as compared to the prior fiscal period.
Comment No. 7: For certain Funds that have fully consolidated subsidiaries for reporting purposes, the
internal control reports of the Funds’ auditors filed with Form N-CEN do not refer to consolidated financial statements. For future internal control reports, when applicable, please include references to
consolidated financial statements.
Response: We have
discussed this comment with our independent auditors and have confirmed that references to consolidated financial statements will be included in future internal control reports for applicable Funds.
* * * * * *
* * * *
- 3 -
Please do not hesitate to contact me at (212) 728-8955 if
you have comments or if you require additional information regarding the Reports.
Respectfully submitted,
/s/ Bissie K. Bonner
Bissie K. Bonner
cc:
Jessica Holly, Esq.
Bomi Lee, Esq.
Elliot J. Gluck,
Esq.
Jesse Kean, Esq.
- 4 -
Appendix A
Funds
File No.
Fiscal Year-End
of
Report
BlackRock Liquidity
Funds
811-02354
BlackRock Liquid Federal
Trust Fund
10/31/2022
California Money
Fund
10/31/2022
FedFund
10/31/2022
MuniCash
10/31/2022
New York Money
Fund
10/31/2022
TempCash
10/31/2022
TempFund
10/31/2022
T-Fund
10/31/2022
Treasury Trust
Fund
10/31/2022
BlackRock Sustainable
Balanced Fund, Inc.
811-02405
5/31/2022
BlackRock Funds VII,
Inc.
811-02661
4/30/2022
BlackRock Series Fund,
Inc.
811-03091
BlackRock Advantage Large
Cap Core Portfolio
12/31/2022
BlackRock Capital
Appreciation Portfolio
12/31/2022
BlackRock Global
Allocation Portfolio
12/31/2022
BlackRock Government Money
Market Portfolio
12/31/2022
BlackRock Sustainable
Balanced Portfolio
12/31/2022
BlackRock Variable
Series Funds, Inc.
811-03290
BlackRock 60/40 Target
Allocation ETF V.I. Fund
12/31/2022
BlackRock Advantage Large
Cap Core V.I. Fund
12/31/2022
BlackRock Advantage Large
Cap Value V.I. Fund
12/31/2022
BlackRock Advantage SMID
Cap V.I. Fund
12/31/2022
- 5 -
Funds
File No.
Fiscal Year-End
of
Report
BlackRock Basic Value V.I.
Fund
12/31/2022
BlackRock Capital
Appreciation V.I. Fund
12/31/2022
BlackRock Equity Dividend
V.I. Fund
12/31/2022
BlackRock Global
Allocation V.I. Fund
12/31/2022
BlackRock Government Money
Market V.I. Fund
12/31/2022
BlackRock International
Index V.I. Fund
12/31/2022
BlackRock International
V.I. Fund
12/31/2022
BlackRock Large Cap Focus
Growth V.I. Fund
12/31/2022
BlackRock Managed
Volatility V.I. Fund
12/31/2022
BlackRock S&P 500
Index V.I. Fund
12/31/2022
BlackRock Small Cap Index
V.I. Fund
12/31/2022
BlackRock Income Trust,
Inc.
811-05542
12/31/2022
BlackRock Global
Allocation Fund, Inc.
811-05576
4/30/2022
BlackRock Strategic
Global Bond Fund, Inc.
811-05603
12/31/2022
BlackRock MuniVest
Fund, Inc.
811-05611
7/31/2022
BlackRock
Funds
811-05742
BlackRock Advantage
Emerging Markets Fund
4/30/2022
BlackRock Commodity
Strategies Fund
5/31/2022
BlackRock Defensive
Advantage Emerging Markets Fund
4/30/2022
BlackRock Defensive
Advantage International Fund
4/30/2022
BlackRock Defensive
Advantage U.S. Fund
4/30/2022
BlackRock Exchange
Portfolio
12/31/2022
BlackRock Global Equity
Market Neutral Fund
4/30/2022
BlackRock Global Impact
Fund
4/30/2022
BlackRock International
Impact Fund
4/30/2022
- 6 -
Funds
File No.
Fiscal Year-End
of
Report
BlackRock Real Estate
Securities Fund
1/31/2023
BlackRock Short
Obligations Fund
7/31/2022
BlackRock Sustainable
Advantage Emerging Markets Equity Fund
4/30/2022
BlackRock Sustainable
Advantage International Equity Fund
4/30/2022
BlackRock Tactical
Opportunities Fund
4/30/2022
BlackRock Total Factor
Fund
7/31/2022
BlackRock U.S. Impact
Fund
4/30/2022
iShares Developed Real
Estate Index Fund
1/31/2023
iShares Russell Mid-Cap Index Fund
7/31/2022
iShares Russell Small/Mid-Cap Index Fund
7/31/2022
iShares Total U.S. Stock
Market Index Fund
7/31/2022
BlackRock Emerging
Markets Fund, Inc.
811-05723
4/30/2022
BlackRock Latin America
Fund, Inc.
811-06349
4/30/2022
BlackRock Funds
III
811-07332
BlackRock LifePath ESG
Index 2025 Fund
10/31/2022
BlackRock LifePath ESG
Index 2030 Fund
10/31/2022
BlackRock LifePath ESG
Index 2035 Fund
10/31/2022
BlackRock LifePath ESG
Index 2040 Fund
10/31/2022
BlackRock LifePath ESG
Index 2045 Fund
10/31/2022
BlackRock LifePath ESG
Index 2050 Fund
10/31/2022
BlackRock LifePath ESG
Index 2055 Fund
10/31/2022
BlackRock LifePath ESG
Index 2060 Fund
10/31/2022
BlackRock LifePath ESG
Index 2065 Fund
10/31/2022
BlackRock LifePath ESG
Index Retirement Fund
10/31/2022
iShares U.S. Aggregate
Bond Index Fund
12/31/2022
- 7 -
Funds
File No.
Fiscal Year-End
of
Report
BlackRock MuniHoldings
New York Quality Fund, Inc.
811-08217
7/31/2022
BlackRock Debt
Strategies Fund, Inc.
811-08603
12/31/2022
BlackRock Core Bond
Trust
811-10543
12/31/2022
BlackRock Virginia
Municipal Bond Trust
811-21053
7/31/2022
BlackRock Municipal
Income Trust II
811-21126
7/31/2022
BlackRock Municipal
Income Quality Trust
811-21178
7/31/2022
BlackRock Corporate
High Yield Fund, Inc.
811-21318
12/31/2022
BlackRock Limited
Duration Income Trust
811-21349
12/31/2022
BlackRock Floating Rate
Income Strategies Fund, Inc.
811-21413
12/31/2022
BlackRock Enhanced
Capital and Income Fund, Inc.
811-21506
12/31/2022
BlackRock Floating Rate
Income Trust
811-21566
12/31/2022
BlackRock Energy and
Resources Trust
811-21656
12/31/2022
BlackRock Health
Sciences Trust
811-21702
12/31/2022
BlackRock Enhanced
Global Dividend Trust
811-21729
12/31/2022
BlackRock Unconstrained
Equity Fund
811-21759
10/31/2022
BlackRock Enhanced
Equity Dividend Trust
811-21784
12/31/2022
BlackRock Enhanced
Government Fund, Inc.
811-21793
12/31/2022
BlackRock Credit
Allocation Income Trust
811-21972
12/31/2022
BlackRock Enhanced
International Dividend Trust
811-22032
12/31/2022
BlackRock Funds
II
811-22061
BlackRock 20/80 Target
Allocation Fund
9/30/2022
BlackRock 40/60 Target
Allocation Fund
9/30/2022
BlackRock 60/40 Target
Allocation Fund
9/30/2022
BlackRock 80/20 Target
Allocation Fund
9/30/2022
BlackRock Dynamic High
Income Portfolio
7/31/2022
- 8 -
Funds
File No.
Fiscal Year-End
of
Report
BlackRock Multi-Asset
Income Portfolio
7/31/2022
BlackRock Retirement
Income 2030 Fund
12/31/2022
BlackRock Retirement
Income 2040 Fund
12/31/2022
BlackRock
Resources & Commodities Strategy Trust
811-22501
12/31/2022
BlackRock Utilities,
Infrastructure & Power Opportunities Trust
811-22606
12/31/2022
BlackRock Multi-Sector
Income Trust
811-22774
10/31/2022
BlackRock Science and
Technology Trust
811-22991
12/31/2022
BlackRock Multi-Sector
Opportunities Trust
811-23285
12/31/2022
BlackRock Variable
Series Funds II, Inc.
811-23346
BlackRock High Yield V.I.
Fund
12/31/2022
BlackRock Total Return
V.I. Fund
12/31/2022
BlackRock Series Fund
II, Inc.
811-23345
BlackRock High Yield
Portfolio
12/31/2022
BlackRock Funds
V
811-23339
BlackRock Floating Rate
Income Portfolio
8/31/2022
BlackRock Inflation
Protected Bond Portfolio
12/31/2022
BlackRock Multi-Sector Opportunities Trust II
811-23357
12/31/2022
BlackRock Science and Technology Term Trust (formerly, BlackRock Science and Technology Trust II)
811-23428
12/31/2022
BlackRock Health Sciences Term Trust (formerly, BlackRock Health Sciences Trust II)
811-23466
12/31/2022
BlackRock Capital Allocation Term Trust (formerly, BlackRock Capital Allocation Trust)
811-23564
12/31/2022
BlackRock Innovation and Growth Term Trust (formerly, BlackRock Innovation and Growth Trust)
811-23625
12/31/2022
BlackRock ESG Capital Allocation Term Trust (formerly, BlackRock ESG Capital Allocation Trust)
811-23701
12/31/2022
- 9 -