Certified Semi-annual Shareholder Report for Management Investment Companies (n-csrs)

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: 811-21729

 

Name of Fund:   BlackRock Enhanced Global Dividend Trust (BOE)

 

Fund Address:   100 Bellevue Parkway, Wilmington, DE 19809

Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Enhanced Global Dividend Trust, 55 East 52nd Street, New York, NY 10055

Registrant’s telephone number, including area code: (800) 882-0052, Option 4

Date of fiscal year end: 12/31/2022

Date of reporting period: 06/30/2022


Item 1 –

Report to Stockholders

(a) The Report to Shareholders is attached herewith.


 

LOGO

  JUNE 30, 2022

 

 

    

  

2022 Semi-Annual Report

(Unaudited)

 

BlackRock Energy and Resources Trust (BGR)

BlackRock Enhanced Capital and Income Fund, Inc. (CII)

BlackRock Enhanced Equity Dividend Trust (BDJ)

BlackRock Enhanced Global Dividend Trust (BOE)

BlackRock Enhanced International Dividend Trust (BGY)

BlackRock Health Sciences Trust (BME)

BlackRock Health Sciences Trust II (BMEZ)

BlackRock Innovation and Growth Trust (BIGZ)

BlackRock Resources & Commodities Strategy Trust (BCX)

BlackRock Science and Technology Trust (BST)

BlackRock Science and Technology Trust II (BSTZ)

BlackRock Utilities, Infrastructure & Power Opportunities Trust (BUI)

 

    

 

 

 

Not FDIC Insured • May Lose Value • No Bank Guarantee


Supplemental Information  (unaudited)

 

Section 19(a) Notices

BlackRock Energy and Resources Trust’s (BGR), BlackRock Enhanced Capital and Income Fund, Inc.’s (CII), BlackRock Enhanced Equity Dividend Trust’s (BDJ), BlackRock Enhanced Global Dividend Trust’s (BOE), BlackRock Enhanced International Dividend Trust’s (BGY), BlackRock Health Sciences Trust’s (BME), BlackRock Health Sciences Trust II’s (BMEZ), BlackRock Innovation and Growth Trust’s (BIGZ), BlackRock Resources & Commodities Strategy Trust’s (BCX), BlackRock Science and Technology Trust’s (BST), BlackRock Science and Technology Trust II’s (BSTZ) and BlackRock Utilities, Infrastructure & Power Opportunities Trust’s (BUI) (collectively, the“Trusts” or individually, a “Trust”) amounts and sources of distributions reported are estimates and are being provided to you pursuant to regulatory requirements and are not being provided for tax reporting purposes. The actual amounts and sources for tax reporting purposes will depend upon each Trust’s investment experience during the remainder of its fiscal year and may be subject to changes based on tax regulations. Each Trust will provide a Form 1099-DIV each calendar year that will tell you how to report these distributions for U.S. federal income tax purposes.

June 30, 2022

 

     Total Cumulative Distributions
for the Fiscal Period
   

% Breakdown of the Total Cumulative

Distributions for the Fiscal Period

 

Trust Name

   
Net
Income
 
 
   

Net Realized
Capital Gains
Short-Term
 
 
 
   

Net Realized
Capital Gains
Long-Term
 
 
 
   
Return of
Capital 
 
(a)  
   

Total Per
Common
Share
 
 
 
   
Net
Income
 
 
   

Net Realized
Capital Gains
Short-Term
 
 
 
   

Net Realized
Capital Gains
Long-Term
 
 
 
   
Return of
Capital
 
 
   

Total Per
Common
Share
 
 
 

BGR

  $  0.186381     $     $     $  0.069619     $  0.256000       73             27     100

CII

    0.025717       0.343132       0.228151             0.597000       4       57       39             100  

BDJ

    0.082480       0.093121       0.149199             0.324800       25       29       46             100  

BOE

    0.126586             0.251414             0.378000       33             67             100  

BGY

    0.071189             0.050024       0.081587       0.202800       35             25       40       100  

BME

    0.035721             1.242279             1.278000       3             97             100  

BMEZ

          0.357947       0.512053             0.870000             41       59             100  

BIGZ

                      0.570000       0.570000                         100       100  

BCX

    0.154480                   0.105520       0.260000       59                   41       100  

BST

                1.500000             1.500000                   100             100  

BSTZ

          0.380441       0.771559             1.152000             33       67             100  

BUI

    0.210835             0.482989       0.032176       0.726000       29             67       4       100  

 

  (a)

Each Trust estimates that it has distributed more than its net income and net realized capital gains; therefore, a portion of the distribution may be a return of capital. A return of capital may occur, for example, when some or all of the shareholder’s investment in a Trust is returned to the shareholder. A return of capital does not necessarily reflect a Trust’s investment performance and should not be confused with “yield” or “income.” When distributions exceed total return performance, the difference will reduce a Trust’s net asset value per share.

 

Section 19(a) notices for the Trusts, as applicable, are available on the BlackRock website at blackrock.com.

Section 19(b) Disclosure

The Trusts, acting pursuant to a U.S. Securities and Exchange Commission (“SEC”) exemptive order and with the approval of each Trust’s Board of Trustees (the “Board”), each have adopted a managed distribution plan, consistent with its investment objectives and policies to support a level distribution of income, capital gains and/or return of capital (the “Plan”). In accordance with the Plans, the Trusts currently distribute the following fixed amounts per share on a monthly basis:

 

Exchange Symbol   Amount Per
Common Share
 

BGR

  $ 0.0490  

CII

    0.0995  

BDJ

    0.0562  

BOE

    0.0630  

BGY

    0.0338  

BME

    0.2130  

BMEZ

    0.1450  

BIGZ

    0.0700  

BCX

    0.0450  

BST

    0.2500  

BSTZ

    0.1920  

BUI

    0.1210  

The fixed amounts distributed per share are subject to change at the discretion of each Trust’s Board. Under its Plan, each Trust will distribute all available net income to its shareholders as required by the Internal Revenue Code of 1986, as amended (the “Code”). If sufficient income (inclusive of net income and short-term capital gains) is not earned on a monthly basis, the Trusts will distribute long-term capital gains and/or return of capital to shareholders in order to maintain a level distribution. Each monthly distribution to shareholders is expected to be at the fixed amount established by the Board; however, each Trust may make additional distributions from time to time, including additional capital gain distributions at the end of the taxable year, if required to meet requirements imposed by the Code and/or the Investment Company Act of 1940, as amended (the “1940 Act”).

Shareholders should not draw any conclusions about each Trust’s investment performance from the amount of these distributions or from the terms of the Plan. Each Trust’s total return performance is presented in its financial highlights table.

 

 

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Supplemental Information  (unaudited)  (continued)

 

The Board may amend, suspend or terminate a Trust’s Plan at any time without prior notice to the Trust’s shareholders if it deems such actions to be in the best interests of the Trust or its shareholders. The suspension or termination of the Plan could have the effect of creating a trading discount (if the Trust’s stock is trading at or above net asset value) or widening an existing trading discount. The Trusts are subject to risks that could have an adverse impact on their ability to maintain level distributions. Examples of potential risks include, but are not limited to, economic downturns impacting the markets, changes in interest rates, decreased market volatility, companies suspending or decreasing corporate dividend distributions and changes in the Code. Please refer to BME, BST and BUI’s prospectuses for a more complete description of each Trust’s risks.

 

 

U P P L E M E N T A L  N F O R M A T  I O N

  3


The Markets in Review

Dear Shareholder,

The 12-month reporting period as of June 30, 2022 saw the emergence of significant challenges that disrupted the economic recovery and strong financial markets. The U.S. economy shrank in the first quarter of 2022, ending the run of robust growth that followed the reopening of global economies and the development of COVID-19 vaccines. Rapid changes in consumer spending led to supply constraints and 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 persistently high inflation drove investors’ expectations for higher interest rates, 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 particularly steep. 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 increasing inflation drove investors’ expectations for higher interest rates. 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 growing faster than expected, raised interest rates three times while indicating that additional large rate hikes were likely. Furthermore, the Fed wound down its bond-buying programs and began to reduce its balance sheet. Continued high inflation and the Fed’s statements led many analysts to anticipate that interest rates have significant room to rise before peaking.

Furthermore, the horrific war in Ukraine has significantly clouded the outlook for the global economy, leading to major volatility in energy and metals markets. Sanctions on Russia, Europe’s top energy supplier, and general wartime disruption have magnified supply problems for key commodities. We believe elevated energy prices will continue to exacerbate inflationary pressure while also constraining economic growth. Combating inflation without stifling a recovery, while buffering against ongoing supply and price shocks, will be an especially challenging environment for setting effective monetary policy. Despite the likelihood of more rate increases on the horizon, we believe the Fed will err on the side of protecting employment, even at the expense of higher inflation. However, markets have been primed to expect sharp tightening, which could weigh on valuations until central banks begin to tap the brakes.

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. Furthermore, the energy shock 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. We take the opposite view on credit, where higher spreads provide near-term opportunities, while the likelihood of a higher inflation regime leads us to take an underweight stance on credit in the long-term. We believe that investment-grade corporates, U.K. gilts, local-currency emerging market debt, and inflation-protected bonds (particularly in Europe) offer strong opportunities in a six- to twelve-month horizon.

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

Sincerely,

 

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

 

Total Returns as of June 30, 2022
     
     6-Month   12-Month
   

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

  (19.96)%   (10.62)%
   

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

  (23.43)      (25.20)   
   

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

  (19.57)      (17.77)   
   

Emerging market equities
(MSCI Emerging Markets Index)

  (17.63)      (25.28)   
   

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

  0.15   0.18
   

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

  (11.34)      (10.94)   
   

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

  (10.35)      (10.29)   
   

Tax-exempt municipal bonds
(Bloomberg Municipal Bond Index)

    (8.98)        (8.57)   
   

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

  (14.19)      (12.82)   

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


Table of Contents

 

      Page  

Supplemental Information

     2  

The Markets in Review

     4  

Option Over-Writing Strategy

     6  

Derivative Financial Instruments

     6  

Semi-Annual Report:

  

Trust Summary

     7  

Financial Statements:

  

Schedules of Investments

     36  

Statements of Assets and Liabilities

     124  

Statements of Operations

     127  

Statements of Changes in Net Assets

     130  

Statements of Cash Flows

     136  

Financial Highlights

     141  

Notes to Financial Statements

     153  

Disclosure of Investment Advisory Agreement and Sub-Advisory Agreement

     165  

Additional Information

     170  

Glossary of Terms Used in this Report

     173  

 

 

  5


Option Over-Writing Strategy

 

Overview

In general, the goal of each of the Trusts is to provide total return through a combination of current income and realized and unrealized gains (capital appreciation). The Trusts seek to pursue these goals primarily by investing in a portfolio of equity securities and also by employing a strategy of writing (selling) call and put options in an effort to generate current gains from option premiums and to enhance each Trust’s risk-adjusted return. Each Trust’s objectives cannot be achieved in all market conditions.

Each Trust primarily writes single stock covered call options and may also from time to time write single stock put options. When writing (selling) a covered call option, a Trust holds an underlying equity security and enters into an option transaction which allows the counterparty to purchase the equity security at an agreed-upon price (“strike price”) within an agreed-upon time period. The Trust receives cash premiums from the counterparties upon writing (selling) the option, which along with net investment income and net realized gains, if any, are generally available to support current or future distributions paid by the Trust. During the option term, the counterparty may elect to exercise the option if the market value of the equity security rises above the strike price, and the Trust is obligated to sell the equity security to the counterparty at the strike price, realizing a gain or loss. Premiums received increase gains or reduce losses realized on the sale of the equity security. If the option remains unexercised upon its expiration, the Trust realizes gains equal to the premiums received. Alternatively, an option may be closed out by an offsetting purchase or sale of an option prior to expiration. The Trust realizes a capital gain from a closing purchase or sale transaction if the premium paid is less than the premium received from writing the option. The Trust realizes a capital loss from a closing purchase or sale transaction if the premium received is less than the premium paid to purchase the option.

Writing covered call options entails certain risks, which include, but are not limited to, the following: an increase in the value of the underlying equity security above the strike price can result in the exercise of a written option (sale by a Trust to the counterparty) when the Trust might not otherwise have sold the security; exercise of the option by the counterparty may result in a sale below the current market value and a gain or loss being realized by the Trust; and limiting the potential appreciation that could be realized on the underlying equity security to the extent of the strike price of the option. The premium that a Trust receives from writing a covered call option may not be sufficient to offset the potential appreciation on the underlying equity security above the strike price of the option that could have otherwise been realized by the Trust. As such, an option over-writing strategy may outperform the general equity market in flat or falling markets but underperform in rising markets.

Option Over-Writing Strategy Illustration

To illustrate these concepts, assume the following: (1) a common stock purchased at and currently trading at $37.15 per share; (2) a three-month call option is written by a Trust with a strike price of $40 (i.e., 7.7% higher than the current market price); and (3) the Trust receives $2.45, or 6.6% of the common stock’s value, as a premium. If the stock price remains unchanged, the option expires and there would be a 6.6% return for the three-month period. If the stock were to decline in price by 6.6% (i.e., decline to $34.70 per share), the option strategy would “break-even” from an economic perspective resulting in neither a gain nor a loss. If the stock were to climb to a price of $40 or above, the option would be exercised and the stock would return 7.7% coupled with the option premium received of 6.6% for a total return of 14.3%. Under this scenario, the Trust loses the benefit of any appreciation of the stock above $40, and thus is limited to a 14.3% total return. The premium from writing the call option serves to offset some of the unrealized loss on the stock in the event that the price of the stock declines, but if the stock were to decline more than 6.6% under this scenario, the Trust’s downside protection is eliminated and the stock could eventually become worthless.

Each Trust intends to write covered call and other options to varying degrees depending upon market conditions. Please refer to each Trust’s Schedule of Investments and the Notes to Financial Statements for details of written options.

Derivative Financial Instruments

The Trusts may invest in various derivative financial instruments. These instruments are used to obtain exposure to a security, commodity, index, market, and/or other assets without owning or taking physical custody of securities, commodities and/or other referenced assets or to manage market, equity, credit, interest rate, foreign currency exchange rate, commodity and/or other risks. Derivative financial instruments may give rise to a form of economic leverage and involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the instrument. The Trusts’ 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 a Trust can realize on an investment and/or may result in lower distributions paid to shareholders. The Trusts’ investments in these instruments, if any, are discussed in detail in the Notes to Financial Statements.

 

 

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Trust Summary  as of June 30, 2022    BlackRock Energy and Resources Trust (BGR)

 

Investment Objective

BlackRock Energy and Resources Trust’s (BGR) (the “Trust”) investment objective is to provide total return through a combination of current income and long-term capital appreciation. The Trust seeks to achieve its investment objective by investing, under normal market conditions, at least 80% of its total assets in equity securities of energy and natural resources companies and equity derivatives with exposure to the energy and natural resources industry. The Trust may invest directly in such securities or synthetically through the use of derivatives. The Trust seeks to pursue this goal primarily by investing in a portfolio of equity securities and also by employing a strategy of writing (selling) call and put options.

No assurance can be given that the Trust’s investment objective will be achieved.

Trust Information

 

Symbol on New York Stock Exchange

  BGR

Initial Offering Date

      December 29, 2004    

Current Distribution Rate on Closing Market Price as of June 30, 2022 ($10.97)(a)

  5.36%

Current Monthly Distribution per Common Share(b)

  $0.0490

Current Annualized Distribution per Common Share(b)

  $0.5880

 

  (a) 

Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate may consist of income, net realized gains and/or a return of capital. Past performance is not an indication of future results.

 
  (b) 

The distribution rate is not constant and is subject to change. A portion of the distribution may be deemed a return of capital or net realized gain.

 

Market Price and Net Asset Value Per Share Summary

 

     06/30/22     12/31/21     Change     High     Low    

Closing Market Price

    $  10.97       $  9.48       15.72     $ 13.63       $  9.48    

Net Asset Value

    12.51       10.77       16.16       15.19       10.77    

Performance

Returns for the period ended June 30, 2022 were as follows:

 

          Average Annual Total Returns  
     6-month     1 Year     5 Years     10 Years  

Trust at NAV(a)(b)

    18.75     28.49     4.49     2.04

Trust at Market Price(a)(b)

    18.30       17.04       3.48       1.31  

MSCI World Energy Call Overwrite Index(c)

    20.13       26.14       N/A       N/A  

MSCI World Energy Index(d)

    23.96       31.20       5.34       2.44  

 

  (a) 

All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices.

 
  (b) 

The Trust’s discount to NAV widened during the period, which accounts for the difference between performance based on market price and performance based on NAV.

 
  (c) 

An index that incorporates an option overlay component on the MSCI World Energy Index with a 33% overwrite level. The benchmark commenced on December 31, 2018 and therefore the benchmark does not have 5- and 10-year returns.

 
  (d) 

An index that is designed to capture the large- and mid-cap segments across developed markets countries. All securities in the index are classified in the energy sector as per the Global Industry Classification Standard.

 

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

Past performance is not an indication of future results.

The Trust is presenting the performance of one or more indices for informational purposes only. The Trust is actively managed and does not seek to track or replicate the performance of any index. The index performance shown is not intended to be indicative of the Trust’s investment strategies, portfolio components or past or future performance.

More information about the Trust’s historical performance can be found in the “Closed End Funds” section of blackrock.com.

The following discussion relates to the Trust’s absolute performance based on NAV:

What factors influenced performance?

Energy stocks held up much better than the broader market in the first half of the year. An imbalance of supply and demand caused oil and natural gas prices to rally considerably through early June 2022. However, both the commodities and the related equities lost ground late in the period amid concerns about slowing economic growth.

The Trust was hurt by its zero weightings in certain United States-based shale companies that outperformed, including Occidental Petroleum Corp. and Woodside Energy Group Ltd. An underweight in the strong performing oil services sector also hurt results, with the largest effect coming from the lack of a position in Halliburton Co.

A position in the Russian company Gazprom PJSC—the value of which was written down to near zero in late February 2022—detracted from results. Russian companies have always been part of the Trust’s investment universe, and the investment adviser believed Gazprom had high-quality assets. However, the investment adviser did not anticipate either a full-scale invasion of Ukraine or the events that followed. Companies with Russian assets, such as TotalEnergies SE, also lagged during the period.

 

 

T R U S T   S U M M A R Y

  7


Trust Summary  as of June 30, 2022 (continued)    BlackRock Energy and Resources Trust (BGR)

 

On the other hand, stock selection in the integrated oil sub-sector helped performance. Suncor Energy Inc. and Cenovus Energy, Inc. were notable contributors in this area. Shares of Suncor rose following the announcement that an activist investor had purchased shares with the aim of improving operational performance. Cenovus rallied after announcing plans to increase cash returns to shareholders by tripling its dividend.

The Canadian oil producer Tourmaline Oil Corp. was another top contributor thanks to its strong results, announcement of a special dividend, and continued focus on capital discipline. A position in the U.S. company Kosmos Energy Ltd., which brought a new plant online, was a further contributor.

The Trust used an options overlay strategy in which calls were written on a portion of the portfolio’s holdings. This strategy contributed to results in the semiannual period.

The Trust’s practice of maintaining a specified level of monthly distributions to shareholders did not have a material impact on the Trust’s investment strategy.

Describe recent portfolio activity.

Given the increased risks to global economic growth, the investment adviser reduced the Trust’s weightings in certain holdings with higher sensitivity to the macroeconomic outlook. The investment adviser added to the Trust’s weighting in midstream companies, and it increased the allocation to select oilfield services companies following a pullback in valuations late in the period.

Describe portfolio positioning at period end.

The investment adviser maintained a bias towards higher-quality producers that it expects will benefit the most from strength in oil and gas prices. It was also positioned to capitalize on a potential resurgence in the oilfield services sector, as well as the need for increased liquified natural gas output to replace Russian gas exports to Europe.

As of June 30, 2022, the Trust had in place an option overwriting program whereby 38% of the underlying equities were overwritten with call options on individual stocks. These call options were typically written at prices above the prevailing market prices (estimated to be 5.9% out of the money) and for maturities averaging 52 days.

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.

Overview of the Trust’s Total Investments

 

TEN LARGEST HOLDINGS

Security(a)   Percent of
Total Investments
 

Exxon Mobil Corp.

    13.3

Chevron Corp.

    11.4  

Shell PLC

    10.8  

ConocoPhillips

    6.7  

TotalEnergies SE

    6.5  

TC Energy Corp.

    4.7  

EOG Resources, Inc.

    4.1  

Suncor Energy, Inc.

    3.9  

Williams Cos., Inc.

    3.6  

Pioneer Natural Resources Co.

    3.5  

INDUSTRY ALLOCATION

Industry(a)(b)   06/30/22  

Oil, Gas & Consumable Fuels

    95.4

Energy Equipment & Services

    3.7  

Other*

    0.9  
 

 

(a) 

Excludes short-term securities and options written.

(b) 

For Trust compliance purposes, the Trust’s industry classifications refer to one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.

*

Includes one or more investment categories that individually represents less than 1.0% of the Trust’s total investments. Please refer to the Schedule of Investments for details.

 

 

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Trust Summary  as of June 30, 2022    BlackRock Enhanced Capital and Income Fund, Inc. (CII)

 

Investment Objective

BlackRock Enhanced Capital and Income Fund, Inc.’s (CII) (the “Trust”) investment objective is to provide current income and capital appreciation. The Trust seeks to achieve its investment objective by investing in a portfolio of equity securities of U.S. and foreign issuers. The Trust may invest directly in such securities or synthetically through the use of derivatives. The Trust also seeks to achieve its investment objective by employing a strategy of writing (selling) call and put options.

No assurance can be given that the Trust’s investment objective will be achieved.

Trust Information

 

Symbol on New York Stock Exchange

  CII

Initial Offering Date

      April 30, 2004    

Current Distribution Rate on Closing Market Price as of June 30, 2022 ($17.58)(a)

  6.79%

Current Monthly Distribution per Common Share(b)

  $0.0995

Current Annualized Distribution per Common Share(b)

  $1.1940

 

  (a) 

Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance is not an indication of future results.

 
  (b) 

The distribution rate is not constant and is subject to change.

 

Market Price and Net Asset Value Per Share Summary

 

     06/30/22     12/31/21     Change     High     Low    

Closing Market Price

    $  17.58       $  22.12       (20.52)     $  22.12       $  16.94    

Net Asset Value

    18.44       22.10       (16.56)       22.26       18.01    

Performance

Returns for the period ended June 30, 2022 were as follows:

 

          Average Annual Total Returns  
     6-month     1 Year     5 Years     10 Years  

Trust at NAV(a)(b)

    (13.99)     (8.91)     9.55     10.64

Trust at Market Price(a)(b)

    (18.08)       (9.57)       9.93       11.00  

MSCI USA Call Overwrite Index(c)

    (17.13)       (9.57)       N/A       N/A  

Russell 1000® Index(d)

    (20.94)       (13.04)       11.00       12.82  

 

  (a) 

All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices.

 
  (b) 

The Trust moved from a premium to NAV to a discount during the period, which accounts for the difference between performance based on market price and performance based on NAV.

 
  (c) 

An index that incorporates an option overlay component on the MSCI USA Index with a 55% overwrite level. The benchmark commenced on December 31, 2018 and therefore the benchmark does not have 5- and 10-year returns.

 
  (d) 

An index that measures the performance of the large-cap segment of the U.S. equity universe. It is a subset of the Russell 3000® Index and includes approximately 1,000 of the largest securities based on a combination of their market capitalization and current index membership. The index represents approximately 93% of the U.S. market.

 

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

Past performance is not an indication of future results.

The Trust is presenting the performance of one or more indices for informational purposes only. The Trust is actively managed and does not seek to track or replicate the performance of any index. The index performance shown is not intended to be indicative of the Trust’s investment strategies, portfolio components or past or future performance.

More information about the Trust’s historical performance can be found in the “Closed End Funds” section of blackrock.com.

The following discussion relates to the Trust’s absolute performance based on NAV:

What factors influenced performance?

The global equity markets experienced a meaningful downturn in the first six months of the year, as investors reacted to the combination of elevated inflation, rising interest rates and the potential for slower growth.

The Trust’s positioning in the information technology sector, particularly in the software and IT services industries, made the largest contribution to performance. Positioning in the energy sector also proved beneficial, most notably an overweight to and selection within the oil, gas, and consumable fuels industry. Stock selection in the materials and consumer discretionary sectors contributed, as well.

A zero weighting in utilities, which was based on the investment adviser’s view that many companies in the sector were overvalued, was the largest detractor. An underweight in consumer staples also weighed on relative results, as the sector came into favor amid volatile market conditions. An underweight in real estate further detracted, as did stock selection in the specialty retail industry.

 

 

T R U S T   S U M M A R Y

  9


Trust Summary  as of June 30, 2022 (continued)    BlackRock Enhanced Capital and Income Fund, Inc. (CII)

 

The Trust used an options overlay strategy in which calls were written on a portion of the portfolio’s holdings. The Trust’s options overlay strategy detracted from relative performance for the six-month period.

The Trust’s practice of maintaining a specified level of monthly distributions did not have a material impact on the Trust’s investment strategy.

Describe recent portfolio activity.

Due to a combination of portfolio trading activity and market price movements, the Trust’s allocation to health care and consumer staples increased. Its allocations to the information technology and consumer discretionary sectors decreased.

Describe portfolio positioning at period end.

The Trust’s largest absolute sector weightings were in the information technology, health care, and financials. On a relative basis, the Trust’s largest overweights were to the communication services and materials sectors. Conversely, its largest underweights were in information technology and utilities.

As of June 30, 2022, the Trust had in place an option overwriting program whereby 52% of the underlying equities were overwritten with call options on individual stocks. These call options were typically written at prices above the prevailing market prices (estimated to be 6.0% out of the money) and for maturities averaging 46 days.

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

 

 

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Trust Summary  as of June 30, 2022 (continued)    BlackRock Enhanced Capital and Income Fund, Inc. (CII)

 

Overview of the Trust’s Total Investments

 

TEN LARGEST HOLDINGS

 

   
Security(a)   Percent of
Total Investments
 

Microsoft Corp.

    6.7

Alphabet, Inc.

    5.3  

Apple, Inc.

    4.5  

Amazon.com, Inc.

    4.3  

UnitedHealth Group, Inc.

    3.1  

Comcast Corp.

    3.0  

Corteva, Inc.

    2.9  

Visa, Inc.

    2.7  

Berkshire Hathaway, Inc.

    2.6  

Sanofi

    2.6  

SECTOR ALLOCATION

 

   
Sector(a)(b)   06/30/22  

Information Technology

    22.9

Health Care

    15.0  

Financials

    13.0  

Consumer Discretionary

    12.6  

Communication Services

    12.1  

Industrials

    9.2  

Materials

    5.2  

Consumer Staples

    4.5  

Energy

    4.2  

Real Estate

    1.3  
 

 

(a) 

Excludes short-term securities and options written.

(b) 

For Trust compliance purposes, the Trust’s sector classifications refer to one or more of the sector sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such sector sub-classifications for reporting ease.

 

 

T R U S T   S U M M A R Y

  11


Trust Summary  as of June 30, 2022    BlackRock Enhanced Equity Dividend Trust (BDJ)

 

Investment Objective

BlackRock Enhanced Equity Dividend Trust’s (BDJ) (the “Trust”) primary investment objective is to provide current income and current gains, with a secondary investment objective of long-term capital appreciation. The Trust seeks to achieve its investment objectives by investing in common stocks that pay dividends and have the potential for capital appreciation and by employing a strategy of writing (selling) call and put options. The Trust invests, under normal market conditions, at least 80% of its total assets in dividend paying equities. The Trust may invest directly in such securities or synthetically through the use of derivatives.

No assurance can be given that the Trust’s investment objectives will be achieved.

Trust Information

 

   

Symbol on New York Stock Exchange

  BDJ

Initial Offering Date

  August 31, 2005

Current Distribution Rate on Closing Market Price as of June 30, 2022 ($8.83)(a)

  7.64%

Current Monthly Distribution per Common Share(b)

  $0.0562

Current Annualized Distribution per Common Share(b)

  $0.6744

 

  (a) 

Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance is not an indication of future results.

 
  (b) 

The distribution rate is not constant and is subject to change.

 

Market Price and Net Asset Value Per Share Summary

 

     06/30/22      12/31/21      Change     High      Low    

Closing Market Price

  $  8.83      $  10.08        (12.40 )%    $  10.43      $  8.76    

Net Asset Value

    9.09        10.23        (11.14     10.55        8.90    

Performance

Returns for the period ended June 30, 2022 were as follows:

 

          Average Annual Total Returns  
     6-month     1 Year     5 Years     10 Years  

Trust at NAV(a)(b)

    (8.07 )%      (4.79 )%      6.83     8.71

Trust at Market Price(a)(b)

    (9.37     (4.68     7.83       9.72  

MSCI USA Value Call Overwrite Index(c)

    (9.68     (0.31     N/A       N/A  

Russell 1000® Value Index(d)

    (12.86     (6.82     7.17       10.50  

 

  (a) 

All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices.

 
  (b) 

The Trust’s discount to NAV widened during the period, which accounts for the difference between performance based on market price and performance based on NAV.

 
  (c) 

An index that incorporates an option overlay component on the MSCI USA Value Index with a 55% overwrite level. The benchmark commenced on December 31, 2018 and therefore the benchmark does not have 5- and 10-year returns.

 
  (d) 

An index that measures the performance of the large-cap value segment of the U.S. equity universe. It includes those Russell 1000 companies with lower price-to-book ratios and lower expected growth values.

 

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

Past performance is not an indication of future results.

The Trust is presenting the performance of one or more indices for informational purposes only. The Trust is actively managed and does not seek to track or replicate the performance of any index. The index performance shown is not intended to be indicative of the Trust’s investment strategies, portfolio components or past or future performance.

More information about the Trust’s historical performance can be found in the “Closed End Funds” section of blackrock.com.

The following discussion relates to the Trust’s absolute performance based on NAV:

What factors influenced performance?

The global equity markets experienced a meaningful downturn in the first six months of the year, as investors reacted to the combination of elevated inflation, rising interest rates and the potential for slower growth.

Positioning in the industrials sector contributed to Fund performance, largely due to the combination of an overweight allocation and favorable stock selection in the aerospace & defense industry. Positioning in information technology also helped relative performance, led by an underweight in semiconductor stocks and selection in the software industry. An overweight in the energy sector and an underweight in real estate further contributed.

An underweight in consumer staples detracted from performance, as did selection in the sector. Most notably, underweights in the food products and beverages industry weighed on relative results. Other notable detractors included an underweight in the utilities sector and allocation decisions within the health care equipment & supplies industry.

 

 

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Trust Summary  as of June 30, 2022 (continued)    BlackRock Enhanced Equity Dividend Trust (BDJ)

 

The Trust used an options overlay strategy in which calls were written on a portion of the portfolio’s holdings. The options overlay strategy detracted from relative performance.

The Trust’s practice of maintaining a specified level of monthly distributions to shareholders did not have a material impact on the Trust’s investment strategy.

Describe recent portfolio activity.

The Trust’s allocations to the energy and information technology sectors increased due to a combination of portfolio trading activity and market price changes. The Trust’s weightings in financials and consumer staples decreased.

Describe portfolio positioning at period end.

In absolute terms, the Trust’s largest allocations were to the health care, financials and information technology sectors. Relative to the benchmark, the Trust’s most significant overweights were in the health care and financials sectors. Its largest underweights were in consumer staples and real estate.

As of June 30, 2022, the Trust had an options overwriting program in place whereby 48% of the underlying equities were overwritten with call options. These call options were typically written at levels above prevailing market prices (estimated to be 5.0% out of the money) with an average time until expiration of 47 days.

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.

Overview of the Trust’s Total Investments

 

TEN LARGEST HOLDINGS

 

   
Security(a)   Percent of
Total Investments
 

Wells Fargo & Co.

    3.1

Elevance Health, Inc.

    2.9  

Citigroup, Inc.

    2.8  

Humana, Inc.

    2.7  

BP PLC

    2.6  

Cisco Systems, Inc.

    2.5  

Enterprise Products Partners LP

    2.5  

Medtronic PLC

    2.4  

AstraZeneca PLC

    2.4  

Sanofi

    2.2  

 

SECTOR ALLOCATION

 

   
Sector(a)(b)   06/30/22  

Health Care

    23.4

Financials

    21.2  

Information Technology

    13.2  

Energy

    8.7  

Industrials

    8.2  

Consumer Discretionary

    7.7  

Communication Services

    6.6  

Consumer Staples

    5.5  

Utilities

    3.3  

Materials

    2.2  
 

 

(a) 

Excludes short-term securities and options written.

(b) 

For Trust compliance purposes, the Trust’s sector classifications refer to one or more of the sector sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such sector sub-classifications for reporting ease.

 

 

T R U S T   S U M M A R Y

  13


Trust Summary  as of June 30, 2022    BlackRock Enhanced Global Dividend Trust (BOE)

 

Investment Objective

BlackRock Enhanced Global Dividend Trust’s (BOE) (the “Trust”) primary investment objective is to provide current income and current gains, with a secondary investment objective of long-term capital appreciation. The Trust seeks to achieve its investment objectives by investing primarily in equity securities issued by companies located in countries throughout the world and by employing a strategy of writing (selling) call and put options. Under normal circumstances, the Trust invests at least 80% of its net assets in dividend-paying equity securities and at least 40% of its assets outside of the U.S. (unless market conditions are not deemed favorable by Trust management, in which case the Trust would invest at least 30% of its assets outside of the U.S.). The Trust may invest in securities of companies of any market capitalization, but intends to invest primarily in securities of large capitalization companies. The Trust may invest directly in such securities or synthetically through the use of derivatives.

No assurance can be given that the Trust’s investment objectives will be achieved.

Trust Information

 

   

Symbol on New York Stock Exchange

  BOE

Initial Offering Date

  May 31, 2005

Current Distribution Rate on Closing Market Price as of June 30, 2022 ($9.77)(a)

  7.74%

Current Monthly Distribution per Common Share(b)

  $0.0630

Current Annualized Distribution per Common Share(b)

  $0.7560

 

  (a) 

Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance is not an indication of future results.

 
  (b) 

The distribution rate is not constant and is subject to change.

 

Market Price and Net Asset Value Per Share Summary

 

     06/30/22      12/31/21      Change      High      Low  

Closing Market Price

  $ 9.77      $ 12.18        (19.79 )%     $ 12.40      $ 9.59  

Net Asset Value

    11.17        13.40        (16.64      13.48        10.93  

Performance

Returns for the period ended June 30, 2022 were as follows:

 

          Average Annual Total Returns  
     6-month     1 Year     5 Years     10 Years  

Trust at NAV(a)(b)

    (13.71)%       (10.20)%       4.02%       6.49%  

Trust at Market Price(a)(b)

    (16.96)       (16.89)       3.09       6.10  

MSCI ACWI Call Overwrite Index(c)

    (17.69)       (13.08)       N/A       N/A  

MSCI ACWI(d)

    (20.18)       (15.75)       7.00       8.76  

 

  (a) 

All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices.

 
  (b) 

The Trust’s discount to NAV widened during the period, which accounts for the difference between performance based on market price and performance based on NAV.

 
  (c) 

An index that incorporates an option overlay component on the MSCI ACWI Index with a 45% overwrite level. The benchmark commenced on December 31, 2018 and therefore the benchmark does not have 5- and 10-year returns.

 
  (d) 

An index that captures large- and mid-cap representation across certain developed and emerging markets.

 

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

Past performance is not an indication of future results.

The Trust is presenting the performance of one or more indices for informational purposes only. The Trust is actively managed and does not seek to track or replicate the performance of any index. The index performance shown is not intended to be indicative of the Trust’s investment strategies, portfolio components or past or future performance.

More information about the Trust’s historical performance can be found in the “Closed End Funds” section of blackrock.com.

The following discussion relates to the Trust’s absolute performance based on NAV:

What factors influenced performance?

Global dividend stocks lost ground in absolute terms during the first half of 2022, but they outperformed the broad-based indexes.

Stock selection in the health care, information technology and communication services contributed to the Trust’s positive relative performance. AstraZeneca PLC was the largest contributor at the individual security level. The company has proven itself to be highly productive in research and development, allowing it to broaden its revenue base considerably over the last few years. BAE Systems PLC, a British aerospace and defense company, also helped results as European defense stocks surged in reaction to Russia’s invasion of Ukraine in February 2022. The U.S. pharmaceutical stock AbbVie, Inc. was an additional contributor of note amid investors’ rotation into more defensive companies.

 

 

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Trust Summary  as of June 30, 2022 (continued)    BlackRock Enhanced Global Dividend Trust (BOE)

 

Security selection in financials and consumer staples detracted from relative performance, as did an underweight in energy. Synchrony Financial was the largest individual detractor from returns. Shares of the consumer financial services company were hurt by concerns about weaker consumer credit. The investment adviser’s analysis of credit card data suggests the consumer sector remains exceptionally strong, even by pre-pandemic standards. While the investment adviser is conscious of the inflationary pressures from higher food and oil prices, robust data indicates that there is some buffer given the reduction in consumer debt in recent years. In addition, deposit balances and payment rates both remained high. Mediatek, Inc., a Taiwanese semiconductor company, detracted from results due to a slowdown in the Chinese smartphone market and increasing concerns surrounding tensions between China and Taiwan. Schneider Electric SE, based in France, also detracted amid the broader rotation from the growth style to value.

The Trust used an options overlay strategy in which calls were written on a portion of the portfolio’s holdings. The Trust’s options overlay strategy detracted from relative performance for the six-month period.

The Trust’s practice of maintaining a specified level of monthly distributions to shareholders did not have a material impact on the Trust’s investment strategy.

Describe recent portfolio activity.

The Trust added to its weightings in the communication services, energy and industrials sectors. Its allocations to information technology, utilities and consumer staples decreased.

Describe portfolio positioning at period end.

The largest sector weightings were in information technology and health care, driven by the IT services and pharmaceuticals industries, respectively. Regionally, the majority of the portfolio was invested in the United States, Europe, and the U.K.

As of June 30, 2022, the Trust had in place an option overwriting program whereby approximately 43% of the underlying equities were overwritten with call options. These call options were typically written at prices above the prevailing market prices (estimated to be 4.5% out of the money) and for maturities averaging 48 days.

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.

Overview of the Trust’s Total Investments

 

TEN LARGEST HOLDINGS

 

   
Security(a)   Percent of
Total Investments
 

Microsoft Corp.

    3.7

Sanofi

    3.6  

AstraZeneca PLC

    3.2  

Novo Nordisk A/S

    3.1  

RELX PLC.

    3.1  

Reckitt Benckiser Group PLC.

    3.1  

UnitedHealth Group, Inc.

    2.8  

AbbVie, Inc.

    2.7  

Taiwan Semiconductor Manufacturing Co. Ltd.

    2.6  

EDP - Energias de Portugal SA

    2.6  

GEOGRAPHIC ALLOCATION

 

   
Country/Geographic Region   06/30/22  

United States

    44.3

United Kingdom

    18.7  

France

    10.5  

Taiwan

    3.9  

Switzerland

    3.6  

Denmark

    3.1  

Portugal

    2.6  

Canada

    2.5  

Ireland

    2.4  

Netherlands

    1.7  

Sweden

    1.7  

Japan

    1.5  

Mexico

    1.2  

Indonesia

    1.1  

Singapore

    1.1  

India

    0.1  

 

 

 

(a)

Excludes short-term securities and options written.

 

 

T R U S T   S U M M A R Y

  15


Trust Summary  as of June 30, 2022    BlackRock Enhanced International Dividend Trust (BGY)

 

Investment Objective

BlackRock Enhanced International Dividend Trust’s (BGY) (the “Trust”) primary investment objective is to provide current income and current gains, with a secondary objective of long-term capital appreciation. The Trust seeks to achieve its investment objectives by investing primarily in equity securities issued by companies of any market capitalization located in countries throughout the world and by employing a strategy of writing (selling) call and put options. The Trust invests, under normal circumstances, at least 80% of its net assets in dividend-paying equity securities issued by non-U.S. companies of any market capitalization, but intends to invest primarily in securities of large capitalization companies. The Trust may invest directly in such securities or synthetically through the use of derivatives.

No assurance can be given that the Trust’s investment objectives will be achieved.

Trust Information

 

Symbol on New York Stock Exchange

  BGY

Initial Offering Date

      May 30, 2007    

Current Distribution Rate on Closing Market Price as of June 30, 2022 ($5.06)(a)

  8.02%

Current Monthly Distribution per Common Share(b)

  $0.0338

Current Annualized Distribution per Common Share(b)

  $0.4056

 

  (a) 

Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate may consist of income, net realized gains and/or a return of capital. Past performance is not an indication of future results.

 
  (b) 

The distribution rate is not constant and is subject to change. A portion of the distribution may be deemed a return of capital or net realized gain.

 

Market Price and Net Asset Value Per Share Summary

 

     06/30/22     12/31/21     Change     High     Low  

Closing Market Price

    $  5.06       $ 6.28       (19.43)     $ 6.40       $ 4.88  

Net Asset Value

    5.69       6.81       (16.45)       6.84       5.61  

Performance

Returns for the period ended June 30, 2022 were as follows:

 

          Average Annual Total Returns  
     6-month     1 Year     5 Years     10 Years  

Trust at NAV(a)(b)

    (13.36)     (10.93)     3.74     4.79

Trust at Market Price(a)(b)

    (16.45)       (17.29)       2.93       4.59  

MSCI ACWI ex USA Call Overwrite Index(c)

    (16.77)       (16.97)       N/A       N/A  

MSCI ACWI ex USA Index(d)

    (18.42)       (19.42)       2.50       4.83  

 

  (a) 

All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices.

 
  (b) 

The Trust’s discount to NAV widened during the period, which accounts for the difference between performance based on market price and performance based on NAV.

 
  (c) 

An index that incorporates an option overlay component on the MSCI ACWI ex USA Index with a 45% overwrite level. The benchmark commenced on December 31, 2018 and therefore the benchmark does not have 5- and 10-year returns.

 
  (d) 

An index that captures large- and mid-cap representation across certain developed markets countries (excluding the U.S.) and certain emerging markets countries.

 

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

Past performance is not an indication of future results.

The Trust is presenting the performance of one or more indices for informational purposes only. The Trust is actively managed and does not seek to track or replicate the performance of any index. The index performance shown is not intended to be indicative of the Trust’s investment strategies, portfolio components or past or future performance.

More information about the Trust’s historical performance can be found in the “Closed End Funds” section of blackrock.com.

The following discussion relates to the Trust’s absolute performance based on NAV:

What factors influenced performance?

International dividend stocks posted negative returns as a group during the first half of 2022, but they outperformed the broad-based indexes. Stocks, in general, faced headwinds from elevated inflation, rising interest rates and the prospect of slowing economic growth.

Stock selection in the consumer discretionary sector was the largest detractor from the Fund’s relative performance, followed by selection in consumer staples.

At the individual stock level, the communications-semiconductor producer Mediatek, Inc. was the most notable detractor. The stock weakened on expectations for slowing consumer spending in China. While smartphone demand appeared to be in the early stages of a recovery, investors remain concerned about the impact that slowing economic growth could have on Mediatek’s end markets. The stock was further pressured by concerns about tension between Taiwan and China in light of Russia’s invasion of Ukraine in February 2022.

 

 

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Trust Summary  as of June 30, 2022 (continued)    BlackRock Enhanced International Dividend Trust (BGY)

 

Ferguson PLC, a distributor of plumbing and heating products, also detracted. After performing well in 2021, the stock has since weakened on fears that inflation and supply-chain disruptions could lead to weaker profit margins. The investment adviser maintained the holding on the belief that the company is well positioned and has a resilient supply chain.

Schneider Electric SE, an energy-management company based in France, detracted amid the broader rotation from the growth style to value, as well as concerns about its exposure to China.

Stock selection in health care and communication services contributed positively. BAE Systems PLC was the largest contributor at the individual security level. The stock rallied in anticipation of increased defense spending following Russia’s invasion of Ukraine.

AstraZeneca PLC and Sanofi SA were also top contributors. Pharmaceutical companies have generally proven defensive during the recent market volatility due to their lower sensitivity to economic trends. AstraZeneca further benefited from the growing appreciation of its oncology pipeline, while Sanofi announced solid results and indicated there is room for higher profit margins due to improving cost efficiencies.

The Trust used an options overlay strategy in which calls were written on a portion of the portfolio’s holdings. The Trust’s options overlay strategy detracted from relative performance for the six-month period.

The Trust’s practice of maintaining a specified level of monthly distributions to shareholders did not have a material impact on the Trust’s investment strategy.

Describe recent portfolio activity.

The Fund reduced its weighting in the information technology sector, particularly in the IT services industry. It also lowered its allocations to consumer staples and utilities. On the other hand, the Fund added to communication services, health care and financials.

Describe portfolio positioning at period end.

The Trust’s largest sector weightings were in financials, industrials and health care. Regionally, the majority of the portfolio was invested in Europe, with a significant allocation to the U.K.

As of June 30, 2022, the Trust had in place an option overwriting program whereby 41.2% of the underlying equities were overwritten with call options on individual stocks. These call options were typically written at prices above the prevailing market prices (estimated to be 3.9% out of the money) and for maturities averaging 47.5 days.

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.

Overview of the Trust’s Total Investments

 

TEN LARGEST HOLDINGS

Security(a)   Percent of
Total Investments
 

Sanofi

    5.0

AstraZeneca PLC

    4.9  

Novo Nordisk A/S

    4.8  

Reckitt Benckiser Group PLC

    4.8  

EDP - Energias de Portugal SA

    4.1  

EssilorLuxottica SA

    4.0  

Prudential PLC

    3.9  

RELX PLC

    3.8  

Diageo PLC

    3.8  

TELUS Corp.

    3.4  

GEOGRAPHIC ALLOCATION

Country/Geographic Region   06/30/22  

United Kingdom

    28.3

France

    19.2  

United States

    11.9  

Taiwan

    5.2  

Denmark

    4.8  

Singapore

    4.2  

Portugal

    4.0  

Canada

    3.3  

India

    3.1  

Netherlands

    2.9  

Sweden

    2.5  

Spain

    2.5  

Mexico

    2.3  

Switzerland

    2.1  

Japan

    1.9  

Indonesia

    1.8  
 

 

(a)

Excludes short-term securities and options written.

 

 

T R U S T   S U M M A R Y

  17


Trust Summary  as of June 30, 2022    BlackRock Health Sciences Trust (BME)

 

Investment Objective

BlackRock Health Sciences Trust’s (BME) (the “Trust”) investment objective is to provide total return through a combination of current income, current gains and long-term capital appreciation. The Trust seeks to achieve its investment objective by investing, under normal market conditions, at least 80% of its total assets in equity securities of companies engaged in the health sciences and related industries and equity derivatives with exposure to the health sciences industry. The Trust seeks to pursue this goal primarily by investing in a portfolio of equity securities and by employing a strategy of writing (selling) call and put options.

No assurance can be given that the Trust’s investment objective will be achieved.

Trust Information

 

Symbol on New York Stock Exchange

  BME

Initial Offering Date

      March 31, 2005    

Current Distribution Rate on Closing Market Price as of June 30, 2022 ($42.40)(a)

  6.03%

Current Monthly Distribution per Common Share(b)

  $0.2130

Current Annualized Distribution per Common Share(b)

  $2.5560

 

  (a) 

Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance is not an indication of future results.

 
  (b) 

The distribution rate is not constant and is subject to change.

 

Market Price and Net Asset Value Per Share Summary

 

     06/30/22      12/31/21      Change      High      Low  

Closing Market Price

  $ 42.40      $ 48.50        (12.58 )%     $  48.50      $  39.97  

Net Asset Value

    41.95        47.96        (12.53      47.96        39.35  

Performance

Returns for the period ended June 30, 2022 were as follows:

 

            Average Annual Total Returns  
     

 

 

 
      6-month      1 Year      5 Years     10 Years  

Trust at NAV(a)(b)

     (9.93 )%       (7.09 )%       9.96     13.58

Trust at Market Price(a)(b)

     (9.97      (7.58      9.35       13.22  

MSCI USA Investable Market Index Health Care Call Overwrite Index(c)

     (11.87      (5.62      N/A       N/A  

Russell 3000® Health Care Index(d)

     (11.64      (5.14      11.20       14.58  

 

  (a) 

All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices.

 
  (b) 

The Trust’s premium to NAV narrowed during the period, which accounts for the difference between performance based on market price and performance based on NAV.

 
  (c) 

An index that incorporates an option overlay component on the MSCI USA Investable Market Index Health Care Index with a 33% overwrite level. The benchmark commenced on December 31, 2018 and therefore the benchmark does not have 5- and 10-year returns.

 
  (d) 

An unmanaged index that features companies involved in medical services or health care in the Russell 3000! Index, which includes the largest 3,000 U.S. companies as determined by total market capitalization.

 

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

Past performance is not an indication of future results.

The Trust is presenting the performance of one or more indices for informational purposes only. The Trust is actively managed and does not seek to track or replicate the performance of any index. The index performance shown is not intended to be indicative of the Trust’s investment strategies, portfolio components or past or future performance.

More information about the Trust’s historical performance can be found in the “Closed End Funds” section of blackrock.com.

The following discussion relates to the Trust’s absolute performance based on NAV:

What factors influenced performance?

Stocks fell sharply in the first half of 2022, reflecting the combination of elevated inflation and rising interest rates. While defensive, large-cap stocks held up reasonably well, faster-growing companies—particularly those on the smaller end of the capitalization range—generally lagged the broader market.

Stock selection in the biotechnology sub-sector contributed to the Trust’s relative performance, as did an underweight allocation to medical devices & supplies. On the other hand, selection in pharmaceuticals, together with an underweight in the sub-sector, detracted.

At the individual stock level, an underweight in Moderna, Inc. was the leading contributor to performance. The stock lost ground as the tailwinds from COVID-19 continued to slow. In addition, the company indicated that its non-COVID pipeline candidates may need more time to receive approval.

 

 

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Trust Summary  as of June 30, 2022 (continued)    BlackRock Health Sciences Trust (BME)

 

An overweight position in Cigna Corp. also contributed to results. The insurance provider reported strong earnings, and it benefited from its attractive valuations as investors rotated towards defensive stocks in anticipation of an economic downturn.

An out-of-benchmark position in the pharmaceutical giant AstraZeneca PLC was an additional contributor of note. The company reported robust earnings and received positive clinical trial data on a breast cancer treatment. The stock was also helped by the relative strength in defensive companies.

An underweight in the pharmaceutical giant Bristol-Myers Squibb Co. was the largest detractor from relative performance. The company experienced positive momentum earlier in the year after unveiling plans for future product launches across a variety of treatments, and it remained a resilient performer amid the persistent market volatility. Underweight positions in Johnson & Johnson and AbbVie, Inc. also detracted.

The Trust made use of options, principally writing call options on individual stocks, to seek enhanced income returns while continuing to participate in the performance of the underlying equities. The option overlay strategy contributed to results. The Trust also had an elevated cash position at period end. The cash position contributed positively to performance.

The Trust’s practice of maintaining a specified level of monthly distributions to shareholders did not have a material impact on the Trust’s investment strategy.

Describe recent portfolio activity.

The Trust’s allocations to the pharmaceuticals, biotechnology and health care providers & supplies sub-sectors increased, while its weighting in the medical devices & supplies industry decreased.

Describe portfolio positioning at period end.

The investment adviser was encouraged by the healthcare sector’s resilience in the midst of the extraordinary macroeconomic and geopolitical challenges that characterized the first half of the year. The investment adviser continued to identify investment opportunities in stable, cash-flow generating companies across the health care sector. In particular, it looked for selective growth opportunities stemming from innovation and technological developments, especially in the biotechnology, pharmaceuticals and medical devices industries. The investment adviser maintained an emphasis on diversification, risk management and fundamental analysis.

As of June 30, 2022, the Trust’s largest overweight position was in the biotechnology sub-sector. The Trust continues to invest in compelling areas of innovation in biotech, particularly in oncology. The Trust also held a large overweight position in the health care providers & services sub-sector, with the goal of adding resiliency and defensive characteristics to the portfolio in anticipation of an economic downturn. The medical devices & supplies sub-sector, which may be negatively impacted by supply chain issues and cost inflation, was the largest underweight.

As of June 30, 2022, the Trust had in place an option overwriting program whereby 35.3% of the underlying equities were overwritten with call options on individual stocks. These call options were typically written at prices above the prevailing market prices (estimated to be 7.0% out of the money) and for maturities averaging 47 days.

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.

Overview of the Trust’s Total Investments

 

TEN LARGEST HOLDINGS

 

Security(a)  

Percent of

Total Investments

 

UnitedHealth Group, Inc.

    10.1

Johnson & Johnson

    5.6  

Eli Lilly & Co.

    5.3  

Pfizer, Inc.

    4.5  

Thermo Fisher Scientific, Inc.

    4.2  

Abbott Laboratories

    4.1  

AbbVie, Inc.

    3.8  

Merck & Co., Inc.

    3.7  

Elevance Health, Inc.

    3.2  

Amgen, Inc.

    3.0  

INDUSTRY ALLOCATION

 

Industry(a)(b)   06/30/22  

Pharmaceuticals

    28.6

Health Care Providers & Services

    24.4  

Biotechnology

    19.4  

Health Care Equipment & Supplies

    15.9  

Life Sciences Tools & Services

    11.1  

Other*

    0.6  
 

 

(a) 

Excludes short-term securities and options written.

(b) 

For Trust compliance purposes, the Trust’s industry classifications refer to one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.

*

Includes one or more investment categories that individually represents less than 1.0% of the Trust’s total investments. Please refer to the Schedule of Investments for details.

 

 

T R U S T   S U M M A R Y

  19


Trust Summary  as of June 30, 2022    BlackRock Health Sciences Trust II (BMEZ)

 

Investment Objective

BlackRock Health Sciences Trust II’s (BMEZ) (the “Trust”) investment objective is to provide total return and income through a combination of current income, current gains and long-term capital appreciation. Under normal market conditions, the Trust will invest at least 80% of its total assets in equity securities of companies principally engaged in the health sciences group of industries and equity derivatives with exposure to the health sciences group of industries. Equity derivatives in which the Trust invests include purchased and sold (written) call and put options on equity securities of companies in the health sciences group of industries.

No assurance can be given that the Trust’s investment objective will be achieved.

Trust Information

 

Symbol on New York Stock Exchange

  BMEZ

Initial Offering Date

      January 30, 2020    

Current Distribution Rate on Closing Market Price as of June 30, 2022 ($16.43)(a)

  10.59%

Current Monthly Distribution per Common Share(b)

  $0.1450

Current Annualized Distribution per Common Share(b)

  $1.7400

 

  (a) 

Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance is not an indication of future results.

 
  (b) 

The distribution rate is not constant and is subject to change.

 

Market Price and Net Asset Value Per Share Summary

 

     06/30/22      12/31/21      Change      High      Low  

Closing Market Price

  $ 16.43      $ 25.36        (35.21 )%     $ 25.59      $ 15.20  

Net Asset Value

    18.91        26.47        (28.56      26.63        17.79  

Performance

Returns for the period ended June 30, 2022 were as follows:

 

          Average Annual Total Returns
     6-month     1 Year    

Since   

Inception(a)

 

Trust at NAV(b)(c)

    (25.17)%       (32.60)%       3.84%  

Trust at Market Price(b)(c)

    (32.14)       (38.38)       (2.03)    

MSCI Custom ACWI SMID Growth HC Call Overwrite Index(d)

    (17.49)       N/A       N/A     

MSCI ACWI 25% Call Overwrite Index(e)

    (4.37)       1.05       11.29     

MSCI ACWI(f)

    (20.18)       (15.75)       3.97     

 

  (a) 

BMEZ commenced operations on January 30, 2020.

 
  (b) 

All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices.

 
  (c) 

The Trust’s discount to NAV widened during the period, which accounts for the difference between performance based on market price and performance based on NAV.

 
  (d) 

An index representing the Health Care sector stocks within the MSCI ACWI SMID Cap Growth Index and incorporating an option overlay component with a 25% overwrite level. The MSCI ACWI SMID Cap Growth Index captures mid- and small-cap securities exhibiting overall growth style characteristics across certain Developed and Emerging Markets countries. The index commenced on March 31, 2022 and therefore the 6-month index return presented is for the period March 31, 2022 through June 30, 2022.

 
  (e) 

An index that incorporates an option overlay component on the MSCI ACWI Index with a 25% overwrite level. Effective on March 31, 2022, this index was discontinued and the Trust changed its benchmark to the MSCI Custom ACWI SMID Growth HC Call Overwrite index. The investment adviser believes the new benchmark is a more appropriate benchmark for the Trust. Because the index was discontinued on March 31, 2022, the index returns presented are as follows: the 6-month return is for the period from January 1, 2022 through March 31, 2022, the 1-year return is for the period from July 1, 2021 through March 31, 2022 and the since inception return is for the period from January 30, 2020 through March 31, 2022.

 
  (f) 

An index that captures large- and mid-cap representation across certain developed and emerging markets.

 

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

Past performance is not an indication of future results.

The Trust is presenting the performance of one or more indices for informational purposes only. The Trust is actively managed and does not seek to track or replicate the performance of any index. The index performance shown is not intended to be indicative of the Trust’s investment strategies, portfolio components or past or future performance.

More information about the Trust’s historical performance can be found in the “Closed End Funds” section of blackrock.com.

The following discussion relates to the Trust’s absolute performance based on NAV:

What factors influenced performance?

Stocks fell sharply in the first half of 2022, reflecting the combination of elevated inflation and rising interest rates. Faster-growing companies, particularly those on the smaller end of the capitalization range, generally lagged the broader market.

 

 

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Trust Summary  as of June 30, 2022 (continued)    BlackRock Health Sciences Trust II (BMEZ)

 

An overweight allocation to the medical devices and supplies industry was the leading detractor from performance relative to MSCI Custom ACWI SMID Growth Health Care Call Overwrite Index. Security selection in biotechnology detracted, as well. An overweight position in Masimo Corp. was the largest detractor from relative performance at the individual security level. Masimo’s unexpected acquisition of the consumer electronics company Sound United was not well received by market participants. Investors struggled to see how the unlikely pairing would fit together given the latter company’s focus outside of medical technology. The Trust no longer holds a position in Masimo.

Small-cap biotechnology stocks were especially vulnerable to the impact rising rates had on faster-growing companies. An overweight in Kymera Therapeutics, Inc. was a top detractor as the high-growth, development stage biotechnology company traded down amid the broader sell-off in stocks that lack current profits. The investment adviser exited the position on the view that the company no longer offered an attractive risk-reward profile. Similarly, an overweight in the clinical genetic-testing company Natera, Inc. detracted from results. An unfavorable report from a short seller alleged that the company had deceptive billing practices and misleading testing results, leading to an investor class action lawsuit.

An overweight in Tandem Diabetes Care, Inc. was another key detractor. Despite receiving the first FDA approval for an insulin-delivery mobile app, the stock plunged after the company reported weak quarterly results in May 2022.

On the positive side, overweight allocations to the biotechnology and health care providers & services industries contributed to performance. An overweight position in Vertex Pharmaceuticals, Inc. was the largest individual contributor. The biotechnology company paid $60 million for Catalyst Bioscience’s complement pipeline, including preclinical-stage therapies for hemophilia. An overweight in Seagen, Inc. also contributed positively. The U.S. biotechnology company was rumored to be the target of an acquisition by the pharmaceutical giant Merck. The purchase would provide the latter company with access to the suite of antibody-drug conjugates and other oncology therapies that Seagen has pioneered. An overweight in LHC Group Inc. contributed, as well. Shares of the at-home healthcare provider surged on the news that it would be acquired by UnitedHealth.

The Japanese pharmaceutical company Daiichi Sankyo Co Ltd. was a further contributor. The FDA approved Enhertu, an antibody-drug conjugate (ADC) developed in partnership with AstraZeneca. The breast cancer drug was found to reduce disease progression or death by 72% compared to legacy ADC therapies.

The Trust’s cash position, while not a core aspect of its strategy, nonetheless contributed positively at a time of poor market performance.

The Trust used an options overlay strategy in which calls were written on a portion of the portfolio’s holdings. This strategy contributed to relative performance.

The Trust’s practice of maintaining a specified level of monthly distributions to shareholders did not have a material impact on the Trust’s investment strategy.

Describe recent portfolio activity.

The Trust’s weightings the pharmaceuticals and biotechnology sub-sectors increased during the period, while its allocation to the medical devices & supplies sub-sector decreased. Its weighting in the health care providers & services industry was unchanged.

Describe portfolio positioning at period end.

The first half of 2022 was historically volatile amid macroeconomic and geopolitical headwinds. The investment adviser was encouraged by the healthcare sector’s resilience in the midst of these extraordinary challenges.

The investment adviser continued to identify investment opportunities in stable, cash-flow generating companies across the health care sector. It remained focused on small and mid-cap companies, where the vast majority of clinical innovation is taking place. It also saw promising developments in medical devices, such as precision surgical tools and minimally invasive procedures. It found the biotechnology industry to be especially fertile ground to find innovative companies, particularly those focused on oncology. As of June 30, 2022, biotechnology was the Trust’s largest sector weighting due to its attractive valuations and robust fundamentals.

The investment adviser believed the long-term, secular drivers for the health care sector—aging global demographics and innovation in medical technology—remained in place. These trends, together with favorable valuations across the sector, act as the foundation for a compelling long-term investment opportunity.

As of June 30, 2022, the Trust had in place an option overwriting program whereby 24% of the underlying equities were overwritten with call options on individual stocks. These call options were typically written at prices above the prevailing market prices (estimated to be 9.6% out of the money) and for maturities averaging 48 days.

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.

 

 

T R U S T   S U M M A R Y

  21


Trust Summary  as of June 30, 2022 (continued)    BlackRock Health Sciences Trust II (BMEZ)

 

Overview of the Trust’s Total Investments

 

TEN LARGEST HOLDINGS

Security(a)   Percent of
Total Investments
 

Vertex Pharmaceuticals, Inc.

    3.2

Alcon, Inc.

    2.5  

ResMed, Inc.

    2.0  

Argenx SE

    1.9  

Daiichi Sankyo Co. Ltd.

    1.8  

Waters Corp.

    1.8  

LHC Group, Inc.

    1.8  

Quest Diagnostics, Inc.

    1.7  

Alkermes PLC

    1.7  

Sarepta Therapeutics, Inc.

    1.7  

INDUSTRY ALLOCATION

Industry(a)(b)    06/30/22  

Biotechnology

     36.6

Health Care Equipment & Supplies

     23.4  

Health Care Providers & Services

     14.7  

Life Sciences Tools & Services

     13.4  

Pharmaceuticals

     7.4  

Diversified Financial Services

     2.3  

Other*

     2.2  
 

 

(a) 

Excludes short-term securities and options written.

(b) 

For Trust compliance purposes, the Trust’s industry classifications refer to one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.

*

Includes one or more investment categories that individually represents less than 1.0% of the Trust’s total investments. Please refer to the Schedule of Investments for details.

 

 

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Trust Summary  as of June 30, 2022    BlackRock Innovation and Growth Trust (BIGZ)

 

Investment Objective

BlackRock Innovation and Growth Trust’s (BIGZ) (the “Trust”) investment objective is to provide total return and income through a combination of current income, current gains and long-term capital appreciation. The Trust will invest primarily in equity securities issued by mid- and small-capitalization companies that the Trust’s adviser believes have above-average earnings growth potential. In selecting investments for the Trust, the Trust’s adviser focuses on mid- and small-capitalization growth companies that are “innovative.” These are companies that have introduced, or are seeking to introduce, a new product or service that potentially changes the marketplace. The Trust utilizes an option writing (selling) strategy in an effort to generate current gains from options premiums and to enhance the Trust’s risk-adjusted returns.

No assurance can be given that the Trust’s investment objective will be achieved.

Trust Information

 

Symbol on New York Stock Exchange

  BIGZ

Initial Offering Date

      March 29, 2021    

Current Distribution Rate on Closing Market Price as of June 30, 2022 ($7.94)(a)

  10.58%

Current Monthly Distribution per Common Share(b)

  $0.0700

Current Annualized Distribution per Common Share(b)

  $0.8400

 

  (a) 

Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate may consist of income, net realized gains and/or a return of capital. Past performance is not an indication of future results.

 
  (b) 

The distribution rate is not constant and is subject to change. A portion of the distribution may be deemed a return of capital or net realized gain.

 

Market Price and Net Asset Value Per Share Summary

 

      06/30/22       12/31/21       Change       High       Low  

Closing Market Price

    $    7.94       $    14.54       (45.39)     $ 14.97       $ 7.38  

Net Asset Value

    9.48       16.72       (43.30)       16.72       9.12  

Performance

Returns for the period ended June 30, 2022 were as follows:

 

          Average Annual Total Returns
     6-month     1 Year    

Since   

Inception(a)

 

Trust at NAV(b)(c)

    (40.12)%       (47.58)%       (40.54)%  

Trust at Market Price(b)(c)

    (42.33)       (57.26)       (48.37)     

MSCI USA SMID Growth Call Overwrite Index (d)

    (27.12)       (25.24)       (15.56)     

Russell 2500 Growth Index(e)

    (29.45)       (31.81)       (20.67)     

 

  (a) 

BIGZ commenced operations on March 29, 2021.

 
  (b) 

All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices.

 
  (c) 

The Trust’s discount to NAV widened during the period, which accounts for the difference between performance based on market price and performance based on NAV.

 
  (d) 

An index that incorporates an option overlay component on the MSCI USA SMID Growth Index with a 25% overwrite level.

 
  (e) 

An index that measures the performance of the small to mid-cap growth segment of the US equity universe. It includes those Russell 2500 companies with higher growth earning potential as defined by FTSE Russell’s leading style methodology.

 

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

Past performance is not an indication of future results.

The Trust is presenting the performance of one or more indices for informational purposes only. The Trust is actively managed and does not seek to track or replicate the performance of any index. The index performance shown is not intended to be indicative of the Trust’s investment strategies, portfolio components or past or future performance.

More information about the Trust’s historical performance can be found in the “Closed End Funds” section of blackrock.com.

The following discussion relates to the Trust’s absolute performance based on NAV:

What factors influenced performance?

Shares of smaller, innovative growth companies generally fell sharply in the first half of 2022 due to the adverse combination of elevated inflation and rising interest rates.

From a sector perspective, the Trust’s positioning in health care was the largest detractor from relative performance. The shortfall was most pronounced in the health care equipment & supplies industry, where Masimo Corp. and FIGS, Inc. lagged. The Trust was also hurt by its overweight position in 10X Genomics, Inc. in the life sciences tools & services industry. The company has significant exposure to slowing growth in China, as well as the ongoing supply-chain issues in the country.

 

 

T R U S T   S U M M A R Y

  23


Trust Summary  as of June 30, 2022 (continued)    BlackRock Innovation and Growth Trust (BIGZ)

 

Stock selection in the information technology sector also weighed on relative performance. The software industry was a source of weakness due to the poor showing for Bill.com Holdings, Inc. and Avalara, Inc. A zero weighting in the outperforming energy sector was another key detractor. The investment adviser believed small- to mid-cap stocks in this space generally lacked the quality characteristics sought after in potential investments. However, the category outperformed due to the rally in oil and natural gas prices.

Stock selection in the machinery industry made the largest contribution to relative performance. An overweight in Chart Industries, Inc., a leading global manufacturer of highly engineered equipment for the clean energy and industrials gas markets, was a notable contributor.

The Trust also benefited from strong stock selection in the capital markets industry within the financial sector. Tradeweb Markets, Inc., an international financial services company that builds and operates electronic over-the-counter marketplaces, was a leading contributor. A zero weighting in the alternative asset manager KKR & Co., Inc. also helped relative performance.

The Trust used an options overlay strategy in which calls were written on a portion of the portfolio’s holdings. The Trust’s options overlay strategy detracted from performance over the six-month period.

Describe recent portfolio activity.

Due to a combination of market changes and portfolio activity, the Trust’s allocations to the financials and consumer discretionary increased, while its weightings in health care and industrials decreased. The Trust boosted its stake in private companies from 18% to 27%, reflecting the investment adviser’s effort to increase the portfolio’s weighting in this area.

The Trust’s practice of maintaining a specified level of monthly distributions to shareholders did not have a material impact on the Trust’s investment strategy.

Describe portfolio positioning at period end.

In the public portion of the portfolio, the largest sector overweights (relative to the MSCI USA SMID Growth Call Overwrite Index) were in the information technology and consumer discretionary sectors. Its largest underweights were in industrials and materials.

As of June 30, 2022, the Trust had in place an option overwriting program whereby 10.8% of the underlying equities were overwritten with call options on individual stocks. These call options were typically written at prices above the prevailing market prices (estimated to be 14.1% out of the money) and for maturities averaging 55 days.

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

 

 

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Trust Summary  as of June 30, 2022 (continued)    BlackRock Innovation and Growth Trust (BIGZ)

 

Overview of the Trust’s Total Investments

 

TEN LARGEST HOLDINGS

Security(a)   Percent of
Total Investments
 

Monolithic Power Systems, Inc.

    3.1

Bio-Techne Corp.

    2.9  

Entegris, Inc.

    2.8  

Axon Enterprise, Inc.

    2.7  

Paylocity Holding Corp.

    2.6  

Five9, Inc.

    2.6  

Planet Fitness, Inc.

    2.5  

Tradeweb Markets, Inc.

    2.4  

Chart Industries, Inc.

    2.4  

Globant SA

    2.4  

INDUSTRY ALLOCATION

Industry(a)(b)    06/30/22  

Software

     25.8

Life Sciences Tools & Services

     10.6  

Semiconductors & Semiconductor Equipment

     10.4  

Aerospace & Defense

     6.4  

IT Services

     6.3  

Hotels, Restaurants & Leisure

     5.8  

Capital Markets

     4.6  

Health Care Technology

     4.0  

Diversified Consumer Services

     3.4  

Machinery

     2.4  

Interactive Media & Services

     2.2  

Internet & Direct Marketing Retail

     1.9  

Auto Components

     1.8  

Entertainment

     1.7  

Leisure Products

     1.7  

Biotechnology

     1.7  

Food Products

     1.6  

Health Care Equipment & Supplies

     1.2  

Equity Real Estate Investment Trusts (REITs)

     1.2  

Wireless Telecommunication Services

     1.1  

Internet Software & Services

     1.0  

Other*

     3.2  
 

 

(a) 

Excludes short-term securities and options written.

(b) 

For Trust compliance purposes, the Trust’s industry classifications refer to one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.

*

Includes one or more investment categories that individually represents less than 1.0% of the Trust’s total investments. Please refer to the Schedule of Investments for details.

 

 

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Trust Summary  as of June 30, 2022    BlackRock Resources & Commodities Strategy Trust (BCX)

 

Investment Objective

BlackRock Resources & Commodities Strategy Trust’s (BCX) (the “Trust”) primary investment objective is to seek high current income and current gains, with a secondary objective of capital appreciation. The Trust will seek to achieve its investment objectives, under normal market conditions, by investing at least 80% of its total assets in equity securities issued by commodity or natural resources companies, derivatives with exposure to commodity or natural resources companies or investments in securities and derivatives linked to the underlying price movement of commodities or natural resources. While permitted, the Trust does not currently expect to invest in securities and derivatives linked to the underlying price movement of commodities or natural resources. The Trust seeks to pursue this goal primarily by investing in a portfolio of equity securities and also by employing a strategy of writing (selling) call and put options.

No assurance can be given that the Trust’s investment objectives will be achieved.

Trust Information

 

Symbol on New York Stock Exchange

  BCX

Initial Offering Date

      March 30, 2011    

Current Distribution Rate on Closing Market Price as of June 30, 2022 ($8.98)(a)

  6.01%

Current Monthly Distribution per Common Share(b)

  $0.0450

Current Annualized Distribution per Common Share(b)

  $0.5400

 

  (a) 

Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate may consist of income, net realized gains and/or a return of capital. Past performance is not an indication of future results.

 
  (b) 

The distribution rate is not constant and is subject to change. A portion of the distribution may be deemed a return of capital or net realized gain.

 

Market Price and Net Asset Value Per Share Summary

 

      06/30/22       12/31/21       Change       High       Low  

Closing Market Price

    $    8.98       $    9.35       (3.96)     $  11.53       $  8.75  

Net Asset Value

    9.95       10.21       (2.55)       12.11       9.83  

Performance

Returns for the period ended June 30, 2022 were as follows:

 

          Average Annual Total Returns  
     6-month     1 Year     5 Years     10 Years  

Trust at NAV(a)(b)

    (0.05)     5.76     8.74     4.09

Trust at Market Price(a)(b)

    (1.50)       0.31       9.57       3.76  

MSCI ACWI Select Liquidity Natural Resources Call Overwrite Index(c)

    (2.57)       0.52       N/A       N/A  

S&P Global Natural Resources Net Index(d)

    (1.73)       2.27       8.21       4.00  

 

  (a) 

All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices.

 
  (b) 

The Trust’s discount to NAV widened during the period, which accounts for the difference between performance based on market price and performance based on NAV.

 
  (c) 

An index that incorporates an option overlay component on the MSCI ACWI Select Liquidity Natural Resources Index with a 33% overwrite level. The benchmark commenced on December 31, 2018 and therefore the benchmark does not have 5- and 10-year returns.

 
  (d) 

An index that includes approximately 90 of the largest publicly-traded companies in the natural resources and commodities businesses that meet specific investability requirements across three primary commodity-related sectors: agribusiness, energy, and metals and mining.

 

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

Past performance is not an indication of future results.

The Trust is presenting the performance of one or more indices for informational purposes only. The Trust is actively managed and does not seek to track or replicate the performance of any index. The index performance shown is not intended to be indicative of the Trust’s investment strategies, portfolio components or past or future performance.

More information about the Trust’s historical performance can be found in the “Closed End Funds” section of blackrock.com.

The following discussion relates to the Trust’s absolute performance based on NAV:

What factors influenced performance?

Natural resources stocks generally performed well through mid-April 2022 thanks to the backdrop of sharply rising commodity prices. However, concerns about slowing growth led to a sharp sell-off thereafter, causing the sector to finish with a loss for the full period.

Stock selection within the agriculture sector contributed to the Trust’s relative performance, while security selection within the mining sector modestly detracted. At the individual stock level, the Trust’s zero weighting in Norilsk Nickel—which fell to zero due to the sanctions that followed Russia’s invasion of Ukraine—was the leading contributor to relative performance. An underweight in Freeport-McMoRan Inc., which was hurt by the decline in copper prices late in the period, also contributed. Among stocks the Trust held, CF Industries Holdings, Inc. was a notable contributor thanks to rising prices for nitrogen fertilizers.

 

 

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Trust Summary  as of June 30, 2022 (continued)    BlackRock Resources & Commodities Strategy Trust (BCX)

 

Positions in the Russian companies Polyus PJSC and Gazprom PJSC—which were written down to near zero in late February 2022—were the largest detractors from performance. Russian companies have always been part of the Trust’s investment universe, and the investment adviser believed both companies had high-quality assets. However, the investment adviser did not anticipate either a full-scale invasion of Ukraine or the events that followed. An overweight in First Quantum Minerals Ltd. also detracted due in part to a decline in copper prices.

The Trust used an options overlay strategy in which calls were written on a portion of the portfolio’s holdings. This strategy detracted from results in the semiannual period.

The Trust’s practice of maintaining a specified level of monthly distributions to shareholders did not have a material impact on the Trust’s investment strategy.

Describe recent portfolio activity.

The Trust maintained an overweight in the energy sector, and it continued to have underweight positions in the mining and agriculture sectors.

In energy, the investment adviser maintained a bias towards higher-quality producers that were expected to benefit the most from strength in oil and gas prices. Given the increased risks to global economic growth, the investment adviser reduced the Trust’s weightings in certain holdings with higher sensitivity to the macroeconomic outlook.

In the mining sector, the investment adviser continued to emphasize companies with stronger balance sheets and lower costs. In agriculture, the Fund was underweight in the paper and packaging industry in favor of health and wellness companies that are positioned to take advantage of consumers’ shifting preferences with respect to food and nutrition.

Describe portfolio positioning at period end.

As the close of the period, 45.3% of the portfolio was invested in the energy sector, 25.4% in the mining sector and 25.9% in the agriculture sector, and 2.8% was held in cash.

As of June 30, 2022, the Trust had in place an option overwriting program whereby 31% of the underlying equities were overwritten with call options on individual stocks. These call options were typically written at prices above the prevailing market prices (estimated to be 6.1% out of the money) and for maturities averaging 49 days.

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.

Overview of the Trust’s Total Investments

 

TEN LARGEST HOLDINGS

Security(a)   Percent of
Total Investments
 

Exxon Mobil Corp.

    8.5

TotalEnergies SE

    7.0  

Shell PLC

    5.7  

Glencore PLC

    5.5  

Chevron Corp.

    5.0  

Nutrien Ltd.

    4.6  

ConocoPhillips

    4.1  

Suncor Energy, Inc.

    3.6  

Vale SA

    3.4  

FMC Corp.

    3.0  

INDUSTRY ALLOCATION

Industry(a)(b)   06/30/22  

Oil, Gas & Consumable Fuels

    45.6

Metals & Mining

    25.2  

Chemicals

    13.8  

Food Products

    7.3  

Machinery

    4.5  

Paper & Forest Products

    2.6  

Other*

    1.0  
 

 

(a) 

Excludes short-term securities and options written.

(b) 

For Trust compliance purposes, the Trust’s industry classifications refer to one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.

*

Includes one or more investment categories that individually represents less than 1.0% of the Trust’s total investments. Please refer to the Schedule of Investments for details.

 

 

T R U S T   S U M M A R Y

  27


Trust Summary  as of June 30, 2022    BlackRock Science and Technology Trust (BST)

 

Investment Objective

BlackRock Science and Technology Trust’s (BST) (the “Trust”) investment objective is to provide income and total return through a combination of current income, current gains and long-term capital appreciation. The Trust seeks to achieve its investment objective by investing, under normal market conditions, at least 80% of its total assets in equity securities of U.S. and non-U.S. science and technology companies in any market capitalization range, selected for their rapid and sustainable growth potential from the development, advancement and use of science and/or technology (high growth science and technology stocks), and/or potential to generate current income from advantageous dividend yields (cyclical science and technology stocks). The Trust seeks to pursue this goal primarily by investing in a portfolio of equity securities and also by employing a strategy of writing (selling) call and put options.

No assurance can be given that the Trust’s investment objective will be achieved.

Trust Information

 

Symbol on New York Stock Exchange

  BST

Initial Offering Date

      October 30, 2014    

Current Distribution Rate on Closing Market Price as of June 30, 2022 ($32.49)(a)

  9.23%

Current Monthly Distribution per Common Share(b)

  $0.2500

Current Annualized Distribution per Common Share(b)

  $3.0000

 

  (a) 

Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance is not an indication of future results.

 
  (b) 

The distribution rate is not constant and is subject to change.

 

Market Price and Net Asset Value Per Share Summary

 

     06/30/22     12/31/21     Change     High     Low    

Closing Market Price

    $    32.49       $    49.97       (34.98)     $ 50.99       $ 31.25    

Net Asset Value

    33.61       52.40       (35.86)       52.59       33.58    

Performance

Returns for the period ended June 30, 2022 were as follows:

 

          Average Annual Total Returns
   

 

 

     6-month     1 Year     5 Years    

Since   

Inception(a)

 

Trust at NAV(b)(c)(d)

    (33.40 )%      (33.89 )%      15.04     15.45%  

Trust at Market Price(b)(c)(d)

    (32.49     (40.01     16.06       14.25     

MSCI ACWI Information Technology Call Overwrite Index(e)

    (27.09     (18.97     N/A       N/A     

MSCI ACWI Information Technology Index(f)

    (29.73     (20.45     16.24       15.86     

 

  (a) 

BST commenced operations on October 30, 2014.

 
  (b) 

All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices.

 
  (c) 

The Trust’s discount to NAV narrowed during the period, which accounts for the difference between performance based on market price and performance based on NAV.

 
  (d) 

For financial reporting purposes, the market value of certain investments were adjusted as of report date. Accordingly, the NAV per share and total return performance based on NAV presented herein are different than the information previously published on June 30, 2022.

 
  (e) 

An index that incorporates an option overlay component on the MSCI ACWI Information Technology Index with a 33% overwrite level. The benchmark commenced on December 31, 2018 and therefore the benchmark does not have 5- and 10-year returns.

 
  (f) 

An index that includes large- and mid-cap securities across certain Developed Markets countries and certain Emerging Markets countries. All securities in the index are classified in the Information Technology sector as per the Global Industry Classification Standard.

 

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

Past performance is not an indication of future results.

The Trust is presenting the performance of one or more indices for informational purposes only. The Trust is actively managed and does not seek to track or replicate the performance of any index. The index performance shown is not intended to be indicative of the Trust’s investment strategies, portfolio components or past or future performance.

More information about the Trust’s historical performance can be found in the “Closed End Funds” section of blackrock.com.

The following discussion relates to the Trust’s absolute performance based on NAV:

What factors influenced performance?

Stocks fell sharply in the first half of 2022, reflecting the combination of elevated inflation and rising interest rates. Faster-growing companies, particularly those on the smaller end of the capitalization range, generally lagged the broader market.

An overweight in the internet sub-sector detracted from the Fund’s relative performance, as did security selection in the services sub-sector.

 

 

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Trust Summary  as of June 30, 2022 (continued)    BlackRock Science and Technology Trust (BST)

 

At the individual stock level, an underweight position in Apple, Inc. was the largest detractor from results. The company reported strong earnings and record revenues in the first quarter, and it benefited from a larger “flight to quality” at a time of market volatility.

An overweight in Marvell Technology, Inc. was another detractor of note. Shares of the richly valued analog semiconductor manufacturer traded down on anticipation of reduced demand and slower medium-term growth. More broadly, investors rotated out of the semiconductor sector amid an uncertain growth outlook.

An underweight in Microsoft Corp. was also a key detractor from relative performance. As was the case with Apple, the stock benefited from investors’ preference for larger, more stable companies.

An overweight in Unity Software, Inc. detracted, as well. The company has created a virtual reality rendering tool that allows users to create their own content, including in the metaverse. However, the shares lagged amid the broader downturn in the stocks of higher-growth companies.

On the positive side, security selection in semiconductors—together with an underweight in the group—contributed to relative performance.

The Trust benefited from its closed-end structure, with private investments making up three of the top four contributors in the semi-annual period. At an individual position level, an out-of-benchmark private position in GrubMarket, Inc. was the leading contributor. The food-tech company announced the acquisition of Daylight Foods, one of the largest food service businesses in the San Francisco area. Daylight provides produce, dairy, and other products to restaurants, grocery stores and caterers, which will help GrubMarket expand its offerings. An out-of-benchmark private position in Voltron Data also contributed positively. In February 2022, the open-source coding platform received additional funding that should allow it to bring one of its tools directly to consumers. An out-of-benchmark private position in PsiQuantum was another contributor of note. The quantum-based software-as-a-service company received funding from the U.S. Department of Defense to accelerate its developments in photonic quantum computers. The investment adviser believed PsiQuantum was well positioned to be one of the first movers in the quantum computing space.

An underweight in the semiconductor producer Nvidia Corp. also contributed to relative returns. Investors grew concerned about the sustainability of the company’s sales momentum given the potential impact that slower consumer spending would have on its gaming business.

The Trust’s cash position, while not a core aspect of its strategy, nonetheless contributed positively at a time of poor market performance.

The Trust used an options overlay strategy in which calls were written on a portion of the portfolio’s holdings. The Trust’s options overlay strategy contributed to relative performance for the six-month period.

Describe recent portfolio activity.

The Trust increased its allocation to the services and hardware sub-sectors and decreased its weightings in the software and content & infrastructure sub-sectors. Its allocation to semiconductors was unchanged.

From a regional perspective, the Trust’s allocations to the United States and China increased, while its weighting in other emerging markets decreased.

The Trust’s practice of maintaining a specified level of monthly distributions did not have a material impact on the Trust’s investment strategy.

Describe portfolio positioning at period end.

The Trust held 29% of net asset value in software, 19% in semiconductors, 17% in services, 16% in internet, 10% in hardware, 4% in new industries, and less than 1% in content & infrastructure. These industry weightings were a residual effect of bottom-up stock selection.

As of June 30, 2022, the Trust had in place an option overwriting program whereby 28% of the underlying equities were overwritten with call options on individual stocks. These call options were typically written at prices above the prevailing market prices (estimated to be 11.6% out of the money) and for maturities averaging 45 days.

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.

 

 

T R U S T   S U M M A R Y

  29


Trust Summary  as of June 30, 2022 (continued)    BlackRock Science and Technology Trust (BST)

 

Overview of the Trust’s Total Investments

 

TEN LARGEST HOLDINGS

Security(a)   Percent of
Total Investments
 

Apple, Inc.

    6.4

Microsoft Corp.

    6.3  

Alphabet, Inc.

    2.9  

Mastercard, Inc.

    2.8  

Marvell Technology, Inc.

    2.4  

Visa, Inc.

    2.3  

Tesla, Inc.

    2.2  

Bolt Financial, Inc.

    2.0  

Klarna Holdings AB

    1.9  

Amazon.com, Inc.

    1.7  

INDUSTRY ALLOCATION

Industry(a)(b)   06/30/22  

Software

    31.5

Semiconductors & Semiconductor Equipment

    19.7  

IT Services

    17.6  

Interactive Media & Services

    7.6  

Technology Hardware, Storage & Peripherals

    6.4  

Internet & Direct Marketing Retail

    2.8  

Automobiles

    2.2  

Banks

    1.9  

Electronic Equipment, Instruments & Components

    1.8  

Food & Staples Retailing

    1.5  

Other*

    7.0  
 
(a) 

Excludes short-term securities and options written.

(b) 

For Trust compliance purposes, the Trust’s industry classifications refer to one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.

*

Includes one or more investment categories that individually represents less than 1.0% of the Trust’s total investments. Please refer to the Consolidated Schedule of Investments for details.

 

 

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Trust Summary  as of June 30, 2022    BlackRock Science and Technology Trust II (BSTZ)

 

Investment Objective

BlackRock Science and Technology Trust II’s (BSTZ) (the “Trust”) investment objective is to provide total return and income through a combination of current income, current gains and long-term capital appreciation. The Trust seeks to achieve its investment objective by investing, under normal market conditions, at least 80% of its total assets in equity securities issued by U.S. and non-U.S. science and technology companies in any market capitalization range, selected for their rapid and sustainable growth potential from the development, advancement and use of science and/or technology. The Trust seeks to pursue this goal primarily by investing in a portfolio of equity securities and also by employing a strategy of writing (selling) call and put options.

No assurance can be given that the Trust’s investment objective will be achieved.

Trust Information

 

Symbol on New York Stock Exchange

  BSTZ

Initial Offering Date

      June 27, 2019    

Current Distribution Rate on Closing Market Price as of June 30, 2022 ($19.59)(a)

  11.76%

Current Monthly Distribution per Common Share(b)

  $0.1920

Current Annualized Distribution per Common Share(b)

  $2.3040

 

  (a) 

Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance is not an indication of future results.

 
  (b) 

The distribution rate is not constant and is subject to change.

 

Market Price and Net Asset Value Per Share Summary

 

     06/30/22      12/31/21      Change      High      Low  

Closing Market Price

  $ 19.59      $ 38.94        (49.69 )%     $   39.04      $   19.34  

Net Asset Value

    22.96        38.82        (40.86      38.84        22.96  

Performance

Returns for the period ended June 30, 2022 were as follows:

 

         

Average Annual Total Returns

     6-month     1 Year    

Since   

Inception(a)

 

Trust at NAV(b)(c)(d)

    (38.15 )%      (41.00 )%      11.88%  

Trust at Market Price(b)(c)(d)

    (47.39     (48.14     6.13     

MSCI Custom ACWI SMID Growth IT Call Overwrite Index(e)

    (21.98     N/A       N/A     

MSCI ACWI 25% Call Overwrite Index(f)

    (4.37     1.05       12.29     

MSCI ACWI(g)

    (20.18     (15.75     6.36     

 

  (a) 

BSTZ commenced operations on June 27, 2019.

 
  (b)

All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices.

 
  (c) 

The Trust moved from a premium to NAV to a discount during the period, which accounts for the difference between performance based on market price and performance based on NAV.

 
  (d) 

For financial reporting purposes, the market value of certain investments were adjusted as of report date. Accordingly, the NAV per share and total return performance based on NAV presented herein are different than the information previously published on June 30, 2022.

 
  (e) 

An index representing the Information Technology (IT) sector stocks within the MSCI ACWI SMID Cap Growth Index and incorporating an option overlay component with a 25% overwrite level. The MSCI ACWI SMID Cap Growth Index captures mid- and small-cap securities exhibiting overall growth style characteristics across certain Developed and Emerging Markets. The index commenced on March 31, 2022 and therefore the 6-month index return shown is for the period March 31, 2022 through June 30, 2022.

 
  (f) 

An index that incorporates an option overlay component on the MSCI ACWI Index with a 25% overwrite level. Effective on March 31, 2022, this index was discontinued and the Trust changed its benchmark to the MSCI Custom ACWI SMID Growth IT Call Overwrite index. The investment adviser believes the new benchmark is a more appropriate benchmark for the Trust. Because the index was discontinued on March 31, 2022, the index returns presented are as follows: the 6-month return is for the period from January 1, 2022 through March 31, 2022, the 1-year return is for the period from July 1, 2021 through March 31, 2022 and the since inception return is for the period from June 27, 2019 through March 31, 2022.

 
  (g) 

An index that captures large- and mid-cap representation across certain developed and emerging markets.

 

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

Past performance is not an indication of future results.

The Trust is presenting the performance of one or more indices for informational purposes only. The Trust is actively managed and does not seek to track or replicate the performance of any index. The index performance shown is not intended to be indicative of the Trust’s investment strategies, portfolio components or past or future performance.

More information about the Trust’s historical performance can be found in the “Closed End Funds” section of blackrock.com.

 

 

T R U S T   S U M M A R Y

  31


Trust Summary  as of June 30, 2022 (continued)    BlackRock Science and Technology Trust II (BSTZ)

 

The following discussion relates to the Trust’s absolute performance based on NAV:

What factors influenced performance?

Stocks fell sharply in the first half of 2022 due to concerns about elevated inflation, rising interest rates and slowing growth. Faster-growing companies, particularly those on the smaller end of the capitalization range, generally lagged the broader market.

Security selection in the services and software sub-sectors detracted from the Trust’s relative performance. At the individual stock level, an overweight position in the Japanese semiconductor company Lasertec Corp. was the largest detractor. The stock declined due to supply-chain issues and the broader concerns about a possible economic downturn. An overweight in Marvell Technology, Inc. was another detractor of note. The company, which was a top performer in 2021, experienced profit taking amid the rotation out of richly valued growth stocks. A private position in the Swedish payments-solutions company Klarna Bank AB detracted, as well. The stock’s valuation came under pressure on concerns about increased competition after Apple unveiled its own version of the service. Additionally, Klarna announced a 10% cut to its workforce, suggesting that it may facing headwinds from slowing economic growth.

On the positive side, a number of the Trust’s private holdings were top contributors in the semiannual period. A private position in GrubMarket, Inc. a technology company that provides grocers with inventory management software, was the largest contributor to relative performance. The company maintained strong momentum at a time of supply-chain disruptions throughout the food industry. A private position in the artificial intelligence data company Databricks was also a top contributor. The company benefited from positive secular growth trends as enterprises continued to adopt artificial intelligence and automation in their processes. A private investment in Credo Technology Group Holdings, Ltd., a semiconductor manufacturer that went public in January 2022, also added value. The Trust initiated a position in Credo in 2020 due to the strength and innovation of the company’s data-center product.

The Trust’s had an above-average cash position at times throughout the period. After the exiting certain positions, the Trust held cash in anticipation of initiating new positions at more attractive prices. The cash position contributed to performance in the falling market.

The Trust used an options overlay strategy in which calls were written on a portion of the portfolio’s holdings. The Trust’s options overlay strategy contributed to relative performance for the six-month period.

The Trust’s practice of maintaining a specified level of monthly distributions did not have a material impact on the Trust’s investment strategy.

Describe recent portfolio activity.

The Trust reduced its allocation to higher-valuation growth companies, and it increased its weighting in higher-quality, economically stable stocks that may prove more resilient amid continuing economic uncertainty. The Trust also took advantage of select opportunities in China, where valuations were attractive and the regulatory and economic environment showed signs of improvement.

The investment adviser continued to focus on companies that are positioned to capitalize on long-term secular demand trends. For example, it identified opportunities among companies seeing heightened demand from the migration to remote work, as well as those benefiting from the increased adoption of emerging technologies, such as artificial intelligence, cloud computing, digital transformation and e-commerce. The Trust did not make any additional investments in private technology companies during the reporting period.

Describe portfolio positioning at period end.

The investment adviser continued to take advantage of the Fund’s closed-end structure by harvesting the illiquidity premium in private companies. As of June 30, 2022, the Trust held 22 private investments, comprising 32.6% of total assets for a total commitment of approximately $589 million.

At the end of the period, the Trust held 30% of net asset value in software, 23% in semiconductors, 15% in services, 10% in internet, 9% in hardware, 6% in new industries, and 2% in content & infrastructure. These industry weightings were a residual effect of bottom-up stock selection.

As of June 30, 2022, the Trust had in place an option overwriting program whereby 23.7% of the underlying equities were overwritten with call options on individual stocks. These call options were typically written at prices above the prevailing market prices (estimated to be 5.0% out of the money) and for maturities averaging 47 days.

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

 

 

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Trust Summary  as of June 30, 2022 (continued)    BlackRock Science and Technology Trust II (BSTZ)

 

Overview of the Trust’s Total Investments

 

TEN LARGEST HOLDINGS

 

Security(a)   Percent of
Total Investments
 

Klarna Holdings AB

    3.6

Databricks, Inc.

    3.2  

Tesla, Inc.

    3.2  

ByteDance Ltd.

    3.0  

Marvell Technology, Inc.

    2.9  

Credo Technology Group Holding Ltd.

    2.9  

SambaNova Systems, Inc.

    2.8  

PsiQuantum Corp.

    2.3  

GrubMarket, Inc.

    2.2  

Synopsys, Inc.

    2.1  

INDUSTRY ALLOCATION

 

Industry(a)(b)   06/30/22  

Software

    25.8

Semiconductors & Semiconductor Equipment

    24.0  

IT Services

    15.2  

Interactive Media & Services

    7.4  

Banks

    3.7  

Electronic Equipment, Instruments & Components

    3.5  

Automobiles

    3.3  

Professional Services

    2.4  

Food & Staples Retailing

    2.2  

Diversified Consumer Services

    2.1  

Entertainment

    1.9  

Internet & Direct Marketing Retail

    1.5  

Technology Hardware, Storage & Peripherals

    1.4  

Media

    1.0  

Food Products

    1.0  

Other*

    3.6  
 
(a) 

Excludes short-term securities and options written.

(b) 

For Trust compliance purposes, the Trust’s industry classifications refer to one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.

*

Includes one or more investment categories that individually represents less than 1.0% of the Trust’s total investments. Please refer to the Consolidated Schedule of Investments for details.

 

 

T R U S T   S U M M A R Y

  33


Trust Summary  as of June 30, 2022    BlackRock Utilities, Infrastructure & Power Opportunities Tryst (BUI)

 

Investment Objective

BlackRock Utilities, Infrastructure & Power Opportunities Trust’s (BUI) (the “Trust”) investment objective is to provide total return through a combination of current income, current gains and long-term capital appreciation. The Trust seeks to achieve its investment objective by investing, under normal market conditions, at least 80% of its total assets in equity securities issued by companies that are engaged in the Utilities, Infrastructure and Power Opportunities business segments anywhere in the world and by employing a strategy of writing (selling) call and put options. The Trust considers the “Utilities” business segment to include products, technologies and services connected to the management, ownership, operation, construction, development or financing of facilities used to generate, transmit or distribute electricity, water, natural resources or telecommunications, the “Infrastructure” business segment to include companies that own or operate infrastructure assets or that are involved in the development, construction, distribution or financing of infrastructure assets and the “Power Opportunities” business segment to include companies with a significant involvement in, supporting, or necessary to renewable energy technology and development, alternative fuels, energy efficiency, automotive and sustainable mobility and technologies that enable or support the growth and adoption of new power and energy sources. Under normal circumstances, the Trust invests a substantial amount of its total assets in foreign issuers, issuers that primarily trade in a market located outside the United States or issuers that do a substantial amount of business outside the United States. The Trust may invest directly in such securities or synthetically through the use of derivatives.

No assurance can be given that the Trust’s investment objective will be achieved.

Trust Information

 

Symbol on New York Stock Exchange

  BUI

Initial Offering Date

      November 25, 2011    

Current Distribution Rate on Closing Market Price as of June 30, 2022 ($21.88)(a)

  6.64%

Current Monthly Distribution per Common Share(b)

  $0.1210

Current Annualized Distribution per Common Share(b)

  $1.4520

 

  (a) 

Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate may consist of income, net realized gains and/or a return of capital. Past performance is not an indication of future results.

 
  (b) 

The distribution rate is not constant and is subject to change. A portion of the distribution may be deemed a return of capital or net realized gain.

 

Market Price and Net Asset Value Per Share Summary

 

     06/30/22     12/31/21     Change     High     Low  

Closing Market Price

    $  21.88       $  26.62       (17.81)     $  27.28       $  20.46  

Net Asset Value

    21.66       25.86       (16.24)       25.86       21.06  

Performance

Returns for the period ended June 30, 2022 were as follows:

 

            Average Annual Total Returns  
     

 

 

 
      6-month      1 Year      5 Years     10 Years  

Trust at NAV(a)(b)

     (13.61 )%       (7.55 )%       7.87     8.32

Trust at Market Price(a)(b)

     (15.22      (9.81      8.26       9.09  

MSCI World Select Energy, Utilities and Industry Call Overwrite Index(c)

     (17.05      (11.51      N/A       N/A  

MSCI ACWI(d)

     (20.18      (15.75      7.00       8.76  

 

  (a) 

All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices.

 
  (b) 

The Trust’s premium to NAV narrowed during the period, which accounts for the difference between performance based on market price and performance based on NAV.

 
  (c) 

An index that incorporates an option overlay component on the MSCI World Select Energy, Utilities and Industry Index with a 33% overwrite level. The benchmark commenced on December 31, 2018 and therefore the benchmark does not have 5- and 10-year returns.

 
  (d) 

An index that captures large- and mid-cap representation across certain developed and emerging markets.

 

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

Past performance is not an indication of future results.

The Trust is presenting the performance of one or more indices for informational purposes only. The Trust is actively managed and does not seek to track or replicate the performance of any index. The index performance shown is not intended to be indicative of the Trust’s investment strategies, portfolio components or past or future performance.

More information about the Trust’s historical performance can be found in the “Closed End Funds” section of blackrock.com.

The following discussion relates to the Trust’s absolute performance based on NAV:

What factors influenced performance?

Infrastructure stocks, as a group, posted a negative return but strongly outperformed the broad-based global stock indexes in the first half of 2022.

 

 

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Trust Summary  as of June 30, 2022 (continued)      BlackRock Utilities, Infrastructure & Power Opportunities Tryst (BUI)

 

The lack of a position in Enbridge, Inc., which gained ground amid the broader strength in the midstream energy sector, was the largest detractor from relative performance. Companies with exposure to end markets perceived as being more sensitive to slower economic growth also performed poorly. Most notably, shares of the insulation producer Kingspan Group PLC fell after the company reported that it had seen a slowdown in order flow. Sika AG was also impacted by the perception that could be hurt by weaker economic growth. The Italian utility Enel S.p.A., which was pressured by broad-based weakness in the European markets, was an additional detractor of note.

Manufacturing businesses generally performed poorly due to concerns about supply chain challenges, which adversely affected the Fund’s holdings in energy efficiency stocks. While some companies, such as Atlas Copco AB, reported modestly weaker profits due to supply chain issues, others continued to beat earnings expectations.

On the positive side, overweight positions in the midstream energy stocks The Williams Companies, Inc. and TC Energy Corp. were among the largest contributors to relative performance. Shares of the utility RWE AG also rose amid growing expectations that it will accelerate its exit from coal.

The Trust used an options overlay strategy in which calls were written on a portion of the portfolio’s holdings. The Trust’s options overlay strategy contributed to relative performance in the six-month period.

Describe recent portfolio activity.

New positions in a natural gas utility, a world-class hydrogen energy solutions provider and an energy efficiency company, were initiated. The investment adviser increased the Fund’s weightings in selected industrial energy efficiency companies and clean power utility companies that were expected to generate earnings growth despite near-term uncertainty about the global economy. These purchases were funded by exiting positions in certain semiconductor stocks with vulnerability to supply-chain concerns.

The Trust’s practice of maintaining a specified level of monthly distributions to shareholders did not have a material impact on the Trust’s investment strategy.

Describe portfolio positioning at period end.

The utilities sector accounted for approximately 53% of the Trust’s assets. The Trust had about 26% and 10% of its assets invested in the industrials and energy sectors, respectively, and the remainder was invested in other infrastructure- and power-related sectors. As of June 30, 2022, the Trust had in place an option overwriting program whereby 33% of the underlying equities were overwritten with call options. These call options were typically written at prices above the prevailing market prices (estimated to be 4.4% out of the money) and for maturities averaging 50 days.

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.

Overview of the Trust’s Total Investments

 

TEN LARGEST HOLDINGS

 

Security(a)   Percent of
Total Investments
 

NextEra Energy, Inc.

    8.9

Enel SpA

    4.7  

TC Energy Corp.

    4.3  

RWE AG

    4.0  

Waste Management, Inc.

    3.7  

American Electric Power Co., Inc.

    3.4  

Sempra Energy

    3.2  

Dominion Energy, Inc.

    3.1  

Williams Cos., Inc.

    3.1  

Duke Energy Corp.

    2.9  

INDUSTRY ALLOCATION

 

Industry(a)(b)   06/30/22  

Electric Utilities

    30.5

Multi-Utilities

    13.6  

Independent Power and Renewable Electricity Producers

    10.7  

Oil, Gas & Consumable Fuels

    10.4  

Electrical Equipment

    7.9  

Commercial Services & Supplies

    6.2  

Building Products

    5.9  

Chemicals

    4.2  

Machinery

    4.1  

Construction & Engineering

    3.1  

Semiconductors & Semiconductor Equipment

    2.5  

Electronic Equipment, Instruments & Components

    0.9  
 

 

(a) 

Excludes short-term securities and options written.

(b) 

For Trust compliance purposes, the Trust’s industry classifications refer to one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.

 

 

T R U S T   S U M M A R Y

  35


Schedule of Investments (unaudited)

June 30, 2022

  

BlackRock Energy and Resources Trust (BGR)

(Percentages shown are based on Net Assets)

 

Security   Shares      Value  

Common Stocks

    
Energy Equipment & Services — 3.7%  

Halliburton Co.(a)

    229,136      $ 7,185,705  

Patterson-UTI Energy, Inc.(a)

    118,800        1,872,288  

Tenaris SA

    311,650        4,002,871  
    

 

 

 
       13,060,864  
Food Products — 0.4%         

Darling Ingredients, Inc.(a)(b)

    25,424        1,520,355  
    

 

 

 
Metals & Mining — 0.5%         

Glencore PLC

    346,650        1,877,608  
    

 

 

 
Oil, Gas & Consumable Fuels — 94.4%         

ARC Resources Ltd.

    304,480        3,839,116  

Canadian Natural Resources Ltd.

    203,909        10,957,416  

Cenovus Energy, Inc.

    446,056        8,486,569  

Cheniere Energy, Inc.(a)

    41,400        5,507,442  

Chevron Corp.(a)(c)

    277,970          40,244,496  

ConocoPhillips(a)

    264,442        23,749,592  

Devon Energy Corp.(a)

    15,717        866,164  

EOG Resources, Inc.(a)

    129,979        14,354,881  

Equinor ASA

    141,033        4,914,349  

Exxon Mobil Corp.(a)(c)

    548,395        46,964,548  

Gazprom PJSC(d)

    879,200        160  

Hess Corp.(a)

    94,890        10,052,647  

Kosmos Energy Ltd.(a)(b)

    227,884        1,410,602  

Marathon Petroleum Corp.(a)

    71,616        5,887,551  

Ovintiv, Inc.(a)

    89,800        3,968,262  

Phillips 66(a)

    107,248        8,793,263  

Pioneer Natural Resources Co.(a)(c)

    54,994        12,268,061  

Repsol SA

    501,366        7,391,137  

Santos Ltd.

    1,013,286        5,137,541  

Shell PLC, ADR(a)

    730,622        38,204,224  

Suncor Energy, Inc.

    394,479        13,839,863  

TC Energy Corp.

    317,064        16,424,664  

TotalEnergies SE

    433,148        22,799,597  
Security   Shares      Value  
Oil, Gas & Consumable Fuels (continued)  

Tourmaline Oil Corp.

    126,483      $ 6,576,684  

Valero Energy Corp.(a)

    101,374        10,774,029  

Williams Cos., Inc.(a)

    408,732        12,756,526  
    

 

 

 
       336,169,384  
    

 

 

 

Total Long-Term Investments — 99.0%
(Cost: $245,104,027)

 

     352,628,211  
    

 

 

 

Short-Term Securities

    
Money Market Funds — 0.4%             

BlackRock Liquidity Funds, T-Fund, Institutional Class, 1.33%(e)(f)

    1,406,858        1,406,858  
    

 

 

 

Total Short-Term Securities — 0.4%
(Cost: $1,406,858)

 

     1,406,858  
    

 

 

 

Total Investments Before Options Written — 99.4%
(Cost: $246,510,885)

 

     354,035,069  
    

 

 

 

Options Written — (0.6)%
(Premiums Received: $(5,472,215))

 

     (2,083,915
    

 

 

 

Total Investments, Net of Options Written — 98.8%
(Cost: $241,038,670)

 

     351,951,154  

Other Assets Less Liabilities — 1.2%

 

     4,431,384  
    

 

 

 

Net Assets — 100.0%

     $   356,382,538  
    

 

 

 

 

(a) 

All or a portion of the security has been pledged and/or segregated as collateral in connection with outstanding exchange-traded options written.

(b) 

Non-income producing security.

(c) 

All or a portion of the security has been pledged as collateral in connection with outstanding OTC derivatives.

(d) 

Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

(e) 

Affiliate of the Trust.

(f) 

Annualized 7-day yield as of period end.

 

 

For Trust compliance purposes, the Trust’s industry classifications refer to one or more of the industry sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.

Affiliates

Investments in issuers considered to be affiliate(s) of the Trust during the six months ended June 30, 2022 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

 

 
Affiliated Issuer   Value at
12/31/21
    Purchases
at Cost
    Proceeds
from Sales
    Net
Realized
Gain (Loss)
    Change in
Unrealized
Appreciation
(Depreciation)
    Value at
06/30/22
    Shares
Held at
06/30/22
    Income     Capital Gain
Distributions
from
Underlying
Funds
 

 

 

BlackRock Liquidity Funds, T-Fund, Institutional Class

  $   2,725,280     $     $  (1,318,422 )(a)    $     $     $   1,406,858       1,406,858     $ 7,015     $  
       

 

 

   

 

 

   

 

 

     

 

 

   

 

 

 

 

  (a)

Represents net amount purchased (sold).

 

Derivative Financial Instruments Outstanding as of Period End

Exchange-Traded Options Written

 

Description    Number of
Contracts
       Expiration
Date
      

Exercise Price

      

Notional
Amount (000)

       Value  
Call                                                   

Pioneer Natural Resources Co.

     109          07/01/22        USD     290.00        USD     2,432        $         (545

 

 

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Schedule of Investments (unaudited) (continued)

June 30, 2022

  

BlackRock Energy and Resources Trust (BGR)

    

 

Exchange-Traded Options Written (continued)

 

 

 
Description    Number of
Contracts
       Expiration
Date
       Exercise Price        Notional
Amount (000)
       Value  

 

 
Call (continued)                                                   

Valero Energy Corp.

     124          07/08/22        USD     124.00        USD     1,318        $ (1,736)  

Arc Resources Ltd.

     521          07/15/22        CAD     18.00        CAD     846          (6,678)  

Arc Resources Ltd.

     102          07/15/22        CAD     21.50        CAD     166          (317)  

Canadian Natural Resources Limited

     192          07/15/22        CAD     84.00        CAD     1,328          (970)  

Cenovus Energy Inc.

     562          07/15/22        CAD     26.50        CAD     1,376          (17,246)  

Cheniere Energy, Inc.

     108          07/15/22        USD     145.00        USD     1,437          (9,180)  

Darling Ingredients, Inc.

     20          07/15/22        USD     85.00        USD     120          (300)  

Exxon Mobil Corp.

     879          07/15/22        USD     100.00        USD     7,528          (9,669)  

HESS Corp.

     190          07/15/22        USD     130.00        USD     2,013          (8,550)  

Kosmos Energy Ltd.

     311          07/15/22        USD     9.00        USD     193          (172)  

Marathon Petroleum Corp.

     40          07/15/22        USD     100.00        USD     329          (460)  

Ovintiv Inc.

     214          07/15/22        USD     55.00        USD     946          (4,280)  

Patterson-UTI Energy, Inc.

     58          07/15/22        USD     20.00        USD     91          (870)  

Patterson-UTI Energy, Inc.

     140          07/15/22        USD     19.00        USD     221          (3,500)  

Phillips 66

     192          07/15/22        USD     105.00        USD     1,574          (1,440)  

Shell PLC, ADR

     325          07/15/22        USD     57.50        USD     1,699          (7,313)  

Shell PLC, ADR

     724          07/15/22        USD     60.00        USD     3,786          (5,430)  

Tourmaline Oil Corp.

     272          07/15/22        CAD     68.50        CAD     1,820          (45,326)  

Williams Cos., Inc.

     234          07/15/22        USD     32.00        USD     730          (12,285)  

ConocoPhillips

     384          07/22/22        USD     127.00        USD     3,449          (14,592)  

Devon Energy Corp.

     59          07/22/22        USD     83.00        USD     325          (826)  

EOG Resources, Inc.

     143          07/22/22        USD     153.20        USD     1,579          (5,005)  

Exxon Mobil Corp.

     4          07/22/22        USD     105.00        USD     34          (46)  

Exxon Mobil Corp.

     387          07/22/22        USD     109.00        USD     3,314          (3,096)  

Marathon Petroleum Corp.

     411          07/22/22        USD     120.00        USD     3,379          (6,576)  

Valero Energy Corp.

     137          07/22/22        USD     146.00        USD     1,456          (2,466)  

Kosmos Energy Ltd.

     310          07/25/22        USD     9.10        USD     192          (713)  

Shell PLC, ADR

     802          07/25/22        USD     59.50        USD     4,194          (22,381)  

Darling Ingredients, Inc.

     76          07/27/22        USD     79.00        USD     454          (471)  

Chevron Corp.

     193          07/29/22        USD     165.00        USD     2,794          (18,914)  

ConocoPhillips

     99          07/29/22        USD     127.00        USD     889          (3,267)  

ConocoPhillips

     100          07/29/22        USD     95.00        USD     898          (26,500)  

EOG Resources, Inc.

     163          07/29/22        USD     138.20        USD     1,800          (7,743)  

Exxon Mobil Corp.

     113          07/29/22        USD     95.00        USD     968          (13,051)  

Halliburton Co.

     346          07/29/22        USD     34.00        USD     1,085          (36,676)  

Phillips 66

     145          07/29/22        USD     94.00        USD     1,189          (14,500)  

Pioneer Natural Resources Co.

     99          07/29/22        USD     245.00        USD     2,208          (52,470)  

Chevron Corp.

     622          08/05/22        USD     155.00        USD     9,005            (217,700)  

Conocophillips

     371          08/05/22        USD     102.00        USD     3,332          (50,456)  

EOG Resources, Inc.

     187          08/05/22        USD     130.00        USD     2,065          (28,985)  

Exxon Mobil Corp.

     700          08/05/22        USD     94.00        USD     5,995          (120,750)  

Halliburton Co.

     354          08/05/22        USD     35.00        USD     1,110          (35,577)  

Hess Corp.

     165          08/05/22        USD     114.00        USD     1,748          (66,000)  

Marathon Petroleum Corp.

     53          08/05/22        USD     94.00        USD     436          (7,314)  

Phillips 66

     102          08/05/22        USD     90.00        USD     836          (22,440)  

Shell PLC, ADR

     690          08/05/22        USD     54.50        USD     3,608          (109,954)  

Williams Cos., Inc.

     408          08/05/22        USD     33.00        USD     1,273          (28,560)  

Chevron Corp.

     241          08/12/22        USD     155.00        USD     3,489          (97,605)  

Halliburton Co.

     170          08/12/22        USD     36.44        USD     533          (13,968)  

Williams Cos., Inc.

     408          08/12/22        USD     33.09        USD     1,273          (31,419)  

Arc Resources Ltd.

     570          08/19/22        CAD     23.00        CAD     925          (5,092)  

Arc Resources Ltd.

     102          08/19/22        CAD     21.00        CAD     166          (1,664)  

Canadian Natural Resources Limited

     298          08/19/22        CAD     82.00        CAD     2,061          (24,309)  

Cenovus Energy Inc.

     1,196          08/19/22        CAD     31.00        CAD     2,929          (38,095)  

Cheniere Energy, Inc.

     49          08/19/22        USD     141.35        USD     652          (25,136)  

ConocoPhillips

     20          08/19/22        USD     105.00        USD     180          (3,190)  

Ovintiv Inc.

     127          08/19/22        USD     60.00        USD     561          (9,843)  

Patterson-UTI Energy, Inc.

     253          08/19/22        USD     18.00        USD     399          (20,240)  

Phillips 66

     21          08/19/22        USD     110.00        USD     172          (735)  

Shell PLC, ADR

     200          08/19/22        USD     56.50        USD     1,046          (30,132)  

Suncor Energy Inc.

     336          08/19/22        CAD     49.00        CAD     1,517          (46,464)  

Suncor Energy Inc.

     579          08/19/22        CAD     52.00        CAD     2,615          (47,680)  

 

 

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

  37


Schedule of Investments (unaudited) (continued)

June 30, 2022

  

BlackRock Energy and Resources Trust (BGR)

    

 

Exchange-Traded Options Written (continued)

 

 

 
Description    Number of
Contracts
       Expiration
Date
       Exercise Price        Notional
Amount (000)
       Value  

 

 
Call (continued)                                                   

TC Energy Corp.

     523          08/19/22        CAD     72.00        CAD     3,487        $ (21,128)  

Tourmaline Oil Corp.

     210          08/19/22        CAD     74.00        CAD     1,406          (40,949)  

Valero Energy Corp.

     124          08/19/22        USD     125.00        USD     1,318          (30,628)  

Williams Cos., Inc.

     28          08/19/22        USD     38.00        USD     87          (280)  

Williams Cos., Inc.

     453          08/19/22        USD     32.00        USD     1,414          (57,757)  

Canadian Natural Resources Limited

     284          09/16/22        CAD     75.00        CAD     1,964          (77,773)  

Suncor Energy Inc.

     579          09/16/22        CAD     52.00        CAD     2,615          (69,721)  

TC Energy Corp.

     681          09/16/22        CAD     68.00        CAD     4,541          (116,657)  
                          

 

 

 
                           $   (1,863,761)  
                          

 

 

 

OTC Options Written

 

 

 
Description    Counterparty    Number of
Contracts
     Expiration
Date
   Exercise Price      Notional
Amount (000)
   Value  

 

 
Call                                               

Santos Ltd.

   Morgan Stanley & Co. International PLC      40,600      07/06/22      AUD       8.37      AUD    298    $ (43)  

Total SA

   Morgan Stanley & Co. International PLC      76,000      07/12/22      EUR       54.27      EUR    3,817      (9,685)  

Statoil ASA

   Morgan Stanley & Co. International PLC      46,200      07/13/22      NOK       371.42      NOK    15,857      (11,538)  

Total SA

   Goldman Sachs International      28,900      07/19/22      EUR       55.74      EUR    1,452      (3,440)  

Santos Ltd.

   Morgan Stanley & Co. International PLC      173,800      07/26/22      AUD       9.11      AUD    1,277      (1,508)  

Tenaris SA

   Goldman Sachs International      49,700      07/27/22      EUR       16.02      EUR    609      (631)  

Total SA

   UBS AG      16,500      07/27/22      EUR       57.38      EUR    829      (2,256)  

Tenaris SA

   Goldman Sachs International      68,800      08/02/22      EUR       15.14      EUR    843      (2,528)  

Repsol SA

   Credit Suisse International      110,500      08/09/22      EUR       14.41      EUR    1,554      (64,012)  

Repsol SA

   Merrill Lynch International      80,000      08/09/22      EUR       15.75      EUR    1,125      (14,557)  

Santos Ltd.

   JPMorgan International Bank Ltd.      170,700      08/09/22      AUD       7.90      AUD    1,254      (20,064)  

Total SA

   JPMorgan International Bank Ltd.      44,500      08/09/22      EUR       50.96      EUR    2,235      (82,863)  

Statoil ASA

   Morgan Stanley & Co. International PLC      7,500      08/11/22      NOK       369.60      NOK    2,574      (7,029)  
                      

 

 

 
                       $   (220,154)  
                      

 

 

 

Balances Reported in the Statements of Assets and Liabilities for Options Written

 

Description    Swap
Premiums
Paid
       Swap
Premiums
Received
       Unrealized
Appreciation
       Unrealized
Depreciation
       Value  

Options Written

   $ N/A        $ N/A        $ 3,473,668        $ (85,368      $   (2,083,915)  

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

 

     Commodity
Contracts
    Credit
Contracts
    Equity
Contracts
    Foreign
Currency
Exchange
Contracts
    Interest
Rate
Contracts
    Other
Contracts
    Total  

Liabilities — Derivative Financial Instruments

             

Options written

             

Options written at value

  $     $     $   2,083,915     $     $     $     $  2,083,915  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

 

38  

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


Schedule of Investments (unaudited) (continued)

June 30, 2022

  

BlackRock Energy and Resources Trust (BGR)

    

 

For the period ended June 30, 2022, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

      Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
     Other
Contracts
     Total  

Net Realized Gain (Loss) from:

                    

Options written

   $      $      $   (22,929,880    $      $      $      $   (22,929,880
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net Change in Unrealized Appreciation (Depreciation) on:

                    

Options written

   $      $      $ 2,067,367      $      $      $      $ 2,067,367  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Options:

        

Average value of option contracts written

   $ 4,301,425  

For more information about the Trust’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

Derivative Financial Instruments — Offsetting as of Period End

The Trust’s derivative assets and liabilities (by type) were as follows:

 

      Assets        Liabilities  

Derivative Financial Instruments

       

Options

   $        $ 2,083,915  
  

 

 

      

 

 

 

Total derivative assets and liabilities in the Statements of Assets and Liabilities

              2,083,915  
  

 

 

      

 

 

 

Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)

              (1,863,761
  

 

 

      

 

 

 

Total derivative assets and liabilities subject to an MNA

   $        $ 220,154  
  

 

 

      

 

 

 

The following table presents the Trust’s derivative liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral pledged by the Trust:

 

Counterparty     



Derivative
Liabilities
Subject to
an MNA by
Counterparty
 
 

 
 
      

Derivatives
Available
for Offset
 
 
 
      

Non-Cash
Collateral
Pledged
 
 
(a) 
    

Cash
Collateral
Pledged
 
 
 
      

Net Amount
of Derivative
Liabilities
 
 
(b) 

Credit Suisse International

   $ 64,012        $        $      $        $ 64,012  

Goldman Sachs International

     6,599                   (6,599                

JPMorgan International Bank Ltd.

     102,927                                   102,927  

Merrill Lynch International

     14,557                                   14,557  

Morgan Stanley & Co. International PLC

     29,803                   (29,803                

UBS AG

     2,256                   (2,256                
  

 

 

      

 

 

      

 

 

    

 

 

      

 

 

 
   $ 220,154        $        $ (38,658    $        $ 181,496  
  

 

 

      

 

 

      

 

 

    

 

 

      

 

 

 

 

  (a) 

Excess of collateral received/pledged, if any, from the individual counterparty is not shown for financial reporting purposes.

 
  (b) 

Net amount represents the net amount payable due to counterparty in the event of default. Net amount may be offset further by the options written receivable/payable on the Statements of Assets and Liabilities.

 

 

 

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

  39


Schedule of Investments (unaudited) (continued)

June 30, 2022

  

BlackRock Energy and Resources Trust (BGR)

    

 

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of financial instruments. For a description of the input levels and information about the Trust’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.

The following table summarizes the Trust’s financial instruments categorized in the fair value hierarchy. The breakdown of the Trust’s financial instruments into major categories is disclosed in the Schedule of Investments above.

 

      Level 1        Level 2        Level 3        Total  

Assets

                 

Investments

                 

Long-Term Investments

                 

Common Stocks

                 

Energy Equipment & Services

   $ 9,057,993        $ 4,002,871        $        $ 13,060,864  

Food Products

     1,520,355                            1,520,355  

Metals & Mining

              1,877,608                   1,877,608  

Oil, Gas & Consumable Fuels

     295,926,600          40,242,624          160          336,169,384  

Short-Term Securities

                 

Money Market Funds

     1,406,858                            1,406,858  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $   307,911,806        $     46,123,103        $             160        $   354,035,069  
  

 

 

      

 

 

      

 

 

      

 

 

 

Derivative Financial Instruments(a)

                 

Liabilities

                 

Equity Contracts

   $ (1,584,089)        $ (499,826)        $        $ (2,083,915)  
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

Derivative financial instruments are options written. Options written are shown at value.

 

See notes to financial statements.

 

 

40  

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


Schedule of Investments (unaudited)

June 30, 2022

  

BlackRock Enhanced Capital and Income Fund, Inc. (CII)

(Percentages shown are based on Net Assets)

 

Security   Shares      Value  

Common Stocks

    
Air Freight & Logistics — 1.3%  

CH Robinson Worldwide, Inc.

    103,481      $   10,489,869  
    

 

 

 
Automobiles — 1.5%             

General Motors Co.(a)

    379,081        12,039,613  
    

 

 

 
Banks — 2.9%  

First Citizens BancShares, Inc., Class A

    16,390        10,715,454  

JPMorgan Chase & Co.

    112,011        12,613,559  
    

 

 

 
           23,329,013  
Beverages — 1.6%  

Monster Beverage Corp.(a)

    138,650        12,852,855  
    

 

 

 
Capital Markets — 3.0%  

Intercontinental Exchange, Inc.

    129,357        12,164,732  

Morgan Stanley

    160,011        12,170,437  
    

 

 

 
           24,335,169  
Chemicals — 3.7%  

Axalta Coating Systems Ltd.(a)

    319,365        7,061,160  

Corteva, Inc.

    432,168        23,397,576  
    

 

 

 
           30,458,736  
Communications Equipment — 0.9%  

Ciena Corp.(a)

    163,232        7,459,702  
    

 

 

 
Construction & Engineering — 1.3%  

Quanta Services, Inc.

    85,268        10,687,491  
    

 

 

 
Consumer Finance — 0.8%  

Capital One Financial Corp.

    66,550        6,933,845  
    

 

 

 
Containers & Packaging — 1.4%  

Sealed Air Corp.

    194,320        11,216,150  
    

 

 

 
Diversified Financial Services — 2.6%  

Berkshire Hathaway, Inc., Class B(a)

    76,398        20,858,182  
    

 

 

 
Entertainment — 1.2%  

World Wrestling Entertainment, Inc., Class A

    161,754        10,108,007  
    

 

 

 
Food Products — 1.7%  

Mondelez International, Inc., Class A

    224,520        13,940,447  
    

 

 

 
Health Care Providers & Services — 8.7%  

Elevance Health, Inc.(b)

    27,125        13,089,982  

Humana, Inc.

    33,908        15,871,318  

Laboratory Corp. of America Holdings

    71,215        16,689,947  

UnitedHealth Group, Inc.

    48,393        24,856,097  
    

 

 

 
           70,507,344  
Health Care Technology — 0.7%  

Veeva Systems, Inc., Class A(a)

    28,996        5,742,368  
    

 

 

 
Hotels, Restaurants & Leisure — 0.7%  

Las Vegas Sands Corp.(a)

    171,448        5,758,938  
    

 

 

 
Insurance — 3.6%  

Progressive Corp.

    138,920        16,152,228  

Reinsurance Group of America, Inc.

    113,740        13,340,565  
    

 

 

 
       29,492,793  
Security   Shares      Value  
Interactive Media & Services(a) — 6.9%  

Alphabet, Inc., Class A(b)

    19,639      $   42,798,487  

Meta Platforms, Inc., Class A

    85,039        13,712,539  
    

 

 

 
           56,511,026  
Internet & Direct Marketing Retail — 4.3%  

Amazon.com, Inc.(a)(b)

    327,480        34,781,651  
    

 

 

 
IT Services — 5.8%  

Fidelity National Information Services, Inc.

    129,701        11,889,691  

FleetCor Technologies, Inc.(a)

    64,982        13,653,368  

Visa, Inc., Class A(b)

    110,910        21,837,070  
    

 

 

 
           47,380,129  
Life Sciences Tools & Services — 1.7%  

Avantor, Inc.(a)

    444,900        13,836,390  
    

 

 

 
Machinery — 4.7%  

Caterpillar, Inc.

    81,880        14,636,869  

Fortive Corp.

    229,273        12,467,866  

Otis Worldwide Corp.

    158,447        11,197,449  
    

 

 

 
           38,302,184  
Media — 3.9%  

Comcast Corp., Class A

    622,022        24,408,143  

Fox Corp., Class A

    219,468        7,058,091  
    

 

 

 
           31,466,234  
Multiline Retail — 3.7%  

Dollar General Corp.

    69,788        17,128,767  

Dollar Tree, Inc.(a)

    83,172        12,962,356  
    

 

 

 
           30,091,123  
Oil, Gas & Consumable Fuels — 4.2%  

ConocoPhillips(b)

    204,768        18,390,214  

EQT Corp.

    451,907        15,545,601  
    

 

 

 
           33,935,815  
Personal Products — 1.2%  

Unilever PLC, ADR

    218,168        9,998,639  
    

 

 

 
Pharmaceuticals — 3.9%  

Novo Nordisk A/S, ADR

    97,913        10,910,446  

Sanofi, ADR

    414,482        20,736,534  
    

 

 

 
           31,646,980  
Real Estate Management & Development — 1.3%  

CBRE Group, Inc., Class A(a)

    142,154        10,463,956  
    

 

 

 
Road & Rail — 1.8%  

Norfolk Southern Corp.

    64,100        14,569,289  
    

 

 

 
Semiconductors & Semiconductor Equipment — 4.9%  

Analog Devices, Inc.

    95,530        13,955,978  

Applied Materials, Inc.

    119,880        10,906,682  

Taiwan Semiconductor Manufacturing Co. Ltd., ADR

    179,060        14,638,155  
    

 

 

 
           39,500,815  
Software — 6.6%  

Microsoft Corp.(b)

    210,311        54,014,174  
    

 

 

 
Specialty Retail — 2.4%  

Bath & Body Works, Inc.

    207,890        5,596,399  

Ross Stores, Inc.

    195,398        13,722,801  
    

 

 

 
           19,319,200  
 

 

 

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

  41


Schedule of Investments (unaudited) (continued)

June 30, 2022

  

BlackRock Enhanced Capital and Income Fund, Inc. (CII)

(Percentages shown are based on Net Assets)

 

Security   Shares      Value  
Technology Hardware, Storage & Peripherals — 4.5%  

Apple, Inc.(b)

    269,018      $ 36,780,141  
    

 

 

 

Total Long-Term Investments — 99.4%
(Cost: $619,870,762)

 

     808,808,268  
    

 

 

 

Short-Term Securities

    
Money Market Funds — 1.1%             

BlackRock Liquidity Funds, T-Fund, Institutional Class, 1.33%(c)(d)

    9,203,965        9,203,965  
    

 

 

 

Total Short-Term Securities — 1.1%
(Cost: $9,203,965)

 

     9,203,965  
    

 

 

 

Total Investments Before Options Written — 100.5%
(Cost: $629,074,727)

 

     818,012,233  
    

 

 

 

Options Written — (1.0)%
(Premiums Received: $(11,579,401))

 

     (8,671,931
    

 

 

 

Total Investments, Net of Options Written — 99.5%
(Cost: $617,495,326)

 

     809,340,302  

Other Assets Less Liabilities — 0.5%

 

     4,260,591  
    

 

 

 

Net Assets — 100.0%

     $   813,600,893  
    

 

 

 

 

(a) 

Non-income producing security.

(b) 

All or a portion of the security has been pledged and/or segregated as collateral in connection with outstanding exchange-traded options written.

(c) 

Affiliate of the Trust.

(d) 

Annualized 7-day yield as of period end.

 

 

For Trust compliance purposes, the Trust’s industry classifications refer to one or more of the industry sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.

Affiliates

Investments in issuers considered to be affiliate(s) of the Trust during the six months ended June 30, 2022 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

 

 
Affiliated Issuer    Value at
12/31/21
     Purchases
at Cost
     Proceeds
from Sales
    Net
Realized
Gain (Loss)
     Change in
Unrealized
Appreciation
(Depreciation)
     Value at
06/30/22
     Shares
Held at
06/30/22
     Income      Capital Gain
Distributions
from
Underlying
Funds
 

 

 

BlackRock Liquidity Funds, T-Fund, Institutional Class

   $   10,297,753      $      $  (1,093,788 )(a)    $      $      $  9,203,965        9,203,965      $  21,813      $  
          

 

 

    

 

 

    

 

 

       

 

 

    

 

 

 

 

  (a) 

Represents net amount purchased (sold).

 

Derivative Financial Instruments Outstanding as of Period End

Exchange-Traded Options Written

 

Description    Number of
Contracts
       Expiration
Date
       Exercise Price       

Notional

Amount (000)

       Value  
Call                                                   

Analog Devices, Inc.

     151          07/01/22        USD     175.00        USD     2,206        $ (11,325

Anthem, Inc.

     72          07/01/22        USD     505.00        USD     3,475          (14,400

Fox Corp., Class A

     220          07/01/22        USD     35.00        USD     708          (5,500

UnitedHealth Group, Inc.

     118          07/01/22        USD     505.00        USD     6,061          (116,525

Analog Devices, Inc.

     102          07/08/22        USD     165.00        USD     1,490          (10,200

Anthem, Inc.

     23          07/08/22        USD     465.00        USD     1,110          (46,345

Anthem, Inc.

     28          07/08/22        USD     477.50        USD     1,351          (31,080

Dollar General Corp.

     177          07/08/22        USD     240.00        USD     4,344          (130,095

Dollar Tree, Inc.

     153          07/08/22        USD     160.00        USD     2,385          (22,261

Humana, Inc.

     107          07/08/22        USD     440.00        USD     5,008          (309,230

Monster Beverage Corp.

     222          07/08/22        USD     92.00        USD     2,058          (43,290

Norfolk Southern Corp.

     216          07/08/22        USD     255.00        USD     4,909          (46,440

UnitedHealth Group, Inc.

     165          07/08/22        USD     515.00        USD     8,475          (136,125

Alphabet Inc., Class A

     77          07/15/22        USD     2,425.00        USD     16,780          (62,370

Amazon.com, Inc.

     240          07/15/22        USD     125.00        USD     2,549          (4,320

 

 

42  

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


Schedule of Investments (unaudited) (continued)

June 30, 2022

  

BlackRock Enhanced Capital and Income Fund, Inc. (CII)

    

 

Exchange-Traded Options Written (continued)

 

Description    Number of
Contracts
       Expiration
Date
       Exercise Price       

Amount

Notional (000)

       Value  
Call (continued)                                                   

Amazon.com, Inc.

     180          07/15/22        USD     117.00        USD     1,912        $ (13,410

Analog Devices, Inc.

     27          07/15/22        USD     152.50        USD     394          (4,928

Anthem, Inc.

     24          07/15/22        USD     480.00        USD     1,158          (30,120

Apple, Inc.

     57          07/15/22        USD     150.00        USD     779          (1,881

Apple, Inc.

     110          07/15/22        USD     155.00        USD     1,504          (1,375

Avantor, Inc.

     348          07/15/22        USD     31.25        USD     1,082          (26,482

Axalta Coating Systems Ltd.

     423          07/15/22        USD     27.00        USD     935          (16,920

C.H. Robinson Worldwide, Inc.

     103          07/15/22        USD     105.00        USD     1,044          (11,845

Capital One Financial Corp.

     94          07/15/22        USD     120.00        USD     979          (2,350

Caterpillar, Inc.

     136          07/15/22        USD     220.00        USD     2,431          (1,156

CBRE Group, Inc., Class A

     430          07/15/22        USD     75.00        USD     3,165          (58,050

Ciena Corp.

     230          07/15/22        USD     55.00        USD     1,051          (1,150

Ciena Corp.

     275          07/15/22        USD     50.00        USD     1,257          (4,813

Comcast Corp., Class A

     140          07/15/22        USD     40.00        USD     549          (7,140

Dollar Tree, Inc.

     127          07/15/22        USD     175.00        USD     1,979          (2,731

EQT Corp.

     806          07/15/22        USD     40.00        USD     2,773          (32,240

Facebook, Inc., Class A

     91          07/15/22        USD     215.00        USD     1,467          (910

Fidelity National Information Services, Inc.

     113          07/15/22        USD     110.00        USD     1,036          (4,520

Fidelity National Information Services, Inc.

     307          07/15/22        USD     105.00        USD     2,814          (9,210

First Citizens BancShares, Inc., Class A

     37          07/15/22        USD     690.00        USD     2,419          (19,332

Fortive Corp.

     814          07/15/22        USD     58.50        USD     4,427          (19,019

Fox Corp., Class A

     512          07/15/22        USD     36.00        USD     1,647          (5,120

General Motors Co.

     294          07/15/22        USD     39.00        USD     934          (1,176

Humana, Inc.

     108          07/15/22        USD     445.00        USD     5,055          (295,380

Humana, Inc.

     3          07/15/22        USD     465.00        USD     140          (4,395

Intercontinental Exchange, Inc.

     477          07/15/22        USD     105.00        USD     4,486          (3,578

Laboratory Corp. of America Holdings

     197          07/15/22        USD     253.00        USD     4,617          (13,932

Laboratory Corp. of America Holdings

     54          07/15/22        USD     250.00        USD     1,266          (5,400

Las Vegas Sands Corp.

     406          07/15/22        USD     36.00        USD     1,364          (32,277

Microsoft Corp.

     259          07/15/22        USD     280.00        USD     6,652          (15,799

Monster Beverage Corp.

     108          07/15/22        USD     92.50        USD     1,001          (26,190

Novo Nordisk A/S

     636          07/15/22        USD     105.00        USD     7,087          (461,100

Otis Worldwide Corp.

     435          07/15/22        USD     73.05        USD     3,074          (36,588

Progressive Corp.

     684          07/15/22        USD     115.00        USD     7,953          (232,560

Quanta Services, Inc.

     306          07/15/22        USD     120.50        USD     3,835          (216,156

Reinsurance Group of America, Inc.

     249          07/15/22        USD     125.00        USD     2,921          (99,600

Ross Stores, Inc.

     22          07/15/22        USD     95.00        USD     155          (110

Sanofi, ADR

     740          07/15/22        USD     55.00        USD     3,702          (9,250

Sanofi, ADR

     165          07/15/22        USD     57.50        USD     825          (12,375

Sealed Air Corp.

     241          07/15/22        USD     65.00        USD     1,391          (4,820

Sealed Air Corp.

     232          07/15/22        USD     61.37        USD     1,339          (8,879

Unilever PLC, ADR

     161          07/15/22        USD     48.00        USD     738          (3,131

Unilever PLC, ADR

     57          07/15/22        USD     47.51        USD     261          (1,601

Veeva Systems, Inc., Class A

     122          07/15/22        USD     190.00        USD     2,416          (147,010

Visa, Inc., Class A

     149          07/15/22        USD     215.00        USD     2,934          (6,482

Visa, Inc., Class A

     55          07/15/22        USD     202.50        USD     1,083          (16,362

World Wrestling Entertainment, Inc., Class A

     420          07/15/22        USD     65.00        USD     2,625          (39,900

Alphabet Inc., Class A

     10          07/22/22        USD     2,520.00        USD     2,179          (7,500

Alphabet Inc., Class A

     40          07/22/22        USD     2,375.00        USD     8,717          (92,800

Amazon.com, Inc.

     234          07/22/22        USD     120.00        USD     2,485          (19,071

Analog Devices, Inc.

     102          07/22/22        USD     160.00        USD     1,490          (8,415

Anthem, Inc.

     29          07/22/22        USD     485.00        USD     1,399          (42,775

Apple, Inc.

     396          07/22/22        USD     155.00        USD     5,414          (10,494

Capital One Financial Corp.

     94          07/22/22        USD     114.00        USD     979          (13,160

Comcast Corp., Class A

     343          07/22/22        USD     44.00        USD     1,346          (1,887

ConocoPhillips

     212          07/22/22        USD     127.00        USD     1,904          (8,056

Dollar Tree, Inc.

     153          07/22/22        USD     165.00        USD     2,385          (29,376

Facebook, Inc., Class A

     231          07/22/22        USD     180.00        USD     3,725          (53,592

Humana, Inc.

     2          07/22/22        USD     475.00        USD     94          (2,170

JPMorgan Chase & Co.

     121          07/22/22        USD     130.00        USD     1,363          (1,089

Las Vegas Sands Corp.

     116          07/22/22        USD     34.00        USD     390          (22,040

Microsoft Corp.

     336          07/22/22        USD     285.00        USD     8,629          (25,200

 

 

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

  43


Schedule of Investments (unaudited) (continued)

June 30, 2022

  

BlackRock Enhanced Capital and Income Fund, Inc. (CII)

    

 

Exchange-Traded Options Written (continued)

 

Description    Number of
Contracts
       Expiration
Date
       Exercise Price        Notional
Amount (000)
       Value  
Call (continued)                                                   

Morgan Stanley

     436          07/22/22        USD     86.00        USD     3,316        $ (13,298

Norfolk Southern Corp.

     110          07/22/22        USD     245.00        USD     2,500          (16,225

UnitedHealth Group, Inc.

     31          07/22/22        USD     505.00        USD     1,592          (69,130

Visa, Inc., Class A

     38          07/22/22        USD     225.00        USD     748          (931

Visa, Inc., Class A

     38          07/22/22        USD     205.00        USD     748          (12,046

EQT Corp.

     805          07/26/22        USD     39.50        USD     2,769          (119,140

World Wrestling Entertainment, Inc., Class A

     368          07/28/22        USD     66.00        USD     2,300          (52,794

Apple, Inc.

     109          07/29/22        USD     140.00        USD     1,490          (49,867

Apple, Inc.

     103          07/29/22        USD     145.00        USD     1,408          (27,552

Applied Materials, Inc.

     197          07/29/22        USD     108.00        USD     1,792          (10,540

Berkshire Hathaway, Inc., Class B

     293          07/29/22        USD     280.00        USD     7,999          (133,315

Ciena Corp.

     293          07/29/22        USD     53.00        USD     1,339          (6,868

Comcast Corp., Class A

     625          07/29/22        USD     43.00        USD     2,453          (26,250

ConocoPhillips

     373          07/29/22        USD     127.00        USD     3,350          (12,309

ConocoPhillips

     186          07/29/22        USD     95.00        USD     1,670          (49,290

Dollar General Corp.

     61          07/29/22        USD     250.00        USD     1,497          (35,685

Fox Corp., Class A

     694          07/29/22        USD     34.00        USD     2,232          (31,230

General Motors Co.

     322          07/29/22        USD     37.00        USD     1,023          (11,270

JPMorgan Chase & Co.

     82          07/29/22        USD     125.00        USD     923          (3,813

Microsoft Corp.

     181          07/29/22        USD     265.00        USD     4,649          (137,560

Mondelez International, Inc., Class A

     204          07/29/22        USD     63.00        USD     1,267          (27,540

Monster Beverage Corp.

     224          07/29/22        USD     94.00        USD     2,076          (57,680

Morgan Stanley

     139          07/29/22        USD     77.00        USD     1,057          (39,337

Ross Stores, Inc.

     187          07/29/22        USD     86.00        USD     1,313          (19,635

Visa, Inc., Class A

     76          07/29/22        USD     210.00        USD     1,496          (24,624

Analog Devices, Inc.

     76          08/05/22        USD     155.00        USD     1,110          (22,800

Apple, Inc.

     318          08/05/22        USD     150.00        USD     4,348          (61,692

Applied Materials, Inc.

     390          08/05/22        USD     103.00        USD     3,548          (55,380

Bath & Body Works, Inc.

     230          08/05/22        USD     33.00        USD     619          (7,475

Bath & Body Works, Inc.

     185          08/05/22        USD     32.00        USD     498          (8,788

Berkshire Hathaway, Inc., Class B

     203          08/05/22        USD     280.00        USD     5,542          (115,202

Capital One Financial Corp.

     244          08/05/22        USD     115.00        USD     2,542          (50,020

Caterpillar, Inc.

     191          08/05/22        USD     195.00        USD     3,414          (53,002

Comcast Corp., Class A

     659          08/05/22        USD     41.00        USD     2,586          (51,072

Conocophillips

     559          08/05/22        USD     102.00        USD     5,020          (76,024

Dollar General Corp.

     44          08/05/22        USD     260.00        USD     1,080          (14,520

Dollar Tree, Inc.

     107          08/05/22        USD     170.00        USD     1,668          (21,881

General Motors Co.

     710          08/05/22        USD     37.00        USD     2,255          (31,595

JPMorgan Chase & Co.

     172          08/05/22        USD     121.00        USD     1,937          (22,962

Las Vegas Sands Corp.

     406          08/05/22        USD     37.00        USD     1,364          (55,825

Microsoft Corp.

     182          08/05/22        USD     265.00        USD     4,674          (144,235

Mondelez International, Inc., Class A

     294          08/05/22        USD     63.00        USD     1,825          (43,365

Norfolk Southern Corp.

     90          08/05/22        USD     240.00        USD     2,046          (36,450

Ross Stores, Inc.

     108          08/05/22        USD     83.00        USD     758          (4,590

Taiwan Semiconductor Manufacturing Co. Ltd., ADR

     15          08/05/22        USD     93.00        USD     123          (893

Visa, Inc., Class A

     39          08/05/22        USD     210.00        USD     768          (14,723

Visa, Inc., Class A

     48          08/05/22        USD     205.00        USD     945          (26,160

Apple, Inc.

     218          08/12/22        USD     147.68        USD     2,980          (64,576

Applied Materials, Inc.

     192          08/12/22        USD     104.73        USD     1,747          (33,663

Comcast Corp., Class A

     303          08/12/22        USD     40.22        USD     1,189          (36,688

Intercontinental Exchange, Inc.

     363          08/12/22        USD     101.00        USD     3,414          (50,012

JPMorgan Chase & Co.

     181          08/12/22        USD     119.97        USD     2,038          (33,894

Otis Worldwide Corp.

     430          08/12/22        USD     79.00        USD     3,039          (21,349

Taiwan Semiconductor Manufacturing Co. Ltd., ADR

     235          08/12/22        USD     91.14        USD     1,921          (25,383

Apple, Inc.

     334          08/19/22        USD     160.00        USD     4,566          (29,058

Apple, Inc.

     103          08/19/22        USD     150.00        USD     1,408          (25,492

Avantor, Inc.

     1,110          08/19/22        USD     32.50        USD     3,452          (130,425

CBRE Group, Inc., Class A

     494          08/19/22        USD     72.21        USD     3,636          (238,379

Ciena Corp.

     263          08/19/22        USD     50.00        USD     1,202          (26,957

Comcast Corp., Class A

     417          08/19/22        USD     42.50        USD     1,636          (24,603

Corteva, Inc.

     322          08/19/22        USD     60.00        USD     1,743          (25,760

EQT Corp.

     197          08/19/22        USD     46.00        USD     678          (12,805

 

 

44  

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


Schedule of Investments (unaudited) (continued)

June 30, 2022

  

BlackRock Enhanced Capital and Income Fund, Inc. (CII)

    

 

Exchange-Traded Options Written (continued)

 

Description    Number of
Contracts
       Expiration
Date
       Exercise Price        Notional
Amount (000)
       Value  
Call (continued)                                                   

Facebook, Inc., Class A

     231          08/19/22        USD     195.00        USD     3,725        $ (90,667

Fidelity National Information Services, Inc.

     116          08/19/22        USD     100.00        USD     1,063          (23,490

Fidelity National Information Services, Inc.

     307          08/19/22        USD     105.00        USD     2,814          (32,235

First Citizens BancShares, Inc., Class A

     28          08/19/22        USD     660.00        USD     1,831          (95,200

FleetCor Technologies, Inc.

     422          08/19/22        USD     230.00        USD     8,867          (202,560

Fortive Corp.

     676          08/19/22        USD     56.00        USD     3,676          (128,868

General Motors Co.

     190          08/19/22        USD     37.00        USD     603          (13,205

JPMorgan Chase & Co.

     172          08/19/22        USD     123.50        USD     1,937          (23,050

Laboratory Corp. of America Holdings

     211          08/19/22        USD     230.00        USD     4,945          (289,070

Las Vegas Sands Corp.

     186          08/19/22        USD     36.00        USD     625          (38,874

Microsoft Corp.

     409          08/19/22        USD     270.00        USD     10,504          (293,457

Mondelez International, Inc., Class A

     400          08/19/22        USD     65.00        USD     2,484          (39,000

Morgan Stanley

     465          08/19/22        USD     80.00        USD     3,537          (107,880

Otis Worldwide Corp.

     164          08/19/22        USD     72.18        USD     1,159          (41,737

Progressive Corp.

     218          08/19/22        USD     115.00        USD     2,535          (124,260

Quanta Services, Inc.

     292          08/19/22        USD     130.00        USD     3,660          (173,740

Ross Stores, Inc.

     73          08/19/22        USD     85.00        USD     513          (5,110

Sanofi, ADR

     752          08/19/22        USD     51.25        USD     3,762          (112,944

Sealed Air Corp.

     786          08/19/22        USD     61.37        USD     4,537          (112,064

Taiwan Semiconductor Manufacturing Co. Ltd., ADR

     108          08/19/22        USD     95.00        USD     883          (7,452

Unilever PLC, ADR

     654          08/19/22        USD     45.00        USD     2,997          (132,435

Veeva Systems, Inc., Class A

     66          08/19/22        USD     195.00        USD     1,307          (97,680

World Wrestling Entertainment, Inc., Class A

     263          08/19/22        USD     65.00        USD     1,643          (69,037

Corteva, Inc.

     1,406          09/16/22        USD     55.00        USD     7,612          (421,800
                          

 

 

 
                           $   (8,657,326
                          

 

 

 

OTC Options Written

 

 

 
Description    Counterparty    Number of
Contracts
     Expiration
Date
     Exercise Price     

Notional

Amount (000)

     Value  

 

 
Call                                                      

Axalta Coating Systems Ltd.

   Barclays Bank PLC      14,300        07/22/22        USD        24.20        USD        316      $ (3,538)  

Axalta Coating Systems Ltd.

   Goldman Sachs International      71,100        08/19/22        USD        28.89        USD        1,572        (11,067)  
                       

 

 

 
                        $   (14,605)  
                       

 

 

 

Balances Reported in the Statements of Assets and Liabilities for Options Written

 

Description    Swap
Premiums
Paid
       Swap
Premiums
Received
       Unrealized
Appreciation
       Unrealized
Depreciation
       Value  

Options Written

   $ N/A        $ N/A        $ 4,642,455        $ (1,734,985      $   (8,671,931

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

 

      Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
     Other
Contracts
     Total  

Liabilities — Derivative Financial Instruments

 

           

Options written

                    

Options written at value

   $      $      $  8,671,931      $      $      $      $  8,671,931  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

 

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

  45


Schedule of Investments (unaudited) (continued)

June 30, 2022

  

BlackRock Enhanced Capital and Income Fund, Inc. (CII)

    

 

For the period ended June 30, 2022, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

     Commodity
Contracts
    Credit
Contracts
    Equity
Contracts
    Foreign
Currency
Exchange
Contracts
    Interest
Rate
Contracts
    Other
Contracts
    Total  

Net Realized Gain (Loss) from:

 

         

Options written

  $     $     $  21,229,943     $     $     $     $  21,229,943  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Change in Unrealized Appreciation (Depreciation) on:

 

     

Options written

  $     $     $ 3,506,035     $     $     $     $ 3,506,035  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Options:

        

Average value of option contracts written

   $ 11,545,012  

For more information about the Trust’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

Derivative Financial Instruments — Offsetting as of Period End

The Trust’s derivative assets and liabilities (by type) were as follows:

 

      Assets        Liabilities  

Derivative Financial Instruments

       

Options

   $        $ 8,671,931  
  

 

 

      

 

 

 

Total derivative assets and liabilities in the Statements of Assets and Liabilities

              8,671,931  
  

 

 

      

 

 

 

Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)

              (8,657,326
  

 

 

      

 

 

 

Total derivative assets and liabilities subject to an MNA

   $        $ 14,605  
  

 

 

      

 

 

 

The following table presents the Trust’s derivative liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral pledged by the Trust:

 

           
Counterparty     



Derivative
Liabilities
Subject to
an MNA by
Counterparty
 
 

 
 
      

Derivatives
Available
for Offset
 
 
 
      

Non-Cash
Collateral
Pledged
 
 
 
      

Cash
Collateral
Pledged
 
 
 
      

Net Amount
of Derivative
Liabilities
 
 
(a) 

Barclays Bank PLC

   $ 3,538        $        $        $        $ 3,538  

Goldman Sachs International

     11,067                                     11,067  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 
   $ 14,605        $        $        $        $ 14,605  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

Net amount represents the net amount payable due to counterparty in the event of default. Net amount may be offset further by the options written receivable/payable on the Statements of Assets and Liabilities.

 

 

 

46  

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


Schedule of Investments (unaudited) (continued)

June 30, 2022

  

BlackRock Enhanced Capital and Income Fund, Inc. (CII)

    

 

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of financial instruments. For a description of the input levels and information about the Trust’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.

The following table summarizes the Trust’s financial instruments categorized in the fair value hierarchy. The breakdown of the Trust’s financial instruments into major categories is disclosed in the Schedule of Investments above.

 

      Level 1        Level 2        Level 3        Total  

Assets

                 

Investments

                 

Long-Term Investments

                 

Common Stocks

   $ 808,808,268        $        $        $ 808,808,268  

Short-Term Securities

                 

Money Market Funds

     9,203,965                            9,203,965  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $   818,012,233        $        $        $   818,012,233  
  

 

 

      

 

 

      

 

 

      

 

 

 

Derivative Financial Instruments(a)

                 

Liabilities

                 

Equity Contracts

   $ (7,230,129      $   (1,441,802      $        $ (8,671,931
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

Derivative financial instruments are options written. Options written are shown at value.

 

See notes to financial statements.

 

 

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

  47


Schedule of Investments (unaudited)

June 30, 2022

  

BlackRock Enhanced Equity Dividend Trust (BDJ)

(Percentages shown are based on Net Assets)

 

Security   Shares          Value  
Common Stocks             
Aerospace & Defense — 3.1%  

Airbus SE

    119,371      $   11,675,661  

BAE Systems PLC

    2,527,475        25,588,142  

Huntington Ingalls Industries, Inc.(a)

    66,700        14,528,594  
    

 

 

 
           51,792,397  
Auto Components — 0.6%             

Lear Corp.(a)

    81,241        10,227,429  
    

 

 

 
Automobiles — 2.0%  

General Motors Co.(a)(b)(c)

    1,067,062        33,889,889  
    

 

 

 
Banks(a) — 10.6%  

Bank of America Corp.

    863,441        26,878,918  

Citigroup, Inc.(b)

    972,863        44,741,970  

First Citizens BancShares, Inc., Class A

    44,582        29,146,820  

JPMorgan Chase & Co.

    242,028        27,254,773  

Wells Fargo & Co.(b)

    1,287,552        50,433,412  
    

 

 

 
           178,455,893  
Beverages — 1.4%  

Constellation Brands, Inc., Class A(a)

    100,759        23,482,893  
    

 

 

 
Capital Markets(a) — 1.6%  

Charles Schwab Corp.

    235,485        14,877,942  

Raymond James Financial, Inc.

    145,689        13,026,054  
    

 

 

 
           27,903,996  
Chemicals(a) — 1.1%  

Corteva, Inc.

            

PPG Industries, Inc.

    156,624        17,908,388  
    

 

 

 
           17,908,388  
Communications Equipment — 2.4%  

Cisco Systems, Inc.(a)

    963,064        41,065,049  
    

 

 

 
Consumer Finance — 0.6%  

Capital One Financial Corp.(a)

    91,389        9,521,820  
    

 

 

 
Containers & Packaging — 1.1%  

Sealed Air Corp.(a)

    319,545        18,444,137  
    

 

 

 
Diversified Financial Services(a) — 1.1%  

Apollo Global Management, Inc.

    264,444        12,820,245  

Equitable Holdings, Inc.

    236,746        6,171,968  
    

 

 

 
           18,992,213  
Diversified Telecommunication Services — 2.0%  

Verizon Communications, Inc.(a)(b)

    684,013        34,713,660  
    

 

 

 
Electric Utilities(a) — 1.1%  

American Electric Power Co., Inc.

    130,469        12,517,196  

Edison International

    105,809        6,691,361  
    

 

 

 
           19,208,557  
Entertainment — 0.6%  

Activision Blizzard, Inc.

    122,674        9,551,398  
    

 

 

 
Food & Staples Retailing — 0.5%  

Walmart, Inc.(a)

    68,270        8,300,267  
    

 

 

 
Food Products — 0.5%  

Mondelez International, Inc., Class A(a)

    140,499        8,723,583  
    

 

 

 
Health Care Equipment & Supplies — 6.2%  

Alcon, Inc.

    122,865        8,615,482  

DENTSPLY SIRONA, Inc.(a)

    398,412        14,235,261  

Koninklijke Philips NV

    976,640        20,947,488  
Security   Shares          Value  
Health Care Equipment & Supplies (continued)  

Medtronic PLC(a)

    438,234      $ 39,331,501  

Zimmer Biomet Holdings, Inc.(a)

    210,185        22,082,036  
    

 

 

 
           105,211,768  
Health Care Providers & Services(a) — 9.9%  

AmerisourceBergen Corp.

    91,906        13,002,861  

Cigna Corp.

    111,914        29,491,577  

Elevance Health, Inc.

    97,605        47,102,221  

Humana, Inc.

    93,828        43,918,072  

Laboratory Corp. of America Holdings

    145,285        34,048,993  
    

 

 

 
           167,563,724  
Household Durables — 1.9%  

Newell Brands, Inc.(a)

    842,181        16,035,126  

Panasonic Holdings Corp.

    1,969,100        15,898,879  
    

 

 

 
           31,934,005  
Industrial Conglomerates — 1.4%  

General Electric Co.(a)

    100,304        6,386,356  

Siemens AG, Registered Shares

    165,312        16,993,494  
    

 

 

 
           23,379,850  
Insurance — 6.4%  

Allstate Corp.(a)

    81,223        10,293,391  

American International Group, Inc.(a)

    625,824        31,998,381  

Fidelity National Financial, Inc.(a)

    515,981        19,070,658  

MetLife, Inc.(a)

    79,586        4,997,205  

Prudential PLC

    945,693        11,763,694  

Willis Towers Watson PLC(a)

    153,685        30,335,882  
    

 

 

 
           108,459,211  
IT Services(a) — 6.3%  

Cognizant Technology Solutions Corp., Class A

    451,681        30,483,951  

Fidelity National Information Services, Inc.

    369,582        33,879,582  

SS&C Technologies Holdings, Inc.

    460,206        26,724,162  

Visa, Inc., Class A

    81,548        16,055,986  
    

 

 

 
             107,143,681  
Machinery — 1.0%  

Komatsu Ltd.

    750,200        16,704,823  
    

 

 

 
Media(a) — 2.7%  

Comcast Corp., Class A

    728,217        28,575,235  

Fox Corp., Class A

    552,557        17,770,233  
    

 

 

 
           46,345,468  
Multiline Retail — 1.4%  

Dollar General Corp.(a)

    96,316        23,639,799  
    

 

 

 
Multi-Utilities(a) — 2.0%  

Public Service Enterprise Group, Inc.

    259,296        16,408,251  

Sempra Energy

    119,531        17,961,923  
    

 

 

 
           34,370,174  
Oil, Gas & Consumable Fuels — 8.3%  

BP PLC, ADR

    8,946,829        42,009,789  

ConocoPhillips(a)(b)

    234,254        21,038,352  

Enterprise Products Partners LP(a)

    1,644,702        40,081,387  

EQT Corp.(a)

    624,923        21,497,351  

Hess Corp.(a)

    149,016        15,786,755  
    

 

 

 
           140,413,634  
Personal Products — 2.0%  

Unilever PLC, ADR(a)

    723,046        33,137,198  
    

 

 

 
Pharmaceuticals — 6.3%  

AstraZeneca PLC

    292,855        38,633,939  
 

 

 

48  

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


Schedule of Investments (unaudited) (continued)

June 30, 2022

  

BlackRock Enhanced Equity Dividend Trust (BDJ)

(Percentages shown are based on Net Assets)

 

Security   Shares          Value  
Pharmaceuticals (continued)  

Bayer AG, Registered Shares

    524,286      $ 31,308,449  

Sanofi

    360,681        36,373,245  
    

 

 

 
       106,315,633  
Professional Services — 1.4%         

Leidos Holdings, Inc.(a)(b)

    227,685        22,930,156  
    

 

 

 
Road & Rail — 1.0%         

Union Pacific Corp.(a)

    83,021        17,706,719  
    

 

 

 
Semiconductors & Semiconductor Equipment — 0.5%  

Analog Devices, Inc.(a)

    57,723        8,432,753  
    

 

 

 
Software — 2.6%         

CDK Global, Inc.

    395,139        21,641,763  

Microsoft Corp.(a)

    85,822        22,041,664  
    

 

 

 
       43,683,427  
Specialty Retail — 1.3%         

Ross Stores, Inc.(a)

    302,775        21,263,888  
    

 

 

 
Technology Hardware, Storage & Peripherals — 0.8%  

Samsung Electronics Co. Ltd., GDR, Registered Shares(d)

    12,124        13,200,300  
    

 

 

 
Textiles, Apparel & Luxury Goods — 0.2%         

Ralph Lauren Corp., Class A(a)

    47,393        4,248,782  
    

 

 

 
Tobacco — 1.0%         

Altria Group, Inc.(a)

    383,570        16,021,719  

British American Tobacco PLC

    7,422        318,138  
    

 

 

 
       16,339,857  
Wireless Telecommunication Services — 1.0%         

Rogers Communications, Inc., Class B

    346,658        16,611,145  
    

 

 

 

Total Long-Term Investments — 95.9%
(Cost: $1,464,188,211)

 

     1,621,217,564  
    

 

 

 
Security   Shares      Value  

Short-Term Securities

    
Money Market Funds — 4.9%             

BlackRock Liquidity Funds, T-Fund, Institutional Class, 1.33%(e)(f)

    82,052,911      $ 82,052,911  
    

 

 

 

Total Short-Term Securities — 4.9%
(Cost: $82,052,911)

 

     82,052,911  
    

 

 

 

Total Investments Before Options
Written — 100.8%
(Cost: $1,546,241,122)

 

     1,703,270,475  
    

 

 

 

Options Written — (1.0)%
(Premiums Received: $(21,753,162))

 

     (15,848,170
    

 

 

 

Total Investments, Net of Options Written — 99.8%
(Cost: $1,524,487,960)

 

     1,687,422,305  

Other Assets Less Liabilities — 0.2%

 

     3,229,379  
    

 

 

 

Net Assets — 100.0%

     $  1,690,651,684  
    

 

 

 

 

(a) 

All or a portion of the security has been pledged and/or segregated as collateral in connection with outstanding exchange-traded options written.

(b) 

All or a portion of the security has been pledged as collateral in connection with outstanding OTC derivatives.

(c) 

Non-income producing security.

(d)

This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933.

(e) 

Affiliate of the Trust.

(f) 

Annualized 7-day yield as of period end.

 

 

For Trust compliance purposes, the Trust’s industry classifications refer to one or more of the industry sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.

Affiliates

Investments in issuers considered to be affiliate(s) of the Trust during the six months ended June 30, 2022 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

 

 
Affiliated Issuer   Value at
12/31/21
    Purchases
at Cost
    Proceeds
from Sales
    Net
Realized
Gain (Loss)
    Change in
Unrealized
Appreciation
(Depreciation)
    Value at
06/30/22
    Shares
Held at
06/30/22
    Income     Capital Gain
Distributions
from
Underlying
Funds
 

 

 

BlackRock Liquidity Funds, T-Fund, Institutional Class

  $  62,262,015     $  19,790,896 (a)    $     $     $     $ 82,052,911       82,052,911     $ 118,850     $  

SL Liquidity Series, LLC, Money Market Series(b)

          0 (a)                                    10 (c)       
       

 

 

   

 

 

   

 

 

     

 

 

   

 

 

 
        $     $     $  82,052,911       $  118,860     $  
       

 

 

   

 

 

   

 

 

     

 

 

   

 

 

 

 

  (a) 

Represents net amount purchased (sold).

 
  (b) 

As of period end, the entity is no longer held.

 
  (c) 

All or a portion represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities.

 

 

 

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

  49


Schedule of Investments (unaudited) (continued)

June 30, 2022

  

BlackRock Enhanced Equity Dividend Trust (BDJ)

    

 

Derivative Financial Instruments Outstanding as of Period End

Exchange-Traded Options Written

 

Description    Number of
Contracts
       Expiration
Date
       Exercise Price        Notional
Amount (000)
       Value  
Call                                                   

AmerisourceBergen Corp.

     257          07/01/22        USD     160.00        USD     3,636        $ (6,425

Cigna Corp.

     69          07/01/22        USD     265.00        USD     1,818          (11,213

Constellation Brands, Inc., Class A

     216          07/01/22        USD     250.00        USD     5,034          (1,080

Fox Corp., Class A

     1,223          07/01/22        USD     35.00        USD     3,933          (30,575

SS&C Technologies Holdings, Inc.

     738          07/01/22        USD     64.00        USD     4,286            

American International Group, Inc.

     625          07/08/22        USD     62.00        USD     3,196          (134,375

Analog Devices, Inc.

     82          07/08/22        USD     165.00        USD     1,198          (8,200

Anthem, Inc.

     84          07/08/22        USD     465.00        USD     4,054          (169,260

Anthem, Inc.

     111          07/08/22        USD     477.50        USD     5,357          (123,210

Cigna Corp.

     109          07/08/22        USD     260.00        USD     2,872          (75,210

Dollar General Corp.

     119          07/08/22        USD     240.00        USD     2,921          (87,465

Humana, Inc.

     112          07/08/22        USD     440.00        USD     5,242            (323,680

PPG Industries, Inc.

     372          07/08/22        USD     130.00        USD     4,253          (16,740

Ross Stores, Inc.

     114          07/08/22        USD     89.00        USD     801          (7,980

Allstate Corp.

     148          07/15/22        USD     135.00        USD     1,876          (3,700

Allstate Corp.

     149          07/15/22        USD     125.00        USD     1,888          (55,130

American Electric Power Co., Inc.

     177          07/15/22        USD     100.00        USD     1,698          (5,310

American International Group, Inc.

     429          07/15/22        USD     54.00        USD     2,193          (19,305

AmerisourceBergen Corp.

     125          07/15/22        USD     150.00        USD     1,769          (5,625

Analog Devices, Inc.

     154          07/15/22        USD     152.50        USD     2,250          (28,105

Anthem, Inc.

     84          07/15/22        USD     480.00        USD     4,054          (105,420

Apollo Global Management, Inc.

     239          07/15/22        USD     57.50        USD     1,159          (7,170

Capital One Financial Corp.

     98          07/15/22        USD     120.00        USD     1,021          (2,450

Charles Schwab Corp.

     540          07/15/22        USD     66.00        USD     3,412          (48,600

Cigna Corp.

     274          07/15/22        USD     260.00        USD     7,220          (245,230

Cigna Corp.

     166          07/15/22        USD     270.00        USD     4,374          (67,230

Citigroup, Inc.

     861          07/15/22        USD     50.00        USD     3,960          (24,108

Constellation Brands, Inc., Class A

     141          07/15/22        USD     255.00        USD     3,286          (5,640

Dentsply Sirona, Inc.

     1,212          07/15/22        USD     40.00        USD     4,330          (293,910

Edison International

     290          07/15/22        USD     65.00        USD     1,834          (13,050

EQT Corp.

     201          07/15/22        USD     40.00        USD     691          (8,040

Fidelity National Financial, Inc.

     1,418          07/15/22        USD     40.00        USD     5,241          (17,725

Fidelity National Information Services, Inc.

     519          07/15/22        USD     110.00        USD     4,758          (20,760

Fidelity National Information Services, Inc.

     170          07/15/22        USD     105.00        USD     1,558          (5,100

First Citizens BancShares, Inc., Class A

     106          07/15/22        USD     690.00        USD     6,930          (55,385

Fox Corp., Class A

     929          07/15/22        USD     36.00        USD     2,988          (9,290

General Motors Co.

     1,287          07/15/22        USD     39.00        USD     4,088          (5,148

Humana, Inc.

     112          07/15/22        USD     445.00        USD     5,242          (306,320

Humana, Inc.

     145          07/15/22        USD     465.00        USD     6,787          (212,425

Huntington Ingalls Industries, Inc.

     247          07/15/22        USD     210.00        USD     5,380          (242,060

Laboratory Corp. of America Holdings

     342          07/15/22        USD     253.00        USD     8,015          (24,186

Lear Corp.

     241          07/15/22        USD     142.00        USD     3,034          (17,292

Leidos Holdings, Inc.

     362          07/15/22        USD     100.00        USD     3,646          (95,025

Microsoft Corp.

     146          07/15/22        USD     280.00        USD     3,750          (8,906

Newell Brands, Inc.

     1,180          07/15/22        USD     22.00        USD     2,247          (11,800

Newell Brands, Inc.

     949          07/15/22        USD     23.00        USD     1,807          (9,490

PPG Industries, Inc.

     175          07/15/22        USD     118.00        USD     2,001          (35,875

PPG Industries, Inc.

     175          07/15/22        USD     120.00        USD     2,001          (22,313

Public Service Enterprise Group, Inc.

     412          07/15/22        USD     60.00        USD     2,607          (144,200

Ralph Lauren Corp., Class A

     131          07/15/22        USD     100.00        USD     1,174          (6,878

Raymond James Financial, Inc.

     315          07/15/22        USD     100.00        USD     2,816          (22,837

Rogers Communications Inc., Class B

     693          07/15/22        CAD     66.00        CAD     4,274          (6,999

Ross Stores, Inc.

     248          07/15/22        USD     95.00        USD     1,742          (1,240

Sealed Air Corp.

     633          07/15/22        USD     65.00        USD     3,654          (12,660

Sealed Air Corp.

     147          07/15/22        USD     61.37        USD     848          (5,626

Sempra Energy

     270          07/15/22        USD     165.00        USD     4,057          (9,450

Sempra Energy

     270          07/15/22        USD     155.00        USD     4,057          (22,950

SS&C Technologies Holdings, Inc.

     370          07/15/22        USD     70.00        USD     2,149          (16,650

Unilever PLC, ADR

     1,051          07/15/22        USD     48.00        USD     4,817          (20,438

Unilever PLC, ADR

     435          07/15/22        USD     47.51        USD     1,994          (12,220

 

 

50  

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


Schedule of Investments (unaudited) (continued)

June 30, 2022

  

BlackRock Enhanced Equity Dividend Trust (BDJ)

    

 

Exchange-Traded Options Written (continued)

 

Description    Number of
Contracts
       Expiration
Date
       Exercise Price        Notional
Amount (000)
       Value  
Call (continued)                                                   

Union Pacific Corp.

     221          07/15/22        USD     225.00        USD     4,713        $ (18,233)  

Verizon Communications, Inc.

     819          07/15/22        USD     52.50        USD     4,156          (13,923)  

Verizon Communications, Inc.

     483          07/15/22        USD     50.50        USD     2,451          (37,674)  

Visa, Inc., Class A

     76          07/15/22        USD     215.00        USD     1,496          (3,306)  

Visa, Inc., Class A

     29          07/15/22        USD     202.50        USD     571          (8,628)  

Willis Towers Watson PLC

     322          07/15/22        USD     220.00        USD     6,356          (83,720)  

Zimmer Biomet Holdings, Inc.

     596          07/15/22        USD     115.00        USD     6,262          (16,390)  

American International Group, Inc.

     1,177          07/22/22        USD     59.00        USD     6,018          (23,540)  

Analog Devices, Inc.

     83          07/22/22        USD     160.00        USD     1,213          (6,848)  

Anthem, Inc.

     111          07/22/22        USD     485.00        USD     5,357          (163,725)  

Apollo Global Management, Inc.

     360          07/22/22        USD     56.00        USD     1,745          (9,900)  

Capital One Financial Corp.

     94          07/22/22        USD     114.00        USD     979          (13,160)  

Charles Schwab Corp.

     377          07/22/22        USD     70.00        USD     2,382          (21,112)  

Cisco Systems, Inc.

     696          07/22/22        USD     47.00        USD     2,968          (4,176)  

Cisco Systems, Inc.

     725          07/22/22        USD     45.00        USD     3,091          (15,950)  

Citigroup, Inc.

     632          07/22/22        USD     51.00        USD     2,907          (18,328)  

Comcast Corp., Class A

     328          07/22/22        USD     44.00        USD     1,287          (1,804)  

ConocoPhillips

     512          07/22/22        USD     127.00        USD     4,598          (19,456)  

Constellation Brands, Inc., Class A

     244          07/22/22        USD     240.00        USD     5,687          (82,960)  

Hess Corp.

     305          07/22/22        USD     136.00        USD     3,231          (9,913)  

Humana, Inc.

     147          07/22/22        USD     475.00        USD     6,881          (159,495)  

JPMorgan Chase & Co.

     385          07/22/22        USD     130.00        USD     4,335          (3,465)  

Medtronic PLC

     742          07/22/22        USD     99.00        USD     6,659          (26,712)  

MetLife, Inc.

     352          07/22/22        USD     65.00        USD     2,210          (36,080)  

Microsoft Corp.

     18          07/22/22        USD     285.00        USD     462          (1,350)  

Mondelez International, Inc., Class A

     382          07/22/22        USD     64.00        USD     2,372          (21,010)  

Verizon Communications, Inc.

     409          07/22/22        USD     51.00        USD     2,076          (32,106)  

Visa, Inc., Class A

     40          07/22/22        USD     225.00        USD     788          (980)  

Visa, Inc., Class A

     68          07/22/22        USD     205.00        USD     1,339          (21,556)  

Wells Fargo & Co.

     1,795          07/22/22        USD     47.00        USD     7,031          (8,975)  

EQT Corp.

     201          07/26/22        USD     39.50        USD     691          (29,748)  

American Electric Power Co., Inc.

     282          07/28/22        USD     93.00        USD     2,706          (117,557)  

Huntington Ingalls Industries, Inc.

     119          07/28/22        USD     211.00        USD     2,592          (133,075)  

Leidos Holdings, Inc.

     362          07/28/22        USD     100.00        USD     3,646          (135,805)  

American International Group, Inc.

     1,211          07/29/22        USD     55.00        USD     6,192          (87,797)  

AmerisourceBergen Corp.

     62          07/29/22        USD     150.00        USD     877          (8,215)  

AmerisourceBergen Corp.

     61          07/29/22        USD     155.00        USD     863          (3,813)  

Apollo Global Management, Inc.

     309          07/29/22        USD     55.00        USD     1,498          (18,540)  

Bank of America Corp.

     1,591          07/29/22        USD     35.00        USD     4,953          (34,206)  

Cisco Systems, Inc.

     1,537          07/29/22        USD     45.00        USD     6,554          (52,258)  

Citigroup, Inc.

     1,260          07/29/22        USD     48.00        USD     5,795          (145,530)  

Cognizant Technology Solutions Corp., Class A

     1,159          07/29/22        USD     69.08        USD     7,822          (194,720)  

Comcast Corp., Class A

     913          07/29/22        USD     43.00        USD     3,583          (38,346)  

ConocoPhillips

     276          07/29/22        USD     127.00        USD     2,479          (9,108)  

ConocoPhillips

     153          07/29/22        USD     95.00        USD     1,374          (40,545)  

Dollar General Corp.

     209          07/29/22        USD     250.00        USD     5,130          (122,265)  

Fox Corp., Class A

     887          07/29/22        USD     34.00        USD     2,853          (39,915)  

General Electric

     137          07/29/22        USD     69.00        USD     872          (16,920)  

General Motors Co.

     57          07/29/22        USD     37.00        USD     181          (1,995)  

JPMorgan Chase & Co.

     88          07/29/22        USD     125.00        USD     991          (4,092)  

Medtronic PLC

     218          07/29/22        USD     95.00        USD     1,957          (12,426)  

Medtronic PLC

     1,114          07/29/22        USD     90.00        USD     9,998            (239,510)  

MetLife, Inc.

     155          07/29/22        USD     63.00        USD     973          (34,100)  

Microsoft Corp.

     137          07/29/22        USD     265.00        USD     3,519          (104,120)  

Mondelez International, Inc., Class A

     272          07/29/22        USD     63.00        USD     1,689          (36,720)  

Ross Stores, Inc.

     323          07/29/22        USD     86.00        USD     2,268          (33,915)  

Union Pacific Corp.

     117          07/29/22        USD     220.00        USD     2,495          (52,065)  

Verizon Communications, Inc.

     406          07/29/22        USD     51.00        USD     2,060          (37,149)  

Visa, Inc., Class A

     132          07/29/22        USD     210.00        USD     2,599          (42,768)  

Wells Fargo & Co.

     145          07/29/22        USD     43.00        USD     568          (6,960)  

Wells Fargo & Co.

     1,812          07/29/22        USD     40.00        USD     7,098          (260,022)  

Altria Group, Inc.

     1,409          08/05/22        USD     46.00        USD     5,885          (46,497)  

 

 

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

  51


Schedule of Investments (unaudited) (continued)

June 30, 2022

  

BlackRock Enhanced Equity Dividend Trust (BDJ)

    

 

Exchange-Traded Options Written (continued)

 

           
Description    Number of
Contracts
       Expiration
Date
       Exercise Price        Notional
Amount (000)
       Value  
Call (continued)                                                   

Apollo Global Management, Inc.

     546          08/05/22        USD     51.00        USD     2,647        $ (99,645

Bank of America Corp.

     865          08/05/22        USD     34.00        USD     2,693          (38,925

Capital One Financial Corp.

     310          08/05/22        USD     115.00        USD     3,230          (63,550

Cisco Systems, Inc.

     2,338          08/05/22        USD     46.00        USD     9,969          (59,619

Citigroup, Inc.

     523          08/05/22        USD     51.00        USD     2,405          (25,365

Comcast Corp., Class A

     966          08/05/22        USD     41.00        USD     3,791          (74,865

Conocophillips

     71          08/05/22        USD     102.00        USD     638          (9,656

Dollar General Corp.

     201          08/05/22        USD     260.00        USD     4,933          (66,330

Enterprise Products Partners LP

     2,511          08/05/22        USD     25.00        USD     6,119          (121,783

General Electric

     414          08/05/22        USD     69.00        USD     2,636          (61,272

General Motors Co.

     1,983          08/05/22        USD     37.00        USD     6,298          (88,243

Hess Corp.

     204          08/05/22        USD     114.00        USD     2,161          (81,600

JPMorgan Chase & Co.

     254          08/05/22        USD     121.00        USD     2,860          (33,909

Medtronic PLC

     336          08/05/22        USD     92.00        USD     3,016          (85,680

Microsoft Corp.

     35          08/05/22        USD     270.00        USD     899          (22,925

Ross Stores, Inc.

     511          08/05/22        USD     83.00        USD     3,589          (21,718

SS&C Technologies Holdings, Inc.

     738          08/05/22        USD     65.25        USD     4,286          (23,469

Union Pacific Corp.

     118          08/05/22        USD     220.00        USD     2,517          (57,820

Verizon Communications, Inc.

     964          08/05/22        USD     52.00        USD     4,892          (64,106

Visa, Inc., Class A

     68          08/05/22        USD     210.00        USD     1,339          (25,670

Visa, Inc., Class A

     35          08/05/22        USD     205.00        USD     689          (19,075

Walmart, Inc.

     375          08/05/22        USD     127.00        USD     4,559          (58,500

Wells Fargo & Co.

     1,398          08/05/22        USD     43.00        USD     5,476          (79,686

Bank of America Corp.

     1,252          08/12/22        USD     34.10        USD     3,897          (66,127

Citigroup, Inc.

     1,286          08/12/22        USD     48.72        USD     5,914          (150,070

Comcast Corp., Class A

     788          08/12/22        USD     40.22        USD     3,092          (95,414

Enterprise Products Partners LP

     4,071          08/12/22        USD     25.30        USD     9,921              (176,087

Hess Corp.

     310          08/12/22        USD     121.00        USD     3,284          (95,325

JPMorgan Chase & Co.

     248          08/12/22        USD     119.97        USD     2,793          (46,440

Microsoft Corp.

     87          08/12/22        USD     265.00        USD     2,234          (76,995

Verizon Communications, Inc.

     422          08/12/22        USD     52.00        USD     2,142          (30,806

Allstate Corp.

     149          08/19/22        USD     123.82        USD     1,888          (100,756

Altria Group, Inc.

     700          08/19/22        USD     46.00        USD     2,924          (34,546

American Electric Power Co., Inc.

     360          08/19/22        USD     106.25        USD     3,454          (11,077

Bank of America Corp.

     1,040          08/19/22        USD     35.00        USD     3,238          (43,680

Charles Schwab Corp.

     378          08/19/22        USD     67.50        USD     2,388          (77,490

Citigroup, Inc.

     788          08/19/22        USD     50.00        USD     3,624          (71,708

Cognizant Technology Solutions Corp., Class A

     339          08/19/22        USD     70.00        USD     2,288          (74,580

Cognizant Technology Solutions Corp., Class A

     755          08/19/22        USD     73.00        USD     5,095          (90,499

Comcast Corp., Class A

     1,010          08/19/22        USD     42.50        USD     3,963          (59,590

ConocoPhillips

     276          08/19/22        USD     105.00        USD     2,479          (43,574

Dentsply Sirona, Inc.

     980          08/19/22        USD     36.50        USD     3,502          (184,094

Edison International

     291          08/19/22        USD     62.50        USD     1,840          (76,387

Enterprise Products Partners LP

     2,463          08/19/22        USD     25.00        USD     6,002          (142,854

EQT Corp.

     603          08/19/22        USD     46.00        USD     2,074          (39,195

Equitable Holdings, Inc.

     866          08/19/22        USD     27.50        USD     2,258          (70,137

Fidelity National Financial, Inc.

     1,418          08/19/22        USD     39.42        USD     5,241          (108,707

Fidelity National Information Services, Inc.

     582          08/19/22        USD     100.00        USD     5,335          (117,855

Fidelity National Information Services, Inc.

     170          08/19/22        USD     105.00        USD     1,558          (17,850

First Citizens BancShares, Inc., Class A

     129          08/19/22        USD     660.00        USD     8,434          (438,600

General Motors Co.

     941          08/19/22        USD     37.00        USD     2,989          (65,399

JPMorgan Chase & Co.

     356          08/19/22        USD     123.50        USD     4,009          (47,707

Laboratory Corp. of America Holdings

     199          08/19/22        USD     230.00        USD     4,664          (272,630

Laboratory Corp. of America Holdings

     258          08/19/22        USD     240.00        USD     6,046          (239,940

Leidos Holdings, Inc.

     474          08/19/22        USD     105.00        USD     4,774          (149,310

Microsoft Corp.

     49          08/19/22        USD     270.00        USD     1,258          (35,157

Mondelez International, Inc., Class A

     120          08/19/22        USD     65.00        USD     745          (11,700

Newell Brands, Inc.

     1,132          08/19/22        USD     19.66        USD     2,155          (107,946

PPG Industries, Inc.

     143          08/19/22        USD     135.00        USD     1,635          (11,798

Public Service Enterprise Group, Inc.

     412          08/19/22        USD     60.00        USD     2,607          (181,280

Ralph Lauren Corp., Class A

     129          08/19/22        USD     100.00        USD     1,156          (36,120

Raymond James Financial, Inc.

     486          08/19/22        USD     95.00        USD     4,345          (121,500

 

 

52  

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Schedule of Investments (unaudited) (continued)

June 30, 2022

  

BlackRock Enhanced Equity Dividend Trust (BDJ)

    

 

Exchange-Traded Options Written (continued)

 

           
Description    Number of
Contracts
       Expiration
Date
       Exercise Price       

Notional

Amount (000)

       Value  
Call (continued)                                                   

Rogers Communications Inc., Class B

     700          08/19/22        CAD     62.00        CAD     4,318        $ (106,588

Ross Stores, Inc.

     469          08/19/22        USD     85.00        USD     3,294          (32,830

Sealed Air Corp.

     500          08/19/22        USD     61.37        USD     2,886          (71,287

Sempra Energy

     117          08/19/22        USD     155.00        USD     1,758          (38,025

SS&C Technologies Holdings, Inc.

     358          08/19/22        USD     60.50        USD     2,079          (65,310

Unilever PLC, ADR

     2,490          08/19/22        USD     45.00        USD     11,412          (504,225

Verizon Communications, Inc.

     259          08/19/22        USD     52.50        USD     1,314          (17,742

Willis Towers Watson PLC

     274          08/19/22        USD     200.00        USD     5,408          (213,720

Zimmer Biomet Holdings, Inc.

     560          08/19/22        USD     110.00        USD     5,883          (184,800

Equitable Holdings, Inc.

     80          09/16/22        USD     30.00        USD     209          (3,400

Newell Brands, Inc.

     948          09/16/22        USD     21.00        USD     1,805          (63,990

Public Service Enterprise Group, Inc.

     412          09/16/22        USD     60.00        USD     2,607          (193,640
                          

 

 

 
                           $  (12,939,759
                          

 

 

 

OTC Options Written

 

             
Description    Counterparty    Number of
Contracts
     Expiration
Date
     Exercise Price     

Notional

Amount (000)

     Value  

Call

                     

Alcon, Inc.

   UBS AG      33,400        07/06/22        CHF       73.37        CHF       2,236      $ (380

AstraZeneca PLC

   Morgan Stanley & Co. International PLC      107,700        07/06/22        GBP       106.27        GBP       11,672        (371,060

Samsung Electronics Co. Ltd., Registered Shares, GDR

   Goldman Sachs International      4,500        07/06/22        USD       1,345.39        USD       4,899         

BAE Systems PLC

   Morgan Stanley & Co. International PLC      32,700        07/12/22        GBP       7.87        GBP       272        (18,512

Komatsu Ltd.

   Goldman Sachs International      271,200        07/12/22        JPY       3,260.07        JPY       819,352        (11,440

Panasonic Corp.

   Bank of America N.A.      233,000        07/12/22        JPY       1,182.59        JPY       255,253        (6,790

BP PLC

   UBS AG      1,527,100        07/13/22        GBP       4.39        GBP       5,890        (7,308

Bayer AG, Registered Shares

   Goldman Sachs International      75,000        07/19/22        EUR       68.74        EUR       4,274        (3,794

Koninklijke Philips Electronics NV

   Goldman Sachs International      59,100        07/19/22        EUR       24.26        EUR       1,210        (2,554

Prudential PLC

   Barclays Bank PLC      235,700        07/19/22        GBP       10.70        GBP       2,409        (57,222

BP PLC

   Morgan Stanley & Co. International PLC      1,534,600        07/21/22        GBP       4.69        GBP       5,919        (3,947

Alcon, Inc.

   UBS AG      34,500        07/26/22        CHF       75.24        CHF       2,309        (9,449

BAE Systems PLC

   Morgan Stanley & Co. International PLC      378,200        07/26/22        GBP       8.16        GBP       3,145            (133,502

European Aeronautic Defence and Space Company

   Barclays Bank PLC      4,500        07/26/22        EUR       98.77        EUR       420        (8,469

European Aeronautic Defence and Space Company

   UBS AG      25,950        07/26/22        EUR       112.65        EUR       2,422        (4,357

Komatsu Ltd.

   JPMorgan Chase Bank N.A.      36,500        07/26/22        JPY       3,650.40        JPY       110,274        (150

Panasonic Corp.

   Morgan Stanley & Co. International PLC      159,800        07/26/22        JPY       1,249.56        JPY       175,062        (4,039

AstraZeneca PLC

   Goldman Sachs International      51,800        07/27/22        GBP       103.63        GBP       5,614        (392,358

AstraZeneca PLC

   Goldman Sachs International      800        07/27/22        GBP       99.22        GBP       87        (9,640

Bayer AG, Registered Shares

   Credit Suisse International      58,600        07/27/22        EUR       67.53        EUR       3,339        (8,283

EQT Corp.

   Barclays Bank PLC      149,500        07/27/22        USD       43.95        USD       5,143        (36,572

Willis Towers Watson PLC

   Goldman Sachs International      24,900        07/27/22        USD       211.25        USD       4,915        (46,536

BP PLC

   Goldman Sachs International      384,400        07/28/22        GBP       4.52        GBP       1,483        (5,644

Lear Corp.

   Citibank N.A.      28,200        07/28/22        USD       130.57        USD       3,550        (122,685

BAE Systems PLC

   Goldman Sachs International      986,500        08/02/22        GBP       7.93        GBP       8,205        (560,581

Komatsu Ltd.

   Goldman Sachs International      193,000        08/02/22        JPY       3,462.86        JPY       583,093        (6,424

Koninklijke Philips Electronics NV

   Goldman Sachs International      237,600        08/02/22        EUR       24.59        EUR       4,863        (26,435

Panasonic Corp.

   UBS AG      237,800        08/02/22        JPY       1,197.20        JPY       260,511        (11,067

AstraZeneca PLC

   Credit Suisse International      800        08/03/22        GBP       99.13        GBP       87        (10,246

Bayer AG, Registered Shares

   Goldman Sachs International      76,200        08/03/22        EUR       65.28        EUR       4,342        (26,639

Newell Brands, Inc.

   Goldman Sachs International      42,200        08/05/22        USD       21.70        USD       803        (7,872

European Aeronautic Defence and Space Company

   Barclays Bank PLC      4,500        08/09/22        EUR       98.77        EUR       420        (12,851

European Aeronautic Defence and Space Company

   JPMorgan Chase Bank N.A.      21,300        08/09/22        EUR       101.38        EUR       1,988        (41,970

European Aeronautic Defence and Space Company

   JPMorgan Chase Bank N.A.      9,400        08/09/22        EUR       97.55        EUR       877        (30,413

Koninklijke Philips Electronics NV

   Barclays Bank PLC      140,100        08/09/22        EUR       20.70        EUR       2,867        (162,069

Koninklijke Philips Electronics NV

   JPMorgan Chase Bank N.A.      44,700        08/09/22        EUR       20.63        EUR       915        (54,270

 

 

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

  53


Schedule of Investments (unaudited) (continued)

June 30, 2022

  

BlackRock Enhanced Equity Dividend Trust (BDJ)

    

 

OTC Options Written (continued)

 

             
Description    Counterparty    Number of
Contracts
     Expiration
Date
     Exercise Price     

Notional

Amount (000)

     Value  

Call (continued)

                     

Panasonic Corp.

   Goldman Sachs International      348,600        08/09/22        JPY       1,140.69        JPY       381,893      $ (73,241

Prudential PLC

   JPMorgan Chase Bank N.A.      123,000        08/09/22        GBP       9.70        GBP       1,257        (129,688

Sanofi

   Credit Suisse International      65,200        08/09/22        EUR       98.75        EUR       6,274        (140,342

Sanofi

   Goldman Sachs International      79,100        08/09/22        EUR       98.21        EUR       7,612        (187,068

Siemens AG, Registered Shares

   JPMorgan Chase Bank N.A.      82,100        08/09/22        EUR       105.27        EUR       8,053        (162,544
                     

 

 

 
                      $   (2,908,411
                     

 

 

 

Balances Reported in the Statements of Assets and Liabilities for Options Written

 

           
Description    Swap
Premiums
Paid
     Swap
Premiums
Received
     Unrealized
Appreciation
     Unrealized
Depreciation
     Value  

Options Written

   $ N/A      $ N/A      $ 9,940,021      $ (4,035,029      $ (15,848,170

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

 

               
      Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
    

Foreign

Currency
Exchange
Contracts

     Interest
Rate
Contracts
     Other
Contracts
     Total  

Liabilities — Derivative Financial Instruments

                    

Options written

                    

Options written at value

   $      $      $  15,848,170      $      $      $      $  15,848,170  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

For the period ended June 30, 2022, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

               
      Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
     Other
Contracts
     Total  

Net Realized Gain (Loss) from:

                    

Options written

   $      $      $  5,531,647      $      $      $      $ 5,531,647  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net Change in Unrealized Appreciation (Depreciation) on:

                    

Options written

   $      $      $  7,748,497      $      $      $      $  7,748,497  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Options:

        

Average value of option contracts written

   $ 22,334,354  

For more information about the Trust’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

Derivative Financial Instruments — Offsetting as of Period End

The Trust’s derivative assets and liabilities (by type) were as follows:

 

      Assets      Liabilities  

Derivative Financial Instruments

     

Options

   $      $ 15,848,170  
  

 

 

    

 

 

 

Total derivative assets and liabilities in the Statements of Assets and Liabilities

            15,848,170  
  

 

 

    

 

 

 

Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)

            (12,939,759
  

 

 

    

 

 

 

Total derivative assets and liabilities subject to an MNA

   $      $ 2,908,411  
  

 

 

    

 

 

 

 

 

54  

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


Schedule of Investments (unaudited) (continued)

June 30, 2022

  

BlackRock Enhanced Equity Dividend Trust (BDJ)

    

 

The following table presents the Trust’s derivative liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral pledged by the Trust:

 

                                                                                                        

Counterparty

    



Derivative
Liabilities
Subject to
an MNA by
Counterparty
 
 
 
 
 
    

Derivatives
Available
for Offset
 
 
 
    

Non-Cash
Collateral
Pledged
 
 
(a) 
    

Cash
Collateral
Pledged
 
 
 
    

Net Amount
of Derivative
Liabilities
 
 
 

Bank of America N.A.

   $ 6,790      $      $ (6,790    $      $  

Barclays Bank PLC

     277,183               (277,183              

Citibank N.A.

     122,685               (122,685              

Credit Suisse International

     158,871               (158,871              

Goldman Sachs International

     1,360,226               (1,360,226              

JPMorgan Chase Bank N.A.

     419,035               (419,035              

Morgan Stanley & Co. International PLC

     531,060               (531,060              

UBS AG

     32,561               (32,561              
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $ 2,908,411      $      $     (2,908,411    $      $  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

Excess of collateral received/pledged, if any, from the individual counterparty is not shown for financial reporting purposes.

 

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of financial instruments. For a description of the input levels and information about the Trust’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.

The following table summarizes the Trust’s financial instruments categorized in the fair value hierarchy. The breakdown of the Trust’s financial instruments into major categories is disclosed in the Schedule of Investments above.

 

      Level 1      Level 2      Level 3      Total  

Assets

           

Investments

           

Long-Term Investments

           

Common Stocks

           

Aerospace & Defense

   $ 14,528,594      $ 37,263,803      $                 —      $ 51,792,397  

Auto Components

     10,227,429                      10,227,429  

Automobiles

     33,889,889                      33,889,889  

Banks

     178,455,893                      178,455,893  

Beverages

     23,482,893                      23,482,893  

Capital Markets

     27,903,996                      27,903,996  

Chemicals

     17,908,388                      17,908,388  

Communications Equipment

     41,065,049                      41,065,049  

Consumer Finance

     9,521,820                      9,521,820  

Containers & Packaging

     18,444,137                      18,444,137  

Diversified Financial Services

     18,992,213                      18,992,213  

Diversified Telecommunication Services

     34,713,660                      34,713,660  

Electric Utilities

     19,208,557                      19,208,557  

Entertainment

     9,551,398                      9,551,398  

Food & Staples Retailing

     8,300,267                      8,300,267  

Food Products

     8,723,583                      8,723,583  

Health Care Equipment & Supplies

     75,648,798        29,562,970                 105,211,768  

Health Care Providers & Services

       167,563,724                      167,563,724  

Household Durables

     16,035,126        15,898,879               31,934,005  

Industrial Conglomerates

     6,386,356        16,993,494               23,379,850  

Insurance

     96,695,517        11,763,694               108,459,211  

IT Services

     107,143,681                      107,143,681  

Machinery

            16,704,823               16,704,823  

Media

     46,345,468                      46,345,468  

Multiline Retail

     23,639,799                      23,639,799  

Multi-Utilities

     34,370,174                      34,370,174  

Oil, Gas & Consumable Fuels

     98,403,845        42,009,789               140,413,634  

Personal Products

     33,137,198                      33,137,198  

Pharmaceuticals

              106,315,633               106,315,633  

Professional Services

     22,930,156                      22,930,156  

Road & Rail

     17,706,719                      17,706,719  

Semiconductors & Semiconductor Equipment

     8,432,753                      8,432,753  

 

 

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

  55


Schedule of Investments (unaudited) (continued)

June 30, 2022

  

BlackRock Enhanced Equity Dividend Trust (BDJ)

    

 

Fair Value Hierarchy as of Period End (continued)

 

      Level 1      Level 2      Level 3      Total  

Common Stocks (continued)

           

Software

   $ 43,683,427      $      $      $ 43,683,427  

Specialty Retail

     21,263,888                      21,263,888  

Technology Hardware, Storage & Peripherals

            13,200,300               13,200,300  

Textiles, Apparel & Luxury Goods

     4,248,782                      4,248,782  

Tobacco

     16,021,719        318,138               16,339,857  

Wireless Telecommunication Services

     16,611,145                      16,611,145  

Short-Term Securities

           

Money Market Funds

     82,052,911                      82,052,911  
  

 

 

    

 

 

    

 

 

    

 

 

 
   $  1,413,238,952      $     290,031,523      $                 —      $  1,703,270,475  
  

 

 

    

 

 

    

 

 

    

 

 

 

Derivative Financial Instruments(a)

           

Equity Contracts

   $      $      $      $  

Liabilities

           

Equity Contracts

     (10,799,419      (5,048,751             (15,848,170
  

 

 

    

 

 

    

 

 

    

 

 

 
   $ (10,799,419    $ (5,048,751    $      $ (15,848,170
  

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

Derivative financial instruments are options written. Options written are shown at value.

 

See notes to financial statements.

 

 

56  

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


Schedule of Investments (unaudited)

June 30, 2022

  

BlackRock Enhanced Global Dividend Trust (BOE)

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  

Common Stocks

 

Canada — 2.5%  

TELUS Corp.

    792,734     $ 17,656,684  
   

 

 

 
Denmark — 3.2%            

Novo Nordisk A/S, Class B

    202,994       22,512,503  
   

 

 

 
France — 10.6%            

EssilorLuxottica SA

    97,410       14,768,581  

Kering SA

    23,649       12,255,546  

LVMH Moet Hennessy Louis Vuitton SE

    14,424       8,840,146  

Sanofi

    257,118       25,929,328  

Schneider Electric SE

    113,557       13,530,938  
   

 

 

 
      75,324,539  
India — 0.1%            

Jasper Infotech Private Ltd., Series I, (Acquired 08/31/18, Cost: $2,637,143)(a)(b)

    566,400       718,671  
   

 

 

 
Indonesia — 1.1%            

Bank Rakyat Indonesia Persero Tbk PT

    28,868,800       8,062,061  
   

 

 

 
Ireland — 2.4%            

Medtronic PLC(c)

    190,383       17,086,874  
   

 

 

 
Japan — 1.6%            

KDDI Corp.

    352,200       11,106,402  
   

 

 

 
Mexico — 1.2%            

Wal-Mart de Mexico SAB de CV

    2,393,573       8,252,140  
   

 

 

 
Netherlands — 1.8%            

Koninklijke KPN NV

    3,506,894       12,477,980  
   

 

 

 
Portugal — 2.6%            

EDP - Energias de Portugal SA

    3,958,327       18,447,115  
   

 

 

 
Singapore — 1.1%            

DBS Group Holdings Ltd.

    358,668       7,674,560  
   

 

 

 
Sweden — 1.7%            

Epiroc AB, Class A

    779,483       12,085,933  
   

 

 

 
Switzerland — 3.7%            

TE Connectivity Ltd.(c)

    98,615       11,158,287  

Zurich Insurance Group AG

    33,939       14,799,892  
   

 

 

 
      25,958,179  
Taiwan — 3.9%            

MediaTek, Inc.

    426,000       9,351,203  

Taiwan Semiconductor Manufacturing Co. Ltd.

    1,157,000       18,542,481  
   

 

 

 
      27,893,684  
United Kingdom — 18.9%            

AstraZeneca PLC

    175,406       23,139,863  

BAE Systems PLC

    803,638       8,136,026  

Diageo PLC

    401,623       17,347,182  

Ferguson PLC

    125,838       14,096,686  

Prudential PLC

    1,402,887       17,450,836  

Reckitt Benckiser Group PLC

    290,368       21,839,238  

RELX PLC

    828,206       22,397,128  

Taylor Wimpey PLC

    7,095,555       10,107,191  
   

 

 

 
      134,514,150  
Security   Shares     Value  
United States — 44.4%            

AbbVie, Inc.(c)(d)

    125,721     $ 19,255,429  

Assurant, Inc.(c)

    89,581       15,484,076  

Baker Hughes Co., Class A(c)

    223,619       6,455,881  

Chevron Corp.

    48,789       7,063,671  

Citizens Financial Group, Inc.(c)

    399,761       14,267,470  

Comcast Corp., Class A(c)

    425,427       16,693,755  

Estee Lauder Cos., Inc., Class A(c)(d)

    67,639       17,225,624  

Fidelity National Information Services, Inc.(c)(d)

    198,913       18,234,355  

Hasbro, Inc.(c)

    212,496       17,399,172  

Intercontinental Exchange, Inc.(c)(d)

    185,314       17,426,929  

International Flavors & Fragrances, Inc.(c)

    58,211       6,934,094  

Intuit, Inc.(c)

    30,027       11,573,607  

M&T Bank Corp.(c)

    107,735       17,171,882  

Microsoft Corp.(c)(d)

    102,626       26,357,436  

Otis Worldwide Corp.(c)

    209,445       14,801,478  

Paychex, Inc.(c)

    68,032       7,746,804  

Philip Morris International, Inc.(c)

    149,803       14,791,548  

Synchrony Financial(c)

    431,346       11,913,777  

Texas Instruments, Inc.(c)

    65,523       10,067,609  

UnitedHealth Group, Inc.(c)

    39,152       20,109,642  

Visa, Inc., Class A(c)

    85,368       16,808,105  

Williams Cos., Inc.(c)

    245,901       7,674,570  
   

 

 

 
      315,456,914  
   

 

 

 

Total Long-Term Investments — 100.8%
(Cost: $697,252,623)

 

    715,228,389  
   

 

 

 

Short-Term Securities

   
Money Market Funds — 0.3%            

BlackRock Liquidity Funds, T-Fund, Institutional Class, 1.33%(e)(f)

    2,371,617       2,371,617  
   

 

 

 

Total Short-Term Securities — 0.3%
(Cost: $2,371,617)

 

    2,371,617  
   

 

 

 

Total Investments Before Options Written — 101.1% (Cost: $699,624,240)

 

    717,600,006  
   

 

 

 

Options Written — (0.9)%
(Premiums Received: $(7,763,333))

 

    (6,470,808
   

 

 

 

Total Investments, Net of Options Written —100.2%
(Cost: $691,860,907)

 

    711,129,198  

Liabilities in Excess of Other Assets — (0.2)%

 

    (1,290,172
   

 

 

 

Net Assets — 100.0%

 

  $  709,839,026  
   

 

 

 

 

(a) 

Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

(b) 

Restricted security as to resale, excluding 144A securities. The Trust held restricted securities with a current value of $718,671, representing 0.1% of its net assets as of period end, and an original cost of $2,637,143.

(c) 

All or a portion of the security has been pledged and/or segregated as collateral in connection with outstanding exchange-traded options written.

(d) 

All or a portion of the security has been pledged as collateral in connection with outstanding OTC derivatives.

(e) 

Affiliate of the Trust.

(f) 

Annualized 7-day yield as of period end.

 

 

 

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

  57


Schedule of Investments (unaudited) (continued)

June 30, 2022

  

BlackRock Enhanced Global Dividend Trust (BOE)

    

 

Affiliates

Investments in issuers considered to be affiliate(s) of the Trust during the six months ended June 30, 2022 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliated Issuer   Value at
12/31/21
    Purchases
at Cost
    Proceeds
from Sales
    Net
Realized
Gain (Loss)
    Change in
Unrealized
Appreciation
(Depreciation)
    Value at
06/30/22
    Shares
Held at
06/30/22
    Income     Capital Gain
Distributions
from
Underlying
Funds
 

BlackRock Liquidity Funds, T-Fund, Institutional Class

  $  11,262,594     $             —     $  (8,890,977 )(a)    $             —     $             —     $  2,371,617       2,371,617     $  10,303     $             —  
       

 

 

   

 

 

   

 

 

     

 

 

   

 

 

 

 

  (a) 

Represents net amount purchased (sold).

 

Derivative Financial Instruments Outstanding as of Period End

Exchange-Traded Options Written

 

           
Description    Number of
Contracts
     Expiration
Date
     Exercise Price     

Notional

Amount (000)

     Value  

Call

                    

UnitedHealth Group, Inc.

     45        07/01/22        USD        505.00        USD        2,311      $ (44,437

AbbVie, Inc.

     268        07/08/22        USD        150.00        USD        4,105          (123,280

Intuit, Inc.

     14        07/08/22        USD        405.00        USD        540        (3,675

AbbVie, Inc.

     126        07/15/22        USD        145.00        USD        1,930        (114,660

Assurant, Inc.

     145        07/15/22        USD        190.00        USD        2,506        (69,600

Baker Hughes Co., Class A

     506        07/15/22        USD        38.00        USD        1,461        (5,060

Citizens Financial Group, Inc.

     663        07/15/22        USD        42.50        USD        2,366        (9,945

Estee Lauder Cos., Inc., Class A

     168        07/15/22        USD        260.00        USD        4,278        (91,560

Fidelity National Information Services, Inc.

     68        07/15/22        USD        110.00        USD        623        (2,721

Fidelity National Information Services, Inc.

     307        07/15/22        USD        105.00        USD        2,814        (9,210

Hasbro, Inc.

     312        07/15/22        USD        92.50        USD        2,555        (7,800

Hasbro, Inc.

     165        07/15/22        USD        85.00        USD        1,351        (14,025

Intercontinental Exchange, Inc.

     196        07/15/22        USD        105.00        USD        1,843        (1,470

International Flavors & Fragrances, Inc.

     130        07/15/22        USD        120.00        USD        1,549        (34,125

Intuit, Inc.

     61        07/15/22        USD        420.00        USD        2,351        (14,640

M&T Bank Corp.

     86        07/15/22        USD        180.00        USD        1,371        (2,150

M&T Bank Corp.

     117        07/15/22        USD        175.00        USD        1,865        (4,973

Microsoft Corp.

     223        07/15/22        USD        280.00        USD        5,727        (13,603

Otis Worldwide Corp.

     711        07/15/22        USD        73.05        USD        5,025        (59,802

Paychex, Inc.

     374        07/15/22        USD        120.00        USD        4,259        (24,310

Philip Morris International, Inc.

     359        07/15/22        USD        104.00        USD        3,545        (11,668

Synchrony Financial

     652        07/15/22        USD        38.00        USD        1,801        (3,260

TE Connectivity Ltd.

     241        07/15/22        USD        130.00        USD        2,727        (77,120

UnitedHealth Group, Inc.

     32        07/15/22        USD        480.00        USD        1,644        (120,080

Visa, Inc., Class A

     2        07/15/22        USD        215.00        USD        39        (87

Visa, Inc., Class A

     153        07/15/22        USD        202.50        USD        3,012        (45,517

Williams Cos., Inc.

     234        07/15/22        USD        32.00        USD        730        (12,285

AbbVie, Inc.

     268        07/22/22        USD        150.00        USD        4,105        (148,740

Comcast Corp., Class A

     171        07/22/22        USD        44.00        USD        671        (941

Intuit, Inc.

     60        07/22/22        USD        390.00        USD        2,313        (84,300

Microsoft Corp.

     114        07/22/22        USD        285.00        USD        2,928        (8,550

UnitedHealth Group, Inc.

     99        07/22/22        USD        505.00        USD        5,085        (220,770

Visa, Inc., Class A

     33        07/22/22        USD        225.00        USD        650        (809

Visa, Inc., Class A

     41        07/22/22        USD        205.00        USD        807        (12,997

Comcast Corp., Class A

     377        07/29/22        USD        43.00        USD        1,479        (15,834

Medtronic PLC

     52        07/29/22        USD        90.00        USD        467        (11,180

Microsoft Corp.

     18        07/29/22        USD        265.00        USD        462        (13,680

Synchrony Financial

     717        07/29/22        USD        33.00        USD        1,980        (21,510

Texas Instruments, Inc.

     147        07/29/22        USD        165.00        USD        2,259        (26,386

Visa, Inc., Class A

     82        07/29/22        USD        210.00        USD        1,614        (26,568

Comcast Corp., Class A

     444        08/05/22        USD        41.00        USD        1,742        (34,410

Medtronic PLC

     614        08/05/22        USD        92.00        USD        5,511        (156,570

Microsoft Corp.

     19        08/05/22        USD        265.00        USD        488        (15,058

Philip Morris International, Inc.

     315        08/05/22        USD        101.00        USD        3,110        (77,962

Synchrony Financial

     572        08/05/22        USD        32.00        USD        1,580        (28,600

 

 

58  

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


Schedule of Investments (unaudited) (continued)

June 30, 2022

  

BlackRock Enhanced Global Dividend Trust (BOE)

    

 

Exchange-Traded Options Written (continued)

 

           
Description    Number of
Contracts
     Expiration
Date
     Exercise Price     

Notional

Amount (000)

     Value  

Call (continued)

                    

Texas Instruments, Inc.

     147        08/05/22        USD        160.00        USD        2,259      $ (56,227

Visa, Inc., Class A

     41        08/05/22        USD        210.00        USD        807        (15,478

Visa, Inc., Class A

     32        08/05/22        USD        205.00        USD        630        (17,440

Williams Cos., Inc.

     117        08/05/22        USD        33.00        USD        365        (8,190

Baker Hughes Co., Class A

     500        08/12/22        USD        35.25        USD        1,444        (13,812

Comcast Corp., Class A

     432        08/12/22        USD        40.22        USD        1,695        (52,308

Intercontinental Exchange, Inc.

     637        08/12/22        USD        101.00        USD        5,990        (87,761

Williams Cos., Inc.

     117        08/12/22        USD        33.09        USD        365        (9,010

AbbVie, Inc.

     29        08/19/22        USD        160.00        USD        444        (8,744

Assurant, Inc.

     258        08/19/22        USD        184.50        USD        4,460        (52,853

Citizens Financial Group, Inc.

     736        08/19/22        USD        37.50        USD        2,627        (86,480

Comcast Corp., Class A

     489        08/19/22        USD        42.50        USD        1,919        (28,851

Fidelity National Information Services, Inc.

     14        08/19/22        USD        100.00        USD        128        (2,835

Fidelity National Information Services, Inc.

     307        08/19/22        USD        105.00        USD        2,814        (32,235

Hasbro, Inc.

     480        08/19/22        USD        87.50        USD        3,930        (96,000

International Flavors & Fragrances, Inc.

     130        08/19/22        USD        120.00        USD        1,549        (70,850

M&T Bank Corp.

     174        08/19/22        USD        170.00        USD        2,773        (71,340

Microsoft Corp.

     87        08/19/22        USD        270.00        USD        2,234        (62,422

Otis Worldwide Corp.

     231        08/19/22        USD        72.18        USD        1,632        (58,788

TELUS Corp.

     1,387        08/19/22        CAD        29.00        CAD        3,977        (71,117

Williams Cos., Inc.

     440        08/19/22        USD        38.00        USD        1,373        (4,400

Williams Cos., Inc.

     198        08/19/22        USD        32.00        USD        618        (25,245
                    

 

 

 
                     $  (2,758,314
                    

 

 

 

OTC Options Written

 

Description    Counterparty    Number of
Contracts
    Expiration
Date
     Exercise Price     

Notional
Amount (000)

     Value  

Call

                                                                

AstraZeneca PLC

   Morgan Stanley & Co. International PLC      7,600       07/06/22        GBP       106.27        GBP       821      $ (26,184

BAE Systems PLC

   Morgan Stanley & Co. International PLC      163,500       07/06/22        GBP       7.78        GBP       1,357        (106,933

Relx PLC

   Credit Suisse International      56,000       07/06/22        EUR       27.92        EUR       1,446        (292

Relx PLC

   Morgan Stanley & Co. International PLC      153,600       07/06/22        EUR       26.65        EUR       3,966        (13,403

TELUS Corp.

   Royal Bank of Canada      109,000       07/06/22        CAD       32.17        CAD       3,125        (371

Wal-Mart de Mexico SAB de CV

   Citibank N.A.      810,200       07/06/22        MXN       77.83        MXN       56,171         

Reckitt Benckiser Group PLC

   Morgan Stanley & Co. International PLC      27,600       07/08/22        GBP       64.17        GBP       1,703        (5,343

Taylor Wimpey PLC

   Morgan Stanley & Co. International PLC      674,500       07/08/22        GBP       1.30        GBP       787        (164

BAE Systems PLC

   Morgan Stanley & Co. International PLC      258,300       07/12/22        GBP       7.87        GBP       2,144        (146,224

KDDI Corp.

   Bank of America N.A.      112,500       07/12/22        JPY       4,711.97        JPY       482,513        (3,339

Prudential PLC

   JPMorgan Chase Bank N.A.      169,800       07/12/22        GBP       10.60        GBP       1,725        (33,166

EDP-Energias de Portugal SA

   Goldman Sachs International      343,100       07/13/22        EUR       4.81        EUR       1,527        (2,692

EssilorLuxottica SA

   UBS AG      9,300       07/13/22        EUR       157.64        EUR       1,329        (4,999

Zurich Insurance Group AG

   UBS AG      7,600       07/13/22        CHF       448.41        CHF       3,156        (759

TELUS Corp.

   Royal Bank of Canada      109,000       07/14/22        CAD       32.17        CAD       3,125        (4,919

DBS Group Holdings Ltd.

   Goldman Sachs International      70,400       07/19/22        SGD       31.75        SGD       2,089        (2,096

EDP-Energias de Portugal SA

   Goldman Sachs International      250,000       07/19/22        EUR       4.75        EUR       1,113        (5,503

LVMH Moet Hennessy Louis Vuitton SE

   Goldman Sachs International      5,100       07/19/22        EUR       628.74        EUR       2,967        (17,977

Mediatek, Inc.

   Morgan Stanley & Co. International PLC      48,025       07/19/22        USD       912.26        USD       31,264        (314

Novo Nisk, Class B

   Morgan Stanley & Co. International PLC      30,650       07/19/22        DKK       817.63        DKK       24,128        (53,857

Prudential PLC

   Morgan Stanley & Co. International PLC      78,400       07/19/22        GBP       10.81        GBP       797        (15,992

EssilorLuxottica SA

   Goldman Sachs International      36,600       07/20/22        EUR       154.01        EUR       5,230        (59,256

Ferguson PLC

   Goldman Sachs International      15,800       07/20/22        GBP       97.40        GBP       1,452        (18,484

Koninklijke KPN NV

   Goldman Sachs International      789,000       07/20/22        EUR       3.44        EUR       2,683        (25,910

PPR S.A.

   Credit Suisse International      8,300       07/20/22        EUR       529.31        EUR       4,068        (37,177

Schneider Electric SE

   Barclays Bank PLC      19,850       07/20/22        EUR       133.36        EUR       2,241        (989

Taylor Wimpey PLC

   Goldman Sachs International      704,400       07/20/22        GBP       1.33        GBP       822        (348

Wal-Mart de Mexico SAB de CV

   Citibank N.A.      267,000       07/20/22        MXN       70.40        MXN       18,511        (14,166

Mediatek, Inc.

   JPMorgan Chase Bank N.A.      96,000       07/21/22        USD       916.70        USD       62,496        (804

Reckitt Benckiser Group PLC

   Morgan Stanley & Co. International PLC      74,100       07/26/22        GBP       61.08        GBP       4,572        (182,259

TE Connectivity Ltd.

   Goldman Sachs International      20,200       07/26/22        USD       121.78        USD       2,286        (21,781

AstraZeneca PLC

   Goldman Sachs International      36,550       07/27/22        GBP       99.22        GBP       3,947        (440,410

 

 

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

  59


Schedule of Investments (unaudited) (continued)

June 30, 2022

  

BlackRock Enhanced Global Dividend Trust (BOE)

    

 

OTC Options Written (continued)

 

Description    Counterparty    Number of
Contracts
    Expiration
Date
     Exercise Price     

Notional
Amount (000)

     Value  

Call (continued)

                                                                

AstraZeneca PLC

   Goldman Sachs International      15,800       07/27/22        GBP       103.63        GBP       1,706      $ (119,677

Diageo PLC

   Credit Suisse International      76,400       07/27/22        GBP       36.53        GBP       2,697        (87,589

EDP-Energias de Portugal SA

   Morgan Stanley & Co. International PLC      489,400       07/27/22        EUR       4.86        EUR       2,179        (7,547

Novo Nisk, Class B

   Morgan Stanley & Co. International PLC      30,650       07/27/22        DKK       817.63        DKK       24,128        (74,156

Prudential PLC

   Goldman Sachs International      90,700       07/27/22        GBP       11.18        GBP       922        (14,563

Schneider Electric SE

   Goldman Sachs International      19,850       07/27/22        EUR       132.69        EUR       2,241        (2,853

Taylor Wimpey PLC

   Goldman Sachs International      1,140,000       07/27/22        GBP       1.30        GBP       1,330        (7,347

Estee Lauder Cos., Inc., Class A

   JPMorgan Chase Bank N.A.      13,600       07/28/22        USD       255.53        USD       3,464        (147,953

KDDI Corp.

   JPMorgan Chase Bank N.A.      81,200       07/28/22        JPY       4,490.04        JPY       348,267        (20,002

Relx PLC

   JPMorgan Chase Bank N.A.      34,000       07/28/22        EUR       24.79        EUR       878        (47,496

Taiwan Semiconductor Manufacturing Co. Ltd., ADR

   JPMorgan Chase Bank N.A.      136,000       07/28/22        USD       522.02        USD       64,736        (8,990

Taiwan Semiconductor Manufacturing Co. Ltd., ADR

   Morgan Stanley & Co. International PLC      228,000       07/28/22        USD       524.80        USD       108,528        (13,254

DBS Group Holdings Ltd.

   UBS AG      91,100       08/02/22        SGD       31.39        SGD       2,704        (10,710

EDP-Energias de Portugal SA

   Merrill Lynch International      489,400       08/02/22        EUR       4.63        EUR       2,179        (32,904

Ferguson PLC

   JPMorgan Chase Bank N.A.      27,800       08/02/22        GBP       89.94        GBP       2,554        (176,031

Mediatek, Inc.

   JPMorgan Chase Bank N.A.      48,000       08/02/22        USD       967.20        USD       31,248        (264

AstraZeneca PLC

   Credit Suisse International      36,550       08/03/22        GBP       99.13        GBP       3,947        (468,129

Diageo PLC

   JPMorgan Chase Bank N.A.      65,700       08/03/22        GBP       35.10        GBP       2,320        (111,042

Epiroc AB, Class A

   JPMorgan Chase Bank N.A.      87,700       08/03/22        SEK       179.93        SEK       13,852        (8,116

Relx PLC

   JPMorgan Chase Bank N.A.      78,000       08/03/22        EUR       24.77        EUR       2,014        (115,137

EDP-Energias de Portugal SA

   Morgan Stanley & Co. International PLC      104,700       08/09/22        EUR       4.65        EUR       466        (8,039

EssilorLuxottica SA

   Goldman Sachs International      7,600       08/09/22        EUR       141.92        EUR       1,086        (62,075

Ferguson PLC

   Merrill Lynch International      13,100       08/09/22        GBP       95.94        GBP       1,204        (39,777

Novo Nisk, Class B

   Morgan Stanley & Co. International PLC      30,100       08/09/22        DKK       796.64        DKK       23,695        (135,079

Prudential PLC

   JPMorgan Chase Bank N.A.      152,200       08/09/22        GBP       9.70        GBP       1,546        (160,476

Relx PLC

   JPMorgan Chase Bank N.A.      56,000       08/09/22        EUR       25.36        EUR       1,446        (62,988

Sanofi

   Credit Suisse International      57,850       08/09/22        EUR       98.75        EUR       5,573        (124,522

Sanofi

   Goldman Sachs International      57,900       08/09/22        EUR       98.21        EUR       5,578        (136,931

Taylor Wimpey PLC

   Merrill Lynch International      674,000       08/09/22        GBP       1.33        GBP       786        (5,619

Diageo PLC

   UBS AG      38,700       08/11/22        GBP       36.29        GBP       1,366        (37,531

Koninklijke KPN NV

   UBS AG      789,100       08/11/22        EUR       3.47        EUR       2,684        (51,502

Taiwan Semiconductor Manufacturing Co. Ltd., ADR

   UBS AG      156,000       08/11/22        USD       508.65        USD       74,256        (29,178

Zurich Insurance Group AG

   Goldman Sachs International      7,600       08/11/22        CHF       425.31        CHF       3,156        (58,280

EDP-Energias de Portugal SA

   Morgan Stanley & Co. International PLC      104,700       08/16/22        EUR       4.65        EUR       466        (9,184

Epiroc AB, Class A

   Merrill Lynch International      87,700       08/17/22        SEK       167.61        SEK       13,852        (34,672

Epiroc AB, Class A

   Morgan Stanley & Co. International PLC      87,700       09/01/22        SEK       170.92        SEK       13,852        (36,770
                    

 

 

 
                     $  (3,712,494
                    

 

 

 

Balances Reported in the Statements of Assets and Liabilities for Options Written

 

           
Description    Swap
Premiums
Paid
     Swap
Premiums
Received
     Unrealized
Appreciation
     Unrealized
Depreciation
     Value  

Options Written

   $ N/A      $ N/A      $ 3,308,915      $  (2,016,390    $  (6,470,808

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

 

      Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
     Other
Contracts
     Total  

Liabilities — Derivative Financial Instruments

                    

Options written

                    

Options written at value

   $      $      $  6,470,808      $      $      $      $  6,470,808  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

 

60  

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


Schedule of Investments (unaudited) (continued)

June 30, 2022

  

BlackRock Enhanced Global Dividend Trust (BOE)

    

 

For the period ended June 30, 2022, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

      Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
     Other
Contracts
     Total  

Net Realized Gain (Loss) from:

                    

Options written

   $      $      $ 5,691,315      $      $      $      $  5,691,315  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net Change in Unrealized Appreciation (Depreciation) on:

                    

Options written

   $      $      $  2,914,829      $      $      $      $  2,914,829  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Options:

        

Average value of option contracts written

   $ 8,333,591  

For more information about the Trust’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

Derivative Financial Instruments — Offsetting as of Period End

The Trust’s derivative assets and liabilities (by type) were as follows:

 

      Assets        Liabilities  

Derivative Financial Instruments

       

Options

   $        $ 6,470,808  
  

 

 

      

 

 

 

Total derivative assets and liabilities in the Statements of Assets and Liabilities

              6,470,808  
  

 

 

      

 

 

 

Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)

              (2,758,314
  

 

 

      

 

 

 

Total derivative assets and liabilities subject to an MNA

   $        $ 3,712,494  
  

 

 

      

 

 

 

The following table presents the Trust’s derivative liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral pledged by the Trust:

 

                                                                                                        

Counterparty

    



Derivative
Liabilities
Subject to
an MNA by
Counterparty
 
 
 
 
 
    

Derivatives
Available
for Offset
 
 
 
    

Non-Cash
Collateral
Pledged
 
 
(a) 
    

Cash
Collateral
Pledged
 
 
 
    

Net Amount
of Derivative
Liabilities
 
 
(b) 

Bank of America N.A.

   $ 3,339      $      $      $      $ 3,339  

Barclays Bank PLC

     989                             989  

Citibank N.A.

     14,166                             14,166  

Credit Suisse International

     717,709               (717,709              

Goldman Sachs International

     996,183               (996,183              

JPMorgan Chase Bank N.A.

     892,465               (892,465              

Merrill Lynch International

     112,972                             112,972  

Morgan Stanley & Co. International PLC

     834,702               (834,702              

Royal Bank of Canada

     5,290                             5,290  

UBS AG

     134,679                      (26,000      108,679  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $   3,712,494      $      $   (3,441,059    $ (26,000    $ 245,435  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

Excess of collateral received/pledged, if any, from the individual counterparty is not shown for financial reporting purposes.

 
  (b) 

Net amount represents the net amount payable due to counterparty in the event of default. Net amount may be offset further by the options written receivable/payable on the Statements of Assets and Liabilities.

 

 

 

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

  61


Schedule of Investments (unaudited) (continued)

June 30, 2022

  

BlackRock Enhanced Global Dividend Trust (BOE)

    

 

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of financial instruments. For a description of the input levels and information about the Trust’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.

The following table summarizes the Trust’s financial instruments categorized in the fair value hierarchy. The breakdown of the Trust’s financial instruments into major categories is disclosed in the Schedule of Investments above.

 

      Level 1        Level 2        Level 3        Total  

Assets

                 

Investments

                 

Long-Term Investments

                 

Common Stocks

                 

Canada

   $ 17,656,684        $        $        $ 17,656,684  

Denmark

              22,512,503                   22,512,503  

France

              75,324,539                   75,324,539  

India

                       718,671          718,671  

Indonesia

              8,062,061                   8,062,061  

Ireland

     17,086,874                            17,086,874  

Japan

              11,106,402                   11,106,402  

Mexico

     8,252,140                            8,252,140  

Netherlands

              12,477,980                   12,477,980  

Portugal

              18,447,115                   18,447,115  

Singapore

              7,674,560                   7,674,560  

Sweden

              12,085,933                   12,085,933  

Switzerland

     11,158,287          14,799,892                   25,958,179  

Taiwan

              27,893,684                   27,893,684  

United Kingdom

              134,514,150                   134,514,150  

United States

     315,456,914                            315,456,914  

Short-Term Securities

                 

Money Market Funds

     2,371,617                            2,371,617  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $  371,982,516        $  344,898,819        $         718,671        $  717,600,006  
  

 

 

      

 

 

      

 

 

      

 

 

 

Derivative Financial Instruments(a)

                 

Liabilities

                 

Equity Contracts

   $ (2,423,980      $ (4,046,828      $        $ (6,470,808
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

Derivative financial instruments are options written. Options written are shown at value.

 

See notes to financial statements.

 

 

62  

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


Schedule of Investments (unaudited) 

June 30, 2022

  

BlackRock Enhanced International Dividend Trust (BGY)

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  

Common Stocks

   
Canada — 3.3%            

TELUS Corp.

    882,602     $ 19,658,328  
   

 

 

 
Denmark — 4.8%            

Novo Nordisk A/S, Class B

    254,077       28,177,725  
   

 

 

 
France — 19.2%            

Air Liquide SA

    80,457       10,829,735  

EssilorLuxottica SA

    153,852       23,325,898  

Kering SA

    34,745       18,005,790  

LVMH Moet Hennessy Louis Vuitton SE

    26,362       16,156,679  

Sanofi

    290,085       29,253,919  

Schneider Electric SE

    130,926       15,600,550  
   

 

 

 
      113,172,571  
India — 3.1%            

HDFC Bank Ltd.

    994,804       17,040,109  

Jasper Infotech Private Ltd., Series I, (Acquired 01/25/22,
Cost: $3,948,600)(a)(b)(c)

    848,000       1,075,939  
   

 

 

 
      18,116,048  
Indonesia — 1.8%            

Bank Rakyat Indonesia Persero Tbk PT

    38,965,000       10,881,582  
   

 

 

 
Japan — 1.9%            

KDDI Corp.

    360,400       11,364,983  
   

 

 

 
Mexico — 2.3%            

Wal-Mart de Mexico SAB de CV

    3,955,437       13,636,861  
   

 

 

 
Netherlands — 2.9%            

Koninklijke KPN NV

    4,779,805       17,007,162  
   

 

 

 
Portugal — 4.0%            

EDP - Energias de Portugal SA

    5,092,166       23,731,180  
   

 

 

 
Singapore — 4.2%            

DBS Group Holdings Ltd.

    569,700       12,190,095  

United Overseas Bank Ltd.

    679,100       12,829,639  
   

 

 

 
      25,019,734  
Spain — 2.5%            

Bankinter SA

    2,348,631       14,690,349  
   

 

 

 
Sweden — 2.5%            

Epiroc AB, Class A

    970,480       15,047,353  
   

 

 

 
Switzerland — 2.1%            

Zurich Insurance Group AG

    27,837       12,138,972  
   

 

 

 
Taiwan — 5.2%            

MediaTek, Inc.

    554,000       12,160,954  

Taiwan Semiconductor Manufacturing Co. Ltd.

    1,146,000       18,366,191  
   

 

 

 
      30,527,145  
Security   Shares     Value  
United Kingdom — 28.2%            

AstraZeneca PLC

    217,832     $ 28,736,775  

BAE Systems PLC

    1,000,554       10,129,603  

Diageo PLC

    510,690       22,058,080  

Ferguson PLC

    171,255       19,184,411  

Prudential PLC

    1,834,902       22,824,770  

Reckitt Benckiser Group PLC

    369,546       27,794,396  

RELX PLC

    820,936       22,200,526  

Taylor Wimpey PLC

    9,660,526       13,760,837  
   

 

 

 
      166,689,398  
United States(d)(e) — 10.4%            

Baker Hughes Co., Class A

    366,826       10,590,267  

Estee Lauder Cos., Inc., Class A

    67,274       17,132,669  

Otis Worldwide Corp.

    268,552       18,978,570  

Visa, Inc., Class A

    76,436       15,049,484  
   

 

 

 
      61,750,990  
   

 

 

 

Total Long-Term Investments — 98.4%
(Cost: $554,589,060)

      581,610,381  
   

 

 

 

Short-Term Securities

 

Money Market Funds — 1.4%  

BlackRock Liquidity Funds, T-Fund, Institutional Class, 1.33%(f)(g)

    8,325,690       8,325,690  
   

 

 

 

Total Short-Term Securities — 1.4%
(Cost: $8,325,690)

      8,325,690  
   

 

 

 

Total Investments Before Options Written — 99.8%
(Cost: $562,914,750)

 

    589,936,071  
   

 

 

 

Options Written — (1.0)%
(Premiums Received: $(6,072,338))

      (5,937,531
   

 

 

 

Total Investments, Net of Options Written — 98.8%
(Cost: $556,842,412)

 

    583,998,540  

Other Assets Less Liabilities — 1.2%

      6,915,204  
   

 

 

 

Net Assets — 100.0%

    $  590,913,744  
   

 

 

 

 

(a) 

Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

(b) 

Non-income producing security.

(c) 

Restricted security as to resale, excluding 144A securities. The Trust held restricted securities with a current value of $1,075,939, representing 0.2% of its net assets as of period end, and an original cost of $3,948,600.

(d) 

All or a portion of the security has been pledged as collateral in connection with outstanding OTC derivatives.

(e)

All or a portion of the security has been pledged and/or segregated as collateral in connection with outstanding exchange-traded options written.

(f) 

Affiliate of the Trust.

(g) 

Annualized 7-day yield as of period end.

 

 

Affiliates

Investments in issuers considered to be affiliate(s) of the Trust during the six months ended June 30, 2022 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliated Issuer    Value at
12/31/21
    Purchases
at Cost
    Proceeds
from Sales
    Net
Realized
Gain (Loss)
    Change in
Unrealized
Appreciation
(Depreciation)
    Value at
06/30/22
    Shares
Held at
06/30/22
    Income     Capital Gain
Distributions
from
Underlying
Funds
 

BlackRock Liquidity Funds, T-Fund, Institutional Class

   $  5,586,240     $  2,739,450 (a)    $     $     $     $  8,325,690       8,325,690     $  13,794     $  
        

 

 

   

 

 

   

 

 

     

 

 

   

 

 

 

 

  (a) 

Represents net amount purchased (sold).

 

 

 

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

  63


Schedule of Investments (unaudited) (continued)

June 30, 2022

  

BlackRock Enhanced International Dividend Trust (BGY)

    

 

Derivative Financial Instruments Outstanding as of Period End

Exchange-Traded Options Written

 

Description    Number of
Contracts
       Expiration
Date
       Exercise Price       

Notional
Amount (000)

       Value  

Call

                                

Baker Hughes Co., Class A

     850          07/15/22          USD          38.00          USD          2,454        $ (8,500

Estee Lauder Cos., Inc., Class A

     166          07/15/22          USD          260.00          USD          4,228          (90,470

Otis Worldwide Corp.

     155          07/15/22          USD          73.05          USD          1,095          (13,037

Visa, Inc., Class A

     3          07/15/22          USD          215.00          USD          59          (131

Visa, Inc., Class A

     66          07/15/22          USD          202.50          USD          1,299          (19,635

Visa, Inc., Class A

     79          07/22/22          USD          225.00          USD          1,555          (1,936

Visa, Inc., Class A

     40          07/22/22          USD          205.00          USD          788          (12,680

Visa, Inc., Class A

     82          07/29/22          USD          210.00          USD          1,614          (26,568

Visa, Inc., Class A

     41          08/05/22          USD          210.00          USD          807          (15,477

Visa, Inc., Class A

     32          08/05/22          USD          205.00          USD          630          (17,440

Baker Hughes Co., Class A

     800          08/12/22          USD          35.25          USD          2,310          (22,098

Otis Worldwide Corp.

     590          08/12/22          USD          79.00          USD          4,170          (29,293

Otis Worldwide Corp.

     463          08/19/22          USD          72.18          USD          3,272          (117,831

TELUS Corp.

     1,739          08/19/22          CAD          29.00          CAD          4,986          (89,166
                                

 

 

 
                                 $   (464,262
                                

 

 

 

OTC Options Written

 

Description   Counterparty   Number of
Contracts
     Expiration
Date
    Exercise Price     Notional
Amount (000)
    Value  

Call

                

BAE Systems PLC

  Morgan Stanley & Co. International PLC     236,500        07/06/22       GBP       7.78       GBP       1,963     $ (154,676

Bankinter SA

  Credit Suisse International     540,600        07/06/22       EUR       5.48       EUR       3,218         (286,802

Relx PLC

  Credit Suisse International     71,700        07/06/22       EUR       27.92       EUR       1,851       (374

TELUS Corp.

  Royal Bank of Canada     111,600        07/06/22       CAD       32.17       CAD       3,200       (380

Wal-Mart de Mexico SAB de CV

  Citibank N.A.     1,200,900        07/06/22       MXN       77.83       MXN       83,258        

Reckitt Benckiser Group PLC

  Morgan Stanley & Co. International PLC     51,700        07/08/22       GBP       64.17       GBP       3,190       (10,009

Taylor Wimpey PLC

  Morgan Stanley & Co. International PLC     1,115,800        07/08/22       GBP       1.30       GBP       1,302       (272

United Overseas Bank Ltd.

  UBS AG     156,600        07/08/22       SGD       30.21       SGD       4,111        

KDDI Corp.

  Bank of America N.A.     139,500        07/12/22       JPY       4,711.97       JPY       598,316       (4,140

Prudential PLC

  JPMorgan Chase Bank N.A.     169,200        07/12/22       GBP       10.61       GBP       1,719       (33,048

Air Liquide SA

  Goldman Sachs International     22,220        07/13/22       EUR       153.61       EUR       2,847       (35

EDP-Energias de Portugal SA

  Goldman Sachs International     391,900        07/13/22       EUR       4.81       EUR       1,745       (3,075

EssilorLuxottica SA

  UBS AG     16,800        07/13/22       EUR       157.64       EUR       2,401       (9,031

Zurich Insurance Group AG

  UBS AG     6,300        07/13/22       CHF       448.41       CHF       2,616       (629

TELUS Corp.

  Royal Bank of Canada     111,600        07/14/22       CAD       32.17       CAD       3,200       (5,036

Air Liquide SA

  Merrill Lynch International     22,000        07/19/22       EUR       151.22       EUR       2,819       (213

DBS Group Holdings Ltd.

  Goldman Sachs International     113,900        07/19/22       SGD       31.75       SGD       3,381       (3,392

EDP-Energias de Portugal SA

  Goldman Sachs International     128,000        07/19/22       EUR       4.75       EUR       570       (2,817

LVMH Moet Hennessy Louis Vuitton SE

  Goldman Sachs International     9,300        07/19/22       EUR       628.74       EUR       5,410       (32,782

Mediatek, Inc.

  Morgan Stanley & Co. International PLC     225,817        07/19/22       USD       912.26       USD       147,007       (1,477

Novo Nisk, Class B

  Credit Suisse International     14,900        07/19/22       DKK       789.60       DKK       11,729       (48,057

Prudential PLC

  Morgan Stanley & Co. International PLC     119,800        07/19/22       GBP       10.81       GBP       1,217       (24,437

EssilorLuxottica SA

  Goldman Sachs International     47,300        07/20/22       EUR       154.01       EUR       6,759       (76,580

Ferguson PLC

  Goldman Sachs International     12,400        07/20/22       GBP       97.40       GBP       1,139       (14,507

Koninklijke KPN NV

  Goldman Sachs International     1,075,000        07/20/22       EUR       3.44       EUR       3,656       (35,301

PPR S.A.

  Credit Suisse International     11,400        07/20/22       EUR       529.32       EUR       5,587       (51,062

PPR S.A.

  Goldman Sachs International     1,900        07/20/22       EUR       534.11       EUR       931       (7,158

Schneider Electric SE

  Barclays Bank PLC     22,950        07/20/22       EUR       133.36       EUR       2,591       (1,144

Taylor Wimpey PLC

  Goldman Sachs International     984,000        07/20/22       GBP       1.33       GBP       1,148       (486

Wal-Mart de Mexico SAB de CV

  Citibank N.A.     579,000        07/20/22       MXN       70.40       MXN       40,142       (30,719

BAE Systems PLC

  Morgan Stanley & Co. International PLC     113,800        07/26/22       GBP       8.16       GBP       945       (40,171

Reckitt Benckiser Group PLC

  Morgan Stanley & Co. International PLC     77,600        07/26/22       GBP       61.08       GBP       4,788       (190,867

AstraZeneca PLC

  Goldman Sachs International     59,900        07/27/22       GBP       99.22       GBP       6,469       (721,766

Diageo PLC

  JPMorgan Chase Bank N.A.     69,500        07/27/22       GBP       35.10       GBP       2,454       (112,426

EDP-Energias de Portugal SA

  Goldman Sachs International     82,500        07/27/22       EUR       4.58       EUR       367       (6,412

EDP-Energias de Portugal SA

  Morgan Stanley & Co. International PLC     422,500        07/27/22       EUR       4.86       EUR       1,881       (6,516

Novo Nisk, Class B

  Morgan Stanley & Co. International PLC     13,500        07/27/22       DKK       817.63       DKK       10,627       (32,662

Prudential PLC

  Goldman Sachs International     183,100        07/27/22       GBP       11.18       GBP       1,860       (29,399

 

 

64  

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


Schedule of Investments (unaudited) (continued)

June 30, 2022

  

BlackRock Enhanced International Dividend Trust (BGY)

    

 

OTC Options Written (continued)

 

Description   Counterparty   Number of
Contracts
     Expiration
Date
    Exercise Price     Notional
Amount (000)
    Value  

Call (continued)

                

Schneider Electric SE

  Goldman Sachs International     22,950        07/27/22       EUR       132.69       EUR       2,591     $ (3,299

Taylor Wimpey PLC

  Goldman Sachs International     1,132,000        07/27/22       GBP       1.30       GBP       1,320       (7,295

United Overseas Bank Ltd.

  Goldman Sachs International     75,000        07/27/22       SGD       29.07       SGD       1,969       (337

Bankinter SA

  Barclays Bank PLC     281,500        07/28/22       EUR       5.65       EUR       1,675       (136,468

Estee Lauder Cos., Inc., Class A

  JPMorgan Chase Bank N.A.     13,600        07/28/22       USD       255.54       USD       3,464       (147,953

KDDI Corp.

  JPMorgan Chase Bank N.A.     58,700        07/28/22       JPY       4,490.04       JPY       251,764       (14,460

Relx PLC

  JPMorgan Chase Bank N.A.     100,800        07/28/22       EUR       24.79       EUR       2,603       (140,811

Taiwan Semiconductor Manufacturing Co. Ltd., ADR

  JPMorgan Chase Bank N.A.     160,000        07/28/22       USD       522.02       USD       76,160       (10,576

Taiwan Semiconductor Manufacturing Co. Ltd., ADR

  Morgan Stanley & Co. International PLC     230,000        07/28/22       USD       524.80       USD       109,480       (13,370

BAE Systems PLC

  Goldman Sachs International     100,000        08/02/22       GBP       7.93       GBP       830       (56,825

DBS Group Holdings Ltd.

  UBS AG     142,500        08/02/22       SGD       31.39       SGD       4,229       (16,753

EDP-Energias de Portugal SA

  Merrill Lynch International     587,300        08/02/22       EUR       4.63       EUR       2,615       (39,486

Ferguson PLC

  JPMorgan Chase Bank N.A.     42,400        08/02/22       GBP       89.94       GBP       3,896       (268,480

Mediatek, Inc.

  JPMorgan Chase Bank N.A.     28,000        08/02/22       USD       967.20       USD       18,228       (154

AstraZeneca PLC

  Credit Suisse International     59,900        08/03/22       GBP       99.13       GBP       6,469       (767,193

Diageo PLC

  JPMorgan Chase Bank N.A.     69,500        08/03/22       GBP       35.10       GBP       2,454       (117,464

Epiroc AB, Class A

  JPMorgan Chase Bank N.A.     109,300        08/03/22       SEK       179.93       SEK       17,264       (10,115

Relx PLC

  JPMorgan Chase Bank N.A.     83,000        08/03/22       EUR       24.77       EUR       2,143       (122,517

United Overseas Bank Ltd.

  Morgan Stanley & Co. International PLC     74,000        08/03/22       SGD       27.67       SGD       1,943       (5,886

EDP-Energias de Portugal SA

  Credit Suisse International     294,300        08/09/22       EUR       4.42       EUR       1,310       (47,227

EssilorLuxottica SA

  Goldman Sachs International     10,700        08/09/22       EUR       141.92       EUR       1,529       (87,395

EssilorLuxottica SA

  JPMorgan Chase Bank N.A.     9,800        08/09/22       EUR       144.68       EUR       1,400       (63,632

Ferguson PLC

  Merrill Lynch International     22,300        08/09/22       GBP       95.94       GBP       2,049       (67,712

Novo Nisk, Class B

  Morgan Stanley & Co. International PLC     85,900        08/09/22       DKK       796.64       DKK       67,620       (385,491

Prudential PLC

  JPMorgan Chase Bank N.A.     170,100        08/09/22       GBP       9.70       GBP       1,728       (179,349

Relx PLC

  JPMorgan Chase Bank N.A.     113,900        08/09/22       EUR       25.36       EUR       2,941       (128,114

Sanofi

  Credit Suisse International     65,250        08/09/22       EUR       98.75       EUR       6,286       (140,450

Sanofi

  Goldman Sachs International     65,300        08/09/22       EUR       98.21       EUR       6,291       (154,431

Taylor Wimpey PLC

  Merrill Lynch International     1,115,000        08/09/22       GBP       1.33       GBP       1,301       (9,295

Diageo PLC

  UBS AG     90,900        08/11/22       GBP       36.29       GBP       3,209       (88,154

Koninklijke KPN NV

  UBS AG     1,075,900        08/11/22       EUR       3.47       EUR       3,659       (70,220

Taiwan Semiconductor Manufacturing Co. Ltd., ADR

  UBS AG     125,000        08/11/22       USD       508.65       USD       59,500       (23,380

Zurich Insurance Group AG

  Goldman Sachs International     6,300        08/11/22       CHF       425.31       CHF       2,616       (48,311

EDP-Energias de Portugal SA

  Morgan Stanley & Co. International PLC     385,000        08/16/22       EUR       4.65       EUR       1,714       (33,770

Epiroc AB, Class A

  Merrill Lynch International     109,300        08/17/22       SEK       167.61       SEK       17,264       (43,212

Epiroc AB, Class A

  Morgan Stanley & Co. International PLC     109,300        09/01/22       SEK       170.92       SEK       17,264       (45,826
                

 

 

 
                 $  (5,473,269
                

 

 

 

Balances Reported in the Statements of Assets and Liabilities for Options Written

 

Description    Swap
Premiums
Paid
       Swap
Premiums
Received
       Unrealized
Appreciation
       Unrealized
Depreciation
       Value  

Options Written

   $ N/A        $ N/A        $ 2,538,578        $ (2,403,771      $  (5,937,531

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

 

     Commodity
Contracts
    Credit
Contracts
    Equity
Contracts
    Foreign
Currency
Exchange
Contracts
    Interest
Rate
Contracts
    Other
Contracts
    Total  

Liabilities — Derivative Financial Instruments

             

Options written

             

Options written at value

  $     $     $  5,937,531     $     $     $     $  5,937,531  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

 

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

  65


Schedule of Investments (unaudited) (continued)

June 30, 2022

  

BlackRock Enhanced International Dividend Trust (BGY)

    

 

For the period ended June 30, 2022, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

     Commodity
Contracts
    Credit
Contracts
    Equity
Contracts
    Foreign
Currency
Exchange
Contracts
    Interest
Rate
Contracts
    Other
Contracts
    Total  

Net Realized Gain (Loss) from:

             

Options written

  $     $     $ 935,870     $     $     $     $ 935,870  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Change in Unrealized Appreciation (Depreciation) on:

             

Options written

  $     $     $  2,361,202     $     $     $     $  2,361,202  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Options:

        

Average value of option contracts written

   $ 6,836,414  

For more information about the Trust’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

Derivative Financial Instruments — Offsetting as of Period End

The Trust’s derivative assets and liabilities (by type) were as follows:

 

      Assets        Liabilities  

Derivative Financial Instruments

       

Options

   $        $ 5,937,531  
  

 

 

      

 

 

 

Total derivative assets and liabilities in the Statements of Assets and Liabilities

              5,937,531  
  

 

 

      

 

 

 

Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)

              (464,262
  

 

 

      

 

 

 

Total derivative assets and liabilities subject to an MNA

   $        $  5,473,269  
  

 

 

      

 

 

 

The following table presents the Trust’s derivative liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral pledged by the Trust:

 

Counterparty     



Derivative
Liabilities
Subject to
an MNA by
Counterparty
 
 
 
 
 
      

Derivatives
Available
for Offset
 
 
 
      

Non-Cash
Collateral
Pledged
 
 
(a) 
    

Cash
Collateral
Pledged
 
 
 
      

Net Amount
of Derivative
Liabilities
 
 
(b) 

Bank of America N.A.

   $ 4,140        $        $      $        $ 4,140  

Barclays Bank PLC

     137,612                          (34,000)          103,612  

Citibank N.A.

     30,719                                   30,719  

Credit Suisse International

     1,341,165                   (1,341,165                

Goldman Sachs International

     1,291,603                   (1,291,603                

JPMorgan Chase Bank N.A.

     1,349,099                   (1,349,099                

Merrill Lynch International

     159,918                                   159,918  

Morgan Stanley & Co. International PLC

     945,430                   (624,430      (321,000         

Royal Bank of Canada

     5,416                                   5,416  

UBS AG

     208,167                   (208,167                
  

 

 

      

 

 

      

 

 

    

 

 

      

 

 

 
   $ 5,473,269        $        $  (4,814,464    $ (355,000      $ 303,805  
  

 

 

      

 

 

      

 

 

    

 

 

      

 

 

 

 

  (a) 

Excess of collateral received/pledged, if any, from the individual counterparty is not shown for financial reporting purposes.

 
  (b) 

Net amount represents the net amount payable due to counterparty in the event of default. Net amount may be offset further by the options written receivable/payable on the Statements of Assets and Liabilities.

 

 

 

66  

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


Schedule of Investments (unaudited) (continued)

June 30, 2022

  

BlackRock Enhanced International Dividend Trust (BGY)

    

 

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of financial instruments. For a description of the input levels and information about the Trust’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.

The following table summarizes the Trust’s financial instruments categorized in the fair value hierarchy. The breakdown of the Trust’s financial instruments into major categories is disclosed in the Schedule of Investments above.

 

      Level 1        Level 2        Level 3        Total  

Assets

                 

Investments

                 

Long-Term Investments

                 

Common Stocks

                 

Canada

   $ 19,658,328        $        $        $ 19,658,328  

Denmark

              28,177,725                   28,177,725  

France

              113,172,571                   113,172,571  

India

              17,040,109          1,075,939          18,116,048  

Indonesia

              10,881,582                   10,881,582  

Japan

              11,364,983                   11,364,983  

Mexico

     13,636,861                            13,636,861  

Netherlands

              17,007,162                   17,007,162  

Portugal

              23,731,180                   23,731,180  

Singapore

              25,019,734                   25,019,734  

Spain

              14,690,349                   14,690,349  

Sweden

              15,047,353                   15,047,353  

Switzerland

              12,138,972                   12,138,972  

Taiwan

              30,527,145                   30,527,145  

United Kingdom

              166,689,398                   166,689,398  

United States

     61,750,990                            61,750,990  

Short-Term Securities

                 

Money Market Funds

     8,325,690                            8,325,690  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $  103,371,869        $  485,488,263        $     1,075,939        $  589,936,071  
  

 

 

      

 

 

      

 

 

      

 

 

 

Derivative Financial Instruments(a)

                 

Liabilities

                 

Equity Contracts

   $ (282,003)        $ (5,655,528)        $        $ (5,937,531)  
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

Derivative financial instruments are options written. Options written are shown at value.

 

See notes to financial statements.

 

 

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

  67


Schedule of Investments (unaudited)

June 30, 2022

  

BlackRock Health Sciences Trust (BME)

(Percentages shown are based on Net Assets)

 

Security   Shares      Value  

Common Stocks

    
Biotechnology — 18.3%  

AbbVie, Inc.

    133,468      $ 20,441,959  

Acumen Pharmaceuticals, Inc.(a)

    152,651        717,460  

Alkermes PLC(a)

    22,001        655,410  

Alnylam Pharmaceuticals, Inc.(a)

    15,583        2,272,781  

Ambrx Biopharma, Inc., ADR(a)

    43,409        115,034  

Amgen, Inc.(b)

    67,126        16,331,756  

Arcutis Biotherapeutics, Inc.(a)

    42,854        913,219  

Argenx SE, ADR(a)

    6,666        2,525,614  

Biogen, Inc.(a)

    39,237        8,001,994  

BioMarin Pharmaceutical, Inc.(a)

    34,340        2,845,756  

Cerevel Therapeutics Holdings, Inc.(a)

    16,785        443,795  

Decibel Therapeutics, Inc.(a)

    46,884        197,382  

Design Therapeutics, Inc.(a)

    13,967        195,538  

Enanta Pharmaceuticals, Inc.(a)

    3,150        148,901  

Everest Medicines Ltd.(a)(c)

    30,500        87,631  

Exact Sciences Corp.(a)

    15,501        610,584  

Genmab A/S(a)

    2,498        810,463  

Genmab A/S, ADR(a)

    16,911        549,438  

Gilead Sciences, Inc.

    135,169        8,354,796  

Horizon Therapeutics PLC(a)

    17,217        1,373,228  

Imago Biosciences, Inc.(a)

    47,824        640,363  

Immuneering Corp., Class A(a)(d)

    14,456        78,207  

Immunocore Holdings PLC, ADR(a)

    9,668        360,713  

Incyte Corp.(a)

    26,918        2,044,960  

Ionis Pharmaceuticals, Inc.(a)

    15,110        559,372  

Krystal Biotech, Inc.(a)

    4,198        275,641  

Moderna, Inc.(a)

    29,223        4,174,506  

Monte Rosa Therapeutics, Inc.(a)

    28,575        276,320  

MoonLake Immunotherapeutics(a)(d)

    11,715        61,504  

Neurocrine Biosciences, Inc.(a)

    23,254        2,266,800  

PMV Pharmaceuticals, Inc.(a)

    17,490        249,232  

Point Biopharma Global, Inc.(a)(d)

    27,000        183,870  

Prothena Corp. PLC(a)

    17,159        465,867  

Regeneron Pharmaceuticals, Inc.(a)

    9,757        5,767,655  

Revolution Medicines, Inc.(a)

    10,535        205,327  

Sarepta Therapeutics, Inc.(a)

    22,753        1,705,565  

Seagen, Inc.(a)

    20,872        3,693,092  

Sierra Oncology, Inc.(a)

    10,571        581,299  

Sigilon Therapeutics, Inc.(a)

    19,555        16,231  

Talaris Therapeutics, Inc.(a)

    23,939        107,965  

Tenaya Therapeutics, Inc.(a)

    25,502        143,576  

TScan Therapeutics, Inc.(a)

    29,940        94,161  

Vertex Pharmaceuticals, Inc.(a)

    41,974        11,827,853  
    

 

 

 
       103,372,818  
Diversified Financial Services(a) — 0.3%             

Health Assurance Acquisition Corp., Class A

    90,235        891,522  

Health Sciences Acquisitions Corp. 2

    13,696        136,412  

MedTech Acquisition Corp., Class A

    42,753        420,690  
    

 

 

 
       1,448,624  
Health Care Equipment & Supplies — 14.8%         

Abbott Laboratories(b)

    206,357        22,420,688  

ABIOMED, Inc.(a)

    14,359        3,553,996  

Alcon, Inc.

    53,199        3,718,078  

Bausch & Lomb Corp.(a)(d)

    75,830        1,155,649  

Baxter International, Inc.

    71,467        4,590,325  

Boston Scientific Corp.(a)

    260,597        9,712,450  

Cooper Cos., Inc.

    5,056        1,583,135  

DexCom, Inc.(a)

    41,320        3,079,580  
Security   Shares     Value  
Health Care Equipment & Supplies (continued)        

Edwards Lifesciences Corp.(a)

    42,331     $ 4,025,255  

Insulet Corp.(a)

    7,050       1,536,477  

Intuitive Surgical, Inc.(a)

    20,504       4,115,358  

Medtronic PLC

    91,659       8,226,395  

Nevro Corp.(a)

    41,187       1,805,226  

Novocure Ltd.(a)

    10,555       733,573  

Omnicell, Inc.(a)

    6,425       730,844  

ResMed, Inc.

    20,674       4,333,891  

Stryker Corp.

    30,152       5,998,137  

Teleflex, Inc.

    4,190       1,030,111  

Zimmer Biomet Holdings, Inc.

    14,617       1,535,662  
   

 

 

 
      83,884,830  
Health Care Providers & Services — 23.3%            

Agiliti, Inc.(a)

    75,106       1,540,424  

Agilon Health, Inc.(a)

    21,477       468,843  

Amedisys, Inc.(a)

    22,677       2,383,806  

AmerisourceBergen Corp.

    53,668       7,592,949  

Centene Corp.(a)

    70,991       6,006,549  

Cigna Corp.

    53,494       14,096,739  

CVS Health Corp.

    45,115       4,180,356  

Elevance Health, Inc.(b)

    35,882       17,315,936  

Encompass Health Corp.

    43,989       2,465,583  

Guardant Health, Inc.(a)

    11,675       470,969  

HCA Healthcare, Inc.

    8,085       1,358,765  

Henry Schein, Inc.(a)

    14,175       1,087,789  

LHC Group, Inc.(a)

    20,224       3,149,686  

McKesson Corp.

    23,385       7,628,421  

Quest Diagnostics, Inc.

    58,849       7,825,740  

UnitedHealth Group, Inc.(b)

    105,815       54,349,758  
   

 

 

 
      131,922,313  
Health Care Technology — 0.1%            

Teladoc Health, Inc.(a)

    18,461       613,090  
   

 

 

 
Life Sciences Tools & Services — 10.6%            

10X Genomics, Inc., Class A(a)

    8,445       382,136  

Agilent Technologies, Inc.

    62,230       7,391,057  

Avantor, Inc.(a)

    125,192       3,893,471  

Danaher Corp.

    53,025       13,442,898  

Icon PLC(a)

    9,290       2,013,143  

IQVIA Holdings, Inc.(a)

    22,533       4,889,436  

IsoPlexis Corp.(a)

    30,336       65,526  

Nautilus Biotechnology, Inc.(a)

    16,560       44,546  

QIAGEN NV(a)

    25,121       1,185,711  

Rapid Micro Biosystems, Inc., Class A(a)(d)

    20,561       88,412  

Thermo Fisher Scientific, Inc.(e)

    41,358       22,468,974  

Waters Corp.(a)

    10,760       3,561,345  

West Pharmaceutical Services, Inc.

    2,815       851,172  
   

 

 

 
      60,277,827  
Pharmaceuticals — 27.2%            

AstraZeneca PLC

    75,201       9,920,646  

AstraZeneca PLC, ADR

    24,607       1,625,784  

Bristol-Myers Squibb Co.

    108,356       8,343,412  

Daiichi Sankyo Co. Ltd.

    104,800       2,665,324  

Eli Lilly & Co.

    87,986       28,527,701  

Hansoh Pharmaceutical Group Co. Ltd.(c)

    882,438       1,786,883  

Johnson & Johnson(b)(e)

    171,201       30,389,890  

Merck & Co., Inc.(b)

    221,709       20,213,210  

Pfizer, Inc.(b)

    466,186       24,442,132  

Roche Holding AG

    5,766       1,927,573  
 

 

 

68  

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Schedule of Investments (unaudited) (continued)

June 30, 2022

  

BlackRock Health Sciences Trust (BME)

(Percentages shown are based on Net Assets)

 

Security   Shares      Value  
Pharmaceuticals (continued)  

Sanofi

    81,522      $ 8,221,170  

Sanofi, ADR

    62,750        3,139,382  

Zoetis, Inc., Class A

    74,312        12,773,490  
    

 

 

 
       153,976,597  
    

 

 

 

Total Common Stocks — 94.6%
(Cost: $385,232,243)

 

     535,496,099  
    

 

 

 
     Benefical
Interest (000)
         

Other Interests

 

Pharmaceuticals — 0.0%             

Afferent Pharmaceuticals,
Inc.(f)(g)

  $ 190        150,226  
    

 

 

 

Total Other Interests — 0.0%
(Cost: $ — )

 

     150,226  
    

 

 

 
     Shares          

Preferred Securities

 

Preferred Stocks — 0.9%(f)(h)             
Biotechnology — 0.3%             

Affinvax, Inc., Series C, (Acquired 01/06/21, Cost: $199,992)

    6,331        400,816  

Cellarity, Inc., Series B, (Acquired 01/15/21, Cost: $265,002)

    44,167        212,002  

Goldfinch Biopharma, Inc., Series B, (Acquired 06/26/20, Cost: $224,200)

    190,000        254,600  

Laronde, Inc., Series B, (Acquired 07/28/21, Cost: $590,800)

    21,100        531,720  

Neurogene, Inc., Series B, (Acquired 12/14/20, Cost: $260,568)

    106,790        260,567  
    

 

 

 
       1,659,705  
Health Care Equipment & Supplies — 0.3%         

Exo Imaging, Inc., Series C, (Acquired 06/24/21, Cost: $595,999)

    101,741        397,807  

Nucleix Ltd., Series AA, (Acquired 03/25/21, Cost: $1,070,001)

    367,395        988,292  

Quanta Dialysis Technologies Ltd., Series D, (Acquired 06/18/21, Cost: $515,759)

    4,243,029        340,893  

Swift Health Systems, Inc., Series D, (Acquired 08/27/21, Cost: $286,998)

    92,580        205,528  
    

 

 

 
       1,932,520  
Pharmaceuticals — 0.1%             

Insitro, Inc., Series C, (Acquired 03/10/21, Cost: $560,000)

    30,616        391,885  
    

 

 

 
Software — 0.2%             

Carbon Health Technologies, Inc., (Acquired 07/09/21, Cost: $907,000)

    907        892,189  
    

 

 

 
     4,876,299  
    

 

 

 

Total Preferred Securities — 0.9%
(Cost: $5,476,319)

 

     4,876,299  
    

 

 

 
Security   Shares     Value  

Warrants

   
Diversified Financial Services — 0.0%  

Health Assurance Acquisition Corp. (Expires 11/12/2025)(a)

    12,859     $ 1,733  
   

 

 

 
Health Care Providers & Services — 0.0%  

CareMax, Inc. (Expires 06/08/2026)(a)

    4,201       2,731  
   

 

 

 
Pharmaceuticals — 0.0%  

Nuvation Bio, Inc. (Expires 7/7/2027)(a)

    4,050       1,134  
   

 

 

 

Total Warrants — 0.0%
(Cost: $53,161)

 

    5,598  
   

 

 

 

Total Long-Term Investments — 95.5%
(Cost: $390,761,723)

 

    540,528,222  
   

 

 

 

Short-Term Securities

 

Money Market Funds — 5.7%  

BlackRock Liquidity Funds, T-Fund, Institutional Class, 1.33%(i)(j)

    31,712,586       31,712,585  

SL Liquidity Series, LLC, Money Market Series, 1.73%(i)(j)(k)

    588,991       588,874  
   

 

 

 

Total Short-Term Securities — 5.7%
(Cost: $32,301,485)

 

    32,301,459  
   

 

 

 

Total Investments Before Options Written — 101.2%
(Cost: $423,063,208)

 

    572,829,681  
   

 

 

 

Options Written — (1.1)%
(Premiums Received: $(4,879,676))

 

    (6,201,260
   

 

 

 

Total Investments, Net of Options Written — 100.1%
(Cost: $418,183,532)

 

    566,628,421  

Liabilities in Excess of Other Assets — (0.1)%

 

    (567,492
   

 

 

 

Net Assets — 100.0%

 

  $  566,060,929  
   

 

 

 

 

(a) 

Non-income producing security.

(b) 

All or a portion of the security has been pledged and/or segregated as collateral in connection with outstanding exchange-traded options written.

(c) 

Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.

(d) 

All or a portion of this security is on loan.

(e) 

All or a portion of the security has been pledged as collateral in connection with outstanding OTC derivatives.

(f) 

Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

(g) 

Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities.

(h) 

Restricted security as to resale, excluding 144A securities. The Trust held restricted securities with a current value of $4,876,299, representing 0.9% of its net assets as of period end, and an original cost of $5,476,319.

(i) 

Affiliate of the Trust.

(j) 

Annualized 7-day yield as of period end.

(k) 

All or a portion of this security was purchased with the cash collateral from loaned securities.

 

 

For Trust compliance purposes, the Trust’s industry classifications refer to one or more of the industry sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.

 

 

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

  69


Schedule of Investments (unaudited) (continued)

June 30, 2022

  

BlackRock Health Sciences Trust (BME)

    

 

Affiliates

Investments in issuers considered to be affiliate(s) of the Trust during the six months ended June 30, 2022 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

 

 
Affiliated Issuer   Value at
12/31/21
    Purchases
at Cost
    Proceeds
from Sales
    Net
Realized
Gain (Loss)
    Change in
Unrealized
Appreciation
(Depreciation)
    Value at
06/30/22
    Shares
Held at
06/30/22
    Income     Capital Gain
Distributions
from
Underlying
Funds
 

 

 

BlackRock Liquidity Funds, T-Fund, Institutional Class

  $  27,581,316     $  4,131,269 (a)    $     $     $     $ 31,712,585       31,712,586     $ 58,372     $  

SL Liquidity Series, LLC, Money Market Series

    211,489       377,587 (a)            (184     (18     588,874       588,991       6,274 (b)       
       

 

 

   

 

 

   

 

 

     

 

 

   

 

 

 
        $ (184   $ (18   $  32,301,459       $  64,646     $  
       

 

 

   

 

 

   

 

 

     

 

 

   

 

 

 

 

  (a) 

Represents net amount purchased (sold).

 
  (b) 

All or a portion represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities.

 

Derivative Financial Instruments Outstanding as of Period End

Exchange-Traded Options Written

 

Description    Number of
Contracts
       Expiration
Date
       Exercise Price       

Notional
Amount (000)

       Value  
Call                                                   

AmerisourceBergen Corp.

     44          07/01/22        USD     160.00        USD     623        $ (1,100)  

Baxter International, Inc.

     124          07/01/22        USD     75.00        USD     796          (620)  

Biogen, Inc.

     75          07/01/22        USD     205.00        USD     1,530          (10,125)  

Boston Scientific Corp.

     86          07/01/22        USD     41.00        USD     321          (6,450)  

Centene Corp.

     112          07/01/22        USD     86.00        USD     948          (1,400)  

Cigna Corp.

     111          07/01/22        USD     265.00        USD     2,925          (18,037)  

McKesson Corp.

     19          07/01/22        USD     330.00        USD     620          (1,663)  

UnitedHealth Group, Inc.

     65          07/01/22        USD     505.00        USD     3,339          (64,187)  

Abbott Laboratories

     170          07/08/22        USD     109.00        USD     1,847          (25,585)  

AbbVie, Inc.

     201          07/08/22        USD     150.00        USD     3,079          (92,460)  

AmerisourceBergen Corp.

     136          07/08/22        USD     155.00        USD     1,924          (28,560)  

Amgen, Inc.

     59          07/08/22        USD     245.00        USD     1,435          (11,889)  

Anthem, Inc.

     50          07/08/22        USD     465.00        USD     2,413            (100,750)  

Anthem, Inc.

     18          07/08/22        USD     477.50        USD     869          (19,980)  

Baxter International, Inc.

     18          07/08/22        USD     67.50        USD     116          (900)  

Biogen, Inc.

     74          07/08/22        USD     210.00        USD     1,509          (14,060)  

Centene Corp.

     87          07/08/22        USD     85.00        USD     736          (11,528)  

Cigna Corp.

     70          07/08/22        USD     260.00        USD     1,845          (48,300)  

Edwards Lifesciences Corp.

     117          07/08/22        USD     105.00        USD     1,113          (26,325)  

McKesson Corp.

     32          07/08/22        USD     345.00        USD     1,044          (3,840)  

UnitedHealth Group, Inc.

     2          07/08/22        USD     515.00        USD     103          (1,650)  

Vertex Pharmaceuticals, Inc.

     55          07/08/22        USD     285.00        USD     1,550          (17,050)  

10X Genomics, Inc., Class A

     32          07/15/22        USD     40.00        USD     145          (22,560)  

Abbott Laboratories

     236          07/15/22        USD     120.00        USD     2,564          (2,006)  

ABIOMED, Inc.

     29          07/15/22        USD     272.00        USD     718          (4,185)  

Agilent Technologies, Inc.

     30          07/15/22        USD     130.00        USD     356          (825)  

Agilent Technologies, Inc.

     60          07/15/22        USD     135.00        USD     713          (4,500)  

Agilent Technologies, Inc.

     20          07/15/22        USD     120.00        USD     238          (4,900)  

Agilon Health, Inc.

     41          07/15/22        USD     22.50        USD     90          (3,895)  

Alkermes PLC

     20          07/15/22        USD     31.00        USD     60          (1,950)  

Alnylam Pharmaceuticals, Inc.

     43          07/15/22        USD     160.00        USD     627          (45,795)  

Amedisys, Inc.

     40          07/15/22        USD     135.00        USD     420          (11,200)  

AmerisourceBergen Corp.

     3          07/15/22        USD     150.00        USD     42          (135)  

Amgen, Inc.

     70          07/15/22        USD     250.00        USD     1,703          (9,590)  

Anthem, Inc.

     50          07/15/22        USD     480.00        USD     2,413          (62,750)  

Arcutis Biotherapeutics, Inc.

     54          07/15/22        USD     25.00        USD     115          (1,755)  

Argenx SE

     8          07/15/22        USD     350.00        USD     303          (26,680)  

Avantor, Inc.

     245          07/15/22        USD     31.25        USD     762          (18,644)  

Baxter International, Inc.

     17          07/15/22        USD     67.50        USD     109          (595)  

Baxter International, Inc.

     79          07/15/22        USD     68.00        USD     507          (4,740)  

BioMarin Pharmaceutical, Inc.

     61          07/15/22        USD     90.00        USD     506          (3,965)  

 

 

70  

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


Schedule of Investments (unaudited) (continued)

June 30, 2022

  

BlackRock Health Sciences Trust (BME)

    

 

Exchange-Traded Options Written (continued)

 

Description    Number of
Contracts
       Expiration
Date
       Exercise Price       

Notional
Amount (000)

       Value  
Call (continued)                                                   

BioMarin Pharmaceutical, Inc.

     2          07/15/22        USD     85.00        USD     17        $ (290)  

Boston Scientific Corp.

     43          07/15/22        USD     40.00        USD     160          (968)  

Centene Corp.

     70          07/15/22        USD     87.50        USD     592          (7,350)  

Cerevel Therapeutics Holdings, Inc.

     31          07/15/22        USD     30.00        USD     82          (5,270)  

Cigna Corp.

     22          07/15/22        USD     270.00        USD     580          (8,910)  

Cooper Cos., Inc.

     13          07/15/22        USD     350.00        USD     407          (6,240)  

Danaher Corp.

     79          07/15/22        USD     270.00        USD     2,003          (11,060)  

Danaher Corp.

     10          07/15/22        USD     250.00        USD     254          (9,150)  

DexCom, Inc.

     84          07/15/22        USD     85.00        USD     626          (3,990)  

Eli Lilly & Co.

     125          07/15/22        USD     320.00        USD     4,053            (140,312)  

Encompass Health Corp.

     167          07/15/22        USD     60.00        USD     936          (16,700)  

Exact Sciences Corp.

     58          07/15/22        USD     45.00        USD     228          (3,770)  

Gilead Sciences, Inc.

     38          07/15/22        USD     63.00        USD     235          (2,223)  

Guardant Health, Inc.

     22          07/15/22        USD     45.00        USD     89          (2,365)  

Henry Schein, Inc.

     80          07/15/22        USD     80.00        USD     614          (6,000)  

Horizon Therapeutics PLC

     41          07/15/22        USD     100.00        USD     327          (9,123)  

Immunocore Holdings PLC

     18          07/15/22        USD     30.00        USD     67          (15,390)  

Incyte Corp.

     102          07/15/22        USD     72.50        USD     775          (41,565)  

Insulet Corp.

     13          07/15/22        USD     220.00        USD     283          (12,350)  

Intuitive Surgical, Inc.

     57          07/15/22        USD     240.00        USD     1,144          (2,138)  

Intuitive Surgical, Inc.

     20          07/15/22        USD     215.00        USD     401          (4,500)  

Ionis Pharmaceuticals, Inc.

     14          07/15/22        USD     45.00        USD     52          (245)  

Ionis Pharmaceuticals, Inc.

     14          07/15/22        USD     40.00        USD     52          (980)  

IQVIA Holdings, Inc.

     26          07/15/22        USD     210.00        USD     564          (27,430)  

Johnson & Johnson

     78          07/15/22        USD     180.00        USD     1,385          (14,118)  

Johnson & Johnson

     78          07/15/22        USD     182.50        USD     1,385          (7,722)  

Krystal Biotech, Inc.

     10          07/15/22        USD     60.00        USD     66          (7,100)  

Merck & Co., Inc.

     336          07/15/22        USD     92.50        USD     3,063          (42,504)  

Moderna, Inc.

     58          07/15/22        USD     145.00        USD     829          (40,455)  

Neurocrine Biosciences, Inc.

     44          07/15/22        USD     90.00        USD     429          (36,740)  

Nevro Corp.

     61          07/15/22        USD     45.00        USD     267          (12,505)  

Novocure Ltd.

     40          07/15/22        USD     75.00        USD     278          (7,600)  

Pfizer, Inc.

     199          07/15/22        USD     55.00        USD     1,043          (7,861)  

Qiagen NV

     17          07/15/22        USD     45.00        USD     80          (4,505)  

Quest Diagnostics, Inc.

     46          07/15/22        USD     150.00        USD     612          (5,175)  

Regeneron Pharmaceuticals, Inc.

     22          07/15/22        USD     690.00        USD     1,300          (1,980)  

ResMed, Inc.

     35          07/15/22        USD     210.00        USD     734          (19,075)  

ResMed, Inc.

     43          07/15/22        USD     220.00        USD     901          (8,385)  

Revolution Medicines, Inc.

     20          07/15/22        USD     22.50        USD     39          (550)  

Sanofi, ADR

     134          07/15/22        USD     55.00        USD     670          (1,675)  

Sarepta Therapeutics, Inc.

     59          07/15/22        USD     85.00        USD     442          (13,275)  

Seagen, Inc.

     64          07/15/22        USD     155.00        USD     1,132          (156,800)  

Teladoc Health, Inc.

     30          07/15/22        USD     40.00        USD     100          (1,170)  

UnitedHealth Group, Inc.

     209          07/15/22        USD     480.00        USD     10,735          (784,272)  

Vertex Pharmaceuticals, Inc.

     54          07/15/22        USD     285.00        USD     1,522          (33,210)  

West Pharmaceutical Services, Inc.

     5          07/15/22        USD     310.00        USD     151          (2,950)  

Zimmer Biomet Holdings, Inc.

     40          07/15/22        USD     115.00        USD     420          (1,100)  

Zoetis, Inc., Class A

     119          07/15/22        USD     175.00        USD     2,045          (26,180)  

Zoetis, Inc., Class A

     39          07/15/22        USD     180.00        USD     670          (6,435)  

Abbott Laboratories

     103          07/22/22        USD     112.00        USD     1,119          (16,377)  

AbbVie, Inc.

     201          07/22/22        USD     150.00        USD     3,079          (111,555)  

AmerisourceBergen Corp.

     17          07/22/22        USD     155.00        USD     241          (808)  

Amgen, Inc.

     60          07/22/22        USD     250.00        USD     1,460          (16,470)  

Anthem, Inc.

     19          07/22/22        USD     485.00        USD     917          (28,025)  

AstraZeneca PLC

     93          07/22/22        USD     65.00        USD     614          (22,785)  

Baxter International, Inc.

     77          07/22/22        USD     75.00        USD     495          (9,625)  

Boston Scientific Corp.

     273          07/22/22        USD     43.00        USD     1,017          (17,745)  

Bristol-Myers Squibb Co.

     287          07/22/22        USD     78.00        USD     2,210          (34,153)  

CVS Health Corp.

     25          07/22/22        USD     97.00        USD     232          (1,650)  

Gilead Sciences, Inc.

     82          07/22/22        USD     63.00        USD     507          (7,380)  

Gilead Sciences, Inc.

     100          07/22/22        USD     61.00        USD     618          (27,600)  

Gilead Sciences, Inc.

     39          07/22/22        USD     65.00        USD     241          (1,326)  

 

 

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

  71


Schedule of Investments (unaudited) (continued)

June 30, 2022

  

BlackRock Health Sciences Trust (BME)

    

 

Exchange-Traded Options Written (continued)

 

Description    Number of
Contracts
       Expiration
Date
       Exercise Price       

Notional
Amount (000)

       Value  
Call (continued)                                                   

Johnson & Johnson

     338          07/22/22        USD     180.00        USD     6,000        $ (92,950)  

McKesson Corp.

     17          07/22/22        USD     330.00        USD     555          (11,730)  

Medtronic PLC

     93          07/22/22        USD     99.00        USD     835          (3,348)  

Merck & Co., Inc.

     260          07/22/22        USD     92.00        USD     2,370          (48,100)  

Moderna, Inc.

     53          07/22/22        USD     140.00        USD     757          (59,227)  

Pfizer, Inc.

     199          07/22/22        USD     55.00        USD     1,043          (11,244)  

Pfizer, Inc.

     138          07/22/22        USD     52.00        USD     724          (24,909)  

Teladoc Health, Inc.

     30          07/22/22        USD     38.00        USD     100          (3,180)  

UnitedHealth Group, Inc.

     126          07/22/22        USD     505.00        USD     6,472            (280,980)  

Vertex Pharmaceuticals, Inc.

     50          07/22/22        USD     270.00        USD     1,409          (80,750)  

Waters Corp.

     40          07/28/22        USD     333.00        USD     1,324          (50,547)  

Abbott Laboratories

     169          07/29/22        USD     111.00        USD     1,836          (40,306)  

AmerisourceBergen Corp.

     1          07/29/22        USD     150.00        USD     14          (133)  

AmerisourceBergen Corp.

     2          07/29/22        USD     155.00        USD     28          (125)  

Amgen, Inc.

     66          07/29/22        USD     250.00        USD     1,606          (20,031)  

Baxter International, Inc.

     40          07/29/22        USD     70.00        USD     257          (2,200)  

Boston Scientific Corp.

     265          07/29/22        USD     37.00        USD     988          (47,037)  

CVS Health Corp.

     108          07/29/22        USD     92.00        USD     1,001          (32,238)  

Edwards Lifesciences Corp.

     89          07/29/22        USD     90.00        USD     846          (69,420)  

Eli Lilly & Co.

     209          07/29/22        USD     325.00        USD     6,776          (245,052)  

Gilead Sciences, Inc.

     254          07/29/22        USD     60.00        USD     1,570          (89,408)  

Johnson & Johnson

     155          07/29/22        USD     175.00        USD     2,751          (93,775)  

Medtronic PLC

     22          07/29/22        USD     95.00        USD     197          (1,254)  

Medtronic PLC

     108          07/29/22        USD     90.00        USD     969          (23,220)  

Sarepta Therapeutics, Inc.

     17          07/29/22        USD     80.00        USD     127          (6,630)  

Abbott Laboratories

     100          08/05/22        USD     111.00        USD     1,087          (27,850)  

Boston Scientific Corp.

     323          08/05/22        USD     40.00        USD     1,204          (23,417)  

Bristol-Myers Squibb Co.

     124          08/05/22        USD     79.00        USD     955          (18,166)  

CVS Health Corp.

     38          08/05/22        USD     97.00        USD     352          (5,529)  

Medtronic PLC

     125          08/05/22        USD     92.00        USD     1,122          (31,875)  

Pfizer, Inc.

     820          08/05/22        USD     53.00        USD     4,299          (141,040)  

Teladoc Health, Inc.

     10          08/05/22        USD     39.00        USD     33          (1,940)  

AbbVie, Inc.

     104          08/19/22        USD     160.00        USD     1,593          (31,356)  

Agilent Technologies, Inc.

     83          08/19/22        USD     125.00        USD     986          (29,880)  

Agilon Health, Inc.

     40          08/19/22        USD     22.50        USD     87          (8,900)  

Alcon, Inc.

     28          08/19/22        USD     72.50        USD     196          (6,300)  

Alkermes PLC

     24          08/19/22        USD     30.00        USD     71          (4,380)  

Alnylam Pharmaceuticals, Inc.

     16          08/19/22        USD     170.00        USD     233          (28,800)  

Amedisys, Inc.

     45          08/19/22        USD     130.00        USD     473          (8,775)  

Arcutis Biotherapeutics, Inc.

     55          08/19/22        USD     22.50        USD     117          (13,612)  

Arcutis Biotherapeutics, Inc.

     53          08/19/22        USD     25.00        USD     113          (5,830)  

Argenx SE

     17          08/19/22        USD     370.00        USD     644          (56,695)  

Avantor, Inc.

     230          08/19/22        USD     32.50        USD     715          (27,025)  

Bausch & Lomb Corp.

     144          08/19/22        USD     17.50        USD     219          (9,000)  

BioMarin Pharmaceutical, Inc.

     67          08/19/22        USD     77.00        USD     555          (61,537)  

Cerevel Therapeutics Holdings, Inc.

     32          08/19/22        USD     35.00        USD     85          (8,400)  

Cooper Cos., Inc.

     6          08/19/22        USD     340.00        USD     188          (3,300)  

Danaher Corp.

     112          08/19/22        USD     280.00        USD     2,839          (39,200)  

DexCom, Inc.

     73          08/19/22        USD     75.00        USD     544          (48,180)  

Enanta Pharmaceuticals, Inc.

     11          08/19/22        USD     45.00        USD     52          (7,865)  

Genmab A/S

     64          08/19/22        USD     30.00        USD     208          (25,120)  

Guardant Health, Inc.

     22          08/19/22        USD     45.00        USD     89          (7,920)  

HCA Healthcare, Inc.

     44          08/19/22        USD     195.00        USD     739          (9,790)  

Horizon Therapeutics PLC

     40          08/19/22        USD     90.00        USD     319          (9,600)  

Icon PLC

     35          08/19/22        USD     220.00        USD     758          (44,275)  

IQVIA Holdings, Inc.

     26          08/19/22        USD     220.00        USD     564          (26,390)  

IQVIA Holdings, Inc.

     33          08/19/22        USD     230.00        USD     716          (21,120)  

Krystal Biotech, Inc.

     10          08/19/22        USD     60.00        USD     66          (9,350)  

Merck & Co., Inc.

     246          08/19/22        USD     95.00        USD     2,243          (47,601)  

Neurocrine Biosciences, Inc.

     44          08/19/22        USD     95.00        USD     429          (34,320)  

Omnicell, Inc.

     24          08/19/22        USD     125.00        USD     273          (8,100)  

Pfizer, Inc.

     415          08/19/22        USD     52.50        USD     2,176          (96,280)  

 

 

72  

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


Schedule of Investments (unaudited) (continued)

June 30, 2022

  

BlackRock Health Sciences Trust (BME)

    

 

Exchange-Traded Options Written (continued)

 

Description    Number of
Contracts
       Expiration
Date
       Exercise Price       

Notional
Amount (000)

       Value  
Call (continued)                                                   

Qiagen NV

     78          08/19/22        USD     47.00        USD     368        $ (21,844)  

Quest Diagnostics, Inc.

     40          08/19/22        USD     135.00        USD     532          (17,400)  

Quest Diagnostics, Inc.

     91          08/19/22        USD     145.00        USD     1,210          (11,603)  

Regeneron Pharmaceuticals, Inc.

     15          08/19/22        USD     615.00        USD     887          (29,925)  

Sanofi, ADR

     104          08/19/22        USD     51.25        USD     520          (15,620)  

Sarepta Therapeutics, Inc.

     10          08/19/22        USD     90.00        USD     75          (2,375)  

Seagen, Inc.

     111          08/19/22        USD     180.00        USD     1,964          (150,405)  

Stryker Corp.

     114          08/19/22        USD     210.00        USD     2,268          (66,120)  

Thermo Fisher Scientific, Inc.

     148          08/19/22        USD     550.00        USD     8,041          (342,620)  

Zimmer Biomet Holdings, Inc.

     15          08/19/22        USD     110.00        USD     158          (4,950)  

Zoetis, Inc., Class A

     116          08/19/22        USD     165.50        USD     1,994          (140,046)  

ABIOMED, Inc.

     25          09/16/22        USD     270.00        USD     619          (35,375)  
                          

 

 

 
                           $  (5,779,084)  
                          

 

 

 

OTC Options Written

 

Description   Counterparty   Number of
Contracts
    Expiration
Date
    Exercise Price    

Notional
Amount (000)

    Value  

Call

               

Daiichi Sankyo Co. Ltd.

  Goldman Sachs International     22,600       07/06/22       JPY       3,500.12       JPY       77,676     $ (6,388)  

Roche Holding AG

  Morgan Stanley & Co. International PLC     1,100       07/06/22       CHF       330.67       CHF       350       (587)  

Alkermes PLC

  Citibank N.A.     1,900       07/07/22       USD       31.06       USD       57       (977)  

Alcon, Inc.

  Barclays Bank PLC     6,900       07/11/22       USD       75.62       USD       482       (821)  

Alcon, Inc.

  Citibank N.A.     6,800       07/11/22       USD       74.49       USD       475       (1,545)  

AstraZeneca PLC

  Merrill Lynch International     21,900       07/19/22       GBP       108.29       GBP       2,365       (67,565)  

Daiichi Sankyo Co. Ltd.

  Goldman Sachs International     10,400       07/20/22       JPY       3,517.50       JPY       35,745       (5,542)  

Alcon, Inc.

  Bank of America N.A.     3,700       07/25/22       USD       76.85       USD       259       (1,515)  

Alkermes PLC

  Citibank N.A.     2,000       07/26/22       USD       30.69       USD       60       (1,754)  

Teleflex, Inc.

  Barclays Bank PLC     1,500       07/26/22       USD       261.64       USD       369       (5,853)  

West Pharmaceutical Services, Inc.

  JPMorgan Chase Bank N.A.     500       07/26/22       USD       316.62       USD       151       (3,439)  

AstraZeneca PLC

  Goldman Sachs International     3,000       07/27/22       GBP       99.22       GBP       324       (36,148)  

Agilent Technologies, Inc.

  JPMorgan Chase Bank N.A.     4,300       07/28/22       USD       118.64       USD       511       (20,434)  

Hansoh Pharmaceutical Group Ltd.

  Goldman Sachs International     110,000       07/28/22       HKD       13.87       HKD       1,742       (33,311)  

Insulet Corp.

  Barclays Bank PLC     1,300       07/28/22       USD       216.11       USD       283       (19,220)  

Quest Diagnostics, Inc.

  Bank of America N.A.     4,600       07/28/22       USD       139.79       USD       612       (8,594)  

Roche Holding AG

  JPMorgan Chase Bank N.A.     1,000       07/28/22       CHF       309.78       CHF       319       (14,153)  

AstraZeneca PLC

  Credit Suisse International     3,000       08/03/22       GBP       99.13       GBP       324       (38,424)  

Hansoh Pharmaceutical Group Ltd.

  JPMorgan Chase Bank N.A.     158,000       08/03/22       HKD       14.42       HKD       2,503       (42,138)  

Ionis Pharmaceuticals, Inc.

  Barclays Bank PLC     2,900       08/03/22       USD       35.48       USD       107       (10,484)  

Daiichi Sankyo Co. Ltd.

  JPMorgan Chase Bank N.A.     6,800       08/09/22       JPY       3,226.10       JPY       23,372       (15,561)  

Sanofi

  Credit Suisse International     15,200       08/09/22       EUR       98.75       EUR       1,464       (32,718)  

Sanofi

  Goldman Sachs International     15,700       08/09/22       EUR       98.21       EUR       1,513       (37,130)  

Genmab A/S

  Goldman Sachs International     900       08/11/22       DKK       2,371.95       DKK       2,067       (11,138)  

Hansoh Pharmaceutical Group Ltd.

  Goldman Sachs International     66,000       08/11/22       HKD       17.40       HKD       1,045       (6,737)  
               

 

 

 
                $   (422,176)  
               

 

 

 

Balances Reported in the Statements of Assets and Liabilities for Options Written

 

Description    Swap
Premiums
Paid
     Swap
Premiums
Received
     Unrealized
Appreciation
     Unrealized
Depreciation
     Value  

Options Written

   $ N/A      $ N/A      $ 955,304      $ (2,276,888    $  (6,201,260)  

 

 

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

  73


Schedule of Investments (unaudited) (continued)

June 30, 2022

  

BlackRock Health Sciences Trust (BME)

    

 

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

 

     Commodity
Contracts
    Credit
Contracts
    Equity
Contracts
    Foreign
Currency
Exchange
Contracts
    Interest
Rate
Contracts
    Other
Contracts
    Total  

Liabilities — Derivative Financial Instruments

             

Options written

             

Options written at value

  $     $     $  6,201,260     $     $     $     $  6,201,260  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

For the period ended June 30, 2022, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

     Commodity
Contracts
    Credit
Contracts
    Equity
Contracts
    Foreign
Currency
Exchange
Contracts
    Interest
Rate
Contracts
    Other
Contracts
    Total  

Net Realized Gain (Loss) from:

             

Options purchased(a)

  $     $     $ (274   $     $     $     $ (274

Options written

                6,064,252                         6,064,252  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $     $     $  6,063,978     $     $     $     $  6,063,978  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Change in Unrealized Appreciation (Depreciation) on:

             

Options written

  $     $     $ 2,413,383     $     $     $     $ 2,413,383  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

  (a) 

Options purchased are included in net realized gain (loss) from investments — unaffiliated.

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Options:

        

Average value of option contracts purchased

   $ 25  

Average value of option contracts written

   $ (6,807,414

For more information about the Trust’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

Derivative Financial Instruments — Offsetting as of Period End

The Trust’s derivative assets and liabilities (by type) were as follows:

 

      Assets      Liabilities  

Derivative Financial Instruments

     

Options

   $      $ 6,201,260  
  

 

 

    

 

 

 

Total derivative assets and liabilities in the Statements of Assets and Liabilities

            6,201,260  
  

 

 

    

 

 

 

Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)

            (5,779,084
  

 

 

    

 

 

 

Total derivative assets and liabilities subject to an MNA

   $      $ 422,176  
  

 

 

    

 

 

 

 

 

74  

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


Schedule of Investments (unaudited) (continued)

June 30, 2022

  

BlackRock Health Sciences Trust (BME)

    

 

The following table presents the Trust’s derivative liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral pledged by the Trust:

 

Counterparty     



Derivative
Liabilities
Subject to
an MNA by
Counterparty
 
 
 
 
 
      

Derivatives
Available
for Offset
 
 
 
      

Non-Cash
Collateral
Pledged
 
 
(a) 
    

Cash
Collateral
Pledged
 
 
 
      

Net Amount
of Derivative
Liabilities
 
 
(b) 

Bank of America N.A.

   $ 10,109        $        $      $        $ 10,109  

Barclays Bank PLC

     36,378                                   36,378  

Citibank N.A.

     4,276                                   4,276  

Credit Suisse International

     71,142                                   71,142  

Goldman Sachs International

     136,394                   (136,394                

JPMorgan Chase Bank N.A.

     95,725                   (95,725                

Merrill Lynch International

     67,565                                   67,565  

Morgan Stanley & Co. International PLC

     587                                   587  
  

 

 

      

 

 

      

 

 

    

 

 

      

 

 

 
   $ 422,176        $        $     (232,119    $        $ 190,057  
  

 

 

      

 

 

      

 

 

    

 

 

      

 

 

 

 

  (a)

Excess of collateral received/pledged, if any, from the individual counterparty is not shown for financial reporting purposes.

 
  (b) 

Net amount represents the net amount payable due to counterparty in the event of default. Net amount may be offset further by the options written receivable/payable on the Statements of Assets and Liabilities.

 

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of financial instruments. For a description of the input levels and information about the Trust’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.

The following table summarizes the Trust’s financial instruments categorized in the fair value hierarchy. The breakdown of the Trust’s financial instruments into major categories is disclosed in the Schedule of Investments above.

 

      Level 1        Level 2        Level 3        Total  

Assets

                 

Investments

                 

Long-Term Investments

                 

Common Stocks

                 

Biotechnology

   $ 102,474,724        $ 898,094        $        $ 103,372,818  

Diversified Financial Services

     1,448,624                            1,448,624  

Health Care Equipment & Supplies

     83,884,830                            83,884,830  

Health Care Providers & Services

     131,922,313                            131,922,313  

Health Care Technology

     613,090                            613,090  

Life Sciences Tools & Services

     60,277,827                            60,277,827  

Pharmaceuticals

     129,455,001          24,521,596                   153,976,597  

Other Interests

                       150,226          150,226  

Preferred Securities

                 

Preferred Stocks

                       4,876,299          4,876,299  

Warrants

     5,598                            5,598  

Short-Term Securities

                 

Money Market Funds

     31,712,585                            31,712,585  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $  541,794,592        $   25,419,690        $ 5,026,525          572,240,807  
  

 

 

      

 

 

      

 

 

      

 

 

 

Investments Valued at NAV(a)

                    588,874  
                 

 

 

 
                  $  572,829,681  
                 

 

 

 

Derivative Financial Instruments(b)

                 

Liabilities

                 

Equity Contracts

   $ (5,466,661      $ (734,599      $        $ (6,201,260
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

Certain investments of the Trust were fair valued using NAV per share as no quoted market value is available and therefore have been excluded from the fair value hierarchy.

 
  (b) 

Derivative financial instruments are options written. Options written are shown at value.

 

See notes to financial statements.

 

 

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

  75


Schedule of Investments (unaudited)

June 30, 2022

  

BlackRock Health Sciences Trust II (BMEZ)

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  

Common Stocks

   
Biotechnology — 31.6%            

Abbisko Cayman Ltd., (Acquired 10/29/21, Cost: $14,841,983)(a)

    10,378,250     $ 4,734,941  

AbbVie, Inc.

    194,795         29,834,802  

Acumen Pharmaceuticals, Inc.(b)

    1,426,503       6,704,564  

Akouos, Inc.(b)

    287,850       1,350,016  

Alkermes PLC(b)

    1,163,110       34,649,047  

Alnylam Pharmaceuticals, Inc.(b)(c)

    88,342       12,884,681  

Ambrx Biopharma, Inc., ADR(b)

    1,265,827       3,354,442  

Annexon, Inc.(b)

    237,835       896,638  

Applied Molecular Transport, Inc.(b)

    99,096       288,369  

Arcutis Biotherapeutics, Inc.(b)

    511,332       10,896,485  

Argenx SE, ADR(b)

    104,304       39,518,700  

Arrowhead Pharmaceuticals, Inc.(b)

    81,025       2,852,890  

Biogen, Inc.(b)

    71,495       14,580,690  

Biohaven Pharmaceutical Holding Co. Ltd.(b)

    198,310       28,895,750  

BioMarin Pharmaceutical, Inc.(b)

    365,103       30,256,086  

Biomea Fusion, Inc.(b)(d)

    521,404       6,246,420  

Cerevel Therapeutics Holdings, Inc.(b)

    266,656       7,050,385  

Connect Biopharma Holdings Ltd.(b)

    1,125,262       978,978  

Day One Biopharmaceuticals, Inc.(b)

    378,535       6,775,776  

Decibel Therapeutics, Inc.(b)

    793,527       3,340,749  

Design Therapeutics, Inc.(b)

    841,761       11,784,654  

Enanta Pharmaceuticals, Inc.(b)

    20,508       969,413  

Everest Medicines Ltd., (Acquired 05/29/20, Cost: $11,209,200)(a)

    3,113,667       8,928,163  

Everest Medicines Ltd.(b)(e)

    433,000       1,244,077  

Exact Sciences Corp.(b)

    239,870       9,448,479  

Exelixis, Inc.(b)

    599,520       12,482,006  

Fate Therapeutics, Inc.(b)

    54,634       1,353,831  

Galapagos NV, ADR(b)

    74,410       4,152,078  

Genmab A/S(b)

    34,827       11,299,439  

Genmab A/S, ADR(b)

    114,086       3,706,654  

Gilead Sciences, Inc

    254,765       15,747,025  

Gracell Biotechnologies, Inc., ADR(b)

    340,846       1,874,653  

Halozyme Therapeutics, Inc.(b)

    502,750       22,121,000  

Horizon Therapeutics PLC(b)

    186,009       14,836,078  

Imago Biosciences, Inc.(b)

    1,120,866       15,008,396  

Immuneering Corp., Class A(b)(d)

    817,261       4,421,382  

Immunocore Holdings PLC, ADR(b)

    59,868       2,233,675  

Immunocore Ltd.

    321,900       12,010,089  

ImmunoGen, Inc.(b)

    497,785       2,240,032  

Insmed, Inc.(b)

    125,556       2,475,964  

Ionis Pharmaceuticals, Inc.(b)

    468,285       17,335,911  

Karuna Therapeutics, Inc.(b)

    32,205       4,074,255  

Keros Therapeutics, Inc.(b)

    200,607       5,542,771  

Kinnate Biopharma, Inc.(b)

    295,538       3,726,734  

Kronos Bio, Inc.(b)

    284,272       1,034,750  

Krystal Biotech, Inc.(b)

    86,357       5,670,201  

Legend Biotech Corp., ADR(b)

    49,415       2,717,825  

LianBio, ADR(b)

    615,188       1,328,806  

Monte Rosa Therapeutics, Inc.(b)(d)

    764,573       7,393,421  

MoonLake Immunotherapeutics(b)(d)

    216,150       1,134,788  

Neurocrine Biosciences, Inc.(b)

    293,280       28,588,934  

Omega Therapeutics, Inc.(b)(d)

    408,287       1,551,491  

PMV Pharmaceuticals, Inc.(b)

    305,830       4,358,077  

Point Biopharma Global, Inc.(b)(d)

    394,898       2,689,255  

Prothena Corp. PLC(b)

    218,511       5,932,574  

RAPT Therapeutics, Inc.(b)

    178,545       3,258,446  

Revolution Medicines, Inc.(b)

    280,503       5,467,003  
Security   Shares     Value  
Biotechnology (continued)            

Sage Therapeutics, Inc.(b)

    62,405     $ 2,015,681  

Sarepta Therapeutics, Inc.(b)(c)

    459,519       34,445,544  

Seagen, Inc.(b)(c)(f)

    79,130       14,001,262  

Sierra Oncology, Inc.(b)

    200,737       11,038,528  

Sigilon Therapeutics, Inc.(b)

    564,538       468,567  

Talaris Therapeutics, Inc.(b)

    748,614       3,376,249  

Tenaya Therapeutics, Inc.(b)

    165,729       933,054  

TScan Therapeutics, Inc.(b)

    855,317       2,689,972  

Twist Bioscience Corp.(b)

    204,550       7,151,068  

Ultragenyx Pharmaceutical, Inc.(b)

    56,345       3,361,543  

United Therapeutics Corp.(b)(c)(f)

    55,704       13,126,091  

Vertex Pharmaceuticals, Inc.(b)(f)

    235,570       66,381,270  

Zentalis Pharmaceuticals, Inc.(b)

    191,741       5,387,922  
   

 

 

 
      670,609,490  
Diversified Financial Services(b) — 2.3%            

DA32 Life Science Tech Acquisition Corp., Class A(g)

    1,496,819       14,504,176  

Eucrates Biomedical Acquisition Corp.(g)

    897,657       8,886,804  

Health Assurance Acquisition Corp., Class A

    1,361,273       13,449,377  

Health Sciences Acquisitions Corp. 2

    233,344       2,324,106  

MedTech Acquisition Corp., Class A

    917,284       9,026,075  
   

 

 

 
      48,190,538  
Electronic Equipment, Instruments & Components — 0.3%  

908 Devices, Inc.(b)

    274,084       5,643,390  
   

 

 

 
Health Care Equipment & Supplies — 21.3%            

ABIOMED, Inc.(b)(c)

    98,636       24,413,396  

Alcon, Inc.

    736,189       51,452,249  

Align Technology, Inc.(b)

    36,710       8,688,156  

Bausch & Lomb Corp.(b)(d)

    505,947       7,710,632  

Baxter International, Inc.

    225,890       14,508,915  

ConvaTec Group PLC(e)

    4,411,215       12,091,049  

Cooper Cos., Inc.

    73,600       23,045,632  

DexCom, Inc.(b)

    346,628       25,834,185  

Edwards Lifesciences Corp.(b)

    173,153       16,465,119  

Globus Medical, Inc., Class A(b)

    104,070       5,842,490  

Hologic, Inc.(b)(c)

    269,455       18,673,231  

Insulet Corp.(b)

    109,670       23,901,480  

Intuitive Surgical, Inc.(b)(f)

    71,013       14,253,019  

Nevro Corp.(b)(c)

    511,890       22,436,139  

Novocure Ltd.(b)

    127,530       8,863,335  

Nyxoah SA(b)(d)

    648,041       6,156,389  

Omnicell, Inc.(b)

    140,725       16,007,469  

Penumbra, Inc.(b)

    111,508       13,884,976  

Pulmonx Corp.(b)

    183,221       2,697,013  

ResMed, Inc.(c)

    196,756       41,245,960  

SI-BONE, Inc.(b)

    204,910       2,704,812  

Silk Road Medical, Inc.(b)

    204,932       7,457,475  

Sonova Holding AG, Registered Shares

    47,915       15,312,740  

STERIS PLC

    98,550       20,316,082  

Tandem Diabetes Care, Inc.(b)(c)

    238,345       14,107,641  

Teleflex, Inc.

    59,702       14,677,737  

Zimmer Biomet Holdings, Inc.

    187,613       19,710,622  
   

 

 

 
      452,457,943  
Health Care Providers & Services — 12.2%            

Addus HomeCare Corp.(b)

    42,050       3,501,924  

Agilon Health, Inc.(b)

    282,683       6,170,970  

Amedisys, Inc.(b)

    164,226       17,263,437  

AmerisourceBergen Corp.

    193,455       27,370,013  

Amplifon SpA

    291,905       8,974,490  
 

 

 

76  

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


Schedule of Investments (unaudited) (continued)

June 30, 2022

  

BlackRock Health Sciences Trust II (BMEZ)

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  
Health Care Providers & Services (continued)  

Cano Health, Inc.(b)

    887,562     $ 3,887,522  

CareMax, Inc., (Acquired 07/22/21, Cost: $14,077,000)(a)

    1,407,700       5,109,951  

Chemed Corp.

    10,662       5,004,636  

CVS Health Corp.

    160,650       14,885,829  

Elevance Health, Inc.

    45,345       21,882,590  

Encompass Health Corp.(c)

    370,028       20,740,069  

Guardant Health, Inc.(b)

    233,615       9,424,029  

Henry Schein, Inc.(b)

    67,505       5,180,334  

Kindstar Globalgene Technology, Inc.(b)(e)

    4,092,500       1,130,635  

LHC Group, Inc.(b)(c)

    233,659       36,390,053  

Quest Diagnostics, Inc.

    260,825       34,684,509  

R1 RCM, Inc.(b)

    690,615       14,475,290  

UnitedHealth Group, Inc.(c)

    45,900       23,575,617  
   

 

 

 
      259,651,898  
Health Care Technology(b) — 0.3%            

Sophia Genetics SA

    291,485       1,055,176  

Teladoc Health, Inc.

    184,446       6,125,451  
   

 

 

 
      7,180,627  
Life Sciences Tools & Services — 13.1%            

10X Genomics, Inc., Class A(b)

    90,120       4,077,930  

Agilent Technologies, Inc.

    218,710       25,976,187  

Avantor, Inc.(b)(c)

    998,624       31,057,206  

Bruker Corp.

    208,102       13,060,482  

Cytek Biosciences, Inc.(b)

    840,842       9,022,235  

Danaher Corp.

    62,605       15,871,620  

Gerresheimer AG

    243,305       15,894,465  

IQVIA Holdings, Inc.(b)

    100,512       21,810,099  

IsoPlexis Corp.(b)

    1,601,113       3,458,404  

Lonza Group AG, Registered Shares

    19,017       10,157,689  

Mettler-Toledo International, Inc.(b)(c)

    9,350       10,741,000  

QIAGEN NV(b)

    645,525       30,468,780  

Rapid Micro Biosystems, Inc., Class A(b)(d)

    549,778       2,364,045  

Sotera Health Co.(b)

    1,179,907       23,114,378  

Waters Corp.(b)

    109,980       36,401,180  

West Pharmaceutical Services, Inc.

    39,055       11,809,060  

Wuxi Biologics Cayman, Inc.(b)(e)

    1,233,303       11,427,069  
   

 

 

 
      276,711,829  
Pharmaceuticals — 6.6%            

Antengene Corp. Ltd., (Acquired 11/18/20, Cost: $7,091,948)(a)

    5,019,274       4,509,594  

AstraZeneca PLC, ADR

    193,960       12,814,937  

Daiichi Sankyo Co. Ltd.

    1,462,400       37,192,463  

H Lundbeck A/S

    1,603,360       7,786,887  

H Lundbeck A/S(b)

    400,840       1,923,566  

Nuvation Bio, Inc.(b)

    200,496       649,607  

Pfizer, Inc.

    234,765       12,308,729  
Security   Shares     Value  
Pharmaceuticals (continued)  

UCB SA

    344,377     $ 29,182,249  

Zoetis, Inc., Class A

    191,775       32,964,205  
   

 

 

 
      139,332,237  
   

 

 

 

Total Common Stocks — 87.7%
(Cost: $2,043,027,812)

 

    1,859,777,952  
   

 

 

 
     Benefical
Interest (000)
        

Other Interests

 

Biotechnology — 0.2%  

Vividion Therapeutics, Inc.(h)

  $ 3,810       3,961,905  
   

 

 

 

Total Other Interests — 0.2%
(Cost: $ — )

 

    3,961,905  
   

 

 

 
     Shares         

Preferred Securities

   
Preferred Stocks — 9.4%(h)  
Biotechnology — 3.8%            

Affinvax, Inc., Series C, (Acquired 01/06/21, Cost: $5,786,041)(a)

    183,164       11,596,113  

Amunix Pharmaceuticals, Inc., Series B

    5,657,068       3,677,094  

Bright Peak Therapeutics AG, Series B, (Acquired 05/14/21, Cost: $8,000,003)(a)

    2,048,132       4,342,040  

Cellarity, Inc., Series B, (Acquired 01/15/21, Cost: $14,584,998)(a)

    2,430,833       11,667,998  

Goldfinch Biopharma, Inc., Series B, (Acquired 06/26/20, Cost: $4,543,847)(a)

    3,850,718       5,159,962  

Laronde, Inc., Series B, (Acquired 07/28/21, Cost: $13,498,156)(a)

    482,077       12,148,340  

Mirvie, Inc., Series B, (Acquired 10/15/21, Cost: $6,250,000)(a)

    2,793,833       6,202,309  

Neurogene, Inc., Series B, (Acquired 12/14/20, Cost: $9,549,916)(a)

    3,913,900       9,549,916  

NiKang Therapeutics, Inc., Series C, (Acquired 05/20/21, Cost: $7,999,996)(a)

    1,394,189       5,716,175  

Numab Therapeutics AG, (Acquired 05/07/21, Cost: $7,770,441)(a)

    815,851       6,597,570  

OnKure, Inc., Series B, (Acquired 03/03/21, Cost: $4,500,001)(a)

    1,628,488       4,462,057  
   

 

 

 
      81,119,574  
Health Care Equipment & Supplies(a) — 1.4%  

Exo Imaging, Inc., Series C, (Acquired 06/24/21, Cost: $13,225,003)

    2,257,597       8,827,205  

Nucleix Ltd., Series AA, (Acquired 03/25/21, Cost: $6,929,998)

    2,379,480       6,400,801  
 

 

 

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

  77


Schedule of Investments (unaudited) (continued)

June 30, 2022

  

BlackRock Health Sciences Trust II (BMEZ)

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  
Health Care Equipment & Supplies (continued)  

Quanta Dialysis Technologies Ltd., Series D, (Acquired 06/18/21, Cost: $14,071,890)

    115,766,240     $ 9,300,870  

Swift Health Systems, Inc., Series D, (Acquired 08/27/21, Cost: $6,441,930)

    2,078,042       4,613,253  
   

 

 

 
      29,142,129  
Health Care Providers & Services(a) — 2.1%  

Adicon Holdings Ltd., (Acquired 12/22/20, Cost: $17,840,000)

    10,696,226       21,285,490  

Everly Well, Inc., Series D, (Acquired 11/25/20, Cost: $9,999,986)

    382,775       22,687,074  
   

 

 

 
      43,972,564  
Pharmaceuticals(a) — 0.6%            

Insitro, Inc.
Series B, (Acquired 05/21/20, Cost: $4,999,999)

    802,478       10,271,719  

Series C, (Acquired 03/10/21, Cost: $3,600,018)

    196,818       2,519,270  
   

 

 

 
      12,790,989  
Semiconductors & Semiconductor Equipment — 0.7%  

PsiQuantum Corp., Series C, (Acquired 05/21/21, Cost: $14,999,997)(a)

    571,947       14,618,965  
   

 

 

 
Software — 0.8%            

Carbon Health Technologies, Inc., (Acquired 07/09/21,
Cost: $17,100,000)(a)

    17,100       16,820,757  
   

 

 

 
          198,464,978  
   

 

 

 

Total Preferred Securities — 9.4%
(Cost: $191,692,220)

 

    198,464,978  
   

 

 

 

Warrants

   
Diversified Financial Services(b) — 0.0%            

Eucrates Biomedical Acquisition Corp. (Expires 12/14/2025)

    297,180       8,915  

Health Assurance Acquisition Corp. (Expires 11/12/2025)

    202,809       27,339  
   

 

 

 
      36,254  
Health Care Providers & Services — 0.0%  

CareMax, Inc. (Expires 06/08/2026)(b)

    63,808       41,475  
   

 

 

 
Pharmaceuticals — 0.0%            

Nuvation Bio, Inc. (Expires 7/7/2027)(b)

    68,880       19,287  
   

 

 

 

Total Warrants — 0.0%
(Cost: $1,262,989)

      97,016  
   

 

 

 

Total Long-Term Investments — 97.3%
(Cost: $2,235,983,021)

      2,062,301,851  
   

 

 

 
Security   Shares     Value  

Short-Term Securities

   
Money Market Funds — 4.2%  

BlackRock Liquidity Funds, T-Fund, Institutional Class, 1.33%(g)(i)

    81,844,430     $ 81,844,430  

SL Liquidity Series, LLC, Money Market Series, 1.73%(g)(i)(j)

    6,856,866       6,855,495  
   

 

 

 

Total Short-Term Securities — 4.2%
(Cost: $88,700,438)

 

    88,699,925  
   

 

 

 

Total Investments Before Options Written — 101.5%
(Cost: $2,324,683,459)

 

    2,151,001,776  
   

 

 

 

Options Written — (0.9)%
(Premiums Received: $(16,177,632))

 

    (19,713,887
   

 

 

 

Total Investments, Net of Options Written — 100.6%
(Cost: $2,308,505,827)

 

    2,131,287,889  

Liabilities in Excess of Other Assets — (0.6)%

 

    (11,740,476
   

 

 

 

Net Assets — 100.0%

 

  $ 2,119,547,413  
   

 

 

 

 

(a) 

Restricted security as to resale, excluding 144A securities. The Trust held restricted securities with a current value of $218,070,533, representing 10.3% of its net assets as of period end, and an original cost of $238,912,351.

(b) 

Non-income producing security.

(c) 

All or a portion of the security has been pledged and/or segregated as collateral in connection with outstanding exchange-traded options written.

(d) 

All or a portion of this security is on loan.

(e) 

Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.

(f) 

All or a portion of the security has been pledged as collateral in connection with outstanding OTC derivatives.

(g) 

Affiliate of the Trust.

(h) 

Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

(i) 

Annualized 7-day yield as of period end.

(j) 

All or a portion of this security was purchased with the cash collateral from loaned securities.

 

 

For Trust compliance purposes, the Trust’s industry classifications refer to one or more of the industry sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.

 

 

78  

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


Schedule of Investments (unaudited) (continued)

June 30, 2022

  

BlackRock Health Sciences Trust II (BMEZ)

    

 

Affiliates

Investments in issuers considered to be affiliate(s) of the Trust during the six months ended June 30, 2022 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

 

 
Affiliated Issuer   Value at
12/31/21
   

Purchases

at Cost

    Proceeds
from Sales
    Net
Realized
Gain (Loss)
    Change in
Unrealized
Appreciation
(Depreciation)
    Value at
06/30/22
    Shares
Held at
06/30/22
    Income     Capital Gain
Distributions
from
Underlying
Funds
 

 

 

BlackRock Liquidity Funds, T-Fund, Institutional Class

  $  61,616,484     $ 20,227,946 (a)    $     $     $     $ 81,844,430       81,844,430     $ 167,503     $  

DA32 Life Science Tech Acquisition Corp., Class A

    14,683,795                         (179,619     14,504,176       1,496,819              

Eucrates Biomedical Acquisition Corp.

    8,761,132                         125,672       8,886,804       897,657              

SL Liquidity Series, LLC, Money Market Series

    4,939,518       1,917,516 (a)            (1,164     (375     6,855,495       6,856,866       102,720 (b)       
       

 

 

   

 

 

   

 

 

     

 

 

   

 

 

 
        $ (1,164   $ (54,322   $  112,090,905       $  270,223     $  
       

 

 

   

 

 

   

 

 

     

 

 

   

 

 

 

 

  (a) 

Represents net amount purchased (sold).

 
  (b) 

All or a portion represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities.

 

Derivative Financial Instruments Outstanding as of Period End

Exchange-Traded Options Written

 

Description    Number of
Contracts
       Expiration
Date
       Exercise Price        Notional
Amount (000)
       Value  
Call                                                   

Biogen, Inc.

     53          07/01/22        USD     205.00        USD     1,081        $ (7,155

Tandem Diabetes Care, Inc.

     131          07/01/22        USD     80.00        USD     775          (52,400

AbbVie, Inc.

     41          07/08/22        USD     150.00        USD     628          (18,860

AmerisourceBergen Corp.

     34          07/08/22        USD     155.00        USD     481          (7,140

Anthem, Inc.

     124          07/08/22        USD     465.00        USD     5,984          (249,860

AstraZeneca PLC

     310          07/08/22        USD     68.00        USD     2,048          (9,145

Baxter International, Inc.

     180          07/08/22        USD     67.50        USD     1,156          (9,000

Biogen, Inc.

     54          07/08/22        USD     210.00        USD     1,101          (10,260

Edwards Lifesciences Corp.

     570          07/08/22        USD     105.00        USD     5,420          (128,250

Exact Sciences Corp.

     265          07/08/22        USD     57.00        USD     1,044          (82,150

UnitedHealth Group, Inc.

     146          07/08/22        USD     505.00        USD     7,499          (213,890

Vertex Pharmaceuticals, Inc.

     222          07/08/22        USD     285.00        USD     6,256          (68,820

10X Genomics, Inc., Class A

     288          07/15/22        USD     40.00        USD     1,303          (203,040

908 Devices, Inc.

     225          07/15/22        USD     17.50        USD     463          (91,687

AbbVie, Inc.

     271          07/15/22        USD     160.00        USD     4,151          (18,564

ABIOMED, Inc.

     148          07/15/22        USD     272.00        USD     3,663          (21,360

Addus HomeCare Corp.

     134          07/15/22        USD     85.00        USD     1,116          (35,510

Agilent Technologies, Inc.

     283          07/15/22        USD     130.00        USD     3,361          (7,783

Agilent Technologies, Inc.

     132          07/15/22        USD     120.00        USD     1,568          (32,340

Agilon Health, Inc.

     684          07/15/22        USD     22.50        USD     1,493          (64,980

Alkermes PLC

     885          07/15/22        USD     31.00        USD     2,636          (86,287

Alnylam Pharmaceuticals, Inc.

     183          07/15/22        USD     160.00        USD     2,669          (194,895

Amedisys, Inc.

     263          07/15/22        USD     135.00        USD     2,765          (73,640

AmerisourceBergen Corp.

     162          07/15/22        USD     150.00        USD     2,292          (7,290

Anthem, Inc.

     123          07/15/22        USD     480.00        USD     5,936          (154,365

Arcutis Biotherapeutics, Inc.

     548          07/15/22        USD     25.00        USD     1,168          (17,810

Argenx SE

     182          07/15/22        USD     350.00        USD     6,896          (606,970

Arrowhead Pharmaceuticals, Inc.

     259          07/15/22        USD     40.00        USD     912          (17,483

Avantor, Inc.

     1,410          07/15/22        USD     31.25        USD     4,385          (107,297

Baxter International, Inc.

     181          07/15/22        USD     67.50        USD     1,163          (6,335

Baxter International, Inc.

     181          07/15/22        USD     68.00        USD     1,163          (10,860

Biogen, Inc.

     121          07/15/22        USD     220.00        USD     2,468          (16,033

BioMarin Pharmaceutical, Inc.

     299          07/15/22        USD     90.00        USD     2,478          (19,435

BioMarin Pharmaceutical, Inc.

     285          07/15/22        USD     85.00        USD     2,362          (41,325

Bruker Corp.

     333          07/15/22        USD     65.00        USD     2,090          (92,407

Cerevel Therapeutics Holdings, Inc.

     455          07/15/22        USD     30.00        USD     1,203          (77,350

Cooper Cos., Inc.

     192          07/15/22        USD     350.00        USD     6,012          (92,160

Danaher Corp.

     200          07/15/22        USD     250.00        USD     5,070          (183,000

Day One Biopharmaceuticals, Inc.

     600          07/15/22        USD     20.00        USD     1,074          (63,000

 

 

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

  79


Schedule of Investments (unaudited) (continued)

June 30, 2022

  

BlackRock Health Sciences Trust II (BMEZ)

    

 

Exchange-Traded Options Written (continued)

 

Description    Number of
Contracts
       Expiration
Date
       Exercise Price       

Notional

Amount (000)

       Value  
Call (continued)                                                   

DexCom, Inc.

     580          07/15/22        USD     85.00        USD     4,323        $ (27,550

Encompass Health Corp.

     1,184          07/15/22        USD     60.00        USD     6,636          (118,400

Exact Sciences Corp.

     502          07/15/22        USD     45.00        USD     1,977          (32,630

Fate Therapeutics, Inc.

     87          07/15/22        USD     30.00        USD     216          (4,350

Galapagos NV

     238          07/15/22        USD     55.00        USD     1,328          (55,335

Gilead Sciences, Inc.

     408          07/15/22        USD     63.00        USD     2,522          (23,868

Globus Medical, Inc., Class A

     166          07/15/22        USD     60.00        USD     932          (14,110

Guardant Health, Inc.

     499          07/15/22        USD     45.00        USD     2,013          (53,643

Halozyme Therapeutics, Inc.

     804          07/15/22        USD     46.00        USD     3,538          (82,410

Henry Schein, Inc.

     216          07/15/22        USD     80.00        USD     1,658          (16,200

Hologic, Inc.

     862          07/15/22        USD     70.00        USD     5,974          (109,905

Horizon Therapeutics PLC

     234          07/15/22        USD     100.00        USD     1,866          (52,065

Horizon Therapeutics PLC

     239          07/15/22        USD     90.00        USD     1,906          (13,743

Immunocore Holdings PLC

     96          07/15/22        USD     30.00        USD     358          (82,080

Insmed, Inc.

     401          07/15/22        USD     20.00        USD     791          (102,255

Insulet Corp.

     175          07/15/22        USD     220.00        USD     3,814          (166,250

Intuitive Surgical, Inc.

     228          07/15/22        USD     240.00        USD     4,576          (8,550

Ionis Pharmaceuticals, Inc.

     375          07/15/22        USD     45.00        USD     1,388          (6,563

Ionis Pharmaceuticals, Inc.

     375          07/15/22        USD     40.00        USD     1,388          (26,250

IQVIA Holdings, Inc.

     90          07/15/22        USD     210.00        USD     1,953          (94,950

Karuna Therapeutics, Inc.

     51          07/15/22        USD     130.00        USD     645          (73,440

Krystal Biotech, Inc.

     138          07/15/22        USD     60.00        USD     906          (97,980

Mettler-Toledo International, Inc.

     29          07/15/22        USD     1,250.00        USD     3,331          (11,020

Neurocrine Biosciences, Inc.

     469          07/15/22        USD     90.00        USD     4,572          (391,615

Nevro Corp.

     409          07/15/22        USD     45.00        USD     1,793          (83,845

Novocure Ltd.

     408          07/15/22        USD     75.00        USD     2,836          (77,520

Penumbra, Inc.

     106          07/15/22        USD     170.00        USD     1,320          (50,880

Pfizer, Inc.

     126          07/15/22        USD     55.00        USD     661          (4,977

Pulmonx Corp.

     346          07/15/22        USD     22.50        USD     509          (110,720

Qiagen NV

     799          07/15/22        USD     45.00        USD     3,771          (211,735

Quest Diagnostics, Inc.

     172          07/15/22        USD     150.00        USD     2,287          (19,350

R1 RCM, Inc.

     1,209          07/15/22        USD     25.25        USD     2,534          (3,194

ResMed, Inc.

     294          07/15/22        USD     210.00        USD     6,163          (160,230

ResMed, Inc.

     335          07/15/22        USD     220.00        USD     7,023          (65,325

Revolution Medicines, Inc.

     450          07/15/22        USD     22.50        USD     877          (12,375

Sarepta Therapeutics, Inc.

     340          07/15/22        USD     85.00        USD     2,549          (76,500

Seagen, Inc.

     401          07/15/22        USD     155.00        USD     7,095          (982,450

Silk Road Medical, Inc.

     293          07/15/22        USD     40.00        USD     1,066          (28,568

STERIS PLC

     188          07/15/22        USD     240.00        USD     3,876          (90,240

STERIS PLC

     127          07/15/22        USD     220.00        USD     2,618          (15,240

Tandem Diabetes Care, Inc.

     300          07/15/22        USD     70.00        USD     1,776          (11,250

Teladoc Health, Inc.

     200          07/15/22        USD     40.00        USD     664          (7,800

Teleflex, Inc.

     99          07/15/22        USD     310.00        USD     2,434          (47,520

United Therapeutics Corp.

     94          07/15/22        USD     200.00        USD     2,215          (336,050

Vertex Pharmaceuticals, Inc.

     171          07/15/22        USD     285.00        USD     4,819          (105,165

Waters Corp.

     59          07/15/22        USD     340.00        USD     1,953          (32,450

Waters Corp.

     98          07/15/22        USD     350.00        USD     3,244          (20,825

West Pharmaceutical Services, Inc.

     62          07/15/22        USD     310.00        USD     1,875          (36,580

Zentalis Pharmaceuticals, Inc.

     353          07/15/22        USD     25.00        USD     992          (139,435

Zimmer Biomet Holdings, Inc.

     250          07/15/22        USD     115.00        USD     2,627          (6,875

Zoetis, Inc., Class A

     613          07/15/22        USD     180.00        USD     10,537          (101,145

AbbVie, Inc.

     41          07/22/22        USD     150.00        USD     628          (22,755

AmerisourceBergen Corp.

     261          07/22/22        USD     155.00        USD     3,693          (12,398

AstraZeneca PLC

     310          07/22/22        USD     65.00        USD     2,048          (75,950

CVS Health Corp.

     256          07/22/22        USD     97.00        USD     2,372          (16,896

Gilead Sciences, Inc.

     407          07/22/22        USD     65.00        USD     2,516          (13,838

Pfizer, Inc.

     126          07/22/22        USD     55.00        USD     661          (7,119

Tandem Diabetes Care, Inc.

     165          07/22/22        USD     60.00        USD     977          (54,862

Teladoc Health, Inc.

     200          07/22/22        USD     38.00        USD     664          (21,200

Vertex Pharmaceuticals, Inc.

     360          07/22/22        USD     270.00        USD     10,144          (581,400

Waters Corp.

     96          07/28/22        USD     333.00        USD     3,177          (121,313

Align Technology, Inc.

     117          07/29/22        USD     270.00        USD     2,769          (81,900

 

 

80  

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


Schedule of Investments (unaudited) (continued)

June 30, 2022

  

BlackRock Health Sciences Trust II (BMEZ)

    

 

Exchange-Traded Options Written (continued)

 

Description    Number of
Contracts
       Expiration
Date
       Exercise Price       

Notional

Amount (000)

       Value  
Call (continued)                                                   

AmerisourceBergen Corp.

     81          07/29/22        USD     150.00        USD     1,146        $ (10,733

AmerisourceBergen Corp.

     81          07/29/22        USD     155.00        USD     1,146          (5,063

Baxter International, Inc.

     90          07/29/22        USD     70.00        USD     578          (4,950

Edwards Lifesciences Corp.

     98          07/29/22        USD     90.00        USD     932          (76,440

Sarepta Therapeutics, Inc.

     233          07/29/22        USD     80.00        USD     1,747          (90,870

CVS Health Corp.

     258          08/05/22        USD     97.00        USD     2,391          (37,539

Pfizer, Inc.

     249          08/05/22        USD     53.00        USD     1,306          (42,828

Teladoc Health, Inc.

     190          08/05/22        USD     39.00        USD     631          (36,860

908 Devices, Inc.

     89          08/19/22        USD     20.00        USD     183          (25,143

908 Devices, Inc.

     491          08/19/22        USD     22.50        USD     1,011          (81,015

AbbVie, Inc.

     271          08/19/22        USD     160.00        USD     4,151          (81,706

Agilon Health, Inc.

     220          08/19/22        USD     22.50        USD     480          (48,950

Alcon, Inc.

     711          08/19/22        USD     72.50        USD     4,969          (159,975

Alkermes PLC

     1,066          08/19/22        USD     30.00        USD     3,176          (194,545

Alnylam Pharmaceuticals, Inc.

     99          08/19/22        USD     170.00        USD     1,444          (178,200

Amedisys, Inc.

     262          08/19/22        USD     130.00        USD     2,754          (51,090

Arcutis Biotherapeutics, Inc.

     545          08/19/22        USD     22.50        USD     1,161          (134,887

Arcutis Biotherapeutics, Inc.

     543          08/19/22        USD     25.00        USD     1,157          (59,730

Argenx SE

     151          08/19/22        USD     370.00        USD     5,721          (503,585

Avantor, Inc.

     1,785          08/19/22        USD     32.50        USD     5,551          (209,737

Bausch & Lomb Corp.

     810          08/19/22        USD     17.50        USD     1,234          (50,625

BioMarin Pharmaceutical, Inc.

     583          08/19/22        USD     77.00        USD     4,831          (535,465

Bruker Corp.

     333          08/19/22        USD     62.50        USD     2,090          (166,500

Cerevel Therapeutics Holdings, Inc.

     398          08/19/22        USD     35.00        USD     1,052          (104,475

Chemed Corp.

     34          08/19/22        USD     460.00        USD     1,596          (88,400

Cooper Cos., Inc.

     44          08/19/22        USD     340.00        USD     1,378          (24,200

Day One Biopharmaceuticals, Inc.

     611          08/19/22        USD     25.00        USD     1,094          (126,782

DexCom, Inc.

     529          08/19/22        USD     75.00        USD     3,943          (349,140

Enanta Pharmaceuticals, Inc.

     65          08/19/22        USD     45.00        USD     307          (46,475

Exelixis, Inc.

     1,918          08/19/22        USD     19.00        USD     3,993          (594,580

Fate Therapeutics, Inc.

     87          08/19/22        USD     30.00        USD     216          (14,355

Genmab A/S

     365          08/19/22        USD     30.00        USD     1,186          (143,262

Globus Medical, Inc., Class A

     166          08/19/22        USD     60.00        USD     932          (35,690

Guardant Health, Inc.

     248          08/19/22        USD     45.00        USD     1,000          (89,280

Halozyme Therapeutics, Inc.

     402          08/19/22        USD     45.00        USD     1,769          (101,505

Horizon Therapeutics PLC

     430          08/19/22        USD     100.00        USD     3,430          (53,750

IQVIA Holdings, Inc.

     90          08/19/22        USD     220.00        USD     1,953          (91,350

IQVIA Holdings, Inc.

     141          08/19/22        USD     230.00        USD     3,060          (90,240

Karuna Therapeutics, Inc.

     51          08/19/22        USD     130.00        USD     645          (160,905

Krystal Biotech, Inc.

     138          08/19/22        USD     60.00        USD     906          (129,030

Legend Biotech Corp.

     158          08/19/22        USD     60.00        USD     869          (81,370

Neurocrine Biosciences, Inc.

     469          08/19/22        USD     95.00        USD     4,572          (365,820

Omnicell, Inc.

     450          08/19/22        USD     125.00        USD     5,119          (151,875

Penumbra, Inc.

     250          08/19/22        USD     125.00        USD     3,113          (266,250

Pfizer, Inc.

     250          08/19/22        USD     52.50        USD     1,311          (58,000

Pulmonx Corp.

     240          08/19/22        USD     22.50        USD     353          (63,600

Qiagen NV

     1,266          08/19/22        USD     47.00        USD     5,976          (354,542

Quest Diagnostics, Inc.

     345          08/19/22        USD     135.00        USD     4,588          (150,075

Quest Diagnostics, Inc.

     144          08/19/22        USD     145.00        USD     1,915          (18,360

R1 RCM, Inc.

     1,000          08/19/22        USD     22.50        USD     2,096          (92,500

Rapt Therapeutics, Inc.

     571          08/19/22        USD     17.50        USD     1,042          (155,597

Sarepta Therapeutics, Inc.

     897          08/19/22        USD     90.00        USD     6,724          (213,037

Seagen, Inc.

     170          08/19/22        USD     180.00        USD     3,008          (230,350

SI-BONE, Inc.

     655          08/19/22        USD     15.00        USD     865          (99,887

Sotera Health Co.

     1,258          08/19/22        USD     22.50        USD     2,464          (40,885

Tandem Diabetes Care, Inc.

     165          08/19/22        USD     65.00        USD     977          (61,050

Twist Bioscience Corp.

     327          08/19/22        USD     35.00        USD     1,143          (168,405

Twist Bioscience Corp.

     327          08/19/22        USD     45.00        USD     1,143          (74,392

United Therapeutics Corp.

     84          08/19/22        USD     220.00        USD     1,979          (204,960

Waters Corp.

     98          08/19/22        USD     350.00        USD     3,244          (86,240

Zentalis Pharmaceuticals, Inc.

     354          08/19/22        USD     25.00        USD     995          (177,000

Zimmer Biomet Holdings, Inc.

     351          08/19/22        USD     110.00        USD     3,688          (115,830

 

 

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

  81


Schedule of Investments (unaudited) (continued)

June 30, 2022

  

BlackRock Health Sciences Trust II (BMEZ)

    

 

Exchange-Traded Options Written (continued)

 

Description    Number of
Contracts
       Expiration
Date
       Exercise Price        Notional
Amount (000)
       Value  
Call (continued)                                                   

ABIOMED, Inc.

     167          09/16/22        USD     270.00        USD     4,133        $ (236,305

Halozyme Therapeutics, Inc.

     402          09/16/22        USD     45.00        USD     1,769          (154,770
                          

 

 

 
                           $   (17,364,128)  
                          

 

 

 

OTC Options Written

 

Description    Counterparty    Number of
Contracts
     Expiration
Date
     Exercise Price      Notional
Amount (000)
     Value  

Call

                     

Daiichi Sankyo Co. Ltd.

   Goldman Sachs International      344,000        07/06/22        JPY       3,500.12        JPY       1,182,328      $ (97,236

Alkermes PLC

   Citibank N.A.      88,600        07/07/22        USD       31.06        USD       2,639        (45,550

Sonova Holding AG

   UBS AG      14,500        07/08/22        CHF       338.98        CHF       4,408        (4,119

Alcon, Inc.

   Barclays Bank PLC      39,100        07/11/22        USD       75.62        USD       2,733        (4,651

Alcon, Inc.

   Citibank N.A.      54,100        07/11/22        USD       74.49        USD       3,781        (12,296

Convatec Group PLC

   Barclays Bank PLC      411,500        07/12/22        GBP       2.33        GBP       923        (10,984

Gerresheimer AG

   Goldman Sachs International      26,300        07/13/22        EUR       72.12        EUR       1,631        (17,065

Convatec Group PLC

   Goldman Sachs International      500,000        07/19/22        GBP       2.23        GBP       1,122        (45,125

Amplifon SpA

   Goldman Sachs International      61,000        07/20/22        EUR       32.83        EUR       1,784        (9,888

Daiichi Sankyo Co. Ltd.

   Goldman Sachs International      62,000        07/20/22        JPY       3,517.50        JPY       213,094        (33,041

Gerresheimer AG

   Morgan Stanley & Co. International PLC      35,000        07/20/22        EUR       72.46        EUR       2,170        (36,316

Sonova Holding AG

   Barclays Bank PLC      10,200        07/20/22        CHF       352.87        CHF       3,101        (7,954

Alcon, Inc.

   Bank of America N.A.      71,300        07/25/22        USD       76.85        USD       4,983        (29,196

Alkermes PLC

   Citibank N.A.      88,400        07/26/22        USD       30.69        USD       2,633        (77,509

Genmab A/S

   Goldman Sachs International      1,900        07/26/22        DKK       2,231.01        DKK       4,364        (36,659

Teleflex, Inc.

   Barclays Bank PLC      9,200        07/26/22        USD       261.64        USD       2,262        (35,900

UCB SA

   Goldman Sachs International      55,000        07/26/22        EUR       85.75        EUR       4,435        (24,436

West Pharmaceutical Services, Inc.

   JPMorgan Chase Bank N.A.      6,200        07/26/22        USD       316.62        USD       1,875        (42,640

908 Devices, Inc.

   Citibank N.A.      7,200        07/28/22        USD       21.51        USD       148        (9,716

Agilent Technologies, Inc.

   JPMorgan Chase Bank N.A.      28,400        07/28/22        USD       118.64        USD       3,373        (134,961

Gerresheimer AG

   JPMorgan Chase Bank N.A.      16,500        07/28/22        EUR       0.00        EUR       1,023        (44,158

H Lundbeck, Class B

   JPMorgan Chase Bank N.A.      192,400        07/28/22        DKK       33.55        DKK       6,632        (81,984

Insulet Corp.

   Barclays Bank PLC      17,500        07/28/22        USD       216.11        USD       3,814        (258,728

Quest Diagnostics, Inc.

   Bank of America N.A.      17,300        07/28/22        USD       139.79        USD       2,301        (32,322

Wuxi Biologics Cayman, Inc.

   Goldman Sachs International      394,000        07/28/22        HKD       70.29        HKD       28,289        (319,937

H Lundbeck, Class B

   JPMorgan Chase Bank N.A.      192,400        08/03/22        DKK       33.55        DKK       6,632        (70,496

Ionis Pharmaceuticals, Inc.

   Barclays Bank PLC      74,800        08/03/22        USD       35.48        USD       2,769        (270,407

Amplifon SpA

   Goldman Sachs International      32,400        08/09/22        EUR       28.08        EUR       948        (78,980

Convatec Group PLC

   Morgan Stanley & Co. International PLC      500,000        08/09/22        GBP       2.24        GBP       1,122        (55,391

Daiichi Sankyo Co. Ltd.

   JPMorgan Chase Bank N.A.      62,000        08/09/22        JPY       3,226.10        JPY       213,094        (141,880

UCB SA

   Morgan Stanley & Co. International PLC      55,200        08/09/22        EUR       85.43        EUR       4,451        (52,968

Genmab A/S

   Goldman Sachs International      9,200        08/11/22        DKK       2,371.95        DKK       21,132        (113,854

Lonza Group AG

   Goldman Sachs International      6,100        08/11/22        CHF       522.31        CHF       3,105        (113,412
                     

 

 

 
                      $     (2,349,759
                     

 

 

 

Balances Reported in the Statements of Assets and Liabilities for Options Written

 

 

 
Description    Swap
Premiums
Paid
     Swap
Premiums
Received
     Unrealized
Appreciation
     Unrealized
Depreciation
     Value  

 

 

Options Written

   $ N/A      $ N/A      $ 3,825,451      $ (7,361,706    $   (19,713,887)  

 

 

 

 

82  

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


Schedule of Investments (unaudited) (continued)

June 30, 2022

  

BlackRock Health Sciences Trust II (BMEZ)

    

 

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

 

      Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
     Other
Contracts
     Total  

Liabilities — Derivative Financial Instruments

                    

Options written

                    

Options written at value

   $      $      $   19,713,887      $      $      $      $   19,713,887  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

For the period ended June 30, 2022, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

      Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
     Other
Contracts
     Total  

Net Realized Gain (Loss) from:

                    

Options purchased(a)

   $      $      $ (3,612    $      $      $      $ (3,612

Options written

                   40,270,755                             40,270,755  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $      $      $ 40,267,143      $      $      $      $ 40,267,143  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net Change in Unrealized Appreciation (Depreciation) on:

                    

Options written

   $      $      $ (1,866,111    $      $      $      $ (1,866,111
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

Options purchased are included in net realized gain (loss) from investments — unaffiliated.

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Options:

        

Average value of option contracts purchased

   $ (a)  

Average value of option contracts written

   $ 24,328,627  

 

  (a) 

Derivative not held at any quarter-end. The risk exposure table serves as an indicator of activity during the period.

 

For more information about the Trust’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

Derivative Financial Instruments — Offsetting as of Period End

The Trust’s derivative assets and liabilities (by type) were as follows:

 

      Assets      Liabilities  

Derivative Financial Instruments

     

Options

   $      $ 19,713,887  
  

 

 

    

 

 

 

Total derivative assets and liabilities in the Statements of Assets and Liabilities

            19,713,887  
  

 

 

    

 

 

 

Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)

            (17,364,128
  

 

 

    

 

 

 

Total derivative assets and liabilities subject to an MNA

   $      $ 2,349,759  
  

 

 

    

 

 

 

 

 

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

  83


Schedule of Investments (unaudited) (continued)

June 30, 2022

  

BlackRock Health Sciences Trust II (BMEZ)

    

 

The following table presents the Trust’s derivative liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral pledged by the Trust:

 

Counterparty

    



Derivative
Liabilities
Subject to
an MNA by
Counterparty
 
 
 
 
 
    

Derivatives
Available
for Offset
 
 
 
    

Non-Cash
Collateral
Pledged
 
 
(a)  
    

Cash
Collateral
Pledged
 
 
 
    

Net Amount
of Derivative
Liabilities
 
 
(b) 

Bank of America N.A.

   $ 61,518      $      $      $      $ 61,518  

Barclays Bank PLC

     588,624               (588,624              

Citibank N.A.

     145,071               (125,071      (20,000       

Goldman Sachs International

     889,633               (889,633              

JPMorgan Chase Bank N.A.

     516,119               (516,119              

Morgan Stanley & Co. International PLC

     144,675               (128,675      (16,000       

UBS AG

     4,119               (4,119              
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $ 2,349,759      $      $ (2,252,241    $ (36,000    $ 61,518  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

Excess of collateral received/pledged, if any, from the individual counterparty is not shown for financial reporting purposes.

 
  (b) 

Net amount represents the net amount payable due to counterparty in the event of default. Net amount may be offset further by the options written receivable/payable on the Statements of Assets and Liabilities.

 

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of financial instruments. For a description of the input levels and information about the Trust’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.

The following table summarizes the Trust’s financial instruments categorized in the fair value hierarchy. The breakdown of the Trust’s financial instruments into major categories is disclosed in the Schedule of Investments above.

 

      Level 1      Level 2      Level 3      Total  

Assets

           

Investments

           

Long-Term Investments

           

Common Stocks

           

Biotechnology

   $ 632,392,781      $ 38,216,709      $      $ 670,609,490  

Diversified Financial Services

     48,190,538                      48,190,538  

Electronic Equipment, Instruments & Components

     5,643,390                      5,643,390  

Health Care Equipment & Supplies

     425,054,154        27,403,789               452,457,943  

Health Care Providers & Services

     244,436,822        15,215,076               259,651,898  

Health Care Technology

     7,180,627                      7,180,627  

Life Sciences Tools & Services

     239,232,606        37,479,223               276,711,829  

Pharmaceuticals

     68,447,931        70,884,306               139,332,237  

Other Interests

                   3,961,905        3,961,905  

Preferred Securities

           

Preferred Stocks

                   198,464,978        198,464,978  

Warrants

           

Diversified Financial Services

     27,339        8,915               36,254  

Health Care Providers & Services

     41,475                      41,475  

Pharmaceuticals

     19,287                      19,287  

Short-Term Securities

           

Money Market Funds

     81,844,430                      81,844,430  
  

 

 

    

 

 

    

 

 

    

 

 

 
   $   1,752,511,380      $   189,208,018      $   202,426,883        2,144,146,281  
  

 

 

    

 

 

    

 

 

    

 

 

 

Investments Valued at NAV(a)

              6,855,495  
           

 

 

 
            $ 2,151,001,776  
           

 

 

 

Derivative Financial Instruments(b)

           

Liabilities

           

Equity Contracts

   $ (16,128,457    $ (3,585,430    $      $ (19,713,887
  

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

Certain investments of the Trust were fair valued using NAV per share as no quoted market value is available and therefore have been excluded from the fair value hierarchy.

 
  (b) 

Derivative financial instruments are options written. Options written are shown at value.

 

 

 

84  

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Schedule of Investments (unaudited) (continued)

June 30, 2022

  

BlackRock Health Sciences Trust II (BMEZ)

    

 

A reconciliation of Level 3 financial instruments is presented when the Trust had a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:

 

      Other
Interests
    

Preferred

Stocks

     Total  

Assets

        

Opening balance, as of December 31, 2021

   $ 4,000,000      $ 232,701,012      $ 236,701,012  

Transfers into Level 3

                    

Transfers out of Level 3

                    

Accrued discounts/premiums

                    

Net realized gain (loss)

            18,407,243        18,407,243  

Net change in unrealized appreciation (depreciation)(a)(b)

     (38,095      (28,000,651      (28,038,746

Purchases

            3,764,616        3,764,616  

Sales

            (28,407,242      (28,407,242
  

 

 

    

 

 

    

 

 

 

Closing balance, as of June 30, 2022

   $ 3,961,905      $ 198,464,978      $ 202,426,883  
  

 

 

    

 

 

    

 

 

 

Net change in unrealized appreciation (depreciation) on investments still held at June 30, 2022(b)

   $ (38,095    $ (11,412,430    $ (11,450,525
  

 

 

    

 

 

    

 

 

 

 

  (a) 

Included in the related net change in unrealized appreciation (depreciation) in the Statements of Operations.

 
  (b) 

Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at June 30, 2022 is generally due to investments no longer held or categorized as Level 3 at period end.

 

The following table summarizes the valuation approaches used and unobservable inputs utilized by the BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) to determine the value of certain of the Trust’s Level 3 financial instruments as of period end.

 

      Value      Valuation
Approach
    

Unobservable

Inputs

  

Range of  
Unobservable  
Inputs  

Utilized(a)

     Weighted
Average of
Unobservable
Inputs Based
on Fair Value
 

Assets

              

Preferred Stocks

   $   198,464,978        Market     

Revenue Multiple

     1.75x - 8.75x          5.56x  
        

EBITDA Multiple

     10.25x           
        

Volatility

     50% - 90%          67%  
        

Time to Exit

     1.0 - 4.0 years          2.4 years  
        

Market Adjustment Multiple

     0.45x - 2.05x          0.99x  
        Income     

Discount Rate

     3%           

Other Interests

     3,961,905        Income     

Discount Rate

     3%           
  

 

 

             
   $ 202,426,883              
  

 

 

             

 

  (a) 

A significant change in unobservable input would have resulted in a correlated (inverse) significant change to value.

 

The Trust valued certain of its Level 3 investments using recent prior transaction prices as the best approximation of fair value. The value of Level 3 investments obtained using recent prior transaction process, for which inputs are unobservable, is $12,148,340 as of June 30, 2022.

See notes to financial statements.

 

 

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

  85


Schedule of Investments (unaudited)

June 30, 2022

  

BlackRock Innovation and Growth Trust (BIGZ)

(Percentages shown are based on Net Assets)

 

Security   Shares      Value  
Common Stocks             
Aerospace & Defense — 4.7%  

Axon Enterprise, Inc.(a)(b)

    651,666      $ 60,715,721  

HEICO Corp.

    336,633        44,139,319  
    

 

 

 
       104,855,040  
Auto Components — 1.8%  

Fox Factory Holding Corp.(b)

    493,110        39,715,079  
    

 

 

 
Biotechnology — 1.7%  

Halozyme Therapeutics, Inc.(b)

    862,474        37,948,856  
    

 

 

 
Building Products — 0.5%  

AZEK Co., Inc.(b)

    725,567        12,145,992  
    

 

 

 
Capital Markets — 2.5%  

Tradeweb Markets, Inc., Class A

    804,964        54,938,793  
    

 

 

 
Diversified Consumer Services — 3.4%  

Duolingo, Inc.(b)

    483,017        42,288,138  

Ideal Image, Class A, (Acquired 05/05/21, Cost: $50,000,000)(c)(d)

    6,224        33,064,138  
    

 

 

 
       75,352,276  
Electronic Equipment, Instruments & Components — 0.6%  

908 Devices, Inc.(b)

    664,622        13,684,567  
    

 

 

 
Entertainment — 1.2%  

Kahoot! ASA(b)

    14,075,911        26,152,890  
    

 

 

 
Equity Real Estate Investment Trusts (REITs) — 1.2%  

Innovative Industrial Properties, Inc.

    104,585        11,490,754  

Rexford Industrial Realty, Inc.

    259,006        14,916,156  
    

 

 

 
       26,406,910  
Food Products — 0.5%  

Freshpet, Inc.(b)

    215,820        11,198,900  
    

 

 

 
Health Care Equipment & Supplies(b) — 1.2%  

Figs, Inc., Class A

    2,000,216        18,221,968  

Inmode Ltd.

    407,065        9,122,326  
    

 

 

 
       27,344,294  
Health Care Technology(b) — 4.0%  

Certara, Inc.

    1,484,355        31,854,258  

Doximity, Inc., Class A

    1,007,602        35,084,702  

Phreesia, Inc.(a)(e)

    909,979        22,758,575  
    

 

 

 
       89,697,535  
Hotels, Restaurants & Leisure — 5.1%  

Evolution AB(f)

    532,304        48,695,692  

Penn National Gaming, Inc.(a)(b)

    369,706        11,246,456  

Planet Fitness, Inc., Class A(b)(e)

    813,885        55,352,319  
    

 

 

 
        115,294,467  
Interactive Media & Services — 2.2%  

Match Group, Inc.(b)

    711,953        49,616,005  
    

 

 

 
Internet & Direct Marketing Retail(b) — 1.9%  

Etsy, Inc.

    284,635        20,838,128  

Fiverr International Ltd.

    620,702        21,345,942  
    

 

 

 
       42,184,070  
IT Services — 5.3%  

DigitalOcean Holdings, Inc.(b)

    860,272        35,580,850  
Security   Shares      Value  

IT Services (continued)

    

Globant SA(b)

    305,438      $ 53,146,212  

Salt Payments, Inc., Series C, (Acquired 11/16/21, Cost: $49,999,974)(c)(d)

    25,742        30,433,994  
    

 

 

 
       119,161,056  
Life Sciences Tools & Services — 10.6%  

10X Genomics, Inc., Class A(b)(e)

    443,515        20,069,054  

Azenta, Inc.

    611,504        44,089,438  

Bio-Techne Corp.(a)(e)

    185,128        64,172,770  

Charles River Laboratories International, Inc.(b)

    102,495        21,930,855  

Olink Holding AB, ADR(b)

    807,928        12,280,506  

Repligen Corp.(b)

    307,574        49,950,017  

West Pharmaceutical Services, Inc.

    80,337        24,291,499  
    

 

 

 
       236,784,139  
Machinery — 2.4%  

Chart Industries, Inc.(b)

    326,858        54,709,492  
    

 

 

 
Road & Rail — 0.9%  

Saia, Inc.(b)

    111,834        21,024,792  
    

 

 

 
Semiconductors & Semiconductor Equipment — 8.4%  

Ambarella, Inc.(b)

    593,772        38,868,315  

Entegris, Inc.(e)

    683,028        62,927,370  

Lattice Semiconductor Corp.(b)

    353,895        17,163,907  

Monolithic Power Systems, Inc.(a)

    178,789        68,662,128  
    

 

 

 
       187,621,720  
Software — 17.9%  

Avalara, Inc.(b)(e)

    373,554        26,372,913  

Bill.Com Holdings, Inc.(b)

    452,261        49,721,574  

Confluent, Inc., Class A(b)

    2,169,474        50,418,576  

Five9, Inc.(b)

    633,658        57,751,590  

Gitlab, Inc., Class A(b)

    917,444        48,752,974  

Grammarly, Inc., (Acquired 11/17/21, Cost: $26,250,012)(c)(d)

    1,001,454        21,371,028  

HubSpot, Inc.(b)

    97,991        29,460,994  

Patreon, Inc., (Acquired 08/19/21, Cost: $11,732,736)(c)(d)

    208,333        8,039,571  

Paylocity Holding Corp.(a)(b)

    335,189        58,463,666  

SiteMinder Ltd.(b)

    11,692,607        28,487,912  

Snorkel AI, Inc., (Acquired 06/30/21, Cost: $2,999,997)(c)(d)

    199,738        1,909,495  

Snyk Ltd., (Acquired 09/02/21, Cost: $25,961,537)(c)(d)

    1,809,860        18,587,262  
    

 

 

 
       399,337,555  
    

 

 

 

Total Common Stocks — 78.0%
(Cost: $2,492,595,509)

        1,745,174,428  
    

 

 

 
    

Par

(000)

         
Convertible Notes             
Specialty Retail — 0.6%  

Super73, Inc.(Acquired: 12/21/21, Cost: $12,000,000), 0.00%(c)(d)

  $ 12,000        12,240,000  
    

 

 

 

Total Convertible Notes — 0.6%
(Cost: $12,000,000)

       12,240,000  
    

 

 

 
 

 

 

86  

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Schedule of Investments (unaudited) (continued)

June 30, 2022

  

BlackRock Innovation and Growth Trust (BIGZ)

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  

Preferred Securities

   
Preferred Stocks — 21.8%(c)(d)  
Aerospace & Defense — 1.7%            

Relativity Space, Inc., Series E, (Acquired 05/27/21, Cost: $50,000,009)

    2,189,612     $  37,814,599  
   

 

 

 
Banks — 0.7%            

Varo Money Inc., Series E, (Acquired 08/27/21, Cost: $40,000,001)

    4,316,904       16,102,052  
   

 

 

 
Capital Markets — 2.1%            

The Production Board LLC, Series A3, (Acquired 06/04/21, Cost: $50,000,001)

    16,666,667       47,666,668  
   

 

 

 
Entertainment — 0.6%            

Discord, Inc., Series I, (Acquired 09/13/21, Cost: $17,999,912)

    32,690       12,975,315  
   

 

 

 
Food Products — 1.1%            

Motif Food Works, Inc., (Acquired 06/08/21, Cost: $39,999,986)

    1,972,240       24,810,779  
   

 

 

 
Hotels, Restaurants & Leisure — 0.7%            

Dapper Labs, Inc., Series 7, (Acquired 07/20/21, Cost: $29,999,945)

    191,067       11,152,581  

Underdog Sports, Inc., Series B, (Acquired 01/11/22, Cost: $4,109,441)

    79,740       4,596,213  
   

 

 

 
      15,748,794  
Internet Software & Services — 1.0%  

Via Transportation, Inc., Series G, (Acquired 11/05/21, Cost: $24,999,974)

    549,357       21,622,692  
   

 

 

 
IT Services — 1.0%            

Open Space Labs Inc., Series D, (Acquired 01/31/22, Cost: $15,000,003)

    1,687,916       13,553,966  
   

 

 

 

Wagestream Holdings Ltd., Series C, (Acquired 02/11/22, Cost: $10,024,684)

    762,746       7,752,899  
   

 

 

 
      21,306,865  
Leisure Products — 1.7%            

Under Canvas, Inc., Class A, (Acquired 08/19/21, Cost: $49,999,982)

    2,172,486       39,083,023  
   

 

 

 
Semiconductors & Semiconductor Equipment — 2.1%  

PsiQuantum Corp., Series C, (Acquired 05/21/21, Cost: $39,999,990)

    1,525,192       38,983,907  

Rivos, Inc., Series A, (Acquired 12/03/21, Cost: $7,996,292)

    2,997,684       7,194,442  
   

 

 

 
      46,178,349  
Software — 8.0%            

Anchor Labs, Inc., Series D, (Acquired 11/24/21, Cost: $9,999,995)

    428,785       5,985,839  

AnyRoad, Inc., Series B, (Acquired 12/07/21, Cost: $14,999,995)

    2,745,894       12,383,982  

Bolt Financial, Inc., Series E, (Acquired 01/18/22, Cost: $44,999,983)

    898,024       30,434,033  

Deepgram, Inc., Series B, (Acquired 10/22/21, Cost: $11,999,997)

    2,165,400       11,000,232  

Dragos, Inc., Series D, (Acquired 09/28/21, Cost: $39,999,959)

    900,760       34,877,427  
Security   Shares     Value  
Software (continued)            

Genesys Cloud Services, Inc., (Acquired 11/24/21, Cost: $30,000,101)

    4,651,163     $ 23,023,257  

Grammarly, Inc., Series 3, (Acquired 11/17/21, Cost: $8,750,004)

    333,818       7,123,676  

Patreon, Inc., Series D, (Acquired 07/14/21, Cost: $23,333,352)

    416,667       16,079,179  

SkySafe, Inc., Series B, (Acquired 12/02/21, Cost: $4,999,999)

    909,438       4,756,361  

Snorkel AI, Inc., Series C, (Acquired 06/30/21, Cost: $10,999,994)

    732,373       7,001,486  

Snyk Ltd., Series B, (Acquired 09/02/21, Cost: $24,038,470)

    1,675,797       17,210,435  

Validere Technologies, Inc., Series B, (Acquired 10/21/21, Cost: $10,000,000)

    4,684,060       9,602,323  
   

 

 

 
      179,478,230  
Wireless Telecommunication Services — 1.1%  

Loft Orbital Solutions, Inc., Series B, (Acquired 10/14/21, Cost: $24,999,992)

    1,365,305       24,138,592  
   

 

 

 
      486,925,958  
   

 

 

 

Total Preferred Securities — 21.8%
(Cost: $639,252,061)

 

    486,925,958  
   

 

 

 

Total Long-Term Investments — 100.4%
(Cost: $3,143,847,570)

 

    2,244,340,386  
   

 

 

 

Short-Term Securities

   
Money Market Funds — 0.4%            

BlackRock Liquidity Funds, T-Fund, Institutional Class, 1.33%(g)(h)

    9,128,990       9,128,990  
   

 

 

 

Total Short-Term Securities — 0.4%
(Cost: $9,128,990)

 

    9,128,990  
   

 

 

 

Total Investments Before Options Written — 100.8%
(Cost: $3,152,976,560)

 

    2,253,469,376  
   

 

 

 

Options Written — (0.5)%
(Premiums Received: $(11,526,685))

 

    (9,846,179
   

 

 

 

Total Investments, Net of Options Written — 100.3%
(Cost: $3,141,449,875)

 

    2,243,623,197  

Liabilities in Excess of Other Assets — (0.3)%

 

    (7,544,276
   

 

 

 

Net Assets — 100.0%

 

  $  2,236,078,921  
   

 

 

 

 

(a) 

All or a portion of the security has been pledged as collateral in connection with outstanding OTC derivatives.

(b) 

Non-income producing security.

(c) 

Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

(d) 

Restricted security as to resale, excluding 144A securities. The Trust held restricted securities with a current value of $612,571,446, representing 27.4% of its net assets as of period end, and an original cost of $818,196,317.

(e) 

All or a portion of the security has been pledged and/or segregated as collateral in connection with outstanding exchange-traded options written.

(f)

Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.

(g) 

Affiliate of the Trust.

(h)

Annualized 7-day yield as of period end.

 

For Trust compliance purposes, the Trust’s industry classifications refer to one or more of the industry sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.

 

 

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

  87


Schedule of Investments (unaudited) (continued)

June 30, 2022

  

BlackRock Innovation and Growth Trust (BIGZ)

    

 

Affiliates

Investments in issuers considered to be affiliate(s) of the Trust during the six months ended June 30, 2022 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

 

 

Affiliated Issuer

  Value at
12/31/21
    Purchases
at Cost
    Proceeds
from Sales
    Net
Realized
Gain (Loss)
    Change in
Unrealized
Appreciation
(Depreciation)
    Value at
06/30/22
    Shares
Held at
06/30/22
    Income     Capital Gain
Distributions
from
Underlying
Funds
 

 

 

908 Devices, Inc.(a)

  $  59,749,533     $     $  (23,460,919   $ (58,510,510   $ 44,486,096     $ N/A       N/A     $     $  

BlackRock Liquidity Funds, T-Fund, Institutional Class

    1,836,203       7,292,787 (b)                        9,128,990       9,128,990       32,878        

SL Liquidity Series, LLC, Money Market Series(c)

    5,204,477             (5,203,286 )(b)      (1,495     304                   3,961 (d)        
       

 

 

   

 

 

   

 

 

     

 

 

   

 

 

 
        $  (58,512,005   $ 44,486,400     $  9,128,990       $  36,839     $  
       

 

 

   

 

 

   

 

 

     

 

 

   

 

 

 

 

  (a) 

As of period end, the entity is no longer an affiliate.

 
  (b) 

Represents net amount purchased (sold).

 
  (c) 

As of period end, the entity is no longer held.

 
  (d) 

All or a portion represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities.

 

Derivative Financial Instruments Outstanding as of Period End

Exchange-Traded Options Written

 

Description    Number of
Contracts
       Expiration
Date
       Exercise Price       

Notional
Amount (000)

       Value  
Call                                                   

Ambarella, Inc.

     157          07/01/22        USD     87.00        USD     1,028        $ (11,775)  

Match Group, Inc.

     143          07/01/22        USD     86.00        USD     997          (4,290)  

Penn National Gaming, Inc.

     368          07/08/22        USD     36.00        USD     1,119          (6,624)  

Lattice Semiconductor Corp.

     196          07/12/22        USD     51.50        USD     951          (12,116)  

10X Genomics, Inc., Class A

     749          07/15/22        USD     40.00        USD     3,389          (528,045)  

908 Devices, Inc.

     275          07/15/22        USD     17.50        USD     566            (112,062)  

Ambarella Inc.

     108          07/15/22        USD     76.00        USD     707          (6,210)  

Ambarella, Inc.

     212          07/15/22        USD     85.00        USD     1,388          (6,890)  

Avalara, Inc.

     401          07/15/22        USD     90.00        USD     2,831          (58,145)  

Axon Enterprise, Inc.

     478          07/15/22        USD     110.00        USD     4,454          (11,950)  

AZEK Co., Inc.

     1,058          07/15/22        USD     20.94        USD     1,771          (5,358)  

Bio-Techne Corp.

     54          07/15/22        USD     400.00        USD     1,872          (25,920)  

Brooks Automation, Inc.

     297          07/15/22        USD     80.00        USD     2,141          (61,627)  

Charles River Laboratories International, Inc.

     76          07/15/22        USD     260.00        USD     1,626          (7,220)  

Chart Industries, Inc.

     173          07/15/22        USD     195.00        USD     2,896          (40,222)  

Confluent, Inc., Class A

     329          07/15/22        USD     30.00        USD     765          (5,758)  

Confluent, Inc., Class A

     485          07/15/22        USD     25.00        USD     1,127          (46,075)  

DigitalOcean Holdings, Inc.

     100          07/15/22        USD     60.00        USD     414          (750)  

DigitalOcean Holdings, Inc.

     784          07/15/22        USD     40.96        USD     3,243          (241,937)  

Doximity, Inc., Class A

     600          07/15/22        USD     42.50        USD     2,089          (16,500)  

Duolingo, Inc., Class A

     325          07/15/22        USD     95.00        USD     2,845          (102,375)  

Etsy, Inc.

     120          07/15/22        USD     95.00        USD     879          (2,880)  

Five9, Inc.

     165          07/15/22        USD     105.00        USD     1,504          (9,075)  

Five9, Inc.

     385          07/15/22        USD     100.00        USD     3,509          (54,862)  

Fiverr International Ltd.

     330          07/15/22        USD     70.00        USD     1,135          (3,300)  

Fiverr International Ltd.

     601          07/15/22        USD     45.00        USD     2,067          (10,518)  

Fox Factory Holding Corp.

     439          07/15/22        USD     85.00        USD     3,536          (65,850)  

Freshpet, Inc.

     403          07/15/22        USD     70.00        USD     2,091          (88,660)  

Gitlab, Inc., Class A

     532          07/15/22        USD     70.00        USD     2,827          (10,640)  

Gitlab, Inc., Class A

     173          07/15/22        USD     50.00        USD     919          (91,690)  

Globant SA

     144          07/15/22        USD     250.00        USD     2,506          (11,520)  

Globant SA

     120          07/15/22        USD     195.00        USD     2,088          (27,900)  

Halozyme Therapeutics, Inc.

     696          07/15/22        USD     46.00        USD     3,062          (71,340)  

HEICO Corp.

     188          07/15/22        USD     139.68        USD     2,465          (7,181)  

HubSpot, Inc.

     73          07/15/22        USD     390.00        USD     2,195          (17,338)  

Inmode Ltd.

     610          07/15/22        USD     25.00        USD     1,367          (30,500)  

Lattice Semiconductor Corp.

     18          07/15/22        USD     55.52        USD     87          (621)  

 

 

88  

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


Schedule of Investments (unaudited) (continued)

June 30, 2022

  

BlackRock Innovation and Growth Trust (BIGZ)

    

 

Exchange-Traded Options Written (continued)

 

Description    Number of
Contracts
       Expiration
Date
       Exercise Price        Notional
Amount (000)
       Value  
Call (continued)                                                   

Lattice Semiconductor Corp.

     316          07/15/22        USD     50.00        USD     1,533        $ (51,350)  

Monolithic Power Systems, Inc.

     112          07/15/22        USD     460.00        USD     4,301          (29,960)  

Olink Holding AB, ADR

     497          07/15/22        USD     17.50        USD     755          (67,095)  

Olink Holding AB, ADR

     494          07/15/22        USD     12.50        USD     751          (143,260)  

Paylocity Holding Corp.

     117          07/15/22        USD     175.00        USD     2,041          (83,070)  

Paylocity Holding Corp.

     124          07/15/22        USD     191.00        USD     2,163          (32,998)  

Phreesia, Inc.

     750          07/15/22        USD     35.00        USD     1,876          (22,500)  

Phreesia, Inc.

     469          07/15/22        USD     20.00        USD     1,173          (243,880)  

Planet Fitness, Inc., Class A

     557          07/15/22        USD     78.33        USD     3,788          (13,306)  

Repligen Corp.

     270          07/15/22        USD     170.00        USD     4,385          (122,850)  

Rexford Industrial Realty, Inc.

     73          07/15/22        USD     65.00        USD     420          (6,570)  

Saia, Inc.

     71          07/15/22        USD     210.00        USD     1,335          (14,023)  

Tradeweb Markets, Inc., Class A

     631          07/15/22        USD     70.00        USD     4,307          (69,410)  

Ambarella, Inc.

     290          07/22/22        USD     95.00        USD     1,898          (14,500)  

Bill.Com Holdings, Inc.

     240          07/22/22        USD     150.00        USD     2,639          (24,000)  

Match Group, Inc.

     338          07/22/22        USD     84.00        USD     2,356          (14,872)  

Penn National Gaming, Inc.

     564          07/22/22        USD     38.00        USD     1,716          (10,152)  

Ambarella, Inc.

     123          07/29/22        USD     78.00        USD     805          (14,145)  

Bill.Com Holdings, Inc.

     186          07/29/22        USD     135.00        USD     2,045          (60,450)  

Etsy, Inc.

     200          07/29/22        USD     91.00        USD     1,464          (38,400)  

Match Group, Inc.

     290          07/29/22        USD     78.00        USD     2,021          (50,025)  

Bill.Com Holdings, Inc.

     252          08/05/22        USD     130.00        USD     2,770          (123,480)  

Etsy, Inc.

     106          08/05/22        USD     95.00        USD     776          (18,497)  

Axon Enterprise, Inc.

     220          08/12/22        USD     99.00        USD     2,050          (108,287)  

Bio-Techne Corp.

     133          08/15/22        USD     390.00        USD     4,610          (74,359)  

908 Devices, Inc.

     58          08/19/22        USD     20.00        USD     119          (16,385)  

908 Devices, Inc.

     317          08/19/22        USD     22.50        USD     653          (52,305)  

Avalara, Inc.

     159          08/19/22        USD     85.00        USD     1,123          (32,993)  

Brooks Automation, Inc.

     347          08/19/22        USD     75.00        USD     2,502          (144,005)  

Certara, Inc.

     1,000          08/19/22        USD     20.00        USD     2,146          (275,000)  

Certara, Inc.

     613          08/19/22        USD     22.50        USD     1,315          (306,500)  

Charles River Laboratories International, Inc.

     77          08/19/22        USD     220.00        USD     1,648          (89,705)  

Chart Industries, Inc.

     144          08/19/22        USD     185.00        USD     2,410          (99,360)  

Confluent, Inc., Class A

     1,415          08/19/22        USD     22.42        USD     3,288          (560,641)  

DigitalOcean Holdings, Inc.

     486          08/19/22        USD     55.00        USD     2,010          (76,545)  

Doximity, Inc., Class A

     609          08/19/22        USD     47.50        USD     2,121          (70,035)  

Duolingo, Inc., Class A

     245          08/19/22        USD     110.00        USD     2,145          (115,150)  

Entegris, Inc.

     1,024          08/19/22        USD     100.00        USD     9,434          (414,720)  

Figs, Inc., Class A

     1,500          08/19/22        USD     10.00        USD     1,367          (127,500)  

Fox Factory Holding Corp.

     300          08/19/22        USD     80.00        USD     2,416          (202,500)  

Freshpet, Inc.

     12          08/19/22        USD     60.00        USD     62          (3,420)  

Gitlab, Inc., Class A

     440          08/19/22        USD     51.00        USD     2,338          (344,773)  

Gitlab, Inc., Class A

     304          08/19/22        USD     50.83        USD     1,615          (240,743)  

Globant SA

     194          08/19/22        USD     220.00        USD     3,376          (61,110)  

Halozyme Therapeutics, Inc.

     298          08/19/22        USD     45.00        USD     1,311          (75,245)  

HEICO Corp.

     128          08/19/22        USD     140.00        USD     1,678          (34,880)  

HEICO Corp.

     188          08/19/22        USD     135.00        USD     2,465          (86,480)  

HubSpot, Inc.

     73          08/19/22        USD     350.00        USD     2,195          (129,575)  

Innovative Industrial Properties, Inc.

     156          08/19/22        USD     125.00        USD     1,714          (43,290)  

Match Group, Inc.

     280          08/19/22        USD     90.00        USD     1,951          (27,860)  

Monolithic Power Systems, Inc.

     78          08/19/22        USD     450.00        USD     2,996          (78,780)  

Olink Holding AB, ADR

     220          08/19/22        USD     10.00        USD     334          (112,200)  

Paylocity Holding Corp.

     261          08/19/22        USD     175.00        USD     4,552          (378,450)  

Phreesia, Inc.

     390          08/19/22        USD     20.00        USD     975          (235,950)  

Repligen Corp.

     150          08/19/22        USD     165.00        USD     2,436          (206,250)  

Saia, Inc.

     96          08/19/22        USD     210.00        USD     1,805          (78,240)  

Tradeweb Markets, Inc., Class A

     576          08/19/22        USD     70.00        USD     3,931          (161,280)  

Figs, Inc., Class A

     1,500          09/16/22        USD     9.96        USD     1,367          (169,485)  

Halozyme Therapeutics, Inc.

     298          09/16/22        USD     45.00        USD     1,311          (114,730)  
                          

 

 

 
                           $  (8,433,248)  
                          

 

 

 

 

 

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

  89


Schedule of Investments (unaudited) (continued)

June 30, 2022

  

BlackRock Innovation and Growth Trust (BIGZ)

    

 

OTC Options Written

 

Description   Counterparty   Number of
Contracts
    Expiration
Date
    Exercise Price    

Notional
Amount (000)

    Value  

Call

               

Kahoot! ASA

  UBS AG     598,000       07/06/22       NOK       25.29       NOK       10,944     $ (51)  

AZEK Co., Inc.

  Barclays Bank PLC     68,000       07/08/22       USD       23.81       USD       1,138       (5)  

Siteminder Ltd.

  UBS AG     100,000       07/19/22       AUD       4.93       AUD       353       (138)  

Kahoot! ASA

  Goldman Sachs International     518,400       07/20/22       NOK       26.44       NOK       9,487       (2,741)  

Axon Enterprise, Inc.

  Goldman Sachs International     28,000       07/25/22       USD       110.68       USD       2,609       (32,159)  

Monolithic Power Systems, Inc.

  Barclays Bank PLC     7,800       07/26/22       USD       433.62       USD       2,996       (52,803)  

West Pharmaceutical Services, Inc.

  JPMorgan Chase Bank N.A.     12,000       07/26/22       USD       316.62       USD       3,628       (82,529)  

Brooks Automation, Inc.

  Barclays Bank PLC     27,300       07/27/22       USD       81.20       USD       1,968       (88,715)  

Siteminder Ltd.

  Morgan Stanley & Co. International PLC     59,800       07/27/22       AUD       4.91       AUD       211       (296)  

908 Devices, Inc.

  Citibank N.A.     34,600       07/28/22       USD       21.51       USD       712       (46,689)  

Bio-Techne Corp.

  JPMorgan Chase Bank N.A.     9,000       07/28/22       USD       350.65       USD       3,120       (129,582)  

Chart Industries, Inc.

  Barclays Bank PLC     17,300       07/28/22       USD       182.14       USD       2,896       (75,623)  

Confluent, Inc., Class A

  JPMorgan Chase Bank N.A.     102,500       07/28/22       USD       26.12       USD       2,382       (152,336)  

Duolingo, Inc., Class A

  Citibank N.A.     18,900       07/28/22       USD       102.37       USD       1,655       (69,438)  

Planet Fitness, Inc., Class A

  JPMorgan Chase Bank N.A.     66,300       07/28/22       USD       69.42       USD       4,509       (187,827)  

Evolution AB

  Morgan Stanley & Co. International PLC     79,800       08/02/22       SEK       966.29       SEK       74,679       (342,100)  

Kahoot! ASA

  Goldman Sachs International     550,000       08/02/22       NOK       27.98       NOK       10,065       (4,860)  

Five9, Inc.

  JPMorgan Chase Bank N.A.     40,000       08/05/22       USD       116.76       USD       3,646       (54,566)  

Kahoot! ASA

  Barclays Bank PLC     445,000       08/09/22       NOK       20.35       NOK       8,144       (52,515)  

Rexford Industrial Realty, Inc.

  JPMorgan Chase Bank N.A.     31,500       08/12/22       USD       61.99       USD       1,814       (37,958)  
               

 

 

 
                $  (1,412,931)  
               

 

 

 

Balances Reported in the Statements of Assets and Liabilities for Options Written

 

Description    Swap
Premiums
Paid
     Swap
Premiums
Received
     Unrealized
Appreciation
     Unrealized
Depreciation
     Value  

Options Written

   $ N/A      $ N/A      $ 4,418,721      $ (2,738,215    $  (9,846,179)  

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

 

      Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
     Other
Contracts
     Total  

Liabilities — Derivative Financial Instruments

                    

Options written

                    

Options written at value

   $      $      $  9,846,179      $      $      $      $  9,846,179  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

For the period ended June 30, 2022, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

      Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
     Other
Contracts
     Total  

Net Realized Gain (Loss) from:

                    

Options purchased(a)

   $      $      $ (4,444)      $      $      $      $ (4,444)  

Options written

                   44,408,727                             44,408,727  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $      $      $  44,404,283      $      $      $      $  44,404,283  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net Change in Unrealized Appreciation (Depreciation) on:

                    

Options written

   $      $      $ (4,733,943    $      $      $      $ (4,733,943
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a)

Options purchased are included in net realized gain (loss) from investments — unaffiliated.

 

 

 

90  

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


Schedule of Investments (unaudited) (continued)

June 30, 2022

  

BlackRock Innovation and Growth Trust (BIGZ)

    

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Options:

        

Average value of option contracts written

     $(10,712,177)  

For more information about the Trust’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

Derivative Financial Instruments — Offsetting as of Period End

The Trust’s derivative assets and liabilities (by type) were as follows:

 

      Assets      Liabilities  

Derivative Financial Instruments

     

Options

   $      $ 9,846,179  
  

 

 

    

 

 

 

Total derivative assets and liabilities in the Statements of Assets and Liabilities

            9,846,179  
  

 

 

    

 

 

 

Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)

            (8,433,248
  

 

 

    

 

 

 

Total derivative assets and liabilities subject to an MNA

   $      $ 1,412,931  
  

 

 

    

 

 

 

The following table presents the Trust’s derivative liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral pledged by the Trust:

 

Counterparty

    



Derivative
Liabilities
Subject to
an MNA by
Counterparty
 
 
 
 
 
    

Derivatives
Available
for Offset
 
 
 
    

Non-Cash
Collateral
Pledged
 
 
(a)  
    

Cash
Collateral
Pledged
 
 
 
    

Net Amount
of Derivative
Liabilities
 
 
(b)  

Barclays Bank PLC

   $ 269,661      $      $ (269,661    $      $  

Citibank N.A.

     116,127               (116,127              

Goldman Sachs International

     39,760                             39,760  

JPMorgan Chase Bank N.A.

     644,798               (644,798              

Morgan Stanley & Co. International PLC

     342,396               (268,691             73,705  

UBS AG

     189                             189  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $ 1,412,931      $      $     (1,299,277    $      $ 113,654  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

Excess of collateral received/pledged, if any, from the individual counterparty is not shown for financial reporting purposes.

 
  (b) 

Net amount represents the net amount payable due to counterparty in the event of default. Net amount may be offset further by the options written receivable/payable on the Statements of Assets and Liabilities.

 

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of financial instruments. For a description of the input levels and information about the Trust’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.

The following table summarizes the Trust’s financial instruments categorized in the fair value hierarchy. The breakdown of the Trust’s financial instruments into major categories is disclosed in the Schedule of Investments above.

 

      Level 1      Level 2      Level 3      Total  

Assets

           

Investments

           

Long-Term Investments

           

Common Stocks

           

Aerospace & Defense

   $     104,855,040      $      $      $     104,855,040  

Auto Components

     39,715,079                      39,715,079  

Biotechnology

     37,948,856                      37,948,856  

Building Products

     12,145,992                      12,145,992  

Capital Markets

     54,938,793                      54,938,793  

Diversified Consumer Services

     42,288,138                   33,064,138        75,352,276  

Electronic Equipment, Instruments & Components

     13,684,567                      13,684,567  

Entertainment

                26,152,890               26,152,890  

Equity Real Estate Investment Trusts (REITs)

     26,406,910                      26,406,910  

Food Products

     11,198,900                      11,198,900  

Health Care Equipment & Supplies

     27,344,294                      27,344,294  

Health Care Technology

     89,697,535                      89,697,535  

Hotels, Restaurants & Leisure

     66,598,775        48,695,692               115,294,467  

 

 

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

  91


Schedule of Investments (unaudited) (continued)

June 30, 2022

  

BlackRock Innovation and Growth Trust (BIGZ)

    

 

Fair Value Hierarchy as of Period End (continued)

 

      Level 1        Level 2        Level 3        Total  

Common Stocks (continued)

                 

Interactive Media & Services

   $ 49,616,005        $        $        $ 49,616,005  

Internet & Direct Marketing Retail

     42,184,070                            42,184,070  

IT Services

     88,727,062                   30,433,994          119,161,056  

Life Sciences Tools & Services

     236,784,139                            236,784,139  

Machinery

     54,709,492                            54,709,492  

Road & Rail

     21,024,792                            21,024,792  

Semiconductors & Semiconductor Equipment

     187,621,720                            187,621,720  

Software

     320,942,287          28,487,912          49,907,356          399,337,555  

Convertible Notes

                       12,240,000          12,240,000  

Preferred Securities

                 

Preferred Stocks

                       486,925,958          486,925,958  

Short-Term Securities

                 

Money Market Funds

     9,128,990                            9,128,990  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $  1,537,561,436        $   103,336,494        $   612,571,446        $  2,253,469,376  
  

 

 

      

 

 

      

 

 

      

 

 

 

Derivative Financial Instruments(a)

                 

Liabilities

                 

Equity Contracts

   $ (6,621,443)        $ (3,224,736)        $        $ (9,846,179)  
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

Derivative financial instruments are options written. Options written are shown at value.

 

A reconciliation of Level 3 financial instruments is presented when the Trust had a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:

 

     Asset-Backed
Securities
    Common
Stocks
    Corporate Bonds     Total  

Assets

       

Opening balance, as of December 31, 2021

  $ 167,039,627     $ 12,000,000     $ 544,568,505     $ 723,608,132  

Transfers into Level 3

                       

Transfers out of Level 3

                       

Accrued discounts/premiums

                       

Net realized gain (loss)

       

Net change in unrealized appreciation (depreciation)(a)(b)

    (53,634,139     240,000       (131,776,657     (185,170,796

Purchases

                74,134,110       74,134,110  

Sales

                       
 

 

 

   

 

 

   

 

 

   

 

 

 

Closing balance, as of June 30, 2022

  $ 113,405,488     $  12,240,000     $ 486,925,958     $ 612,571,446  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net change in unrealized appreciation (depreciation) on investments still held at June 30, 2022(b)

  $ (53,634,139   $ 240,000     $  (131,776,657   $  (185,170,796
 

 

 

   

 

 

   

 

 

   

 

 

 

 

  (a) 

Included in the related net change in unrealized appreciation (depreciation) in the Statements of Operations.

 
  (b) 

Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at June 30, 2022 is generally due to investments no longer held or categorized as Level 3 at period end.

 

The following table summarizes the valuation approaches used and unobservable inputs utilized by the BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) to determine the value of certain of the Trust’s Level 3 financial instruments as of period end.

 

       Value       
Valuation
Approach
 
 
    
Unobservable
Inputs(a)
 
 
    


Range of
Unobservable
Inputs
Utilized
 
 
 
(a)  
    



Weighted
Average of
Unobservable
Inputs Based
on Fair Value
 
 
 
 
 

Assets

              

Common Stocks

   $     113,405,488        Market       

Revenue Multiple

       10.00x - 25.00x        15.33x  
          

EBITDA Multiple

       18.00x         

Convertible Notes

     12,240,000        Income       

Discount Rate

       23%         
        Market       

Revenue Multiple

       2.20x         
          

Volatility

       63%         

Preferred Stocks

     486,925,958        Market       

Revenue Multiple

       1.30x - 25.00x        11.33x  
          

Time to Exit

       2.0 - 5.0 years        3.2 years  
          

Volatility

       45% - 90%        66%  

 

 

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Schedule of Investments (unaudited) (continued)

June 30, 2022

  

BlackRock Innovation and Growth Trust (BIGZ)

    

 

       Value       
Valuation
Approach
 
 
   Unobservable
Inputs(a)
    


Range of
Unobservable
Inputs
Utilized
 
 

(a)  
    



Weighted
Average of
Unobservable
Inputs Based
on Fair Value
 
 
 
 
 
         Market Adjustment Multiple      0.90x - 1.00x        0.95x  
  

 

 

             
   $ 612,571,446              
  

 

 

             

 

  (a) 

A significant change in unobservable input would have resulted in a correlated (inverse) significant change to value.

 

See notes to financial statements.

 

 

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

  93


Schedule of Investments (unaudited)

June 30, 2022

  

BlackRock Resources & Commodities Strategy Trust (BCX)

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  

Common Stocks

   
Chemicals — 13.5%  

Albemarle Corp.(a)

    39,976     $ 8,354,185  

CF Industries Holdings, Inc.

    152,792       13,098,858  

FMC Corp.(a)

    238,833       25,557,519  

Koninklijke DSM NV

    92,957       13,316,140  

Nutrien Ltd.

    491,648       39,179,429  

Sociedad Quimica y Minera de Chile SA, ADR(a)

    225,379       18,825,908  
   

 

 

 
      118,332,039  
Containers & Packaging — 0.5%        

Packaging Corp. of America(a)

    33,028       4,541,350  
   

 

 

 
Electrical Equipment — 0.5%        

Vestas Wind Systems A/S

    224,068       4,764,133  
   

 

 

 
Food Products — 7.2%        

Bunge Ltd.(a)(b)

    255,485       23,169,935  

Darling Ingredients, Inc.(a)(c)

    156,591       9,364,142  

Hofseth International A/S, (Acquired 05/26/21, Cost: $10,198,056)(c)(d)(e)

    18,993,283       10,682,841  

Kerry Group PLC, Class A

    129,883       12,420,968  

Nestle SA, Registered Shares

    62,375       7,289,933  
   

 

 

 
      62,927,819  
Machinery(a) — 4.4%        

AGCO Corp.

    168,181       16,599,466  

Deere & Co.

    73,217       21,926,295  
   

 

 

 
      38,525,761  
Metals & Mining — 24.6%            

Alcoa Corp.(a)

    174,140       7,937,301  

Anglo American PLC

    162,903       5,823,549  

ArcelorMittal SA, Registered Shares(a)

    612,749       13,848,128  

First Quantum Minerals Ltd.

    695,612       13,196,741  

Franco-Nevada Corp.(a)

    64,719       8,515,726  

Freeport-McMoRan, Inc.(a)

    96,413       2,821,044  

Glencore PLC

    8,764,363       47,471,611  

Newcrest Mining Ltd.

    757,397       10,790,046  

Newmont Corp.(a)

    378,867       22,606,994  

Norsk Hydro ASA

    1,955,124       11,048,916  

Polyus PJSC, Registered Shares,
GDR(d)(f)

    209,464       2,095  

Stelco Holdings, Inc.

    459,581       11,489,525  

Teck Resources Ltd., Class B(a)

    419,788       12,832,919  

Vale SA, ADR(a)

    2,009,197       29,394,552  

Wheaton Precious Metals Corp.(a)

    511,930       18,444,838  
   

 

 

 
      216,223,985  
Oil, Gas & Consumable Fuels — 44.5%        

Cenovus Energy, Inc.

    243,150       4,626,121  

Chevron Corp.(a)(b)

    299,104       43,304,277  

ConocoPhillips(a)

    395,703       35,538,087  

EOG Resources, Inc.(a)

    149,421       16,502,055  

Equinor ASA

    314,700       10,965,843  
Security   Shares     Value  
Oil, Gas & Consumable Fuels (continued)  

Exxon Mobil Corp.(a)(b)

    850,199     $ 72,811,042  

Gazprom PJSC, ADR(d)

    2,715,000       1,005  

Hess Corp.(a)

    101,335       10,735,430  

Marathon Petroleum Corp.(a)

    108,259       8,899,972  

Phillips 66(a)

    162,182       13,297,302  

Pioneer Natural Resources Co.(a)

    55,534       12,388,525  

Repsol SA

    309,150       4,557,489  

Shell PLC, ADR(a)

    929,232       48,589,541  

Suncor Energy, Inc.

    887,996       31,154,366  

TC Energy Corp.

    348,250       18,040,173  

TotalEnergies SE

    1,140,334       60,023,723  
   

 

 

 
      391,434,951  
Paper & Forest Products — 2.5%            

Precious Woods Holding AG, Registered Shares(c)

    20,000       268,161  

UPM-Kymmene OYJ

    708,034       21,710,658  
   

 

 

 
      21,978,819  
   

 

 

 

Total Long-Term Investments — 97.7%
(Cost: $749,620,553)

 

    858,728,857  
   

 

 

 

Short-Term Securities

   
Money Market Funds — 2.9%            

BlackRock Liquidity Funds, T-Fund, Institutional Class, 1.33%(g)(h)

    25,116,689       25,116,689  
   

 

 

 

Total Short-Term Securities — 2.9%
(Cost: $25,116,689)

 

    25,116,689  
   

 

 

 

Total Investments Before Options Written — 100.6% (Cost: $774,737,242)

 

    883,845,546  
   

 

 

 

Options Written — (0.4)%
(Premiums Received: $(10,340,170))

 

    (3,865,208
   

 

 

 

Total Investments, Net of Options Written — 100.2%
(Cost: $764,397,072)

 

    879,980,338  

Liabilities in Excess of Other Assets — (0.2)%

 

    (1,362,524
   

 

 

 

Net Assets — 100.0%

    $  878,617,814  
   

 

 

 

 

(a) 

All or a portion of the security has been pledged and/or segregated as collateral in connection with outstanding exchange-traded options written.

(b)

All or a portion of the security has been pledged as collateral in connection with outstanding OTC derivatives.

(c) 

Non-income producing security.

(d) 

Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

(e) 

Restricted security as to resale, excluding 144A securities. The Trust held restricted securities with a current value of $10,682,841, representing 1.2% of its net assets as of period end, and an original cost of $10,198,056.

(f) 

This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933.

(g) 

Affiliate of the Trust.

(h) 

Annualized 7-day yield as of period end.

 

 

For Trust compliance purposes, the Trust’s industry classifications refer to one or more of the industry sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.

 

 

94  

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Schedule of Investments (unaudited) (continued)

June 30, 2022

  

BlackRock Resources & Commodities Strategy Trust (BCX)

    

 

Affiliates

Investments in issuers considered to be affiliate(s) of the Trust during the six months ended June 30, 2022 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

 

 
Affiliated Issuer   Value at
12/31/21
    Purchases
at Cost
    Proceeds
from Sales
    Net
Realized
Gain (Loss)
    Change in
Unrealized
Appreciation
(Depreciation)
    Value at
06/30/22
    Shares
Held at
06/30/22
    Income     Capital Gain
Distributions
from
Underlying
Funds
 

 

 

BlackRock Liquidity Funds, T-Fund, Institutional Class

  $  16,654,313     $  8,462,376 (a)    $     $     $     $  25,116,689       25,116,689     $   39,871     $  
       

 

 

   

 

 

   

 

 

     

 

 

   

 

 

 

 

  (a) 

Represents net amount purchased (sold).

 

Derivative Financial Instruments Outstanding as of Period End

Exchange-Traded Options Written

 

Description    Number of
Contracts
       Expiration
Date
       Exercise Price       

Notional
Amount (000)

       Value  
Call                                                   

Pioneer Natural Resources Co.

     104          07/01/22        USD     290.00        USD     2,320        $ (520)  

AGCO Corp.

     410          07/15/22        USD     120.00        USD     4,047            (20,500)  

Albemarle Corp.

     150          07/15/22        USD     240.00        USD     3,135          (15,375)  

ArcelorMittal SA

     560          07/15/22        USD     31.00        USD     1,266          (6,160)  

Bunge Ltd.

     412          07/15/22        USD     120.00        USD     3,736          (2,060)  

Bunge Ltd.

     533          07/15/22        USD     110.00        USD     4,834          (15,990)  

Cenovus Energy Inc.

     641          07/15/22        CAD     26.50        CAD     1,570          (19,670)  

Darling Ingredients, Inc.

     220          07/15/22        USD     85.00        USD     1,316          (3,300)  

Exxon Mobil Corp.

     470          07/15/22        USD     100.00        USD     4,025          (5,170)  

FMC Corp.

     451          07/15/22        USD     125.00        USD     4,826          (33,825)  

HESS Corp.

     220          07/15/22        USD     130.00        USD     2,331          (9,900)  

Marathon Petroleum Corp.

     270          07/15/22        USD     100.00        USD     2,220          (3,105)  

Newmont Corp.

     380          07/15/22        USD     70.00        USD     2,267          (2,090)  

Packaging Corp. of America

     122          07/15/22        USD     145.00        USD     1,678          (11,285)  

Phillips 66

     95          07/15/22        USD     105.00        USD     779          (713)  

Shell PLC, ADR

     597          07/15/22        USD     57.50        USD     3,122          (13,432)  

Shell PLC, ADR

     496          07/15/22        USD     60.00        USD     2,594          (3,720)  

Sociedad Quimica y Minera de Chile SA, ADR

     486          07/15/22        USD     100.00        USD     4,060          (18,225)  

Stelco Holdings Inc.

     668          07/15/22        CAD     52.00        CAD     2,150          (20,239)  

Stelco Holdings Inc.

     200          07/15/22        CAD     41.00        CAD     644          (1,942)  

Vale SA, ADR

     1,208          07/15/22        USD     16.00        USD     1,767          (22,348)  

Alcoa Corp.

     160          07/22/22        USD     64.00        USD     729          (1,680)  

ArcelorMittal SA

     560          07/22/22        USD     31.00        USD     1,266          (4,480)  

ConocoPhillips

     294          07/22/22        USD     127.00        USD     2,640          (11,172)  

Deere & Co.

     37          07/22/22        USD     370.00        USD     1,108          (2,720)  

EOG Resources, Inc.

     144          07/22/22        USD     153.20        USD     1,590          (5,040)  

Exxon Mobil Corp.

     492          07/22/22        USD     105.00        USD     4,213          (5,658)  

Exxon Mobil Corp.

     413          07/22/22        USD     109.00        USD     3,537          (3,304)  

Marathon Petroleum Corp.

     239          07/22/22        USD     120.00        USD     1,965          (3,824)  

Teck Resources Ltd., Class B

     695          07/22/22        USD     41.00        USD     2,125          (18,070)  

Vale SA, ADR

     2,400          07/22/22        USD     16.00        USD     3,511          (54,000)  

Shell PLC, ADR

     808          07/25/22        USD     59.50        USD     4,225          (22,548)  

Darling Ingredients, Inc.

     360          07/27/22        USD     79.00        USD     2,153          (2,231)  

ArcelorMittal SA

     571          07/29/22        USD     30.00        USD     1,290          (7,709)  

Chevron Corp.

     250          07/29/22        USD     165.00        USD     3,620          (24,500)  

ConocoPhillips

     312          07/29/22        USD     127.00        USD     2,802          (10,296)  

ConocoPhillips

     206          07/29/22        USD     95.00        USD     1,850          (54,590)  

Deere & Co.

     113          07/29/22        USD     355.00        USD     3,384          (10,566)  

EOG Resources, Inc.

     241          07/29/22        USD     138.20        USD     2,662          (11,448)  

Freeport-McMoRan, Inc.

     178          07/29/22        USD     33.00        USD     521          (12,282)  

Newmont Corp.

     500          07/29/22        USD     70.00        USD     2,984          (13,500)  

Phillips 66

     205          07/29/22        USD     94.00        USD     1,681          (20,500)  

Pioneer Natural Resources Co.

     101          07/29/22        USD     245.00        USD     2,253          (53,530)  

Vale SA, ADR

     1,460          07/29/22        USD     15.50        USD     2,136          (59,860)  

Wheaton Precious Metals Corp.

     840          07/29/22        USD     41.00        USD     3,027          (23,100)  

 

 

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

  95


Schedule of Investments (unaudited) (continued)

June 30, 2022

  

BlackRock Resources & Commodities Strategy Trust (BCX)

    

 

Exchange-Traded Options Written (continued)

 

Description    Number of
Contracts
       Expiration
Date
       Exercise Price       

Notional
Amount (000)

       Value  
Call (continued)                                                   

Franco-Nevada Corp.

     120          08/01/22        USD     147.00        USD     1,579        $ (12,348)  

Alcoa Corp.

     289          08/05/22        USD     58.00        USD     1,317          (22,686)  

ArcelorMittal SA

     576          08/05/22        USD     25.00        USD     1,302          (37,152)  

Chevron Corp.

     397          08/05/22        USD     155.00        USD     5,748          (138,950)  

Conocophillips

     403          08/05/22        USD     102.00        USD     3,619          (54,808)  

Deere & Co.

     67          08/05/22        USD     315.00        USD     2,006          (54,940)  

EOG Resources, Inc.

     167          08/05/22        USD     130.00        USD     1,844          (25,885)  

Exxon Mobil Corp.

     1,770          08/05/22        USD     94.00        USD     15,158          (305,325)  

Hess Corp.

     155          08/05/22        USD     114.00        USD     1,642          (62,000)  

Marathon Petroleum Corp.

     157          08/05/22        USD     94.00        USD     1,291          (21,666)  

Newmont Corp.

     521          08/05/22        USD     66.00        USD     3,109          (41,940)  

Phillips 66

     211          08/05/22        USD     90.00        USD     1,730          (46,420)  

Shell PLC, ADR

     1,000          08/05/22        USD     54.50        USD     5,229          (159,354)  

Teck Resources Ltd., Class B

     528          08/05/22        USD     37.00        USD     1,614          (30,096)  

Vale SA, ADR

     1,209          08/05/22        USD     17.00        USD     1,769          (23,575)  

Wheaton Precious Metals Corp.

     638          08/05/22        USD     40.00        USD     2,299          (35,090)  

Chevron Corp.

     459          08/12/22        USD     155.00        USD     6,645          (185,895)  

Shell PLC, ADR

     367          08/12/22        USD     55.78        USD     1,919          (51,753)  

Teck Resources Ltd., Class B

     330          08/12/22        USD     37.01        USD     1,009          (22,442)  

Vale SA, ADR

     1,157          08/12/22        USD     16.11        USD     1,693          (50,460)  

Wheaton Precious Metals Corp.

     416          08/12/22        USD     38.00        USD     1,499          (52,000)  

AGCO Corp.

     212          08/19/22        USD     105.00        USD     2,092          (87,980)  

Alcoa Corp.

     195          08/19/22        USD     60.00        USD     889          (18,427)  

Cenovus Energy Inc.

     584          08/19/22        CAD     31.00        CAD     1,430          (18,602)  

ConocoPhillips

     249          08/19/22        USD     105.00        USD     2,236          (39,714)  

Deere & Co.

     53          08/19/22        USD     350.00        USD     1,587          (19,345)  

FMC Corp.

     432          08/19/22        USD     110.00        USD     4,623          (183,600)  

Franco-Nevada Corp.

     120          08/19/22        USD     150.00        USD     1,579          (18,600)  

Freeport-McMoRan, Inc.

     178          08/19/22        USD     34.00        USD     521          (15,842)  

Phillips 66

     145          08/19/22        USD     110.00        USD     1,189          (5,075)  

Shell PLC, ADR

     170          08/19/22        USD     56.50        USD     889          (25,613)  

Sociedad Quimica y Minera de Chile SA, ADR

     350          08/19/22        USD     106.17        USD     2,924          (35,690)  

Stelco Holdings Inc.

     832          08/19/22        CAD     38.00        CAD     2,677          (59,789)  

Suncor Energy Inc.

     1,114          08/19/22        CAD     49.00        CAD     5,031          (154,049)  

Suncor Energy Inc.

     1,001          08/19/22        CAD     52.00        CAD     4,521          (82,432)  

TC Energy Corp.

     664          08/19/22        CAD     72.00        CAD     4,428          (26,824)  

Suncor Energy Inc.

     1,001          09/16/22        CAD     52.00        CAD     4,521          (120,537)  

Suncor Energy Inc.

     265          09/16/22        CAD     56.00        CAD     1,197          (18,117)  

TC Energy Corp.

     624          09/16/22        CAD     70.00        CAD     4,161          (69,323)  
                          

 

 

 
                           $  (3,100,521)  
                          

 

 

 

OTC Options Written

 

Description    Counterparty   Number of
Contracts
    Expiration
Date
    Exercise Price    

Notional
Amount (000)

    Value  

Call

                

Anglo American PLC

   Morgan Stanley & Co. International PLC     26,900       07/06/22       GBP       34.76       GBP       790     $ (52)  

Norsk Hydro ASA

   Merrill Lynch International     370,000       07/06/22       NOK       74.76       NOK       20,409       (14)  

Koninklijke Dsm N.V.

   Goldman Sachs International     26,800       07/12/22       EUR       145.67       EUR       3,674         (27,705)  

Total SA

   Morgan Stanley & Co. International PLC     162,000       07/12/22       EUR       54.27       EUR       8,160       (20,643)  

Kerry Group PLC

   Goldman Sachs International     49,200       07/13/22       EUR       100.65       EUR       4,494       (4,560)  

Anglo American PLC

   Morgan Stanley & Co. International PLC     33,384       07/19/22       GBP       40.65       GBP       980       (36)  

UPM Kymmene OYJ

   Morgan Stanley & Co. International PLC     90,000       07/19/22       EUR       34.05       EUR       2,611       (3,139)  

Nestle SA

   Morgan Stanley & Co. International PLC     13,000       07/20/22       CHF       125.32       CHF       1,449       (813)  

Koninklijke Dsm N.V.

   Credit Suisse International     7,600       07/27/22       EUR       160.28       EUR       1,042       (2,588)  

Total SA

   UBS AG     108,500       07/27/22       EUR       57.38       EUR       5,465       (14,837)  

UPM Kymmene OYJ

   Goldman Sachs International     172,000       07/27/22       EUR       34.28       EUR       4,990       (9,895)  

Newcrest Mining Ltd.

   Morgan Stanley & Co. International PLC     78,000       07/28/22       AUD       24.54       AUD       1,629       (2,218)  

Statoil ASA

   Morgan Stanley & Co. International PLC     58,200       07/28/22       NOK       350.73       NOK       19,936       (75,758)  

Nestle SA

   Morgan Stanley & Co. International PLC     10,100       08/09/22       CHF       111.46       CHF       1,126       (29,990)  

Repsol SA

   Credit Suisse International     145,600       08/09/22       EUR       14.41       EUR       2,046       (84,345)  

 

 

96  

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Schedule of Investments (unaudited) (continued)

June 30, 2022

  

BlackRock Resources & Commodities Strategy Trust (BCX)

    

 

OTC Options Written (continued)

 

Description   Counterparty   Number of
Contracts
    Expiration
Date
    Exercise Price     Notional
Amount (000)
    Value  

Call (continued)

               

Statoil ASA

  Morgan Stanley & Co. International PLC     58,200       08/09/22       NOK       350.68       NOK       19,936     $ (91,475

Total SA

  JPMorgan International Bank Ltd.     156,400       08/09/22       EUR       50.96       EUR       7,878       (291,232

Newcrest Mining Ltd.

  UBS AG     202,300       08/11/22       AUD       22.28       AUD       4,226       (72,687

Norsk Hydro ASA

  Morgan Stanley & Co. International PLC     353,400       08/11/22       NOK       65.28       NOK       19,494       (32,700
               

 

 

 
                $  (764,687
               

 

 

 

Balances Reported in the Statements of Assets and Liabilities for Options Written

 

Description    Swap
Premiums
Paid
       Swap
Premiums
Received
       Unrealized
Appreciation
       Unrealized
Depreciation
       Value  

Options Written

   $ N/A        $ N/A        $ 6,709,495        $ (234,533      $ (3,865,208)  

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

 

      Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
     Other
Contracts
     Total  

Liabilities — Derivative Financial Instruments

                    

Options written

                    

Options written at value

   $      $      $   3,865,208      $      $      $      $   3,865,208  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

For the period ended June 30, 2022, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

      Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
     Other
Contracts
     Total  

Net Realized Gain (Loss) from:

                    

Options purchased(a)

   $      $      $ (1,311    $      $      $      $ (1,311

Options written

                   (40,509,948                           (40,509,948
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $      $      $   (40,511,259    $      $      $      $   (40,511,259
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net Change in Unrealized Appreciation (Depreciation) on:

                    

Options purchased(b)

   $      $      $ 1,311      $      $      $      $ 1,311  

Options written

                   7,850,011                             7,850,011  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $      $      $ 7,851,322      $      $      $      $ 7,851,322  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

Options purchased are included in net realized gain (loss) from investments — unaffiliated.

 
  (b) 

Options purchased are included in net change in unrealized appreciation (depreciation) on investments — unaffiliated.

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Options:

        

Average value of option contracts written

   $ 9,375,481  

For more information about the Trust’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

 

 

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

  97


Schedule of Investments (unaudited) (continued)

June 30, 2022

  

BlackRock Resources & Commodities Strategy Trust (BCX)

    

 

Derivative Financial Instruments — Offsetting as of Period End

The Trust’s derivative assets and liabilities (by type) were as follows:

 

      Assets        Liabilities  

Derivative Financial Instruments

       

Options

   $        $ 3,865,208  
  

 

 

      

 

 

 

Total derivative assets and liabilities in the Statements of Assets and Liabilities

              3,865,208  
  

 

 

      

 

 

 

Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)

              (3,100,521
  

 

 

      

 

 

 

Total derivative assets and liabilities subject to an MNA

   $        $ 764,687  
  

 

 

      

 

 

 

The following table presents the Trust’s derivative liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral pledged by the Trust:

 

Counterparty     



Derivative
Liabilities
Subject to
an MNA by
Counterparty
 
 

 
 
      

Derivatives
Available
for Offset
 
 
 
      

Non-Cash
Collateral
Pledged
 
 
(a)  
    

Cash
Collateral
Pledged
 
 
 
      

Net Amount
of Derivative
Liabilities
 
 
(b) 

Credit Suisse International

   $ 86,933        $        $      $        $ 86,933  

Goldman Sachs International

     42,160                   (42,160                

JPMorgan International Bank Ltd.

     291,232                   (291,232                

Merrill Lynch International

     14                                   14  

Morgan Stanley & Co. International PLC

     256,824                   (256,824                

UBS AG

     87,524                   (87,524                
  

 

 

      

 

 

      

 

 

    

 

 

      

 

 

 
   $ 764,687        $        $   (677,740    $        $ 86,947  
  

 

 

      

 

 

      

 

 

    

 

 

      

 

 

 

 

  (a) 

Excess of collateral received/pledged, if any, from the individual counterparty is not shown for financial reporting purposes.

 
  (b)

Net amount represents the net amount payable due to counterparty in the event of default. Net amount may be offset further by the options written receivable/payable on the Statements of Assets and Liabilities.

 

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of financial instruments. For a description of the input levels and information about the Trust’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.

The following table summarizes the Trust’s financial instruments categorized in the fair value hierarchy. The breakdown of the Trust’s financial instruments into major categories is disclosed in the Schedule of Investments above.

 

 

 
     Level 1        Level 2        Level 3        Total  

 

 

Assets

                 

Investments

                 

Long-Term Investments

                 

Common Stocks

                 

Chemicals

   $ 105,015,899        $ 13,316,140        $        $ 118,332,039  

Containers & Packaging

     4,541,350                            4,541,350  

Electrical Equipment

              4,764,133                   4,764,133  

Food Products

     32,534,077          19,710,901          10,682,841          62,927,819  

Machinery

     38,525,761                            38,525,761  

Metals & Mining

     141,087,768          75,134,122          2,095          216,223,985  

Oil, Gas & Consumable Fuels

     315,886,891          75,547,055          1,005          391,434,951  

Paper & Forest Products

              21,978,819                   21,978,819  

Short-Term Securities

                 

Money Market Funds

     25,116,689                            25,116,689  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 662,708,435        $ 210,451,170        $   10,685,941        $   883,845,546  
  

 

 

      

 

 

      

 

 

      

 

 

 

Derivative Financial Instruments(a)

                 

Liabilities

                 

Equity Contracts

   $   (2,718,082      $   (1,147,126      $        $ (3,865,208
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

Derivative financial instruments are options written. Options written are shown at value.

 

 

 

98  

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Schedule of Investments (unaudited) (continued)

June 30, 2022

  

BlackRock Resources & Commodities Strategy Trust (BCX)

    

 

A reconciliation of Level 3 financial instruments is presented when the Trust had a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:

 

     

Common

Stocks

 

Assets

  

Opening balance, as of December 31, 2021

   $ 9,834,654  

Transfers into Level 3(a)

     28,028,121  

Transfers out of Level 3(b)

      

Accrued discounts/premiums

      

Net realized gain (loss)

     (45,466

Net change in unrealized appreciation (depreciation)(c)(d)

     (40,936,039

Purchases

     14,219,305  

Sales

     (414,634
  

 

 

 

Closing balance, as of June 30, 2022

   $ 10,685,941  
  

 

 

 

Net change in unrealized appreciation (depreciation) on investments still held at June 30, 2022(d)

   $ (40,936,039
  

 

 

 

 

  (a) 

As of December 31, 2021, the Trust used observable inputs in determining the value of certain investments. As of June 30, 2022, the Trust used significant unobservable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 2 to Level 3 in the disclosure hierarchy.

 
  (b) 

As of December 31, 2021, the Trust used significant unobservable inputs in determining the value of certain investments. As of June 30, 2022, the Trust used observable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 3 to Level 2 in the disclosure hierarchy.

 
  (c) 

Included in the related net change in unrealized appreciation (depreciation) in the Statements of Operations.

 
  (d) 

Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at June 30, 2022 is generally due to investments no longer held or categorized as Level 3 at period end.

 

The following table summarizes the valuation approaches used and unobservable inputs utilized by the BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) to determine the value of certain of the Trust’s Level 3 financial instruments as of period end. The table does not include Level 3 financial instruments with values based upon unadjusted third-party pricing information in the amount of $3,100. A significant change in third party information could result in a significantly lower or higher value of such Level 3 financial instruments.

 

       Value         
Valuation
Approach
 
 
      
Unobservable
Inputs
 
 
      


Range of
Unobservable
Inputs
Utilized
 
 
 
(a)  

Assets

                 

Common Stocks

   $   10,682,841          Market          EBITDA Multiple          22.00x  
  

 

 

                
   $ 10,682,841                 
  

 

 

                

 

  (a) 

A significant change in unobservable input would have resulted in a correlated (inverse) significant change to value.

 

See notes to financial statements.

 

 

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

  99


Consolidated Schedule of Investments (unaudited)

June 30, 2022

  

BlackRock Science and Technology Trust (BST)

(Percentages shown are based on Net Assets)

 

Security   Shares      Value  

Common Stocks

    
Automobiles — 2.1%             

Tesla, Inc.(a)(b)

    34,250      $       23,064,635  
    

 

 

 
Banks — 1.8%             

Klarna Holdings AB, (Acquired 08/07/19, Cost: $7,971,978)(c)(d)

    26,430        19,274,271  
    

 

 

 
Capital Markets — 0.7%             

S&P Global, Inc.(a)

    23,134        7,797,546  
    

 

 

 
Diversified Consumer Services — 0.4%         

Think & Learn Private Ltd., (Acquired 09/30/20, Cost: $1,524,948)(c)(d)

    997        3,827,869  
    

 

 

 
Electronic Equipment, Instruments & Components — 1.7%  

CDW Corp.(a)

    54,202        8,540,067  

Samsung SDI Co. Ltd.

    23,749        9,793,727  
    

 

 

 
       18,333,794  
Entertainment — 0.3%             

Roku, Inc.(a)(b)

    45,568        3,742,956  
    

 

 

 
Hotels, Restaurants & Leisure(a)(b) — 0.9%         

Airbnb, Inc., Class A

    32,494        2,894,562  

Booking Holdings, Inc.

    3,769        6,591,943  
    

 

 

 
       9,486,505  
Interactive Media & Services — 5.9%         

Alphabet, Inc., Class A(a)(b)

    13,882        30,252,489  

Kakao Corp.

    216,792        11,746,895  

Snap, Inc., Class A(a)(b)

    242,590        3,185,207  

Tencent Holdings Ltd.

    164,500        7,446,114  

Z Holdings Corp.

    1,485,700        4,320,525  

ZoomInfo Technologies, Inc., CLass A(a)(b)

    196,066        6,517,234  
    

 

 

 
       63,468,464  
Internet & Direct Marketing Retail — 2.7%         

Amazon.com, Inc.(a)(b)

    167,970        17,840,092  

Cazoo Group Ltd.(b)

    438,236        315,530  

Jasper Infotech Private Ltd., Series I, (Acquired 08/18/15,
Cost: $1,998,435)(c)(d)

    168,640        213,970  

Meituan, Class B(b)(e)

    203,300        5,073,206  

MercadoLibre, Inc.(a)(b)

    8,263        5,262,457  
    

 

 

 
       28,705,255  
IT Services — 15.1%             

Accenture PLC, Class A(a)

    50,752        14,091,293  

Adyen NV(b)(e)

    4,805        6,934,249  

Automatic Data Processing, Inc.(a)

    24,107        5,063,434  

Automattic, Inc., Series E, (Acquired 02/03/21, Cost: $7,999,945)(c)(d)

    94,117        5,078,553  

AvidXchange Holdings, Inc.(a)(b)

    124,651        765,357  

Block, Inc.(a)(b)

    73,706        4,529,971  

GMO Payment Gateway, Inc.

    64,700        4,608,644  

Mastercard, Inc., Class A(a)

    90,717        28,619,399  

MongoDB, Inc.(a)(b)

    31,339        8,132,471  

Okta, Inc.(a)(b)

    72,383        6,543,423  

PayPal Holdings, Inc.(a)(b)

    90,553        6,324,222  

Salt Payments, Inc., Series C, (Acquired 12/17/21, Cost: $24,999,987)(c)(d)

    12,871        15,216,997  

Snowflake, Inc., Class A(a)(b)

    13,175        1,832,116  

Thoughtworks Holding, Inc.(a)(b)

    448,130        6,323,114  

TRAX Ltd., (Acquired 09/12/19, Cost: $4,000,013)(c)(d)

    106,667        4,342,414  
Security   Shares      Value  
IT Services (continued)             

TRAX Ltd., Series D, (Acquired 02/18/21, Cost: $1,999,990)(c)(d)

    38,361      $ 1,561,676  

Twilio, Inc., Class A(a)(b)

    67,897        5,690,448  

Visa, Inc., Class A(a)

    122,365        24,092,445  

Voltron Data, Inc., Series A, (Acquired 01/18/22, Cost: $10,000,000)(c)(d)

    6,201,935        9,116,844  

Wise PLC, Class A(b)

    1,002,310        3,640,000  
    

 

 

 
           162,507,070  
Professional Services — 0.4%             

Planet Labs, Inc., (Acquired 01/06/22, Cost: $10,000,000)(d)

    1,000,000        4,330,000  
    

 

 

 
Road & Rail — 0.5%             

Ant Group Co., Ltd, Series C, (Acquired 05/18/18, Cost: $6,492,863)(c)(d)

    1,703,548        5,570,602  
    

 

 

 
Semiconductors & Semiconductor Equipment — 14.8%  

Advanced Micro Devices, Inc.(a)(b)

    110,640        8,460,641  

Alphawave IP Group PLC(b)

    1,844,013        3,016,900  

Analog Devices, Inc.(a)

    39,090        5,710,659  

ASML Holding NV

    33,209        15,689,191  

Broadcom, Inc.(a)

    10,711        5,203,511  

Credo Technology Group Holding Ltd., (Acquired 01/27/22, Cost: $5,404,499)(d)

    1,071,061        12,419,642  

Globalfoundries, Inc.(a)(b)

    128,800        5,195,792  

Lam Research Corp.(a)

    29,879        12,732,936  

Marvell Technology, Inc.(a)

    565,155        24,601,197  

Monolithic Power Systems, Inc.(a)

    22,095        8,485,364  

NVIDIA Corp.(a)

    54,473        8,257,562  

Qualcomm, Inc.(a)

    35,732        4,564,406  

Renesas Electronics Corp.(b)

    810,800        7,337,217  

Soitec SA(b)

    75,893        10,901,270  

STMicroelectronics NV

    171,818        5,433,754  

Taiwan Semiconductor Manufacturing Co. Ltd., ADR(a)

    113,378        9,268,651  

Wolfspeed, Inc.(a)(b)

    199,937        12,686,003  
    

 

 

 
       159,964,696  
Software — 21.2%             

Adobe, Inc.(a)(b)

    18,274        6,689,381  

ANSYS, Inc.(a)(b)

    35,186        8,419,658  

AppLovin Corp., Class A(a)(b)

    164,804        5,675,850  

Atlassian Corp. PLC, Class A(a)(b)

    37,822        7,087,843  

AvidXchange, Inc., (Acquired 07/29/20, Cost: $2,022,088)(d)

    165,028        1,013,272  

Cadence Design Systems, Inc.(a)(b)

    107,937        16,193,788  

Constellation Software, Inc

    3,049        4,526,292  

Crowdstrike Holdings, Inc., Class A(a)(b)

    43,297        7,298,142  

CS Disco, Inc.(a)(b)

    215,329        3,884,535  

Databricks, Inc., (Acquired 07/24/20, Cost: $960,476)(c)(d)

    19,999        3,668,616  

DataRobot, Inc., (Acquired 03/01/21, Cost: $583,275)(c)(d)

    38,789        434,437  

Elastic NV(a)(b)

    47,198        3,193,889  

Gitlab, Inc., Class A(a)(b)

    144,364        7,671,503  

Grammarly, Inc., (Acquired 11/17/21, Cost: $18,749,975)(c)(d)

    715,323        15,264,993  

Intuit, Inc.(a)

    33,520        12,919,949  

Microsoft Corp.(a)

    254,052        65,248,175  

Oracle Corp.(a)

    104,180        7,279,057  

Patreon, Inc., (Acquired 08/19/21, Cost: $3,352,226)(c)(d)

    59,524        2,297,031  
 

 

 

100  

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


Consolidated Schedule of Investments (unaudited) (continued)

June 30, 2022

  

BlackRock Science and Technology Trust (BST)

(Percentages shown are based on Net Assets)

 

Security   Shares      Value  
Software (continued)             

Salesforce, Inc.(a)(b)

    54,803      $ 9,044,687  

ServiceNow, Inc.(a)(b)

    29,283        13,924,652  

SiteMinder Ltd.(b)

    2,145,680        5,227,743  

Snorkel AI, Inc., (Acquired 06/30/21, Cost: $997,636)(c)(d)

    66,422        634,994  

Snyk Ltd., (Acquired 09/02/21, Cost: $5,192,307)(c)(d)

    361,972        3,717,452  

Unity Software, Inc.(a)(b)

    114,284        4,207,937  

Xero Ltd.(b)

    130,197        6,944,789  

Zscaler, Inc.(a)(b)

    43,943        6,569,918  
    

 

 

 
       229,038,583  
Technology Hardware, Storage & Peripherals — 6.1%  

Apple, Inc.(a)

    483,817        66,147,460  
    

 

 

 

Total Common Stocks — 74.6%
(Cost: $540,790,983)

       805,259,706  
    

 

 

 
    

Par

(000)

         

Convertible Notes

    
Software — 0.9%             

Warhol, Inc.(Acquired: 12/14/21, Cost: $8,000,000), 0.00%(c)(d)

  $ 80        9,640,000  
    

 

 

 

Total Convertible Notes — 0.9%
(Cost: $8,000,000)

       9,640,000  
    

 

 

 
     Shares          

Preferred Securities

    
Preferred Stocks — 20.4%(c)(d)             
Chemicals — 0.6%             

Solugen, Inc., (Acquired 09/02/21, Cost: $9,999,977)

    269,284        6,923,291  
    

 

 

 
Diversified Consumer Services — 0.4%         

Think & Learn Private Ltd., Series F, (Acquired 09/30/20, Cost: $3,052,975)

    1,054        4,046,714  
    

 

 

 
Diversified Financial Services — 0.8%         

Trumid Holdings LLC, Class L, (Acquired 09/15/21, Cost: $9,999,695), 07/16/22(f)

    11,420        8,511,783  
    

 

 

 
Entertainment — 0.5%             

Discord, Inc., Series I, (Acquired 09/13/21, Cost: $7,000,088)

    12,713        5,046,044  
    

 

 

 
Food & Staples Retailing — 1.5%             

Grubmarket, Inc., Series E, (Acquired 10/18/21, Cost: $6,999,994)

    709,724        15,670,706  
    

 

 

 
Food Products — 0.9%             

Farmer’s Business Network, Inc. (Acquired 09/15/21, Cost: $6,999,963)

    112,616        5,399,937  

Series F, (Acquired 07/31/20, Cost: $2,999,886)

    90,750        4,161,795  
    

 

 

 
       9,561,732  
Interactive Media & Services — 1.4%         

ByteDance Ltd., Series E-1, (Acquired 11/11/20, Cost: $9,999,959)

    91,262        15,105,319  
    

 

 

 
Security   Shares      Value  
IT Services — 1.8%             

Deep Instinct Ltd., Series D-2, (Acquired 03/19/21, Cost: $2,999,391)

    493,493      $ 2,418,115  

Trumid Holdings LLC(f)

    

Class J-A, (Acquired 07/24/20, Cost: $2,499,716)

    5,038        3,755,023  

Class J-B, (Acquired 07/24/20, Cost: $1,499,830)

    5,038        3,755,023  

Voltron Data, Inc., (Acquired 07/14/21, Cost: $5,000,000)

    9,090,909        9,909,091  
    

 

 

 
       19,837,252  
Road & Rail — 0.4%             

FlixMobility GmbH, Series F, (Acquired 07/26/19, Cost: $5,482,937)

    275        3,845,269  
    

 

 

 
Semiconductors & Semiconductor Equipment — 4.1%  

PsiQuantum Corp.

    

Series C, (Acquired 09/09/19, Cost: $3,200,234)

    690,003        14,200,262  

Series C, (Acquired 05/21/21, Cost: $5,000,025)

    190,650        4,873,014  

Rivos, Inc., Series A, (Acquired 12/03/21, Cost: $12,003,705)

    4,500,000        10,800,000  

SambaNova Systems, Inc., Series C, (Acquired 02/20/20, Cost: $9,972,125)

    187,300        14,231,054  
    

 

 

 
       44,104,330  
Software — 8.0%             

Bolt Financial, Inc., Series E, (Acquired 01/18/22, Cost: $29,999,955)

    598,682        20,289,333  

Databricks, Inc.

    

Series F, (Acquired 10/22/19, Cost: $3,999,999)

    93,135        17,084,684  

Series G, (Acquired 02/01/21, Cost: $4,500,001)

    25,371        4,654,056  

DataRobot, Inc., Series F, (Acquired 10/27/20, Cost: $2,999,996)

    228,276        2,565,822  

Grammarly, Inc., Series 3, (Acquired 11/17/21, Cost: $6,249,992)

    238,441        5,088,331  

MNTN Digital, Inc., (Acquired 11/05/21, Cost: $24,999,980)

    1,088,598        15,773,785  

Patreon, Inc., Series D, (Acquired 07/14/21, Cost: $6,666,632)

    119,047        4,594,024  

Prosimo, Inc., Series B, (Acquired 11/04/21, Cost: $4,999,998)

    2,515,811        4,327,195  

Snorkel AI, Inc., Series C, (Acquired 06/30/21, Cost: $4,999,985)

    332,896        3,182,486  

Snyk Ltd., Series B, (Acquired 09/02/21, Cost: $4,807,688)

    335,159        3,442,083  

Unqork, Inc.

    

Series B, (Acquired 09/19/19, Cost: $3,198,416)

    281,080        4,938,576  

Series C, (Acquired 09/18/20, Cost: $1,303,260)

    47,600        836,332  
    

 

 

 
       86,776,707  
    

 

 

 
       219,429,147  
    

 

 

 

Total Preferred Securities — 20.4%
(Cost: $203,436,402)

           219,429,147  
    

 

 

 
 

 

 

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

  101


Consolidated Schedule of Investments (unaudited) (continued)

June 30, 2022

  

BlackRock Science and Technology Trust (BST)

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  

Warrants

   
IT Services — 0.0%            

TRAX Ltd., (Expires 09/15/2023), (Acquired 09/12/19, Cost: $0)(c)(d)

    17,065     $ 42,321  
   

 

 

 

Total Warrants — 0.0%
(Cost: $ — )

 

    42,321  
   

 

 

 

Total Long-Term Investments — 95.9% (Cost: $752,227,385)

 

    1,034,371,174  
   

 

 

 

Short-Term Securities

   

Money Market Funds — 4.5%

   

BlackRock Liquidity Funds, T-Fund, Institutional Class, 1.33%(g)(h)

    49,223,180       49,223,180  
   

 

 

 

Total Short-Term Securities — 4.5%
(Cost: $49,223,180)

 

    49,223,180  
   

 

 

 

Total Investments Before Options Written — 100.4% (Cost: $801,450,565)

 

    1,083,594,354  
   

 

 

 

Options Written — (0.4)%
(Premiums Received: $(10,312,473))

 

    (4,802,220
   

 

 

 

Total Investments, Net of Options Written — 100.0% (Cost: $791,138,092)

 

    1,078,792,134  

Other Assets Less Liabilities — 0.0%

 

    107,061  
   

 

 

 

Net Assets — 100.0%

 

  $  1,078,899,195  
   

 

 

 

 

(a) 

All or a portion of the security has been pledged and/or segregated as collateral in connection with outstanding exchange-traded options written.

(b) 

Non-income producing security.

(c) 

Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

(d) 

Restricted security as to resale, excluding 144A securities. The Trust held restricted securities with a current value of $337,095,101, representing 31.2% of its net assets as of period end, and an original cost of $325,687,043.

(e) 

Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.

(f) 

All or a portion of the security is held by a wholly-owned subsidiary. See Note 1 of the Notes to Consolidated Financial Statements for details on the wholly-owned subsidiary.

(g) 

Affiliate of the Trust.

(h) 

Annualized 7-day yield as of period end.

 

For Trust compliance purposes, the Trust’s industry classifications refer to one or more of the industry sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.

Affiliates

Investments in issuers considered to be affiliate(s) of the Trust during the six months ended June 30, 2022 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliated Issuer   Value at
12/31/21
    Purchases
at Cost
    Proceeds
from Sales
    Net
Realized
Gain (Loss)
    Change in
Unrealized
Appreciation
(Depreciation)
    Value at
06/30/22
    Shares
Held at
06/30/22
    Income     Capital Gain
Distributions
from
Underlying
Funds
 

BlackRock Liquidity Funds, T-Fund, Institutional Class

  $   42,574,872     $   6,648,308 (a)    $     $     $     $   49,223,180       49,223,180     $ 70,631     $  

SL Liquidity Series, LLC, Money Market Series(b)

    840,396             (840,061 )(a)      (335                       18,028 (c)       
       

 

 

   

 

 

   

 

 

     

 

 

   

 

 

 
        $ (335   $     $ 49,223,180       $ 88,659     $  
       

 

 

   

 

 

   

 

 

     

 

 

   

 

 

 

 

  (a) 

Represents net amount purchased (sold).

  (b) 

As of period end, the entity is no longer held.

  (c) 

All or a portion represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities.

Derivative Financial Instruments Outstanding as of Period End

Exchange-Traded Options Written

 

Description    Number of
Contracts
     Expiration
Date
     Exercise Price     

Notional

Amount (000)

     Value  

Call

                    

Adobe, Inc.

     56        07/01/22        USD        435.00        USD        2,050      $ (392

Analog Devices, Inc.

     55        07/01/22        USD        175.00        USD        803            (4,125

Atlassian Corp. PLC, Class A

     40        07/01/22        USD        200.00        USD        750        (800

 

 

102  

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


Consolidated Schedule of Investments (unaudited) (continued)

June 30, 2022

  

BlackRock Science and Technology Trust (BST)

    

 

Exchange-Traded Options Written (continued)

 

Description    Number of
Contracts
     Expiration
Date
     Exercise Price     

Notional

Amount (000)

     Value  

Call (continued)

                    

Booking Holdings, Inc.

     11        07/01/22        USD        2,250.00        USD        1,924      $ (2,915

Crowdstrike Holdings, Inc., Class A

     59        07/01/22        USD        175.00        USD        995        (3,688

Lam Research Corp.

     70        07/01/22        USD        525.00        USD        2,983        (70

S&P Global, Inc.

     90        07/01/22        USD        350.00        USD        3,034        (4,950

ServiceNow, Inc.

     59        07/01/22        USD        485.00        USD        2,806        (11,210

Unity Software, Inc.

     149        07/01/22        USD        44.00        USD        549        (447

Accenture PLC, Class A

     103        07/08/22        USD        315.00        USD        2,860        (6,695

Analog Devices, Inc.

     75        07/08/22        USD        165.00        USD        1,096        (7,500

Atlassian Corp. PLC, Class A

     34        07/08/22        USD        210.00        USD        637        (2,890

Crowdstrike Holdings, Inc., Class A

     86        07/08/22        USD        195.00        USD        1,450        (2,924

Intuit, Inc.

     101        07/08/22        USD        405.00        USD        3,893        (26,512

MercadoLibre, Inc.

     16        07/08/22        USD        890.00        USD        1,019        (3,680

MongoDB, Inc.

     7        07/08/22        USD        290.00        USD        182        (1,523

MongoDB, Inc.

     19        07/08/22        USD        315.00        USD        493        (998

Oracle Corp.

     71        07/08/22        USD        70.00        USD        496        (7,987

Tesla, Inc.

     45        07/08/22        USD        810.00        USD        3,030        (5,018

Twilio, Inc., Class A

     139        07/08/22        USD        125.00        USD        1,165        (7,714

Accenture PLC, Class A

     108        07/15/22        USD        290.00        USD        2,999        (24,570

Adobe, Inc.

     28        07/15/22        USD        425.00        USD        1,025        (1,148

Alphabet Inc., Class A

     18        07/15/22        USD        2,425.00        USD        3,923        (14,580

Amazon.com, Inc.

     200        07/15/22        USD        125.00        USD        2,124        (3,600

Amazon.com, Inc.

     401        07/15/22        USD        117.00        USD        4,259        (29,874

ANSYS, Inc.

     83        07/15/22        USD        260.00        USD        1,986        (24,070

ANSYS, Inc.

     79        07/15/22        USD        250.00        USD        1,890        (35,945

Apple, Inc.

     23        07/15/22        USD        150.00        USD        314        (759

Apple, Inc.

     157        07/15/22        USD        155.00        USD        2,147        (1,963

AppLovin Corp., Class A

     553        07/15/22        USD        45.00        USD        1,905        (11,060

Atlassian Corp. PLC, Class A

     17        07/15/22        USD        210.00        USD        319        (4,718

Atlassian Corp. PLC, Class A

     33        07/15/22        USD        200.00        USD        618        (16,665

Automatic Data Processing, Inc.

     96        07/15/22        USD        212.50        USD        2,016        (35,520

AvidXchange Holdings, Inc.

     134        07/15/22        USD        10.00        USD        82        (12,060

Broadcom, Inc.

     48        07/15/22        USD        530.00        USD        2,332        (6,720

Cadence Design Systems, Inc.

     42        07/15/22        USD        160.00        USD        630        (5,985

Cadence Design Systems, Inc.

     221        07/15/22        USD        155.00        USD        3,316        (64,090

CDW Corp.

     121        07/15/22        USD        160.00        USD        1,906        (38,417

Crowdstrike Holdings, Inc., Class A

     55        07/15/22        USD        190.00        USD        927        (11,605

CS Disco, Inc.

     92        07/15/22        USD        30.00        USD        166        (3,220

CS Disco, Inc.

     250        07/15/22        USD        22.50        USD        451        (45,000

Elastic NV

     128        07/15/22        USD        67.46        USD        866        (51,008

Elastic NV

     27        07/15/22        USD        80.00        USD        183        (1,418

Gitlab, Inc., Class A

     189        07/15/22        USD        50.00        USD        1,004            (100,170

Globalfoundries Inc.

     400        07/15/22        USD        65.00        USD        1,614        (6,000

Globalfoundries Inc.

     256        07/15/22        USD        55.00        USD        1,033        (5,120

Intuit, Inc.

     28        07/15/22        USD        420.00        USD        1,079        (6,720

Lam Research Corp.

     50        07/15/22        USD        515.00        USD        2,131        (1,675

Lam Research Corp.

     30        07/15/22        USD        480.00        USD        1,278        (6,240

Mastercard, Inc., Class A

     68        07/15/22        USD        355.00        USD        2,145        (2,924

MercadoLibre, Inc.

     7        07/15/22        USD        900.00        USD        446        (350

Microsoft Corp.

     136        07/15/22        USD        280.00        USD        3,493        (8,296

MongoDB, Inc.

     19        07/15/22        USD        300.00        USD        493        (6,650

MongoDB, Inc.

     19        07/15/22        USD        320.00        USD        493        (2,850

Monolithic Power Systems, Inc.

     21        07/15/22        USD        460.00        USD        806        (5,618

NVIDIA Corp.

     65        07/15/22        USD        185.00        USD        985        (2,275

Okta, Inc.

     80        07/15/22        USD        130.00        USD        723        (760

Oracle Corp.

     115        07/15/22        USD        72.50        USD        804        (6,728

PayPal Holdings, Inc.

     232        07/15/22        USD        95.00        USD        1,620        (1,624

Roku, Inc.

     38        07/15/22        USD        110.00        USD        312        (1,520

salesforce.com, Inc.

     100        07/15/22        USD        185.00        USD        1,650        (6,600

ServiceNow, Inc.

     23        07/15/22        USD        500.00        USD        1,094        (20,700

Snap, Inc., Class A

     142        07/15/22        USD        17.00        USD        186        (1,065

Snowflake, Inc., Class A

     24        07/15/22        USD        175.00        USD        334        (1,560

Tesla, Inc.

     17        07/15/22        USD        905.00        USD        1,145        (1,173

 

 

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

  103


Consolidated Schedule of Investments (unaudited) (continued)

June 30, 2022

  

BlackRock Science and Technology Trust (BST)

    

 

Exchange-Traded Options Written (continued)

 

Description    Number of
Contracts
     Expiration
Date
     Exercise Price     

Notional

Amount (000)

     Value  

Call (continued)

                    

Thoughtworks Holding, Inc.

     439        07/15/22        USD        17.50        USD        619      $ (43,900

Twilio, Inc., Class A

     95        07/15/22        USD        105.00        USD        796        (5,605

Unity Software, Inc.

     200        07/15/22        USD        45.00        USD        736        (10,500

Visa, Inc., Class A

     102        07/15/22        USD        215.00        USD        2,008        (4,437

Visa, Inc., Class A

     157        07/15/22        USD        202.50        USD        3,091        (46,707

Wolfspeed, Inc.

     240        07/15/22        USD        85.00        USD        1,523        (18,000

ZoomInfo Technologies, Inc.

     479        07/15/22        USD        50.00        USD        1,592        (16,765

ZoomInfo Technologies, Inc.

     250        07/15/22        USD        40.00        USD        831        (7,500

Zscaler, Inc.

     31        07/15/22        USD        220.00        USD        463        (713

Zscaler, Inc.

     34        07/15/22        USD        165.00        USD        508        (10,047

Adobe, Inc.

     22        07/22/22        USD        445.00        USD        805        (836

Advanced Micro Devices, Inc.

     187        07/22/22        USD        98.00        USD        1,430        (3,366

Alphabet Inc., Class A

     19        07/22/22        USD        2,520.00        USD        4,141        (14,250

Alphabet Inc., Class A

     7        07/22/22        USD        2,375.00        USD        1,525        (16,240

Amazon.com, Inc.

     78        07/22/22        USD        120.00        USD        828        (6,357

Analog Devices, Inc.

     75        07/22/22        USD        160.00        USD        1,096        (6,188

Apple, Inc.

     244        07/22/22        USD        155.00        USD        3,336        (6,466

Atlassian Corp. PLC, Class A

     84        07/22/22        USD        200.00        USD        1,574        (60,060

Booking Holdings, Inc.

     7        07/22/22        USD        2,070.00        USD        1,224        (5,005

Crowdstrike Holdings, Inc., Class A

     23        07/22/22        USD        180.00        USD        388        (14,260

Crowdstrike Holdings, Inc., Class A

     22        07/22/22        USD        195.00        USD        371        (5,698

Intuit, Inc.

     21        07/22/22        USD        390.00        USD        809            (29,505

Lam Research Corp.

     32        07/22/22        USD        495.00        USD        1,364        (7,072

Marvell Technology, Inc.

     434        07/22/22        USD        65.00        USD        1,889        (32,550

Mastercard, Inc., Class A

     146        07/22/22        USD        380.00        USD        4,606        (2,628

Mastercard, Inc., Class A

     36        07/22/22        USD        335.00        USD        1,136        (13,410

Microsoft Corp.

     313        07/22/22        USD        285.00        USD        8,039        (23,475

MongoDB, Inc.

     30        07/22/22        USD        320.00        USD        779        (9,225

Okta, Inc.

     44        07/22/22        USD        115.00        USD        398        (3,234

Qualcomm, Inc.

     104        07/22/22        USD        140.00        USD        1,328        (14,924

S&P Global, Inc.

     14        07/22/22        USD        335.00        USD        472        (15,680

ServiceNow, Inc.

     25        07/22/22        USD        475.00        USD        1,189        (59,625

Snap, Inc., Class A

     154        07/22/22        USD        16.00        USD        202        (9,009

Tesla, Inc.

     22        07/22/22        USD        850.00        USD        1,482        (10,230

Twilio, Inc., Class A

     36        07/22/22        USD        100.00        USD        302        (6,030

Twilio, Inc., Class A

     35        07/22/22        USD        105.00        USD        293        (3,675

Zscaler, Inc.

     39        07/22/22        USD        155.00        USD        583        (31,102

Airbnb, Inc., Class A

     50        07/29/22        USD        135.00        USD        445        (575

Airbnb, Inc., Class A

     30        07/29/22        USD        110.00        USD        267        (2,925

Apple, Inc.

     158        07/29/22        USD        140.00        USD        2,160        (72,285

Apple, Inc.

     357        07/29/22        USD        145.00        USD        4,881        (95,497

Marvell Technology, Inc.

     210        07/29/22        USD        54.00        USD        914        (5,985

Marvell Technology, Inc.

     320        07/29/22        USD        56.00        USD        1,393        (4,320

Mastercard, Inc., Class A

     117        07/29/22        USD        335.00        USD        3,691        (73,125

MercadoLibre, Inc.

     16        07/29/22        USD        820.00        USD        1,019        (11,040

Microsoft Corp.

     115        07/29/22        USD        265.00        USD        2,954        (87,400

MongoDB, Inc.

     18        07/29/22        USD        315.00        USD        467        (10,350

NVIDIA Corp.

     89        07/29/22        USD        175.00        USD        1,349        (22,561

Okta, Inc.

     80        07/29/22        USD        100.00        USD        723        (30,600

Oracle Corp.

     282        07/29/22        USD        70.00        USD        1,970        (60,771

Roku, Inc.

     57        07/29/22        USD        97.00        USD        468        (21,660

salesforce.com, Inc.

     40        07/29/22        USD        180.00        USD        660        (11,820

Snap, Inc., Class A

     141        07/29/22        USD        16.00        USD        185        (9,447

Snowflake, Inc., Class A

     35        07/29/22        USD        160.00        USD        487        (15,925

Tesla, Inc.

     14        07/29/22        USD        775.00        USD        943        (28,945

Unity Software, Inc.

     89        07/29/22        USD        43.00        USD        328        (14,818

Zscaler, Inc.

     29        07/29/22        USD        190.00        USD        434        (4,452

Zscaler, Inc.

     24        07/29/22        USD        170.00        USD        359        (11,160

Accenture PLC, Class A

     17        08/05/22        USD        285.00        USD        472        (13,175

Adobe, Inc.

     17        08/05/22        USD        405.00        USD        622        (9,435

Advanced Micro Devices, Inc.

     158        08/05/22        USD        94.00        USD        1,208        (15,721

Airbnb, Inc., Class A

     66        08/05/22        USD        115.00        USD        588        (6,765

 

 

104  

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


Consolidated Schedule of Investments (unaudited) (continued)

June 30, 2022

  

BlackRock Science and Technology Trust (BST)

    

 

Exchange-Traded Options Written (continued)

 

Description   Number of
Contracts
    Expiration
Date
    Exercise Price     Notional
Amount (000)
    Value  

Call (continued)

             

Amazon.com, Inc.

    300       08/05/22       USD       125.00       USD       3,186     $ (40,500

Analog Devices, Inc.

    12       08/05/22       USD       155.00       USD       175       (3,600

Apple, Inc.

    82       08/05/22       USD       150.00       USD       1,121       (15,908

Block Inc., Class A

    210       08/05/22       USD       85.00       USD       1,291       (20,475

Gitlab, Inc., Class A

    376       08/05/22       USD       48.00       USD       1,998       (311,987

Marvell Technology, Inc.

    510       08/05/22       USD       53.00       USD       2,220       (23,970

Microsoft Corp.

    124       08/05/22       USD       270.00       USD       3,185       (81,220

Okta, Inc.

    151       08/05/22       USD       105.00       USD       1,365       (48,924

PayPal Holdings, Inc.

    48       08/05/22       USD       90.00       USD       335       (4,656

Qualcomm, Inc.

    76       08/05/22       USD       135.00       USD       971       (37,810

Roku, Inc.

    55       08/05/22       USD       115.00       USD       452       (10,945

salesforce.com, Inc.

    82       08/05/22       USD       180.00       USD       1,353       (30,340

Snap, Inc., Class A

    142       08/05/22       USD       18.00       USD       186       (5,751

Taiwan Semiconductor Manufacturing Co. Ltd., ADR

    122       08/05/22       USD       93.00       USD       997       (7,259

Tesla, Inc.

    17       08/05/22       USD       790.00       USD       1,145       (36,720

Visa, Inc., Class A

    169       08/05/22       USD       205.00       USD       3,327       (92,105

Adobe, Inc.

    15       08/12/22       USD       395.00       USD       549       (15,825

Advanced Micro Devices, Inc.

    152       08/12/22       USD       90.06       USD       1,162       (28,384

Apple, Inc.

    315       08/12/22       USD       147.68       USD       4,307       (93,309

Block Inc., Class A

    102       08/12/22       USD       81.33       USD       627       (17,195

Marvell Technology, Inc.

    880       08/12/22       USD       51.77       USD       3,831       (79,728

Microsoft Corp.

    96       08/12/22       USD       265.00       USD       2,466       (84,960

Snap, Inc., Class A

    618       08/12/22       USD       17.17       USD       811       (35,076

Snap, Inc., Class A

    137       08/12/22       USD       16.54       USD       180       (9,876

Taiwan Semiconductor Manufacturing Co. Ltd., ADR

    136       08/12/22       USD       91.14       USD       1,112       (14,690

Alphabet Inc., Class A

    18       08/19/22       USD       2,500.00       USD       3,923       (57,420

Apple, Inc.

    357       08/19/22       USD       150.00       USD       4,881       (88,357

AppLovin Corp., Class A

    455       08/19/22       USD       50.00       USD       1,567       (45,500

Block Inc., Class A

    49       08/19/22       USD       110.00       USD       301       (1,103

Cadence Design Systems, Inc.

    222       08/19/22       USD       160.00       USD       3,331       (125,430

CDW Corp.

    121       08/19/22       USD       160.00       USD       1,906       (81,070

CS Disco, Inc.

    250       08/19/22       USD       22.50       USD       451       (28,750

Elastic NV

    118       08/19/22       USD       80.00       USD       799       (30,975

Gitlab, Inc., Class A

    295       08/19/22       USD       50.83       USD       1,568       (233,616

Marvell Technology, Inc.

    231       08/19/22       USD       52.50       USD       1,006       (17,440

Mastercard, Inc., Class A

    41       08/19/22       USD       345.00       USD       1,293       (25,830

Microsoft Corp.

    105       08/19/22       USD       270.00       USD       2,697       (75,337

MongoDB, Inc.

    60       08/19/22       USD       290.00       USD       1,557       (103,800

Monolithic Power Systems, Inc.

    39       08/19/22       USD       450.00       USD       1,498       (39,390

NVIDIA Corp.

    104       08/19/22       USD       215.00       USD       1,577       (5,512

Okta, Inc.

    43       08/19/22       USD       120.00       USD       389       (7,568

PayPal Holdings, Inc.

    127       08/19/22       USD       90.00       USD       887       (17,145

Roku, Inc.

    55       08/19/22       USD       120.00       USD       452       (12,622

salesforce.com, Inc.

    24       08/19/22       USD       180.00       USD       396       (11,880

ServiceNow, Inc.

    25       08/19/22       USD       500.00       USD       1,189       (66,625

Taiwan Semiconductor Manufacturing Co. Ltd., ADR

    252       08/19/22       USD       95.00       USD       2,060       (17,388

Tesla, Inc.

    21       08/19/22       USD       840.00       USD       1,414       (42,000

Tesla, Inc.

    18       08/19/22       USD       790.00       USD       1,212       (55,575

Unity Software, Inc.

    190       08/19/22       USD       55.00       USD       700       (22,895

Wolfspeed, Inc.

    240       08/19/22       USD       90.00       USD       1,523       (21,600

Zscaler, Inc.

    40       08/19/22       USD       190.00       USD       598       (13,500

Wolfspeed, Inc.

    190       09/16/22       USD       80.00       USD       1,206       (57,950
             

 

 

 
              $   (4,415,173
             

 

 

 

OTC Options Written

 

Description   Counterparty   Number of
Contracts
    Expiration
Date
    Exercise Price    

Notional

Amount (000)

    Value  

Call

               

Soitec SA

  Goldman Sachs International     5,500       07/06/22       EUR       173.51       EUR       745     $ (8

STMicroelectronics NV

  Goldman Sachs International     40,300       07/06/22       EUR       39.72       EUR       1,209        

 

 

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

  105


Consolidated Schedule of Investments (unaudited) (continued)

June 30, 2022

  

BlackRock Science and Technology Trust (BST)

    

 

OTC Options Written (continued)

 

Description    Counterparty   Number of
Contracts
    Expiration
Date
    Exercise Price     Notional
Amount (000)
    Value  

Call (continued)

                

Yahoo Japan Corp.

   BNP Paribas SA     509,000       07/08/22       JPY       499.86       JPY       201,768     $  

Wolfspeed, Inc.

   Bank of America N.A.     13,200       07/11/22       USD       81.32       USD       838       (543

Wolfspeed, Inc.

   Citibank N.A.     9,000       07/11/22       USD       101.52       USD       571        

Soitec SA

   Morgan Stanley & Co. International PLC     5,300       07/12/22       EUR       181.71       EUR       718       (27

Kakao Corp.

   JPMorgan Chase Bank N.A.     59,500       07/13/22       USD       85,917.68       USD       4,159,050       (298

Renesas Electronics Corp.

   UBS AG     334,000       07/13/22       JPY       1,596.86       JPY       411,822       (1,882

Samsung SDI Co. Ltd.

   Goldman Sachs International     10,600       07/13/22       USD       593,827.14       USD       5,639,200       (9,235

Alphawave IP Group PLC

   Goldman Sachs International     67,000       07/19/22       GBP       1.91       GBP       90       (205

Siteminder Ltd.

   UBS AG     60,000       07/19/22       AUD       4.93       AUD       211       (83

Soitec SA

   Morgan Stanley & Co. International PLC     13,600       07/19/22       EUR       177.89       EUR       1,843       (812

Wise PLC, Class A

   Goldman Sachs International     100,000       07/19/22       GBP       3.77       GBP       297       (2,753

Xero Ltd.

   Morgan Stanley & Co. International PLC     8,500       07/19/22       AUD       92.84       AUD       654       (2,712

GMO Payment Gateway, Inc.

   UBS AG     14,700       07/20/22       JPY       11,145.60       JPY       140,385       (9,206

Kakao Corp.

   UBS AG     55,500       07/21/22       USD       84,721.47       USD       3,879,450       (1,660

Thoughtworks Holding, Inc.

   Barclays Bank PLC     22,300       07/25/22       USD       18.99       USD       315       (756

Alphawave IP Group PLC

   Goldman Sachs International     62,000       07/26/22       GBP       1.92       GBP       83       (424

ASML Holding NV

   Goldman Sachs International     8,300       07/26/22       EUR       555.95       EUR       3,784       (7,926

Monolithic Power Systems, Inc.

   Barclays Bank PLC     3,900       07/26/22       USD       433.62       USD       1,498       (26,402

STMicroelectronics NV

   UBS AG     15,900       07/26/22       EUR       38.50       EUR       477       (578

Yahoo Japan Corp.

   JPMorgan Chase Bank N.A.     396,800       07/26/22       JPY       457.10       JPY       157,292       (1,834

Adyen NV

   Goldman Sachs International     2,100       07/27/22       EUR       1,544.77       EUR       2,915       (54,355

GMO Payment Gateway, Inc.

   JPMorgan Chase Bank N.A.     8,200       07/27/22       JPY       11,372.61       JPY       78,310       (5,953

Siteminder Ltd.

   Morgan Stanley & Co. International PLC     33,200       07/27/22       AUD       4.91       AUD       117       (164

Soitec SA

   UBS AG     1,900       07/27/22       EUR       184.80       EUR       257       (186

Xero Ltd.

   BNP Paribas SA     50,000       07/27/22       AUD       86.76       AUD       3,848       (63,337

Alphawave IP Group PLC

   UBS AG     62,000       08/02/22       GBP       1.75       GBP       83       (1,694

GMO Payment Gateway, Inc.

   JPMorgan Chase Bank N.A.     8,200       08/02/22       JPY       11,074.00       JPY       78,310       (11,081

Renesas Electronics Corp.

   JPMorgan Chase Bank N.A.     87,800       08/02/22       JPY       1,543.36       JPY       108,257       (652

STMicroelectronics NV

   Goldman Sachs International     25,500       08/03/22       EUR       34.17       EUR       765       (10,000

Thoughtworks Holding, Inc.

   Barclays Bank PLC     22,300       08/04/22       USD       19.00       USD       315       (1,773

ASML Holding NV

   JPMorgan Chase Bank N.A.     6,700       08/09/22       EUR       487.54       EUR       3,054       (86,220

Soitec SA

   Morgan Stanley & Co. International PLC     4,500       08/09/22       EUR       162.00       EUR       610       (6,102

Soitec SA

   UBS AG     3,300       08/09/22       EUR       151.69       EUR       447       (10,944

ZoomInfo Technologies, Inc.

   JPMorgan Chase Bank N.A.     18,100       08/09/22       USD       44.37       USD       602       (9,645

Thoughtworks Holding, Inc.

   Bank of America N.A.     69,000       08/11/22       USD       17.74       USD       974       (15,553

Thoughtworks Holding, Inc.

   JPMorgan Chase Bank N.A.     44,200       09/01/22       USD       15.60       USD       624       (42,044
                

 

 

 
                 $   (387,047
                

 

 

 

Balances Reported in the Consolidated Statements of Assets and Liabilities for Options Written

 

Description    Swap
Premiums
Paid
       Swap
Premiums
Received
       Unrealized
Appreciation
       Unrealized
Depreciation
       Value  

Options Written

   $ N/A        $ N/A        $ 6,166,169        $ (655,916      $   (4,802,220

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Consolidated Statements of Assets and Liabilities were as follows:

 

      Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
     Other
Contracts
     Total  

Liabilities — Derivative Financial Instruments

                    

Options written

                    

Options written at value

   $      $      $   4,802,220      $      $      $      $ 4,802,220  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

 

106  

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Consolidated Schedule of Investments (unaudited) (continued)

June 30, 2022

  

BlackRock Science and Technology Trust (BST)

    

 

For the period ended June 30, 2022, the effect of derivative financial instruments in the Consolidated Statements of Operations was as follows:

 

      Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
     Other
Contracts
     Total  

Net Realized Gain (Loss) from:

                    

Options purchased(a)

   $      $      $ (381    $      $      $      $ (381

Options written

                   43,628,929                             43,628,929  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $      $      $   43,628,548      $      $      $      $   43,628,548  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net Change in Unrealized Appreciation (Depreciation) on:

                    

Options written

   $      $      $ (274,650    $      $      $      $ (274,650
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

Options purchased are included in net realized gain (loss) from investments — unaffiliated.

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Options:

        

Average value of option contracts written

   $ (8,200,814

For more information about the Trust’s investment risks regarding derivative financial instruments, refer to the Notes to Consolidated Financial Statements.

Derivative Financial Instruments — Offsetting as of Period End

The Trust’s derivative assets and liabilities (by type) were as follows:

 

      Assets      Liabilities  

Derivative Financial Instruments

     

Options

   $      $ 4,802,220  
  

 

 

    

 

 

 

Total derivative assets and liabilities in the Consolidated Statements of Assets and Liabilities

            4,802,220  
  

 

 

    

 

 

 

Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)

            (4,415,173
  

 

 

    

 

 

 

Total derivative assets and liabilities subject to an MNA

   $      $ 387,047  
  

 

 

    

 

 

 

The following table presents the Trust’s derivative liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral pledged by the Trust:

 

Counterparty     



Derivative
Liabilities
Subject to
an MNA by
Counterparty
 
 

 
 
    

Derivatives
Available
for Offset
 
 
 
    

Non-Cash
Collateral
Pledged
 
 
 
    

Cash
Collateral
Pledged
 
 
(a) 
    

Net Amount
of Derivative
Liabilities
 
 
(b)  

Bank of America N.A.

   $ 16,096      $      $      $      $ 16,096  

Barclays Bank PLC

     28,931                             28,931  

BNP Paribas SA

     63,337                             63,337  

Goldman Sachs International

     84,906                      (40,000      44,906  

JPMorgan Chase Bank N.A.

     157,727                        (150,000      7,727  

Morgan Stanley & Co. International PLC

     9,817                      (9,817       

UBS AG

     26,233                      (26,233       
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $ 387,047      $      $      $ (226,050    $ 160,997  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

Excess of collateral received/pledged, if any, from the individual counterparty is not shown for financial reporting purposes.

 
  (b) 

Net amount represents the net amount payable due to counterparty in the event of default. Net amount may be offset further by the options written receivable/payable on the Consolidated Statements of Assets and Liabilities.

 

 

 

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

  107


Consolidated Schedule of Investments (unaudited) (continued)

June 30, 2022

  

BlackRock Science and Technology Trust (BST)

    

 

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of financial instruments. For a description of the input levels and information about the Trust’s policy regarding valuation of financial instruments, refer to the Notes to Consolidated Financial Statements.

The following table summarizes the Trust’s financial instruments categorized in the fair value hierarchy. The breakdown of the Trust’s financial instruments into major categories is disclosed in the Consolidated Schedule of Investments above.

 

      Level 1      Level 2      Level 3      Total  

Assets

           

Investments

           

Long-Term Investments

           

Common Stocks

           

Automobiles

   $ 23,064,635      $      $      $ 23,064,635  

Banks

                   19,274,271        19,274,271  

Capital Markets

     7,797,546                      7,797,546  

Diversified Consumer Services

                   3,827,869        3,827,869  

Electronic Equipment, Instruments & Components

     8,540,067        9,793,727               18,333,794  

Entertainment

     3,742,956                      3,742,956  

Hotels, Restaurants & Leisure

     9,486,505                      9,486,505  

Interactive Media & Services

     39,954,930        23,513,534               63,468,464  

Internet & Direct Marketing Retail

     23,418,079        5,073,206        213,970        28,705,255  

IT Services

     112,007,693        15,182,893        35,316,484        162,507,070  

Professional Services

            4,330,000               4,330,000  

Road & Rail

                   5,570,602        5,570,602  

Semiconductors & Semiconductor Equipment

     108,183,622        51,781,074               159,964,696  

Software

     189,835,256        13,185,804        26,017,523        229,038,583  

Technology Hardware, Storage & Peripherals

     66,147,460                      66,147,460  

Convertible Notes

                   9,640,000        9,640,000  

Preferred Securities

           

Preferred Stocks

                   219,429,147        219,429,147  

Warrants

                   42,321        42,321  

Short-Term Securities

           

Money Market Funds

     49,223,180                      49,223,180  
  

 

 

    

 

 

    

 

 

    

 

 

 
   $   641,401,929      $   122,860,238      $   319,332,187      $   1,083,594,354  
  

 

 

    

 

 

    

 

 

    

 

 

 

Derivative Financial Instruments(a)

           

Equity Contracts

   $      $      $      $  

Liabilities

           

Equity Contracts

     (3,540,304      (1,261,916             (4,802,220
  

 

 

    

 

 

    

 

 

    

 

 

 
   $ (3,540,304    $ (1,261,916    $      $ (4,802,220
  

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

Derivative financial instruments are options written. Options written are shown at value.

 

A reconciliation of Level 3 financial instruments is presented when the Trust had a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:

 

      Common
Stocks
     Convertible Notes      Preferred Stocks      Warrant      Total  

Assets

              

Opening balance, as of December 31, 2021

   $ 119,431,663      $ 8,000,000      $ 240,189,562      $ 117,749      $ 367,738,974  

Transfers into Level 3

                                  

Transfers out of Level 3

                                  

Accrued discounts/premiums

                                  

Net realized gain (loss)

              

Net change in unrealized appreciation
(depreciation)(a)(b)

     (39,210,941      1,640,000        (45,355,871      (75,428      (83,002,240

Purchases

     11,998,433               29,999,955               41,998,388  

Sales

     (1,998,436             (5,404,499             (7,402,935
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Closing balance, as of June 30, 2022

   $ 90,220,719      $ 9,640,000      $ 219,429,147      $ 42,321      $ 319,332,187  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net change in unrealized appreciation (depreciation) on investments still held at June 30, 2022(b)

   $ (40,956,670    $ 1,640,000      $ (42,384,673    $ (75,428    $ (81,776,771
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

Included in the related net change in unrealized appreciation (depreciation) in the Consolidated Statements of Operations.

 
  (b) 

Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at June 30, 2022 is generally due to investments no longer held or categorized as Level 3 at period end.

 

 

 

108  

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Consolidated Schedule of Investments (unaudited) (continued)

June 30, 2022

  

BlackRock Science and Technology Trust (BST)

    

 

The following table summarizes the valuation approaches used and unobservable inputs utilized by the BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) to determine the value of certain of the Trust’s Level 3 financial instruments as of period end.

 

       Value       
Valuation
Approach
 
 
  

Unobservable

Inputs

    


Range of
Unobservable
Inputs
Utilized
 
 
 
(a)  
    



Weighted
Average of
Unobservable
Inputs Based
on Fair Value
 
 
 
 
 

Assets

              

Common Stocks

   $ 90,220,719        Market      Revenue Multiple      3.25x - 29.00x        13.49x  
         Volatility      39% - 75%        61%  
         Time to Exit      0.5 - 4.0 years        2.6 years  

Convertible Notes

     9,640,000        Income      Discount Rate      21%         
        Market      Volatility      80%         
         Revenue Multiple      7.00x         

Preferred Stocks

     219,429,147        Market      Revenue Multiple      3.35x - 29.00x        15.00x  
         Volatility      50% - 75%        62%  
         Time to Exit      3.0 - 5.0 years        4.2 years  
         Market Adjustment Multiple      0.90x - 1.00x        0.93x  
         Gross Profit Multiple      11.89x         

Warrants

     42,321        Market      Volatility      39%         
         Time to Exit      0.5 year         
         Revenue Multiple      7.50x         
  

 

 

             
   $   319,332,187              
  

 

 

             

 

  (a)

A significant change in unobservable input would have resulted in a correlated (inverse) significant change to value.

 

See notes to financial statements.

 

 

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

  109


Consolidated Schedule of Investments (unaudited)

June 30, 2022

  

BlackRock Science and Technology Trust II (BSTZ)

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  

Common Stocks

 

Automobiles(a) — 3.2%

   

Arrival SA(b)

    1,315,613     $ 2,078,668  

Tesla, Inc.(c)

    81,949       55,186,096  
   

 

 

 
      57,264,764  
Banks — 3.5%  

Klarna Holdings AB, (Acquired 08/07/19, Cost: $23,354,997)(d)(e)

    86,839         63,327,976  
   

 

 

 
Chemicals — 0.8%  

CNGR Advanced Material Co. Ltd., Class A

    355,813       6,607,512  

Shenzhen Dynanonic Co. Ltd., Class A

    117,919       7,207,331  
   

 

 

 
      13,814,843  
Diversified Consumer Services — 1.0%  

Think & Learn Private Ltd., (Acquired 09/30/20, Cost: $7,113,729)(d)(e)

    4,651       17,856,989  
   

 

 

 
Electrical Equipment — 0.4%  

Yantai Zhenghai Magnetic Material Co. Ltd., Class A(a)

    3,296,300       7,551,689  
   

 

 

 
Electronic Equipment, Instruments & Components — 3.4%  

E Ink Holdings, Inc.

    1,648,000       10,522,915  

Jabil, Inc.

    286,456       14,669,412  

Samsung SDI Co. Ltd.

    69,838       28,800,131  

Xiamen Faratronic Co. Ltd., Class A

    230,177       7,069,965  
   

 

 

 
      61,062,423  
Entertainment(a) — 1.8%  

CTS Eventim AG & Co. KGaA

    135,310       7,137,500  

Roku, Inc.

    91,612       7,525,010  

Take-Two Interactive Software, Inc.

    150,638       18,457,674  
   

 

 

 
      33,120,184  
Hotels, Restaurants & Leisure — 0.9%  

Trip.com Group Ltd., ADR(a)

    566,559       15,552,045  
   

 

 

 
Interactive Media & Services — 3.9%  

Eventbrite, Inc., Class A(a)

    590,053       6,059,845  

Kakao Corp.

    586,837       31,797,820  

Kanzhun Ltd., ADR(a)

    286,357       7,525,462  

Snap, Inc., Class A(a)

    815,133       10,702,696  

ZoomInfo Technologies, Inc., CLass A(a)

    403,742       13,420,384  
   

 

 

 
      69,506,207  
Internet & Direct Marketing Retail — 1.5%  

Cazoo Group Ltd.(a)

    1,261,764       908,470  

MercadoLibre, Inc.(a)

    17,594       11,205,091  

Prosus NV

    218,962       14,178,574  
   

 

 

 
      26,292,135  
IT Services — 12.4%  

Adyen NV(a)(f)

    14,422       20,812,850  

Automattic, Inc., Series E, (Acquired 02/03/21, Cost: $34,000,000)(d)(e)

    400,000       21,584,000  

AvidXchange Holdings, Inc.(a)

    440,210       2,702,889  

Block, Inc.(a)(c)

    166,588       10,238,499  

Cloudflare, Inc., Class A(a)

    182,701       7,993,169  

Dlocal Ltd.(a)

    314,034       8,243,393  

Endava PLC, ADR(a)

    348,375       30,751,061  

GMO Payment Gateway, Inc.

    168,900       12,030,912  

Grid Dynamics Holdings, Inc.(a)

    912,609       15,350,083  

Kakaopay Corp.(a)(b)

    117,382       5,476,376  

Locaweb Servicos de Internet SA(a)(f)

    7,824,775       8,402,724  

MongoDB, Inc.(a)

    70,836       18,381,942  
Security   Shares     Value  
IT Services (continued)            

Okta, Inc.(a)

    134,592     $ 12,167,117  

Shift4 Payments, Inc., Class A(a)

    288,406       9,534,702  

Thoughtworks Holding, Inc.(a)

    639,995       9,030,329  

TRAX Ltd., (Acquired 09/12/19, Cost: $10,999,987)(d)(e)

    293,333       11,941,586  

TRAX Ltd., Series D, (Acquired 02/18/21, Cost: $9,999,998)(d)(e)

    191,806       7,808,422  

Twilio, Inc., Class A(a)

    137,627       11,534,519  
   

 

 

 
        223,984,573  
Media — 0.9%  

Informa PLC(a)

    2,592,672       16,750,244  
   

 

 

 
Professional Services — 2.4%  

Legalzoom.com, Inc.(a)

    543,138       5,969,087  

TransUnion

    290,023       23,198,940  

Wolters Kluwer NV

    135,382       13,120,944  
   

 

 

 
      42,288,971  
Semiconductors & Semiconductor Equipment — 16.5%  

Alphawave IP Group PLC(a)(b)

    3,558,396       5,821,719  

Ambarella, Inc.(a)

    79,596       5,210,354  

ASM International NV

    48,772       12,134,823  

BE Semiconductor Industries NV

    197,861       9,454,624  

CNEX Labs, Inc., (Acquired 12/14/21, Cost: $5,699,998)(d)(e)

    1,161,804       2,672,149  

Credo Technology Group Holding Ltd., (Acquired 01/27/22, Cost: $21,617,979)(e)

    4,284,241       49,678,534  

Lasertec Corp.

    199,700       23,784,995  

Lattice Semiconductor Corp.(a)

    332,782       16,139,927  

MACOM Technology Solutions Holdings, Inc., Class H(a)

    198,725       9,161,223  

Marvell Technology, Inc.(c)

    1,174,171       51,111,664  

Monolithic Power Systems, Inc.

    73,209       28,115,184  

Nordic Semiconductor ASA(a)

    276,836       4,370,681  

Silergy Corp.

    217,000       17,546,471  

Soitec SA(a)

    175,858       25,260,241  

StarPower Semiconductor Ltd.

    117,200       6,775,077  

Wolfspeed, Inc.(a)(c)

    484,481       30,740,319  
   

 

 

 
      297,977,985  
Software — 17.0%            

Altair Engineering, Inc., Class A(a)

    13,531       710,378  

Altium Ltd.

    793,379       14,787,757  

AppLovin Corp., Class A(a)

    348,719       12,009,882  

Aspen Technology, Inc.(a)

    59,873       10,997,473  

Atlassian Corp. PLC, Class A(a)

    80,415       15,069,771  

Avalara, Inc.(a)

    122,135       8,622,731  

AvidXchange, Inc., (Acquired 07/29/20, Cost: $7,474,330)(e)

    610,000       3,745,400  

Confluent, Inc., Class A(a)

    194,486       4,519,855  

Crowdstrike Holdings, Inc., Class A(a)

    103,985       17,527,712  

Databricks, Inc., (Acquired 07/24/20, Cost: $5,501,686)(d)(e)

    114,553       21,013,602  

DataRobot, Inc., (Acquired 03/01/21, Cost: $1,384,813)(d)(e)

    92,093       1,031,442  

Elastic NV(a)

    163,870       11,089,083  

Freee KK(a)

    361,800       8,883,408  

Gitlab, Inc., Class A(a)

    530,473       28,189,335  

Glodon Co. Ltd., Class A

    244,400       1,990,433  

Lightspeed Commerce, Inc.(a)

    475,880       10,610,438  

Palo Alto Networks, Inc.(a)

    31,415       15,517,125  

Samsara, Inc., Class A(a)(b)

    461,448       5,154,374  
 

 

 

110  

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Consolidated Schedule of Investments (unaudited) (continued)

June 30, 2022

  

BlackRock Science and Technology Trust II (BSTZ)

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  
Software (continued)            

SiteMinder Ltd.(a)

    7,182,558     $ 17,499,612  

Snorkel AI, Inc., (Acquired 10/13/20, Cost: $2,017,593)(d)(e)

    500,250       4,782,390  

Snyk Ltd., (Acquired 11/02/20, Cost:
$9,287,400)(d)(e)

    1,267,643       13,018,694  

Synopsys, Inc.(a)

    120,424       36,572,769  

Unity Software, Inc.(a)

    237,004       8,726,487  

Xero Ltd.(a)

    262,237       13,987,885  

Zscaler, Inc.(a)(c)

    124,012       18,541,034  

ZWSOFT Co. Ltd. Guangzhou, Class A

    63,942       2,000,842  
   

 

 

 
      306,599,912  
Technology Hardware, Storage & Peripherals — 1.3%  

Pure Storage, Inc., Class A(a)

    931,063       23,937,630  
   

 

 

 

Total Common Stocks — 70.9%
(Cost: $1,067,928,679)

 

    1,276,888,570  
   

 

 

 

Preferred Securities

 

Preferred Stocks — 25.5%(d)(e)

 

Communications Equipment — 0.7%            

Astranis Space Technologies Corp., Series C, (Acquired 03/19/21, Cost: $17,000,010)

    775,515       12,183,341  
   

 

 

 
Diversified Consumer Services — 1.0%  

Think & Learn Private Ltd., Series F, (Acquired 09/30/20, Cost: $14,251,080)

    4,920       18,889,785  
   

 

 

 
Diversified Financial Services — 0.1%  

Snorkel Al, Inc., Series B, (Acquired 10/13/20, Cost: $999,996)

    247,943       2,370,335  
   

 

 

 
Food & Staples Retailing — 2.2%  

GrubMarket, Inc. , Series D, (Acquired 07/23/20, Cost: $8,000,001)

    1,762,969       38,926,356  
   

 

 

 
Food Products — 0.9%  

Farmer’s Business Network, Inc., Series F, (Acquired 07/31/20, Cost: $11,961,002)

    361,834       16,593,707  
   

 

 

 
Interactive Media & Services — 3.2%  

ByteDance Ltd., Series E-1, (Acquired 11/11/20, Cost: $35,000,075)

    319,419       52,868,947  

ResearchGate GmbH, Series D, (Acquired 09/24/20, Cost: $6,999,988)

    424,688       5,856,447  
   

 

 

 
      58,725,394  
IT Services — 2.2%  

Deep Instinct Ltd., Series D-2, (Acquired 03/19/21, Cost: $12,000,008)

    1,974,374       9,674,433  

Trumid Holdings LLC(g)

 

Class J-A, (Acquired 07/24/20, Cost: $9,999,857)

    20,154       15,021,582  

Class J-B, (Acquired 07/24/20, Cost: $5,999,914)

    20,154       15,021,582  
   

 

 

 
      39,717,597  
Road & Rail — 0.7%            

FlixMobility GmbH, Series F, (Acquired 07/26/19, Cost: $16,947,253)

    850       11,885,377  
   

 

 

 
Semiconductors & Semiconductor Equipment — 6.6%  

Mythic AI, Inc., Series C, (Acquired 01/26/21, Cost: $7,000,000)

    1,018,908       5,257,565  

PsiQuantum Corp. Series C, (Acquired 09/09/19, Cost: $9,101,310)

    1,962,335       40,384,854  
Security   Shares     Value  
Semiconductors & Semiconductor Equipment (continued)  

PsiQuantum Corp. (continued)

   

Series C, (Acquired 05/21/21, Cost: $19,999,969)

    762,595     $ 19,491,928  

SambaNova Systems, Inc.

   

Series C, (Acquired 02/20/20, Cost: $33,904,161)

    636,800       48,384,064  

Series D, (Acquired 04/09/21, Cost: $6,999,979)

    73,670       5,597,447  
   

 

 

 
      119,115,858  
Software — 7.9%            

Databricks, Inc.

   

Series F, (Acquired 10/22/19, Cost: $13,200,019)

    307,346       56,379,550  

Series G, (Acquired 02/01/21, Cost: $18,500,004)

    104,303       19,133,342  

DataRobot, Inc., Series F, (Acquired 10/27/20, Cost: $11,499,999)

    875,059       9,835,663  

Rapyd Financial Network Ltd., Series E, (Acquired 03/31/21, Cost: $13,999,978)

    190,705       13,376,049  

Snyk Ltd. , (Acquired 11/02/20, Cost: $13,212,590)

    2,663,936       27,358,623  

Unqork, Inc.

   

Series B, (Acquired 09/19/19, Cost: $6,801,016)

    597,680       10,501,238  

Series C, (Acquired 09/18/20, Cost: $7,994,787)

    292,000       5,130,440  
   

 

 

 
      141,714,905  
   

 

 

 
      460,122,655  
   

 

 

 

Total Preferred Securities — 25.5%
(Cost: $301,372,996)

 

    460,122,655  
   

 

 

 

Warrants

   

IT Services — 0.0%

   

TRAX Ltd., (Expires 09/15/2023), (Acquired 09/12/19, Cost: $0)(d)(e)

    46,928       116,381  
   

 

 

 

Total Warrants — 0.0%
(Cost: $ — )

      116,381  
   

 

 

 

Total Long-Term Investments — 96.4%
(Cost: $1,369,301,675)

 

    1,737,127,606  
   

 

 

 

Short-Term Securities

   

Money Market Funds — 5.9%

 

BlackRock Liquidity Funds, T-Fund, Institutional Class, 1.33%(h)(i)

    102,224,041       102,224,041  

SL Liquidity Series, LLC, Money Market Series, 1.73%(h)(i)(j)

    4,923,583       4,922,598  
   

 

 

 

Total Short-Term Securities — 5.9%
(Cost: $107,145,982)

 

    107,146,639  
   

 

 

 

Total Investments Before Options Written — 102.3%
(Cost: $1,476,447,657)

 

    1,844,274,245  
   

 

 

 

Options Written — (0.7)%
(Premiums Received: $(19,442,641))

 

    (13,353,619
   

 

 

 

Total Investments, Net of Options Written — 101.6%
(Cost: $1,457,005,016)

 

    1,830,920,626  

Liabilities in Excess of Other Assets — (1.6)%

 

    (28,025,355
   

 

 

 

Net Assets — 100.0%

 

  $  1,802,895,271  
   

 

 

 

 

(a) 

Non-income producing security.

(b) 

All or a portion of this security is on loan.

(c) 

All or a portion of the security has been pledged and/or segregated as collateral in connection with outstanding exchange-traded options written.

(d) 

Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

 

 

 

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

  111


Consolidated Schedule of Investments (unaudited) (continued)

June 30, 2022

   BlackRock Science and Technology Trust II (BSTZ)

 

(e) 

Restricted security as to resale, excluding 144A securities. The Trust held restricted securities with a current value of $678,700,220, representing 37.7% of its net assets as of period end, and an original cost of $439,825,506.

(f) 

Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.

(g) 

All or a portion of the security is held by a wholly-owned subsidiary. See Note 1 of the Notes to Consolidated Financial Statements for details on the wholly-owned subsidiary.

(h) 

Affiliate of the Trust.

(i) 

Annualized 7-day yield as of period end.

(j) 

All or a portion of this security was purchased with the cash collateral from loaned securities.

 

 

For Trust compliance purposes, the Trust’s industry classifications refer to one or more of the industry sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.

Affiliates

Investments in issuers considered to be affiliate(s) of the Trust during the six months ended June 30, 2022 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliated Issuer   Value at
12/31/21
    Purchases
at Cost
    Proceeds
from Sales
    Net
Realized
Gain (Loss)
    Change in
Unrealized
Appreciation
(Depreciation)
    Value at
06/30/22
    Shares
Held at
06/30/22
    Income     Capital Gain
Distributions
from
Underlying
Funds
 

BlackRock Liquidity Funds, T-Fund, Institutional Class

  $  46,915,934     $  55,308,107 (a)    $     $     $     $  102,224,041       102,224,041     $ 114,104     $  

SL Liquidity Series, LLC, Money Market Series

    1,949,219       2,971,804 (a)             918       657       4,922,598       4,923,583       161,102 (b)       
       

 

 

   

 

 

   

 

 

     

 

 

   

 

 

 
        $ 918     $ 657     $ 107,146,639       $  275,206     $  
       

 

 

   

 

 

   

 

 

     

 

 

   

 

 

 

 

  (a) 

Represents net amount purchased (sold).

 
  (b) 

All or a portion represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities.

 

Derivative Financial Instruments Outstanding as of Period End

Exchange-Traded Options Written

 

Description    Number of
Contracts
       Expiration
Date
       Exercise Price        Notional
Amount (000)
       Value  

Call

                                

Ambarella, Inc.

     139          07/01/22          USD          87.00          USD          910        $ (10,425

Atlassian Corp. PLC, Class A

     52          07/01/22          USD          200.00          USD          974          (1,040

Crowdstrike Holdings, Inc., Class A

     131          07/01/22          USD          175.00          USD          2,208          (8,188

Unity Software, Inc.

     332          07/01/22          USD          44.00          USD          1,222          (996

Atlassian Corp. PLC, Class A

     116          07/08/22          USD          210.00          USD          2,174          (9,860

Crowdstrike Holdings, Inc., Class A

     187          07/08/22          USD          195.00          USD          3,152          (6,358

MercadoLibre, Inc.

     32          07/08/22          USD          890.00          USD          2,038          (7,360

MongoDB, Inc.

     19          07/08/22          USD          290.00          USD          493          (4,133

MongoDB, Inc.

     39          07/08/22          USD          315.00          USD          1,012          (2,048

Tesla, Inc.

     100          07/08/22          USD          810.00          USD          6,734          (11,150

Twilio, Inc., Class A

     241          07/08/22          USD          125.00          USD          2,020          (13,375

Ambarella, Inc.

     32          07/15/22          USD          85.00          USD          209          (1,040

AppLovin Corp., Class A

     1,105          07/15/22          USD          45.00          USD          3,806          (22,100

Aspen Technology, Inc.

     200          07/15/22          USD          190.00          USD          3,674          (66,500

Atlassian Corp. PLC, Class A

     47          07/15/22          USD          210.00          USD          881          (13,042

Atlassian Corp. PLC, Class A

     117          07/15/22          USD          200.00          USD          2,193          (59,085

Avalara, Inc.

     73          07/15/22          USD          90.00          USD          515          (10,585

AvidXchange Holdings, Inc.

     246          07/15/22          USD          10.00          USD          151          (22,140

Cloudflare, Inc., Class A

     272          07/15/22          USD          70.00          USD          1,190          (1,904

Confluent, Inc., Class A

     307          07/15/22          USD          30.00          USD          713          (5,373

Confluent, Inc., Class A

     333          07/15/22          USD          25.00          USD          774          (31,635

Crowdstrike Holdings, Inc., Class A

     117          07/15/22          USD          190.00          USD          1,972          (24,687

Dlocal Ltd.

     512          07/15/22          USD          23.82          USD          1,344            (163,215

Elastic NV

     302          07/15/22          USD          67.46          USD          2,044          (120,348

Elastic NV

     45          07/15/22          USD          80.00          USD          305          (2,363

Endava PLC, ADR

     483          07/15/22          USD          105.00          USD          4,263          (123,165

Eventbrite, Inc., Class A

     1,112          07/15/22          USD          12.50          USD          1,142          (11,120

 

 

112  

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


Consolidated Schedule of Investments (unaudited) (continued)

June 30, 2022

  

BlackRock Science and Technology Trust II (BSTZ)

    

 

Exchange-Traded Options Written (continued)

 

Description    Number of
Contracts
       Expiration
Date
       Exercise Price        Notional
Amount (000)
       Value  

Call (continued)

                                

Gitlab, Inc., Class A

     198          07/15/22          USD          70.00          USD          1,052        $       (3,960

Gitlab, Inc., Class A

     699          07/15/22          USD          50.00          USD          3,714          (370,470

Grid Dynamics Holdings, Inc.

     1,711          07/15/22          USD          20.00          USD          2,878          (34,220

Jabil, Inc.

     381          07/15/22          USD          65.00          USD          1,951          (9,525

Lattice Semiconductor Corp.

     808          07/15/22          USD          55.52          USD          3,919          (27,867

Lattice Semiconductor Corp.

     616          07/15/22          USD          50.00          USD          2,988          (100,100

Legalzoom.com, Inc.

     971          07/15/22          USD          12.61          USD          1,067          (15,265

Lightspeed Commerce, Inc.

     958          07/15/22          CAD          34.00          CAD          2,749          (33,863

MACOM Technology Solutions Holdings, Inc., Class H

     433          07/15/22          USD          56.00          USD          1,996          (2,785

MercadoLibre, Inc.

     16          07/15/22          USD          900.00          USD          1,019          (800

MongoDB, Inc.

     38          07/15/22          USD          300.00          USD          986          (13,300

MongoDB, Inc.

     39          07/15/22          USD          320.00          USD          1,012          (5,850

Monolithic Power Systems, Inc.

     140          07/15/22          USD          460.00          USD          5,377          (37,450

Okta, Inc.

     200          07/15/22          USD          130.00          USD          1,808          (1,900

Palo Alto Networks, Inc.

     33          07/15/22          USD          520.00          USD          1,630          (22,440

Pure Storage, Inc., Class A

     1,281          07/15/22          USD          28.93          USD          3,293          (16,370

Pure Storage, Inc., Class A

     264          07/15/22          USD          30.00          USD          679          (2,640

Roku, Inc.

     65          07/15/22          USD          110.00          USD          534          (2,600

Samsara, Inc., Class A

     455          07/15/22          USD          17.50          USD          508          (6,825

Samsara, Inc., Class A

     980          07/15/22          USD          15.00          USD          1,095          (7,350

Shift4 Payments, Inc., Class A

     772          07/15/22          USD          55.00          USD          2,552          (23,160

Snap, Inc., Class A

     437          07/15/22          USD          17.00          USD          574          (3,278

Synopsys, Inc.

     130          07/15/22          USD          320.00          USD          3,948          (46,800

Take-Two Interactive Software, Inc.

     86          07/15/22          USD          135.00          USD          1,054          (5,805

Take-Two Interactive Software, Inc.

     181          07/15/22          USD          130.00          USD          2,218          (26,245

Tesla, Inc.

     43          07/15/22          USD          905.00          USD          2,896          (2,967

Thoughtworks Holding, Inc.

     427          07/15/22          USD          17.50          USD          602          (42,700

TransUnion

     432          07/15/22          USD          80.00          USD          3,456          (92,880

TransUnion

     341          07/15/22          USD          93.73          USD          2,728          (611

Trip.com Group Ltd., ADR

     130          07/15/22          USD          26.00          USD          357          (29,250

Trip.com Group Ltd., ADR

     1,068          07/15/22          USD          25.00          USD          2,932          (320,400

Twilio, Inc., Class A

     145          07/15/22          USD          105.00          USD          1,215          (8,555

Unity Software, Inc.

     300          07/15/22          USD          45.00          USD          1,105          (15,750

Wolfspeed, Inc.

     503          07/15/22          USD          85.00          USD          3,192          (37,725

ZoomInfo Technologies, Inc.

     1,024          07/15/22          USD          50.00          USD          3,404          (35,840

ZoomInfo Technologies, Inc.

     378          07/15/22          USD          40.00          USD          1,256          (11,340

Zscaler, Inc.

     69          07/15/22          USD          220.00          USD          1,032          (1,587

Zscaler, Inc.

     259          07/15/22          USD          165.00          USD          3,872          (76,534

Ambarella, Inc.

     8          07/22/22          USD          95.00          USD          52          (400

Atlassian Corp. PLC, Class A

     84          07/22/22          USD          200.00          USD          1,574          (60,060

Block Inc., Class A

     130          07/22/22          USD          79.00          USD          799          (8,125

Crowdstrike Holdings, Inc., Class A

     50          07/22/22          USD          180.00          USD          843          (31,000

Crowdstrike Holdings, Inc., Class A

     51          07/22/22          USD          195.00          USD          860          (13,209

Marvell Technology, Inc.

     795          07/22/22          USD          65.00          USD          3,461          (59,625

MongoDB, Inc.

     40          07/22/22          USD          320.00          USD          1,038          (12,300

Okta, Inc.

     48          07/22/22          USD          115.00          USD          434          (3,528

Palo Alto Networks, Inc.

     85          07/22/22          USD          525.00          USD          4,198          (74,800

Snap, Inc., Class A

     396          07/22/22          USD          16.00          USD          520          (23,166

Take-Two Interactive Software, Inc.

     275          07/22/22          USD          135.00          USD          3,370          (31,625

Tesla, Inc.

     43          07/22/22          USD          850.00          USD          2,896          (19,995

Twilio, Inc., Class A

     82          07/22/22          USD          100.00          USD          687          (13,735

Twilio, Inc., Class A

     82          07/22/22          USD          105.00          USD          687          (8,610

Zscaler, Inc.

     66          07/22/22          USD          155.00          USD          987          (52,635

Ambarella, Inc.

     139          07/29/22          USD          78.00          USD          910          (15,985

Cloudflare, Inc., Class A

     320          07/29/22          USD          55.00          USD          1,400          (34,720

Marvell Technology, Inc.

     339          07/29/22          USD          54.00          USD          1,476          (9,662

Marvell Technology, Inc.

     480          07/29/22          USD          56.00          USD          2,089          (6,480

MercadoLibre, Inc.

     22          07/29/22          USD          820.00          USD          1,401          (15,180

MongoDB, Inc.

     39          07/29/22          USD          315.00          USD          1,012          (22,425

Okta, Inc.

     200          07/29/22          USD          100.00          USD          1,808          (76,500

Roku, Inc.

     90          07/29/22          USD          97.00          USD          739          (34,200

Snap, Inc., Class A

     436          07/29/22          USD          16.00          USD          572          (29,212

 

 

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

  113


Consolidated Schedule of Investments (unaudited) (continued)

June 30, 2022

  

BlackRock Science and Technology Trust II (BSTZ)

    

 

Exchange-Traded Options Written (continued)

 

Description    Number of
Contracts
       Expiration
Date
       Exercise Price        Notional
Amount (000)
       Value  

Call (continued)

                                

Take-Two Interactive Software, Inc.

     275          07/29/22          USD          135.00          USD          3,370        $ (43,312

Tesla, Inc.

     20          07/29/22          USD          775.00          USD          1,347          (41,350

Unity Software, Inc.

     223          07/29/22          USD          43.00          USD          821          (37,129

Zscaler, Inc.

     65          07/29/22          USD          190.00          USD          972          (9,978

Zscaler, Inc.

     41          07/29/22          USD          170.00          USD          613          (19,065

Block Inc., Class A

     306          08/05/22          USD          85.00          USD          1,881          (29,835

Gitlab, Inc., Class A

     1,394          08/05/22          USD          48.00          USD          7,408          (1,156,674

Marvell Technology, Inc.

     1,005          08/05/22          USD          53.00          USD          4,375          (47,235

Okta, Inc.

     175          08/05/22          USD          105.00          USD          1,582          (56,700

Roku, Inc.

     133          08/05/22          USD          115.00          USD          1,092          (26,467

Snap, Inc., Class A

     218          08/05/22          USD          18.00          USD          286          (8,829

Take-Two Interactive Software, Inc.

     414          08/05/22          USD          135.00          USD          5,073          (114,885

Tesla, Inc.

     40          08/05/22          USD          790.00          USD          2,694          (86,400

Block Inc., Class A

     173          08/12/22          USD          81.33          USD          1,063          (29,164

Marvell Technology, Inc.

     1,975          08/12/22          USD          51.77          USD          8,597          (178,935

Snap, Inc., Class A

     1,525          08/12/22          USD          17.17          USD          2,002          (86,554

Snap, Inc., Class A

     1,063          08/12/22          USD          16.54          USD          1,396          (76,633

AppLovin Corp., Class A

     719          08/19/22          USD          50.00          USD          2,476          (71,900

Avalara, Inc.

     427          08/19/22          USD          80.00          USD          3,015          (143,045

Avalara, Inc.

     18          08/19/22          USD          85.00          USD          127          (3,735

Block Inc., Class A

     91          08/19/22          USD          110.00          USD          559          (2,048

Cloudflare, Inc., Class A

     320          08/19/22          USD          60.00          USD          1,400          (50,720

Confluent, Inc., Class A

     332          08/19/22          USD          22.42          USD          772          (131,543

Dlocal Ltd.

     744          08/19/22          USD          30.00          USD          1,953          (133,920

Elastic NV

     372          08/19/22          USD          80.00          USD          2,517          (97,650

Endava PLC, ADR

     455          08/19/22          USD          95.00          USD          4,016          (220,675

Gitlab, Inc., Class A

     230          08/19/22          USD          51.00          USD          1,222          (180,222

Gitlab, Inc., Class A

     611          08/19/22          USD          50.83          USD          3,247          (483,862

Grid Dynamics Holdings, Inc.

     969          08/19/22          USD          17.50          USD          1,630          (179,265

Jabil, Inc.

     764          08/19/22          USD          60.00          USD          3,912          (26,740

Kanzhun Ltd.

     572          08/19/22          USD          30.00          USD          1,503          (111,540

Kanzhun Ltd.

     572          08/19/22          USD          35.00          USD          1,503          (51,480

Legalzoom.com, Inc.

     1,008          08/19/22          USD          15.00          USD          1,108          (25,200

Lightspeed Commerce, Inc.

     1,213          08/19/22          CAD          35.00          CAD          3,481          (160,672

MACOM Technology Solutions Holdings, Inc., Class H

     425          08/19/22          USD          55.00          USD          1,959          (40,375

Marvell Technology, Inc.

     169          08/19/22          USD          52.50          USD          736          (12,759

MongoDB, Inc.

     140          08/19/22          USD          290.00          USD          3,633          (242,200

Monolithic Power Systems, Inc.

     79          08/19/22          USD          450.00          USD          3,034          (79,790

Okta, Inc.

     49          08/19/22          USD          120.00          USD          443          (8,624

Pure Storage, Inc., Class A

     2,179          08/19/22          USD          28.00          USD          5,602          (201,557

Roku, Inc.

     78          08/19/22          USD          120.00          USD          641          (17,901

Samsara, Inc., Class A

     870          08/19/22          USD          12.50          USD          972          (78,300

Shift4 Payments, Inc., Class A

     670          08/19/22          USD          40.00          USD          2,215          (128,975

Synopsys, Inc.

     175          08/19/22          USD          310.00          USD          5,315          (273,875

Take-Two Interactive Software, Inc.

     275          08/19/22          USD          135.00          USD          3,370          (103,125

Tesla, Inc.

     44          08/19/22          USD          840.00          USD          2,963          (88,000

Tesla, Inc.

     37          08/19/22          USD          790.00          USD          2,492          (114,237

TransUnion

     415          08/19/22          USD          81.93          USD          3,320          (139,624

Trip.com Group Ltd., ADR

     1,068          08/19/22          USD          25.08          USD          2,932          (427,430

Unity Software, Inc.

     330          08/19/22          USD          55.00          USD          1,215          (39,765

Wolfspeed, Inc.

     660          08/19/22          USD          90.00          USD          4,188          (59,400

Zscaler, Inc.

     120          08/19/22          USD          190.00          USD          1,794          (40,500

Endava PLC, ADR

     455          09/07/22          USD          96.00          USD          4,016          (270,520

Grid Dynamics Holdings, Inc.

     969          09/16/22          USD          20.00          USD          1,630          (133,237

Legalzoom.com, Inc.

     736          09/16/22          USD          15.00          USD          809          (27,600

Synopsys, Inc.

     175          09/16/22          USD          320.00          USD          5,315          (286,125

Wolfspeed, Inc.

     390          09/16/22          USD          80.00          USD          2,475          (118,950
                                

 

 

 
                                 $  (9,963,650
                                

 

 

 

 

 

114  

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


Consolidated Schedule of Investments (unaudited) (continued)

June 30, 2022

  

BlackRock Science and Technology Trust II (BSTZ)

    

 

OTC Options Written

 

 

 
Description   Counterparty    Number of
Contracts
     Expiration
Date
  Exercise Price    

Notional

Amount (000)

     Value   

 

 
Call                                               

BE Semiconductor Industries NV

  Goldman Sachs International      61,000      07/06/22     EUR       56.37       EUR       2,798      $ (53)  

Soitec SA

  Goldman Sachs International      11,500      07/06/22     EUR       173.51       EUR       1,558        (17)  

Wolfspeed, Inc.

  Bank of America N.A.      22,400      07/11/22     USD       81.32       USD       1,421        (921)  

Wolfspeed, Inc.

  Citibank N.A.      16,000      07/11/22     USD       101.52       USD       1,015        (1)  

Soitec SA

  Morgan Stanley & Co.
International PLC
     11,700      07/12/22     EUR       181.70       EUR       1,585        (59)  

Altium Ltd.

  JPMorgan Chase Bank N.A.      135,300      07/13/22     AUD       30.85       AUD       3,641        (11,553)  

Kakao Corp.

  JPMorgan Chase Bank N.A.      196,800      07/13/22     USD       85,917.68       USD       13,756,320        (986)  

Samsung SDI Co. Ltd.

  Goldman Sachs International      27,900      07/13/22     USD       593,827.14       USD       14,842,800        (24,308)  

Alphawave IP Group PLC

  Goldman Sachs International      122,000      07/19/22     GBP       1.91       GBP       164        (374)  

Altium Ltd.

  Morgan Stanley & Co.
International PLC
     37,600      07/19/22     AUD       29.88       AUD       1,012        (9,502)  

Informa PLC

  Goldman Sachs International      311,200      07/19/22     GBP       5.59       GBP       1,646        (17,591)  

Nordic Semiconductor ASA

  Goldman Sachs International      25,400      07/19/22     NOK       201.06       NOK       3,881        (1,063)  

Siteminder Ltd.

  UBS AG      130,000      07/19/22     AUD       4.93       AUD       456        (179)  

Soitec SA

  Morgan Stanley & Co.
International PLC
     27,000      07/19/22     EUR       177.89       EUR       3,659        (1,612)  

Xero Ltd.

  Morgan Stanley & Co.
International PLC
     14,800      07/19/22     AUD       92.84       AUD       1,139        (4,723)  

BE Semiconductor Industries NV

  Goldman Sachs International      25,800      07/20/22     EUR       59.22       EUR       1,183        (4,160)  

GMO Payment Gateway, Inc.

  UBS AG      25,200      07/20/22     JPY       11,145.60       JPY       240,660        (15,782)  

Kakao Corp.

  UBS AG      63,300      07/21/22     USD       84,721.47       USD       4,424,670        (1,893)  

Thoughtworks Holding, Inc.

  Barclays Bank PLC      46,700      07/25/22     USD       19.00       USD       659        (1,583)  

Alphawave IP Group PLC

  Goldman Sachs International      114,000      07/26/22     GBP       1.92       GBP       153        (780)  

Altium Ltd.

  Goldman Sachs International      85,000      07/26/22     AUD       27.87       AUD       2,287        (66,425)  

Informa PLC

  Goldman Sachs International      424,600      07/26/22     GBP       5.28       GBP       2,245        (92,188)  

Monolithic Power Systems, Inc.

  Barclays Bank PLC      7,900      07/26/22     USD       433.62       USD       3,034        (53,480)  

Nordic Semiconductor ASA

  Goldman Sachs International      42,650      07/26/22     NOK       202.33       NOK       6,517        (2,923)  

Wolters Kluwer N.V.

  Morgan Stanley & Co.
International PLC
     40,600      07/26/22     EUR       86.87       EUR       3,758        (265,253)  

Adyen NV

  Goldman Sachs International      5,700      07/27/22     EUR       1,544.77       EUR       7,912        (147,534)  

GMO Payment Gateway, Inc.

  JPMorgan Chase Bank N.A.      23,600      07/27/22     JPY       11,372.61       JPY       225,380        (17,133)  

Siteminder Ltd.

  Morgan Stanley & Co.
International PLC
     72,500      07/27/22     AUD       4.91       AUD       254        (359)  

Soitec SA

  UBS AG      3,400      07/27/22     EUR       184.80       EUR       461        (333)  

Xero Ltd.

  BNP Paribas S.A.      90,000      07/27/22     AUD       86.76       AUD       6,926        (114,006)  

CTS Eventim AG & Co. KGaA

  Goldman Sachs International      13,600      07/28/22     EUR       55.83       EUR       680        (6,150)  

E Ink Holdings Ltd., GDR

  Goldman Sachs International      390,000      07/28/22     USD       215.07       USD       73,515        (50,497)  

Freee KK

  Goldman Sachs International      43,200      07/28/22     JPY       3,417.40       JPY       141,696        (90,722)  

Prosus N.V.

  Goldman Sachs International      21,300      07/28/22     EUR       50.45       EUR       1,331        (266,754)  

Alphawave IP Group PLC

  UBS AG      108,000      08/02/22     GBP       1.75       GBP       145        (2,950)  

Altium Ltd.

  JPMorgan Chase Bank N.A.      39,300      08/02/22     AUD       29.00       AUD       1,058        (24,693)  

Asm International NV

  Barclays Bank PLC      20,300      08/02/22     EUR       260.83       EUR       4,844        (138,045)  

Freee KK

  JPMorgan Chase Bank N.A.      110,600      08/02/22     JPY       3,586.09       JPY       362,768        (198,199)  

GMO Payment Gateway, Inc.

  JPMorgan Chase Bank N.A.      23,600      08/02/22     JPY       11,074.00       JPY       225,380        (31,893)  

Prosus N.V.

  Credit Suisse International      21,300      08/03/22     EUR       50.45       EUR       1,331        (271,399)  

Eventbrite, Inc., Class A

  Citibank N.A.      124,800      08/04/22     USD       12.23       USD       1,282        (26,370)  

Thoughtworks Holding, Inc.

  Barclays Bank PLC      46,700      08/04/22     USD       19.00       USD       659        (3,713)  

Altium Ltd.

  Morgan Stanley & Co.
International PLC
     39,300      08/09/22     AUD       27.23       AUD       1,058        (48,956)  

E Ink Holdings Ltd., GDR

  Goldman Sachs International      270,000      08/09/22     USD       197.92       USD       50,895        (97,054)  

Nordic Semiconductor ASA

  Goldman Sachs International      42,600      08/09/22     NOK       161.76       NOK       6,509        (42,227)  

Prosus N.V.

  Goldman Sachs International      40,200      08/09/22     EUR       51.86       EUR       2,512        (461,387)  

Soitec SA

  Morgan Stanley & Co.
International PLC
     12,100      08/09/22     EUR       162.00       EUR       1,640        (16,407)  

Soitec SA

  UBS AG      2,200      08/09/22     EUR       151.68       EUR       298        (7,296)  

ZoomInfo Technologies, Inc.

  JPMorgan Chase Bank N.A.      25,700      08/09/22     USD       44.37       USD       854        (13,694)  

Silergy Corp.

  Morgan Stanley & Co.
International PLC
     86,000      08/11/22     USD       2,795.43       USD       205,970        (284,961)  

Thoughtworks Holding, Inc.

  Bank of America N.A.      77,000      08/11/22     USD       17.74       USD       1,086        (17,356)  

Lasertec Corp.

  UBS AG      79,800      08/16/22     JPY       18,278.86       JPY       1,288,770        (391,760)  

Thoughtworks Holding, Inc.

  JPMorgan Chase Bank N.A.      42,800      09/01/22     USD       15.60       USD       604        (40,712)  
                  

 

 

 
                   $  (3,389,969)  
                  

 

 

 

Balances Reported in the Consolidated Statements of Assets and Liabilities for Options Written

 

 

 
Description    Swap
Premiums
Paid
       Swap
Premiums
Received
       Unrealized
Appreciation
       Unrealized
Depreciation
       Value   

 

 

Options Written

   $ N/A        $ N/A        $ 9,288,916        $ (3,199,894      $  (13,353,619)  

 

 

 

 

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

  115


Consolidated Schedule of Investments (unaudited) (continued)

June 30, 2022

  

BlackRock Science and Technology Trust II (BSTZ)

    

 

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Consolidated Statements of Assets and Liabilities were as follows:

 

               
     Commodity
Contracts
    Credit
Contracts
    Equity
Contracts
    Foreign
Currency
Exchange
Contracts
    Interest
Rate
Contracts
    Other
Contracts
    Total  

Liabilities — Derivative Financial Instruments

             

Options written

             

Options written at value

  $     $     $  13,353,619     $     $     $     $  13,353,619  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

For the period ended June 30, 2022, the effect of derivative financial instruments in the Consolidated Statements of Operations was as follows:

 

 

 
    Commodity
Contracts
    Credit
Contracts
    Equity
Contracts
    Foreign
Currency
Exchange
Contracts
    Interest
Rate
Contracts
    Other
Contracts
    Total   

 

 

Net Realized Gain (Loss) from:

             

Options purchased(a)

  $     $     $ (371   $     $     $     $ (371

Options written

                74,585,111                         74,585,111  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $     $     $  74,584,740     $     $     $     $  74,584,740  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Change in Unrealized Appreciation (Depreciation) on:

             

Options written

  $     $     $ (937,621   $     $     $     $ (937,621
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

  (a) 

Options purchased are included in net realized gain (loss) from investments — unaffiliated.

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

 

 

Options:

  

Average value of option contracts written

   $ (17,158,685)  

 

 

For more information about the Trust’s investment risks regarding derivative financial instruments, refer to the Notes to Consolidated Financial Statements.

Derivative Financial Instruments — Offsetting as of Period End

The Trust’s derivative assets and liabilities (by type) were as follows:

 

 

 
     Assets        Liabilities   

 

 

Derivative Financial Instruments

       

Options

   $        $ 13,353,619  
  

 

 

      

 

 

 

Total derivative assets and liabilities in the Consolidated Statements of Assets and Liabilities

              13,353,619  
  

 

 

      

 

 

 

Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)

              (9,963,650
  

 

 

      

 

 

 

Total derivative assets and liabilities subject to an MNA

   $        $ 3,389,969  
  

 

 

      

 

 

 

 

 

116  

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


Consolidated Schedule of Investments (unaudited) (continued)

June 30, 2022

  

BlackRock Science and Technology Trust II (BSTZ)

    

 

The following table presents the Trust’s derivative liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral pledged by the Trust:

 

           

Counterparty

    



Derivative
Liabilities
Subject to
an MNA by
Counterparty
 
 

 
 
    

Derivatives
Available
for Offset
 
 
 
    

Non-Cash
Collateral
Pledged
 
 
 
    

Cash
Collateral
Pledged
 
 
(a)  
    

Net Amount
of Derivative
Liabilities
 
 
(b)  

Bank of America N.A.

   $ 18,277      $      $      $ (18,277    $  

Barclays Bank PLC

     196,821                      (196,821       

BNP Paribas S.A.

     114,006                             114,006  

Citibank N.A.

     26,371                      (26,371       

Credit Suisse International

     271,399                             271,399  

Goldman Sachs International

     1,372,207                      (1,372,207       

JPMorgan Chase Bank N.A.

     338,863                      (338,863       

Morgan Stanley & Co. International PLC

     631,832                      (470,000      161,832  

UBS AG

     420,193                      (30,000      390,193  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $ 3,389,969      $      $      $     (2,452,539    $ 937,430  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

Excess of collateral received/pledged, if any, from the individual counterparty is not shown for financial reporting purposes.

 
  (b) 

Net amount represents the net amount payable due to counterparty in the event of default. Net amount may be offset further by the options written receivable/payable on the Consolidated Statements of Assets and Liabilities.

 

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of financial instruments. For a description of the input levels and information about the Trust’s policy regarding valuation of financial instruments, refer to the Notes to Consolidated Financial Statements.

The following table summarizes the Trust’s financial instruments categorized in the fair value hierarchy. The breakdown of the Trust’s financial instruments into major categories is disclosed in the Consolidated Schedule of Investments above.

 

         
      Level 1      Level 2      Level 3      Total  

Assets

           

Investments

           

Long-Term Investments

           

Common Stocks

           

Automobiles

   $ 57,264,764      $      $      $ 57,264,764  

Banks

                   63,327,976        63,327,976  

Chemicals

            13,814,843               13,814,843  

Diversified Consumer Services

                   17,856,989        17,856,989  

Electrical Equipment

            7,551,689               7,551,689  

Electronic Equipment, Instruments & Components

     14,669,412        46,393,011               61,062,423  

Entertainment

     25,982,684        7,137,500               33,120,184  

Hotels, Restaurants & Leisure

     15,552,045                      15,552,045  

Interactive Media & Services

     37,708,387        31,797,820               69,506,207  

Internet & Direct Marketing Retail

     12,113,561        14,178,574               26,292,135  

IT Services

     144,330,427        38,320,138        41,334,008        223,984,573  

Media

            16,750,244               16,750,244  

Professional Services

     29,168,027        13,120,944               42,288,971  

Semiconductors & Semiconductor Equipment

     146,300,390        149,005,446        2,672,149        297,977,985  

Software

     205,859,289        60,894,495        39,846,128        306,599,912  

Technology Hardware, Storage & Peripherals

     23,937,630                      23,937,630  

Preferred Securities

           

Preferred Stocks

                   460,122,655        460,122,655  

Warrants

                   116,381        116,381  

Short-Term Securities

           

Money Market Funds

     102,224,041                      102,224,041  
  

 

 

    

 

 

    

 

 

    

 

 

 
   $     815,110,657      $     398,964,704      $     625,276,286        1,839,351,647  
  

 

 

    

 

 

    

 

 

    

 

 

 

Investments Valued at NAV(a)

              4,922,598  
           

 

 

 
            $  1,844,274,245  
           

 

 

 

 

 

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

  117


Consolidated Schedule of Investments (unaudited) (continued)

June 30, 2022

  

BlackRock Science and Technology Trust II (BSTZ)

    

 

Fair Value Hierarchy as of Period End (continued)

 

         
      Level 1      Level 2      Level 3      Total  

Derivative Financial Instruments(b)

           

Liabilities

           

Equity Contracts

   $     (6,456,028    $     (6,897,591    $             —      $     (13,353,619
  

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

Certain investments of the Trust were fair valued using NAV per share as no quoted market value is available and therefore have been excluded from the fair value hierarchy.

 
  (b) 

Derivative financial instruments are options written. Options written are shown at value.

 

A reconciliation of Level 3 financial instruments is presented when the Trust had a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:

 

 

 
    Common
Stocks
    Preferred
Stocks
    Warrants     Total  

 

 

Assets

       

Opening balance, as of December 31, 2021

  $  246,829,600     $ 565,071,190       323,803     $ 812,224,593  

Transfers into Level 3

                       

Transfers out of Level 3

                       

Accrued discounts/premiums

                       

Net realized gain (loss)

                       

Net change in unrealized appreciation (depreciation)(a)(b)

    (81,792,350     (83,330,556     (207,422     (165,330,328

Purchases

                       

Sales

          (21,617,979           (21,617,979
 

 

 

   

 

 

   

 

 

   

 

 

 

Closing balance, as of June 30, 2022

  $ 165,037,250     $  460,122,655       116,381     $ 625,276,286  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net change in unrealized appreciation (depreciation) on investments still held at June 30, 2022(b)

  $ (81,792,350   $ (71,445,770     (207,422   $  (153,445,542)  
 

 

 

   

 

 

   

 

 

   

 

 

 

 

  (a) 

Included in the related net change in unrealized appreciation (depreciation) in the Consolidated Statements of Operations.

 
  (b) 

Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at June 30, 2022 is generally due to investments no longer held or categorized as Level 3 at period end.

 

The following table summarizes the valuation approaches used and unobservable inputs utilized by the BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) to determine the value of certain of the Trust’s Level 3 financial instruments as of period end.

 

           
       Value       

Valuation

Approach

      
Unobservable
Inputs

 
    

Range of
Unobservable
Inputs

Utilized

 
 
 

(a)  

    



Weighted
Average of
Unobservable
Inputs Based
on Fair Value
 
 
 
 
 

Assets

                  

Common Stocks

   $ 165,037,250        Market       

Revenue Multiple

       2.75x - 29.00x         13.99x  
              

Volatility

       39% - 70%         43%  
              

Time to Exit

       0.5 year - 2.0 years         0.7 year  

Preferred Stocks

     460,122,655        Market       

Revenue Multiple

       3.35x - 29.00x         15.80x  
              

Volatility

       31% - 63%         49%  
              

Time to Exit

       3.0 - 4.0 years         3.9 years  
              

Market Adjustment Multiple

       1.00x - 1.00x         1.00x  
              

Gross Profit Multiple

       11.89x          

Warrants

     116,381        Market       

Volatility

       39%          
              

Time to Exit

       0.5 year          
              

Revenue Multiple

       7.50x          
  

 

 

                 
   $     625,276,286                  
  

 

 

                 

 

  (a) 

A significant change in unobservable input would have resulted in a correlated (inverse) significant change to value.

 

See notes to financial statements.

 

 

118  

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Schedule of Investments (unaudited)

June 30, 2022

  

BlackRock Utilities, Infrastructure & Power Opportunities Trust (BUI)

(Percentages shown are based on Net Assets)

 

Security   Shares      Value  

Common Stocks

    
Building Products — 5.7%  

Johnson Controls International PLC(a)

    260,709      $   12,482,747  

Kingspan Group PLC

    101,015        6,074,143  

Trane Technologies PLC(a)

    67,050        8,707,783  
    

 

 

 
           27,264,673  
Chemicals — 4.1%  

Air Liquide SA

    41,268        5,554,787  

LG Chem Ltd.

    10,800        4,290,644  

Linde PLC(b)

    20,728        5,963,451  

Sika AG, Registered Shares

    15,490        3,575,668  
    

 

 

 
           19,384,550  
Commercial Services & Supplies(a) — 6.0%  

Waste Connections, Inc.

    93,600        11,602,656  

Waste Management, Inc.

    112,850        17,263,793  
    

 

 

 
           28,866,449  
Construction & Engineering — 3.1%  

Quanta Services, Inc.(a)

    53,160        6,663,075  

Vinci SA

    89,200        8,006,718  
    

 

 

 
           14,669,793  
Electric Utilities — 29.7%  

American Electric Power Co., Inc.(a)

    166,900        16,012,386  

Duke Energy Corp.(a)

    125,368        13,440,703  

Edison International(a)

    121,050        7,655,202  

EDP - Energias de Portugal SA

    1,747,750        8,145,094  

Enel SpA

    3,975,525        21,802,654  

Exelon Corp.(a)

    161,558        7,321,808  

FirstEnergy Corp.(a)

    185,750        7,130,942  

Iberdrola SA

    944,175        9,830,187  

Neoenergia SA

    1,083,900        3,090,082  

NextEra Energy, Inc.(a)(c)

    535,030        41,443,424  

Xcel Energy, Inc.(a)

    88,990        6,296,932  
    

 

 

 
           142,169,414  
Electrical Equipment — 7.7%  

Eaton Corp. PLC(a)

    35,940        4,528,080  

ITM Power PLC(b)(d)

    598,850        1,262,660  

Prysmian SpA

    199,700        5,486,337  

Schneider Electric SE

    68,982        8,219,583  

Sunrun, Inc.(a)(b)

    89,000        2,079,040  

Vertiv Holdings Co.

    256,700        2,110,074  

Vestas Wind Systems A/S

    408,021        8,675,341  

Xinjiang Goldwind Science & Technology Co. Ltd., Class H

    2,274,400        4,267,300  
    

 

 

 
           36,628,415  
Electronic Equipment, Instruments & Components — 0.9%  

Samsung SDI Co. Ltd.

    10,700        4,412,518  
    

 

 

 
Independent Power and Renewable Electricity Producers — 10.4%  

AES Corp.(a)

    418,140        8,785,121  

China Longyuan Power Group Corp. Ltd., Class H

    3,129,000        6,063,895  

EDP Renovaveis SA

    450,792        10,648,872  

ReNew Energy Global PLC, Class A(b)

    506,500        3,277,055  

RWE AG

    510,150        18,868,428  

Sunnova Energy International, Inc.(a)(b)

    116,700        2,150,781  
    

 

 

 
           49,794,152  
Security   Shares      Value  
Machinery — 4.0%  

Atlas Copco AB, B Shares

    1,094,800      $ 9,173,240  

Ingersoll Rand, Inc.(a)

    239,100        10,061,328  
    

 

 

 
           19,234,568  
Multi-Utilities — 13.3%  

CMS Energy Corp.(a)

    151,160        10,203,301  

Dominion Energy, Inc.(a)(c)

    183,548        14,648,966  

National Grid PLC

    928,474        11,931,758  

Public Service Enterprise Group, Inc.(a)

    186,042        11,772,738  

Sempra Energy(a)

    99,000        14,876,730  
    

 

 

 
           63,433,493  
Oil, Gas & Consumable Fuels — 10.1%  

Cheniere Energy, Inc.(a)

    55,200        7,343,256  

Enterprise Products Partners LP(a)

    266,963        6,505,888  

TC Energy Corp.

    386,750        20,034,563  

Williams Cos., Inc.(a)

    468,855        14,632,965  
    

 

 

 
           48,516,672  
Semiconductors & Semiconductor Equipment — 2.4%  

Analog Devices, Inc.(a)

    24,374        3,560,798  

Canadian Solar, Inc.(b)

    82,140        2,557,839  

First Solar, Inc.(a)(b)

    32,984        2,247,200  

Infineon Technologies AG

    137,500        3,344,757  
    

 

 

 
           11,710,594  
    

 

 

 

Total Long-Term Investments — 97.4%
(Cost: $360,756,459)

 

     466,085,291  
    

 

 

 

Short-Term Securities

    
Money Market Funds — 3.1%             

BlackRock Liquidity Funds, T-Fund, Institutional Class, 1.33%(e)(f)

    14,388,466        14,388,466  

SL Liquidity Series, LLC, Money Market Series, 1.73%(e)(f)

    529,428        529,322  
    

 

 

 

Total Short-Term Securities — 3.1%
(Cost: $14,917,841)

 

     14,917,788  
    

 

 

 

Total Investments Before Options Written — 100.5%
(Cost: $375,674,300)

 

     481,003,079  
    

 

 

 

Options Written — (0.7)%
(Premiums Received: $(4,345,001))

 

     (3,245,148
    

 

 

 

Total Investments, Net of Options Written — 99.8%
(Cost: $371,329,299)

 

     477,757,931  

Other Assets Less Liabilities — 0.2%

 

     885,017  
    

 

 

 

Net Assets — 100.0%

     $  478,642,948  
    

 

 

 

 

(a) 

All or a portion of the security has been pledged and/or segregated as collateral in connection with outstanding exchange-traded options written.

(b) 

Non-income producing security.

(c) 

All or a portion of the security has been pledged as collateral in connection with outstanding OTC derivatives.

(d) 

All or a portion of this security is on loan.

(e) 

Affiliate of the Trust.

(f) 

Annualized 7-day yield as of period end.

 

 

For Trust compliance purposes, the Trust’s industry classifications refer to one or more of the industry sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.

 

 

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

  119


Schedule of Investments (unaudited) (continued)

June 30, 2022

  

BlackRock Utilities, Infrastructure & Power Opportunities Trust (BUI)

    

 

Affiliates

Investments in issuers considered to be affiliate(s) of the Trust during the six months ended June 30, 2022 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

                   
Affiliated Issuer    Value at
12/31/21
     Purchases
at Cost
     Proceeds
from Sales
     Net
Realized
Gain (Loss)
     Change in
Unrealized
Appreciation
(Depreciation)
     Value at
06/30/22
     Shares
Held at
06/30/22
     Income      Capital Gain
Distributions
from
Underlying
Funds
 

BlackRock Liquidity Funds, T-Fund, Institutional Class

   $  7,380,748      $  7,007,718 (a)     $      $      $      $ 14,388,466        14,388,466      $ 20,337      $  

SL Liquidity Series, LLC, Money Market Series

            529,384 (a)               (9      (53      529,322        529,428        1,355 (b)         
           

 

 

    

 

 

    

 

 

       

 

 

    

 

 

 
            $ (9    $ (53    $  14,917,788         $  21,692      $  
           

 

 

    

 

 

    

 

 

       

 

 

    

 

 

 

 

  (a) 

Represents net amount purchased (sold).

 
  (b) 

All or a portion represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities.

 

Derivative Financial Instruments Outstanding as of Period End

Exchange-Traded Options Written

 

           
Description    Number of
Contracts
     Expiration
Date
     Exercise Price      Notional
Amount (000)
     Value  

Call

                    

Analog Devices, Inc.

     24        07/01/22        USD        175.00        USD        351      $ (1,800)  

First Solar, Inc.

     55        07/01/22        USD        69.00        USD        375        (2,008)  

Waste Management, Inc.

     175        07/01/22        USD        155.00        USD        2,677        (7,875)  

Analog Devices, Inc.

     26        07/08/22        USD        165.00        USD        380        (2,600)  

Eaton Corporation PLC

     80        07/08/22        USD        145.00        USD        1,008        (800)  

Waste Management, Inc.

     219        07/08/22        USD        160.00        USD        3,350        (6,570)  

American Electric Power Co., Inc.

     319        07/15/22        USD        100.00        USD        3,060        (9,570)  

Analog Devices, Inc.

     10        07/15/22        USD        152.50        USD        146        (1,825)  

Cheniere Energy, Inc.

     52        07/15/22        USD        145.00        USD        692        (4,420)  

Dominion Energy, Inc.

     351        07/15/22        USD        85.00        USD        2,801        (3,510)  

Duke Energy Corp.

     241        07/15/22        USD        110.00        USD        2,584        (15,063)  

Eaton Corporation PLC

     45        07/15/22        USD        145.00        USD        567        (675)  

Exelon Corp.

     282        07/15/22        USD        49.00        USD        1,278        (2,820)  

First Solar, Inc.

     60        07/15/22        USD        72.00        USD        409        (7,170)  

FirstEnergy Corp.

     335        07/15/22        USD        44.00        USD        1,286        (16,750)  

Ingersoll Rand, Inc.

     493        07/15/22        USD        45.71        USD        2,075        (23,504)  

Johnson Controls International PLC

     394        07/15/22        USD        55.00        USD        1,886        (3,940)  

NextEra Energy, Inc.

     456        07/15/22        USD        75.00        USD        3,532        (157,320)  

Public Service Enterprise Group, Inc.

     217        07/15/22        USD        60.00        USD        1,373        (75,950)  

Quanta Services, Inc.

     34        07/15/22        USD        120.50        USD        426        (24,017)  

Quanta Services, Inc.

     62        07/15/22        USD        125.00        USD        777        (26,040)  

Sempra Energy

     173        07/15/22        USD        165.00        USD        2,600        (6,055)  

Sempra Energy

     173        07/15/22        USD        155.00        USD        2,600        (14,705)  

Sunnova Energy International, Inc.

     150        07/15/22        USD        20.00        USD        276        (10,875)  

Sunrun, Inc.

     311        07/15/22        USD        25.00        USD        726        (30,633)  

Trane Technologies PLC

     117        07/15/22        USD        135.00        USD        1,519        (19,305)  

Waste Connections, Inc.

     115        07/15/22        USD        125.00        USD        1,426        (18,975)  

Williams Cos., Inc.

     266        07/15/22        USD        32.00        USD        830        (13,965)  

Analog Devices, Inc.

     25        07/22/22        USD        160.00        USD        365        (2,063)  

Waste Management, Inc.

     87        07/22/22        USD        155.00        USD        1,331        (23,055)  

American Electric Power Co., Inc.

     225        07/28/22        USD        93.00        USD        2,159        (93,795)  

Exelon Corp.

     283        07/29/22        USD        43.50        USD        1,283        (67,509)  

Analog Devices, Inc.

     12        08/05/22        USD        155.00        USD        175        (3,600)  

Enterprise Products Partners LP

     253        08/05/22        USD        25.00        USD        617        (12,271)  

Williams Cos., Inc.

     512        08/05/22        USD        33.00        USD        1,598        (35,840)  

NextEra Energy, Inc.

     708        08/08/22        USD        83.00        USD        5,484        (69,552)  

Enterprise Products Partners LP

     428        08/12/22        USD        25.30        USD        1,043        (18,513)  

Williams Cos., Inc.

     512        08/12/22        USD        33.09        USD        1,598        (39,428)  

AES Corp.

     1,463        08/19/22        USD        20.00        USD        3,074        (237,737)  

American Electric Power Co., Inc.

     40        08/19/22        USD        106.25        USD        384        (1,231)  

Cheniere Energy, Inc.

     156        08/19/22        USD        141.35        USD        2,075        (80,023)  

 

 

120  

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


Schedule of Investments (unaudited) (continued)

June 30, 2022

  

BlackRock Utilities, Infrastructure & Power Opportunities Trust (BUI)

    

 

Exchange-Traded Options Written (continued)

 

           
Description    Number of
Contracts
       Expiration
Date
       Exercise Price        Notional
Amount (000)
       Value  
Call (continued)                                                   

CMS Energy Corp.

     530          08/19/22        USD     63.75        USD     3,578        $ (243,370

Dominion Energy, Inc.

     291          08/19/22        USD     77.75        USD     2,322          (108,241

Duke Energy Corp.

     197          08/19/22        USD     110.00        USD     2,112          (41,862

Edison International

     423          08/19/22        USD     62.50        USD     2,675          (111,037

Enterprise Products Partners LP

     253          08/19/22        USD     25.00        USD     617          (14,674

FirstEnergy Corp.

     315          08/19/22        USD     38.00        USD     1,209          (48,825

Ingersoll Rand, Inc.

     343          08/19/22        USD     45.00        USD     1,443          (39,445

Johnson Controls International PLC

     518          08/19/22        USD     52.50        USD     2,480          (37,555

NextEra Energy, Inc.

     708          08/19/22        USD     78.76        USD     5,484          (191,728

Public Service Enterprise Group, Inc.

     217          08/19/22        USD     60.00        USD     1,373          (95,480

Quanta Services, Inc.

     90          08/19/22        USD     130.00        USD     1,128          (53,550

Sunnova Energy International, Inc.

     258          08/19/22        USD     21.00        USD     475          (39,297

TC Energy Corp.

     678          08/19/22        CAD     72.00        CAD     4,521          (27,390

Trane Technologies PLC

     117          08/19/22        USD     130.00        USD     1,519          (72,540

Waste Connections, Inc.

     212          08/19/22        USD     124.00        USD     2,628          (92,196

Williams Cos., Inc.

     350          08/19/22        USD     32.00        USD     1,092          (44,625

Xcel Energy, Inc.

     153          08/19/22        USD     70.00        USD     1,083          (42,457

Public Service Enterprise Group, Inc.

     217          09/16/22        USD     60.00        USD     1,373          (101,990

TC Energy Corp.

     675          09/16/22        CAD     68.00        CAD     4,501          (115,629
                          

 

 

 
                           $  (2,715,248
                          

 

 

 

OTC Options Written

 

             
Description    Counterparty    Number of
Contracts
     Expiration
Date
    Exercise Price      Notional
Amount (000)
     Value  
                 

Call

                    

LG Chem Ltd.

   Goldman Sachs International      4,400        07/06/22       USD       539,143.36        USD       2,270,400      $     (13,401)  

Linde PLC

   Morgan Stanley & Co. International PLC      3,500        07/06/22       EUR       304.85        EUR       959        (40

Neoenergia SA

   Citibank N.A.      130,400        07/06/22       USD       18.09        USD       1,946         

RWE AG

   Goldman Sachs International      41,000        07/06/22       EUR       41.98        EUR       1,438        (14

China Longyuan Power Group Corp., Ltd., Class H

   Morgan Stanley & Co. International PLC      550,000        07/08/22       HKD       16.79        HKD       8,338        (4,483

Vinci SA

   Goldman Sachs International      5,000        07/08/22       EUR       92.16        EUR       425        (250

Air Liquide SA

   Goldman Sachs International      14,520        07/13/22       EUR       153.61        EUR       1,860        (23

Atlas Copco AB, B Shares

   UBS AG      227,553        07/13/22       SEK       96.51        SEK       19,465        (3,970)  

EDP Renovaveis S/A

   UBS AG      42,200        07/13/22       EUR       23.54        EUR       950        (10,112

EDP-Energias de Portugal SA

   Goldman Sachs International      211,700        07/13/22       EUR       4.81        EUR       942        (1,661

ITM Power PLC

   Goldman Sachs International      104,600        07/13/22       GBP       3.19        GBP       181         

Samsung SDI Co. Ltd.

   Goldman Sachs International      3,700        07/13/22       USD       593,827.14        USD       1,968,400        (3,224

Xcel Energy, Inc.

   Barclays Bank PLC      15,800        07/15/22       USD       74.43        USD       1,118        (2,450

China Longyuan Power Group Corp., Ltd., Class H

   BNP Paribas SA      545,000        07/19/22       HKD       17.52        HKD       8,262        (7,162

Kingspan Group PLC

   Goldman Sachs International      33,000        07/19/22       EUR       76.58        EUR       1,894        (1,052)  

Prysmian SpA

   Merrill Lynch International      68,700        07/19/22       EUR       30.92        EUR       1,801        (773

Vinci SA

   UBS AG      26,800        07/19/22       EUR       92.89        EUR       2,277        (5,860

EDP Renovaveis S/A

   Credit Suisse International      81,000        07/20/22       EUR       24.26        EUR       1,824        (15,115

Iberdrola SA

   Credit Suisse International      240,100        07/20/22       EUR       10.74        EUR       2,376        (9,300

ITM Power PLC

   Goldman Sachs International      105,000        07/20/22       GBP       3.07        GBP       181        (4

Schneider Electric SE

   Barclays Bank PLC      13,300        07/20/22       EUR       133.36        EUR       1,502        (663

Neoenergia SA

   Citibank N.A.      124,500        07/21/22       USD       18.44        USD       1,858        (2

Linde PLC

   JPMorgan International Bank Ltd.      3,800        07/26/22       EUR       285.67        EUR       1,041        (14,486)  

Rwe AG

   Morgan Stanley & Co. International PLC      43,300        07/26/22       EUR       43.01        EUR       1,519        (1,095

EDP-Energias de Portugal SA

   Goldman Sachs International      400,000        07/27/22       EUR       4.58        EUR       1,781        (31,087

Enel SpA

   Credit Suisse International      708,900        07/27/22       EUR       5.74        EUR       3,700        (3,055

Infineon Technologies AG

   Credit Suisse International      25,000        07/27/22       EUR       29.57        EUR       577        (799

Schneider Electric SE

   Goldman Sachs International      13,300        07/27/22       EUR       132.69        EUR       1,502        (1,912

National Grid PLC

   Morgan Stanley & Co. International PLC      129,400        07/28/22       GBP       10.62        GBP       1,361        (35,010

Neoenergia SA

   Morgan Stanley & Co. International PLC      124,500        07/28/22       USD       17.03        USD       1,858        (603

Sika AG, Registered Shares

   Goldman Sachs International      5,600        07/28/22       CHF       226.41        CHF       1,232        (38,860

Xinjiang Goldwind Science And Technology Ltd., Class H

   JPMorgan International Bank Ltd.      400,000        07/28/22       HKD       13.19        HKD       5,872        (90,457

 

 

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

  121


Schedule of Investments (unaudited) (continued)

June 30, 2022

  

BlackRock Utilities, Infrastructure & Power Opportunities Trust (BUI)

    

 

OTC Options Written (continued)

 

             
Description    Counterparty   Number of
Contracts
    Expiration
Date
    Exercise Price     Notional
Amount (000)
    Value  

Call (continued)

                

Atlas Copco AB, B Shares

   Goldman Sachs International     156,000       08/02/22       SEK       103.29       SEK       13,344     $ (4,195

Rwe AG

   Barclays Bank PLC     94,300       08/03/22       EUR       37.58       EUR       3,308       (75,886

EDP Renovaveis S/A

   Goldman Sachs International     34,500       08/09/22       EUR       22.63       EUR       777       (34,358

Enel SpA

   Barclays Bank PLC     381,800       08/09/22       EUR       5.46       EUR       1,993       (16,474

Enel SpA

   Goldman Sachs International     300,800       08/09/22       EUR       5.67       EUR       1,570       (10,534

Iberdrola SA

   Morgan Stanley & Co. International PLC     90,400       08/09/22       EUR       10.37       EUR       895       (16,301

Infineon Technologies AG

   Goldman Sachs International     23,100       08/09/22       EUR       25.93       EUR       533       (9,441

National Grid PLC

   UBS AG     195,600       08/11/22       GBP       10.99       GBP       2,058       (25,129

Xinjiang Goldwind Science And Technology Ltd., Class H

   UBS AG     396,000       08/11/22       HKD       14.99       HKD       5,813       (40,659
                

 

 

 
                 $  (529,900
                

 

 

 

Balances Reported in the Statements of Assets and Liabilities for Options Written

 

           
Description   Swap
Premiums
Paid
    Swap
Premiums
Received
    Unrealized
Appreciation
    Unrealized
Depreciation
    Value  

Options Written

  $ N/A     $ N/A     $ 2,098,842     $ (998,989)     $  (3,245,148

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

 

               
     Commodity
Contracts
    Credit
Contracts
    Equity
Contracts
    Foreign
Currency
Exchange
Contracts
    Interest
Rate
Contracts
    Other
Contracts
    Total  

Liabilities — Derivative Financial Instruments

             

Options written

             

Options written at value

  $     $     $   3,245,148     $     $     $     $   3,245,148  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

For the period ended June 30, 2022, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

               
     Commodity
Contracts
    Credit
Contracts
    Equity
Contracts
    Foreign
Currency
Exchange
Contracts
    Interest
Rate
Contracts
    Other
Contracts
    Total  

Net Realized Gain (Loss) from:

             

Options written

  $     $     $  4,135,012     $     $     $     $  4,135,012  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Change in Unrealized Appreciation (Depreciation) on:

             

Options written

  $     $     $ 2,305,388     $     $     $     $ 2,305,388  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

   

Options:

 

Average value of option contracts written

  $ 5,679,079  

Derivative Financial Instruments — Offsetting as of Period End

The Trust’s derivative assets and liabilities (by type) were as follows:

 

     
      Assets        Liabilities  

Derivative Financial Instruments

       

Options

   $        $ 3,245,148  
  

 

 

      

 

 

 

Total derivative assets and liabilities in the Statements of Assets and Liabilities

              3,245,148  
  

 

 

      

 

 

 

Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)

              (2,715,248
  

 

 

      

 

 

 

Total derivative assets and liabilities subject to an MNA

   $        $ 529,900  
  

 

 

      

 

 

 

 

 

122  

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


Schedule of Investments (unaudited) (continued)

June 30, 2022

  

BlackRock Utilities, Infrastructure & Power Opportunities Trust (BUI)

    

 

The following table presents the Trust’s derivative liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral pledged by the Trust:

 

           
Counterparty     


Derivative

Liabilities
Subject to

an MNA by

Counterparty

 

 
 

 

 

      

Derivatives
Available
for Offset
 
 
 
      

Non-Cash
Collateral
Pledged
 
 
(a) 
    

Cash
Collateral
Pledged
 
 
(a) 
    


Net Amount

of Derivative
Liabilities

 

 
(b)  

Barclays Bank PLC

   $ 95,473        $        $      $      $ 95,473  

BNP Paribas SA

     7,162                                 7,162  

Citibank N.A.

     2                                 2  

Credit Suisse International

     28,269                                 28,269  

Goldman Sachs International

     150,016                          (150,016       

JPMorgan International Bank Ltd.

     104,943                                 104,943  

Merrill Lynch International

     773                                 773  

Morgan Stanley & Co. International PLC

     57,532                   (57,532              

UBS AG

     85,730                   (85,730              
  

 

 

      

 

 

      

 

 

    

 

 

    

 

 

 
   $ 529,900        $        $     (143,262    $     (150,016    $ 236,622  
  

 

 

      

 

 

      

 

 

    

 

 

    

 

 

 

 

  (a) 

Excess of collateral received/pledged, if any, from the individual counterparty is not shown for financial reporting purposes.

 
  (b) 

Net amount represents the net amount payable due to counterparty in the event of default. Net amount may be offset further by the options written receivable/payable on the Statements of Assets and Liabilities.

 

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of financial instruments. For a description of the input levels and information about the Trust’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.

The following table summarizes the Trust’s financial instruments categorized in the fair value hierarchy. The breakdown of the Trust’s financial instruments into major categories is disclosed in the Schedule of Investments above.

 

         
      Level 1        Level 2        Level 3        Total  

Assets

                 

Investments

                 

Long-Term Investments

                 

Common Stocks

                 

Building Products

   $ 21,190,530        $ 6,074,143        $        $ 27,264,673  

Chemicals

              19,384,550                   19,384,550  

Commercial Services & Supplies

     28,866,449                            28,866,449  

Construction & Engineering

     6,663,075          8,006,718                   14,669,793  

Electric Utilities

     102,391,479          39,777,935                   142,169,414  

Electrical Equipment

     8,717,194          27,911,221                   36,628,415  

Electronic Equipment, Instruments & Components

              4,412,518                   4,412,518  

Independent Power and Renewable Electricity Producers

     14,212,957          35,581,195                   49,794,152  

Machinery

     10,061,328          9,173,240                   19,234,568  

Multi-Utilities

     51,501,735          11,931,758                   63,433,493  

Oil, Gas & Consumable Fuels

     48,516,672                            48,516,672  

Semiconductors & Semiconductor Equipment

     8,365,837          3,344,757                   11,710,594  

Short-Term Securities

                 

Money Market Funds

     14,388,466                            14,388,466  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $  314,875,722        $  165,598,035        $          480,473,757  
  

 

 

      

 

 

      

 

 

      

 

 

 

Investments Valued at NAV(a)

                    529,322  
                 

 

 

 
                  $   481,003,079  
                 

 

 

 

Derivative Financial Instruments(b)

                 

Liabilities

                 

Equity Contracts

   $ (1,622,844      $ (1,622,304      $             —        $ (3,245,148
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

Certain investments of the Trust were fair valued using NAV per share as no quoted market value is available and therefore have been excluded from the fair value hierarchy.

 
  (b) 

Derivative financial instruments are options written. Options written are shown at value.

 

See notes to financial statements.

 

 

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

  123


 

Statements of Assets and Liabilities (unaudited) 

June 30, 2022

 

     BGR     CII      BDJ      BOE  

ASSETS

         

Investments, at value — unaffiliated(a)

  $ 352,628,211     $  808,808,268      $  1,621,217,564      $  715,228,389  

Investments, at value — affiliated(b)

    1,406,858       9,203,965        82,052,911        2,371,617  

Cash

    322,157       220,859        1,380,969         

Cash pledged:

         

Collateral — exchange-traded options written

                        4,880,000  

Collateral — OTC derivatives

          50,000               26,000  

Foreign currency, at value(c)

    138,690              906        108,257  

Receivables:

         

Investments sold

    4,715,180       5,228,567        9,328,925        299,757  

Options written

    209,236       1,018,909        605,584        517,803  

Dividends — unaffiliated

    916,182       632,320        1,963,817        2,769,360  

Dividends — affiliated

    3,654       10,358        65,631        6,133  
 

 

 

   

 

 

    

 

 

    

 

 

 

Total assets

    360,340,168       825,173,246        1,716,616,307        726,207,316  
 

 

 

   

 

 

    

 

 

    

 

 

 

LIABILITIES

         

Bank overdraft

                        94,288  

Options written, at value(d)

    2,083,915       8,671,931        15,848,170        6,470,808  

Payables:

         

Investments purchased

    696,021       1,482,827        7,253,162        7,691,695  

Accounting services fees

    25,509       28,395        54,469        34,200  

Capital shares redeemed

                        318,497  

Custodian fees

    25,942       39,516        88,354        65,956  

Income dividend distributions

    73,762       239,043        338,008        152,363  

Investment advisory fees

    314,293       586,536        1,143,715        494,866  

Trustees’ and Officer’s fees

    399,001       215,794        877,565        617,126  

Options written

    20,721       153,727        27,738        177,247  

Other accrued expenses

    38,580       38,510        93,483        73,936  

Professional fees

    58,316       81,722        164,082        135,765  

Transfer agent fees

    29,991       34,352        75,877        41,543  

Other liabilities

    191,579                      
 

 

 

   

 

 

    

 

 

    

 

 

 

Total liabilities

    3,957,630       11,572,353        25,964,623        16,368,290  
 

 

 

   

 

 

    

 

 

    

 

 

 

NET ASSETS

  $ 356,382,538     $ 813,600,893      $ 1,690,651,684      $ 709,839,026  
 

 

 

   

 

 

    

 

 

    

 

 

 

NET ASSETS CONSIST OF

         

Paid-in capital(e)(f)(g)

  $ 535,130,504     $ 561,558,505      $ 1,309,265,007      $ 713,456,233  

Accumulated earnings (loss)

    (178,747,966     252,042,388        381,386,677        (3,617,207
 

 

 

   

 

 

    

 

 

    

 

 

 

NET ASSETS

  $ 356,382,538     $ 813,600,893      $ 1,690,651,684      $ 709,839,026  
 

 

 

   

 

 

    

 

 

    

 

 

 

Net asset value(e)(f)(g)

  $ 12.51     $ 18.44      $ 9.09      $ 11.17  
 

 

 

   

 

 

    

 

 

    

 

 

 

(a)  Investments, at cost — unaffiliated

  $ 245,104,027     $ 619,870,762      $ 1,464,188,211      $ 697,252,623  

(b)  Investments, at cost — affiliated

  $ 1,406,858     $ 9,203,965      $ 82,052,911      $ 2,371,617  

(c)  Foreign currency, at cost

  $ 138,405     $      $ 1,035      $ 109,005  

(d)  Premiums received

  $ 5,472,215     $ 11,579,401      $ 21,753,162      $ 7,763,333  

(e)  Shares outstanding

    28,497,366       44,132,101        186,003,434        63,536,835  

(f)  Shares authorized

    Unlimited       200 million        Unlimited        Unlimited  

(g)  Par value

  $ 0.001     $ 0.10      $ 0.001      $ 0.001  

See notes to financial statements.

 

 

124  

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Statements of Assets and Liabilities (unaudited) (continued)

June 30, 2022

 

    BGY     BME     BMEZ     BIGZ  

 

 

ASSETS

       

Investments, at value — unaffiliated(a)(b)

  $  581,610,381     $  540,528,222     $  2,038,910,871     $  2,244,340,386  

Investments, at value — affiliated(c)

    8,325,690       32,301,459       112,090,905       9,128,990  

Cash pledged:

       

Collateral — exchange-traded options written

    5,611,000                    

Collateral — OTC derivatives

    355,000             36,000        

Foreign currency, at value(d)

    234,488       16,681       86,810       1,021  

Receivables:

       

Investments sold

    719       2,662,029 (e)       4,806        

Options written

    352,480       282,858       369,515       400,311  

Securities lending income — affiliated

          2,421       22,691       5  

Capital shares sold

          250,269              

Dividends — unaffiliated

    2,902,640       538,374       751,056       432,773  

Dividends — affiliated

    9,329       27,644       84,575       24,255  

Deferred offering costs

          87,474              

Prepaid expenses

          10,822             3,760  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total assets

    599,401,727       576,708,253       2,152,357,229       2,254,331,501  
 

 

 

   

 

 

   

 

 

   

 

 

 

LIABILITIES

       

Bank overdraft

    137,718       7,610       69,804       128,337  

Collateral on securities loaned

          588,915       6,858,153        

Options written, at value(f)

    5,937,531       6,201,260       19,713,887       9,846,179  

Payables:

       

Investments purchased

    720,487       2,684,421       388        

Accounting services fees

    28,395       16,825       184,476       36,283  

Capital shares redeemed

                      2,588,971  

Custodian fees

    78,801       38,415       161,624       171,872  

Income dividend distributions

    171,946             3,109,671       2,748,304  

Investment advisory fees

    498,245       454,860       2,163,015       2,395,681  

Trustees’ and Officer’s fees

    522,587       32,057       133,204       106,769  

Options written

    135,771       522,448       85,920       96,406  

Other accrued expenses

    83,254       25,784       245,326       27,423  

Professional fees

    133,954       47,655       20,815       24,083  

Transfer agent fees

    39,294       27,074       63,533       82,272  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total liabilities

    8,487,983       10,647,324       32,809,816       18,252,580  
 

 

 

   

 

 

   

 

 

   

 

 

 

NET ASSETS

  $ 590,913,744     $ 566,060,929     $ 2,119,547,413     $ 2,236,078,921  
 

 

 

   

 

 

   

 

 

   

 

 

 

NET ASSETS CONSIST OF

       

Paid-in capital(g)(h)(i)

  $ 604,107,672     $ 409,987,529     $ 2,243,866,545     $ 4,566,212,446  

Accumulated earnings (loss)

    (13,193,928     156,073,400       (124,319,132     (2,330,133,525
 

 

 

   

 

 

   

 

 

   

 

 

 

NET ASSETS

  $ 590,913,744     $ 566,060,929     $ 2,119,547,413     $ 2,236,078,921  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value(g)(h)(i)

  $ 5.69     $ 41.95     $ 18.91     $ 9.48  
 

 

 

   

 

 

   

 

 

   

 

 

 

(a)  Investments, at cost — unaffiliated

  $ 554,589,060     $ 390,761,723     $ 2,212,459,262     $ 3,143,847,570  

(b)  Securities loaned, at value

  $     $ 566,567     $ 6,706,992     $  

(c)  Investments, at cost — affiliated

  $ 8,325,690     $ 32,301,485     $ 112,224,197     $ 9,128,990  

(d)  Foreign currency, at cost

  $ 236,064     $ 16,647     $ 86,021     $ 1,047  

(e)  $1,767,466 is expected to be collected after December 31, 2022

       

(f)  Premiums received

  $ 6,072,338     $ 4,879,676     $ 16,177,632     $ 11,526,685  

(g)  Shares outstanding

    103,847,663       13,493,047       112,083,890       235,796,174  

(h)  Shares authorized

    Unlimited       Unlimited       Unlimited       Unlimited  

(i)  Par value

  $ 0.001     $ 0.001     $ 0.001     $ 0.001  

See notes to financial statements.

 

 

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

  125


 

Statements of Assets and Liabilities (unaudited) (continued)

June 30, 2022

 

    BCX     BST(a)      BSTZ(a)      BUI  

 

 

ASSETS

         

Investments, at value — unaffiliated(b)(c)

  $ 858,728,857     $ 1,034,371,174      $ 1,737,127,606      $ 466,085,291  

Investments, at value — affiliated(d)

    25,116,689       49,223,180        107,146,639        14,917,788  

Cash

          41,743        18,625         

Cash pledged as collateral for OTC derivatives

          400,000        3,600,000        603,500  

Foreign currency, at value(e)

    33,952       12,921,931               71,670  

Receivables:

         

Investments sold

    4,890,982       1,614,258        7,336,979        219  

Options written

    600,685       240,640        680,614        160,668  

Securities lending income — affiliated

          241        35,132        1,355  

Dividends — unaffiliated

    2,252,922       122,427        130,270        1,295,447  

Dividends — affiliated

    22,187       40,714        63,387        11,748  

Due from broker

                 510,000         

Deferred offering costs

          177,517               100,997  

Prepaid expenses

          27,433                
 

 

 

   

 

 

    

 

 

    

 

 

 

Total assets

    891,646,274       1,099,181,258        1,856,649,252        483,248,683  
 

 

 

   

 

 

    

 

 

    

 

 

 

LIABILITIES

         

Bank overdraft

    15,424                     53,595  

Foreign bank overdraft(f)

                 487,417         

Collateral on securities loaned

                 4,921,030        529,383  

Options written, at value(g)

    3,865,208       4,802,220        13,353,619        3,245,148  

Payables:

         

Investments purchased

    7,535,688       12,921,016        23,723,853        115  

Accounting services fees

    34,203       28,395        189,339        28,395  

Custodian fees

    47,181       79,223        147,670        40,348  

Deferred capital gain tax

          732,470        5,543,618         

Income dividend distributions

    145,945       572,521        2,601,116         

Investment advisory fees

    796,877       940,993        1,985,948        405,584  

Offering costs

                        3,505  

Trustees’ and Officer’s fees

    257,506       24,311        137,741        8,739  

Options written

    12,910       3,399        1,040        100,488  

Other accrued expenses

    154,284       91,870        366,411        118,836  

Professional fees

    114,454       39,973        230,163        48,093  

Transfer agent fees

    48,780       45,672        65,016        23,506  
 

 

 

   

 

 

    

 

 

    

 

 

 

Total liabilities

    13,028,460       20,282,063        53,753,981        4,605,735  
 

 

 

   

 

 

    

 

 

    

 

 

 

NET ASSETS

  $ 878,617,814     $ 1,078,899,195      $ 1,802,895,271      $ 478,642,948  
 

 

 

   

 

 

    

 

 

    

 

 

 

NET ASSETS CONSIST OF

         

Paid-in capital(h)(i)(j)

  $  1,106,191,760     $ 795,779,092      $ 1,514,886,596      $ 392,606,910  

Accumulated earnings (loss)

    (227,573,946     283,120,103        288,008,675        86,036,038  
 

 

 

   

 

 

    

 

 

    

 

 

 

NET ASSETS

  $ 878,617,814     $  1,078,899,195      $  1,802,895,271      $  478,642,948  
 

 

 

   

 

 

    

 

 

    

 

 

 

Net asset value(h)(i)(j)

  $ 9.95     $ 33.61      $ 22.96      $ 21.66  
 

 

 

   

 

 

    

 

 

    

 

 

 

(a)  Consolidated Statement of Assets and Liabilities.

         

(b)  Investments, at cost — unaffiliated

  $ 749,620,553     $ 752,227,385      $ 1,369,301,675      $ 360,756,459  

(c)  Securities loaned, at value

  $     $      $ 4,633,190      $ 505,064  

(d)  Investments, at cost — affiliated

  $ 25,116,689     $ 49,223,180      $ 107,145,982      $ 14,917,841  

(e)  Foreign currency, at cost

  $ 33,878     $ 12,921,777      $      $ 71,669  

(f)  Foreign bank overdraft, at cost

  $     $      $ 486,402      $  

(g)  Premiums received

  $ 10,340,170     $ 10,312,473      $ 19,442,641      $ 4,345,001  

(h)  Shares outstanding

    88,315,994       32,098,789        78,538,036        22,101,468  

(i)  Shares authorized

    Unlimited       Unlimited        Unlimited        Unlimited  

(j)  Par value

  $ 0.001     $ 0.001      $ 0.001      $ 0.001  

See notes to financial statements.

 

 

126  

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


 

Statements of Operations (unaudited)

Six Months Ended June 30, 2022

 

    BGR     CII     BDJ     BOE  

 

 

INVESTMENT INCOME

       

Dividends — unaffiliated

  $ 8,047,580     $ 5,321,524     $ 23,720,170     $ 12,982,094  

Dividends — affiliated

    7,015       21,813       118,850       10,303  

Securities lending income — affiliated — net

                10        

Foreign withholding tax claims

                      336,828  

Foreign taxes withheld

    (385,582     (117,739     (727,379     (1,009,894
 

 

 

   

 

 

   

 

 

   

 

 

 

Total investment income

    7,669,013       5,225,598       23,111,651       12,319,331  
 

 

 

   

 

 

   

 

 

   

 

 

 

EXPENSES

       

Investment advisory

    2,221,477       3,795,359       7,370,926       3,917,580  

Transfer agent

    34,409       40,378       80,287       46,677  

Custodian

    24,585       37,069       67,583       57,349  

Accounting services

    21,845       24,296       46,641       29,276  

Registration

    4,583       7,107       17,618       10,073  

Professional

                      84,921  

Trustees and Officer

    (75,696     (10,735     (121,287     (90,051

Miscellaneous

    61,543       73,159       106,203       44,035  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

    2,292,746       3,966,633       7,567,971       4,099,860  

Less:

       

Fees waived and/or reimbursed by the Manager

    (408,317     (2,837     (14,166     (687,002
 

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses after fees waived and/or reimbursed

    1,884,429       3,963,796       7,553,805       3,412,858  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income

    5,784,584       1,261,802       15,557,846       8,906,473  
 

 

 

   

 

 

   

 

 

   

 

 

 

REALIZED AND UNREALIZED GAIN (LOSS)

       

Net realized gain (loss) from:

       

Investments — unaffiliated

    37,205,569       56,991,809       137,950,109       21,768,232  

Foreign currency transactions

    (12,610           (125,347     (70,057

Options written

     (22,929,880     21,229,943       5,531,647       5,691,315  

Payment by affiliate

                1,577        
 

 

 

   

 

 

   

 

 

   

 

 

 
    14,263,079       78,221,752       143,357,986       27,389,490  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net change in unrealized appreciation (depreciation) on:

       

Investments — unaffiliated

    35,394,774       (218,520,320     (318,384,740     (157,774,977

Foreign currency translations

    (17,091           (52,105     (65,324

Options written

    2,067,367       3,506,035       7,748,497       2,914,829  
 

 

 

   

 

 

   

 

 

   

 

 

 
    37,445,050       (215,014,285     (310,688,348     (154,925,472
 

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

    51,708,129       (136,792,533     (167,330,362     (127,535,982
 

 

 

   

 

 

   

 

 

   

 

 

 

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

  $ 57,492,713     $  (135,530,731   $  (151,772,516   $  (118,629,509
 

 

 

   

 

 

   

 

 

   

 

 

 

See notes to financial statements.

 

 

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

  127


 

Statements of Operations (unaudited) (continued)

Six Months Ended June 30, 2022

 

    BGY     BME     BMEZ     BIGZ  

 

 

INVESTMENT INCOME

       

Dividends — unaffiliated

  $ 12,465,576     $ 3,773,765     $ 3,678,456     $ 1,815,168  

Dividends — affiliated

    13,794       58,372       167,503       32,878  

Securities lending income — affiliated — net

          6,274       102,720       3,961  

Other income — unaffiliated

    588                    

Foreign withholding tax claims

    521,921                    

Foreign taxes withheld

    (1,366,286     (76,171     (236,587     (41,997
 

 

 

   

 

 

   

 

 

   

 

 

 

Total investment income

    11,635,593       3,762,240       3,712,092       1,810,010  
 

 

 

   

 

 

   

 

 

   

 

 

 

EXPENSES

       

Investment advisory

    3,239,639       2,863,985       14,850,320       17,996,067  

Professional

    107,551                    

Custodian

    69,590       26,037       116,045       129,755  

Transfer agent

    43,859       34,221       74,904       45,522  

Accounting services

    24,296       14,408       131,878       168,322  

Registration

    16,548       5,781       33,753       55,439  

Trustees and Officer

    (75,935     11,247       49,489       81,850  

Miscellaneous

    41,746       78,661       355,770       641,143  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

    3,467,294       3,034,340       15,612,159       19,118,098  

Less:

       

Fees waived and/or reimbursed by the Manager

    (275,753     (7,222     (20,437     (2,696
 

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses after fees waived and/or reimbursed

    3,191,541       3,027,118       15,591,722       19,115,402  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

    8,444,052       735,122       (11,879,630     (17,305,392
 

 

 

   

 

 

   

 

 

   

 

 

 

REALIZED AND UNREALIZED GAIN (LOSS)

       

Net realized gain (loss) from:

       

Investments — unaffiliated

    15,005,251 (a)       11,038,395       (23,637,929     (1,065,174,072

Investments — affiliated

          (184     (1,164     (58,512,005

Foreign currency transactions

    (68,840     665       (205,461     33,433  

Options written

    935,870       6,064,252       40,270,755       44,408,727  
 

 

 

   

 

 

   

 

 

   

 

 

 
    15,872,281       17,103,128       16,426,201       (1,079,243,917
 

 

 

   

 

 

   

 

 

   

 

 

 

Net change in unrealized appreciation (depreciation) on:

       

Investments — unaffiliated

    (121,947,468 )(b)      (82,531,395     (757,500,275     (532,389,854

Investments — affiliated

          (18     (54,322     44,486,400  

Foreign currency translations

    (88,542     (5,587     (34,075     (675

Options written

    2,361,202       2,413,383       (1,866,111     (4,733,943
 

 

 

   

 

 

   

 

 

   

 

 

 
    (119,674,808     (80,123,617     (759,454,783     (492,638,072
 

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized loss

     (103,802,527      (63,020,489      (743,028,582      (1,571,881,989
 

 

 

   

 

 

   

 

 

   

 

 

 

NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS

  $ (95,358,475   $ (62,285,367   $ (754,908,212   $ (1,589,187,381
 

 

 

   

 

 

   

 

 

   

 

 

 

(a) Net of foreign capital gain tax and capital gain tax refund, if applicable of

  $ 368,770     $     $     $  

(b) Net of reduction in deferred foreign capital gain tax of

  $ 231,371     $     $     $  

See notes to financial statements.

 

 

128  

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Statements of Operations (unaudited) (continued)

Six Months Ended June 30, 2022

 

    BCX     BST(a)     BSTZ(a)     BUI  

 

 

INVESTMENT INCOME

       

Dividends — unaffiliated

  $ 19,041,147     $ 1,680,806     $ 1,800,819     $ 7,413,424  

Dividends — affiliated

    39,871       70,631       114,104       20,337  

Interest — unaffiliated

    39,629                    

Securities lending income — affiliated — net

          18,028       161,102       1,355  

Non-cash dividends — unaffiliated

                      485,363  

Other income — unaffiliated

    58                    

Foreign withholding tax claims

    16,193                    

Foreign taxes withheld

    (935,301     (60,250     (155,435     (460,515
 

 

 

   

 

 

   

 

 

   

 

 

 

Total investment income

    18,201,597       1,709,215       1,920,590       7,459,964  
 

 

 

   

 

 

   

 

 

   

 

 

 

EXPENSES

       

Investment advisory

    4,894,235       6,699,043       14,401,630       2,596,569  

Transfer agent

    59,599       59,654       77,291       31,809  

Professional

    48,654                    

Custodian

    43,043       59,627       116,780       35,872  

Accounting services

    29,275       24,296       138,789       24,296  

Registration

    13,785       10,884       12,210       7,593  

Offering

                      3,295  

Trustees and Officer

    (19,469     38,423       49,054       14,662  

Miscellaneous

    56,634       265,494       489,220       80,570  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

    5,125,756       7,157,421       15,284,974       2,794,666  

Less:

       

Fees waived and/or reimbursed by the Manager

    (4,966     (8,317     (12,846     (2,328
 

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses after fees waived and/or reimbursed

    5,120,790       7,149,104       15,272,128       2,792,338  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

    13,080,807       (5,439,889     (13,351,538     4,667,626  
 

 

 

   

 

 

   

 

 

   

 

 

 

REALIZED AND UNREALIZED GAIN (LOSS)

       

Net realized gain (loss) from:

       

Investments — unaffiliated

    152,075,729       4,727,011       31,113,478       9,226,078  

Investments — affiliated

          (335     918       (9

Foreign currency transactions

    (156,384     9,077       (171,301     (27,872

Options written

    (40,509,948     43,628,929       74,585,111       4,135,012  
 

 

 

   

 

 

   

 

 

   

 

 

 
    111,409,397       48,364,682       105,528,206       13,333,209  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net change in unrealized appreciation (depreciation) on:

       

Investments — unaffiliated

    (132,496,060     (597,366,933 )(b)      (1,246,829,382 )(b)      (96,629,197

Investments — affiliated

                657       (53

Foreign currency translations

    (46,071     2,281       (843     (42,601

Options written

    7,850,011       (274,650     (937,621     2,305,388  
 

 

 

   

 

 

   

 

 

   

 

 

 
     (124,692,120     ( 597,639,302      (1,247,767,189      (94,366,463
 

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized loss

    (13,282,723     (549,274,620     (1,142,238,983     (81,033,254
 

 

 

   

 

 

   

 

 

   

 

 

 

NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS

  $ (201,916   $ (554,714,509   $ (1,155,590,521   $ (76,365,628
 

 

 

   

 

 

   

 

 

   

 

 

 

(a) Consolidated Statement of Operations.

       

(b) Net of reduction in/(increase in) deferred capital gain tax of

  $     $ 708,764     $ (73,396   $  

See notes to financial statements.

 

 

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

  129


 

Statements of Changes in Net Assets

 

    BGR     CII  
    Six Months Ended
06/30/22
(unaudited)
    Year Ended
12/31/21
    Six Months Ended
06/30/22
(unaudited)
    Year Ended
12/31/21
 

 

 

INCREASE (DECREASE) IN NET ASSETS

       

OPERATIONS

       

Net investment income

  $ 5,784,584     $ 8,259,703     $ 1,261,802     $ 1,953,464  

Net realized gain (loss)

    14,263,079       (18,995,472     78,221,752       70,684,499  

Net change in unrealized appreciation (depreciation)

    37,445,050       99,469,573       (215,014,285     107,574,675  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) in net assets resulting from operations

    57,492,713       88,733,804       (135,530,731     180,212,638  
 

 

 

   

 

 

   

 

 

   

 

 

 

DISTRIBUTIONS TO SHAREHOLDERS(a)

       

From net investment income and net realized gain

    (7,392,254 )(b)       (8,262,936     (26,346,881     (48,643,844

Return of capital

          (4,835,876            
 

 

 

   

 

 

   

 

 

   

 

 

 

Decrease in net assets resulting from distributions to shareholders

    (7,392,254     (13,098,812     (26,346,881     (48,643,844
 

 

 

   

 

 

   

 

 

   

 

 

 

CAPITAL SHARE TRANSACTIONS

       

Reinvestment of distributions

                      236,509  

Redemption of shares resulting from share repurchase program (including transaction costs)

    (7,221,391                  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) in net assets derived from capital share transactions

    (7,221,391                 236,509  
 

 

 

   

 

 

   

 

 

   

 

 

 

NET ASSETS

       

Total increase (decrease) in net assets

    42,879,068       75,634,992       (161,877,612     131,805,303  

Beginning of period

    313,503,470       237,868,478       975,478,505       843,673,202  
 

 

 

   

 

 

   

 

 

   

 

 

 

End of period

  $ 356,382,538     $  313,503,470     $ 813,600,893     $  975,478,505  
 

 

 

   

 

 

   

 

 

   

 

 

 

 

(a) 

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

(b) 

A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year-end.

See notes to financial statements.

 

 

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Statements of Changes in Net Assets (continued)

 

    BDJ     BOE  
    Six Months Ended
06/30/22
(unaudited)
    Year Ended
12/31/21
    Six Months Ended
06/30/22
(unaudited)
    Year Ended
12/31/21
 

 

 

INCREASE (DECREASE) IN NET ASSETS

       

OPERATIONS

       

Net investment income

  $ 15,557,846     $ 27,412,185     $ 8,906,473     $ 12,147,742  

Net realized gain

    143,357,986       226,450,882       27,389,490       64,174,290  

Net change in unrealized appreciation (depreciation)

    (310,688,348     71,456,248       (154,925,472     43,778,131  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) in net assets resulting from operations

    (151,772,516     325,319,315       (118,629,509     120,100,163  
 

 

 

   

 

 

   

 

 

   

 

 

 

DISTRIBUTIONS TO SHAREHOLDERS(a)

       

Decrease in net assets resulting from distributions to shareholders

    (60,413,916     (161,603,504     (24,171,158     (48,404,308
 

 

 

   

 

 

   

 

 

   

 

 

 

CAPITAL SHARE TRANSACTIONS

       

Redemption of shares resulting from share repurchase program (including transaction costs)

                (5,080,918     (205,246
 

 

 

   

 

 

   

 

 

   

 

 

 

NET ASSETS

       

Total increase (decrease) in net assets

    (212,186,432     163,715,811        (147,881,585     71,490,609  

Beginning of period

    1,902,838,116       1,739,122,305       857,720,611       786,230,002  
 

 

 

   

 

 

   

 

 

   

 

 

 

End of period

  $  1,690,651,684     $  1,902,838,116     $ 709,839,026     $  857,720,611  
 

 

 

   

 

 

   

 

 

   

 

 

 

 

(a) 

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

See notes to financial statements.

 

 

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

  131


 

Statements of Changes in Net Assets (continued)

 

    BGY     BME  
    Six Months Ended
06/30/22
(unaudited)
    Year Ended
12/31/21
    Six Months Ended
06/30/22
(unaudited)
    Year Ended
12/31/21
 

 

 

INCREASE (DECREASE) IN NET ASSETS

       

OPERATIONS

       

Net investment income

  $ 8,444,052     $ 9,366,746     $ 735,122     $ 41,823  

Net realized gain

    15,872,281       45,489,816       17,103,128       46,771,259  

Net change in unrealized appreciation (depreciation)

    (119,674,808     19,983,472       (80,123,617     12,306,248  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) in net assets resulting from operations

    (95,358,475     74,840,034       (62,285,367     59,119,330  
 

 

 

   

 

 

   

 

 

   

 

 

 

DISTRIBUTIONS TO SHAREHOLDERS(a)

       

From net investment income and net realized gain

    (21,120,139 )(b)      (30,180,220     (16,909,995     (30,764,942

Return of capital

          (12,098,701            
 

 

 

   

 

 

   

 

 

   

 

 

 

Decrease in net assets resulting from distributions to shareholders

    (21,120,139     (42,278,921     (16,909,995     (30,764,942
 

 

 

   

 

 

   

 

 

   

 

 

 

CAPITAL SHARE TRANSACTIONS

       

Net proceeds from the issuance of shares

                18,653,247       49,710,285  

Reinvestment of distributions

                828,233       1,760,978  

Redemption of shares resulting from share repurchase program (including transaction costs)

    (2,117,512                  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) in net assets derived from capital share transactions

    (2,117,512           19,481,480       51,471,263  
 

 

 

   

 

 

   

 

 

   

 

 

 

Capital contribution from affiliate

                      12,661  
 

 

 

   

 

 

   

 

 

   

 

 

 

NET ASSETS

       

Total increase (decrease) in net assets

     (118,596,126     32,561,113       (59,713,882     79,838,312  

Beginning of period

    709,509,870       676,948,757       625,774,811       545,936,499  
 

 

 

   

 

 

   

 

 

   

 

 

 

End of period

  $ 590,913,744     $  709,509,870     $  566,060,929     $  625,774,811  
 

 

 

   

 

 

   

 

 

   

 

 

 

 

(a) 

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

(b) 

A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year-end.

See notes to financial statements.

 

 

132  

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Statements of Changes in Net Assets (continued)

 

    BMEZ     BIGZ  
 

 

 

   

 

 

 
   

Six Months Ended
06/30/22

(unaudited

 
 

   
Year Ended
12/31/21
 
 
   

Six Months Ended
06/30/22

(unaudited

 
 

   

Period from
03/29/21

to 12/31/21

 
(a)  

 

 

 

INCREASE (DECREASE) IN NET ASSETS

       

OPERATIONS

       

Net investment loss

  $ (11,879,630   $ (36,221,355   $ (17,305,392   $ (35,735,376

Net realized gain (loss)

    16,426,201       370,126,396       (1,079,243,917     (199,723,871

Net change in unrealized appreciation (depreciation)

    (759,454,783     (621,751,428     (492,638,072     (405,188,632
 

 

 

   

 

 

   

 

 

   

 

 

 

Net decrease in net assets resulting from operations

    (754,908,212     (287,846,387     (1,589,187,381     (640,647,879
 

 

 

   

 

 

   

 

 

   

 

 

 

DISTRIBUTIONS TO SHAREHOLDERS(b)

       

From net investment income and net realized gain

    (97,900,689     (192,905,388     (135,581,361 )(c)        

Return of capital

                      (170,149,458
 

 

 

   

 

 

   

 

 

   

 

 

 

Decrease in net assets resulting from distributions to shareholders

    (97,900,689     (192,905,388     (135,581,361     (170,149,458
 

 

 

   

 

 

   

 

 

   

 

 

 

CAPITAL SHARE TRANSACTIONS

       

Net proceeds from the issuance of shares

                      4,861,848,440  

Reinvestment of distributions

                      4,569,561  

Redemption of shares resulting from share repurchase program (including transaction costs)

    (9,529,955           (20,804,846     (74,068,155
 

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) in net assets derived from capital share transactions

    (9,529,955           (20,804,846     4,792,349,846  
 

 

 

   

 

 

   

 

 

   

 

 

 

NET ASSETS

       

Total increase (decrease) in net assets

    (862,338,856     (480,751,775      (1,745,573,588     3,981,552,509  

Beginning of period

    2,981,886,269       3,462,638,044       3,981,652,509       100,000  
 

 

 

   

 

 

   

 

 

   

 

 

 

End of period

  $  2,119,547,413     $  2,981,886,269     $ 2,236,078,921     $  3,981,652,509  
 

 

 

   

 

 

   

 

 

   

 

 

 

 

(a) 

Commencement of operations.

(b) 

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

(c) 

A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year-end.

See notes to financial statements.

 

 

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

  133


 

Statements of Changes in Net Assets (continued)

 

    BCX     BST(a)  
    Six Months Ended
06/30/22
(unaudited)
    Year Ended
12/31/21
    Six Months Ended
06/30/22
(unaudited)
    Year Ended
12/31/21
 

 

 

INCREASE (DECREASE) IN NET ASSETS

       

OPERATIONS

       

Net investment income (loss)

  $ 13,080,807     $ 25,955,087     $ (5,439,889   $ (12,070,576

Net realized gain

    111,409,397       56,049,452       48,364,682       148,321,617  

Net change in unrealized appreciation (depreciation)

     (124,692,120     115,553,664       (597,639,302     (287,749
 

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) in net assets resulting from operations

    (201,916     197,558,203       (554,714,509     135,963,292  
 

 

 

   

 

 

   

 

 

   

 

 

 

DISTRIBUTIONS TO SHAREHOLDERS(b)

       

From net investment income and net realized gain

    (22,962,159 )(c)       (33,607,537     (48,128,911     (126,451,369

Return of capital

          (8,784,140            
 

 

 

   

 

 

   

 

 

   

 

 

 

Decrease in net assets resulting from distributions to shareholders

    (22,962,159     (42,391,677     (48,128,911     (126,451,369
 

 

 

   

 

 

   

 

 

   

 

 

 

CAPITAL SHARE TRANSACTIONS

       

Net proceeds from the issuance of shares

                      12,814,651  

Proceeds from rights offering (Note 10)

                      359,278,213  

Reinvestment of distributions

                576,177       2,217,548  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net increase in net assets derived from capital share transactions

                576,177       374,310,412  
 

 

 

   

 

 

   

 

 

   

 

 

 

NET ASSETS

       

Total increase (decrease) in net assets

    (23,164,075     155,166,526       (602,267,243     383,822,335  

Beginning of period

    901,781,889       746,615,363       1,681,166,438       1,297,344,103  
 

 

 

   

 

 

   

 

 

   

 

 

 

End of period

  $ 878,617,814     $  901,781,889     $  1,078,899,195     $  1,681,166,438  
 

 

 

   

 

 

   

 

 

   

 

 

 

 

(a) 

Consolidated Statement of Changes in Net Assets.

(b) 

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

(c) 

A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year-end.

See notes to financial statements.

 

 

134  

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Statements of Changes in Net Assets (continued)

 

    BSTZ(a)            BUI  
    Six Months Ended
06/30/22
(unaudited)
    Year Ended
12/31/21
           Six Months Ended
06/30/22
(unaudited)
    Year Ended
12/31/21
 

 

 

INCREASE (DECREASE) IN NET ASSETS

          

OPERATIONS

          

Net investment income (loss)

  $ (13,351,538   $ (40,100,308      $ 4,667,626     $ 4,908,839  

Net realized gain

    105,528,206       258,715,033          13,333,209       10,994,095  

Net change in unrealized appreciation (depreciation)

    (1,247,767,189     29,935,008          (94,366,463     53,132,360  
 

 

 

   

 

 

      

 

 

   

 

 

 

Net increase (decrease) in net assets resulting from operations

    (1,155,590,521     248,549,733          (76,365,628     69,035,294  
 

 

 

   

 

 

      

 

 

   

 

 

 

DISTRIBUTIONS TO SHAREHOLDERS(b)

          

From net investment income and net realized gain

    (90,475,840     (240,726,364        (15,992,324 )(c)      (20,325,579

Return of capital

                         (9,081,858
 

 

 

   

 

 

      

 

 

   

 

 

 

Decrease in net assets resulting from distributions to shareholders

    (90,475,840     (240,726,364        (15,992,324     (29,407,437
 

 

 

   

 

 

      

 

 

   

 

 

 

CAPITAL SHARE TRANSACTIONS

          

Net proceeds from the issuance of shares

                   10,628,517       74,073,395  

Reinvestment of distributions

          17,394,255          567,690       1,577,468  
 

 

 

   

 

 

      

 

 

   

 

 

 

Net increase in net assets derived from capital share transactions

          17,394,255          11,196,207       75,650,863  
 

 

 

   

 

 

      

 

 

   

 

 

 

NET ASSETS

          

Total increase (decrease) in net assets

    (1,246,066,361     25,217,624          (81,161,745     115,278,720  

Beginning of period

    3,048,961,632       3,023,744,008          559,804,693       444,525,973  
 

 

 

   

 

 

      

 

 

   

 

 

 

End of period

  $ 1,802,895,271     $  3,048,961,632        $ 478,642,948     $  559,804,693  
 

 

 

   

 

 

      

 

 

   

 

 

 

 

(a) 

Consolidated Statement of Changes in Net Assets.

(b) 

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

(c) 

A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year-end.

See notes to financial statements.

 

 

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

  135


 

Statements of Cash Flows (unaudited)

Six Months Ended June 30, 2022

 

     BGR     CII     BDJ     BOE  

CASH PROVIDED BY (USED FOR) OPERATING ACTIVITIES

       

Net increase (decrease) in net assets resulting from operations

  $ 57,492,713     $  (135,530,731   $  (151,772,516   $  (118,629,509

Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by operating activities:

       

Proceeds from sales of long-term investments

    169,079,153       132,706,386       533,285,410       174,141,594  

Purchases of long-term investments

    (140,016,386     (129,182,694     (468,896,715     (166,701,962

Net proceeds from sales (purchases) of short-term securities

    1,318,422       1,093,788       (19,790,896     8,890,977  

Premiums paid on closing options written

    (42,444,928     (27,310,614     (96,586,121     (26,652,876

Premiums received from options written

    21,503,615       47,779,932       99,668,216       31,588,705  

Net realized gain on investments and options written

    (14,252,911     (78,221,752     (143,481,684     (27,446,728

Net unrealized (appreciation) depreciation on investments, options written and foreign currency translations

    (37,462,141     215,014,285       310,636,243       154,860,148  

(Increase) Decrease in Assets

       

Receivables

       

Dividends — affiliated

    (3,636     (10,317     (65,305     (6,071

Dividends — unaffiliated

    (317,312     (157,126     248,427       (1,214,915

Increase (Decrease) in Liabilities

       

Payables

       

Accounting services fees

    14,508       16,125       30,969       19,439  

Custodian fees

    16,441       32,714       43,647       39,247  

Investment advisory fees

    57,214       (103,997     (137,924     (92,551

Trustees’ and Officer’s fees

    (208,193     (91,886     (431,962     (281,689

Other accrued expenses

    11,926       13,852       39,018       27,194  

Professional fees

    (10,669     (23,460     (32,343     8,432  

Transfer agent fees

    18,402       20,692       42,172       23,623  

Other liabilities

    191,579                    
 

 

 

   

 

 

   

 

 

   

 

 

 

Net cash provided by operating activities

    14,987,797       26,045,197       62,798,636       28,573,058  
 

 

 

   

 

 

   

 

 

   

 

 

 

CASH PROVIDED BY (USED FOR) FINANCING ACTIVITIES

       

Cash dividends paid to shareholders

    (7,376,474     (26,107,838     (62,014,631     (24,160,847

Net payments on redemption of capital shares including change in redemptions payable

    (7,221,391                 (4,762,421

Increase in bank overdraft

                      94,288  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net cash used for financing activities

    (14,597,865     (26,107,838     (62,014,631     (28,828,980
 

 

 

   

 

 

   

 

 

   

 

 

 

CASH IMPACT FROM FOREIGN EXCHANGE FLUCTUATIONS

       

Cash impact from foreign exchange fluctuations

    (4           (62     (746
 

 

 

   

 

 

   

 

 

   

 

 

 

CASH AND FOREIGN CURRENCY

       

Net increase (decrease) in restricted and unrestricted cash and foreign currency

    389,928       (62,641     783,943       (256,668

Restricted and unrestricted cash and foreign currency at beginning of period

    70,919       333,500       597,932       5,270,925  
 

 

 

   

 

 

   

 

 

   

 

 

 

Restricted and unrestricted cash and foreign currency at end of period

  $ 460,847     $ 270,859     $ 1,381,875     $ 5,014,257  
 

 

 

   

 

 

   

 

 

   

 

 

 

RECONCILIATION OF RESTRICTED AND UNRESTRICTED CASH AND FOREIGN CURRENCY AT THE END OF PERIOD TO THE STATEMENTS OF ASSETS AND LIABILITIES

       

Cash

  $ 322,157     $ 220,859     $ 1,380,969     $  

Cash pledged

       

Collateral — exchange-traded options written

                      4,880,000  

Collateral — OTC derivatives

          50,000             26,000  

Foreign currency at value

    138,690             906       108,257  
 

 

 

   

 

 

   

 

 

   

 

 

 
  $ 460,847     $ 270,859     $ 1,381,875     $ 5,014,257  
 

 

 

   

 

 

   

 

 

   

 

 

 

See notes to financial statements.

 

 

136  

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Statements of Cash Flows (unaudited) (continued)

Six Months Ended June 30, 2022

 

     BGY     BME     BMEZ     BIGZ  

CASH PROVIDED BY (USED FOR) OPERATING ACTIVITIES

       

Net decrease in net assets resulting from operations

  $ (95,358,475   $ (62,285,367   $  (754,908,212   $  (1,589,187,381

Adjustments to reconcile net decrease in net assets resulting from operations to net cash provided by (used for) operating activities:

       

Proceeds from sales of long-term investments

    158,128,543       156,379,142       956,593,402       931,585,106  

Purchases of long-term investments

    (138,199,793     (160,524,253     (849,499,299     (776,074,628

Net purchases of short-term securities

    (2,739,450     (4,508,857     (22,145,462     (2,089,501

Premiums paid on closing options written

    (24,170,117     (16,285,452     (34,219,786     (8,991,154

Premiums received from options written

    24,819,327       21,689,552       69,037,027       47,336,334  

Net realized (gain) loss on investments and options written

    (15,928,917     (17,071,643     (16,619,035     1,079,277,381  

Net unrealized depreciation on investments, options written and foreign currency translations

    119,817,637       80,118,030       759,420,708       492,637,397  

(Increase) Decrease in Assets

       

Receivables

       

Dividends — affiliated

    (9,288     (27,499     (84,422     (24,233

Dividends — unaffiliated

    (1,364,028     (98,727     8,124       26,943  

From the Manager

          12,661              

Securities lending income — affiliated

          (963     (6,125     2,389  

Prepaid expenses

          (10,822     48,373       86,057  

Deferred offering costs

          4,027              

Increase (Decrease) in Liabilities

       

Collateral on securities loaned

          377,343       1,917,516       (5,206,475

Payables

       

Accounting services fees

    16,125       9,571       81,250       (103,824

Custodian fees

    48,745       17,570       72,282       101,210  

Deferred capital gain tax

    (231,371                  

Federal income tax

          (12,114            

Investment advisory fees

    (30,895     (61,192     (935,653     (1,877,558

Trustees’ and Officer’s fees

    (239,525     380       3,366       47,174  

Other accrued expenses

    31,368       (8,953     45,034       (19,486

Professional fees

    25,762       (21,761     (13,882     12,602  

Transfer agent fees

    22,988       16,614       42,871       136  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net cash provided by (used for) operating activities

    24,638,636       (2,292,713     108,838,077       167,538,489  
 

 

 

   

 

 

   

 

 

   

 

 

 

CASH PROVIDED BY (USED FOR) FINANCING ACTIVITIES

       

Cash dividends paid to shareholders

    (21,110,237     (16,081,762     (99,411,772     (137,147,448

Payments for offering costs

          (20,427            

Net payments on redemption of capital shares including change in redemptions payable

    (2,117,512           (9,529,955     (30,409,647

Increase (decrease) in bank overdraft

    137,718       7,610       69,804       (11,441

Proceeds from issuance of capital shares

          18,402,978              
 

 

 

   

 

 

   

 

 

   

 

 

 

Net cash provided by (used for) for financing activities

    (23,090,031     2,308,399       (108,871,923     (167,568,536
 

 

 

   

 

 

   

 

 

   

 

 

 

CASH IMPACT FROM FOREIGN EXCHANGE FLUCTUATIONS

       

Cash impact from foreign exchange fluctuations

    (1,949     35       773       (33
 

 

 

   

 

 

   

 

 

   

 

 

 

CASH AND FOREIGN CURRENCY

       

Net increase (decrease) in restricted and unrestricted cash and foreign currency

    1,546,656       15,721       (33,073     (30,080

Restricted and unrestricted cash and foreign currency at beginning of period

    4,653,832       960       155,883       31,101  
 

 

 

   

 

 

   

 

 

   

 

 

 

Restricted and unrestricted cash and foreign currency at end of period

  $ 6,200,488     $ 16,681     $ 122,810     $ 1,021  
 

 

 

   

 

 

   

 

 

   

 

 

 

NON-CASH FINANCING ACTIVITIES

       

Reinvestment of distributions

  $     $ 828,233     $     $  
 

 

 

   

 

 

   

 

 

   

 

 

 

 

 

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

  137


 

Statements of Cash Flows (unaudited) (continued)

Six Months Ended June 30, 2022

 

     BGY      BME      BMEZ      BIGZ  

RECONCILIATION OF RESTRICTED AND UNRESTRICTED CASH AND FOREIGN CURRENCY AT THE END OF PERIOD TO THE STATEMENTS OF ASSETS AND LIABILITIES

          

Cash pledged

          

Collateral — exchange-traded options written

  $ 5,611,000      $      $      $  

Collateral — OTC derivatives

    355,000               36,000         

Foreign currency at value

    234,488        16,681        86,810        1,021  
 

 

 

    

 

 

    

 

 

    

 

 

 
  $     6,200,488      $         16,681      $       122,810      $           1,021  
 

 

 

    

 

 

    

 

 

    

 

 

 

See notes to financial statements.    

 

 

138  

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Statements of Cash Flows (unaudited) (continued)

Six Months Ended June 30, 2022

 

     BCX     BST(a)     BSTZ(a)     BUI  

CASH PROVIDED BY (USED FOR) OPERATING ACTIVITIES

       

Net decrease in net assets resulting from operations

  $ (201,916   $ (554,714,509   $ (1,155,590,521   $ (76,365,628

Adjustments to reconcile net decrease in net assets resulting from operations to net cash provided by operating activities:

       

Proceeds from sales of long-term investments

    489,272,893       279,277,075       543,229,159       94,452,834  

Purchases of long-term investments

    (433,429,812     (242,874,215     (456,508,918     (91,943,048

Net purchases of short-term securities

    (8,462,376     (5,808,246     (58,279,912     (7,007,718

Premiums paid on closing options written

    (83,079,702     (10,759,648     (23,894,734     (13,606,700

Premiums received from options written

    44,485,294       49,061,212       90,245,972       17,626,383  

Net realized gain on investments and options written

    (109,914,300     (48,188,694     (105,700,486     (13,362,149

Net unrealized depreciation on investments, options written and foreign currency translations

    124,646,049       598,350,347       1,247,692,950       94,323,862  

(Increase) Decrease in Assets

       

Receivables

       

Dividends — affiliated

    (22,122     (40,427     (62,939     (11,716

Dividends — unaffiliated

    (553,580     63,063       90,093       (365,257

Securities lending income — affiliated

          41,692       (28,699     (1,355

Prepaid expenses

          (22,220            

Deferred offering costs

                      (85,329

Increase (Decrease) in Liabilities

       

Collateral on securities loaned

          (841,775     2,971,824       529,383  

Payables

       

Accounting services fees

    19,437       16,125       87,018       16,125  

Custodian fees

    29,280       35,763       79,956       24,280  

Deferred capital gain tax

          (708,764     73,396        

Investment advisory fees

    53,077       (433,600     (1,271,985     (56,327

Trustees’ and Officer’s fees

    (103,066     17,058       1,401       6,669  

Other accrued expenses

    22,110       9,079       47,870       33,638  

Professional fees

    (5,467     (43,381     22,058       (16,625

Transfer agent fees

    32,512       29,100       43,704       14,644  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net cash provided by operating activities

    22,788,311       62,465,035       83,247,207       4,205,966  
 

 

 

   

 

 

   

 

 

   

 

 

 

CASH PROVIDED BY (USED FOR) FINANCING ACTIVITIES

       

Cash dividends paid to shareholders

    (22,941,193     (51,006,359     (87,874,724     (15,424,634

Payments for offering costs

          (4,000           (23,883

Increase (decrease) in bank overdraft

    (170,513           487,417       53,595  

Proceeds from issuance of capital shares

                      11,201,367  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net cash used for financing activities

    (23,111,706     (51,010,359     (87,387,307     (4,193,555
 

 

 

   

 

 

   

 

 

   

 

 

 

CASH IMPACT FROM FOREIGN EXCHANGE FLUCTUATIONS

       

Cash impact from foreign exchange fluctuations

    (498     182       (1,044     1  
 

 

 

   

 

 

   

 

 

   

 

 

 

CASH AND FOREIGN CURRENCY

       

Net increase (decrease) in restricted and unrestricted cash and foreign currency

    (323,893     11,454,858       (4,141,144     12,412  

Restricted and unrestricted cash and foreign currency at beginning of period

    357,845       1,908,816       8,269,769       662,758  
 

 

 

   

 

 

   

 

 

   

 

 

 

Restricted and unrestricted cash and foreign currency at end of period

  $ 33,952     $ 13,363,674     $ 4,128,625     $ 675,170  
 

 

 

   

 

 

   

 

 

   

 

 

 

NON-CASH FINANCING ACTIVITIES

       

Reinvestment of distributions

  $     $ 576,177     $     $ 567,690  
 

 

 

   

 

 

   

 

 

   

 

 

 

 

 

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

  139


 

Statements of Cash Flows (unaudited) (continued)

Six Months Ended June 30, 2022

 

     BCX      BST(a)      BSTZ(a)      BUI  

RECONCILIATION OF RESTRICTED AND UNRESTRICTED CASH AND FOREIGN CURRENCY AT THE END OF PERIOD TO THE STATEMENTS OF ASSETS AND LIABILITIES

          

Cash

  $      $ 41,743      $ 18,625      $  

Cash pledged

          

Collateral — OTC derivatives

           400,000        3,600,000        603,500  

Foreign currency at value

    33,952        12,921,931               71,670  

Due from Broker

                  510,000         
 

 

 

    

 

 

    

 

 

    

 

 

 
  $           33,952      $    13,363,674      $       4,128,625      $         675,170  
 

 

 

    

 

 

    

 

 

    

 

 

 

 

(a)

Consolidated Statement of Cash Flows.

See notes to financial statements.

 

 

140  

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


 

Financial Highlights

(For a share outstanding throughout each period)

 

    BGR  
    Six Months Ended
06/30/22
(unaudited)
    Year Ended December 31,  
     2021     2020     2019     2018     2017  
             

Net asset value, beginning of period

  $ 10.77     $ 8.17     $ 12.57     $ 11.98     $ 15.79     $ 16.33  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income(a)

    0.20       0.28       0.32       0.34       0.28       0.40 (b)  

Net realized and unrealized gain (loss)

    1.80       2.77       (4.06     1.18       (3.16     (0.01
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) from investment operations

    2.00       3.05       (3.74     1.52       (2.88     0.39  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Distributions(c)

           

From net investment income

    (0.26 )(d)       (0.28     (0.32     (0.34     (0.27     (0.40

Return of capital

          (0.17     (0.34     (0.59     (0.66     (0.53
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total distributions

    (0.26     (0.45     (0.66     (0.93     (0.93     (0.93
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of period

  $ 12.51     $ 10.77     $ 8.17     $ 12.57     $ 11.98     $ 15.79  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Market price, end of period

  $ 10.97     $ 9.48     $ 7.10     $ 11.88     $ 10.45     $ 14.18  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Return(e)

           

Based on net asset value

    18.75 %(f)      38.36 %(g)      (29.03 )%      13.74     (18.84 )%      3.49
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Based on market price

    18.30 %(f)      40.14     (34.74 )%      23.23     (21.16 )%      5.11
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Ratios to Average Net Assets(h)

           

Total expenses

    1.24 %(i)       1.33     1.37     1.35     1.29     1.31
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses after fees waived and/or reimbursed

    1.02 %(i)       1.11     1.15     1.16     1.14     1.18
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income

    3.12 %(i)       2.88     3.77     2.67     1.87     2.69 %(b)  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Supplemental Data

           

Net assets, end of period (000)

  $ 356,383     $  313,503     $  237,868     $  374,896     $   357,391     $ 471,062  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Portfolio turnover rate

    39     61     62     24     32     24
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

(a) 

Based on average shares outstanding.

(b) 

Net investment income per share and the ratio of net investment income to average net assets include $0.15 per share and 0.99%, respectively, resulting from a special dividend from BakerHughes, Inc. in July 2017.

(c) 

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

(d) 

A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year-end.

(e) 

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices.

(f) 

Aggregate total return.

(g) 

Includes payment from an affiliate, which had no impact on the Trust’s total return.

(h) 

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

(i) 

Annualized.

See notes to financial statements.

 

 

F I N A N C I A L   H I G H L I G H T S

  141


 

Financial Highlights (continued)

(For a share outstanding throughout each period)

 

    CII  
    Six Months Ended
06/30/22
(unaudited)
    Year Ended December 31,  
     2021     2020     2019     2018     2017  
             

Net asset value, beginning of period

  $ 22.10     $ 19.12     $ 17.96     $ 15.28     $ 17.19     $ 15.08  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income(a)

    0.03       0.04       0.13       0.18       0.17       0.15  

Net realized and unrealized gain (loss)

    (3.09     4.04       2.08       3.50       (1.09     2.95  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) from investment operations

    (3.06     4.08       2.21       3.68       (0.92     3.10  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Distributions(b)

           

From net investment income

    (0.60     (0.04     (0.13     (0.19     (0.17 )(c)       (0.15

From net realized gain

          (1.06     (0.92     (0.44     (0.28 )(c)        

Return of capital

                      (0.37     (0.54     (0.84
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total distributions

    (0.60     (1.10     (1.05     (1.00     (0.99     (0.99
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of period

  $ 18.44     $ 22.10     $ 19.12     $ 17.96     $ 15.28     $ 17.19  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Market price, end of period

  $ 17.58     $ 22.12     $ 17.40     $ 17.25     $ 14.08     $ 16.38  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Return(d)

           

Based on net asset value

    (13.99 )%(e)      21.97     13.94     25.08     (5.44 )%      21.69
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Based on market price

    (18.08 )%(e)      34.15     7.97     30.38     (8.56 )%      27.54
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Ratios to Average Net Assets(f)

           

Total expenses

    0.89 %(g)       0.90     0.91     0.91     0.90     0.93
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses after fees waived and/or reimbursed

    0.89 %(g)       0.90     0.91     0.91     0.90     0.93
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income

    0.28 %(g)       0.21     0.78     1.08     1.00     0.94
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Supplemental Data

           

Net assets, end of period (000)

  $ 813,601     $  975,479     $  843,673     $  792,638     $  674,077     $  758,400  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Portfolio turnover rate

    14     27     46     32     27     32
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

(a) 

Based on average shares outstanding.

(b) 

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

(c) 

Amount previously presented incorrectly as solely distributions from net investment income has been revised to reflect the proper classification of distributions between net realized gain and net investment income.

(d) 

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices.

(e) 

Aggregate total return.

(f) 

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

(g) 

Annualized.

See notes to financial statements.

 

 

142  

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Financial Highlights (continued)

(For a share outstanding throughout each period)

 

    BDJ  
   

Six Months Ended

06/30/22

(unaudited)

    Year Ended December 31,  
     2021     2020     2019     2018     2017  
             

Net asset value, beginning of period

  $ 10.23     $ 9.35     $ 10.03     $ 8.74     $ 9.96     $ 9.22  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income(a)

    0.08       0.15       0.18       0.18       0.18 (b)       0.16  

Net realized and unrealized gain (loss)

    (0.90     1.60       (0.26     1.86       (0.84     1.14  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) from investment operations

    (0.82     1.75       (0.08     2.04       (0.66     1.30  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Distributions(c)

           

From net investment income

    (0.32     (0.28     (0.15     (0.08     (0.18 )(d)       (0.17

From net realized gain

          (0.59     (0.45     (0.67     (0.38 )(d)       (0.39
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total distributions

    (0.32     (0.87     (0.60     (0.75     (0.56     (0.56
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of period

  $ 9.09     $ 10.23     $ 9.35     $ 10.03     $ 8.74     $ 9.96  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Market price, end of period

  $ 8.83     $ 10.08     $ 8.47     $ 9.92     $ 7.77     $ 9.23  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Return(e)

           

Based on net asset value

    (8.07 )%(f)(g)      19.33     0.77     24.52     (6.59 )%      15.06
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Based on market price

    (9.37 )%(g)       29.80     (7.70 )%      38.53     (10.39 )%      20.63
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Ratios to Average Net Assets(h)

           

Total expenses

    0.82 %(i)       0.85     0.86     0.87     0.85     0.86
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses after fees waived and/or reimbursed

    0.82 %(i)       0.85     0.86     0.87     0.85     0.86
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income

    1.69 %(i)       1.44     2.15     1.99     1.85 %(b)       1.73
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Supplemental Data

           

Net assets, end of period (000)

  $ 1,690,652     $ 1,902,838     $ 1,739,122     $ 1,881,675     $ 1,638,237     $ 1,868,457  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Portfolio turnover rate

    26     40     48     40     34     42
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

(a) 

Based on average shares outstanding.

(b) 

Net investment income per share and the ratio of net investment income to average net assets includes $0.01 per share and 0.14%, respectively, resulting from a special dividend.

(c) 

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

(d) 

Amount previously presented incorrectly as solely distributions from net investment income has been revised to reflect the proper classification of distributions between net realized gain and net investment income.

(e) 

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices.

(f) 

Includes payment from an affiliate, which had no impact on the Trust’s total return.

(g) 

Aggregate total return.

(h) 

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

(i) 

Annualized.

See notes to financial statements.

 

 

F I N A N C I A L   H I G H L I G H T S

  143


 

Financial Highlights (continued)

(For a share outstanding throughout each period)

 

    BOE  
   

Six Months Ended
06/30/22

(unaudited)

    Year Ended December 31,  
     2021     2020     2019     2018     2017  
             

Net asset value, beginning of period

  $ 13.40     $ 12.28     $ 12.32     $ 11.07     $ 13.22     $ 13.38  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income(a)

    0.14       0.19       0.26       0.30       0.31       0.17  

Net realized and unrealized gain (loss)

    (1.99     1.69       0.46       1.71       (1.61     1.96  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) from investment operations

    (1.85     1.88       0.72       2.01       (1.30     2.13  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Distributions(b)

           

From net investment income

    (0.38     (0.19     (0.26     (0.31     (0.31 )(c)       (0.19

From net realized gain

          (0.57                 (0.52 )(c)       (2.10

Return of capital

                (0.50     (0.45     (0.02      
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total distributions

    (0.38     (0.76     (0.76     (0.76     (0.85     (2.29
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of period

  $ 11.17     $ 13.40     $ 12.28     $ 12.32     $ 11.07     $ 13.22  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Market price, end of period

  $ 9.77     $ 12.18     $ 10.91     $ 10.99     $ 9.37     $ 12.51  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Return(d)

           

Based on net asset value

    (13.71 )%(e)      16.21     7.65     19.54     (9.63 )%      17.22 %(f) 
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Based on market price

    (16.96 )%(e)      18.89     7.22     25.98     (19.16 )%      28.28
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Ratios to Average Net Assets(g)

           

Total expenses

    1.05 %(h)       1.07     1.09     1.12     1.08     1.09
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses after fees waived and/or reimbursed

    0.87 %(h)       0.90     0.92     0.94     0.94     1.02
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses after fees waived and/or reimbursed and excluding professional fees for foreign withholding taxes

    0.86 %(h)       0.90     0.92     0.94     0.94     1.02
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income

    2.27 %(h)       1.46     2.33     2.62     2.52     1.20
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Supplemental Data

           

Net assets, end of period (000)

  $ 709,839     $ 857,721     $ 786,230     $ 807,712     $ 754,602     $ 911,227  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Portfolio turnover rate

    22     65     61     26     28     133
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

(a) 

Based on average shares outstanding.

(b) 

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

(c) 

Amount previously presented incorrectly as solely distributions from net investment income has been revised to reflect the proper classification of distributions between net realized gain and net investment income.

(d) 

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices.

(e) 

Aggregate total return.

(f) 

Includes payment from an affiliate, which had no impact on the Trust’s total return.

(g) 

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

(h) 

Annualized.

See notes to financial statements.

 

 

144  

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Financial Highlights (continued)

(For a share outstanding throughout each period)

 

    BGY  
   

Six Months Ended
06/30/22

(unaudited)

    Year Ended December 31,  
     2021     2020     2019     2018     2017  
             

Net asset value, beginning of period

  $ 6.81     $ 6.49     $ 6.47     $ 5.79     $ 7.06     $ 6.28  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income(a)

    0.08       0.09       0.12       0.16       0.17 (b)       0.09  

Net realized and unrealized gain (loss)

    (1.00     0.64       0.31       0.93       (1.00     1.15  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) from investment operations

    (0.92     0.73       0.43       1.09       (0.83     1.24  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Distributions(c)

           

From net investment income

    (0.20 )(d)       (0.14     (0.13     (0.16     (0.16 )(e)       (0.09

From net realized gain

          (0.15           (0.19     (0.28 )(e)        

Return of capital

          (0.12     (0.28     (0.06           (0.37
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total distributions

    (0.20     (0.41     (0.41     (0.41     (0.44     (0.46
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of period

  $ 5.69     $ 6.81     $ 6.49     $ 6.47     $ 5.79     $ 7.06  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Market price, end of period

  $ 5.06     $ 6.28     $ 5.87     $ 5.89     $ 4.98     $ 6.52  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Return(f)

           

Based on net asset value

    (13.36 )%(g)      11.92     8.18     20.20     (11.48 )%      20.88 %(h) 
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Based on market price

    (16.45 )%(g)      14.11     7.49     27.22     (17.55 )%      27.23
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Ratios to Average Net Assets(i)

           

Total expenses

    1.07 %(j)       1.09     1.10     1.13     1.09     1.12
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses after fees waived and/or reimbursed

    0.99 %(j)       0.99     1.00     1.03     0.99     1.02
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses after fees waived and/or reimbursed and excluding professional fees for foreign withholding taxes

    0.97 %(j)       0.99     1.00     1.03     0.99     1.02
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income

    2.61 %(j)       1.34     1.99     2.57     2.59 %(b)       1.31
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Supplemental Data

           

Net assets, end of period (000)

  $ 590,914     $ 709,510     $ 676,949     $ 683,247     $ 623,234     $ 769,678  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Portfolio turnover rate

    21     71     60     28     60     90
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

(a) 

Based on average shares outstanding.

(b) 

Net investment income per share and the ratio of net investment income to average net assets includes $0.10 per share and 29%, respectively, resulting from a non-recurring dividend.

(c) 

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

(d) 

A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year-end.

(e) 

Amount previously presented incorrectly as solely distributions from net investment income has been revised to reflect the proper classification of distributions between net realized gain and net investment income.

(f) 

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices.

(g) 

Aggregate total return.

(h) 

Includes payment from an affiliate, which had no impact on the Trust’s total return.

(i) 

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

(j) 

Annualized.

See notes to financial statements.

 

 

F I N A N C I A L   H I G H L I G H T S

  145


 

Financial Highlights (continued)

(For a share outstanding throughout each period)

 

    BME  
   

Six Months Ended
06/30/22

(unaudited)

    Year Ended December 31,  
     2021     2020     2019     2018     2017  
             

Net asset value, beginning of period

  $ 47.96     $ 45.66     $ 41.19     $ 35.87     $ 35.69     $ 31.30  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income(a)

    0.06             0.01       0.06       0.07       0.02  

Net realized and unrealized gain (loss)

    (4.79     4.74       6.86       7.66       2.51       6.77  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) from investment operations

    (4.73     4.74       6.87       7.72       2.58       6.79  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Distributions(b)

           

From net investment income

    (1.28     (0.00 )(c)       (0.05     (0.12     (0.07 )(d)       (0.04

From net realized gain

          (2.44     (2.35     (2.28     (2.33 )(d)       (2.11

Return of capital

                                  (0.25
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total distributions

    (1.28     (2.44     (2.40     (2.40     (2.40     (2.40
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of period

  $ 41.95     $ 47.96     $ 45.66     $ 41.19     $ 35.87     $ 35.69  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Market price, end of period

  $ 42.40     $ 48.50     $ 47.59     $ 42.50     $ 36.45     $ 36.50  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Return(e)

           

Based on net asset value

    (9.93 )%(f)      10.66 %(g)      17.50     22.26     7.26     22.17
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Based on market price

    (9.97 )%(f)      7.37     18.69     24.15     6.57     23.17
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Ratios to Average Net Assets(h)

           

Total expenses

    1.06 %(i)       1.08     1.10     1.09     1.11     1.12
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses after fees waived and/or reimbursed

    1.06 %(i)       1.08     1.10     1.09     1.11     1.12
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income

    0.26 %(i)       0.01     0.01     0.16     0.19     0.06
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Supplemental Data

           

Net assets, end of period (000)

  $ 566,061     $ 625,775     $ 545,936     $ 446,773     $ 352,675     $ 331,858  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Portfolio turnover rate

    27     49     28     47     37     38
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

(a) 

Based on average shares outstanding.

(b) 

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

(c) 

Amount is greater than $(0.005) per share.

(d) 

Amount previously presented incorrectly as solely distributions from net investment income has been revised to reflect the proper classification of distributions between net realized gain and net investment income.

(e) 

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices.

(f) 

Aggregate total return.

(g) 

Includes payment from an affiliate, which had no impact on the Trust’s total return.

(h) 

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

(i) 

Annualized.

See notes to financial statements.

 

 

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Financial Highlights (continued)

(For a share outstanding throughout each period)

 

    BMEZ  
     

Six Months Ended
06/30/22

(unaudited

 
 

   
Year Ended
12/31/21
 
 
   

Period from
01/30/20

to 12/31/20

 
(a)  

 

       

Net asset value, beginning of period

  $ 26.47     $ 30.73     $ 20.00  
 

 

 

   

 

 

   

 

 

 

Net investment loss(b)

    (0.11     (0.32     (0.22

Net realized and unrealized gain (loss)

    (6.58     (2.23     11.85  
 

 

 

   

 

 

   

 

 

 

Net increase (decrease) from investment operations

    (6.69     (2.55     11.63  
 

 

 

   

 

 

   

 

 

 

Distributions(c)

     

From net investment income

    (0.87            

From net realized gain

          (1.71     (0.90
 

 

 

   

 

 

   

 

 

 

Total distributions

    (0.87     (1.71     (0.90
 

 

 

   

 

 

   

 

 

 

Net asset value, end of period

  $ 18.91     $ 26.47     $ 30.73  
 

 

 

   

 

 

   

 

 

 

Market price, end of period

  $ 16.43     $ 25.36     $ 28.65  
 

 

 

   

 

 

   

 

 

 

Total Return(d)

     

Based on net asset value

    (25.17 )%(e)      (8.31 )%      59.62 %(e)(f)  
 

 

 

   

 

 

   

 

 

 

Based on market price

    (32.14 )%(e)      (5.76 )%      48.82 %(e)  
 

 

 

   

 

 

   

 

 

 

Ratios to Average Net Assets(g)

     

Total expenses

    1.31 %(h)       1.30     1.29 %(h)  
 

 

 

   

 

 

   

 

 

 

Total expenses after fees waived and/or reimbursed

    1.31 %(h)       1.30     1.28 %(h)  
 

 

 

   

 

 

   

 

 

 

Net investment loss

    (1.00 )%(h)       (1.10 )%      (1.00 )%(h)  
 

 

 

   

 

 

   

 

 

 

Supplemental Data

     

Net assets, end of period (000)

  $ 2,119,547     $ 2,981,886     $ 3,462,638  
 

 

 

   

 

 

   

 

 

 

Portfolio turnover rate

    36     44     43
 

 

 

   

 

 

   

 

 

 

 

(a) 

Commencement of operations.

(b) 

Based on average shares outstanding.

(c) 

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

(d) 

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices.

(e) 

Aggregate total return.

(f) 

Includes payment from an affiliate, which had no impact on the Trust’s total return.

(g) 

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

(h) 

Annualized.

See notes to financial statements.

 

 

F I N A N C I A L   H I G H L I G H T S

  147


 

Financial Highlights (continued)

(For a share outstanding throughout each period)

 

    BIGZ  
     

Six Months Ended
06/30/22

(unaudited

 
 

   

Period from
03/29/21

to 12/31/21

 
(a)  

 

     

Net asset value, beginning of period

  $ 16.72     $ 20.00  
 

 

 

   

 

 

 

Net investment loss(b)

    (0.07     (0.15

Net realized and unrealized loss

    (6.60     (2.43
 

 

 

   

 

 

 

Net decrease from investment operations

    (6.67     (2.58
 

 

 

   

 

 

 

Distributions(c)

   

From net investment income

    (0.57 )(d)        

Return of capital

          (0.70
 

 

 

   

 

 

 

Total distributions

    (0.57     (0.70
 

 

 

   

 

 

 

Net asset value, end of period

  $ 9.48     $ 16.72  
 

 

 

   

 

 

 

Market price, end of period

  $ 7.94     $ 14.54  
 

 

 

   

 

 

 

Total Return(e)(f)

   

Based on net asset value

    (40.12 )%      (13.03 )% 
 

 

 

   

 

 

 

Based on market price

    (42.33 )%      (24.37 )% 
 

 

 

   

 

 

 

Ratios to Average Net Assets(g)(h)

   

Total expenses

    1.33     1.29
 

 

 

   

 

 

 

Total expenses after fees waived and/or reimbursed

    1.33 %(g)       1.28
 

 

 

   

 

 

 

Net investment loss

    (1.20 )%      (1.02 )% 
 

 

 

   

 

 

 

Supplemental Data

   

Net assets, end of period (000)

  $ 2,236,079     $ 3,981,653  
 

 

 

   

 

 

 

Portfolio turnover rate

    26     55
 

 

 

   

 

 

 

 

(a) 

Commencement of operations.

(b) 

Based on average shares outstanding.

(c) 

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

(d) 

A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year-end.

(e) 

Aggregate total return.

(f) 

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices.

(g) 

Annualized.

(h) 

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

See notes to financial statements.

 

 

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Financial Highlights (continued)

(For a share outstanding throughout each period)

 

    BCX  
   

Six Months Ended
06/30/22

(unaudited)

   

Year Ended December 31,

 
     2021     2020     2019     2018     2017  
             

Net asset value, beginning of period

  $ 10.21     $ 8.45     $ 9.04     $ 8.44     $ 10.64     $ 9.86  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income(a)

    0.15       0.29       0.20       0.23       0.22       0.20 (b)  

Net realized and unrealized gain (loss)

    (0.15     1.95       (0.26     0.99       (1.80     1.19  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) from investment operations

          2.24       (0.06     1.22       (1.58     1.39  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Distributions(c)

           

From net investment income

    (0.26 )(d)       (0.38     (0.23     (0.23     (0.19     (0.24

Return of capital

          (0.10     (0.30     (0.39     (0.43     (0.37
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total distributions

    (0.26     (0.48     (0.53     (0.62     (0.62     (0.61
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of period

  $ 9.95     $ 10.21     $ 8.45     $ 9.04     $ 8.44     $ 10.64  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Market price, end of period

  $ 8.98     $ 9.35     $ 7.41     $ 8.07     $ 7.06     $ 9.77  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Return(e)

           

Based on net asset value

    (0.05 )%(f)      27.20     1.56     15.88     (14.90 )%      15.60
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Based on market price

    (1.50 )%(f)      32.83     (0.23 )%      23.67     (22.47 )%      26.55
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Ratios to Average Net Assets(g)

           

Total expenses

    1.05 %(h)       1.07     1.09     1.11     1.08     1.08
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses after fees waived and/or reimbursed

    1.05 %(h)       1.07     1.09     1.11     1.08     1.08
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses after fees waived and/or reimbursed and excluding professional fees for foreign withholding taxes

    1.05 %(h)       1.07     1.09     1.11     1.08     1.08
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income

    2.67 %(h)       3.05     2.62     2.56     2.17     2.06 %(b)  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Supplemental Data

           

Net assets, end of period (000)

  $ 878,618     $  901,782     $  746,615     $  822,754     $  798,282     $  1,027,472  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Portfolio turnover rate

    45     66     78     69     66     73
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

(a) 

Based on average shares outstanding.

(b) 

Net investment income per share and the ratio of net investment income to average net assets include less than $0.04 per share and 0.39% respectively, resulting from a special dividend from Baker Hughes Inc. in July 2017.

(c) 

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

(d) 

A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year-end.

(e) 

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices.

(f) 

Aggregate total return.

(g) 

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

(h) 

Annualized.

See notes to financial statements.

 

 

F I N A N C I A L   H I G H L I G H T S

  149


 

Financial Highlights (continued)

(For a share outstanding throughout each period)

 

    BST  
   

Six Months Ended
06/30/22

(unaudited)

 
 

(a) 

 

 

Year Ended December 31,

 

      2021 (a)       2020 (a)       2019       2018       2017  
             

Net asset value, beginning of period

  $ 52.40     $ 51.94     $ 32.45     $ 26.21     $ 27.73     $ 20.10  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net investment loss(b)

    (0.17     (0.43     (0.28     (0.17     (0.13     (0.05

Net realized and unrealized gain (loss)

    (17.12     5.84       21.82       9.92       0.37       8.96  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) from investment operations

    (17.29     5.41       21.54       9.75       0.24       8.91  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Distributions(c)

           

From net investment income

    (1.50                       (d)       (0.05

From net realized gain

          (4.27     (2.05     (3.51     (1.76 )(d)       (0.22

Return of capital

                                  (1.01
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total distributions

    (1.50     (4.27     (2.05     (3.51     (1.76     (1.28
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Dilutive effect of rights offer (Note 10)

          (0.68                        
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of period

  $ 33.61     $ 52.40     $ 51.94     $ 32.45     $ 26.21     $ 27.73  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Market price, end of period

  $ 32.49     $ 49.97     $ 53.30     $ 33.27     $ 27.48     $ 26.69  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Return(e)

           

Based on net asset value

    (33.40 )%(f)       9.44     68.76 %(g)       37.82     0.24     45.73
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Based on market price

    (32.49 )%(f)       1.70     68.92     34.77     9.18     57.15
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Ratios to Average Net Assets(h)

           

Total expenses

    1.07 %(i)       1.05     1.09     1.08     1.09     1.09
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses after fees waived and/or reimbursed

    1.07 %(i)       1.00     0.99     0.92     0.89     0.89
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net investment loss

    (0.81 )%(i)       (0.78 )%      (0.73 )%      (0.52 )%      (0.43 )%      (0.19 )% 
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Supplemental Data

           

Net assets, end of period (000)

  $ 1,078,899     $  1,681,166     $  1,297,344     $  742,672     $  587,908     $  620,300  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Portfolio turnover rate

    18     31     20     32     53     41
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

(a) 

Consolidated Financial Highlights.

(b) 

Based on average shares outstanding.

(c) 

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

(d) 

Amount previously presented incorrectly as solely distributions from net investment income has been revised to reflect the proper classification of distributions between net realized gain and net investment income.

(e) 

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices.

(f) 

Aggregate total return.

(g) 

For financial reporting purposes, the market value of a certain investment was adjusted as of the report date. Accordingly, the net asset value (.NAV.) per share and total return performance based on NAV presented herein are different than the information previously published as of December 31, 2020.

(h) 

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

(i) 

Annualized.

See notes to financial statements.

 

 

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Financial Highlights (continued)

(For a share outstanding throughout each period)

 

    BSTZ
   

Six Months Ended
06/30/22

(unaudited)

 
 

(a) 

    Year Ended December 31,(a)      

Period from

06/27/19

to 12/31/19

 

(b)  

 

     2021     2020  
         

Net asset value, beginning of period

  $ 38.82     $ 38.72     $ 20.95     $ 20.00  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net investment loss(c)

    (0.17     (0.51     (0.30     (0.05

Net realized and unrealized gain (loss)

    (14.54     3.69       19.32       1.50  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) from investment operations

    (14.71     3.18       19.02       1.45  
 

 

 

   

 

 

   

 

 

   

 

 

 

Distributions(d)

       

From net investment income

    (1.15                  

From net realized gain

          (3.08     (1.10      

Return of capital

                (0.15     (0.50
 

 

 

   

 

 

   

 

 

   

 

 

 

Total distributions

    (1.15     (3.08     (1.25     (0.50
 

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of period

  $ 22.96     $ 38.82     $ 38.72     $ 20.95  
 

 

 

   

 

 

   

 

 

   

 

 

 

Market price, end of period

  $ 19.59     $ 38.94     $ 36.38     $ 20.50  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total Return(e)

       

Based on net asset value

    (38.15 )%(f)       8.41     94.60 %(g)       7.40 %(f)  
 

 

 

   

 

 

   

 

 

   

 

 

 

Based on market price

    (47.39 )%(f)       15.75     86.85     5.10 %(f)  
 

 

 

   

 

 

   

 

 

   

 

 

 

Ratios to Average Net Assets(h)

       

Total expenses

    1.33 %(i)       1.31     1.33     1.32 %(i)  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses after fees waived and/or reimbursed

    1.33 %(i)       1.31     1.33     1.30 %(i)  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net investment loss

    (1.16 )%(i)       (1.25 )%      (1.16 )%      (0.48 )%(i)  
 

 

 

   

 

 

   

 

 

   

 

 

 

Supplemental Data

       

Net assets, end of period (000)

  $ 1,802,895     $  3,048,962     $  3,023,744     $ 1,635,966  
 

 

 

   

 

 

   

 

 

   

 

 

 

Portfolio turnover rate

    20     18     45     16
 

 

 

   

 

 

   

 

 

   

 

 

 

 

(a) 

Consolidated Financial Highlights.

(b) 

Commencement of operations.

(c) 

Based on average shares outstanding.

(d) 

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

(e) 

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices.

(f) 

Aggregate total return.

(g) 

Includes payment from an affiliate, which had no impact on the Trust’s total return.

(h) 

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

(i) 

Annualized.

See notes to financial statements.

 

 

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Financial Highlights (continued)

(For a share outstanding throughout each period)

 

    BUI  
   

Six Months Ended
06/30/22

(unaudited)

   

Year Ended December 31,

 
     2021     2020     2019     2018     2017  
             

Net asset value, beginning of period

  $ 25.86     $ 23.80     $ 22.02     $ 18.77     $ 21.12     $ 19.42  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income(a)

    0.21       0.24       0.33       0.37       0.49       0.56  

Net realized and unrealized gain (loss)

    (3.68     3.27       2.90       4.33       (1.39     2.59  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) from investment operations

    (3.47     3.51       3.23       4.70       (0.90     3.15  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Distributions(b)

           

From net investment income

    (0.73 )(c)       (0.24     (0.20     (0.24     (0.63 )(d)       (0.47

From net realized gain

          (0.76     (1.08     (1.06     (0.81 )(d)       (0.98

Return of capital

          (0.45     (0.17     (0.15     (0.01      
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total distributions

    (0.73     (1.45     (1.45     (1.45     (1.45     (1.45
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of period

  $ 21.66     $ 25.86     $ 23.80     $ 22.02     $ 18.77     $ 21.12  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Market price, end of period

  $ 21.88     $ 26.62     $ 25.04     $ 22.31     $ 19.76     $ 21.62  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Return(e)

           

Based on net asset value

    (13.61 )%(f)      15.13     15.87     25.63     (4.40 )%      16.62
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Based on market price

    (15.22 )%(f)      12.65     20.32     20.91     (1.68 )%      25.93
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Ratios to Average Net Assets(g)

           

Total expenses

    1.08 %(h)       1.08     1.13     1.12     1.12     1.11
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses after fees waived and/or reimbursed

    1.08 %(h)       1.07     1.10     1.10     1.09     1.09
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income

    1.80 %(h)       0.97     1.58     1.78     2.46     2.70
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Supplemental Data

           

Net assets, end of period (000)

  $ 478,643     $  559,805     $  444,526     $  383,337     $  318,933     $  357,776  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Portfolio turnover rate

    17     20     39     39     28     31
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

(a) 

Based on average shares outstanding.

(b) 

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

(c) 

A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year-end.

(d) 

Amount previously presented incorrectly as solely distributions from net investment income has been revised to reflect the proper classification of distributions between net realized gain and net investment income.

(e) 

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices.

(f) 

Aggregate total return.

(g) 

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

(h) 

Annualized.

See notes to financial statements.

 

 

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Notes to Financial Statements (unaudited)

 

1.

ORGANIZATION

The following are registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as closed-end management investment companies and are referred to herein collectively as the “Trusts”, or individually as a “Trust”:

 

Trust Name   Herein Referred To As    Organized    Diversification
Classification

BlackRock Energy and Resources Trust

  BGR    Delaware    Non-diversified

BlackRock Enhanced Capital and Income Fund, Inc.

  CII    Maryland    Diversified

BlackRock Enhanced Equity Dividend Trust

  BDJ    Delaware    Diversified

BlackRock Enhanced Global Dividend Trust

  BOE    Delaware    Diversified

BlackRock Enhanced International Dividend Trust

  BGY    Delaware    Diversified

BlackRock Health Sciences Trust

  BME    Delaware    Diversified

BlackRock Health Sciences Trust II

  BMEZ    Maryland    Non-diversified

BlackRock Innovation and Growth Trust

  BIGZ    Maryland    Non-diversified

BlackRock Resources & Commodities Strategy Trust

  BCX    Delaware    Non-diversified

BlackRock Science and Technology Trust

  BST    Delaware    Diversified

BlackRock Science and Technology Trust II

  BSTZ    Delaware    Non-diversified

BlackRock Utilities, Infrastructure & Power Opportunities Trust

  BUI    Delaware    Diversified

The Boards of Directors and Boards of Trustees of the Trusts are collectively referred to throughout this report as the “Board,” and the trustees thereof are collectively referred to throughout this report as “Trustees”. The Trusts determine and make available for publication the net asset values (“NAVs”) of their Common Shares on a daily basis.

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

Basis of Consolidation: The accompanying consolidated financial statements of BST include the accounts of BST Subsidiary, LLC (the “BST Taxable Subsidiary”), which is a wholly-owned taxable subsidiary of BST. The BST Taxable Subsidiary enables BST to hold an investment in an operating partnership and satisfy Regulated Investment Company (“RIC”) tax requirements. Income earned and gains realized on the investment held by the BST Taxable Subsidiary are taxable to such subsidiary. A tax provision for income, if any, is shown as income tax in the Consolidated Statement of Operations for BST. A tax provision for realized and unrealized gains, if any, is included as a reduction of realized and/or unrealized gain (loss) in the Consolidated Statement of Operations for BST. BST may invest up to 25% of its total assets in the BST Taxable Subsidiary. The net assets of the BST Taxable Subsidiary as of period end were $16,023,088, which is 1.5% of BST’s consolidated net assets. Intercompany accounts and transactions, if any, have been eliminated. The BST Taxable Subsidiary is subject to the same investment policies and restrictions that apply to BST.

The accompanying consolidated financial statements of BSTZ include the accounts of BSTZ Subsidiary, LLC (the “BSTZ Taxable Subsidiary”), which is a wholly-owned taxable subsidiary of BSTZ. The BSTZ Taxable Subsidiary enables BSTZ to hold an investment in an operating partnership and satisfy Regulated Investment Company (“RIC”) tax requirements. Income earned and gains realized on the investment held by the BSTZ Taxable Subsidiary are taxable to such subsidiary. A tax provision for income, if any, is shown as income tax in the Consolidated Statement of Operations for BSTZ. A tax provision for realized and unrealized gains, if any, is included as a reduction of realized and/or unrealized gain (loss) in the Consolidated Statement of Operations for BSTZ. BSTZ may invest up to 25% of its total assets in the BSTZ Taxable Subsidiary. The net assets of the BSTZ Taxable Subsidiary as of period end were $30,045,968, which is 1.7% of BSTZ’s consolidated net assets. Intercompany accounts and transactions, if any, have been eliminated. The BSTZ Taxable Subsidiary is subject to the same investment policies and restrictions that apply to BSTZ.

 

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. Each Trust 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, investment transactions are recorded on the dates the transactions are executed. Realized gains and losses on investment transactions are determined using the specific identification method. Dividend income and capital gain distributions, if any, are recorded on the ex-dividend dates. Non-cash dividends, if any, are recorded on the ex-dividend dates at fair value. Dividends from foreign securities where the ex-dividend dates may have passed are subsequently recorded when the Trusts are informed of the ex-dividend dates. Under the applicable foreign tax laws, a withholding tax at various rates may be imposed on capital gains, dividends and interest. Upon notification from issuers, a portion of the dividend income received from a real estate investment trust may be redesignated as a reduction of cost of the related investment and/or realized gain. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized daily on an accrual basis.

Foreign Currency Translation: Each Trust’s books and records are maintained in U.S. dollars. Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates determined as of the close of trading on the New York Stock Exchange (“NYSE”). Purchases and sales of investments are recorded at the rates of exchange prevailing on the respective dates of such transactions. Generally, when the U.S. dollar rises in value against a foreign currency, the investments denominated in that currency will lose value; the opposite effect occurs if the U.S. dollar falls in relative value.

 

 

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Notes to Financial Statements (unaudited) (continued)

 

Each Trust does not isolate the effect of fluctuations in foreign exchange rates from the effect of fluctuations in the market prices of investments for financial reporting purposes. Accordingly, the effects of changes in exchange rates on investments are not segregated in the Statements of Operations from the effects of changes in market prices of those investments, but are included as a component of net realized and unrealized gain (loss) from investments. Each Trust reports realized currency gains (losses) on foreign currency related transactions as components of net realized gain (loss) for financial reporting purposes, whereas such components are generally treated as ordinary income for U.S. federal income tax purposes.

Foreign Taxes: The Trusts may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, capital gains on investments, or certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which each Trust invests. These foreign taxes, if any, are paid by each Trust and are reflected in its Statements of Operations as follows: foreign taxes withheld at source are presented as a reduction of income, foreign taxes on securities lending income are presented as a reduction of securities lending income, foreign taxes on stock dividends are presented as “Foreign taxes withheld”, and foreign taxes on capital gains from sales of investments and foreign taxes on foreign currency transactions are included in their respective net realized gain (loss) categories. Foreign taxes payable or deferred as of June 30, 2022, if any, are disclosed in the Statements of Assets and Liabilities.

The Trusts file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. The Trusts may record a reclaim receivable based on collectability, which includes factors such as the jurisdiction’s applicable laws, payment history and market convention. The Statements of Operations include tax reclaims recorded as well as professional and other fees, if any, associated with recovery of foreign withholding taxes.

Segregation and Collateralization: In cases where a Trust enters into certain investments (e.g., options written) that would be treated as “senior securities” for 1940 Act purposes, a Trust may segregate or designate on its books and records cash or liquid assets having a market value at least equal to the amount of its future obligations under such investments. Doing so allows the investments to be excluded from treatment as a “senior security.” Furthermore, if required by an exchange or counterparty agreement, the Trusts may be required to deliver/deposit cash and/or securities to/with an exchange, or broker-dealer or custodian as collateral for certain investments or obligations.

Distributions: Distributions paid by the Trusts are recorded on the ex-dividend dates. Subject to the Trusts’ managed distribution plan, the Trusts intend to make monthly cash distributions to shareholders, which may consist of net investment income, and net realized and unrealized gains on investments and/or return of capital.

The character of distributions is determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP. The portion of distributions that exceeds a Trust’s current and accumulated earnings and profits, which are measured on a tax basis, will constitute a non-taxable return of capital.

Deferred Compensation Plan: Under the Deferred Compensation Plan (the “Plan”) approved by each Trust’s Board, the trustees who are not “interested persons” of the Trusts, as defined in the 1940 Act (“Independent Trustees”), 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 Trustees. This has the same economic effect for the Independent Trustees as if the Independent Trustees 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 each Trust, as applicable. Deferred compensation liabilities, if any, are included in the Trustees’ and Officer’s fees payable in the Statements of Assets and Liabilities and will remain as a liability of the Trusts 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 Fixed-Income Complex and reflected as Trustees and Officer expense on the Statements of Operations. The Trustees and Officer expense may be negative as a result of a decrease in value of the deferred accounts.

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

Other: Expenses directly related to a Trust are charged to that Trust. 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.

 

3.

INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS

Investment Valuation Policies: Each Trust’s investments are valued at fair value (also referred to as “market value” within the financial statements) each day that the Trust is open for business and, for financial reporting purposes, as of the report date. U.S. GAAP defines fair value as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. Each Trust determines the fair values of its financial instruments using various independent dealers or pricing services under policies approved by the Board. If a security’s market price is not readily available or does not otherwise accurately represent the fair value of the security, the security will be valued in accordance with a policy approved by the Board as reflecting fair value. The BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) is the committee formed by management to develop global pricing policies and procedures and to oversee the pricing function for all financial instruments.

Fair Value Inputs and Methodologies: The following methods and inputs are used to establish the fair value of each Trust’s assets and liabilities:

 

   

Equity investments traded on a recognized securities exchange are valued at that day’s official closing price, as applicable, on the exchange where the stock is primarily traded. Equity investments traded on a recognized exchange for which there were no sales on that day may be valued at the last available bid (long positions) or ask (short positions) price.

 

   

Fixed-income investments for which market quotations are readily available are generally valued using the last available bid price or current market quotations provided by independent dealers or third-party pricing services. Pricing services generally value fixed-income securities assuming orderly transactions of an institutional round

 

 

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Notes to Financial Statements (unaudited) (continued)

 

 

lot size, but a fund may hold or transact in such securities in smaller, odd lot sizes. Odd lots may trade at lower prices than institutional round lots. The pricing services may use matrix pricing or valuation models that utilize certain inputs and assumptions to derive values, including transaction data (e.g., recent representative bids and offers), market data, credit quality information, perceived market movements, news, and other relevant information. Certain fixed-income securities, including asset-backed and mortgage related securities may be valued based on valuation models that consider the estimated cash flows of each tranche of the entity, establish a benchmark yield and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche. The amortized cost method of valuation may be used with respect to debt obligations with sixty days or less remaining to maturity unless the Manager determines such method does not represent fair value.

 

   

Investments in open-end U.S. mutual funds (including money market funds) are valued at that day’s published NAV.

 

   

The Trusts value their investment in SL Liquidity Series, LLC, Money Market Series (the “Money Market Series”) at fair value, which is ordinarily based upon their pro rata ownership in the underlying fund’s net assets.

 

   

Exchange-traded options are valued at the mean between the last bid and ask prices at the close of the options market in which the options trade. An exchange-traded option for which there is no mean price is valued at the last bid (long positions) or ask (short positions) price. If no bid or ask price is available, the prior day’s price will be used, unless it is determined that the prior day’s price no longer reflects the fair value of the option. Over-the-counter (“OTC”) options and options on swaps (“swaptions”) are valued by an independent pricing service using a mathematical model, which incorporates a number of market data factors, such as the trades and prices of the underlying instruments.

Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of trading on the NYSE. Each business day, the Trusts use current market factors supplied by independent pricing services to value certain foreign instruments (“Systematic Fair Value Price”). The Systematic Fair Value Price is designed to value such foreign securities at fair value as of the close of trading on the NYSE, which follows the close of the local markets.

If events (e.g., market volatility, company announcement or a natural disaster) occur that are expected to materially affect the value of such investment, or in the event that application of these methods of valuation results in a price for an investment that is deemed not to be representative of the market value of such investment, or if a price is not available, the investment will be valued by the Global Valuation Committee, or its delegate, in accordance with a policy approved by the Board as reflecting fair value (“Fair Valued Investments”). The fair valuation approaches that may be used by the Global Valuation Committee include market approach, income approach and cost approach. Valuation techniques such as discounted cash flow, use of market comparables and matrix pricing are types of valuation approaches and are typically used in determining fair value. When determining the price for Fair Valued Investments, the Global Valuation Committee, or its delegate, seeks to determine the price that each Trust might reasonably expect to receive or pay from the current sale or purchase of that asset or liability in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the Global Valuation Committee, or its delegate, deems relevant and consistent with the principles of fair value measurement. The pricing of all Fair Valued Investments is subsequently reported to the Board or a committee thereof on a quarterly basis.

For investments in equity or debt issued by privately held companies or funds (“Private Company” or collectively, the “Private Companies”) and other Fair Valued Investments, the fair valuation approaches that are used by the Global Valuation Committee and third-party pricing services utilize one or a combination of, but not limited to, the following inputs.

 

   
     Standard Inputs Generally Considered By Third-Party Pricing Services    

Market approach

 

(i)  recent market transactions, including subsequent rounds of financing, in the underlying investment or comparable issuers;

(ii)   recapitalizations and other transactions across the capital structure; and

(iii)  market multiples of comparable issuers.

 

Income approach

 

(i)  future cash flows discounted to present and adjusted as appropriate for liquidity, credit, and/or market risks;

(ii)   quoted prices for similar investments or assets in active markets; and

(iii)  other risk factors, such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, recovery rates, liquidation amounts and/or default rates.

 

Cost approach.

 

(i)  audited or unaudited financial statements, investor communications and financial or operational metrics issued by the Private Company;

(ii)   changes in the valuation of relevant indices or publicly traded companies comparable to the Private Company;

(iii)  relevant news and other public sources; and

(iv)  known secondary market transactions in the Private Company’s interests and merger or acquisition activity in companies comparable to the Private Company.

 

Investments in series of preferred stock issued by Private Companies are typically valued utilizing market approach in determining the enterprise value of the company. Such investments often contain rights and preferences that differ from other series of preferred and common stock of the same issuer. Enterprise valuation techniques such as an option pricing model (“OPM”), a probability weighted expected return model (“PWERM”), current value method or a hybrid of those techniques are used as deemed appropriate under the circumstances. The use of these valuation techniques involve a determination of the exit scenarios of the investment in order to appropriately allocate the enterprise value of the company among the various parts of its capital structure.

The Private Companies are not subject to the public company disclosure, timing, and reporting standards applicable to other investments held by a Trust. Typically, the most recently available information by a Private Company is as of a date that is earlier than the date a Trust is calculating its NAV. This factor may result in a difference between the value of the investment and the price a Trust could receive upon the sale of the investment.

Fair Value Hierarchy: Various inputs are used in determining the fair value of financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial reporting purposes as follows:

 

 

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Notes to Financial Statements (unaudited) (continued)

 

   

Level 1 – Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that each Trust has the ability to access;

 

   

Level 2 – Other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market–corroborated inputs); and

 

   

Level 3 – Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Global Valuation Committee’s assumptions used in determining the fair value of financial instruments).

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by Private Companies that may not have a secondary market and/or may have a limited number of investors. The categorization of a value determined for financial instruments is based on the pricing transparency of the financial instruments and is not necessarily an indication of the risks associated with investing in those securities.

As of June 30, 2022, certain investments of BME, BMEZ, BSTZ and BUI were fair valued using NAV per share as no quoted market value is available and therefore have been excluded from the fair value hierarchy.

 

4.

SECURITIES AND OTHER INVESTMENTS

Preferred Stocks: Preferred stock has a preference over common stock in liquidation (and generally in receiving dividends as well), but is subordinated to the liabilities of the issuer in all respects. As a general rule, the market value of preferred stock with a fixed dividend rate and no conversion element varies inversely with interest rates and perceived credit risk, while the market price of convertible preferred stock generally also reflects some element of conversion value. Because preferred stock is junior to debt securities and other obligations of the issuer, deterioration in the credit quality of the issuer will cause greater changes in the value of a preferred stock than in a more senior debt security with similar stated yield characteristics. Unlike interest payments on debt securities, preferred stock dividends are payable only if declared by the issuer’s board of directors. Preferred stock also may be subject to optional or mandatory redemption provisions.

Warrants: Warrants entitle a fund to purchase a specified number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date of the warrants, if any. If the price of the underlying stock does not rise above the strike price before the warrant expires, the warrant generally expires without any value and a fund will lose any amount it paid for the warrant. Thus, investments in warrants may involve more risk than investments in common stock. Warrants may trade in the same markets as their underlying stock; however, the price of the warrant does not necessarily move with the price of the underlying stock.

Securities Lending: Certain Trusts may lend their securities to approved borrowers, such as brokers, dealers and other financial institutions. The borrower pledges and maintains with the Trusts collateral consisting of cash, an irrevocable letter of credit issued by a bank, or securities issued or guaranteed by the U.S. Government. The initial collateral received by each Trust is required to have a value of at least 102% of the current value of the loaned securities for securities traded on U.S. exchanges and a value of at least 105% for all other securities. The collateral is maintained thereafter at a value equal to at least 100% of the current market value of the securities on loan. The market value of the loaned securities is determined at the close of each business day of the Trust and any additional required collateral is delivered to the Trust, or excess collateral returned by the Trust, on the next business day. During the term of the loan, the Trusts are entitled to all distributions made on or in respect of the loaned securities, but do not receive interest income on securities received as collateral. Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions.

As of period end, any securities on loan were collateralized by cash and/or U.S. Government obligations. Cash collateral invested by the securities lending agent, BlackRock Investment Management, LLC (“BIM”), if any, is disclosed in the Schedules of Investments. Any non-cash collateral received cannot be sold, re-invested or pledged by the Trust, except in the event of borrower default. The securities on loan, if any, are disclosed in the Trusts’ Schedules of Investments. The market value of any securities on loan and the value of any related collateral are shown separately in the Statements of Assets and Liabilities as a component of investments at value – unaffiliated, and collateral on securities loaned, respectively.

Securities lending transactions are entered into by the Trusts under Master Securities Lending Agreements (each, an “MSLA”), which provide the right, in the event of default (including bankruptcy or insolvency), for the non-defaulting party to liquidate the collateral and calculate a net exposure to the defaulting party or request additional collateral. In the event that a borrower defaults, the Trusts, as lender, would offset the market value of the collateral received against the market value of the securities loaned. When the value of the collateral is greater than that of the market value of the securities loaned, the lender is left with a net amount payable to the defaulting party. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of an MSLA counterparty’s bankruptcy or insolvency. Under the MSLA, absent an event of default, the borrower can resell or re-pledge the loaned securities, and the Trusts can reinvest cash collateral received in connection with loaned securities. Upon an event of default, the parties’ obligations to return the securities or collateral to the other party are extinguished, and the parties can resell or re-pledge the loaned securities or the collateral received in connection with the loaned securities in order to satisfy the defaulting party’s net payment obligation for all transactions under the MSLA. The defaulting party remains liable for any deficiency.

 

 

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Notes to Financial Statements (unaudited) (continued)

 

As of period end, the following table is a summary of the Trusts’ securities on loan by counterparty which are subject to offset under an MSLA:

 

         

Trust Name/Counterparty

   
Securities
Loaned at Value
 
 
    
Cash Collateral
Received
 
(a)  
   
Non-Cash Collateral
Received, at Fair Value
 
(a) 
   
Net
Amount

(b) 

BME

        

Barclays Capital, Inc.

  $ 462,260      $ (462,260   $     $  

Citigroup Global Markets, Inc.

    42,146        (41,747           399  

Morgan Stanley

    24,602        (24,600           2  

State Street Bank & Trust Co.

    35,839        (35,839            

Toronto-Dominion Bank

    1,720        (1,300           420  
 

 

 

    

 

 

   

 

 

   

 

 

 
  $ 566,567      $ (565,746   $     $ 821  
 

 

 

    

 

 

   

 

 

   

 

 

 

BMEZ

        

Barclays Capital, Inc.

  $ 2,061,484      $ (2,061,484   $     $  

BNP Paribas SA

    391,635        (391,635            

BofA Securities, Inc.

    231,439        (231,439            

Citigroup Global Markets, Inc.

    435,731        (435,731            

Credit Suisse Securities (USA) LLC

    51,300        (51,300            

Goldman Sachs & Co. LLC

    380,864        (379,964           900  

Morgan Stanley

    452,866        (452,631           235  

National Financial Services LLC

    2,488,520        (2,434,845           53,675  

State Street Bank & Trust Co.

    204,981        (203,070           1,911  

Toronto-Dominion Bank

    8,172        (8,096           76  
 

 

 

    

 

 

   

 

 

   

 

 

 
  $     6,706,992      $     (6,650,195   $             —     $  56,797  
 

 

 

    

 

 

   

 

 

   

 

 

 

BSTZ

        

Barclays Capital, Inc.

  $ 2,388,957      $ (2,388,957   $     $  

BNP Paribas SA

    15,800        (15,800            

Goldman Sachs & Co. LLC

    2,190,513        (2,190,513            

Toronto-Dominion Bank

    37,920        (37,920            
 

 

 

    

 

 

   

 

 

   

 

 

 
  $ 4,633,190      $ (4,633,190   $     $  
 

 

 

    

 

 

   

 

 

   

 

 

 

BUI

        

Goldman Sachs & Co. LLC

  $ 505,064      $ (505,064   $     $  
 

 

 

    

 

 

   

 

 

   

 

 

 

 

  (a) 

Collateral received, if any, in excess of the market value of securities on loan is not presented in this table. The total cash collateral received by each Trust is disclosed in the Trust’s Statements of Assets and Liabilities.

 

 

  (b) 

The market value of the loaned securities is determined as of June 30, 2022. Additional collateral is delivered to each Trust on the next business day in accordance with the MSLA. The net amount would be subject to the borrower default indemnity in the event of default by the counterparty.

 

The risks of securities lending include the risk that the borrower may not provide additional collateral when required or may not return the securities when due. To mitigate these risks, the Trusts benefit from a borrower default indemnity provided by BIM. BIM’s indemnity allows for full replacement of the securities loaned to the extent the collateral received does not cover the value on the securities loaned in the event of borrower default. Each Trust could incur a loss if the value of an investment purchased with cash collateral falls below the market value of loaned securities or if the value of an investment purchased with cash collateral falls below the value of the original cash collateral received. Such losses are borne entirely by the Trusts.

 

5.

DERIVATIVE FINANCIAL INSTRUMENTS

The Trusts engage in various portfolio investment strategies using derivative contracts both to increase the returns of the Trusts and/or to manage their exposure to certain risks such as credit risk, equity risk, interest rate risk, foreign currency exchange rate risk, commodity price risk or other risks (e.g., inflation risk). Derivative financial instruments categorized by risk exposure are included in the Schedules of Investments. These contracts may be transacted on an exchange or OTC.

Options: The Trusts may purchase and write call and put options to increase or decrease their exposure to the risks of underlying instruments, including equity risk, interest rate risk and/or commodity price risk and/or, in the case of options written, to generate gains from options premiums.

A call option gives the purchaser (holder) of the option the right (but not the obligation) to buy, and obligates the seller (writer) to sell (when the option is exercised) the underlying instrument at the exercise or strike price at any time or at a specified time during the option period. A put option gives the holder the right to sell and obligates the writer to buy the underlying instrument at the exercise or strike price at any time or at a specified time during the option period.

Premiums paid on options purchased and premiums received on options written, as well as the daily fluctuation in market value, are included in investments at value –unaffiliated and options written at value, respectively, in the Statements of Assets and Liabilities. When an instrument is purchased or sold through the exercise of an option, the premium is offset against the cost or proceeds of the underlying instrument. When an option expires, a realized gain or loss is recorded in the Statements of Operations to the extent of the premiums received or paid. When an option is closed or sold, a gain or loss is recorded in the Statements of Operations to the extent the cost of the closing transaction exceeds the premiums received or paid. When the Trusts write a call option, such option is typically “covered,” meaning that they hold the underlying instrument subject to being called by the option counterparty. When the Trusts write a put option, cash is segregated in an amount sufficient to cover the obligation. These amounts, which are considered restricted, are included in cash pledged as collateral for options written in the Statements of Assets and Liabilities.

 

 

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Notes to Financial Statements (unaudited) (continued)

 

In purchasing and writing options, the Trusts bear the risk of an unfavorable change in the value of the underlying instrument or the risk that they may not be able to enter into a closing transaction due to an illiquid market. Exercise of a written option could result in the Trusts purchasing or selling a security when they otherwise would not, or at a price different from the current market value.

Master Netting Arrangements: In order to define its contractual rights and to secure rights that will help it mitigate its counterparty risk, a Trust may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its counterparties. An ISDA Master Agreement is a bilateral agreement between a Trust and a counterparty that governs certain OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, a Trust may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events.

Collateral Requirements: For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Trust and the counterparty.

Cash collateral that has been pledged to cover obligations of the Trusts and cash collateral received from the counterparty, if any, is reported separately in the Statements of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively. Non-cash collateral pledged by the Trusts, if any, is noted in the Schedules of Investments. Generally, the amount of collateral due from or to a counterparty is subject to a certain minimum transfer amount threshold before a transfer is required, which is determined at the close of business of the Trusts. Any additional required collateral is delivered to/pledged by the Trusts on the next business day. Typically, the counterparty is not permitted to sell, re-pledge or use cash and non-cash collateral it receives. A Trust generally agrees not to use non-cash collateral that it receives but may, absent default or certain other circumstances defined in the underlying ISDA Master Agreement, be permitted to use cash collateral received. In such cases, interest may be paid pursuant to the collateral arrangement with the counterparty. To the extent amounts due to the Trusts from the counterparties are not fully collateralized, each Trust bears the risk of loss from counterparty non-performance. Likewise, to the extent the Trusts have delivered collateral to a counterparty and stand ready to perform under the terms of their agreement with such counterparty, each Trust bears the risk of loss from a counterparty in the amount of the value of the collateral in the event the counterparty fails to return such collateral. Based on the terms of agreements, collateral may not be required for all derivative contracts.

For financial reporting purposes, the Trusts do not offset derivative assets and derivative liabilities that are subject to netting arrangements, if any, in the Statements of Assets and Liabilities.

 

6.

INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES

Investment Advisory: Each Trust entered into an Investment Advisory Agreement with the Manager, the Trusts’ 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 each Trust’s portfolio and provides the personnel, facilities, equipment and certain other services necessary to the operations of each Trust.

For such services, each Trust, except BCX pays the Manager a monthly fee at the following annual rates:

Average weekly value of each Trust’s net assets:

 

     BGR      BDJ      BOE      BME  

Investment advisory fees

    1.20      0.80      1.00      1.00

Average daily value of each Trust’s net assets:

 

     CII      BGY      BUI  

Investment advisory fees

    0.85      1.00      1.00

Average daily value of each Trust’s managed assets:

 

     BMEZ      BIGZ      BST      BSTZ  

Investment advisory fees

    1.25      1.25      1.00      1.25

For such services, BCX pays the Manager a monthly fee of 1.00% of the sum of the average daily value of the net assets of the Trust (excluding the value of the Trust’s interest in the BCX Subsidiary, LLC (the “BCX Taxable Subsidiary”), which is a wholly-owned taxable subsidiary of BCX) and the average daily value of the net assets of its subsidiary, which fee is allocated pro rata between the Trust and the BCX Taxable Subsidiary based on the average daily value of their respective net assets (excluding, in the case of the Trust, the value of the Trust’s interest in the BCX Taxable Subsidiary). The BCX Taxable Subsidiary had no net assets or activity during the period ended June 30, 2022.

For purposes of calculating these fees, “net assets” mean the total assets of CII and BCX minus the sum of its accrued liabilities.

For purposes of calculating these fees, “managed assets” are determined as total assets of BMEZ, BIGZ, BST and BSTZ (including any assets attributable to money borrowed for investment purposes) less the sum of its accrued liabilities (other than money borrowed for investment purposes).

For purposes of calculating these fees, “net assets” mean the total assets of BGR, BDJ, BOE, BGY, BME and BUI minus the sum of its accrued liabilities (which includes liabilities represented by TOB Trusts and the liquidation preference of any outstanding preferred shares).

 

 

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Notes to Financial Statements (unaudited) (continued)

 

With respect to BGR, BOE, BGY, BCX and BUI, the Manager entered into separate sub-advisory agreements with BlackRock International Limited (“BIL”), an affiliate of the Manager. The Manager pays BIL for services it provides for that portion of each Trust for which BIL acts as sub-adviser, a monthly fee that is equal to a percentage of the investment advisory fees paid by each Trust to the Manager.

The Manager provides investment management and other services to BST Taxable Subsidiary and BSTZ Taxable Subsidiary. The Manager does not receive separate compensation from the BST Taxable Subsidiary or BSTZ Taxable Subsidiary for providing investment management or administrative services. However, BST and BSTZ pay the Manager based on the Trust’s net assets, which includes the assets of the BST Taxable Subsidiary and BSTZ Taxable Subsidiary.

Distribution Fees: BME, BST and BUI have entered into Distribution Agreements with BlackRock Investments, LLC (“BRIL”), an affiliate of the Manager, to provide for distribution of BME’s, BST’s and BUI’s common shares on a reasonable best efforts basis through an equity shelf offering (a “Shelf Offering”) (the “Distribution Agreement”). Pursuant to the Distribution Agreement, BRIL will receive commissions with respect to sales of common shares at a commission rate of 1.00% of the gross proceeds of the sale of BME’s, BST’s and BUI’s common shares and a portion of such commission is re-allowed to broker-dealers engaged by BRIL. The commissions retained by BRIL during the six months ended June 30, 2022 amounted to $37,695, $0, and $21,497 for each of BME, BST and BUI, respectively.

Expense Limitations, Waivers and Reimbursements: The Manager voluntarily agreed to waive a portion of the investment advisory fees on the following Trusts as a percentage of their average weekly net assets (BGR and BOE) or average daily net assets (BGY), as follows:

 

     BGR      BOE      BGY  
      0.220      0.175      0.100

These voluntary waivers may be reduced or discontinued at any time without notice. Effective June 1, 2022, the voluntary waiver agreement between the Manager and BGY was terminated.

For the six months ended June 30, 2022, the investment advisory fees waived, which are included in fees waived and/or reimbursed by the Manager in the Statements of Operations, were as follows:

 

Trust Name   Fees Waived and/or Reimbursed
by the Manager
 

BGR

  $ 407,271  

BOE

    685,576  

BGY

    274,077  

With respect to each Trust, the Manager contractually agreed to waive its investment advisory fees by the amount of investment advisory fees each Trust pays to the Manager indirectly through its investment in affiliated money market funds (the “affiliated money market fund waiver”) through June 30, 2023. The contractual agreement may be terminated upon 90 days’ notice by a majority of the Independent trustees, or by a vote of a majority of the outstanding voting securities of a Trust. These amounts are included in fees waived and/or reimbursed by the Manager in the Statements of Operations. For the six months ended June 30, 2022, the amounts waived were as follows:

 

Trust Name   Fees Waived and/or Reimbursed
by the Manager
 

BGR

  $ 1,046  

CII

    2,837  

BDJ

    14,166  

BOE

    1,426  

BGY

    1,676  

BME

    7,222  

BMEZ

    20,437  

BIGZ

    2,696  

BCX

    4,966  

BST

    8,317  

BSTZ

    12,846  

BUI

    2,328  

The Manager contractually agreed to waive its investment advisory fee with respect to any portion of each Trust’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 agreement can be renewed for annual periods thereafter, and may be terminated on 90 days’ notice, each subject to approval by a majority of the Trusts’ Independent Trustees. For the six months ended June 30, 2022, there were no fees waived by the Manager pursuant to this arrangement.

Securities Lending: The U.S. Securities and Exchange Commission (“SEC”) has issued an exemptive order which permits BIM, an affiliate of the Manager, to serve as securities lending agent for the Trusts, subject to applicable conditions. As securities lending agent, BIM bears all operational costs directly related to securities lending. The Trusts are responsible for expenses in connection with the investment of cash collateral received for securities on loan (the “collateral investment expenses”). The cash collateral is invested in a private investment company, Money Market Series, managed by the Manager or its affiliates. However, BIM has agreed to cap the collateral investment expenses of the Money Market Series to an annual rate of 0.04%. The investment adviser to the Money Market Series will not charge any advisory fees with respect to shares purchased by the Trusts. The Money Market Series may, under certain circumstances, impose a liquidity fee of up to 2% of the value withdrawn or temporarily restrict withdrawals for up to 10 business days during a 90 day period, in the event that the private investment company’s weekly liquid assets fall below certain thresholds. The Money Market Series seeks current income consistent with maintaining liquidity and preserving capital. Although the Money Market Series is not registered under the 1940 Act, its investments may follow the parameters of investments by a money market fund that is subject to Rule 2a-7 under the 1940 Act.

 

 

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Notes to Financial Statements (unaudited) (continued)

 

Securities lending income is equal to the total of income earned from the reinvestment of cash collateral, net of fees and other payments to and from borrowers of securities, and less the collateral investment expenses. Each Trust retains a portion of securities lending income and remits a remaining portion to BIM as compensation for its services as securities lending agent.

Pursuant to the current securities lending agreement, BIM may lend securities only when the difference between the borrower rebate rate and the risk free rate exceeds a certain level (such securities, the “specials only securities”). Each Trust retains 82% of securities lending income (which excludes collateral investment expenses).

In addition, commencing the business day following the date that the aggregate securities lending income earned across the BlackRock Fixed-Income Complex in a calendar year exceeds a specified threshold, each Trust, pursuant to the securities lending agreement, will retain for the remainder of that calendar year securities lending income (which excludes collateral investment expenses) in an amount equal to 85% of securities lending income.

The share of securities lending income earned by each Trust is shown as securities lending income — affiliated — net in the Statements of Operations. For the six months ended June 30, 2022, each Trust paid BIM the following amounts for securities lending agent services:

 

Trust Name   Amounts  

BDJ

  $ 2  

BME

    1,251  

BMEZ

    20,228  

BIGZ

    948  

BST

    3,821  

BSTZ

    32,033  

BUI

    242  

Trustees and Officers: Certain trustees and/or officers of the Trusts are directors and/or officers of BlackRock or its affiliates. The Trusts reimburse the Manager for a portion of the compensation paid to the Trusts’ Chief Compliance Officer, which is included in Trustees and Officer in the Statements of Operations.

Other Transactions: During the period ended June 30, 2022, BDJ received a reimbursement of $1,577 from an affiliate, which is included in payment by affiliate in the Statements of Operations, related to an operating event.

The Trusts may purchase securities from, or sell securities to, an affiliated fund provided the affiliation is due solely to having a common investment adviser, common officers, or common trustees. For the six months ended June 30, 2022, the purchase and sale transactions and any net realized gains (losses) with affiliated funds in compliance with Rule 17a-7 under the 1940 Act were as follows:

 

 

 
Trust Name   Purchases      Sales      Net Realized
Gain (Loss)
 

 

 

BOE

  $      $  5,730,635      $ (144,921

BGY

           8,487,966        (212,936

 

7.

PURCHASES AND SALES

For the six months ended June 30, 2022, purchases and sales of investments, excluding short-term investments, were as follows:

 

Trust Name   Purchases      Sales  

BGR

  $  140,712,200      $  173,661,921  

CII

    130,665,522        137,934,953  

BDJ

    474,178,478        541,438,438  

BOE

    174,393,657        174,441,351  

BGY

    138,905,275        155,899,089  

BME

    150,726,856        156,316,971  

BMEZ

    849,432,780        955,843,056  

BIGZ

    776,070,184        925,654,708  

BCX

    431,494,155        492,778,299  

BST

    247,478,248        271,004,000  

BSTZ

    480,232,400        550,566,063  

BUI

    91,135,913        93,849,056  

 

8.

INCOME TAX INFORMATION

It is each Trust’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.

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

 

 

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Notes to Financial Statements (unaudited) (continued)

 

Management has analyzed tax laws and regulations and their application to the Trusts as of June 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 Trusts’ financial statements.

As of December 31, 2021, the Trusts had non-expiring capital loss carryforwards available to offset future realized capital gains as follows:

 

Trust Name   Non-Expiring  

BGR

  $  269,130,117  

BIGZ

    168,343,640  

BCX

    412,547,801  

As of June 30, 2022, gross unrealized appreciation and depreciation based on cost of investments (including short positions and derivatives, if any) for U.S. federal income tax purposes were as follows:

 

Trust Name   Tax Cost      Gross Unrealized
Appreciation
     Gross Unrealized
Depreciation
    Net Unrealized
Appreciation
(Depreciation)
 

BGR

  $ 269,530,343      $ 117,528,480      $ (29,635,454   $ 87,893,026  

CII

    630,746,155        240,871,534        (50,697,986     190,173,548  

BDJ

    1,553,586,665        256,776,866        (101,188,064     155,588,802  

BOE

    702,842,038        94,072,268        (78,021,775     16,050,493  

BGY

    569,312,134        85,832,056        (65,073,312     20,758,744  

BME

    423,597,964        171,376,299        (23,466,166     147,910,133  

BMEZ

    2,330,629,822        240,044,780        (423,209,081     (183,164,301

BIGZ

    3,177,679,100        20,475,073        (943,004,291     (922,529,218

BCX

    795,548,527        189,661,002        (94,889,021     94,771,981  

BST

    803,265,374        410,166,067        (124,326,834     285,839,233  

BSTZ

    1,477,880,873        569,221,582        (196,739,188     372,482,394  

BUI

    374,408,600        125,956,924        (18,262,592     107,694,332  

 

9.

PRINCIPAL RISKS

In the normal course of business, the Trusts invest in securities or other instruments and may enter into certain transactions, and such activities subject each Trust to various risks, including among others, fluctuations in the market (market risk) or failure of an issuer to meet all of its obligations. The value of securities or other instruments may also be affected by various factors, including, without limitation: (i) the general economy; (ii) the overall market as well as local, regional or global political and/or social instability; (iii) regulation, taxation or international tax treaties between various countries; or (iv) currency, interest rate and price fluctuations. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues, recessions, or other events could have a significant impact on the Trusts and their investments. BME’s, BST’s and BUI’s prospectuses provide details of the risks to which each Trust is subject.

The Trusts may be exposed to additional risks when reinvesting cash collateral in money market funds that do not seek to maintain a stable NAV per share of $1.00, which may be subject to redemption gates or liquidity fees under certain circumstances.

Each Trust may invest without limitation in illiquid or less liquid investments or investments in which no secondary market is readily available or which are otherwise illiquid, including private placement securities. A Trust may not be able to readily dispose of such investments at prices that approximate those at which a Trust could sell such investments if they were more widely traded and, as a result of such illiquidity, a Trust may have to sell other investments or engage in borrowing transactions if necessary to raise funds to meet its obligations. Limited liquidity can also affect the market price of investments, thereby adversely affecting a Trust’s NAV and ability to make dividend distributions. Privately issued debt securities are often of below investment grade quality, frequently are unrated and present many of the same risks as investing in below investment grade public debt securities.

Market Risk: An outbreak of respiratory disease caused by a novel coronavirus has developed into a global pandemic and has resulted in closing borders, quarantines, disruptions to supply chains and customer activity, as well as general concern and uncertainty. The impact of this pandemic, and other global health crises that may arise in the future, could affect the economies of many nations, individual companies and the market in general in ways that cannot necessarily be foreseen at the present time. This pandemic may result in substantial market volatility and may adversely impact the prices and liquidity of a fund’s investments. Although vaccines have been developed and approved for use by various governments, the duration of this pandemic and its effects cannot be determined with certainty.

Valuation Risk: The market values of equities, such as common stocks and preferred securities or equity related investments, such as futures and options, may decline due to general market conditions which are not specifically related to a particular company. They may also decline due to factors which affect a particular industry or industries. A Trust may invest in illiquid investments. An illiquid investment is any investment that a Trust reasonably expects cannot be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. A Trust may experience difficulty in selling illiquid investments in a timely manner at the price that it believes the investments are worth. Prices may fluctuate widely over short or extended periods in response to company, market or economic news. Markets also tend to move in cycles, with periods of rising and falling prices. This volatility may cause each Trust’s NAV to experience significant increases or decreases over short periods of time. If there is a general decline in the securities and other markets, the NAV of a Trust may lose value, regardless of the individual results of the securities and other instruments in which a Trust invests.

The price a Trust could receive upon the sale of any particular portfolio investment may differ from a Trust’s valuation of the investment, particularly for securities that trade in thin or volatile markets or that are valued using a fair valuation technique or a price provided by an independent pricing service. Changes to significant unobservable inputs and

 

 

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Notes to Financial Statements (unaudited) (continued)

 

assumptions (i.e., publicly traded company multiples, growth rate, time to exit) due to the lack of observable inputs may significantly impact the resulting fair value and therefore a Trust’s results of operations. As a result, the price received upon the sale of an investment may be less than the value ascribed by a Trust, and a Trust could realize a greater than expected loss or lesser than expected gain upon the sale of the investment. A Trust’s ability to value its investments may also be impacted by technological issues and/or errors by pricing services or other third-party service providers.

Counterparty Credit Risk: The Trusts may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions, including making timely interest and/or principal payments or otherwise honoring its obligations. The Trusts manage counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Trusts to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Trusts’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statements of Assets and Liabilities, less any collateral held by the Trusts.

A derivative contract may suffer a mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.

For OTC options purchased, each Trust bears the risk of loss in the amount of the premiums paid plus the positive change in market values net of any collateral held by the Trusts should the counterparty fail to perform under the contracts. Options written by the Trusts do not typically give rise to counterparty credit risk, as options written generally obligate the Trusts, and not the counterparty, to perform. The Trusts may be exposed to counterparty credit risk with respect to options written to the extent each Trust deposits collateral with its counterparty to a written option.

With exchange-traded options purchased, there is less counterparty credit risk to the Trusts since the exchange-traded or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, a Trust does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency).

Concentration Risk: A diversified portfolio, where this is appropriate and consistent with a fund’s objectives, minimizes the risk that a price change of a particular investment will have a material impact on the NAV of a fund. The investment concentrations within each Trust’s portfolio are disclosed in its Schedule of Investments.

As of period end, the Trusts listed below invested a significant portion of their assets in securities in the following sectors:

 

Sectors   Trust Name  

Energy

    BGR, BCX  

Financials

    BDJ  

Health Care

    BME, BMEZ  

Information Technology

    BST, BSTZ  

Materials

    BCX  

Utilities

    BUI  

Changes in economic conditions affecting such sectors would have a greater impact on the Trusts and could affect the value, income and/or liquidity of positions in such securities.

Certain Trusts invest a significant portion of their assets in securities within a single or limited number of market sectors. When a Trust concentrates its investments in this manner, it assumes the risk that economic, regulatory, political and social conditions affecting such sectors may have a significant impact on the Trust and could affect the income from, or the value or liquidity of, the Trust’s portfolio. Investment percentages in specific sectors are presented in the Schedules of Investments.

Certain Trusts invest a substantial amount of their assets in issuers located in a single country or a limited number of countries. When a Trust concentrates its investments in this manner, it assumes the risk that economic, regulatory, political and social conditions in those countries may have a significant impact on their investment performance and could affect the income from, or the value or liquidity of, the Trust’s portfolio. Unanticipated or sudden political or social developments may cause uncertainty in the markets and as a result adversely affect the Trust’s investments. Foreign issuers may not be subject to the same uniform accounting, auditing and financial reporting standards and practices as used in the United States. Foreign securities markets may also be more volatile and less liquid than U.S. securities and may be less subject to governmental supervision not typically associated with investing in U.S. securities. Investment percentages in specific countries are presented in the Schedules of Investments.

Certain Trusts invest a significant portion of their assets in securities of issuers located in Europe or with significant exposure to European issuers or countries. The European financial markets have recently experienced volatility and adverse trends due to concerns about economic downturns in, or rising government debt levels of, several European countries as well as acts of war in the region. These events may spread to other countries in Europe and may affect the value and liquidity of certain of the Trusts’ investments.

Responses to the financial problems by European governments, central banks and others, including austerity measures and reforms, may not work, may result in social unrest and may limit future growth and economic recovery or have other unintended consequences. Further defaults or restructurings by governments and others of their debt could have additional adverse effects on economies, financial markets and asset valuations around the world. The United Kingdom has withdrawn from the European Union, and one or more other countries may withdraw from the European Union and/or abandon the Euro, the common currency of the European Union. The impact of these actions, especially if they occur in a disorderly fashion, is not clear but could be significant and far reaching. In addition, Russia launched a large-scale invasion of Ukraine on February 24, 2022. The extent and duration of the military action, resulting sanctions and resulting future market disruptions in the region are impossible to predict, but could be significant and have a severe adverse effect on the region, including significant negative impacts on the economy and the markets for certain securities and commodities, such as oil and natural gas, as well as other sectors.

 

 

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Notes to Financial Statements (unaudited) (continued)

 

LIBOR Transition Risk: The United Kingdom’s Financial Conduct Authority announced a phase out of the London Interbank Offered Rate (“LIBOR”). Although many LIBOR rates ceased to be published or no longer are representative of the underlying market they seek to measure after December 31, 2021, a selection of widely used USD LIBOR rates will continue to be published through June 2023 in order to assist with the transition. The Trusts may be exposed to financial instruments tied to LIBOR to determine payment obligations, financing terms, hedging strategies or investment value. The transition process away from LIBOR might lead to increased volatility and illiquidity in markets for, and reduce the effectiveness of new hedges placed against instruments whose terms currently include LIBOR. The ultimate effect of the LIBOR transition process on the Trusts is uncertain.

 

10.

CAPITAL SHARE TRANSACTIONS

Each Trust is authorized to issue an unlimited number of shares, with the exception of CII, all of which were initially classified as Common Shares. CII is authorized to issue 200 million Common Shares. The par value for each Trust’s Common Shares is $0.001, except for CII, which is $0.10. The Board is authorized, however, to reclassify any unissued Common Shares to Preferred Shares without the approval of Common Shareholders.

BME, BST and BUI have each filed a prospectus with the SEC allowing it to issue an additional 4,000,000, 18,000,000 and 8,000,000 Common Shares, respectively, through an equity Shelf Offering. Under the Shelf Offerings, BME, BST and BUI, subject to market conditions, may raise additional equity capital from time to time in varying amounts and utilizing various offering methods at a net price at or above each Trust’s NAV per Common Share (calculated within 48 hours of pricing). As of period end, 4,000,000, 18,000,000 and 7,991,336 Common Shares, respectively, remain available for issuance under the Shelf Offerings. During the period ended, June 30, 2022, BME, BST and BUI issued 426,681, 0 and 425,622 shares, respectively, under the Trust’s respective current Shelf Offering and the Trust’s prior Shelf Offering. See Additional Information — Shelf Offering Program for additional information.

Initial costs incurred by each of BME, BST and BUI in connection with its Shelf Offering are recorded as “Deferred offering costs” in the Statements of Assets and Liabilities. As shares are sold, a portion of the costs attributable to the shares sold will be charged against paid-in-capital. Any remaining deferred charges at the end of the shelf offering period will be charged to expense.

For the periods shown, shares issued and outstanding increased by the following amounts as a result of shares issued through the Shelf Offering:

 

Trust Name   Six Months Ended
06/30/22
     Year Ended
12/31/21
 

BME

    426,681        1,053,578  

BST

           242,731  

BUI

    425,622        2,910,832  

For the periods shown, shares issued and outstanding increased by the following amounts as a result of dividend reinvestment:

 

Trust Name   Six Months Ended
06/30/22
     Year Ended
12/31/21
 

CII

           10,701  

BME

    19,097        37,877  

BIGZ

           231,136  

BST

    15,418        40,859  

BSTZ

           448,074  

BUI

    24,183        63,066  

The Trusts participate in an open market share repurchase program (the “Repurchase Program”). From December 1, 2021 through November 30, 2022, each Trust may repurchase up to 5% of its outstanding common shares under the Repurchase Program, based on common shares outstanding as of the close of business on November 30, 2021, for each Trust (other than BIGZ, BSTZ and BMEZ) or November 18, 2021 (for BIGZ, BSTZ and BMEZ) subject to certain conditions. There is no assurance that the Trusts will purchase shares in any particular amounts. For the six months ended June 30, 2022, CII, BDJ, BME, BCX, BST, BSTZ and BUI did not repurchase any shares.

The total cost of the shares repurchased is reflected in the Trusts’ Statements of Changes in Net Assets. For the periods shown, shares repurchased and cost, including transaction costs, were as follows:

 

 

 
    BGR  
    Shares      Amounts  

 

 

Six Months Ended June 30, 2022

    611,105      $  7,221,391  

 

 

 

 

 
    BOE  
    Shares      Amounts  

 

 

Six Months Ended June 30, 2022

    488,481      $  5,080,918  

Year Ended December 31, 2021

    18,558        205,246  

 

 

 

 

 
    BGY  
    Shares      Amounts  

 

 

Six Months Ended June 30, 2022

    390,308      $  2,117,512  

 

 

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Notes to Financial Statements (unaudited) (continued)

 

 

 
    BMEZ  
    Shares      Amounts  

 

 
    

Six Months Ended June 30, 2022

    585,935      $ 9,529,955  

 

 

 
    BIGZ  
    Shares      Amounts  

 

 

Six Months Ended June 30, 2022

    2,389,535      $ 20,804,846  

Year Ended December 31, 2021

    5,142,849        74,068,155  

 

 

For the period ended June 30, 2022, shares issued and outstanding remained constant for CII, BDJ, BCX and BSTZ. For the year ended December 31, 2021, shares issued and outstanding remained constant for BGR, BDJ, BGY, BMEZ and BCX.

With respect to BST, for the year ended December 31, 2021, shares issued and outstanding increased by 40,859 as a result of dividend reinvestment, 242,731 from the shelf offering and 6,822,923 from the rights issue.

As of June 30, 2022, BlackRock Financial Management, Inc., an affiliate of the Trust, owned 5,000 Shares of BIGZ.

 

11.

SUBSEQUENT EVENTS

Management’s evaluation of the impact of all subsequent events on the Trusts’ financial statements was completed through the date the financial statements were issued and the following items were noted:

The Trusts declared and paid or will pay distributions to Common Shareholders as follows:

 

Trust Name   Declaration
Date
     Record
Date
     Payable/
Paid Date
     Dividend Per
Common Share
 

BGR

    07/01/22        07/15/22        07/29/22      $ 0.049000  
    08/01/22        08/15/22        08/31/22        0.049000  

CII

    07/01/22        07/15/22        07/29/22        0.099500  
    08/01/22        08/15/22        08/31/22        0.099500  

BDJ

    07/01/22        07/15/22        07/29/22        0.056200  
    08/01/22        08/15/22        08/31/22        0.056200  

BOE

    07/01/22        07/15/22        07/29/22        0.063000  
    08/01/22        08/15/22        08/31/22        0.063000  

BGY

    07/01/22        07/15/22        07/29/22        0.033800  
    08/01/22        08/15/22        08/31/22        0.033800  

BME

    07/01/22        07/15/22        07/29/22        0.213000  
    08/01/22        08/15/22        08/31/22        0.213000  

BMEZ

    07/01/22        07/15/22        07/29/22        0.145000  
    08/01/22        08/15/22        08/31/22        0.145000  

BIGZ

    07/01/22        07/15/22        07/29/22        0.070000  
    08/01/22        08/15/22        08/31/22        0.070000  

BCX

    07/01/22        07/15/22        07/29/22        0.045000  
    08/01/22        08/15/22        08/31/22        0.045000  

BST

    07/01/22        07/15/22        07/29/22        0.250000  
    08/01/22        08/15/22        08/31/22        0.250000  

BSTZ

    07/01/22        07/15/22        07/29/22        0.192000  
    08/01/22        08/15/22        08/31/22        0.192000  

BUI

    07/01/22        07/15/22        07/29/22        0.121000  
      08/01/22        08/15/22        08/31/22        0.121000  

 

 

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Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements

 

The Boards of Directors/Trustees, as applicable (collectively, the “Board,” the members of which are referred to as “Board Members”) of BlackRock Energy and Resources Trust (“BGR”), BlackRock Enhanced Capital and Income Fund, Inc. (“CII”), BlackRock Enhanced Equity Dividend Trust (“BDJ”), BlackRock Enhanced Global Dividend Trust (“BOE”), BlackRock Enhanced International Dividend Trust (“BGY”), BlackRock Health Sciences Trust (“BME”), BlackRock Health Sciences Trust II (“BMEZ”), BlackRock Innovation & Growth Trust (“BIGZ”), BlackRock Resources & Commodities Strategy Trust (“BCX”), BlackRock Science and Technology Trust (“BST”), BlackRock Science and Technology Trust II (“BSTZ”) and BlackRock Utilities, Infrastructure & Power Opportunities Trust (“BUI” and collectively with BGR, CII, BDJ, BOE, BGY, BME, BMEZ, BCX, BST and BSTZ, the “Funds” and each, a “Fund”) met on April 14, 2022 (the “April Meeting”) and May 19-20, 2022 (the “May Meeting”) to consider the approval to continue the investment advisory agreements (the “Advisory Agreements”) between each Fund and BlackRock Advisors, LLC (the “Manager”), each Fund’s investment advisor. The Board also considered the approval to continue the sub-advisory agreements (the “Sub-Advisory Agreements”) between the Manager, BlackRock International Limited (the “Sub-Advisor”) and each of BGR, BOE, BGY, BCX and BUI. The Manager and the Sub-Advisor are referred to herein as “BlackRock.” The Advisory Agreements and the Sub-Advisory Agreements are referred to herein as the “Agreements.”

The Approval Process

Consistent with the requirements of the Investment Company Act of 1940 (the “1940 Act”), the Board considers the approval of the continuation of the Agreements for each Fund on an annual basis. The Board members who are not “interested persons” of each Fund, as defined in the 1940 Act, are considered independent Board members (the “Independent Board Members”). The Board’s consideration entailed a year-long deliberative process during which the Board and its committees assessed BlackRock’s various services to each Fund, including through the review of written materials and oral presentations, and the review of additional information provided in response to requests from the Independent Board Members. The Board had four quarterly meetings per year, each typically extending for two days, as well as additional ad hoc meetings and executive sessions throughout the year, as needed. The committees of the Board similarly met throughout the year. The Board also had an additional one-day meeting to consider specific information surrounding the renewal of the Agreements. In particular, the Board assessed, among other things, the nature, extent and quality of the services provided to each Fund by BlackRock, BlackRock’s personnel and affiliates, including (as applicable): investment management services; accounting oversight; administrative and shareholder services; oversight of each Fund’s service providers; risk management and oversight; and legal, regulatory and compliance services. Throughout the year, including during the contract renewal process, the Independent Board Members were advised by independent legal counsel, and met with independent legal counsel in various executive sessions outside of the presence of BlackRock’s management.

During the year, the Board, acting directly and through its committees, considered information that was relevant to its annual consideration of the renewal of the Agreements, including the services and support provided by BlackRock to each Fund and its shareholders. BlackRock also furnished additional information to the Board in response to specific questions from the Board. Among the matters the Board considered were: (a) investment performance for one-year, three-year, five-year, and/or since inception periods, as applicable, against peer funds, relevant benchmarks, and other performance metrics, as applicable, as well as BlackRock senior management’s and portfolio managers’ analyses of the reasons for any outperformance or underperformance relative to its peers, benchmarks, and other performance metrics, as applicable; (b) leverage management, as applicable; (c) fees, including advisory, administration, if applicable, and other amounts paid to BlackRock and its affiliates by each Fund for services; (d) Fund operating expenses and how BlackRock allocates expenses to each Fund; (e) the resources devoted to risk oversight of, and compliance reports relating to, implementation of each Fund’s investment objective, policies and restrictions, and meeting regulatory requirements; (f) BlackRock’s and each Fund’s adherence to applicable compliance policies and procedures; (g) the nature, character and scope of non-investment management services provided by BlackRock and its affiliates and the estimated cost of such services, as available; (h) BlackRock’s and other service providers’ internal controls and risk and compliance oversight mechanisms; (i) BlackRock’s implementation of the proxy voting policies approved by the Board; (j) execution quality of portfolio transactions; (k) BlackRock’s implementation of each Fund’s valuation and liquidity procedures; (l) an analysis of management fees paid to BlackRock for products with similar investment mandates across the open-end fund, closed-end fund, sub-advised mutual fund, collective investment trust and institutional separate account product channels, as applicable, and the similarities and differences between these products and the services provided as compared to each Fund; (m) BlackRock’s compensation methodology for its investment professionals and the incentives and accountability it creates, along with investment professionals’ investments in the fund(s) they manage; (n) periodic updates on BlackRock’s business; and (o) each Fund’s market discount/premium compared to peer funds.

Prior to and in preparation for the April Meeting, the Board received and reviewed materials specifically relating to the renewal of the Agreements. The Independent Board Members are continuously engaged in a process with their independent legal counsel and BlackRock to review the nature and scope of the information provided to the Board to better assist its deliberations. The materials provided in connection with the April Meeting included, among other things: (a) information independently compiled and prepared by Broadridge Financial Solutions, Inc. (“Broadridge”), based on Lipper classifications, regarding each Fund’s fees and expenses as compared with a peer group of funds as determined by Broadridge (“Expense Peers”) and the investment performance of each Fund as compared with a peer group of funds (“Performance Peers”); (b) information on the composition of the Expense Peers and Performance Peers and a description of Broadridge’s methodology; (c) information on the estimated profits realized by BlackRock and its affiliates pursuant to the Agreements and a discussion of fall-out benefits to BlackRock and its affiliates; (d) a general analysis provided by BlackRock concerning investment management fees received in connection with other types of investment products, such as institutional accounts, sub-advised mutual funds, closed-end funds, and open-end funds, under similar investment mandates, as applicable; (e) a review of non-management fees; (f) the existence, impact and sharing of potential economies of scale, if any, with each Fund; (g) a summary of aggregate amounts paid by each Fund to BlackRock; and (h) various additional information requested by the Board as appropriate regarding BlackRock’s and each Fund’s operations.

At the April Meeting, the Board reviewed materials relating to its consideration of the Agreements and the Independent Board Members presented BlackRock with questions and requests for additional information. BlackRock responded to these questions and requests with additional written information in advance of the May Meeting.

At the May Meeting, the Board concluded its assessment of, among other things: (a) the nature, extent and quality of the services provided by BlackRock; (b) the investment performance of each Fund as compared to its Performance Peers and to other metrics, as applicable; (c) the advisory fee and the estimated cost of the services and estimated profits realized by BlackRock and its affiliates from their relationship with each Fund; (d) each Fund’s fees and expenses compared to its Expense Peers; (e) the existence and sharing of potential economies of scale; (f) any fall-out benefits to BlackRock and its affiliates as a result of BlackRock’s relationship with each Fund; and (g) other factors deemed relevant by the Board Members.

 

 

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Disclosure of Investment Advisory Agreement and Sub-Advisory Agreements (continued)

 

The Board also considered other matters it deemed important to the approval process, such as other payments made to BlackRock or its affiliates relating to securities lending and cash management, and BlackRock’s services related to the valuation and pricing of Fund portfolio holdings. The Board noted the willingness of BlackRock’s personnel to engage in open, candid discussions with the Board. The Board Members evaluated the information available to it on a fund-by-fund basis. The following paragraphs provide more information about some of the primary factors that were relevant to the Board’s decision. The Board Members did not identify any particular information, or any single factor as determinative, and each Board Member may have attributed different weights to the various items and factors considered.

A. Nature, Extent and Quality of the Services Provided by BlackRock

The Board, including the Independent Board Members, reviewed the nature, extent and quality of services provided by BlackRock, including the investment advisory services, and the resulting performance of each Fund. Throughout the year, the Board compared Fund performance to the performance of a comparable group of closed-end funds, relevant benchmarks, and performance metrics, as applicable. The Board met with BlackRock’s senior management personnel responsible for investment activities, including the senior investment officers. The Board also reviewed the materials provided by each Fund’s portfolio management team discussing each Fund’s performance, investment strategies and outlook.

The Board considered, among other factors, with respect to BlackRock: the number, education and experience of investment personnel generally and each Fund’s portfolio management team; research capabilities; investments by portfolio managers in the funds they manage; portfolio trading capabilities; use of technology; commitment to compliance; credit analysis capabilities; risk analysis and oversight capabilities; and the approach to training and retaining portfolio managers and other research, advisory and management personnel. The Board also considered BlackRock’s overall risk management program, including the continued efforts of BlackRock and its affiliates to address cybersecurity risks and the role of BlackRock’s Risk & Quantitative Analysis Group. The Board engaged in a review of BlackRock’s compensation structure with respect to each Fund’s portfolio management team and BlackRock’s ability to attract and retain high-quality talent and create performance incentives.

In addition to investment advisory services, the Board considered the nature and quality of the administrative and other non-investment advisory services provided to each Fund. BlackRock and its affiliates provide each Fund with certain administrative, shareholder and other services (in addition to any such services provided to each Fund by third parties) and officers and other personnel as are necessary for the operations of each Fund. In particular, BlackRock and its affiliates provide each Fund with administrative services including, among others: (i) responsibility for disclosure documents registration statements in connection with each of BME’s, BUI’s and BST’s equity shelf program and periodic shareholder reports; (ii) preparing communications with analysts to support secondary market trading of each Fund; (iii) oversight of daily accounting and pricing; (iv) responsibility for periodic filings with regulators and stock exchanges; (v) overseeing and coordinating the activities of third-party service providers including, among others, each Fund’s custodian, fund accountant, transfer agent, and auditor; (vi) organizing Board meetings and preparing the materials for such Board meetings; (vii) providing legal and compliance support; (viii) furnishing analytical and other support to assist the Board in its consideration of strategic issues such as the merger, consolidation or repurposing of certain closed-end funds; and (ix) performing or managing administrative functions necessary for the operation of each Fund, such as tax reporting, expense management, fulfilling regulatory filing requirements, and shareholder call center and other services. The Board reviewed the structure and duties of BlackRock’s fund administration, shareholder services, and legal and compliance departments and considered BlackRock’s policies and procedures for assuring compliance with applicable laws and regulations. The Board considered the operation of BlackRock’s business continuity plans, including in light of the ongoing COVID-19 pandemic.

B. The Investment Performance of each Fund and BlackRock

The Board, including the Independent Board Members, reviewed and considered the performance history of each Fund throughout the year and at the April Meeting. In preparation for the April Meeting, the Board was provided with reports independently prepared by Broadridge, which included an analysis of each Fund’s performance as of December 31, 2021, as compared to its Performance Peers. The performance information is based on net asset value (NAV), and utilizes Lipper data. Lipper’s methodology calculates a fund’s total return assuming distributions are reinvested on the ex-date at a fund’s ex-date NAV. Broadridge ranks funds in quartiles, ranging from first to fourth, where first is the most desirable quartile position and fourth is the least desirable. In connection with its review, the Board received and reviewed information regarding the investment performance of each Fund as compared to its Performance Peers and certain performance metrics (“Performance Metrics”). The Board and its Performance Oversight Committee regularly review and meet with Fund management to discuss the performance of each Fund throughout the year.

In evaluating performance, the Board focused particular attention on funds with less favorable performance records. The Board also noted that while it found the data provided by Broadridge generally useful, it recognized the limitations of such data, including in particular, that notable differences may exist between a fund and its Performance Peers (for example, the investment objectives and strategies). Further, the Board recognized that the performance data reflects a snapshot of a period as of a particular date and that selecting a different performance period could produce significantly different results. The Board also acknowledged that long-term performance could be impacted by even one period of significant outperformance or underperformance, and that a single investment theme could have the ability to disproportionately affect long-term performance.

The Board reviewed and considered BGR’s performance relative to BGR’s Performance Metrics. Based on an overall rating relative to the Performance Metrics, BGR generally performed above expectations. The Board noted that BlackRock believes that the Performance Metrics are an appropriate performance comparison for BGR, and that BlackRock has explained its rationale for this belief to the Board.

The Board reviewed and considered CII’s performance relative to CII’s Performance Metrics. Based on an overall rating relative to the Performance Metrics, CII generally performed above expectations. The Board noted that BlackRock believes that the Performance Metrics are an appropriate performance comparison for CII, and that BlackRock has explained its rationale for this belief to the Board.

The Board reviewed and considered BDJ’s performance relative to BDJ’s Performance Metrics. Based on an overall rating relative to the Performance Metrics, BDJ generally performed in line with expectations. The Board noted that BlackRock believes that the Performance Metrics are an appropriate performance comparison for BDJ, and that BlackRock has explained its rationale for this belief to the Board.

The Board reviewed and considered BOE’s performance relative to BOE’s Performance Metrics. Based on an overall rating relative to the Performance Metrics, BOE generally performed below expectations. The Board noted that BlackRock believes that the Performance Metrics are an appropriate performance comparison for BOE, and that BlackRock has explained its rationale for this belief to the Board. The Board and BlackRock reviewed BOE’s underperformance relative to the Performance Metrics.

 

 

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Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements (continued)

 

The Board reviewed and considered BGY’s performance relative to BGY’s Performance Metrics. Based on an overall rating relative to the Performance Metrics, BGY generally performed above expectations. The Board noted that BlackRock believes that the Performance Metrics are an appropriate performance comparison for BGY, and that BlackRock has explained its rationale for this belief to the Board.

The Board reviewed and considered BME’s performance relative to BME’s Performance Metrics. Based on an overall rating relative to the Performance Metrics, BME generally performed in line with expectations. The Board noted that BlackRock believes that the Performance Metrics are an appropriate performance comparison for BME, and that BlackRock has explained its rationale for this belief to the Board.

The Board reviewed and considered BMEZ’s performance relative to BMEZ’s Performance Metrics. Based on an overall rating relative to the Performance Metrics, BMEZ generally performed in line with expectations. The Board noted that BlackRock believes that the Performance Metrics are an appropriate performance comparison for BMEZ, and that BlackRock has explained its rationale for this belief to the Board.

The Board reviewed and considered BIGZ’s performance relative to BIGZ’s Performance Metrics. Based on an overall rating relative to the Performance Metrics, BIGZ generally performed in line with expectations. The Board noted that BlackRock believes that the Performance Metrics are an appropriate performance comparison for BIGZ, and that BlackRock has explained its rationale for this belief to the Board.

The Board reviewed and considered BCX’s performance relative to BCX’s Performance Metrics. Based on an overall rating relative to the Performance Metrics, BCX generally performed above expectations. The Board noted that BlackRock believes that the Performance Metrics are an appropriate performance comparison for BCX, and that BlackRock has explained its rationale for this belief to the Board.

The Board reviewed and considered BST’s performance relative to BST’s Performance Metrics. Based on an overall rating relative to the Performance Metrics, BST generally performed in line with expectations. The Board noted that BlackRock believes that the Performance Metrics are an appropriate performance comparison for BST, and that BlackRock has explained its rationale for this belief to the Board.

The Board reviewed and considered BSTZ’s performance relative to BSTZ’s Performance Metrics. Based on an overall rating relative to the Performance Metrics, BSTZ generally performed in line with expectations. The Board noted that BlackRock believes that the Performance Metrics are an appropriate performance comparison for BSTZ, and that BlackRock has explained its rationale for this belief to the Board.

The Board reviewed and considered BUI’s performance relative to BUI’s Performance Metrics. Based on an overall rating relative to the Performance metrics, BUI generally performed above expectations. The Board noted that BlackRock believes that the Performance Metrics are an appropriate performance comparison for BUI, and that BlackRock has explained its rationale for this belief to the Board.

C. Consideration of the Advisory/Management Fees and the Estimated Cost of the Services and Estimated Profits Realized by BlackRock and its Affiliates from their Relationship with the Fund

The Board, including the Independent Board Members, reviewed each Fund’s contractual management fee rate compared with those of its Expense Peers. The contractual management fee rate represents a combination of the advisory fee and any administrative fees, before taking into account any reimbursements or fee waivers. The Board also compared each Fund’s total expense ratio, as well as its actual management fee rate as a percentage of managed assets, which is the total assets of each Fund (including any assets attributable to money borrowed for investment purposes) minus the sum of each Fund’s accrued liabilities (other than money borrowed for investment purposes) to those of its Expense Peers. The total expense ratio represents a fund’s total net operating expenses, excluding any investment related expenses. The total expense ratio gives effect to any expense reimbursements or fee waivers, and the actual management fee rate gives effect to any management fee reimbursements or waivers. The Board considered the services provided and the fees charged by BlackRock and its affiliates to other types of clients with similar investment mandates, as applicable, including institutional accounts and sub-advised mutual funds (including mutual funds sponsored by third parties).

The Board received and reviewed statements relating to BlackRock’s financial condition. The Board reviewed BlackRock’s profitability methodology and was also provided with an estimated profitability analysis that detailed the revenues earned and the expenses incurred by BlackRock for services provided to each Fund. The Board reviewed BlackRock’s estimated profitability with respect to each Fund and other funds the Board currently oversees for the year ended December 31, 2021 compared to available aggregate estimated profitability data provided for the prior two years. The Board reviewed BlackRock’s estimated profitability with respect to certain other U.S. fund complexes managed by the Manager and/or its affiliates. The Board reviewed BlackRock’s assumptions and methodology of allocating expenses in the estimated profitability analysis, noting the inherent limitations in allocating costs among various advisory products. The Board recognized that profitability may be affected by numerous factors including, among other things, fee waivers and expense reimbursements by the Manager, the types of funds managed, precision of expense allocations and business mix. The Board thus recognized that calculating and comparing profitability at the individual fund level is difficult.

The Board noted that, in general, individual fund or product line profitability of other advisors is not publicly available. The Board reviewed BlackRock’s overall operating margin, in general, compared to that of certain other publicly traded asset management firms. The Board considered the differences between BlackRock and these other firms, including the contribution of technology at BlackRock, BlackRock’s expense management, and the relative product mix.

The Board considered whether BlackRock has the financial resources necessary to attract and retain high quality investment management personnel to perform its obligations under the Agreements and to continue to provide the high quality of services that is expected by the Board. The Board further considered factors including but not limited to BlackRock’s commitment of time, assumption of risk, and liability profile in servicing each Fund, including in contrast to what is required of BlackRock with respect to other products with similar investment mandates across the open-end fund, closed-end fund, sub-advised mutual fund, collective investment trust, and institutional separate account product channels, as applicable.

The Board noted that BGR’s contractual management fee rate ranked in the third quartile, and that the actual management fee rate and total expense ratio ranked in the second and first quartiles, respectively, relative to the Expense Peers. In addition, the Board noted that BlackRock had agreed to voluntarily waive a portion of the advisory fee

 

 

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payable by BGR. An advisory fee waiver has been in effect since 2015, the amount of which may have varied from time to time. After discussions between the Board, including Independent Board Members, and BlackRock, the Board and BlackRock agreed to a continuation of the current 22 basis points voluntary advisory fee waiver.

The Board noted that CII’s contractual management fee rate ranked in the first quartile, and that the actual management fee rate and total expense ratio each ranked in the first quartile, relative to the Expense Peers.

The Board noted that BDJ’s contractual management fee rate ranked in the first quartile, and that the actual management fee rate and total expense ratio each ranked in the first quartile, relative to the Expense Peers.

The Board noted that BOE’s contractual management fee rate ranked in the third quartile, and that the actual management fee rate and total expense ratio each ranked in the first quartile, relative to the Expense Peers. In addition, the Board noted that BlackRock had agreed to voluntarily waive a portion of the advisory fee payable by BOE. An advisory fee waiver has been in effect since 2015, the amount of which may have varied from time to time. After discussion between the Board, including the Independent Board Members, and BlackRock, the Board and BlackRock agreed to a continuation of the current 17.5 basis points voluntary advisory fee waiver.

The Board noted that BGY’s contractual management fee rate ranked in the third quartile, and that the actual management fee rate and total expense ratio ranked in the second and third quartiles, respectively, relative to the Expense Peers.

The Board noted that BME’s contractual management fee rate ranked first out of four funds, and that the actual management fee rate and total expense ratio each ranked in the first quartile, relative to the Expense Peers.

The Board noted that BMEZ’s contractual management fee rate ranked third out of four funds, and that the actual management fee rate and total expense ratio ranked in the third and second quartiles, respectively, relative to the Expense Peers.

The Board noted that BIGZ’s contractual management fee rate ranked in the third quartile, and that the actual management fee rate and total expense ratio ranked in the third and second quartiles, respectively, relative to the Expense Peers.

The Board noted that BCX’s contractual management fee rate ranked in the second quartile, and that the actual management fee rate and total expense ratio ranked in the second and first quartiles, respectively, relative to the Expense Peers.

The Board noted that BST’s contractual management fee rate ranked first out of four funds, and that the actual management fee rate and total expense ratio each ranked in the first quartile, relative to the Expense Peers.

The Board noted that BSTZ’s contractual management fee rate ranked third out of four funds, and that the actual management fee rate and total expense ratio ranked in the third and second quartiles, respectively, relative to the Expense Peers.

The Board noted that BUI’s contractual management fee rate ranked in the first quartile, and that the actual management fee rate and total expense ratio ranked in the second and first quartiles, respectively, relative to the Expense Peers.

D. Economies of Scale

The Board, including the Independent Board Members, considered the extent to which economies of scale might be realized as the assets of each Fund increase. The Board also considered the extent to which each Fund benefits from such economies of scale in a variety of ways, and whether there should be changes in the advisory fee rate or breakpoint structure in order to enable each Fund to more fully participate in these economies of scale. The Board considered each Fund’s asset levels and whether the current fee was appropriate.

Based on the Board’s review and consideration of the issue, the Board concluded that most closed-end funds do not have fund level breakpoints because closed-end funds generally do not experience substantial growth after the initial public offering. Closed-end funds are typically priced at scale at a fund’s inception. The Board noted that although each of BME, BUI and BST may from time-to-time make additional share offerings pursuant to its equity shelf program, the growth of each of BME, BUI and BST’s assets will occur primarily through the appreciation of its investment portfolio.

E. Other Factors Deemed Relevant by the Board Members

The Board, including the Independent Board Members, also took into account other ancillary or “fall-out” benefits that BlackRock or its affiliates may derive from BlackRock’s respective relationships with each Fund, both tangible and intangible, such as BlackRock’s ability to leverage its investment professionals who manage other portfolios and its risk management personnel, an increase in BlackRock’s profile in the investment advisory community, and the engagement of BlackRock’s affiliates as service providers to each Fund, including for administrative, securities lending and cash management services. The Board also considered BlackRock’s overall operations and its efforts to expand the scale of, and improve the quality of, its operations. The Board also noted that, subject to applicable law, BlackRock may use and benefit from third-party research obtained by soft dollars generated by certain registered fund transactions to assist in managing all or a number of its other client accounts.

In connection with its consideration of the Agreements, the Board also received information regarding BlackRock’s brokerage and soft dollar practices. The Board received reports from BlackRock which included information on brokerage commissions and trade execution practices throughout the year.

The Board noted the competitive nature of the closed-end fund marketplace, and that shareholders are able to sell their Fund shares in the secondary market if they believe that each Fund’s fees and expenses are too high or if they are dissatisfied with the performance of each Fund.

The Board also considered the various notable initiatives and projects BlackRock performed in connection with its closed-end fund product line. These initiatives included developing equity shelf programs; efforts to eliminate product overlap with fund mergers; ongoing services to manage leverage that has become increasingly complex; periodic

 

 

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Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements (continued)

 

evaluation of share repurchases and other support initiatives for certain BlackRock funds; and continued communication efforts with shareholders, fund analysts and financial advisers. With respect to the latter, the Independent Board Members noted BlackRock’s continued commitment to supporting the secondary market for the common shares of its closed-end funds through a comprehensive secondary market communication program designed to raise investor and analyst awareness and understanding of closed-end funds. BlackRock’s support services included, among other things: sponsoring and participating in conferences; communicating with closed-end fund analysts covering the BlackRock funds throughout the year; providing marketing and product updates for the closed-end funds; and maintaining and enhancing its closed-end fund website.

Conclusion

At the May Meeting, as a result of the discussions that occurred during the April Meeting, and as a culmination of the Board’s year-long deliberative process, the Board, including the Independent Board Members, approved, by unanimous vote of those present, the continuation of the Advisory Agreements between the Manager and each Fund for a one-year term ending June 30, 2023, and the Sub-Advisory Agreements among the Manager, the Sub-Advisor and each of BGR, BOE, BGY, BCX and BUI for a one-year term ending June 30, 2023. Based upon its evaluation of all of the aforementioned factors in their totality, as well as other information, the Board, including the Independent Board Members, was satisfied that the terms of the Agreements were fair and reasonable and in the best interest of each Fund and its shareholders. In arriving at its decision to approve the Agreements, the Board did not identify any single factor or group of factors as all-important or controlling, but considered all factors together, and different Board Members may have attributed different weights to the various factors considered. The Independent Board Members were also assisted by the advice of independent legal counsel in making this determination.

 

 

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Additional Information

 

Trust Certification

The Trusts are listed for trading on the NYSE and have filed with the NYSE their annual chief executive officer certification regarding compliance with the NYSE’s listing standards. The Trusts filed with the SEC the certification of its chief executive officer and chief financial officer required by Section 302 of the Sarbanes-Oxley Act.

Regulation Regarding Derivatives

On October 28, 2020, the Securities and Exchange Commission (the “SEC”) adopted regulations governing the use of derivatives by registered investment companies (“Rule 18f-4”). The Trusts will be required to implement and comply with Rule 18f-4 by August 19, 2022. Once implemented, Rule 18f-4 will impose limits on the amount of derivatives a fund can enter into, eliminate the asset segregation framework currently used by funds to comply with Section 18 of the 1940 Act, treat derivatives as senior securities and require funds whose use of derivatives is more than a limited specified exposure amount to establish and maintain a comprehensive derivatives risk management program and appoint a derivatives risk manager.

Environmental, Social and Governance (“ESG”) Integration

Although a Trust does not seek to implement a specific ESG, impact or sustainability strategy unless otherwise disclosed, Trust management will consider ESG characteristics as part of the investment process for actively managed Trusts. These considerations will vary depending on a Trust’s particular investment strategies and may include consideration of third-party research as well as consideration of proprietary BlackRock research across the ESG risks and opportunities regarding an issuer. Trust management will consider those ESG characteristics it deems relevant or additive when making investment decisions for a Trust. The ESG characteristics utilized in a Trust’s investment process are anticipated to evolve over time and one or more characteristics may not be relevant with respect to all issuers that are eligible for investment. ESG characteristics are not the sole considerations when making investment decisions for a Trust. Further, investors can differ in their views of what constitutes positive or negative ESG characteristics. As a result, a Trust may invest in issuers that do not reflect the beliefs and values with respect to ESG of any particular investor. ESG considerations may affect a Trust’s exposure to certain companies or industries and a Trust may forego certain investment opportunities. While Trust management views ESG considerations as having the potential to contribute to a Trust’s long-term performance, there is no guarantee that such results will be achieved.

Dividend Policy

Each Trust’s policy is to make monthly distributions to shareholders. In order to provide shareholders with a more stable level of dividend distributions, each Trust employs a managed distribution plan (the “Plan”), the goal of which is to provide shareholders with consistent and predictable cash flows by setting distribution rates based on expected long-term returns of each Trust.

The distributions paid by a Trust for any particular month may be more or less than the amount of net investment income earned by a Trust during such month. Furthermore, the final tax characterization of distributions is determined after the year-end of a Trust and is reported in each Trust’s annual report to shareholders. Distributions can be characterized as ordinary income, capital gains and/or return of capital. Each Trust’s taxable net investment income and net realized capital gains (“taxable income”) may not be sufficient to support the level of distributions paid. To the extent that distributions exceed the Trust’s current and accumulated earnings and profits, the excess may be treated as a non-taxable return of capital.

A return of capital is a return of a portion of an investor’s original investment. A return of capital is not expected to be taxable, but it reduces a shareholder’s tax basis in his or her shares, thus reducing any loss or increasing any gain on a subsequent disposition by the shareholder of his or her shares. It is possible that a substantial portion of the distributions paid during a calendar year may ultimately be classified as return of capital for U.S. federal income tax purposes when the final determination of the source and character of the distributions is made.

Such distributions, under certain circumstances, may exceed a Trust’s total return performance. When total distributions exceed total return performance for the period, the difference reduces the Trust’s total assets and net asset value (“NAV”) per share and, therefore, could have the effect of increasing the Trust’s expense ratio and reducing the amount of assets the Trust has available for long term investment.

General Information

The Trusts, other than BME, BST and BUI, do not make available copies of their Statements of Additional Information because the Trusts’ shares, other than BME, BST and BUI, are not continuously offered, which means that the Statement of Additional Information of each Trust, other than BME, BST and BUI, has not been updated after completion of the respective Trust’s offerings and the information contained in each Trust’s Statement of Additional Information may have become outdated.

BME’s, BST’s and BUI’s Statements of Additional Information include additional information about the Board and are available, without charge upon request by calling (800)882-0052.

The following information is a summary of certain changes since December 31, 2021. This information may not reflect all of the changes that have occurred since you purchased the relevant Trust.

Except if noted otherwise herein, there were no changes to the Trusts’ charters or by-laws that would delay or prevent a change of control of the Trusts that were not approved by the shareholders.

In accordance with Section 23(c) of the Investment Company Act of 1940, each Trust may from time to time purchase shares of its common stock in the open market or in private transactions.

 

 

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Additional Information (continued)

 

General Information (continued)

Quarterly performance, semi-annual and annual reports, current net asset value and other information regarding the Trusts may be found on BlackRock’s website, which can be accessed at blackrock.com. Any reference to BlackRock’s website in this report is intended to allow investors public access to information regarding the Trusts and does not, and is not intended to, incorporate BlackRock’s website in this report.

Electronic Delivery

Shareholders can sign up for e-mail notifications of quarterly statements, annual and semi-annual shareholder reports and, for BME, BST and BUI only, prospectuses, by enrolling in the electronic delivery program. Electronic copies of shareholder reports and, for BME, BST and BUI only, prospectuses, are available on BlackRock’s website.

To enroll in electronic delivery:

Shareholders Who Hold Accounts with Investment Advisers, Banks or Brokerages:

Please contact your financial adviser. Please note that not all investment advisers, banks or brokerages may offer this service.

Householding

The Trusts will mail only one copy of shareholder documents, including for BME, BST and BUI only, prospectuses, annual and semi-annual reports, Rule 30e-3 notices and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called “householding” and is intended to reduce expenses and eliminate duplicate mailings of shareholder documents. Mailings of your shareholder documents may be householded indefinitely unless you instruct us otherwise. If you do not want the mailing of these documents to be combined with those for other members of your household, please call the Trusts at (800) 882-0052.

Availability of Quarterly Schedule of Investments

The Trusts file their complete schedules of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to their reports on Form N-PORT. The Trusts’ Forms N-PORT are available on the SEC’s website at sec.gov. Additionally, each Trust makes its portfolio holdings for the first and third quarters of each fiscal year available at blackrock.com/fundreports.

Availability of Proxy Voting Policies, Procedures and Voting Records

A description of the policies and procedures that the Trusts use to determine how to vote proxies relating to portfolio securities and information about how the Trusts voted proxies relating to securities held in the Trusts’ portfolios during the most recent 12-month period ended June 30 is available without charge, upon request (1) by calling (800) 882-0052; (2) on the BlackRock website at blackrock.com; and (3) on the SEC’s website at sec.gov.

Availability of Trust Updates

BlackRock will update performance and certain other data for the Trusts on a monthly basis on its website in the “Closed-end Funds” section of blackrock.com as well as certain other material information as necessary from time to time. Investors and others are advised to check the website for updated performance information and the release of other material information about the Trusts. This reference to BlackRock’s website is intended to allow investors public access to information regarding the Trusts and does not, and is not intended to, incorporate BlackRock’s website in this report.

Shelf Offering Program

From time to time, BME, BST and BUI may seek to raise additional equity capital through a Shelf Offering. In a Shelf Offering, BME, BST and BUI may, subject to market conditions, raise additional equity capital by issuing new Common Shares from time to time in varying amounts at a net price at or above BME’s, BST’s and BUI’s net asset value (“NAV”) per Common Share (calculated within 48 hours of pricing). While any such Shelf Offering may allow BME, BST and BUI to pursue additional investment opportunities without the need to sell existing portfolio investments, it could also entail risks – including that the issuance of additional Common Shares may limit the extent to which the Common Shares are able to trade at a premium to NAV in the secondary market.

On April 26, 2022, BME filed a final prospectus with the SEC in connection with its Shelf Offering. This report and the prospectus of BME are not offers to sell BME Common Shares or solicitations of an offer to buy BME Common Shares in any jurisdiction where such offers or sales are not permitted. The prospectus of BME contains important information about BME, including its investment objective, risks, charges and expenses. Investors are urged to read the prospectus of BME carefully and in its entirety before investing. Copies of the final prospectus for can be obtained from BlackRock at blackrock.com.

On May 10, 2022, BST filed a final prospectus with the SEC in connection with its Shelf Offering. This report and the prospectus of BST are not offers to sell BST Common Shares or solicitations of an offer to buy BST Common Shares in any jurisdiction where such offers or sales are not permitted. The prospectus of BST contains important information about BST, including its investment objective, risks, charges and expenses. Investors are urged to read the prospectus of BST carefully and in its entirety before investing. Copies of the final prospectus for can be obtained from BlackRock at blackrock.com.

On March 10, 2022, BUI filed a final prospectus with the SEC in connection with its Shelf Offering. This report and the prospectus of BUI are not offers to sell BUI Common Shares or solicitations of an offer to buy BUI Common Shares in any jurisdiction where such offers or sales are not permitted. The prospectus of BUI contains important information about BUI, including its investment objective, risks, charges and expenses. Investors are urged to read the prospectus of BUI carefully and in its entirety before investing. Copies of the final prospectus for can be obtained from BlackRock at blackrock.com.

 

 

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Additional Information (continued)

 

BlackRock Privacy Principles

BlackRock is committed to maintaining the privacy of its current and former fund investors and individual clients (collectively, “Clients”) and to safeguarding their non-public personal information. The following information is provided to help you understand what personal information BlackRock collects, how we protect that information and why in certain cases we share such information with select parties.

If you are located in a jurisdiction where specific laws, rules or regulations require BlackRock to provide you with additional or different privacy-related rights beyond what is set forth below, then BlackRock will comply with those specific laws, rules or regulations.

BlackRock obtains or verifies personal non-public information from and about you from different sources, including the following: (i) information we receive from you or, if applicable, your financial intermediary, on applications, forms or other documents; (ii) information about your transactions with us, our affiliates, or others; (iii) information we receive from a consumer reporting agency; and (iv) from visits to our websites.

BlackRock does not sell or disclose to non-affiliated third parties any non-public personal information about its Clients, except as permitted by law or as is necessary to respond to regulatory requests or to service Client accounts. These non-affiliated third parties are required to protect the confidentiality and security of this information and to use it only for its intended purpose.

We may share information with our affiliates to service your account or to provide you with information about other BlackRock products or services that may be of interest to you. In addition, BlackRock restricts access to non-public personal information about its Clients to those BlackRock employees with a legitimate business need for the information. BlackRock maintains physical, electronic and procedural safeguards that are designed to protect the non-public personal information of its Clients, including procedures relating to the proper storage and disposal of such information.

Trust and Service Providers

 

Investment Adviser

BlackRock Advisors, LLC

Wilmington, DE 19809

Sub-Adviser

BlackRock International Limited(a)

Edinburgh, EH3 8BL

United Kingdom

Accounting Agent and Custodian

State Street Bank and Trust Company

Boston, MA 02111

Transfer Agent

Computershare Trust Company, N.A.

Canton, MA 02021

Distributor

BlackRock Investments, LLC(b)

New York, NY 10022

Independent Registered Public Accounting Firm

Deloitte & Touche LLP

Boston, MA 02116

Legal Counsel

Willkie Farr & Gallagher LLP

New York, NY 10019

Address of the Trusts

100 Bellevue Parkway

Wilmington, DE 19809

 

 

(a) For BGR, BOE, BGY, BCX and BUI.

(b) For BME, BST and BUI.

 

 

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Glossary of Terms Used in this Report

 

Currency Abbreviation
AUD   Australian Dollar
CAD   Canadian Dollar
CHF   Swiss Franc
DKK   Danish Krone
EUR   Euro
GBP   British Pound
HKD   Hong Kong Dollar
JPY   Japanese Yen
MXN   Mexican Peso
NOK   Norwegian Krone
SEK   Swedish Krona
SGD   Singapore Dollar
USD   United States Dollar
Portfolio Abbreviation
ADR   American Depositary Receipt
GDR   Global Depositary Receipt
LP   Limited Partnership
PJSC   Public Joint Stock Company
REIT   Real Estate Investment Trust
S&P   Standard & Poor’s
SAB   Special Assessment Bonds

 

 

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Want to know more?

blackrock.com    |    800-882-0052

This report is intended for current holders. It is not a prospectus. Past performance results shown in this report should not be considered a representation of future performance. Statements and other information herein are as dated and are subject to change.

CEF-BK9-06/22-SAR

 

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(b) Not Applicable

 

Item 2 –

Code of Ethics – Not Applicable to this semi-annual report

 

Item 3 –

Audit Committee Financial Expert – Not Applicable to this semi-annual report

 

Item 4 –

Principal Accountant Fees and Services – Not Applicable to this semi-annual report

 

Item 5 –

Audit Committee of Listed Registrants – Not Applicable to this semi-annual report

 

Item 6 –

Investments

(a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1(a) of this Form.

(b) Not Applicable due to no such divestments during the semi-annual period covered since the previous Form N-CSR filing.

 

Item 7 –

Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – Not Applicable to this semi-annual report

 

Item 8 –

Portfolio Managers of Closed-End Management Investment Companies

(a) Not Applicable to this semi-annual report

(b) As of the date of this filing, there have been no changes in any of the portfolio managers identified in the most recent annual report on Form N-CSR.

 

Item 9 –

Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers

 

Period  

(a) Total
Number of
Shares
Purchased

 

  (b) Average
Price Paid per
Share
 

(c) Total Number of
Shares Purchased as Part
of Publicly Announced
Plans or Programs

 

 

(d) Maximum Number of
Shares that May Yet Be
Purchased Under the
Plans or Programs
1

 

January 1-31, 2022

  0   $ —   0   3,201,266

February 1-28, 2022

  0   $ —   0   3,201,266

March 1-31, 2022

  0   $ —   0   3,201,266

April 1-30, 2022

  155,843   $10.9685   155,843   3,045,423

May 1-31, 2022

  171,030   $10.3493   171,030   2,874,393

June 1-30, 2022

  161,608   $9.8668   161,608   2,712,785

Total:

  488,481   $10.3873   488,481   2,712,785

1 On September 27, 2021, the Fund announced a continuation of its open market share repurchase program. Commencing on December 1, 2021, the Fund may repurchase through November 30, 2022, up to 5% of its common shares outstanding as of the close of business on November 30, 2021, subject to certain conditions.

 

Item 10 –

Submission of Matters to a Vote of Security Holders – There have been no material changes to these procedures.

 

Item 11 –

Controls and Procedures

(a) The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-


3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) under the Securities Exchange Act of 1934, as amended.

(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

 

Item 12 –

Disclosure of Securities Lending Activities for Closed-End Management Investment Companies – Not applicable to this semi-annual report

 

Item 13 –

Exhibits attached hereto

(a)(1) Code of Ethics – Not Applicable to this semi-annual report

(a)(2) Section 302 Certifications are attached

(a)(3) Any written solicitation to purchase securities under Rule 23c-1 – Not Applicable

(a)(4) Change in Registrant’s independent public accountant – Not Applicable

(b) Section 906 Certifications are attached

(c) Notices to the registrant’s common shareholders in accordance with the order under Section  6(c) of the 1940 Act granting an exemption from Section 19(b) of the 1940 Act and Rule 19b-1 under the 1940 Act, dated May 9, 20091

 

1    The Fund has received exemptive relief from the Securities and Exchange Commission permitting it to make periodic distributions of long-term capital gains with respect to its outstanding common stock as frequently as twelve times each year, and as frequently as distributions are specified by or in accordance with the terms of its outstanding preferred stock. This relief is conditioned, in part, on an undertaking by the Fund to make the disclosures to the holders of the Fund’s common shares, in addition to the information required by Section 19(a) of the 1940 Act and Rule 19a-1 thereunder. The Fund is likewise obligated to file with the SEC the information contained in any such notice to shareholders and, in that regard, has attached hereto copies of each such notice made during the period.


Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

BlackRock Enhanced Global Dividend Trust

 

  By:     

/s/ John M. Perlowski                            

       John M. Perlowski
       Chief Executive Officer (principal executive officer) of
       BlackRock Enhanced Global Dividend Trust

Date: August 19, 2022

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

  By:     

/s/ John M. Perlowski                            

       John M. Perlowski
       Chief Executive Officer (principal executive officer) of
       BlackRock Enhanced Global Dividend Trust

Date: August 19, 2022

 

  By:     

/s/ Trent Walker                            

       Trent Walker
       Chief Financial Officer (principal financial officer) of
       BlackRock Enhanced Global Dividend Trust

Date: August 19, 2022