Form NPORT-P - Monthly Portfolio Investments Report on Form N-PORT (Public)
May 28 2024 - 2:19PM
Edgar (US Regulatory)
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Consolidated Schedule of Investments (unaudited)
March 31, 2024 |
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BlackRock Capital Allocation Term Trust (BCAT)
(Percentages shown are based on Net Assets) |
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Security |
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Par
(000) |
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Value |
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Asset-Backed Securities |
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Canada 0.0% |
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|
|
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Fairstone Financial Issuance Trust I, Series 2020- 1A, Class D, 6.87%, 10/20/39(a) |
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|
CAD 1,270 |
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$ |
886,295 |
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|
|
|
|
|
|
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|
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Cayman Islands(a) 4.1% |
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|
|
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522 Funding CLO Ltd., Series 2019-4A, Class DR, (3-mo. CME Term SOFR + 3.91%), 9.23%, 04/20/30(b) |
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USD 1,950 |
|
|
|
1,922,335 |
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AGL CLO Ltd.(b) |
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|
|
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|
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Series 2020-3A, Class D, (3-mo. CME Term SOFR + 3.56%), 8.88%, 01/15/33 |
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550 |
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|
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546,899 |
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Series 2020-7A, Class DR, (3-mo. CME Term SOFR + 3.36%), 8.68%, 07/15/34 |
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|
250 |
|
|
|
249,589 |
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Series 2020-9A, Class D, (3-mo. CME Term SOFR + 3.96%), 9.28%, 01/20/34 |
|
|
850 |
|
|
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850,726 |
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AIMCO CLO, Series 2017-AA, Class DR, (3-mo. CME Term SOFR + 3.41%), 8.73%, 04/20/34(b) |
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|
250 |
|
|
|
248,570 |
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ALM Ltd., Series 2020-1A, Class D, (3-mo. CME Term SOFR + 6.26%), 11.58%, 10/15/29(b) |
|
|
950 |
|
|
|
951,255 |
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Apidos CLO XXII, Series 2015-22A, Class CR, (3-mo. CME Term SOFR + 3.21%), 8.53%, 04/20/31(b) |
|
|
250 |
|
|
|
250,801 |
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Apidos CLO XXXII, Series 2019-32A, Class D, (3-mo. CME Term SOFR + 3.76%), 9.08%, 01/20/33(b) |
|
|
250 |
|
|
|
250,031 |
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Apidos CLO XXXV, Series 2021-35A, Class E, (3-mo. CME Term SOFR + 6.01%), 11.33%, 04/20/34(b) |
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|
375 |
|
|
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366,151 |
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Apidos CLO XXXVII, Series 2021-37A, Class E, (3-mo. CME Term SOFR + 6.56%), 11.88%, 10/22/34(b) |
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250 |
|
|
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252,302 |
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ARES Loan Funding I Ltd.(b) |
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|
|
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|
|
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Series 2021-ALFA, Class E, (3-mo. CME Term SOFR + 6.96%), 12.28%, 10/15/34 |
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1,250 |
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1,263,120 |
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Series 2021-ALFA, Class SUB, 0.00%, 10/15/34 |
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2,150 |
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1,494,465 |
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Ares LV CLO Ltd., Series 2020-55A, Class DR, (3-mo. CME Term SOFR + 3.41%), 8.73%, 07/15/34(b) |
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1,500 |
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|
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1,507,957 |
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Ares LVI CLO Ltd., Series 2020-56A, Class ER, (3-mo. CME Term SOFR + 6.76%), 12.09%, 10/25/34(b) |
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625 |
|
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624,937 |
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Ballyrock CLO Ltd., Series 2019-1A, Class CR, (3-mo. CME Term SOFR + 3.31%), 8.63%, 07/15/32(b) |
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2,700 |
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|
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2,653,575 |
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Bardot CLO Ltd., Series 2019-2A, Class DR, (3-mo. CME Term SOFR + 3.26%), 8.58%, 10/22/32(b) |
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250 |
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249,679 |
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Battalion CLO IX Ltd., Series 2015-9A, Class DR, (3-mo. CME Term SOFR + 3.51%), 8.83%, 07/15/31(b) |
|
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250 |
|
|
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246,775 |
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Benefit Street Partners CLO XX Ltd., Series 2020- 20A, Class ER, (3-mo. CME Term SOFR + 7.01%),
12.33%, 07/15/34(b) |
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250 |
|
|
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250,630 |
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Birch Grove CLO Ltd.(b) |
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|
|
|
|
|
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Series 19A, Class DR, (3-mo. CME Term SOFR + 3.61%), 8.94%, 06/15/31 |
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1,500 |
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|
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1,497,191 |
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Series 2021-2A, Class D1, (3-mo. CME Term SOFR + 3.56%), 8.87%, 10/19/34 |
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750 |
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744,166 |
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BlueMountain CLO Ltd., Series 2016-2A, Class C1R2, (3-mo. CME Term SOFR + 3.36%), 8.68%, 08/20/32(b) |
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1,000 |
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974,771 |
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Security |
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Par
(000) |
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Value |
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Cayman Islands (continued) |
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Buttermilk Park CLO Ltd., Series 2018-1A, Class D, (3-mo. CME Term SOFR + 3.36%), 8.68%, 10/15/31(b) |
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USD 250 |
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$ |
246,576 |
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Canyon CLO Ltd., Series 2020-3A, Class E, (3-mo. CME Term SOFR + 7.51%), 12.83%, 01/15/34(b) |
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|
250 |
|
|
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246,888 |
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CarVal CLO II Ltd., Series 2019-1A, Class DR, (3-mo. CME Term SOFR + 3.46%), 8.78%, 04/20/32(b) |
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1,425 |
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1,418,932 |
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CarVal CLO VC Ltd., Series 2021-2A, Class E, (3-mo. CME Term SOFR + 7.01%), 12.33%, 10/15/34(b) |
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500 |
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496,053 |
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CIFC Funding Ltd.(b) |
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Series 2014-2RA, Class B1, (3-mo. CME Term SOFR + 3.06%), 8.38%, 04/24/30 |
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1,000 |
|
|
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1,000,382 |
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Series 2019-3A, Class CR, (3-mo. CME Term SOFR + 3.31%), 8.63%, 10/16/34 |
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|
1,000 |
|
|
|
1,007,488 |
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Crown City CLO III, Series 2021-1A, Class C, (3-mo. CME Term SOFR + 3.56%), 8.88%, 07/20/34(b) |
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|
1,250 |
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|
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1,196,412 |
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Crown Point CLO Ltd., Series 2020-9A, Class DR, (3-mo. CME Term SOFR + 4.01%), 9.33%, 07/14/34(b) |
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500 |
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491,349 |
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Elmwood CLO II Ltd.(b) |
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Series 2019-2A, Class ER, (3-mo. CME Term SOFR + 7.06%), 12.38%, 04/20/34 |
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3,000 |
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3,005,572 |
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Series 2019-2A, Class SUB, 0.00%, 04/20/34 |
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1,000 |
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794,500 |
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Elmwood CLO V Ltd., Series 2020-2A, Class ER, (3-mo. CME Term SOFR + 6.36%), 11.68%, 10/20/34(b) |
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250 |
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252,425 |
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Elmwood CLO X Ltd., Series 2021-3A, Class E, (3-mo. CME Term SOFR + 6.11%), 11.43%, 10/20/34(b) |
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1,000 |
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995,032 |
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Flatiron CLO Ltd., Series 2019-1A, Class DR, (3-mo. CME Term SOFR + 3.26%), 8.59%, 11/16/34(b) |
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700 |
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699,887 |
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GoldenTree Loan Management U.S. CLO Ltd., |
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Series 2021-9A, Class E, (3-mo. CME Term SOFR + 5.01%), 10.33%, 01/20/33(b) |
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1,000 |
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966,608 |
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Golub Capital Partners CLO Ltd.(b) |
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Series 2021-53A, Class E, (3-mo. CME Term SOFR + 6.96%), 12.28%, 07/20/34 |
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250 |
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|
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250,712 |
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Series 2021-55A, Class E, (3-mo. CME Term SOFR + 6.82%), 12.14%, 07/20/34 |
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1,000 |
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995,542 |
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Madison Park Funding XLIX Ltd., Series 2021-49A, Class E, (3-mo. CME Term SOFR + 6.51%), 11.82%,
10/19/34(b) |
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250 |
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251,607 |
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Madison Park Funding XXIX Ltd., Series 2018-29A, Class E, (3-mo. CME Term SOFR + 5.96%), 11.26%,
10/18/30(b) |
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500 |
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501,039 |
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Niagara Park CLO Ltd., Series 2019-1A, Class ER, (3-mo. CME Term SOFR + 6.21%), 11.53%, 07/17/32(b) |
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1,000 |
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989,586 |
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OCP CLO Ltd. |
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Series 2019-16A, Class ER, (3-mo. CME Term SOFR + 6.61%), 11.94%, 04/10/33(b) |
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400 |
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390,004 |
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Series 2020-18A, Class DR, (3-mo. CME Term SOFR + 3.46%), 8.78%, 07/20/32(b) |
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500 |
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499,350 |
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Series 2020-20A, Class D1, (3-mo. CME Term SOFR + 4.21%), 9.54%, 10/09/33(b) |
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3,500 |
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3,534,430 |
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Series 2020-20A, Class E, (3-mo. CME Term SOFR + 7.92%), 13.25%, 10/09/33(b) |
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2,250 |
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2,258,904 |
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Series 2020-AR, Class D1R, (3-mo. CME Term SOFR + 3.60%), 1.00%, 04/18/37(c) |
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3,500 |
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3,500,000 |
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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 |
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1 |
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Consolidated Schedule of Investments (unaudited) (continued)
March 31, 2024 |
|
BlackRock Capital Allocation Term Trust (BCAT)
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
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|
Security |
|
Par
(000) |
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Value |
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Cayman Islands (continued) |
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Octagon 54 Ltd., Series 2021-1A, Class D, (3-mo. CME Term SOFR + 3.31%), 8.63%, 07/15/34(b) |
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USD 250 |
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$ |
247,879 |
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OSD CLO Ltd., Series 2021-23A, Class E, (3-mo. CME Term SOFR + 6.26%), 11.58%, 04/17/31(b) |
|
|
250 |
|
|
|
246,841 |
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Palmer Square CLO Ltd., Series 2021-2A, Class E, (3-mo. CME Term SOFR + 6.61%), 11.93%, 07/15/34(b) |
|
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250 |
|
|
|
251,592 |
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Palmer Square Loan Funding Ltd.(b) |
|
|
|
|
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|
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Series 2021-1A, Class D, (3-mo. CME Term SOFR + 6.26%), 11.58%, 04/20/29 |
|
|
1,250 |
|
|
|
1,248,849 |
|
Series 2021-3A, Class C, (3-mo. CME Term SOFR + 2.76%), 8.08%, 07/20/29 |
|
|
250 |
|
|
|
246,416 |
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Series 2021-3A, Class D, (3-mo. CME Term SOFR + 5.26%), 10.58%, 07/20/29 |
|
|
250 |
|
|
|
245,846 |
|
Series 2021-4A, Class D, (3-mo. CME Term SOFR + 5.26%), 10.58%, 10/15/29 |
|
|
750 |
|
|
|
736,490 |
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Series 2021-4A, Class E, (3-mo. CME Term SOFR + 7.77%), 13.09%, 10/15/29 |
|
|
500 |
|
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|
502,208 |
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Park Avenue Institutional Advisers CLO Ltd.(b) |
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|
|
|
|
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Series 2021-1A, Class D, (3-mo. CME Term SOFR + 7.56%), 12.88%, 01/20/34 |
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|
600 |
|
|
|
584,911 |
|
Series 2021-2A, Class D, (3-mo. CME Term SOFR + 3.66%), 8.98%, 07/15/34 |
|
|
1,000 |
|
|
|
982,062 |
|
Pikes Peak CLO(b) |
|
|
|
|
|
|
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Series 2019-4A, Class DR, (3-mo. CME Term SOFR + 3.51%), 8.83%, 07/15/34 |
|
|
1,000 |
|
|
|
987,300 |
|
Series 2020-6A, Class ER2, (3-mo. CME Term SOFR + 6.69%), 12.01%, 05/18/34 Post CLO Ltd.(b) |
|
|
500 |
|
|
|
487,821 |
|
Series 2018-1A, Class D, (3-mo. CME Term SOFR + 3.21%), 8.53%, 04/16/31 |
|
|
500 |
|
|
|
500,782 |
|
Series 2021-1A, Class E, (3-mo. CME Term SOFR + 6.71%), 12.03%, 10/15/34 |
|
|
750 |
|
|
|
743,603 |
|
Rad CLO Ltd.(b) |
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|
|
|
|
|
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Series 2019-3A, Class DR, (3-mo. CME Term SOFR + 3.01%), 8.33%, 04/15/32 |
|
|
250 |
|
|
|
245,047 |
|
Series 2020-9A, Class E, (3-mo. CME Term SOFR + 7.85%), 13.17%, 01/15/34 |
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|
5,000 |
|
|
|
4,970,233 |
|
Regatta XVII Funding Ltd.(b) |
|
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Series 2020-1A, Class D, (3-mo. CME Term SOFR + 4.41%), 9.73%, 10/15/33 |
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|
750 |
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|
751,801 |
|
Series 2020-1A, Class E, (3-mo. CME Term SOFR + 7.87%), 13.19%, 10/15/33 |
|
|
250 |
|
|
|
250,618 |
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Regatta XX Funding Ltd., Series 2021-2A, Class D, (3-mo. CME Term SOFR + 3.36%), 8.68%, 10/15/34(b) |
|
|
1,500 |
|
|
|
1,496,079 |
|
Regatta XXIV Funding Ltd., Series 2021-5A, Class E, (3-mo. CME Term SOFR + 7.06%), 12.38%, 01/20/35(b) |
|
|
500 |
|
|
|
497,714 |
|
RR Ltd., Series 2021-19A, Class D, (3-mo. CME Term SOFR + 6.76%), 12.08%, 10/15/35(b) |
|
|
250 |
|
|
|
253,912 |
|
RRX Ltd., Series 2022-7A, Class D, (3-mo. CME Term SOFR + 6.85%), 12.17%, 07/15/35(b) |
|
|
750 |
|
|
|
762,200 |
|
Sixth Street CLO XIX Ltd., Series 2021-19A, Class E, (3-mo. CME Term SOFR + 6.16%), 11.48%, 07/20/34(b) |
|
|
3,750 |
|
|
|
3,681,426 |
|
Sound Point CLO XXVI Ltd., Series 2020-1A, Class DR, (3-mo. CME Term SOFR + 3.61%), 8.93%, 07/20/34(b) |
|
|
250 |
|
|
|
236,814 |
|
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|
|
|
|
|
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Security |
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Par
(000) |
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|
Value |
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Cayman Islands (continued) |
|
Stratus CLO Ltd.(b) |
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|
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Series 2021-1A, Class E, (3-mo. CME Term SOFR + 5.26%), 10.58%, 12/29/29 |
|
|
USD 1,500 |
|
|
$ |
1,471,817 |
|
Series 2021-1A, Class SUB, 0.00%, 12/29/29 |
|
|
1,000 |
|
|
|
622,010 |
|
Series 2021-2A, Class E, (3-mo. CME Term SOFR + 6.01%), 11.33%, 12/28/29 |
|
|
1,000 |
|
|
|
1,000,056 |
|
Series 2021-3A, Class E, (3-mo. CME Term SOFR + 6.01%), 11.33%, 12/29/29 |
|
|
500 |
|
|
|
500,592 |
|
Symphony CLO XXI Ltd., Series 2019-21A, Class DR, (3-mo. CME Term SOFR + 3.56%), 8.88%, 07/15/32(b) |
|
|
500 |
|
|
|
485,776 |
|
Symphony CLO XXIII Ltd., Series 2020-23A, Class ER, (3-mo. CME Term SOFR + 6.41%), 11.73%, 01/15/34(b) |
|
|
500 |
|
|
|
501,073 |
|
TICP CLO IX Ltd., Series 2017-9A, Class D, (3-mo. CME Term SOFR + 3.16%), 8.48%, 01/20/31(b) |
|
|
500 |
|
|
|
503,070 |
|
TICP CLO XI Ltd.(b) |
|
|
|
|
|
|
|
|
Series 2018-11A, Class D, (3-mo. CME Term SOFR + 3.31%), 8.63%, 10/20/31 |
|
|
250 |
|
|
|
251,537 |
|
Series 2018-11A, Class E, (3-mo. CME Term SOFR + 6.26%), 11.58%, 10/20/31 |
|
|
500 |
|
|
|
501,601 |
|
TICP CLO XV Ltd., Series 2020-15A, Class E, (3-mo. CME Term SOFR + 6.41%), 11.73%, 04/20/33(b) |
|
|
500 |
|
|
|
499,901 |
|
Trestles CLO Ltd., Series 2017-1A, Class CR, (3-mo. CME Term SOFR + 3.16%), 8.49%, 04/25/32(b) |
|
|
500 |
|
|
|
490,731 |
|
Trimaran CAVU Ltd., Series 2019-1A, Class D, (3-mo. CME Term SOFR + 4.41%), 9.73%, 07/20/32(b) |
|
|
1,750 |
|
|
|
1,723,842 |
|
Whitebox CLO I Ltd.(b) |
|
|
|
|
|
|
|
|
Series 2019-1A, Class CR, (3-mo. CME Term SOFR + 3.31%), 8.63%, 07/24/32 |
|
|
250 |
|
|
|
246,032 |
|
Series 2019-1A, Class DR, (3-mo. CME Term SOFR + 6.66%), 11.98%, 07/24/32 |
|
|
1,300 |
|
|
|
1,261,680 |
|
Series 2019-1A, Class SUB, 0.00%, 07/24/32 |
|
|
1,000 |
|
|
|
602,900 |
|
Whitebox CLO II Ltd., Series 2020-2A, Class DR, (3-mo. CME Term SOFR + 3.61%), 8.93%, 10/24/34(b) |
|
|
2,750 |
|
|
|
2,730,372 |
|
Whitebox CLO III Ltd.(b) |
|
|
|
|
|
|
|
|
Series 2021-3A, Class D, (3-mo. CME Term SOFR + 3.61%), 8.93%, 10/15/34 |
|
|
500 |
|
|
|
496,238 |
|
Series 2021-3A, Class E, (3-mo. CME Term SOFR + 7.11%), 12.43%, 10/15/34 |
|
|
500 |
|
|
|
501,996 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
78,934,871 |
|
|
Ireland(a)(b) 0.5% |
|
Anchorage Capital Europe CLO DAC, Series 4A, Class D, (3-mo. EURIBOR + 3.20%), 7.15%,
04/25/34 |
|
|
EUR 868 |
|
|
|
923,968 |
|
Ares European CLO XII DAC, Series 12A, Class DR, (3-mo. EURIBOR + 3.00%), 6.97%, 04/20/32 |
|
|
875 |
|
|
|
929,451 |
|
CIFC European Funding CLO III DAC, Series 3A, Class D, (3-mo. EURIBOR + 3.60%), 7.54%,
01/15/34 |
|
|
700 |
|
|
|
751,912 |
|
CVC Cordatus Loan Fund XIX DAC, Series 19A, Class D, (3-mo. EURIBOR + 3.80%), 7.73%,
12/23/33 |
|
|
2,300 |
|
|
|
2,484,314 |
|
Henley CLO IV DAC, Series 4A, Class D, (3-mo. EURIBOR + 3.00%), 6.95%, 04/25/34 |
|
|
1,000 |
|
|
|
1,075,417 |
|
2
|
|
|
Consolidated Schedule of Investments (unaudited) (continued)
March 31, 2024 |
|
BlackRock Capital Allocation Term Trust (BCAT)
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
Security |
|
Par
(000) |
|
|
Value |
|
|
Ireland (continued) |
|
Invesco Euro CLO V DAC, Series 5A, Class 5A, (3-mo. EURIBOR
+ 3.80%), 7.74%, 01/15/34 |
|
|
EUR 3,150 |
|
|
$ |
3,350,276 |
|
Prodigy Finance DAC |
|
|
|
|
|
|
|
|
Series 2021-1A, Class C, (1-mo. Term SOFR + 3.86%), 9.19%, 07/25/51 |
|
|
USD 105 |
|
|
|
105,962 |
|
Series 2021-1A, Class D, (1-mo. Term SOFR + 6.01%), 11.34%, 07/25/51 |
|
|
160 |
|
|
|
163,348 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,784,648 |
|
|
|
|
United States 2.9% |
|
|
|
|
|
|
510 Loan Acquisition Trust, Series 2020-1, Class A, 8.11%, 09/25/60(a)(d) |
|
|
3,770 |
|
|
|
3,749,807 |
|
Ajax Mortgage Loan Trust(a) |
|
|
|
|
|
|
|
|
Series 2021-G, Class A, 1.88%, 06/25/61(b) |
|
|
4,203 |
|
|
|
3,992,215 |
|
Series 2021-G, Class B, 3.75%, 06/25/61(b) |
|
|
705 |
|
|
|
702,504 |
|
Series 2021-G, Class C, 0.01%, 06/25/61 |
|
|
1,269 |
|
|
|
1,106,838 |
|
AMSR Trust, Series 2020-SFR5, Class G, 4.11%,
11/17/37(a) |
|
|
2,899 |
|
|
|
2,742,741 |
|
Citigroup Mortgage Loan Trust(b) |
|
|
|
|
|
|
|
|
Series 2007-AHL2, Class A3B, (1-mo. Term SOFR + 0.31%), 5.64%, 05/25/37 |
|
|
4,185 |
|
|
|
2,767,718 |
|
Series 2007-AHL3, Class A3B, (1-mo. Term SOFR + 0.28%), 5.61%, 07/25/45 |
|
|
3,074 |
|
|
|
2,159,366 |
|
College Avenue Student Loans LLC, Series 2021-A, Class D, 4.12%, 07/25/51(a) |
|
|
205 |
|
|
|
182,814 |
|
Credit Suisse ABS Repackaging Trust, Series 2013-A, Class R1, 0.01%, 04/25/43(a)(e) |
|
|
5 |
|
|
|
2,870,120 |
|
Eaton Vance CLO Ltd., Series 2019-1A, Class ER, (3-mo. CME Term SOFR + 6.76%), 12.08%, 04/15/31(a)(b) |
|
|
500 |
|
|
|
496,449 |
|
GoldenTree Loan Opportunities X Ltd., Series 2015- 10A, Class DR, (3-mo. CME Term SOFR + 3.31%),
8.63%, 07/20/31(a)(b) |
|
|
750 |
|
|
|
752,437 |
|
Home Partners of America Trust, Series 2021-2, Class F, 3.80%, 12/17/26(a) |
|
|
2,404 |
|
|
|
2,149,015 |
|
Lending Funding Trust(a) |
|
|
|
|
|
|
|
|
Series 2020-2A, Class C, 4.30%, 04/21/31 |
|
|
980 |
|
|
|
890,939 |
|
Series 2020-2A, Class D, 6.77%, 04/21/31 |
|
|
2,830 |
|
|
|
2,596,239 |
|
Lendmark Funding Trust, Series 2021-1A, Class D, 5.05%,
11/20/31(a) |
|
|
2,320 |
|
|
|
1,961,256 |
|
Litigation Fee Residual, Series 2020-1, Class A, 4.00%, 10/30/27(e) |
|
|
1,178 |
|
|
|
1,161,420 |
|
Mariner Finance Issuance Trust(a) |
|
|
|
|
|
|
|
|
Series 2021-BA, Class E, 4.68%, 11/20/36 |
|
|
540 |
|
|
|
454,291 |
|
Series 2022-AA, Class E, 5.40%, 03/20/36 |
|
|
1,420 |
|
|
|
1,226,448 |
|
Navient Private Education Refi Loan Trust, Series 2021-DA, Class D, 4.00%, 04/15/60(a) |
|
|
1,340 |
|
|
|
1,214,731 |
|
Nelnet Student Loan Trust(a) |
|
|
|
|
|
|
|
|
Series 2021-A, Class D, 4.93%, 04/20/62 |
|
|
1,670 |
|
|
|
1,391,510 |
|
Series 2021-BA, Class D, 4.75%, 04/20/62 |
|
|
340 |
|
|
|
279,264 |
|
Series 2021-CA, Class D, 4.44%, 04/20/62 |
|
|
110 |
|
|
|
89,127 |
|
Progress Residential(a) |
|
|
|
|
|
|
|
|
Series 2021-SFR1, Class H, 5.00%, 04/17/38 |
|
|
750 |
|
|
|
681,188 |
|
Series 2021-SFR3, Class H, 4.75%, 05/17/26 |
|
|
1,140 |
|
|
|
1,030,008 |
|
Regional Management Issuance Trust(a) |
|
|
|
|
|
|
|
|
Series 2020-1, Class D, 6.77%, 10/15/30 |
|
|
2,050 |
|
|
|
1,947,457 |
|
Series 2021-3, Class A, 3.88%, 10/17/33(e) |
|
|
4,780 |
|
|
|
4,356,014 |
|
Republic Finance Issuance Trust(a) |
|
|
|
|
|
|
|
|
Series 2020-A, Class D, 7.00%, 11/20/30 |
|
|
5,110 |
|
|
|
4,911,173 |
|
Series 2021-A, Class D, 5.23%, 12/22/31 |
|
|
800 |
|
|
|
725,272 |
|
|
|
|
|
|
|
|
|
|
Security |
|
Par
(000) |
|
|
Value |
|
|
United States (continued) |
|
Residential Mortgage Loan Trust, Series 2020-1, Class B1, 3.95%, 01/26/60(a)(b) |
|
|
USD 400 |
|
|
$ |
339,491 |
|
SMB Private Education Loan Trust(a) |
|
|
|
|
|
|
|
|
Series 2021-A, Class D1, 3.86%, 01/15/53 |
|
|
1,585 |
|
|
|
1,371,640 |
|
Series 2021-A, Class D2, 3.86%, 01/15/53 |
|
|
865 |
|
|
|
748,524 |
|
Series 2021-C, Class D, 3.93%, 01/15/53 |
|
|
548 |
|
|
|
497,437 |
|
Sofi Professional Loan Program LLC, Series 2018-A, Class R1, 0.01%, 02/25/42(a) |
|
|
115 |
|
|
|
1,483,381 |
|
Structured Asset Securities Corp. Mortgage Loan Trust, Series 2005-WF2, Class M8, (1-mo. Term SOFR +
1.91%), 7.24%, 05/25/35(b) |
|
|
182 |
|
|
|
177,028 |
|
Tricon Residential Trust(a) |
|
|
|
|
|
|
|
|
Series 2021-SFR1, Class F, 3.69%, 07/17/38 |
|
|
1,375 |
|
|
|
1,255,914 |
|
Series 2021-SFR1, Class G, 4.13%, 07/17/38 |
|
|
887 |
|
|
|
795,935 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
55,257,711 |
|
|
|
|
|
|
|
|
|
|
|
|
Total Asset-Backed Securities 7.5% (Cost: $155,536,025) |
|
|
|
144,863,525 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares |
|
|
|
|
|
|
|
Common Stocks |
|
|
|
|
|
|
|
Australia 0.3% |
|
Glencore PLC |
|
|
1,222,574 |
|
|
|
6,708,943 |
|
|
|
|
|
|
|
|
|
|
|
Canada 1.4% |
|
Cameco Corp. |
|
|
238,927 |
|
|
|
10,350,318 |
|
Enbridge, Inc. |
|
|
228,354 |
|
|
|
8,252,134 |
|
Suncor Energy, Inc. |
|
|
207,896 |
|
|
|
7,672,453 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
26,274,905 |
|
|
China 0.7% |
|
BYD Co. Ltd., Class H |
|
|
275,079 |
|
|
|
7,043,411 |
|
Contemporary Amperex Technology Co. Ltd., Class A |
|
|
96,100 |
|
|
|
2,500,486 |
|
Tencent Holdings Ltd. |
|
|
95,888 |
|
|
|
3,734,831 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13,278,728 |
|
|
Denmark 0.0% |
|
Novo Nordisk A/S, Class B |
|
|
7,661 |
|
|
|
982,702 |
|
|
|
|
|
|
|
|
|
|
|
France 1.8% |
|
Accor SA |
|
|
81,513 |
|
|
|
3,805,549 |
|
BNP Paribas SA |
|
|
72,556 |
|
|
|
5,165,616 |
|
Cie de Saint-Gobain SA |
|
|
85,547 |
|
|
|
6,639,619 |
|
EssilorLuxottica SA |
|
|
18,320 |
|
|
|
4,144,195 |
|
LVMH Moet Hennessy Louis Vuitton SE |
|
|
14,042 |
|
|
|
12,634,936 |
|
TotalEnergies SE |
|
|
44,293 |
|
|
|
3,046,888 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
35,436,803 |
|
|
Germany 0.8% |
|
Adidas AG, Class N |
|
|
19,431 |
|
|
|
4,341,443 |
|
Bayerische Motoren Werke AG |
|
|
1,000 |
|
|
|
115,379 |
|
Mercedes-Benz Group AG, Class N |
|
|
89,568 |
|
|
|
7,132,919 |
|
Siemens AG, Class N, Registered Shares |
|
|
16,967 |
|
|
|
3,239,660 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14,829,401 |
|
|
Hong Kong 0.2% |
|
AIA Group Ltd. |
|
|
508,370 |
|
|
|
3,419,588 |
|
|
|
|
|
|
|
|
|
|
|
|
|
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 |
|
3 |
|
|
|
Consolidated Schedule of Investments (unaudited) (continued)
March 31, 2024 |
|
BlackRock Capital Allocation Term Trust (BCAT)
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
Security |
|
Shares |
|
|
Value |
|
|
India 0.0% |
|
Think & Learn Private Ltd., Class J-B, (Acquired 12/11/20, Cost: $5,113,105) (e)(f)(g) |
|
|
2,279 |
|
|
$ |
|
|
|
|
|
|
|
|
|
|
|
|
Israel 0.6% |
|
Nice Ltd., ADR (f) |
|
|
42,624 |
|
|
|
11,108,667 |
|
|
|
|
|
|
|
|
|
|
|
Italy 0.9% |
|
Ariston Holding NV |
|
|
476,063 |
|
|
|
2,673,291 |
|
Intesa Sanpaolo SpA |
|
|
2,332,817 |
|
|
|
8,469,371 |
|
UniCredit SpA |
|
|
158,291 |
|
|
|
6,011,778 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
17,154,440 |
|
|
Japan 3.7% |
|
Daikin Industries Ltd. |
|
|
18,400 |
|
|
|
2,512,348 |
|
FANUC Corp. |
|
|
195,915 |
|
|
|
5,465,336 |
|
Honda Motor Co. Ltd. |
|
|
377,500 |
|
|
|
4,671,067 |
|
Hoya Corp. |
|
|
35,186 |
|
|
|
4,400,743 |
|
Japan Airlines Co. Ltd. |
|
|
337,400 |
|
|
|
6,406,452 |
|
Keyence Corp. |
|
|
18,600 |
|
|
|
8,635,251 |
|
Komatsu Ltd. |
|
|
214,500 |
|
|
|
6,347,220 |
|
Mitsubishi UFJ Financial Group, Inc. |
|
|
879,400 |
|
|
|
8,947,099 |
|
Mitsui & Co. Ltd. |
|
|
127,200 |
|
|
|
5,946,798 |
|
SMC Corp. |
|
|
9,100 |
|
|
|
5,133,853 |
|
Sysmex Corp. |
|
|
222,600 |
|
|
|
3,972,272 |
|
Toyota Motor Corp. |
|
|
315,200 |
|
|
|
7,966,665 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
70,405,104 |
|
|
Macau(f) 0.1% |
|
Sands China Ltd. |
|
|
74,225 |
|
|
|
209,407 |
|
Wynn Macau Ltd. |
|
|
967,455 |
|
|
|
864,665 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,074,072 |
|
|
Netherlands 1.9% |
|
ASML Holding NV |
|
|
21,082 |
|
|
|
20,438,177 |
|
Shell PLC |
|
|
469,986 |
|
|
|
15,745,501 |
|
Shell PLC, ADR |
|
|
9,533 |
|
|
|
639,092 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
36,822,770 |
|
|
South Korea 0.4% |
|
Amorepacific Corp. |
|
|
28,737 |
|
|
|
2,587,410 |
|
SK Hynix, Inc. |
|
|
44,561 |
|
|
|
6,057,317 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,644,727 |
|
|
Spain 0.5% |
|
Cellnex Telecom SA (a) |
|
|
285,230 |
|
|
|
10,089,925 |
|
|
|
|
|
|
|
|
|
|
|
Sweden 0.0% |
|
Volta Trucks, Series C, (Acquired 02/22/22, Cost: $322,253)
(e)(f)(g) |
|
|
2,732 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Switzerland 0.7% |
|
On Holding AG, Class A (f) |
|
|
104,674 |
|
|
|
3,703,366 |
|
UBS Group AG, Registered Shares |
|
|
290,691 |
|
|
|
8,950,644 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12,654,010 |
|
|
Taiwan 0.5% |
|
Taiwan Semiconductor Manufacturing Co. Ltd., ADR |
|
|
69,341 |
|
|
|
9,433,843 |
|
|
|
|
|
|
|
|
|
|
|
United Kingdom 2.2% |
|
AstraZeneca PLC |
|
|
50,701 |
|
|
|
6,811,364 |
|
AstraZeneca PLC, ADR |
|
|
57,275 |
|
|
|
3,880,381 |
|
BAE Systems PLC |
|
|
836,225 |
|
|
|
14,253,804 |
|
BP PLC |
|
|
73,129 |
|
|
|
458,769 |
|
Compass Group PLC |
|
|
113,795 |
|
|
|
3,337,908 |
|
Genius Sports Ltd. (f) |
|
|
186,939 |
|
|
|
1,067,422 |
|
|
|
|
|
|
|
|
|
|
Security |
|
Shares |
|
|
Value |
|
|
United Kingdom (continued) |
|
RELX PLC |
|
|
115,222 |
|
|
$ |
4,968,998 |
|
Teya Services Ltd., (Acquired 11/16/21, Cost:
$2,398,802) (e)(f)(g) |
|
|
1,235 |
|
|
|
559,949 |
|
Unilever PLC |
|
|
153,170 |
|
|
|
7,689,410 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
43,028,005 |
|
|
United States 37.5% |
|
Abbott Laboratories (h) |
|
|
26,644 |
|
|
|
3,028,357 |
|
AbbVie, Inc. |
|
|
26,420 |
|
|
|
4,811,082 |
|
ACV Auctions, Inc., Class A (f) |
|
|
203,406 |
|
|
|
3,817,931 |
|
Adobe, Inc. (f) |
|
|
12,695 |
|
|
|
6,405,897 |
|
Advanced Micro Devices, Inc. (f) |
|
|
39,143 |
|
|
|
7,064,920 |
|
Alphabet, Inc., Class C (f) |
|
|
155,757 |
|
|
|
23,715,561 |
|
Altice USA, Inc., Class A (f) |
|
|
74,771 |
|
|
|
195,152 |
|
Amazon.com, Inc. (f)(h) |
|
|
215,169 |
|
|
|
38,812,184 |
|
American Tower Corp. |
|
|
36,035 |
|
|
|
7,120,156 |
|
Amkor Technology, Inc. |
|
|
1,763 |
|
|
|
56,839 |
|
Apple, Inc. |
|
|
51,375 |
|
|
|
8,809,785 |
|
Applied Materials, Inc. |
|
|
37,128 |
|
|
|
7,656,907 |
|
Astra Space, Inc., Class A (f) |
|
|
13,702 |
|
|
|
9,345 |
|
BOK Financial Corp. |
|
|
684 |
|
|
|
62,928 |
|
Boston Scientific Corp. (f)(h) |
|
|
157,825 |
|
|
|
10,809,434 |
|
Boyd Gaming Corp. |
|
|
2,409 |
|
|
|
162,174 |
|
Bunge Global SA |
|
|
59,551 |
|
|
|
6,105,169 |
|
Caesars Entertainment, Inc. (f) |
|
|
19,728 |
|
|
|
862,903 |
|
California Resources Corp. |
|
|
17,530 |
|
|
|
965,903 |
|
Cencora, Inc. |
|
|
8,277 |
|
|
|
2,011,228 |
|
Centene Corp. (f) |
|
|
10,766 |
|
|
|
844,916 |
|
CF Industries Holdings, Inc. |
|
|
90,423 |
|
|
|
7,524,098 |
|
Cheniere Energy, Inc. |
|
|
6,166 |
|
|
|
994,452 |
|
Chesapeake Energy Corp. |
|
|
4,446 |
|
|
|
394,938 |
|
Chevron Corp. |
|
|
58,375 |
|
|
|
9,208,073 |
|
Chubb Ltd. |
|
|
41,128 |
|
|
|
10,657,499 |
|
Citigroup, Inc. |
|
|
6,914 |
|
|
|
437,241 |
|
Comcast Corp., Class A |
|
|
66,064 |
|
|
|
2,863,874 |
|
Comerica, Inc. |
|
|
1,830 |
|
|
|
100,632 |
|
Confluent, Inc., Class A (f) |
|
|
176,622 |
|
|
|
5,390,503 |
|
ConocoPhillips |
|
|
37,888 |
|
|
|
4,822,385 |
|
Costco Wholesale Corp. |
|
|
11,975 |
|
|
|
8,773,244 |
|
CRH PLC |
|
|
63,152 |
|
|
|
5,450,648 |
|
Crowdstrike Holdings, Inc., Class A (f) |
|
|
839 |
|
|
|
268,975 |
|
Crown PropTech Acquisitions(e)(f) |
|
|
69,480 |
|
|
|
10,710 |
|
Crown PropTech Acquisitions, Class A (f) |
|
|
29,568 |
|
|
|
317,560 |
|
Customers Bancorp, Inc. (f) |
|
|
537 |
|
|
|
28,493 |
|
Davidson Kempner Merchant Co-investment Fund LP, (Acquired 04/01/21, Cost: $908,457) (f)(g)(i) |
|
|
|
(j) |
|
|
4,852,024 |
|
Deckers Outdoor Corp. (f) |
|
|
273 |
|
|
|
256,964 |
|
Delta Air Lines, Inc. |
|
|
123,837 |
|
|
|
5,928,077 |
|
Dexcom, Inc. (f) |
|
|
16,293 |
|
|
|
2,259,839 |
|
Dynatrace, Inc. (f) |
|
|
8,800 |
|
|
|
408,672 |
|
Eli Lilly & Co. |
|
|
14,755 |
|
|
|
11,478,800 |
|
Enterprise Products Partners LP |
|
|
328,803 |
|
|
|
9,594,472 |
|
Epic Games, Inc., (Acquired 03/29/21, Cost: $2,499,240)
(e)(f)(g) |
|
|
2,824 |
|
|
|
1,694,400 |
|
F5, Inc. (f) |
|
|
30,129 |
|
|
|
5,712,157 |
|
Fanatics Holdings, Inc., (Acquired 12/15/21, Cost: $8,566,971)
(e)(f)(g) |
|
|
126,282 |
|
|
|
9,503,983 |
|
First Citizens BancShares, Inc., Class A |
|
|
74 |
|
|
|
120,990 |
|
Ford Motor Co. |
|
|
29,355 |
|
|
|
389,834 |
|
Formentera Partners Fund II LP (e)(f)(i) |
|
|
|
(j) |
|
|
2,678,998 |
|
4
|
|
|
Consolidated Schedule of Investments (unaudited) (continued)
March 31, 2024 |
|
BlackRock Capital Allocation Term Trust (BCAT)
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
Security |
|
Shares |
|
|
Value |
|
|
United States (continued) |
|
Fortive Corp. |
|
|
110,603 |
|
|
$ |
9,514,070 |
|
Freeport-McMoRan, Inc. (h) |
|
|
172,408 |
|
|
|
8,106,624 |
|
Freewire Equity (e)(f) |
|
|
45 |
|
|
|
182,700 |
|
General Dynamics Corp. |
|
|
2,429 |
|
|
|
686,168 |
|
General Motors Co. |
|
|
10,095 |
|
|
|
457,808 |
|
GLOBALFOUNDRIES, Inc. (f) |
|
|
73,546 |
|
|
|
3,832,482 |
|
Golden Entertainment, Inc. |
|
|
2,119 |
|
|
|
78,043 |
|
Goldman Sachs Group, Inc. |
|
|
14,215 |
|
|
|
5,937,463 |
|
Green Plains, Inc. (f) |
|
|
46,023 |
|
|
|
1,064,052 |
|
Hawkeye 360, Series D1(e)(f) |
|
|
406,081 |
|
|
|
3,772,492 |
|
HCA Healthcare, Inc. |
|
|
2,320 |
|
|
|
773,790 |
|
Hilton Worldwide Holdings, Inc. |
|
|
11,838 |
|
|
|
2,525,164 |
|
HNG Hospitality Offshore LP, (Acquired 02/16/24, Cost: $2,660,000) (e)(f)(g) |
|
|
2,660,000 |
|
|
|
2,660,000 |
|
Humana, Inc. |
|
|
14,850 |
|
|
|
5,148,792 |
|
Informatica, Inc., Class A (f) |
|
|
38,540 |
|
|
|
1,348,900 |
|
Ingersoll Rand, Inc. |
|
|
127,661 |
|
|
|
12,121,412 |
|
Intel Corp. |
|
|
15,386 |
|
|
|
679,600 |
|
International Bancshares Corp. |
|
|
854 |
|
|
|
47,944 |
|
Intuitive Surgical, Inc. (f) |
|
|
15,848 |
|
|
|
6,324,778 |
|
Invesco S&P 500 Equal Weight ETF |
|
|
39,270 |
|
|
|
6,651,160 |
|
Johnson & Johnson |
|
|
31,322 |
|
|
|
4,954,827 |
|
JPMorgan Chase & Co. |
|
|
102,587 |
|
|
|
20,548,176 |
|
Lam Research Corp. |
|
|
1,050 |
|
|
|
1,020,149 |
|
Landsea Homes Corp. (f) |
|
|
42,391 |
|
|
|
615,941 |
|
Las Vegas Sands Corp. |
|
|
8,436 |
|
|
|
436,141 |
|
Latch, Inc. (f) |
|
|
142,273 |
|
|
|
110,973 |
|
Lions Gate Entertainment Corp., Class A
(f) |
|
|
38,588 |
|
|
|
383,951 |
|
Lions Gate Entertainment Corp., Class B (f) |
|
|
1,375 |
|
|
|
12,801 |
|
LKQ Corp. |
|
|
151,506 |
|
|
|
8,091,935 |
|
Lockheed Martin Corp. |
|
|
9,464 |
|
|
|
4,304,890 |
|
LPL Financial Holdings, Inc. |
|
|
38,021 |
|
|
|
10,045,148 |
|
M/I Homes, Inc. (f) |
|
|
4,300 |
|
|
|
586,047 |
|
Marathon Petroleum Corp. |
|
|
5,414 |
|
|
|
1,090,921 |
|
Marsh & McLennan Cos., Inc. |
|
|
65,085 |
|
|
|
13,406,208 |
|
Mastercard, Inc., Class A |
|
|
48,883 |
|
|
|
23,540,586 |
|
McDonalds Corp. |
|
|
9,830 |
|
|
|
2,771,569 |
|
McKesson Corp. |
|
|
3,319 |
|
|
|
1,781,805 |
|
Merck & Co., Inc. |
|
|
119,628 |
|
|
|
15,784,915 |
|
Meta Platforms, Inc., Class A |
|
|
3,719 |
|
|
|
1,805,872 |
|
MGM Resorts International (f) |
|
|
12,625 |
|
|
|
596,026 |
|
Micron Technology, Inc. |
|
|
108,800 |
|
|
|
12,826,432 |
|
Microsoft Corp. |
|
|
140,142 |
|
|
|
58,960,542 |
|
Mirion Technologies, Inc., Class A(f) |
|
|
696,512 |
|
|
|
7,919,341 |
|
Mr. Cooper Group, Inc. (f) |
|
|
9,944 |
|
|
|
775,135 |
|
Mythic AI, Inc., Series C, (Acquired 01/26/21, Cost: $560,518)
(e)(f)(g) |
|
|
816 |
|
|
|
|
|
Nestle SA, Class N, Registered Shares |
|
|
56,936 |
|
|
|
6,049,448 |
|
New York Community Bancorp, Inc., Class A |
|
|
27,700 |
|
|
|
89,194 |
|
NextEra Energy, Inc. (h) |
|
|
125,403 |
|
|
|
8,014,506 |
|
Northrop Grumman Corp. |
|
|
15,662 |
|
|
|
7,496,773 |
|
NVIDIA Corp. |
|
|
32,475 |
|
|
|
29,343,111 |
|
Oracle Corp. |
|
|
93,227 |
|
|
|
11,710,243 |
|
Palladyne AI Corp. (f) |
|
|
7,517 |
|
|
|
13,606 |
|
Paramount Global, Class B |
|
|
7,878 |
|
|
|
92,724 |
|
Park Hotels & Resorts, Inc. |
|
|
21,852 |
|
|
|
382,191 |
|
Playstudios, Inc., Class A (f) |
|
|
226,924 |
|
|
|
630,849 |
|
PNC Financial Services Group, Inc. |
|
|
12,651 |
|
|
|
2,044,402 |
|
Progressive Corp. |
|
|
47,104 |
|
|
|
9,742,049 |
|
RXO, Inc. (f) |
|
|
5,629 |
|
|
|
123,106 |
|
|
|
|
|
|
|
|
|
|
Security |
|
Shares |
|
|
Value |
|
|
United States (continued) |
|
Salesforce, Inc. |
|
|
37,675 |
|
|
$ |
11,346,956 |
|
Sanofi SA |
|
|
57,475 |
|
|
|
5,591,422 |
|
Sarcos Technology & Robotics Corp.(f) |
|
|
164,721 |
|
|
|
298,145 |
|
Screaming Eagle Acquisition Corp., Class A
(f) |
|
|
34,840 |
|
|
|
372,788 |
|
Sempra |
|
|
187,144 |
|
|
|
13,442,554 |
|
Smith Douglas Homes Corp., Class A (f) |
|
|
27,051 |
|
|
|
803,415 |
|
Snorkel AI, Inc., (Acquired 06/30/21, Cost: $189,563)
(e)(f)(g) |
|
|
12,621 |
|
|
|
96,172 |
|
Sonder Holdings, Inc., Class A (f) |
|
|
11,166 |
|
|
|
33,051 |
|
Space Exploration Technologies Corp., (Acquired 08/21/23, Cost: $1,663,335), A shares (e)(f)(g) |
|
|
20,535 |
|
|
|
1,991,895 |
|
Space Exploration Technologies Corp., (Acquired 08/21/23, Cost: $1,785,240), C shares (e)(f)(g) |
|
|
22,040 |
|
|
|
2,137,880 |
|
SPDR S&P Biotech ETF |
|
|
45,000 |
|
|
|
4,270,050 |
|
SPDR S&P Regional Banking ETF |
|
|
3,707 |
|
|
|
186,388 |
|
Sun Country Airlines Holdings, Inc. (f) |
|
|
175,935 |
|
|
|
2,654,859 |
|
Texas Capital Bancshares, Inc. (f) |
|
|
1,817 |
|
|
|
111,836 |
|
Thermo Fisher Scientific, Inc. |
|
|
19,809 |
|
|
|
11,513,189 |
|
TJX Cos., Inc. |
|
|
74,278 |
|
|
|
7,533,275 |
|
Transocean Ltd. (f) |
|
|
255,487 |
|
|
|
1,604,458 |
|
U.S. Steel Corp. |
|
|
4,893 |
|
|
|
199,537 |
|
United Parcel Service, Inc., Class B |
|
|
41,070 |
|
|
|
6,104,234 |
|
UnitedHealth Group, Inc. (h) |
|
|
28,354 |
|
|
|
14,026,724 |
|
Valero Energy Corp. |
|
|
25,880 |
|
|
|
4,417,457 |
|
Veralto Corp. |
|
|
62,016 |
|
|
|
5,498,339 |
|
Vertex Pharmaceuticals, Inc. (f) |
|
|
3,823 |
|
|
|
1,598,052 |
|
Visa, Inc., Class A |
|
|
15,139 |
|
|
|
4,224,992 |
|
Vistra Corp. |
|
|
19,683 |
|
|
|
1,370,921 |
|
Volato Group, Inc., Class A Lock Up, (Acquired 12/03/23, Cost: $98) (e)(f)(g) |
|
|
19,506 |
|
|
|
54,617 |
|
Walmart, Inc. |
|
|
207,068 |
|
|
|
12,459,282 |
|
Walt Disney Co. |
|
|
100,545 |
|
|
|
12,302,686 |
|
Wells Fargo & Co. |
|
|
102,756 |
|
|
|
5,955,738 |
|
Wynn Resorts Ltd. |
|
|
8,000 |
|
|
|
817,840 |
|
Zoetis, Inc., Class A |
|
|
12,652 |
|
|
|
2,140,845 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
720,626,878 |
|
|
Zambia 0.0% |
|
First Quantum Minerals Ltd. |
|
|
15,875 |
|
|
|
170,640 |
|
|
|
|
|
|
|
|
|
|
|
|
Total Common Stocks 54.2% (Cost: $849,593,599) |
|
|
|
1,042,144,151 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Par (000) |
|
|
|
|
|
|
|
Corporate Bonds |
|
|
|
|
|
|
|
Argentina 0.0% |
|
YPF SA, 9.50%, 01/17/31(a) |
|
|
USD 221 |
|
|
|
224,848 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Australia 0.4% |
|
|
|
|
|
|
AngloGold Ashanti Holdings PLC, 3.75%, 10/01/30 |
|
|
300 |
|
|
|
260,655 |
|
Mineral Resources Ltd., 9.25%, 10/01/28(a) |
|
|
699 |
|
|
|
736,186 |
|
Oceana Australian Fixed Income Trust, A Note
Upsize(e) |
|
|
|
|
|
|
|
|
12.00%, 07/31/25 |
|
|
AUD 1,881 |
|
|
|
1,228,083 |
|
12.50%, 07/31/26 |
|
|
2,822 |
|
|
|
1,850,542 |
|
12.50%, 07/31/27 |
|
|
4,703 |
|
|
|
3,099,341 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,174,807 |
|
|
|
|
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 |
|
5 |
|
|
|
Consolidated Schedule of Investments (unaudited) (continued)
March 31, 2024 |
|
BlackRock Capital Allocation Term Trust (BCAT)
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
Security |
|
Par
(000) |
|
|
Value |
|
|
|
|
Austria 0.0% |
|
|
|
|
|
|
ams-OSRAM AG, 12.25%, 03/30/29(a) |
|
|
USD 200 |
|
|
$ |
200,915 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Belgium(k) 0.0% |
|
|
|
|
|
|
Anheuser-Busch InBev SA, 4.00%, 09/24/25 |
|
|
GBP 100 |
|
|
|
124,475 |
|
KBC Group NV, (1-year UK Government Bond + 0.92%), 1.25%, 09/21/27(b) |
|
|
100 |
|
|
|
115,039 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
239,514 |
|
|
|
|
Brazil 0.2% |
|
|
|
|
|
|
Azul Secured Finance LLP, 11.93%, 08/28/28(a) |
|
|
USD 207 |
|
|
|
210,461 |
|
Banco Votorantim SA, 4.50%, 09/24/24(k) |
|
|
243 |
|
|
|
240,764 |
|
Braskem Netherlands Finance BV(a) 8.50%,
01/12/31 |
|
|
329 |
|
|
|
338,541 |
|
(5-year CMT + 8.22%), 8.50%, 01/23/81(b) |
|
|
354 |
|
|
|
355,217 |
|
Cosan Luxembourg SA, 7.25%, 06/27/31(a) |
|
|
235 |
|
|
|
238,936 |
|
Embraer Netherlands Finance BV, 7.00%,
07/28/30(a) |
|
|
370 |
|
|
|
386,076 |
|
MC Brazil Downstream Trading SARL, 7.25%,
06/30/31(k) |
|
|
190 |
|
|
|
171,421 |
|
Raizen Fuels Finance SA(a) |
|
|
|
|
|
|
|
|
6.45%, 03/05/34 |
|
|
268 |
|
|
|
273,745 |
|
6.95%, 03/05/54 |
|
|
200 |
|
|
|
205,057 |
|
Samarco Mineracao SA, (9.50% PIK), 9.50%,
06/30/31(k)(l) |
|
|
213 |
|
|
|
191,700 |
|
St Marys Cement, Inc./Canada, 5.75%,
04/02/34(a)(c) |
|
|
200 |
|
|
|
198,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,809,918 |
|
|
|
|
Canada 0.7% |
|
|
|
|
|
|
Garda World Security Corp., 9.50%, 11/01/27(a) |
|
|
425 |
|
|
|
426,022 |
|
HR Ottawa LP, 11.00%, 03/31/31(a) |
|
|
9,658 |
|
|
|
10,395,778 |
|
Rogers Communications, Inc., 3.80%, 03/15/32 |
|
|
2,675 |
|
|
|
2,404,018 |
|
Toronto-Dominion Bank, 2.88%, 04/05/27(k) |
|
|
GBP 100 |
|
|
|
118,927 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13,344,745 |
|
|
|
|
Chile 0.1% |
|
|
|
|
|
|
AES Andes SA, 6.30%, 03/15/29(a) |
|
|
USD 200 |
|
|
|
201,932 |
|
Empresa Nacional del Petroleo, 6.15%,
05/10/33(a) |
|
|
200 |
|
|
|
201,437 |
|
Engie Energia Chile SA, 3.40%, 01/28/30(k) |
|
|
395 |
|
|
|
343,156 |
|
Kenbourne Invest SA, 6.88%, 11/26/24(a) |
|
|
300 |
|
|
|
145,688 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
892,213 |
|
|
|
|
China 0.2% |
|
|
|
|
|
|
Fantasia Holdings Group Co. Ltd.(f)(k)(m) |
|
|
|
|
|
|
|
|
6.95%, 12/17/21 |
|
|
320 |
|
|
|
4,800 |
|
11.75%, 04/17/22 |
|
|
520 |
|
|
|
7,800 |
|
9.25%, 07/28/23 |
|
|
1,200 |
|
|
|
18,000 |
|
Fortune Star BVI Ltd., 5.05%, 01/27/27(k) |
|
|
200 |
|
|
|
161,880 |
|
NXP BV/NXP Funding LLC/NXP USA, Inc., 3.40%, 05/01/30 |
|
|
3,260 |
|
|
|
2,955,441 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,147,921 |
|
|
|
|
Colombia 0.0% |
|
|
|
|
|
|
Gran Tierra Energy, Inc., 9.50%, 10/15/29(a) |
|
|
241 |
|
|
|
224,206 |
|
SierraCol Energy Andina LLC, 6.00%, 06/15/28(k) |
|
|
323 |
|
|
|
282,625 |
|
SURA Asset Management SA, 4.88%, 04/17/24(k) |
|
|
210 |
|
|
|
209,385 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
716,216 |
|
|
|
|
Costa Rica 0.0% |
|
|
|
|
|
|
Liberty Costa Rica Senior Secured Finance, |
|
|
|
|
|
|
|
|
10.88%, 01/15/31(a) |
|
|
211 |
|
|
|
221,946 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
Par
(000) |
|
|
Value |
|
|
|
|
Dominican Republic 0.0% |
|
|
|
|
|
|
Aeropuertos Dominicanos Siglo XXI SA, 6.75%,
03/30/29(a) |
|
|
USD 272 |
|
|
$ |
276,590 |
|
|
|
|
|
|
|
|
|
|
|
|
|
France 0.2% |
|
|
|
|
|
|
BNP Paribas SA(k) |
|
|
|
|
|
|
|
|
3.38%, 01/23/26 |
|
|
GBP 100 |
|
|
|
122,251 |
|
1.88%, 12/14/27 |
|
|
100 |
|
|
|
113,412 |
|
Sabena Technics Sas, (Acquired 10/28/22, Cost: $2,048,988), 8.90%, 09/30/29(e)(g) |
|
|
EUR 2,085 |
|
|
|
2,249,129 |
|
Societe Generale SA, 1.88%, 10/03/24(k) |
|
|
GBP 100 |
|
|
|
124,004 |
|
TotalEnergies Capital International SA, 1.66%,
07/22/26(k) |
|
|
100 |
|
|
|
118,297 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,727,093 |
|
|
|
|
Germany 0.4% |
|
|
|
|
|
|
Adler Pelzer Holding GmbH, 9.50%, 04/01/27(a) |
|
|
EUR 1,725 |
|
|
|
1,887,539 |
|
APCOA Parking Holdings GmbH, (3-mo. EURIBOR + 5.00%), 8.94%, 01/15/27(a)(b) |
|
|
852 |
|
|
|
921,478 |
|
Douglas GmbH, 6.00%, 04/08/26(a) |
|
|
702 |
|
|
|
767,198 |
|
Lanxess AG, (13.63% PIK),
13.63%, 03/31/31(e)(l) |
|
|
3,099 |
|
|
|
3,133,902 |
|
Volkswagen Financial Services NV, 1.88%,
12/03/24(k) |
|
|
GBP 100 |
|
|
|
123,351 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,833,468 |
|
|
|
|
Ghana 0.0% |
|
|
|
|
|
|
Kosmos Energy Ltd., 7.50%, 03/01/28(k) |
|
|
USD 202 |
|
|
|
195,751 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Guatemala 0.0% |
|
|
|
|
|
|
Millicom International Cellular SA |
|
|
|
|
|
|
|
|
5.13%, 01/15/28(k) |
|
|
338 |
|
|
|
320,941 |
|
7.38%, 04/02/32(a)(c) |
|
|
200 |
|
|
|
200,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
520,941 |
|
|
|
|
Hong Kong 0.3% |
|
|
|
|
|
|
FWD Group Holdings Ltd.,
8.40%, 04/05/29(a)(c) |
|
|
4,690 |
|
|
|
4,854,150 |
|
Melco Resorts Finance Ltd., 5.38%, 12/04/29(k) |
|
|
250 |
|
|
|
227,547 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,081,697 |
|
|
|
|
India 0.1% |
|
|
|
|
|
|
Adani Green Energy UP Ltd. / Prayatna Developers Pvt. Ltd. / Parampujya Solar Energ, 6.70%, 03/12/42(a) |
|
|
200 |
|
|
|
192,500 |
|
CA Magnum Holdings, 5.38%, 10/31/26(k) |
|
|
200 |
|
|
|
192,000 |
|
Diamond II Ltd., 7.95%, 07/28/26(a) |
|
|
270 |
|
|
|
274,641 |
|
Network i2i Ltd., (5-year CMT +
3.39%), 3.98%(b)(k)(n) |
|
|
300 |
|
|
|
284,719 |
|
ReNew Pvt Ltd., 5.88%, 03/05/27(k) |
|
|
200 |
|
|
|
194,524 |
|
Vedanta Resources Finance II PLC(k) |
|
|
|
|
|
|
|
|
13.88%, 01/21/27 |
|
|
94 |
|
|
|
88,536 |
|
13.88%, 12/09/28 |
|
|
246 |
|
|
|
223,969 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,450,889 |
|
|
|
|
Indonesia(k) 0.1% |
|
|
|
|
|
|
Freeport Indonesia PT, 4.76%, 04/14/27 |
|
|
231 |
|
|
|
225,340 |
|
Medco Oak Tree Pte. Ltd., 7.38%, 05/14/26 |
|
|
300 |
|
|
|
300,281 |
|
Pertamina Persero PT, 3.65%, 07/30/29 |
|
|
354 |
|
|
|
328,999 |
|
Theta Capital Pte. Ltd., 8.13%, 01/22/25 |
|
|
200 |
|
|
|
189,954 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,044,574 |
|
|
|
|
Israel(a)(k) 0.0% |
|
|
|
|
|
|
Energean Israel Finance Ltd., 8.50%, 09/30/33 |
|
|
161 |
|
|
|
159,380 |
|
Leviathan Bond Ltd., 6.75%, 06/30/30 |
|
|
51 |
|
|
|
47,742 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
207,122 |
|
6
|
|
|
Consolidated Schedule of Investments (unaudited) (continued)
March 31, 2024 |
|
BlackRock Capital Allocation Term Trust (BCAT)
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
Security |
|
Par
(000) |
|
|
Value |
|
|
|
|
Italy(a) 0.3% |
|
|
|
|
|
|
Forno dAsolo SpA, (3-mo. EURIBOR + 5.50%), 9.41%, 04/30/27(b) |
|
|
EUR 3,040 |
|
|
$ |
3,218,209 |
|
Marcolin SpA, 6.13%, 11/15/26 |
|
|
540 |
|
|
|
586,832 |
|
Shiba Bidco SpA, 4.50%, 10/31/28 |
|
|
1,882 |
|
|
|
1,936,490 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,741,531 |
|
|
|
|
Jersey 0.1% |
|
|
|
|
|
|
Aston Martin Capital Holdings Ltd., 10.00%,
03/31/29(a) |
|
|
USD 895 |
|
|
|
911,262 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Kuwait(k) 0.0% |
|
|
|
|
|
|
MEGlobal BV |
|
|
|
|
|
|
|
|
4.25%, 11/03/26 |
|
|
297 |
|
|
|
285,306 |
|
2.63%, 04/28/28 |
|
|
253 |
|
|
|
225,644 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
510,950 |
|
|
|
|
Luxembourg(a) 0.1% |
|
|
|
|
|
|
Herens Midco SARL, 5.25%, 05/15/29 |
|
|
EUR 1,006 |
|
|
|
706,437 |
|
Sani/Ikos Financial Holdings 1 SARL, 5.63%, 12/15/26 |
|
|
718 |
|
|
|
751,654 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,458,091 |
|
|
|
|
Macau(k) 0.0% |
|
|
|
|
|
|
MGM China Holdings Ltd., 5.88%, 05/15/26 |
|
|
USD 250 |
|
|
|
246,563 |
|
Studio City Co. Ltd., 7.00%, 02/15/27 |
|
|
300 |
|
|
|
300,281 |
|
Wynn Macau Ltd., 5.63%, 08/26/28 |
|
|
248 |
|
|
|
234,825 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
781,669 |
|
|
|
|
Mexico 0.1% |
|
|
|
|
|
|
Braskem Idesa SAPI, 6.99%, 02/20/32(a) |
|
|
412 |
|
|
|
317,899 |
|
Petroleos Mexicanos |
|
|
|
|
|
|
|
|
4.25%, 01/15/25 |
|
|
248 |
|
|
|
240,987 |
|
8.75%, 06/02/29 |
|
|
533 |
|
|
|
519,935 |
|
5.95%, 01/28/31 |
|
|
652 |
|
|
|
522,513 |
|
6.70%, 02/16/32 |
|
|
306 |
|
|
|
254,745 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,856,079 |
|
|
|
|
Morocco 0.0% |
|
|
|
|
|
|
OCP SA, 3.75%, 06/23/31(k) |
|
|
231 |
|
|
|
195,502 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Netherlands 0.0% |
|
|
|
|
|
|
ING Groep NV, 3.00%, 02/18/26(k) |
|
|
GBP 100 |
|
|
|
121,492 |
|
Sigma Holdco BV, 5.75%, 05/15/26(k) |
|
|
EUR 382 |
|
|
|
387,863 |
|
Trivium Packaging Finance BV, 8.50%,
08/15/27(a) |
|
|
USD 267 |
|
|
|
263,670 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
773,025 |
|
|
|
|
Panama 0.0% |
|
|
|
|
|
|
Aeropuerto Internacional de Tocumen SA, 5.13%,
08/11/61(a) |
|
|
200 |
|
|
|
145,625 |
|
AES Panama Generation Holdings SRL, 4.38%,
05/31/30(k) |
|
|
249 |
|
|
|
216,763 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
362,388 |
|
|
|
|
Peru 0.0% |
|
|
|
|
|
|
Intercorp Peru Ltd., 3.88%, 08/15/29(a) |
|
|
307 |
|
|
|
270,160 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Saudi Arabia 0.0% |
|
|
|
|
|
|
EIG Pearl Holdings SARL, 3.55%, 08/31/36(a) |
|
|
517 |
|
|
|
441,550 |
|
Gaci First Investment Co., 5.13%, 02/14/53(k) |
|
|
250 |
|
|
|
216,875 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
658,425 |
|
|
|
|
Singapore 0.0% |
|
|
|
|
|
|
Puma International Financing SA, 5.00%,
01/24/26(k) |
|
|
200 |
|
|
|
193,875 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
Par
(000) |
|
|
Value |
|
|
|
|
South Africa 0.0% |
|
|
|
|
|
|
Sasol Financing USA LLC |
|
|
|
|
|
|
|
|
4.38%, 09/18/26 |
|
|
USD 204 |
|
|
$ |
191,760 |
|
6.50%, 09/27/28 |
|
|
200 |
|
|
|
190,500 |
|
8.75%, 05/03/29(a) |
|
|
271 |
|
|
|
275,827 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
658,087 |
|
|
|
|
Spain(k) 0.0% |
|
|
|
|
|
|
Banco Santander SA, (1-year UK Government Bond + 1.80%), 3.13%, 10/06/26(b) |
|
|
GBP 300 |
|
|
|
365,064 |
|
Telefonica Emisiones SA, 5.38%, 02/02/26 |
|
|
133 |
|
|
|
168,651 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
533,715 |
|
|
|
|
Sweden 0.1% |
|
|
|
|
|
|
Verisure Holding AB |
|
|
|
|
|
|
|
|
3.25%, 02/15/27(k) |
|
|
EUR 751 |
|
|
|
775,322 |
|
7.13%, 02/01/28(a) |
|
|
414 |
|
|
|
465,563 |
|
Verisure Midholding AB, 5.25%, 02/15/29(k) |
|
|
751 |
|
|
|
781,794 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,022,679 |
|
|
|
|
Switzerland 0.1% |
|
|
|
|
|
|
UBS Group AG, (1-year EURIBOR ICE Swap + 0.77%), 0.65%, 01/14/28(b)(k) |
|
|
2,200 |
|
|
|
2,177,753 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Thailand(a) 0.0% |
|
|
|
|
|
|
Bangkok Bank PCL/Hong Kong |
|
|
|
|
|
|
|
|
5.30%, 09/21/28 |
|
|
USD 241 |
|
|
|
241,899 |
|
5.50%, 09/21/33 |
|
|
441 |
|
|
|
444,616 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
686,515 |
|
|
|
|
Ukraine(k) 0.0% |
|
|
|
|
|
|
Metinvest BV |
|
|
|
|
|
|
|
|
8.50%, 04/23/26 |
|
|
230 |
|
|
|
184,000 |
|
7.65%, 10/01/27 |
|
|
200 |
|
|
|
143,000 |
|
MHP Lux SA, 6.25%, 09/19/29 |
|
|
226 |
|
|
|
161,731 |
|
VF Ukraine PAT via VFU Funding PLC, 6.20%, 02/11/25 |
|
|
334 |
|
|
|
275,550 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
764,281 |
|
|
|
|
United Arab Emirates 0.3% |
|
|
|
|
|
|
DAE Funding LLC, 1.55%, 08/01/24(k) |
|
|
332 |
|
|
|
327,124 |
|
DP World Salaam, (5-year CMT + 5.75%),
6.00%(b)(k)(n) |
|
|
352 |
|
|
|
351,340 |
|
GEMS MENASA Cayman Ltd./GEMS Education Delaware LLC, 7.13%, 07/31/26(a) |
|
|
333 |
|
|
|
333,280 |
|
MDGH GMTN RSC Ltd., 4.38%, 11/22/33(a) |
|
|
329 |
|
|
|
312,961 |
|
Shelf Drilling Holdings Ltd., 9.63%,
04/15/29(a) |
|
|
3,590 |
|
|
|
3,464,350 |
|
Shelf Drilling North Sea Holdings Ltd., 10.25%,
10/31/25(a) |
|
|
1,083 |
|
|
|
1,088,415 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,877,470 |
|
|
|
|
United Kingdom 0.6% |
|
|
|
|
|
|
10X future Technologies Service Ltd., (15.00% PIK), (Acquired 12/19/23, Cost: $1,607,929), 15.00%, 06/19/26(c)(e)(g)(l) |
|
|
GBP 1,301 |
|
|
|
1,658,764 |
|
Barclays PLC(k) |
|
|
|
|
|
|
|
|
3.00%, 05/08/26 |
|
|
100 |
|
|
|
120,529 |
|
3.25%, 02/12/27 |
|
|
100 |
|
|
|
119,370 |
|
BCP V Modular Services Finance II PLC, 6.13%,
11/30/28(a) |
|
|
2,355 |
|
|
|
2,727,143 |
|
BCP V Modular Services Finance PLC, 6.75%,
11/30/29(a) |
|
|
EUR 3,137 |
|
|
|
2,970,107 |
|
BG Energy Capital PLC, 5.13%, 12/01/25(k) |
|
|
GBP 133 |
|
|
|
168,147 |
|
Connect Finco SARL/Connect U.S. Finco LLC, 6.75%,
10/01/26(a) |
|
|
USD 1,700 |
|
|
|
1,666,468 |
|
|
|
|
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 |
|
7 |
|
|
|
Consolidated Schedule of Investments (unaudited) (continued)
March 31, 2024 |
|
BlackRock Capital Allocation Term Trust (BCAT)
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
Security |
|
Par
(000) |
|
|
Value |
|
|
|
|
United Kingdom (continued) |
|
|
|
|
|
|
Deuce Finco PLC, 5.50%, 06/15/27(a) |
|
|
GBP 345 |
|
|
$ |
411,972 |
|
HSBC Holdings PLC, (3-mo. LIBOR GBP + 1.31%), 1.75%, 07/24/27(b) |
|
|
100 |
|
|
|
116,458 |
|
Informa PLC, 3.13%, 07/05/26(k) |
|
|
100 |
|
|
|
120,476 |
|
Kane Bidco Ltd.(a) |
|
|
|
|
|
|
|
|
5.00%, 02/15/27 |
|
|
EUR 478 |
|
|
|
497,356 |
|
6.50%, 02/15/27 |
|
|
GBP 699 |
|
|
|
848,448 |
|
Lloyds Banking Group PLC, 2.25%, 10/16/24(k) |
|
|
100 |
|
|
|
123,986 |
|
NatWest Group PLC(b)(k) |
|
|
|
|
|
|
|
|
(1-year GBP Swap + 1.49%), 2.88%, 09/19/26 |
|
|
100 |
|
|
|
121,629 |
|
(1-year GBP Swap + 2.01%), 3.13%, 03/28/27 |
|
|
100 |
|
|
|
120,810 |
|
Santander U.K. Group Holdings PLC, 3.63%,
01/14/26(k) |
|
|
100 |
|
|
|
122,570 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,914,233 |
|
|
|
|
United States 8.7% |
|
|
|
|
|
|
AbbVie, Inc. |
|
|
|
|
|
|
|
|
3.20%, 11/21/29 |
|
|
USD 2,165 |
|
|
|
1,995,041 |
|
5.05%, 03/15/34 |
|
|
1,169 |
|
|
|
1,183,490 |
|
Affinity Interactive, 6.88%, 12/15/27(a) |
|
|
1,000 |
|
|
|
934,388 |
|
Alexandria Real Estate Equities, Inc., 2.95%, 03/15/34 |
|
|
2,370 |
|
|
|
1,946,993 |
|
Allied Universal Holdco LLC/Allied Universal Finance Corp., 9.75%, 07/15/27(a) |
|
|
499 |
|
|
|
500,499 |
|
Alteryx, Inc., 8.75%, 03/15/28(a) |
|
|
132 |
|
|
|
135,912 |
|
AMC Networks, Inc. |
|
|
|
|
|
|
|
|
4.75%, 08/01/25 |
|
|
509 |
|
|
|
508,359 |
|
10.25%, 01/15/29(a)(c) |
|
|
856 |
|
|
|
862,215 |
|
4.25%, 02/15/29 |
|
|
510 |
|
|
|
361,441 |
|
Amgen, Inc. |
|
|
|
|
|
|
|
|
5.50%, 12/07/26(k) |
|
|
GBP 100 |
|
|
|
128,386 |
|
4.05%, 08/18/29 |
|
|
USD 3,355 |
|
|
|
3,224,772 |
|
Amkor Technology, Inc., 6.63%, 09/15/27(a) |
|
|
400 |
|
|
|
401,997 |
|
Aon North America, Inc., 5.30%, 03/01/31 |
|
|
3,745 |
|
|
|
3,772,983 |
|
Aptiv PLC/Aptiv Corp., 3.25%, 03/01/32 |
|
|
3,000 |
|
|
|
2,609,391 |
|
Ardagh Packaging Finance PLC/Ardagh Holdings USA,
Inc.(a) |
|
|
|
|
|
|
|
|
5.25%, 04/30/25 |
|
|
1,219 |
|
|
|
1,177,591 |
|
5.25%, 08/15/27 |
|
|
202 |
|
|
|
127,260 |
|
AT&T, Inc. |
|
|
|
|
|
|
|
|
2.90%, 12/04/26 |
|
|
GBP 100 |
|
|
|
119,701 |
|
5.50%, 03/15/27(k) |
|
|
50 |
|
|
|
63,806 |
|
Bank of America Corp., (1-day SOFR + 1.53%), 1.90%, 07/23/31(b) |
|
|
USD 3,340 |
|
|
|
2,741,260 |
|
Bausch & Lomb Escrow Corp., 8.38%,
10/01/28(a) |
|
|
40 |
|
|
|
41,386 |
|
Big River Steel LLC/BRS Finance Corp., 6.63%,
01/31/29(a) |
|
|
827 |
|
|
|
831,651 |
|
Breeze Aviation Group, Inc.(e)(g) (Acquired 01/26/24,
Cost: $622,357), 20.00%, 01/30/28 |
|
|
622 |
|
|
|
619,245 |
|
(20.00% PIK) , (Acquired 01/26/24, Cost: $1,244,714), 20.00%, 01/30/28(l) |
|
|
1,245 |
|
|
|
1,238,490 |
|
Broadcom, Inc., 3.42%, 04/15/33(a) |
|
|
2,615 |
|
|
|
2,266,942 |
|
Callon Petroleum Co., 7.50%, 06/15/30(a) |
|
|
255 |
|
|
|
269,662 |
|
Calumet Specialty Products Partners LP/Calumet Finance Corp., 9.75%, 07/15/28(a) |
|
|
1,000 |
|
|
|
988,748 |
|
Champions Financing, Inc., 8.75%, 02/15/29(a) |
|
|
196 |
|
|
|
205,339 |
|
Cinemark Holdings, Inc., 4.50%, 08/15/25(o) |
|
|
4,035 |
|
|
|
5,593,720 |
|
Citigroup, Inc. |
|
|
|
|
|
|
|
|
1.75%, 10/23/26 |
|
|
GBP 100 |
|
|
|
116,560 |
|
(1-day SOFR + 1.36%), 5.17%, 02/13/30(b) |
|
|
USD 1,102 |
|
|
|
1,096,858 |
|
|
|
|
|
|
|
|
|
|
Security |
|
Par
(000) |
|
|
Value |
|
|
|
|
United States (continued) |
|
|
|
|
|
|
Citizens Bank NA/Providence RI, (1-day SOFR + 1.45%), 6.06%, 10/24/25(b) |
|
|
USD 250 |
|
|
$ |
248,997 |
|
Civitas Resources, Inc.(a) |
|
|
|
|
|
|
|
|
5.00%, 10/15/26 |
|
|
1,187 |
|
|
|
1,160,474 |
|
8.38%, 07/01/28 |
|
|
100 |
|
|
|
105,271 |
|
Cloud Software Group, Inc.(a) |
|
|
|
|
|
|
|
|
6.50%, 03/31/29 |
|
|
280 |
|
|
|
265,709 |
|
9.00%, 09/30/29 |
|
|
500 |
|
|
|
479,559 |
|
Clydesdale Acquisition Holdings, Inc., 8.75%,
04/15/30(a) |
|
|
756 |
|
|
|
742,800 |
|
CNX Resources Corp., 7.25%, 03/01/32(a) |
|
|
561 |
|
|
|
570,216 |
|
CommScope Technologies LLC, 6.00%, 06/15/25(a) |
|
|
475 |
|
|
|
413,107 |
|
CommScope, Inc., 6.00%, 03/01/26(a) |
|
|
441 |
|
|
|
403,515 |
|
Crescent Energy Finance LLC, 7.63%, 04/01/32(a) |
|
|
699 |
|
|
|
704,386 |
|
CSC Holdings LLC(a) |
|
|
|
|
|
|
|
|
5.50%, 04/15/27 |
|
|
2,040 |
|
|
|
1,825,216 |
|
11.25%, 05/15/28 |
|
|
448 |
|
|
|
443,942 |
|
11.75%, 01/31/29 |
|
|
985 |
|
|
|
986,536 |
|
DISH DBS Corp., 5.88%, 11/15/24 |
|
|
866 |
|
|
|
829,736 |
|
DISH Network Corp., 0.00%, 12/15/25(o)(p) |
|
|
1,286 |
|
|
|
938,780 |
|
EquipmentShare.com, Inc., 9.00%, 05/15/28(a) |
|
|
2,737 |
|
|
|
2,819,087 |
|
Fiesta Purchaser, Inc., 7.88%, 03/01/31(a) |
|
|
495 |
|
|
|
511,186 |
|
First Horizon Bank, 5.75%, 05/01/30 |
|
|
250 |
|
|
|
236,551 |
|
Flyr Convertible Notes, (8.00% PIK), 8.00%,
08/10/27(e)(l) |
|
|
2,417 |
|
|
|
2,784,460 |
|
Flyr Secured Notes, (10.32% PIK), 10.32%,
05/10/27(e)(l) |
|
|
1,136 |
|
|
|
1,080,380 |
|
Forestar Group, Inc., 5.00%, 03/01/28(a) |
|
|
1,950 |
|
|
|
1,874,940 |
|
Freed Corp., 12.00%, 11/30/28(e) |
|
|
9,390 |
|
|
|
9,237,882 |
|
Freewire Technology Notes, (6.00% PIK) , 6.00%,
02/20/28(e)(l) |
|
|
2,584 |
|
|
|
1,864,002 |
|
Frontier Communications Holdings LLC(a) |
|
|
|
|
|
|
|
|
5.88%, 10/15/27 |
|
|
388 |
|
|
|
375,637 |
|
8.75%, 05/15/30 |
|
|
1,250 |
|
|
|
1,279,028 |
|
8.63%, 03/15/31 |
|
|
745 |
|
|
|
760,890 |
|
Frontier Florida LLC, Series E, 6.86%, 02/01/28 |
|
|
845 |
|
|
|
819,865 |
|
Full House Resorts, Inc., 8.25%, 02/15/28(a) |
|
|
172 |
|
|
|
164,370 |
|
General Motors Co., 5.60%, 10/15/32 |
|
|
1,265 |
|
|
|
1,280,203 |
|
Goldman Sachs Group, Inc., 7.25%, 04/10/28 |
|
|
GBP 50 |
|
|
|
68,223 |
|
GoTo Group, Inc., 5.50%, 05/01/28(a) |
|
|
USD 1,673 |
|
|
|
1,290,138 |
|
HCA, Inc., 3.63%, 03/15/32 |
|
|
2,120 |
|
|
|
1,876,702 |
|
Howard Hughes Corp.(a) |
|
|
|
|
|
|
|
|
4.13%, 02/01/29 |
|
|
1,002 |
|
|
|
900,555 |
|
4.38%, 02/01/31 |
|
|
1,102 |
|
|
|
956,939 |
|
Insight M, Inc., 7.00%, 01/25/29(e) |
|
|
663 |
|
|
|
675,133 |
|
JPMorgan Chase & Co.(b) |
|
|
|
|
|
|
|
|
(1-day SOFR + 1.62%), 5.34%, 01/23/35 |
|
|
548 |
|
|
|
550,141 |
|
(3-mo. LIBOR GBP + 0.68%), 0.99%, 04/28/26(k)
|
|
|
GBP 100 |
|
|
|
120,688 |
|
Kraft Heinz Foods Co., 3.75%, 04/01/30 |
|
|
USD 3,150 |
|
|
|
2,954,818 |
|
Landsea Homes Corp., 11.00%, 07/17/28(e) |
|
|
9,310 |
|
|
|
9,135,903 |
|
Lessen, Inc., 13.83%, 01/05/28(a)(e) |
|
|
1,990 |
|
|
|
1,818,580 |
|
Level 3 Financing, Inc. |
|
|
|
|
|
|
|
|
4.63%, 09/15/27 |
|
|
559 |
|
|
|
371,735 |
|
11.00%, 11/15/29(a) |
|
|
1,064 |
|
|
|
1,106,764 |
|
LGI Homes, Inc., 8.75%, 12/15/28(a) |
|
|
2,163 |
|
|
|
2,282,253 |
|
Lightning eMotors, Inc.,
7.50%, 05/15/24(a)(f)(m)(o) |
|
|
945 |
|
|
|
28,350 |
|
Lions Gate Capital Holdings LLC, 5.50%,
04/15/29(a) |
|
|
1,508 |
|
|
|
1,153,675 |
|
Lowes Cos., Inc., 2.63%, 04/01/31 |
|
|
2,960 |
|
|
|
2,547,024 |
|
Matador Resources Co., 6.50%, 04/15/32(a)(c) |
|
|
929 |
|
|
|
930,127 |
|
Mauser Packaging Solutions Holding Co., 7.88%,
08/15/26(a) |
|
|
2,240 |
|
|
|
2,282,002 |
|
8
|
|
|
Consolidated Schedule of Investments (unaudited) (continued)
March 31, 2024 |
|
BlackRock Capital Allocation Term Trust (BCAT)
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
Security |
|
Par
(000) |
|
|
Value |
|
|
|
|
United States (continued) |
|
|
|
|
|
|
Morgan Stanley(b) |
|
|
|
|
|
|
|
|
(1-day SOFR + 1.02%), 1.93%, 04/28/32 |
|
|
USD 3,055 |
|
|
$ |
2,452,113 |
|
(1-day SOFR + 1.73%), 5.47%, 01/18/35 |
|
|
441 |
|
|
|
444,942 |
|
Nationstar Mortgage Holdings, Inc.(a) |
|
|
|
|
|
|
|
|
6.00%, 01/15/27 |
|
|
181 |
|
|
|
178,432 |
|
5.50%, 08/15/28 |
|
|
846 |
|
|
|
809,691 |
|
5.75%, 11/15/31 |
|
|
366 |
|
|
|
337,580 |
|
7.13%, 02/01/32 |
|
|
764 |
|
|
|
758,768 |
|
NCR Atleos Corp., 9.50%, 04/01/29(a) |
|
|
430 |
|
|
|
459,932 |
|
Olympus Water U.S. Holding Corp., 9.75%,
11/15/28(a) |
|
|
2,000 |
|
|
|
2,130,433 |
|
Paramount Global, 7.88%, 07/30/30 |
|
|
179 |
|
|
|
186,997 |
|
Parsley Energy LLC/Parsley Finance Corp., 4.13%,
02/15/28(a) |
|
|
1,275 |
|
|
|
1,215,890 |
|
PennyMac Financial Services, Inc., 7.88%,
12/15/29(a) |
|
|
358 |
|
|
|
367,861 |
|
Permian Resources Operating LLC, 7.00%,
01/15/32(a) |
|
|
572 |
|
|
|
593,401 |
|
Pfizer Investment Enterprises Pte. Ltd., 4.75%, 05/19/33 |
|
|
1,867 |
|
|
|
1,838,218 |
|
Pioneer Midco Notes, (10.50% PIK), 10.50%,
11/18/30(a)(e)(l) |
|
|
4,377 |
|
|
|
4,360,692 |
|
Pitney Bowes, Inc., 6.88%, 03/15/27(a) |
|
|
2,120 |
|
|
|
1,935,799 |
|
Rand Parent LLC, 8.50%, 02/15/30(a) |
|
|
837 |
|
|
|
828,848 |
|
Republic Services, Inc., 1.45%, 02/15/31 |
|
|
3,080 |
|
|
|
2,452,381 |
|
RingCentral, Inc., 8.50%, 08/15/30(a) |
|
|
680 |
|
|
|
707,019 |
|
Sabre GLBL, Inc.(a) |
|
|
|
|
|
|
|
|
8.63%, 06/01/27 |
|
|
1,007 |
|
|
|
883,665 |
|
11.25%, 12/15/27 |
|
|
1,308 |
|
|
|
1,227,569 |
|
Sally Holdings LLC/Sally Capital, Inc., 6.75%, 03/01/32 |
|
|
1,041 |
|
|
|
1,032,861 |
|
Seagate HDD Cayman |
|
|
|
|
|
|
|
|
8.25%, 12/15/29(a) |
|
|
569 |
|
|
|
611,370 |
|
8.50%, 07/15/31(a) |
|
|
326 |
|
|
|
352,296 |
|
9.63%, 12/01/32 |
|
|
550 |
|
|
|
626,614 |
|
Service Properties Trust, 8.63%, 11/15/31(a) |
|
|
1,704 |
|
|
|
1,817,209 |
|
Sitio Royalties Operating Partnership LP/Sitio Finance Corp., 7.88%, 11/01/28(a) |
|
|
813 |
|
|
|
840,887 |
|
Sonder Secured Notes, (14.35% PIK), 14.35%,
01/19/27(e)(l) |
|
|
9,170 |
|
|
|
8,093,037 |
|
Spirit AeroSystems, Inc.(a) |
|
|
|
|
|
|
|
|
9.38%, 11/30/29 |
|
|
742 |
|
|
|
809,364 |
|
9.75%, 11/15/30 |
|
|
1,131 |
|
|
|
1,265,098 |
|
Stem, Inc., 0.50%, 12/01/28(a)(o) |
|
|
200 |
|
|
|
97,490 |
|
STL Holding Co. LLC, 8.75%, 02/15/29(a) |
|
|
709 |
|
|
|
727,640 |
|
Surgery Center Holdings, Inc., 7.25%, 04/15/32(a)(c)
|
|
|
863 |
|
|
|
869,702 |
|
Talos Production, Inc., 9.38%, 02/01/31(a) |
|
|
371 |
|
|
|
395,507 |
|
Tenneco, Inc., 8.00%, 11/17/28(a) |
|
|
1,648 |
|
|
|
1,503,698 |
|
Texas Capital Bancshares, Inc., (5-year CMT + 3.15%), 4.00%, 05/06/31(b) |
|
|
174 |
|
|
|
150,106 |
|
Texas Capital Bank NA, (1-mo. LIBOR US + 4.50%), 10.09%, 09/30/24(a)(b) |
|
|
2,764 |
|
|
|
2,751,252 |
|
T-Mobile U.S., Inc., 2.70%, 03/15/32 |
|
|
2,955 |
|
|
|
2,484,970 |
|
Transocean Titan Financing Ltd., 8.38%,
02/01/28(a) |
|
|
424 |
|
|
|
441,261 |
|
Transocean, Inc., 8.75%, 02/15/30(a) |
|
|
405 |
|
|
|
422,284 |
|
Truist Financial Corp., (1-day SOFR + 1.62%), 5.44%, 01/24/30(b) |
|
|
451 |
|
|
|
450,474 |
|
Uber Technologies, Inc., Series 2028, 0.88%,
12/01/28(a)(o) |
|
|
753 |
|
|
|
931,461 |
|
Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, 10.50%, 02/15/28(a) |
|
|
611 |
|
|
|
633,441 |
|
|
|
|
|
|
|
|
|
|
Security |
|
Par
(000) |
|
|
Value |
|
|
|
|
United States (continued) |
|
|
|
|
|
|
Univision Communications, Inc., 8.00%, 08/15/28(a)
|
|
|
USD 335 |
|
|
$ |
341,285 |
|
Vantage Drilling International, 9.50%,
02/15/28(a) |
|
|
1,352 |
|
|
|
1,365,520 |
|
Verizon Communications, Inc., 1.13%, 11/03/28 |
|
|
GBP 100 |
|
|
|
108,673 |
|
Viasat, Inc., 5.63%, 04/15/27(a) |
|
|
USD 352 |
|
|
|
333,327 |
|
Vistra Operations Co. LLC, 7.75%, 10/15/31(a) |
|
|
320 |
|
|
|
335,130 |
|
Vital Energy, Inc., 7.88%, 04/15/32(a) |
|
|
477 |
|
|
|
484,569 |
|
Westbay 4A2, 11.00%, 02/06/30(e) |
|
|
9,314 |
|
|
|
9,151,005 |
|
Xerox Holdings Corp.(a) |
|
|
|
|
|
|
|
|
5.00%, 08/15/25 |
|
|
498 |
|
|
|
491,394 |
|
8.88%, 11/30/29 |
|
|
101 |
|
|
|
102,895 |
|
Zayo Group Holdings, Inc., 4.00%, 03/01/27(a) |
|
|
263 |
|
|
|
216,487 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
166,729,099 |
|
|
|
|
Zambia 0.0% |
|
|
|
|
|
|
First Quantum Minerals Ltd., 9.38%, 03/01/29(a) |
|
|
200 |
|
|
|
207,476 |
|
|
|
|
|
|
|
|
|
|
|
|
Total Corporate Bonds 13.1% (Cost: $254,417,629) |
|
|
|
252,595,433 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Fixed Rate Loan Interests |
|
|
|
|
|
|
|
|
|
India 0.1% |
|
|
|
|
|
|
Vedanta Hold Mauritius II Ltd., Delayed Draw Term Loan, 18.00%, 04/17/26 |
|
|
1,963 |
|
|
|
1,963,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
United States(e) 0.6% |
|
|
|
|
|
|
AMF MF Portfolio, Term Loan, 6.67%, 11/01/28 |
|
|
2,975 |
|
|
|
2,976,825 |
|
CML ST Regis Aspen, Term Loan, 7.27%, 02/09/27 |
|
|
6,480 |
|
|
|
6,480,644 |
|
OD Intermediate SUBI Holdco II LLC, Mezzanine Term Loan, 10.00%, 01/23/26 |
|
|
2,665 |
|
|
|
2,580,015 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12,037,484 |
|
|
|
|
|
|
|
|
|
|
|
|
Total Fixed Rate Loan Interests 0.7% (Cost: $13,976,087) |
|
|
|
14,000,484 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Floating Rate Loan Interests(b) |
|
|
|
|
|
|
|
|
|
Colombia 0.2% |
|
|
|
|
|
|
Ecopetrol SA, 2023 Term Loan, (6-mo. CME Term SOFR + 4.75%), 10.00%, 09/06/30(e) |
|
|
3,600 |
|
|
|
3,708,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Ireland 0.2% |
|
|
|
|
|
|
Promontoria Beech Designated Activity Co., EUR Term Loan, (1-mo. EURIBOR + 3.75%), 7.61%, 05/17/27(e) |
|
|
EUR 3,177 |
|
|
|
3,418,931 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Jersey(e) 0.4% |
|
|
|
|
|
|
Vita Global Finco Ltd. |
|
|
|
|
|
|
|
|
EUR Term Loan B, (6-mo. EURIBOR + 7.00%), 10.95%, 07/06/27 |
|
|
4,749 |
|
|
|
4,938,176 |
|
GBP Incremental Term Loan, (1-day SONIA + 7.00%), 12.19%, 07/06/27 |
|
|
GBP 2,850 |
|
|
|
3,466,312 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,404,488 |
|
|
|
|
Luxembourg 0.2% |
|
|
|
|
|
|
Euro Parfums Fze, Term Loan
B, 06/23/28(e)(q) |
|
|
USD 603 |
|
|
|
593,955 |
|
Speed Midco 3 S.a r.l., EUR Term Loan B1, (3-mo. EURIBOR + 6.40%), 10.30%, 05/16/29 |
|
|
EUR 2,566 |
|
|
|
2,816,730 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,410,685 |
|
|
|
|
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 |
|
9 |
|
|
|
Consolidated Schedule of Investments (unaudited) (continued)
March 31, 2024 |
|
BlackRock Capital Allocation Term Trust (BCAT)
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
Security |
|
Par
(000) |
|
|
Value |
|
|
|
|
Netherlands 0.2% |
|
|
|
|
|
|
Cypher Bidco BV, EUR Term Loan, (6-mo. EURIBOR + 4.50%), 8.60%, 12/30/28(e) |
|
|
EUR 1,827 |
|
|
$ |
1,875,756 |
|
Upfield BV, 2023 GBP Term Loan B8, (1-day SONIA + 5.75%), 10.98%, 01/03/28 |
|
|
GBP 1,388 |
|
|
|
1,732,699 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,608,455 |
|
|
|
|
United States 3.4% |
|
|
|
|
|
|
Alorica, Inc., 2022 Term Loan, (1-mo. CME Term SOFR at 1.50% Floor + 6.88%), 12.21%, 12/21/27(e) |
|
|
USD 3,144 |
|
|
|
3,065,516 |
|
Altar Bidco, Inc., 2021 2nd Lien Term Loan, (12-mo. CME Term SOFR at 0.50% Floor + 5.60%), 10.40%,
02/01/30 |
|
|
2,078 |
|
|
|
2,047,646 |
|
City Brewing Co. LLC, Closing Date Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 3.76%), 9.08%,
04/05/28 |
|
|
692 |
|
|
|
531,088 |
|
CML Hyatt Lost Pines, Term Loan, (1-mo. CME Term SOFR at 1.00% Floor + 3.66%), 8.87%, 09/09/26(e) |
|
|
5,000 |
|
|
|
4,923,257 |
|
CML La Quinta Resort, Term Loan, (1-mo. CME Term SOFR + 3.20%), 8.44%, 12/09/26(e) |
|
|
5,966 |
|
|
|
5,821,722 |
|
Coreweave Compute Acquisition Co. II, LLC, Delayed Draw Term Loan, (3-mo. CME Term SOFR + 8.75%),
14.06%, 06/30/28(e) |
|
|
7,431 |
|
|
|
7,399,220 |
|
Cotiviti, Inc., 2024 Term Loan, 02/21/31(q) |
|
|
370 |
|
|
|
378,346 |
|
ECL Entertainment, LLC, 2023 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 4.75%), 10.08%,
08/31/30 |
|
|
2,956 |
|
|
|
2,964,274 |
|
EIS Buyer, Inc., Revolver, (1-mo. CME Term SOFR at 0.75% Floor + 7.00%), 12.33%, 07/10/28(e) |
|
|
373 |
|
|
|
364,035 |
|
EIS Group, Inc., Term Loan, (1-mo. CME Term SOFR + 7.00%), 12.33%, 05/01/28(e) |
|
|
3,734 |
|
|
|
3,640,355 |
|
Emerald Electronics Manufacturing Services, Term Loan, (3-mo. CME Term SOFR at 1.00% Floor + 6.40%),
11.74%, 12/29/27(e) |
|
|
1,123 |
|
|
|
1,010,610 |
|
Galaxy Universal LLC, 1st Lien Term Loan, (3-mo. CME Term SOFR at 1.00% Floor + 6.15%), 11.46%, 11/12/26(e) |
|
|
13,025 |
|
|
|
12,813,789 |
|
GoTo Group, Inc. |
|
|
|
|
|
|
|
|
2024 Second Out Term Loan, (1-mo. CME Term SOFR + 4.85%), 10.17%, 04/30/28 |
|
|
879 |
|
|
|
669,393 |
|
2024 New Money Term Loan, (1-mo. CME Term SOFR + 4.85%), 10.17%, 04/30/28 |
|
|
1,127 |
|
|
|
1,068,755 |
|
Green Plains Operating Co. LLC, Term Loan, (3-mo. LIBOR US + 8.00%), 13.59%, 07/20/26(e) |
|
|
6,556 |
|
|
|
6,425,216 |
|
Helios Service Partners LLC(e) |
|
|
|
|
|
|
|
|
2023 Delayed Draw Term Loan, (3-mo. CME Term SOFR at 1.00% Floor + 6.25%), 11.82%, 03/19/27 |
|
|
1,120 |
|
|
|
1,114,407 |
|
2023 Term Loan B, (3-mo. CME Term SOFR at 1.00% Floor + 6.51%), 11.81%, 03/19/27 |
|
|
617 |
|
|
|
613,579 |
|
Hydrofarm Holdings LLC, 2021 Term Loan, (1-mo. CME Term SOFR at -4.50% Floor + 5.61%), 10.83%, 10/25/28(e) |
|
|
1,872 |
|
|
|
1,506,546 |
|
Level 3 Financing, Inc.(e) |
|
|
|
|
|
|
|
|
2024 Extended Term Loan B1, (1-week CME Term SOFR at 2.00% Floor + 6.56%), 11.81%, 04/15/29 |
|
|
426 |
|
|
|
423,237 |
|
2024 Extended Term Loan B2, (1-week CME Term SOFR at 2.00% Floor + 6.56%), 11.81%, 04/15/30 |
|
|
430 |
|
|
|
426,343 |
|
|
|
|
|
|
|
|
|
|
Security |
|
Par
(000) |
|
|
Value |
|
|
|
|
United States (continued) |
|
|
|
|
|
|
Maverick Gaming LLC, Term Loan B, (3-mo. CME Term SOFR + 7.76%), 13.10%, 09/03/26 |
|
|
USD 921 |
|
|
$ |
644,899 |
|
Medical Solutions Holdings, Inc., 2021 2nd Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 7.10%),
12.43%, 11/01/29 |
|
|
1,052 |
|
|
|
840,285 |
|
Orion Group Holdco LLC, 2024 Incremental Delayed Draw Term Loan, 0.00%, 03/19/27(e) |
|
|
620 |
|
|
|
620,073 |
|
Orion Group Holdco, LLC(e) |
|
|
|
|
|
|
|
|
2022 1st Amendment Term Loan, (3-mo. CME Term SOFR at 1.00% Floor + 6.76%), 12.06%, 03/19/27 |
|
|
117 |
|
|
|
117,183 |
|
2022 First A&R Amendment Incremental DDTL, (3-mo. CME Term SOFR at 1.00% Floor + 6.76%), 12.06%,
03/19/27 |
|
|
525 |
|
|
|
525,395 |
|
Delayed Draw Term Loan, (3-mo. CME Term SOFR + 6.26%), 11.56%, 03/19/27 |
|
|
198 |
|
|
|
195,979 |
|
First Lien Delayed Draw Term Loan, (3-mo. CME Term SOFR at 1.00% Floor + 6.26%), 11.56%,
03/19/27 |
|
|
1,174 |
|
|
|
1,174,372 |
|
First Lien Term Loan, (3-mo. CME Term SOFR at 1.00% Floor + 6.26%), 11.56%, 03/19/27 |
|
|
100 |
|
|
|
100,459 |
|
Term Loan, (3-mo. CME Term SOFR at 1.00% Floor + 6.26%), 11.56%, 03/19/27 |
|
|
20 |
|
|
|
19,577 |
|
Project Montage(e) |
|
|
|
|
|
|
|
|
PIK Revolver, (Prime + 5.00%), 13.50%, 02/16/29 |
|
|
66 |
|
|
|
65,808 |
|
PIK Term Loan, (Prime + 5.00%), 12.00%, 02/16/29 |
|
|
1,185 |
|
|
|
1,184,538 |
|
Quartz Acquireco LLC, Term Loan B, (3-mo. CME Term SOFR + 3.50%), 8.81%, 06/28/30 |
|
|
174 |
|
|
|
174,343 |
|
Redstone Holdco 2 LP |
|
|
|
|
|
|
|
|
2021 2nd Lien Term Loan, (1-mo. CME Term SOFR + 7.86%), 13.19%, 04/27/29 |
|
|
620 |
|
|
|
365,800 |
|
2021 Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 4.86%), 10.19%, 04/27/28 |
|
|
1,906 |
|
|
|
1,568,366 |
|
Xerox Corp., 2023 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.33%, 11/17/29 . |
|
|
89 |
|
|
|
89,070 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
64,893,481 |
|
|
|
|
|
|
|
|
|
|
|
|
Total Floating Rate Loan Interests 4.6% (Cost: $89,546,473) |
|
|
|
87,444,040 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Foreign Agency Obligations |
|
|
|
|
|
|
|
|
|
Bahrain 0.0% |
|
|
|
|
|
|
Bahrain Government International Bond, 5.45%,
09/16/32(k) |
|
|
257 |
|
|
|
235,396 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Brazil 0.6% |
|
|
|
|
|
|
Brazil Letras do Tesouro Nacional, 0.00%,
07/01/24(p) |
|
|
BRL 55 |
|
|
|
10,616,827 |
|
Brazilian Government International Bond, 7.13%, 05/13/54 |
|
|
USD 458 |
|
|
|
461,664 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,078,491 |
|
|
|
|
Chile 0.0% |
|
|
|
|
|
|
Chile Government International Bond, 4.34%, 03/07/42 |
|
|
478 |
|
|
|
417,204 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Colombia 0.0% |
|
|
|
|
|
|
Colombia Government International Bond 3.88%, 04/25/27 |
|
|
200 |
|
|
|
188,100 |
|
10
|
|
|
Consolidated Schedule of Investments (unaudited) (continued)
March 31, 2024 |
|
BlackRock Capital Allocation Term Trust (BCAT)
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
Security |
|
Par
(000) |
|
|
Value |
|
|
Colombia (continued) |
|
Colombia Government International Bond (continued) |
|
|
|
|
|
|
|
|
3.13%, 04/15/31 |
|
|
USD 200 |
|
|
$ |
159,500 |
|
8.00%, 04/20/33 |
|
|
224 |
|
|
|
236,544 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
584,144 |
|
|
Costa Rica 0.0% |
|
Costa Rica Government International Bond, 7.30%,
11/13/54(a) |
|
|
210 |
|
|
|
223,191 |
|
|
|
|
|
|
|
|
|
|
|
Dominican Republic 0.1% |
|
Dominican Republic International Bond |
|
|
|
|
|
|
|
|
5.95%, 01/25/27(k) |
|
|
517 |
|
|
|
513,898 |
|
4.50%, 01/30/30(a) |
|
|
420 |
|
|
|
381,570 |
|
7.05%, 02/03/31(a) |
|
|
360 |
|
|
|
372,825 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,268,293 |
|
|
Egypt 0.0% |
|
Egypt Government International Bond |
|
|
|
|
|
|
|
|
7.63%, 05/29/32(k) |
|
|
219 |
|
|
|
186,766 |
|
8.50%, 01/31/47(a) |
|
|
400 |
|
|
|
317,500 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
504,266 |
|
|
Guatemala 0.1% |
|
Guatemala Government Bond |
|
|
|
|
|
|
|
|
7.05%, 10/04/32(a) |
|
|
410 |
|
|
|
435,113 |
|
3.70%, 10/07/33(k) |
|
|
298 |
|
|
|
246,275 |
|
6.60%, 06/13/36(a) |
|
|
230 |
|
|
|
234,959 |
|
4.65%, 10/07/41(a) |
|
|
351 |
|
|
|
282,007 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,198,354 |
|
|
Honduras 0.0% |
|
Honduras Government International Bond, 5.63%,
06/24/30(a) |
|
|
195 |
|
|
|
173,276 |
|
|
|
|
|
|
|
|
|
|
|
Hungary 0.1% |
|
Hungary Government International Bond |
|
|
|
|
|
|
|
|
5.38%, 09/12/33(k) |
|
|
EUR 319 |
|
|
|
362,951 |
|
5.50%, 03/26/36(a) |
|
|
USD 200 |
|
|
|
194,312 |
|
Magyar Export-Import Bank, 6.00%, 05/16/29(k) |
|
|
EUR 384 |
|
|
|
437,193 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
994,456 |
|
|
Ivory Coast(k) 0.0% |
|
Ivory Coast Government International Bond |
|
|
|
|
|
|
|
|
6.38%, 03/03/28 |
|
|
USD 618 |
|
|
|
609,889 |
|
5.88%, 10/17/31 |
|
|
EUR 153 |
|
|
|
152,271 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
762,160 |
|
|
Jordan 0.0% |
|
Jordan Government International Bond, 4.95%,
07/07/25(k) |
|
|
USD 200 |
|
|
|
194,125 |
|
|
|
|
|
|
|
|
|
|
|
Kenya 0.0% |
|
Republic of Kenya Government International Bond, 9.75%,
02/16/31(a) |
|
|
249 |
|
|
|
254,602 |
|
|
|
|
|
|
|
|
|
|
|
Mexico 0.1% |
|
Mexico Government International Bond |
|
|
|
|
|
|
|
|
2.66%, 05/24/31 |
|
|
594 |
|
|
|
495,396 |
|
6.35%, 02/09/35 |
|
|
550 |
|
|
|
568,219 |
|
6.34%, 05/04/53 |
|
|
200 |
|
|
|
197,813 |
|
6.40%, 05/07/54 |
|
|
229 |
|
|
|
228,785 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,490,213 |
|
|
|
|
|
|
|
|
|
|
Security |
|
Par
(000) |
|
|
Value |
|
|
Montenegro 0.0% |
|
Montenegro Government International Bond, 2.88%,
12/16/27(k) |
|
|
EUR 186 |
|
|
$ |
183,170 |
|
|
|
|
|
|
|
|
|
|
|
Morocco 0.0% |
|
Morocco Government International Bond, 5.95%,
03/08/28(a) |
|
|
USD 200 |
|
|
|
202,250 |
|
|
|
|
|
|
|
|
|
|
|
Nigeria 0.0% |
|
Nigeria Government International Bond |
|
|
|
|
|
|
|
|
8.38%, 03/24/29(a) |
|
|
353 |
|
|
|
344,286 |
|
7.63%, 11/28/47(k) |
|
|
244 |
|
|
|
189,786 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
534,072 |
|
|
Oman(k) 0.0% |
|
Oman Government International Bond |
|
|
|
|
|
|
|
|
6.50%, 03/08/47 |
|
|
219 |
|
|
|
220,779 |
|
6.75%, 01/17/48 |
|
|
227 |
|
|
|
232,533 |
|
Oman Sovereign Sukuk Co., 4.40%, 06/01/24 |
|
|
238 |
|
|
|
237,108 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
690,420 |
|
|
Panama 0.1% |
|
Panama Government International Bond |
|
|
|
|
|
|
|
|
7.50%, 03/01/31 |
|
|
202 |
|
|
|
209,196 |
|
6.40%, 02/14/35 |
|
|
374 |
|
|
|
352,682 |
|
8.00%, 03/01/38 |
|
|
200 |
|
|
|
209,200 |
|
6.85%, 03/28/54 |
|
|
200 |
|
|
|
180,700 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
951,778 |
|
|
Paraguay 0.0% |
|
Republic of Paraguay, 2.74%, 01/29/33(k) |
|
|
395 |
|
|
|
319,703 |
|
|
|
|
|
|
|
|
|
|
|
Peru 0.1% |
|
Corp. Financiera de Desarrollo SA, 4.75%,
07/15/25(k) |
|
|
406 |
|
|
|
401,505 |
|
Peruvian Government International Bond |
|
|
|
|
|
|
|
|
2.78%, 01/23/31 |
|
|
250 |
|
|
|
214,766 |
|
1.86%, 12/01/32 |
|
|
850 |
|
|
|
648,922 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,265,193 |
|
|
Poland 0.1% |
|
Bank Gospodarstwa Krajowego, 6.25%, 10/31/28(a)
|
|
|
200 |
|
|
|
208,760 |
|
Republic of Poland Government International Bond |
|
|
|
|
|
|
|
|
4.88%, 10/04/33 |
|
|
220 |
|
|
|
216,491 |
|
5.50%, 04/04/53 |
|
|
348 |
|
|
|
347,899 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
773,150 |
|
|
Republic of North Macedonia 0.0% |
|
North Macedonia Government International Bond, 6.96%, 03/13/27(k) |
|
|
EUR 187 |
|
|
|
211,202 |
|
|
|
|
|
|
|
|
|
|
|
Romania 0.1% |
|
Romanian Government International Bond |
|
|
|
|
|
|
|
|
5.25%, 11/25/27(a) |
|
|
USD 206 |
|
|
|
203,103 |
|
2.88%, 03/11/29(k) |
|
|
EUR 473 |
|
|
|
470,589 |
|
2.50%, 02/08/30(k) |
|
|
503 |
|
|
|
479,916 |
|
2.12%, 07/16/31(k) |
|
|
490 |
|
|
|
432,160 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,585,768 |
|
|
Saudi Arabia 0.0% |
|
Saudi Government International Bond, 5.00%,
01/18/53(a) |
|
|
USD 658 |
|
|
|
588,910 |
|
|
|
|
|
|
|
|
|
|
|
|
|
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 |
|
11 |
|
|
|
Consolidated Schedule of Investments (unaudited) (continued)
March 31, 2024 |
|
BlackRock Capital Allocation Term Trust (BCAT)
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
Security |
|
Par
(000) |
|
|
Value |
|
|
Senegal 0.0% |
|
Senegal Government International Bond, 6.25%,
05/23/33(k) |
|
|
USD 278 |
|
|
$ |
237,169 |
|
|
|
|
|
|
|
|
|
|
|
South Africa 0.0% |
|
Republic of South Africa Government International Bond |
|
|
|
|
|
|
|
|
5.88%, 04/20/32 |
|
|
380 |
|
|
|
342,475 |
|
5.00%, 10/12/46 |
|
|
353 |
|
|
|
237,039 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
579,514 |
|
|
Spain(a)(k) 0.3% |
|
Spain Government Bond |
|
|
|
|
|
|
|
|
2.90%, 10/31/46 |
|
|
EUR 2,252 |
|
|
|
2,164,334 |
|
3.45%, 07/30/66 |
|
|
2,440 |
|
|
|
2,447,442 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,611,776 |
|
|
Ukraine(f)(m) 0.0% |
|
Ukraine Government International Bond |
|
|
|
|
|
|
|
|
7.75%, 09/01/25(k) |
|
|
USD 261 |
|
|
|
97,223 |
|
8.99%, 02/01/26(k) |
|
|
413 |
|
|
|
155,907 |
|
7.25%, 03/15/35(a) |
|
|
444 |
|
|
|
128,982 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
382,112 |
|
|
United Kingdom(k) 0.3% |
|
United Kingdom Gilt |
|
|
|
|
|
|
|
|
3.75%, 10/22/53 |
|
|
GBP 1,911 |
|
|
|
2,150,921 |
|
0.50%, 10/22/61 |
|
|
10,627 |
|
|
|
4,159,144 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,310,065 |
|
|
Uzbekistan 0.0% |
|
Republic of Uzbekistan International Bond, 7.85%,
10/12/28(a) |
|
|
USD 209 |
|
|
|
218,601 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Foreign Agency Obligations 2.0% (Cost: $41,821,157) |
|
|
|
|
|
|
39,023,024 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares |
|
|
|
|
|
|
Investment Companies |
|
|
|
|
|
|
United States 0.9% |
|
iShares iBoxx $ Investment Grade Corporate Bond ETF
(r) |
|
|
37,594 |
|
|
|
4,094,738 |
|
iShares JP Morgan USD Emerging Markets Bond ETF
(r) |
|
|
71,155 |
|
|
|
6,380,469 |
|
iShares MSCI Brazil ETF (r) |
|
|
23,271 |
|
|
|
754,446 |
|
iShares Russell 2000 ETF (r) |
|
|
9,800 |
|
|
|
2,060,940 |
|
iShares Russell Mid-Cap Growth ETF (r) |
|
|
3,986 |
|
|
|
454,962 |
|
VanEck J. P. Morgan EM Local Currency Bond ETF |
|
|
87,582 |
|
|
|
2,146,635 |
|
VanEck Semiconductor ETF (f) |
|
|
5,362 |
|
|
|
1,206,396 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investment Companies 0.9% (Cost: $16,142,138) |
|
|
|
|
|
|
17,098,586 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
Par
(000) |
|
|
Value |
|
|
|
Municipal Bonds |
|
|
|
|
|
|
Puerto Rico(b) 0.2% |
|
Commonwealth of Puerto Rico, GO |
|
|
|
|
|
|
|
|
0.00%, 11/01/51 |
|
|
USD 4,482 |
|
|
$ |
2,118,864 |
|
Series A-1, 0.00%, 11/01/43 |
|
|
393 |
|
|
|
227,024 |
|
Commonwealth of Puerto Rico, RB, 0.00%, 11/01/51 |
|
|
1,911 |
|
|
|
771,589 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Municipal Bonds 0.2% (Cost: $2,852,412) |
|
|
|
|
|
|
3,117,477 |
|
|
|
|
|
|
|
|
|
|
|
|
Non-Agency Mortgage-Backed Securities |
|
|
|
|
|
|
United States 4.9% |
|
Ajax Mortgage Loan Trust(a) |
|
|
|
|
|
|
|
|
Series 2020-C, Class C, 0.01%, 09/27/60 |
|
|
17 |
|
|
|
14,277 |
|
Series 2020-C, Class RW, 0.00%, 09/25/60 |
|
|
13 |
|
|
|
13,121 |
|
Series 2020-D, Class RW, 0.00%, 09/25/60 |
|
|
19 |
|
|
|
19,318 |
|
Series 2021-E, Class B3, 3.96%, 12/25/60(b) |
|
|
950 |
|
|
|
257,121 |
|
Series 2021-E, Class SA, 0.00%, 12/25/60(b) |
|
|
11 |
|
|
|
4,896 |
|
Series 2021-E, Class XS, 0.00%, 12/25/60(b) |
|
|
12,977 |
|
|
|
511,986 |
|
BAMLL Commercial Mortgage
Securities Trust(a)(b) |
|
|
|
|
|
|
|
|
Series 2017-SCH, Class AL, (1-mo. Term SOFR + 0.95%), 6.27%, 11/15/32 |
|
|
2,000 |
|
|
|
1,985,762 |
|
Series 2018-DSNY, Class D, (1-mo. Term SOFR + 2.00%), 7.32%, 09/15/34 |
|
|
2,000 |
|
|
|
1,985,000 |
|
BFLD Trust, Series 2021-EYP, Class E, (1-mo. Term SOFR + 3.81%), 9.14%, 10/15/35(a)(b) |
|
|
790 |
|
|
|
86,583 |
|
BX Commercial Mortgage Trust(a)(b) |
|
|
|
|
|
|
|
|
Series 2020-VIV3, Class B, 3.54%, 03/09/44 |
|
|
1,600 |
|
|
|
1,406,974 |
|
Series 2020-VKNG, Class G, (1-mo. Term SOFR + 3.36%), 8.69%, 10/15/37 |
|
|
1,610 |
|
|
|
1,562,617 |
|
Series 2021-MFM1, Class G, (1-mo. Term SOFR + 4.01%), 9.34%, 01/15/34 |
|
|
1,364 |
|
|
|
1,324,785 |
|
BX Trust, Series 2021-VIEW, Class E, (1-mo. Term SOFR + 3.71%), 9.04%, 06/15/36(a)(b) |
|
|
897 |
|
|
|
829,782 |
|
Cold Storage Trust, Series 2020-ICE5, Class F, (1-mo. Term SOFR + 3.61%), 8.92%, 11/15/37(a)(b) |
|
|
3,932 |
|
|
|
3,916,585 |
|
Commercial Mortgage Trust(b) |
|
|
|
|
|
|
|
|
Series 2015-CR25, Class C, 4.52%, 08/10/48 |
|
|
2,000 |
|
|
|
1,915,211 |
|
Series 2019-GC44, Class 180B, 3.40%,
08/15/57(a) |
|
|
1,900 |
|
|
|
1,773,376 |
|
Credit Suisse Mortgage Capital Certificates
Trust(a)(b) |
|
|
|
|
|
|
|
|
Series 2019-ICE4, Class F, (1-mo. Term SOFR + 2.70%), 8.02%, 05/15/36 |
|
|
3,392 |
|
|
|
3,381,961 |
|
Series 2020-FACT, Class F, (1-mo. Term SOFR + 6.52%), 11.85%, 10/15/37 |
|
|
1,700 |
|
|
|
1,491,684 |
|
Series 2020-NET, Class D, 3.70%, 08/15/37 |
|
|
1,275 |
|
|
|
1,171,820 |
|
Series 2021-980M, Class E, 3.54%, 07/15/31 |
|
|
2,410 |
|
|
|
2,125,506 |
|
Series 2021-BHAR, Class E, (1-mo. Term SOFR + 3.61%), 8.94%, 11/15/38 |
|
|
2,500 |
|
|
|
2,464,940 |
|
Series 2022-LION, Class A, (1-mo. Term SOFR + 3.44%), 8.76%, 02/15/25(e) |
|
|
3,400 |
|
|
|
3,256,582 |
|
CSMC Trust, Series 2020-FACT, Class E, (1-mo. Term SOFR + 5.23%), 10.55%, 10/15/37(a)(b) |
|
|
730 |
|
|
|
680,532 |
|
Deephaven Residential Mortgage Trust, Series 2021-1, Class B2, 3.96%, 05/25/65(a)(b) |
|
|
1,550 |
|
|
|
1,298,817 |
|
FREMF Trust, Series 2018-W5FX, Class CFX, 3.54%,
04/25/28(a)(b) |
|
|
437 |
|
|
|
374,869 |
|
12
|
|
|
Consolidated Schedule of Investments (unaudited) (continued)
March 31, 2024 |
|
BlackRock Capital Allocation Term Trust (BCAT)
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
Security |
|
Par
(000) |
|
|
Value |
|
|
United States (continued) |
|
GS Mortgage Securities Corp. Trust, Series 2021-IP, Class E, (1-mo. Term SOFR + 3.66%), 8.99%, 10/15/36(a)(b) |
|
|
USD 1,540 |
|
|
$ |
1,514,642 |
|
Imperial Fund Mortgage Trust, Series 2020-NQM1, Class B1, 4.00%, 10/25/55(a)(b) |
|
|
3,602 |
|
|
|
2,997,311 |
|
JP Morgan Mortgage Trust(a)(b) |
|
|
|
|
|
|
|
|
Series 2021-1, Class A3X, 0.50%, 06/25/51 |
|
|
48,531 |
|
|
|
1,407,280 |
|
Series 2021-1, Class AX1, 0.13%, 06/25/51 |
|
|
196,938 |
|
|
|
1,310,916 |
|
Series 2021-1, Class AX4, 0.40%, 06/25/51 |
|
|
12,576 |
|
|
|
267,413 |
|
Series 2021-1, Class B4, 3.03%, 06/25/51 |
|
|
797 |
|
|
|
600,097 |
|
Series 2021-1, Class B5, 3.03%, 06/25/51 |
|
|
957 |
|
|
|
707,166 |
|
Series 2021-1, Class B6, 2.96%, 06/25/51 |
|
|
1,536 |
|
|
|
599,813 |
|
Series 2021-4, Class B4, 2.90%, 08/25/51 |
|
|
1,191 |
|
|
|
886,622 |
|
Series 2021-4, Class B5, 2.90%, 08/25/51 |
|
|
893 |
|
|
|
595,493 |
|
Series 2021-4, Class B6, 2.90%, 08/25/51 |
|
|
2,177 |
|
|
|
824,115 |
|
Lehman Brothers Small Balance Commercial Mortgage Trust, Series 2007-2A, Class M2, (1-mo. Term SOFR +
0.71%), 6.04%, 06/25/37(a)(b) |
|
|
2,735 |
|
|
|
2,218,137 |
|
MCM Trust(e) |
|
|
|
|
|
|
|
|
3.00%, 08/25/28(s) |
|
|
3,287 |
|
|
|
2,155,934 |
|
2.50%, 01/01/59(a) |
|
|
4,192 |
|
|
|
4,025,453 |
|
MED Trust, Series 2021-MDLN, Class G, (1-mo. Term SOFR + 5.36%), 10.69%, 11/15/38(a)(b) |
|
|
4,923 |
|
|
|
4,914,143 |
|
New Residential Mortgage Loan Trust(a)(b) |
|
|
|
|
|
|
|
|
Series 2019-RPL2, Class B3, 4.01%, 02/25/59 |
|
|
9,329 |
|
|
|
6,524,509 |
|
Series 2021-NQ1R, Class B1, 3.53%, 07/25/55 |
|
|
1,370 |
|
|
|
1,079,921 |
|
Series 2021-NQ1R, Class B2, 4.33%, 07/25/55 |
|
|
1,022 |
|
|
|
808,212 |
|
Seasoned Credit Risk Transfer Trust, Series 2020-3, Class BXS, 6.85%, 05/25/60(a)(b) |
|
|
7,610 |
|
|
|
3,627,470 |
|
Seasoned Loans Structured Transaction
Trust(a)(b) |
|
|
|
|
|
|
|
|
Series 2020-2, Class M1, 4.75%, 09/25/60 |
|
|
3,835 |
|
|
|
3,669,797 |
|
Series 2020-3, Class M1, 4.75%, 04/26/60 |
|
|
5,672 |
|
|
|
5,497,025 |
|
Starwood Mortgage Residential Trust, Series 2020- INV, Class B2, 4.26%, 11/25/55(a) |
|
|
1,225 |
|
|
|
958,387 |
|
TVC DSCR(e) |
|
|
|
|
|
|
|
|
Series 21-1, 0.00%, 02/01/51 |
|
|
1,323 |
|
|
|
1,147,132 |
|
Series 21-1, Class A, 2.39%, 02/01/51(a) |
|
|
5,291 |
|
|
|
4,832,213 |
|
Verus Securitization Trust(a)(b) |
|
|
|
|
|
|
|
|
Series 2020-5, Class B1, 3.71%, 05/25/65 |
|
|
2,400 |
|
|
|
2,050,657 |
|
Series 2020-5, Class B2, 4.71%, 05/25/65 |
|
|
1,400 |
|
|
|
1,215,417 |
|
Series 2021-R2, Class B1, 3.25%, 02/25/64 |
|
|
2,735 |
|
|
|
2,016,068 |
|
WaMu Mortgage Pass-Through Certificates Trust, Series 2007-OA6, Class 1A, (12-mo. MTA + 0.81%),
5.90%, 07/25/47(b) |
|
|
1,106 |
|
|
|
872,412 |
|
Wells Fargo Commercial Mortgage Trust, Series 2019-C50, Class XA, 1.41%, 05/15/52(b) |
|
|
22,445 |
|
|
|
1,147,657 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Non-Agency Mortgage-Backed Securities 4.9% (Cost: $102,202,916) |
|
|
|
|
|
|
94,325,517 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Benefical Interest (000) |
|
|
|
|
|
|
Other Interests |
|
|
|
|
|
|
Canada 0.2% |
|
Sprott Private Resource Streaming(e)(t) |
|
|
USD 4,640 |
|
|
|
3,999,216 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Other Interests 0.2% (Cost: $4,681,796) |
|
|
|
|
|
|
3,999,216 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
Par
(000) |
|
|
Value |
|
|
|
Preferred Securities |
|
|
|
|
|
|
Capital Trusts 0.1%(b) |
|
Mexico 0.0% |
|
|
|
|
|
|
|
|
Banco Mercantil del Norte SA, 6.75%(a)(n) |
|
|
USD 501 |
|
|
|
497,712 |
|
|
|
|
|
|
|
|
|
|
|
United States 0.1% |
|
Edison International, 7.88%, 06/15/54 |
|
|
155 |
|
|
|
159,236 |
|
Paramount Global, 6.38%, 03/30/62 |
|
|
1,001 |
|
|
|
924,898 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,084,134 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,581,846 |
|
|
|
|
|
|
Shares |
|
|
|
|
|
|
|
Preferred Stocks 3.5% |
|
|
|
|
|
|
|
|
|
China 0.3% |
|
ByteDance Ltd., Series E-1, (Acquired 11/11/20, Cost: $4,390,747)(e)(f)(g) |
|
|
40,071 |
|
|
|
6,411,360 |
|
|
|
|
|
|
|
|
|
|
|
Finland 0.2% |
|
Aiven, Series D(e)(f) |
|
|
37,890 |
|
|
|
2,611,000 |
|
|
|
|
|
|
|
|
|
|
|
Germany 0.2% |
|
Dr Ing hc F Porsche AG(a) |
|
|
19,136 |
|
|
|
1,903,224 |
|
Volocopter GmbH, Series D, (Acquired 03/03/21, Cost: $4,145,649)(e)(f)(g) |
|
|
780 |
|
|
|
2,154,012 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,057,236 |
|
|
|
|
|
|
|
|
|
|
|
Israel(e)(f)(g) 0.2% |
|
Deep Instinct Ltd. |
|
|
|
|
|
|
|
|
Series D-2, (Acquired 03/19/21, Cost: $2,130,236) |
|
|
350,490 |
|
|
|
1,654,313 |
|
Series D-4, (Acquired 09/20/22, Cost: $2,188,898) |
|
|
310,467 |
|
|
|
1,682,731 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,337,044 |
|
|
United Kingdom 0.1% |
|
10X future Technologies Service Ltd., Series D, (Acquired 12/19/23, Cost: $3,926,032)(e)(f)(g) |
|
|
114,500 |
|
|
|
2,211,097 |
|
|
|
|
|
|
|
|
|
|
|
United States(f) 2.5% |
|
Breeze Aviation Group, Inc., Series B, (Acquired 07/30/21, Cost: $1,800,187)(e)(g) |
|
|
3,333 |
|
|
|
565,510 |
|
Bright Machines, Series C(e) |
|
|
1,457,958 |
|
|
|
3,990,045 |
|
Cap Hill Brands(e) |
|
|
1,185,824 |
|
|
|
284,598 |
|
Caresyntax, Inc.(e) |
|
|
|
|
|
|
|
|
Series C-2 |
|
|
12,214 |
|
|
|
1,167,903 |
|
Series C3 |
|
|
1,759 |
|
|
|
142,198 |
|
Clarify Health(e) |
|
|
345,315 |
|
|
|
2,178,938 |
|
Databricks, Inc., Series G, (Acquired 02/01/21, Cost: $2,392,693)(e)(g) |
|
|
40,470 |
|
|
|
3,290,616 |
|
Dream Finders Homes, Inc., 9.00%(e) |
|
|
10,172 |
|
|
|
9,777,835 |
|
Exo Imaging, Inc., Series C, (Acquired 06/24/21, Cost: $1,482,935)(e)(g) |
|
|
253,147 |
|
|
|
729,063 |
|
GM Cruise Holdings LLC, Class G, (Acquired 03/25/21, Cost: $1,886,159)(e)(g) |
|
|
71,581 |
|
|
|
644,945 |
|
Insight M, Inc., Series D(e) |
|
|
1,942,003 |
|
|
|
665,719 |
|
|
|
|
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 |
|
13 |
|
|
|
Consolidated Schedule of Investments (unaudited) (continued)
March 31, 2024 |
|
BlackRock Capital Allocation Term Trust (BCAT)
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
Security |
|
Shares |
|
|
Value |
|
|
United States (continued) |
|
Jumpcloud, Inc.(e)(g) |
|
|
|
|
|
|
|
|
Series E-1, (Acquired 10/30/20, Cost: $2,052,443) |
|
|
1,125,428 |
|
|
$ |
2,667,264 |
|
Series F, (Acquired 09/03/21, Cost: $443,302) |
|
|
74,023 |
|
|
|
175,435 |
|
Lessen Holdings, Inc., Preference Shares(e) |
|
|
514,906 |
|
|
|
3,223,312 |
|
MNTN Digital, Inc., Series D, (Acquired 11/05/21, Cost: $1,353,207)(e)(g) |
|
|
58,924 |
|
|
|
793,706 |
|
Noodle Partners, Inc., Series C, (Acquired 08/26/21, Cost: $1,751,669)(e)(g) |
|
|
196,272 |
|
|
|
714,430 |
|
NYCB Pipe, Series C, (Acquired 03/07/24, Cost: $1,834,000), 13.00%(g) |
|
|
917 |
|
|
|
1,834,000 |
|
PsiQuantum Corp., Series D, (Acquired 05/21/21, Cost:
$945,402)(e)(g) |
|
|
36,048 |
|
|
|
1,076,754 |
|
RapidSOS, Series C-1(e) |
|
|
1,707,127 |
|
|
|
1,604,699 |
|
Relativity Space, Inc., Series E, (Acquired 05/27/21, Cost: $814,688)(e)(g) |
|
|
35,677 |
|
|
|
755,282 |
|
SambaNova Systems, Inc., Series D, (Acquired 04/09/21, Cost: $1,250,247)(e)(g) |
|
|
13,158 |
|
|
|
889,876 |
|
SCI PH Parent, Inc., Series F, (Acquired 02/10/23, Cost: $1,183,000), 12/31/79(e)(g)(l) |
|
|
1,183 |
|
|
|
1,126,299 |
|
Snorkel AI, Inc., Series C, (Acquired 06/30/21, Cost:
$678,934)(e)(g) |
|
|
45,203 |
|
|
|
344,447 |
|
Ursa Major Technologies, Inc.(e)(g) |
|
|
|
|
|
|
|
|
Series C, (Acquired 09/13/21, Cost: $1,732,297) |
|
|
290,420 |
|
|
|
888,685 |
|
Series D, (Acquired 10/14/22, Cost: $235,803) |
|
|
35,579 |
|
|
|
113,141 |
|
Verge Genomics, Inc.(e)(g) |
|
|
|
|
|
|
|
|
Series B, (Acquired 11/05/21, Cost: $1,626,608) |
|
|
305,363 |
|
|
|
1,975,699 |
|
Series C, (Acquired 09/06/23, Cost: $259,904) |
|
|
36,142 |
|
|
|
260,222 |
|
Versa Networks, Inc., Series E, (Acquired 10/14/22, Cost: $4,906,958), 10/07/32(e)(g)(l) |
|
|
1,681,498 |
|
|
|
6,019,763 |
|
Zero Mass Water, Inc., Series D, (Acquired 07/05/22, Cost: $271,491)(e)(g) |
|
|
6,628 |
|
|
|
148,467 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
48,048,851 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
66,676,588 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Preferred Securities 3.6% (Cost: $82,623,271) |
|
|
|
|
|
|
68,258,434 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Par (000) |
|
|
|
|
|
|
U.S. Government Sponsored Agency Securities |
|
|
|
|
|
|
Commercial Mortgage-Backed Securities 0.0% |
|
Freddie Mac Multifamily Structured Pass Through Certificates, Series KL06, Class XFX, 1.36%, 12/25/29(b) |
|
|
USD 18,250 |
|
|
|
946,845 |
|
|
|
|
|
|
|
|
|
|
|
Mortgage-Backed Securities(u) 8.8% |
|
Uniform Mortgage-Backed Securities |
|
|
|
|
|
|
|
|
3.00%, 04/11/54 |
|
|
9,557 |
|
|
|
8,220,793 |
|
3.50%, 04/11/54 |
|
|
74,731 |
|
|
|
66,875,090 |
|
|
|
|
|
|
|
|
|
|
Security |
|
Par
(000) |
|
|
Value |
|
|
Mortgage-Backed Securities (continued) |
|
Uniform Mortgage-Backed Securities (continued) |
|
|
|
|
|
|
|
|
4.50%, 04/11/54 |
|
|
USD 86,126 |
|
|
$ |
82,011,418 |
|
5.50%, 04/11/54 |
|
|
11,500 |
|
|
|
11,442,917 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
168,550,218 |
|
|
|
|
|
|
|
|
|
|
|
|
Total U.S. Government Sponsored Agency Securities 8.8% (Cost:
$170,187,456) |
|
|
|
169,497,063 |
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury Obligations |
|
|
|
|
|
U.S. Treasury Notes, 4.63%, 09/30/28(v)(w) |
|
|
6,848 |
|
|
|
6,946,606 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total U.S. Treasury Obligations 0.4% (Cost: $6,779,968) |
|
|
|
|
|
|
6,946,606 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares |
|
|
|
|
|
|
Warrants |
|
|
|
|
|
|
Brazil 0.0% |
|
Lavoro Ltd., Class A, (Issued 12/27/22, Exercisable |
|
|
|
|
|
|
|
|
12/27/23, 1 Share for 1 Warrant, Expires |
|
|
|
|
|
|
|
|
12/27/27, Strike Price USD 11.50)(f) |
|
|
25,681 |
|
|
|
12,284 |
|
|
|
|
|
|
|
|
|
|
|
Israel(f) 0.0% |
|
Deep Instinct Ltd., Series C, (Acquired 09/20/22, Cost: $0), (Exercisable 09/20/22, 1 Share for 1 Warrant,
Expires 09/20/32, Strike Price USD 0.01)(e)(g) |
|
|
21,889 |
|
|
|
3,283 |
|
Innovid Corp., (Issued/Exercisable 01/28/21, 1 Share for 1 Warrant, Expires 12/31/27, Strike Price USD
11.50) |
|
|
8,959 |
|
|
|
403 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,686 |
|
|
United Kingdom 0.0% |
|
10X future Technologies Service Ltd., (Acquired 12/19/23, Cost: $0), (Expires 11/17/30, Strike Price GBP
0.01)(e)(f)(g) |
|
|
137,950 |
|
|
|
238,536 |
|
|
|
|
|
|
|
|
|
|
|
United States(f) 0.2% |
|
Cano Health, Inc., (Issued 07/06/20, Exercisable 07/06/21, 0.01 Shares for 1 Warrant, Expires 06/03/26,
Strike Price USD 1,150.00) |
|
|
33,630 |
|
|
|
3 |
|
Caresyntax, Inc., (Exercisable 06/30/23, 1 Share for 1 Warrant, Expires 06/21/33, Strike Price USD 0.01)(e) |
|
|
1,386 |
|
|
|
132,515 |
|
Crown PropTech Acquisitions, (Issued 02/05/21, 1 Share for 1 Warrant, Expires 02/01/26, Strike Price USD
11.50)(e) |
|
|
74,120 |
|
|
|
2,994 |
|
Crown PropTech Acquisitions, (Issued/Exercisable 01/25/21, 1 Share for 1 Warrant, Expires 12/31/27, Strike
Price USD 11.50)(e) |
|
|
44,352 |
|
|
|
|
|
CXApp, Inc., Class A, (Issued/Exercisable 02/02/21, 1 Share for 1 Warrant, Expires 12/15/25, Strike
Price USD 11.50) |
|
|
184,015 |
|
|
|
28,412 |
|
EVgo, Inc., (Issued/Exercisable 11/10/20, 1 Share for 1 Warrant, Expires 09/15/25, Strike Price USD
11.50) |
|
|
40,220 |
|
|
|
7,602 |
|
14
|
|
|
Consolidated Schedule of Investments (unaudited) (continued)
March 31, 2024 |
|
BlackRock Capital Allocation Term Trust (BCAT)
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
Security |
|
Shares |
|
|
Value |
|
|
United States (continued) |
|
Flyr Warrants, (Issued/Exercisable 05/10/22, 1 Share for 1 Warrant, Expires 05/10/32, Strike Price USD 3.95)(e) |
|
|
5,990 |
|
|
$ |
31,867 |
|
Hawkeye 360, (Issued 07/07/23, 1 Share for 1 Warrant, Expires 07/07/33, Strike Price USD 11.17)(e) |
|
|
19,736 |
|
|
|
48,353 |
|
Hawkeye 360, (Issued 07/07/23, 1 Share for 1 Warrant, Expires 07/07/33, Strike Price USD 0.01)(e) |
|
|
173,677 |
|
|
|
824,966 |
|
Hippo Holdings, Inc., (Issued/Exercisable 01/04/21, 0.04 Shares for 1 Warrant, Expires 08/02/26, Strike Price
USD 287.50) |
|
|
11,689 |
|
|
|
199 |
|
Latch, Inc., (Issued/Exercisable 12/29/20, 1 Sharefor 1 Warrant, Expires 06/04/26, Strike Price USD
11.50) |
|
|
10,196 |
|
|
|
103 |
|
Lightning eMotors, Inc., (Issued/Exercisable 05/13/20, 1 Share for 1 Warrant, Expires 05/18/25, Strike Price
USD 11.50) |
|
|
82,174 |
|
|
|
82 |
|
New York Community Bancorp, Inc. Series C, PIPE, Series D, (Acquired 03/07/24, Cost: $0),
(Issued/Exercisable 03/11/24, 1,000 Shares for 1 Warrant, Expires 03/11/31, Strike Price USD 2.50)(g) |
|
|
550 |
|
|
|
|
|
Offerpad Solutions, Inc., (Issued/Exercisable 10/13/20, 1 Share for 1 Warrant, Expires 09/01/26, Strike Price
USD 11.50) |
|
|
60,706 |
|
|
|
194 |
|
Palladyne AI Corp., Class A, (Issued/Exercisable 12/21/20, 1 Share for 1 Warrant, Expires 09/24/26,
Strike Price USD 11.50) |
|
|
68,671 |
|
|
|
3,502 |
|
Pear Therapeutics, Inc., (Issued/Exercisable 03/23/21, 1 Share for 1 Warrant, Expires 12/03/26, Strike Price
USD 11.50)(e) |
|
|
9,900 |
|
|
|
|
|
RapidSOS, (Expires 12/13/33, Strike Price USD
0.01)(e) |
|
|
946,544 |
|
|
|
880,286 |
|
Sarcos Technology & Robotics Corp., (Issued 01/15/21, 1 Share for 1 Warrant, Expires 06/15/27,
Strike Price USD 69.00) |
|
|
25,291 |
|
|
|
1,290 |
|
Sonder Holdings, Inc., (Issued 11/19/20, Exercisable 01/19/21, 1 Share for 1 Warrant, Expires 11/19/26,
Strike Price USD 12.50)(e) |
|
|
126,000 |
|
|
|
1 |
|
Versa Networks, Inc., (Acquired 10/14/22, Cost: $0), (Exercisable 10/14/22, 1 Share for 1 Warrant, Expires
10/07/32, Strike Price USD 0.01)(e)(g) |
|
|
207,248 |
|
|
|
630,034 |
|
Volato Group, Inc., (Acquired 12/03/23, Cost: $48,765), (Expires 12/03/28, Strike Price USD 11.50)(e)(g) |
|
|
48,765 |
|
|
|
5,364 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,597,767 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Warrants 0.2% (Cost: $833,650) |
|
|
|
|
|
|
2,852,273 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Long-Term Investments 101.3% (Cost: $1,791,194,577) |
|
|
|
|
|
|
1,946,165,829 |
|
|
|
|
|
|
|
|
|
|
|
|
Short-Term Securities |
|
|
|
|
|
|
Money Market Funds 5.2% |
|
BlackRock Liquidity Funds, T-Fund, Institutional Class,
5.19%(r)(x) |
|
|
98,453,645 |
|
|
|
98,453,645 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
Par
(000) |
|
|
Value |
|
|
U.S. Treasury Obligations 0.0% |
|
U.S. Treasury Bills, 5.42%, 05/09/24(s) |
|
|
USD 309 |
|
|
|
307,281 |
|
|
|
|
|
|
|
|
|
|
|
|
Total Short-Term Securities 5.2% (Cost: $98,760,947) |
|
|
|
98,760,926 |
|
|
|
|
|
|
|
|
|
|
|
|
Options Purchased 0.3% (Cost: $8,050,688) |
|
|
|
6,949,676 |
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments Before Options Written 106.8%
(Cost: $1,898,006,212) |
|
|
|
2,051,876,431 |
|
|
|
|
|
|
|
|
|
|
|
|
Options Written (0.2)% (Premiums Received: $(4,206,421)) |
|
|
|
(3,814,116 |
) |
|
|
|
|
|
|
|
|
|
|
|
Total Investments, Net of Options Written 106.6% (Cost: $1,893,799,791) |
|
|
|
2,048,062,315 |
|
Liabilities in Excess of Other Assets (6.6)% |
|
|
|
(125,945,054 |
) |
|
|
|
|
|
|
|
|
|
|
|
Net Assets 100.0% |
|
|
$ |
1,922,117,261 |
|
|
|
|
|
|
|
|
|
|
(a) |
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. |
(b) |
Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period
end. Security description also includes the reference rate and spread if published and available. |
(c) |
When-issued security. |
(d) |
Step coupon security. Coupon rate will either increase (step-up bond) or decrease (step-down bond) at regular intervals
until maturity. Interest rate shown reflects the rate currently in effect. |
(e) |
Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.
|
(f) |
Non-income producing security. |
(g) |
Restricted security as to resale, excluding 144A securities. The Trust held restricted securities with a current value
of $69,320,882, representing 3.6% of its net assets as of period end, and an original cost of $77,923,824. |
(h) |
All or a portion of the security has been pledged and/or segregated as collateral in connection with outstanding
exchange-traded options written. |
(i) |
All or a portion of the security is held by a wholly-owned subsidiary. |
(j) |
Investment does not issue shares. |
(k) |
This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the
Securities Act of 1933. |
(l) |
Payment-in-kind security which may pay interest/dividends in additional par/shares and/or in cash. Rates shown are the
current rate and possible payment rates. |
(m) |
Issuer filed for bankruptcy and/or is in default. |
(n) |
Perpetual security with no stated maturity date. |
(o) |
Convertible security. |
(q) |
Represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known
prior to the settlement date, including coupon rate. |
(r) |
Affiliate of the Trust. |
(s) |
Rates are discount rates or a range of discount rates as of period end. |
(t) |
Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities.
|
(u) |
Represents or includes a TBA transaction. |
(v) |
All or a portion of the security has been pledged as collateral in connection with outstanding OTC derivatives.
|
(w) |
All or a portion of the security has been pledged as collateral in connection with outstanding TBA commitments.
|
(x) |
Annualized 7-day yield as of period end.
|
|
|
|
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 |
|
15 |
|
|
|
Consolidated Schedule of Investments (unaudited) (continued)
March 31, 2024 |
|
BlackRock Capital Allocation Term Trust (BCAT) |
Affiliates
Investments in issuers considered to be
affiliate(s) of the Trust during the period ended March 31, 2024 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Affiliated Issuer |
|
Value at 12/31/23 |
|
|
Purchases at Cost |
|
|
Proceeds from Sales |
|
|
Net Realized Gain (Loss) |
|
|
Change
in Unrealized Appreciation (Depreciation) |
|
|
Value at 03/31/24 |
|
|
Shares Held at 03/31/24 |
|
|
Income |
|
|
Capital Gain Distributions from Underlying Funds |
|
BlackRock Liquidity Funds, T-Fund, Institutional Class |
|
$ |
78,480,297 |
|
|
$ |
19,973,348 |
(a) |
|
$ |
|
|
|
$ |
|
|
|
$ |
|
|
|
$ |
98,453,645 |
|
|
|
98,453,645 |
|
|
$ |
1,355,817 |
|
|
$ |
|
|
iShares iBoxx $ Investment Grade Corporate Bond ETF |
|
|
4,160,152 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(65,414 |
) |
|
|
4,094,738 |
|
|
|
37,594 |
|
|
|
29,392 |
|
|
|
|
|
iShares JP Morgan USD Emerging Markets Bond ETF |
|
|
6,337,064 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
43,405 |
|
|
|
6,380,469 |
|
|
|
71,155 |
|
|
|
53,578 |
|
|
|
|
|
iShares MSCI Brazil ETF |
|
|
813,554 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(59,108 |
) |
|
|
754,446 |
|
|
|
23,271 |
|
|
|
|
|
|
|
|
|
iShares Russell 2000 ETF |
|
|
1,966,958 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
93,982 |
|
|
|
2,060,940 |
|
|
|
9,800 |
|
|
|
5,117 |
|
|
|
|
|
iShares Russell Mid-Cap Growth ETF |
|
|
416,378 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
38,584 |
|
|
|
454,962 |
|
|
|
3,986 |
|
|
|
471 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
|
|
|
$ |
51,449 |
|
|
$ |
112,199,200 |
|
|
|
|
|
|
$ |
1,444,375 |
|
|
$ |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) |
Represents net amount purchased (sold). |
|
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Number of Contracts |
|
|
Expiration Date |
|
|
Notional Amount (000) |
|
Value/ Unrealized Appreciation (Depreciation) |
|
Long Contracts |
|
|
|
|
|
|
|
|
|
|
|
Euro BOBL |
|
|
738 |
|
|
|
06/06/24 |
|
|
$ 94,150 |
|
$ |
309,758 |
|
Euro Bund |
|
|
390 |
|
|
|
06/06/24 |
|
|
56,120 |
|
|
395,107 |
|
Euro-Schatz |
|
|
109 |
|
|
|
06/06/24 |
|
|
12,430 |
|
|
(1,858 |
) |
OSE Nikkei 225 |
|
|
54 |
|
|
|
06/13/24 |
|
|
14,402 |
|
|
193,910 |
|
U.S. Long Bond |
|
|
220 |
|
|
|
06/18/24 |
|
|
26,496 |
|
|
557,138 |
|
Ultra U.S. Treasury Bond |
|
|
47 |
|
|
|
06/18/24 |
|
|
6,063 |
|
|
67,716 |
|
Euro Stoxx Banks Index |
|
|
100 |
|
|
|
06/21/24 |
|
|
731 |
|
|
55,658 |
|
MSCI Emerging Markets Index |
|
|
14 |
|
|
|
06/21/24 |
|
|
734 |
|
|
(7,090 |
) |
NASDAQ 100 E-Mini Index |
|
|
26 |
|
|
|
06/21/24 |
|
|
9,607 |
|
|
133,713 |
|
Long Gilt |
|
|
43 |
|
|
|
06/26/24 |
|
|
5,424 |
|
|
104,879 |
|
5-Year U.S. Treasury Note |
|
|
2,355 |
|
|
|
06/28/24 |
|
|
252,022 |
|
|
(69,150 |
) |
Carbon Emissions(a) |
|
|
9 |
|
|
|
12/16/24 |
|
|
600 |
|
|
(87,173 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,652,608 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Short Contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
30-Year Euro Buxl Bond |
|
|
21 |
|
|
|
06/06/24 |
|
|
3,077 |
|
|
(57,564 |
) |
Euro BTP |
|
|
265 |
|
|
|
06/06/24 |
|
|
34,024 |
|
|
(489,110 |
) |
Euro OAT |
|
|
17 |
|
|
|
06/06/24 |
|
|
2,351 |
|
|
(13,587 |
) |
10-Year Japanese Government Treasury Bonds |
|
|
40 |
|
|
|
06/13/24 |
|
|
38,547 |
|
|
(93,996 |
) |
10-Year U.S. Treasury Note |
|
|
536 |
|
|
|
06/18/24 |
|
|
59,387 |
|
|
(151,657 |
) |
10-Year U.S. Ultra Long Treasury Note |
|
|
2,074 |
|
|
|
06/18/24 |
|
|
237,700 |
|
|
(2,231,095 |
) |
E-mini Russell 2000 Index |
|
|
42 |
|
|
|
06/21/24 |
|
|
4,506 |
|
|
(101,621 |
) |
Euro Stoxx 50 Index |
|
|
141 |
|
|
|
06/21/24 |
|
|
7,683 |
|
|
(173,247 |
) |
S&P 500 E-Mini Index |
|
|
386 |
|
|
|
06/21/24 |
|
|
102,454 |
|
|
(2,037,110 |
) |
2-Year U.S. Treasury Note |
|
|
1,393 |
|
|
|
06/28/24 |
|
|
284,847 |
|
|
267,238 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(5,081,749 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(3,429,141 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) |
All or a portion of the security is held by a wholly-owned subsidiary. |
|
16
|
|
|
Consolidated Schedule of Investments (unaudited) (continued)
March 31, 2024 |
|
BlackRock Capital Allocation Term Trust (BCAT) |
Forward Foreign Currency Exchange Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Currency Purchased |
|
|
Currency Sold |
|
|
Counterparty |
|
Settlement Date |
|
|
Unrealized Appreciation (Depreciation) |
|
USD |
|
|
187,039 |
|
|
EUR |
|
|
171,331 |
|
|
Citibank N.A. |
|
|
05/16/24 |
|
|
$ |
1,882 |
|
USD |
|
|
146,241 |
|
|
EUR |
|
|
133,078 |
|
|
JPMorgan Chase Bank N.A. |
|
|
05/16/24 |
|
|
|
2,424 |
|
USD |
|
|
219,710 |
|
|
EUR |
|
|
199,940 |
|
|
JPMorgan Chase Bank N.A. |
|
|
05/16/24 |
|
|
|
3,635 |
|
USD |
|
|
371,024 |
|
|
EUR |
|
|
337,641 |
|
|
JPMorgan Chase Bank N.A. |
|
|
05/16/24 |
|
|
|
6,136 |
|
USD |
|
|
420,391 |
|
|
EUR |
|
|
382,556 |
|
|
JPMorgan Chase Bank N.A. |
|
|
05/16/24 |
|
|
|
6,964 |
|
USD |
|
|
543,591 |
|
|
EUR |
|
|
494,718 |
|
|
JPMorgan Chase Bank N.A. |
|
|
05/16/24 |
|
|
|
8,951 |
|
USD |
|
|
2,432,021 |
|
|
EUR |
|
|
2,213,362 |
|
|
JPMorgan Chase Bank N.A. |
|
|
05/16/24 |
|
|
|
40,045 |
|
CHF |
|
|
218,193 |
|
|
USD |
|
|
242,854 |
|
|
Deutsche Bank AG |
|
|
06/20/24 |
|
|
|
1,186 |
|
CHF |
|
|
245,118 |
|
|
USD |
|
|
273,914 |
|
|
State Street Bank and Trust Co. |
|
|
06/20/24 |
|
|
|
241 |
|
GBP |
|
|
367,020 |
|
|
USD |
|
|
462,772 |
|
|
Deutsche Bank AG |
|
|
06/20/24 |
|
|
|
654 |
|
JPY |
|
|
51,200,987 |
|
|
USD |
|
|
342,079 |
|
|
HSBC Bank PLC |
|
|
06/20/24 |
|
|
|
257 |
|
MXN |
|
|
20,246,003 |
|
|
USD |
|
|
1,190,066 |
|
|
Barclays Bank PLC |
|
|
06/20/24 |
|
|
|
12,747 |
|
MXN |
|
|
28,638,417 |
|
|
USD |
|
|
1,676,450 |
|
|
Barclays Bank PLC |
|
|
06/20/24 |
|
|
|
24,956 |
|
USD |
|
|
5,930,790 |
|
|
AUD |
|
|
8,960,961 |
|
|
JPMorgan Chase Bank N.A. |
|
|
06/20/24 |
|
|
|
78,571 |
|
USD |
|
|
930,738 |
|
|
BRL |
|
|
4,671,186 |
|
|
Goldman Sachs International |
|
|
06/20/24 |
|
|
|
6,263 |
|
USD |
|
|
8,821,235 |
|
|
CAD |
|
|
11,891,208 |
|
|
Citibank N.A. |
|
|
06/20/24 |
|
|
|
32,575 |
|
USD |
|
|
8,846,284 |
|
|
CHF |
|
|
7,684,301 |
|
|
Deutsche Bank AG |
|
|
06/20/24 |
|
|
|
251,708 |
|
USD |
|
|
25,796,076 |
|
|
CHF |
|
|
22,423,639 |
|
|
Deutsche Bank AG |
|
|
06/20/24 |
|
|
|
716,153 |
|
USD |
|
|
11,211,108 |
|
|
CNH |
|
|
80,002,465 |
|
|
JPMorgan Chase Bank N.A. |
|
|
06/20/24 |
|
|
|
155,153 |
|
USD |
|
|
1,458,005 |
|
|
DKK |
|
|
9,903,929 |
|
|
JPMorgan Chase Bank N.A. |
|
|
06/20/24 |
|
|
|
19,839 |
|
USD |
|
|
41,786,255 |
|
|
EUR |
|
|
38,099,771 |
|
|
Citibank N.A. |
|
|
06/20/24 |
|
|
|
552,552 |
|
USD |
|
|
384,175 |
|
|
EUR |
|
|
351,557 |
|
|
Deutsche Bank AG |
|
|
06/20/24 |
|
|
|
3,700 |
|
USD |
|
|
590,546 |
|
|
EUR |
|
|
537,592 |
|
|
Deutsche Bank AG |
|
|
06/20/24 |
|
|
|
8,734 |
|
USD |
|
|
157,827,772 |
|
|
EUR |
|
|
143,927,328 |
|
|
JPMorgan Chase Bank N.A. |
|
|
06/20/24 |
|
|
|
2,061,568 |
|
USD |
|
|
369,545 |
|
|
EUR |
|
|
337,125 |
|
|
UBS AG |
|
|
06/20/24 |
|
|
|
4,689 |
|
USD |
|
|
2,181,106 |
|
|
GBP |
|
|
1,704,703 |
|
|
Barclays Bank PLC |
|
|
06/20/24 |
|
|
|
28,627 |
|
USD |
|
|
615,429 |
|
|
GBP |
|
|
479,664 |
|
|
Deutsche Bank AG |
|
|
06/20/24 |
|
|
|
9,770 |
|
USD |
|
|
62,257,158 |
|
|
GBP |
|
|
48,665,498 |
|
|
Deutsche Bank AG |
|
|
06/20/24 |
|
|
|
808,641 |
|
USD |
|
|
262,302 |
|
|
GBP |
|
|
205,653 |
|
|
UBS AG |
|
|
06/20/24 |
|
|
|
2,631 |
|
USD |
|
|
23,253,123 |
|
|
HKD |
|
|
181,428,222 |
|
|
State Street Bank and Trust Co. |
|
|
06/20/24 |
|
|
|
20,743 |
|
USD |
|
|
1,926,919 |
|
|
IDR |
|
|
30,029,205,185 |
|
|
BNP Paribas SA |
|
|
06/20/24 |
|
|
|
39,125 |
|
USD |
|
|
206,869 |
|
|
JPY |
|
|
30,929,392 |
|
|
Deutsche Bank AG |
|
|
06/20/24 |
|
|
|
71 |
|
USD |
|
|
817,268 |
|
|
JPY |
|
|
119,004,154 |
|
|
Deutsche Bank AG |
|
|
06/20/24 |
|
|
|
21,591 |
|
USD |
|
|
365,082 |
|
|
JPY |
|
|
52,851,379 |
|
|
HSBC Bank PLC |
|
|
06/20/24 |
|
|
|
11,711 |
|
USD |
|
|
1,247,927 |
|
|
JPY |
|
|
181,602,571 |
|
|
HSBC Bank PLC |
|
|
06/20/24 |
|
|
|
33,709 |
|
USD |
|
|
10,209,612 |
|
|
JPY |
|
|
1,485,100,319 |
|
|
JPMorgan Chase Bank N.A. |
|
|
06/20/24 |
|
|
|
280,041 |
|
USD |
|
|
55,891,067 |
|
|
JPY |
|
|
8,132,174,231 |
|
|
JPMorgan Chase Bank N.A. |
|
|
06/20/24 |
|
|
|
1,518,311 |
|
USD |
|
|
324,748 |
|
|
JPY |
|
|
47,286,498 |
|
|
Morgan Stanley & Co. International PLC |
|
|
06/20/24 |
|
|
|
8,584 |
|
USD |
|
|
752,651 |
|
|
JPY |
|
|
109,629,441 |
|
|
UBS AG |
|
|
06/20/24 |
|
|
|
19,654 |
|
USD |
|
|
179,070 |
|
|
NOK |
|
|
1,881,150 |
|
|
HSBC Bank PLC |
|
|
06/20/24 |
|
|
|
5,473 |
|
USD |
|
|
409,688 |
|
|
SEK |
|
|
4,178,345 |
|
|
HSBC Bank PLC |
|
|
06/20/24 |
|
|
|
18,073 |
|
USD |
|
|
1,867,577 |
|
|
SEK |
|
|
19,039,884 |
|
|
Morgan Stanley & Co. International PLC |
|
|
06/20/24 |
|
|
|
83,066 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,911,404 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AUD |
|
|
359,275 |
|
|
USD |
|
|
236,456 |
|
|
Citibank N.A. |
|
|
06/20/24 |
|
|
|
(1,821 |
) |
CHF |
|
|
1,011,872 |
|
|
USD |
|
|
1,155,298 |
|
|
Citibank N.A. |
|
|
06/20/24 |
|
|
|
(23,560 |
) |
CHF |
|
|
1,273,126 |
|
|
USD |
|
|
1,465,450 |
|
|
Deutsche Bank AG |
|
|
06/20/24 |
|
|
|
(41,510 |
) |
CHF |
|
|
139,214 |
|
|
USD |
|
|
157,699 |
|
|
JPMorgan Chase Bank N.A. |
|
|
06/20/24 |
|
|
|
(1,993 |
) |
CHF |
|
|
634,812 |
|
|
USD |
|
|
731,352 |
|
|
Morgan Stanley & Co. International PLC |
|
|
06/20/24 |
|
|
|
(21,341 |
) |
CHF |
|
|
874,380 |
|
|
USD |
|
|
982,910 |
|
|
Morgan Stanley & Co. International PLC |
|
|
06/20/24 |
|
|
|
(4,952 |
) |
CHF |
|
|
241,502 |
|
|
USD |
|
|
276,214 |
|
|
State Street Bank and Trust Co. |
|
|
06/20/24 |
|
|
|
(6,104 |
) |
CHF |
|
|
378,236 |
|
|
USD |
|
|
425,346 |
|
|
State Street Bank and Trust Co. |
|
|
06/20/24 |
|
|
|
(2,304 |
) |
CHF |
|
|
463,955 |
|
|
USD |
|
|
532,114 |
|
|
State Street Bank and Trust Co. |
|
|
06/20/24 |
|
|
|
(13,199 |
) |
CHF |
|
|
656,951 |
|
|
USD |
|
|
738,748 |
|
|
State Street Bank and Trust Co. |
|
|
06/20/24 |
|
|
|
(3,975 |
) |
CHF |
|
|
133,844 |
|
|
USD |
|
|
152,304 |
|
|
UBS AG |
|
|
06/20/24 |
|
|
|
(2,605 |
) |
CHF |
|
|
1,018,970 |
|
|
USD |
|
|
1,170,958 |
|
|
UBS AG |
|
|
06/20/24 |
|
|
|
(31,282 |
) |
EUR |
|
|
329,635 |
|
|
USD |
|
|
361,561 |
|
|
HSBC Bank PLC |
|
|
06/20/24 |
|
|
|
(4,811 |
) |
EUR |
|
|
223,325 |
|
|
USD |
|
|
243,054 |
|
|
Morgan Stanley & Co. International PLC |
|
|
06/20/24 |
|
|
|
(1,360 |
) |
EUR |
|
|
540,178 |
|
|
USD |
|
|
587,266 |
|
|
UBS AG |
|
|
06/20/24 |
|
|
|
(2,655 |
) |
EUR |
|
|
16,989,301 |
|
|
USD |
|
|
18,628,174 |
|
|
UBS AG |
|
|
06/20/24 |
|
|
|
(241,402 |
) |
GBP |
|
|
178,480 |
|
|
USD |
|
|
225,782 |
|
|
UBS AG |
|
|
06/20/24 |
|
|
|
(420 |
) |
HKD |
|
|
937,773 |
|
|
USD |
|
|
120,204 |
|
|
HSBC Bank PLC |
|
|
06/20/24 |
|
|
|
(119 |
) |
|
|
|
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 |
|
17 |
|
|
|
Consolidated Schedule of Investments (unaudited) (continued)
March 31, 2024 |
|
BlackRock Capital Allocation Term Trust (BCAT) |
Forward Foreign Currency Exchange Contracts (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Currency Purchased |
|
|
Currency Sold |
|
|
Counterparty |
|
Settlement Date |
|
|
Unrealized Appreciation (Depreciation) |
|
HKD |
|
|
1,753,842 |
|
|
USD |
|
|
224,778 |
|
|
HSBC Bank PLC |
|
|
06/20/24 |
|
|
$ |
(194 |
) |
INR |
|
|
147,168,449 |
|
|
USD |
|
|
1,771,658 |
|
|
BNP Paribas SA |
|
|
06/20/24 |
|
|
|
(10,975 |
) |
JPY |
|
|
557,397,177 |
|
|
USD |
|
|
3,754,730 |
|
|
Goldman Sachs International |
|
|
06/20/24 |
|
|
|
(27,901 |
) |
JPY |
|
|
122,355,455 |
|
|
USD |
|
|
846,036 |
|
|
HSBC Bank PLC |
|
|
06/20/24 |
|
|
|
(27,952 |
) |
JPY |
|
|
179,426,324 |
|
|
USD |
|
|
1,202,372 |
|
|
HSBC Bank PLC |
|
|
06/20/24 |
|
|
|
(2,705 |
) |
THB |
|
|
65,512,462 |
|
|
EUR |
|
|
1,681,143 |
|
|
Citibank N.A. |
|
|
06/20/24 |
|
|
|
(12,285 |
) |
ZAR |
|
|
33,715,234 |
|
|
USD |
|
|
1,791,355 |
|
|
Deutsche Bank AG |
|
|
06/20/24 |
|
|
|
(22,655 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(510,080 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
6,401,324 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Exchange-Traded Options Purchased
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Number of Contracts |
|
|
Expiration Date |
|
|
Exercise Price |
|
|
Notional
Amount (000) |
|
|
Value |
|
Call |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SPDR S&P 500 ETF Trust |
|
|
1,000 |
|
|
|
04/05/24 |
|
|
|
USD |
|
|
|
529.00 |
|
|
|
USD |
|
|
|
52,307 |
|
|
$ |
81,000 |
|
SPDR S&P 500 ETF Trust |
|
|
816 |
|
|
|
04/05/24 |
|
|
|
USD |
|
|
|
527.00 |
|
|
|
USD |
|
|
|
42,683 |
|
|
|
113,424 |
|
SPDR S&P 500 ETF Trust |
|
|
998 |
|
|
|
04/05/24 |
|
|
|
USD |
|
|
|
530.00 |
|
|
|
USD |
|
|
|
52,202 |
|
|
|
59,880 |
|
SPDR S&P 500 ETF Trust |
|
|
816 |
|
|
|
04/12/24 |
|
|
|
USD |
|
|
|
528.00 |
|
|
|
USD |
|
|
|
42,683 |
|
|
|
207,672 |
|
SPX Volatility Index |
|
|
224 |
|
|
|
04/17/24 |
|
|
|
USD |
|
|
|
20.00 |
|
|
|
USD |
|
|
|
291 |
|
|
|
4,928 |
|
Adobe, Inc. |
|
|
49 |
|
|
|
04/19/24 |
|
|
|
USD |
|
|
|
590.00 |
|
|
|
USD |
|
|
|
2,473 |
|
|
|
1,421 |
|
Amazon.com, Inc. |
|
|
298 |
|
|
|
04/19/24 |
|
|
|
USD |
|
|
|
180.00 |
|
|
|
USD |
|
|
|
5,375 |
|
|
|
128,885 |
|
Amazon.com, Inc. |
|
|
217 |
|
|
|
04/19/24 |
|
|
|
USD |
|
|
|
185.00 |
|
|
|
USD |
|
|
|
3,914 |
|
|
|
47,197 |
|
AstraZeneca PLC |
|
|
294 |
|
|
|
04/19/24 |
|
|
|
USD |
|
|
|
67.50 |
|
|
|
USD |
|
|
|
1,992 |
|
|
|
43,218 |
|
BMW AG |
|
|
134 |
|
|
|
04/19/24 |
|
|
|
EUR |
|
|
|
110.00 |
|
|
|
EUR |
|
|
|
1,433 |
|
|
|
16,191 |
|
Costco Wholesale Corp. |
|
|
27 |
|
|
|
04/19/24 |
|
|
|
USD |
|
|
|
735.00 |
|
|
|
USD |
|
|
|
1,978 |
|
|
|
28,890 |
|
Daimler AG |
|
|
216 |
|
|
|
04/19/24 |
|
|
|
EUR |
|
|
|
75.00 |
|
|
|
EUR |
|
|
|
1,594 |
|
|
|
21,089 |
|
Deckers Outdoor Corp. |
|
|
4 |
|
|
|
04/19/24 |
|
|
|
USD |
|
|
|
900.00 |
|
|
|
USD |
|
|
|
377 |
|
|
|
21,040 |
|
Deckers Outdoor Corp. |
|
|
11 |
|
|
|
04/19/24 |
|
|
|
USD |
|
|
|
960.00 |
|
|
|
USD |
|
|
|
1,035 |
|
|
|
17,710 |
|
Delta Air Lines, Inc. |
|
|
309 |
|
|
|
04/19/24 |
|
|
|
USD |
|
|
|
45.00 |
|
|
|
USD |
|
|
|
1,479 |
|
|
|
108,150 |
|
Exxon Mobil Corp. |
|
|
201 |
|
|
|
04/19/24 |
|
|
|
USD |
|
|
|
105.00 |
|
|
|
USD |
|
|
|
2,336 |
|
|
|
228,637 |
|
iShares China Large-Cap ETF |
|
|
1,666 |
|
|
|
04/19/24 |
|
|
|
USD |
|
|
|
26.00 |
|
|
|
USD |
|
|
|
4,010 |
|
|
|
14,161 |
|
Las Vegas Sands Corp. |
|
|
135 |
|
|
|
04/19/24 |
|
|
|
USD |
|
|
|
57.50 |
|
|
|
USD |
|
|
|
698 |
|
|
|
2,025 |
|
Merck & Co., Inc. |
|
|
125 |
|
|
|
04/19/24 |
|
|
|
USD |
|
|
|
125.00 |
|
|
|
USD |
|
|
|
1,649 |
|
|
|
93,750 |
|
Merck & Co., Inc. |
|
|
176 |
|
|
|
04/19/24 |
|
|
|
USD |
|
|
|
130.00 |
|
|
|
USD |
|
|
|
2,322 |
|
|
|
59,400 |
|
Meta Platforms, Inc., Class A |
|
|
60 |
|
|
|
04/19/24 |
|
|
|
USD |
|
|
|
495.00 |
|
|
|
USD |
|
|
|
2,913 |
|
|
|
55,800 |
|
Micron Technology, Inc. |
|
|
98 |
|
|
|
04/19/24 |
|
|
|
USD |
|
|
|
95.00 |
|
|
|
USD |
|
|
|
1,155 |
|
|
|
226,625 |
|
Microsoft Corp. |
|
|
91 |
|
|
|
04/19/24 |
|
|
|
USD |
|
|
|
440.00 |
|
|
|
USD |
|
|
|
3,829 |
|
|
|
13,241 |
|
Microsoft Corp. |
|
|
49 |
|
|
|
04/19/24 |
|
|
|
USD |
|
|
|
425.00 |
|
|
|
USD |
|
|
|
2,062 |
|
|
|
26,583 |
|
Norfolk Southern Corp. |
|
|
40 |
|
|
|
04/19/24 |
|
|
|
USD |
|
|
|
270.00 |
|
|
|
USD |
|
|
|
1,019 |
|
|
|
3,600 |
|
Novo Nordisk A/S, ADR, Class B |
|
|
197 |
|
|
|
04/19/24 |
|
|
|
USD |
|
|
|
140.00 |
|
|
|
USD |
|
|
|
2,529 |
|
|
|
8,176 |
|
NVIDIA Corp. |
|
|
88 |
|
|
|
04/19/24 |
|
|
|
USD |
|
|
|
840.00 |
|
|
|
USD |
|
|
|
7,951 |
|
|
|
690,360 |
|
NVIDIA Corp. |
|
|
59 |
|
|
|
04/19/24 |
|
|
|
USD |
|
|
|
820.00 |
|
|
|
USD |
|
|
|
5,331 |
|
|
|
556,075 |
|
NVIDIA Corp. |
|
|
89 |
|
|
|
04/19/24 |
|
|
|
USD |
|
|
|
900.00 |
|
|
|
USD |
|
|
|
8,042 |
|
|
|
365,567 |
|
Paramount Global, Class B |
|
|
140 |
|
|
|
04/19/24 |
|
|
|
USD |
|
|
|
15.00 |
|
|
|
USD |
|
|
|
165 |
|
|
|
1,260 |
|
PNC Financial Services Group, Inc. |
|
|
107 |
|
|
|
04/19/24 |
|
|
|
USD |
|
|
|
160.00 |
|
|
|
USD |
|
|
|
1,729 |
|
|
|
52,430 |
|
Salesforce, Inc. |
|
|
79 |
|
|
|
04/19/24 |
|
|
|
USD |
|
|
|
320.00 |
|
|
|
USD |
|
|
|
2,379 |
|
|
|
11,297 |
|
Salesforce, Inc. |
|
|
35 |
|
|
|
04/19/24 |
|
|
|
USD |
|
|
|
330.00 |
|
|
|
USD |
|
|
|
1,054 |
|
|
|
1,995 |
|
Uber Technologies, Inc. |
|
|
305 |
|
|
|
04/19/24 |
|
|
|
USD |
|
|
|
80.00 |
|
|
|
USD |
|
|
|
2,348 |
|
|
|
39,802 |
|
Wells Fargo & Co. |
|
|
888 |
|
|
|
04/19/24 |
|
|
|
USD |
|
|
|
60.00 |
|
|
|
USD |
|
|
|
5,147 |
|
|
|
66,156 |
|
Wynn Resorts Ltd. |
|
|
54 |
|
|
|
04/19/24 |
|
|
|
USD |
|
|
|
110.00 |
|
|
|
USD |
|
|
|
552 |
|
|
|
2,538 |
|
Adobe, Inc. |
|
|
15 |
|
|
|
05/17/24 |
|
|
|
USD |
|
|
|
600.00 |
|
|
|
USD |
|
|
|
757 |
|
|
|
1,778 |
|
Adobe, Inc. |
|
|
29 |
|
|
|
05/17/24 |
|
|
|
USD |
|
|
|
540.00 |
|
|
|
USD |
|
|
|
1,463 |
|
|
|
24,578 |
|
Advanced Micro Devices, Inc. |
|
|
46 |
|
|
|
05/17/24 |
|
|
|
USD |
|
|
|
200.00 |
|
|
|
USD |
|
|
|
830 |
|
|
|
31,625 |
|
Amazon.com, Inc. |
|
|
295 |
|
|
|
05/17/24 |
|
|
|
USD |
|
|
|
190.00 |
|
|
|
USD |
|
|
|
5,321 |
|
|
|
157,825 |
|
Bank of America Corp. |
|
|
317 |
|
|
|
05/17/24 |
|
|
|
USD |
|
|
|
39.00 |
|
|
|
USD |
|
|
|
1,202 |
|
|
|
28,847 |
|
Caterpillar, Inc. |
|
|
64 |
|
|
|
05/17/24 |
|
|
|
USD |
|
|
|
380.00 |
|
|
|
USD |
|
|
|
2,345 |
|
|
|
59,360 |
|
CF Industries Holdings, Inc. |
|
|
194 |
|
|
|
05/17/24 |
|
|
|
USD |
|
|
|
92.50 |
|
|
|
USD |
|
|
|
1,614 |
|
|
|
15,035 |
|
Chevron Corp. |
|
|
126 |
|
|
|
05/17/24 |
|
|
|
USD |
|
|
|
165.00 |
|
|
|
USD |
|
|
|
1,988 |
|
|
|
23,499 |
|
ConocoPhillips |
|
|
146 |
|
|
|
05/17/24 |
|
|
|
USD |
|
|
|
130.00 |
|
|
|
USD |
|
|
|
1,858 |
|
|
|
45,260 |
|
18
|
|
|
Consolidated Schedule of Investments (unaudited) (continued)
March 31, 2024 |
|
BlackRock Capital Allocation Term Trust (BCAT) |
Exchange-Traded Options Purchased (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Number of Contracts |
|
|
Expiration Date |
|
|
Exercise Price |
|
|
Notional
Amount (000) |
|
|
Value |
|
Call (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Costco Wholesale Corp. |
|
|
14 |
|
|
|
05/17/24 |
|
|
|
USD |
|
|
|
825.00 |
|
|
|
USD |
|
|
|
1,026 |
|
|
$ |
1,589 |
|
D.R. Horton, Inc. |
|
|
62 |
|
|
|
05/17/24 |
|
|
|
USD |
|
|
|
165.00 |
|
|
|
USD |
|
|
|
1,020 |
|
|
|
48,980 |
|
D.R. Horton, Inc. |
|
|
35 |
|
|
|
05/17/24 |
|
|
|
USD |
|
|
|
155.00 |
|
|
|
USD |
|
|
|
576 |
|
|
|
48,475 |
|
Danaher Corp. |
|
|
58 |
|
|
|
05/17/24 |
|
|
|
USD |
|
|
|
270.00 |
|
|
|
USD |
|
|
|
1,448 |
|
|
|
13,050 |
|
Dexcom, Inc. |
|
|
98 |
|
|
|
05/17/24 |
|
|
|
USD |
|
|
|
120.00 |
|
|
|
USD |
|
|
|
1,359 |
|
|
|
198,450 |
|
Edwards Lifesciences Corp. |
|
|
147 |
|
|
|
05/17/24 |
|
|
|
USD |
|
|
|
100.00 |
|
|
|
USD |
|
|
|
1,405 |
|
|
|
38,955 |
|
Eli Lilly & Co. |
|
|
30 |
|
|
|
05/17/24 |
|
|
|
USD |
|
|
|
760.00 |
|
|
|
USD |
|
|
|
2,334 |
|
|
|
148,725 |
|
Eli Lilly & Co. |
|
|
7 |
|
|
|
05/17/24 |
|
|
|
USD |
|
|
|
820.00 |
|
|
|
USD |
|
|
|
545 |
|
|
|
15,803 |
|
Freeport-McMoRan, Inc. |
|
|
390 |
|
|
|
05/17/24 |
|
|
|
USD |
|
|
|
48.00 |
|
|
|
USD |
|
|
|
1,834 |
|
|
|
86,775 |
|
Oracle Corp. |
|
|
148 |
|
|
|
05/17/24 |
|
|
|
USD |
|
|
|
135.00 |
|
|
|
USD |
|
|
|
1,859 |
|
|
|
14,282 |
|
Paramount Global, Class B |
|
|
79 |
|
|
|
05/17/24 |
|
|
|
USD |
|
|
|
16.00 |
|
|
|
USD |
|
|
|
93 |
|
|
|
1,936 |
|
Salesforce, Inc. |
|
|
79 |
|
|
|
05/17/24 |
|
|
|
USD |
|
|
|
330.00 |
|
|
|
USD |
|
|
|
2,379 |
|
|
|
20,619 |
|
Shell PLC |
|
|
27 |
|
|
|
05/17/24 |
|
|
|
GBP |
|
|
|
26.25 |
|
|
|
GBP |
|
|
|
709 |
|
|
|
26,581 |
|
Walt Disney Co. |
|
|
524 |
|
|
|
05/17/24 |
|
|
|
USD |
|
|
|
130.00 |
|
|
|
USD |
|
|
|
6,412 |
|
|
|
146,720 |
|
Nikkei 225 Index |
|
|
27 |
|
|
|
06/14/24 |
|
|
|
JPY |
|
|
|
41,500.00 |
|
|
|
JPY |
|
|
|
1,084,538 |
|
|
|
137,336 |
|
Crowdstrike Holdings, Inc., Class A |
|
|
23 |
|
|
|
06/21/24 |
|
|
|
USD |
|
|
|
360.00 |
|
|
|
USD |
|
|
|
737 |
|
|
|
34,558 |
|
Edwards Lifesciences Corp. |
|
|
146 |
|
|
|
06/21/24 |
|
|
|
USD |
|
|
|
100.00 |
|
|
|
USD |
|
|
|
1,395 |
|
|
|
54,750 |
|
JPMorgan Chase & Co. |
|
|
545 |
|
|
|
06/21/24 |
|
|
|
USD |
|
|
|
210.00 |
|
|
|
USD |
|
|
|
10,916 |
|
|
|
212,550 |
|
Lam Research Corp. |
|
|
9 |
|
|
|
06/21/24 |
|
|
|
USD |
|
|
|
1,060.00 |
|
|
|
USD |
|
|
|
874 |
|
|
|
34,673 |
|
Meta Platforms, Inc., Class A |
|
|
69 |
|
|
|
06/21/24 |
|
|
|
USD |
|
|
|
500.00 |
|
|
|
USD |
|
|
|
3,351 |
|
|
|
222,007 |
|
Novo Nordisk A/S, ADR |
|
|
199 |
|
|
|
06/21/24 |
|
|
|
USD |
|
|
|
130.00 |
|
|
|
USD |
|
|
|
2,555 |
|
|
|
152,732 |
|
Walmart, Inc. |
|
|
144 |
|
|
|
06/21/24 |
|
|
|
USD |
|
|
|
65.00 |
|
|
|
USD |
|
|
|
866 |
|
|
|
7,416 |
|
Sabre Corp. |
|
|
173 |
|
|
|
07/19/24 |
|
|
|
USD |
|
|
|
4.50 |
|
|
|
USD |
|
|
|
42 |
|
|
|
1,038 |
|
Sabre Corp. |
|
|
138 |
|
|
|
07/19/24 |
|
|
|
USD |
|
|
|
3.50 |
|
|
|
USD |
|
|
|
33 |
|
|
|
1,863 |
|
Apple, Inc. |
|
|
496 |
|
|
|
08/16/24 |
|
|
|
USD |
|
|
|
220.00 |
|
|
|
USD |
|
|
|
8,505 |
|
|
|
30,008 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,507,851 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Put |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Alphabet, Inc., Class C |
|
|
236 |
|
|
|
04/19/24 |
|
|
|
USD |
|
|
|
130.00 |
|
|
|
USD |
|
|
|
3,593 |
|
|
|
2,360 |
|
iShares Russell 2000 ETF |
|
|
51 |
|
|
|
04/19/24 |
|
|
|
USD |
|
|
|
198.00 |
|
|
|
USD |
|
|
|
1,073 |
|
|
|
2,703 |
|
SPDR S&P 500 ETF Trust |
|
|
1,468 |
|
|
|
04/19/24 |
|
|
|
USD |
|
|
|
485.00 |
|
|
|
USD |
|
|
|
76,787 |
|
|
|
55,050 |
|
Tesla, Inc. |
|
|
106 |
|
|
|
04/19/24 |
|
|
|
USD |
|
|
|
170.00 |
|
|
|
USD |
|
|
|
1,863 |
|
|
|
70,225 |
|
3-Month SOFR Future |
|
|
1,889 |
|
|
|
05/10/24 |
|
|
|
USD |
|
|
|
94.75 |
|
|
|
USD |
|
|
|
447,953 |
|
|
|
70,837 |
|
Abbott Laboratories |
|
|
175 |
|
|
|
05/17/24 |
|
|
|
USD |
|
|
|
105.00 |
|
|
|
USD |
|
|
|
1,989 |
|
|
|
15,138 |
|
DAX Index |
|
|
204 |
|
|
|
05/17/24 |
|
|
|
EUR |
|
|
|
17,300.00 |
|
|
|
EUR |
|
|
|
18,862 |
|
|
|
56,672 |
|
Tesla, Inc. |
|
|
41 |
|
|
|
05/17/24 |
|
|
|
USD |
|
|
|
190.00 |
|
|
|
USD |
|
|
|
721 |
|
|
|
87,535 |
|
iShares iBoxx $ High Yield Corporate Bond ETF |
|
|
258 |
|
|
|
06/21/24 |
|
|
|
USD |
|
|
|
76.00 |
|
|
|
USD |
|
|
|
2,005 |
|
|
|
69,273 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
429,793 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
5,937,644 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
OTC Barrier Options Purchased
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Type of Option |
|
Counterparty |
|
|
Number of Contracts |
|
|
Expiration Date |
|
|
Exercise Price |
|
|
Barrier
Price/Range |
|
|
Notional
Amount (000) |
|
|
Value |
|
|
|
|
|
|
|
Call |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
USD Currency |
|
Up-and-out |
|
|
Bank of America N.A. |
|
|
|
|
|
|
|
05/01/24 |
|
|
|
JPY |
|
|
|
152.50 |
|
|
|
JPY |
|
|
|
156.5 |
|
|
|
USD |
|
|
|
4,171 |
|
|
$ |
7,812 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Put |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
EUR Currency |
|
One Touch |
|
|
Bank of America N.A. |
|
|
|
|
|
|
|
04/12/24 |
|
|
|
USD |
|
|
|
1.06 |
|
|
|
USD |
|
|
|
1.06 |
|
|
|
EUR |
|
|
|
414 |
|
|
|
23,496 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
31,308 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 |
|
19 |
|
|
|
Consolidated Schedule of Investments (unaudited) (continued)
March 31, 2024 |
|
BlackRock Capital Allocation Term Trust (BCAT) |
OTC Currency Options Purchased
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Counterparty |
|
Expiration Date |
|
|
Exercise Price |
|
|
Notional
Amount (000) |
|
|
Value |
|
Call |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
USD Currency |
|
HSBC Bank PLC |
|
|
08/21/24 |
|
|
|
CNH |
|
|
|
8.50 |
|
|
|
USD |
|
|
|
51,044 |
|
|
$ |
4,186 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Put |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
EUR Currency |
|
BNP Paribas SA |
|
|
05/02/24 |
|
|
|
USD |
|
|
|
1.08 |
|
|
|
EUR |
|
|
|
10,192 |
|
|
|
54,395 |
|
EUR Currency |
|
Deutsche Bank AG |
|
|
05/09/24 |
|
|
|
MXN |
|
|
|
18.30 |
|
|
|
EUR |
|
|
|
4,110 |
|
|
|
78,126 |
|
EUR Currency |
|
Bank of America N.A. |
|
|
05/30/24 |
|
|
|
USD |
|
|
|
1.08 |
|
|
|
EUR |
|
|
|
8,580 |
|
|
|
54,954 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
187,475 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
191,661 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
OTC Dual Binary Options Purchased
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description(a) |
|
Counterparty |
|
Units |
|
|
Expiration Date |
|
|
Notional
Amount (000) |
|
|
Value |
|
Call |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Dual Binary Option payout at expiry if USD JPY >= 154.25 and JPY
10-year swap > 1.25% |
|
Bank of America N.A. |
|
|
285,100 |
|
|
|
04/08/24 |
|
|
|
USD |
|
|
|
43,977 |
|
|
$ |
12,201 |
|
Dual Binary Option payout at expiry if USD JPY >= 154.25 and JPY
10-year swap > 1.27% |
|
Bank of America N.A. |
|
|
285,100 |
|
|
|
05/08/24 |
|
|
|
USD |
|
|
|
43,977 |
|
|
|
43,374 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
55,575 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) |
Option only pays if both terms are met on the expiration date. |
|
OTC Credit Default Swaptions Purchased
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Paid by the Trust |
|
|
Received by the Trust |
|
|
|
Expiration
Date |
|
Credit
Rating |
|
|
Exercise
Price |
|
|
Notional
Amount (000)(a) |
|
|
Value |
|
Description |
|
Rate/Reference |
|
|
Rate/Reference |
|
Frequency |
|
|
Counterparty |
Put |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Bought Protection on 5-Year Credit Default Swap, 06/20/29 |
|
|
5.00% |
|
|
iTraxx.XO.41.V1 |
|
|
Quarterly |
|
|
Morgan Stanley & Co. International PLC |
|
04/17/24 |
|
|
|
|
|
EUR |
337.50 |
|
|
|
EUR |
|
|
|
1,765 |
|
|
$ |
1,843 |
|
Bought Protection on 5-Year Credit Default Swap, 12/20/28 |
|
|
5.00% |
|
|
CDX.NA.HY.41.V2 |
|
|
Quarterly |
|
|
BNP Paribas SA |
|
04/17/24 |
|
|
|
|
|
USD |
105.00 |
|
|
|
USD |
|
|
|
1,940 |
|
|
|
721 |
|
Bought Protection on 5-Year Credit Default Swap, 12/20/28 |
|
|
5.00% |
|
|
CDX.NA.HY.41.V2 |
|
|
Quarterly |
|
|
Goldman Sachs International |
|
04/17/24 |
|
|
|
|
|
USD |
105.00 |
|
|
|
USD |
|
|
|
1,550 |
|
|
|
576 |
|
Bought Protection on 5-Year Credit Default Swap, 06/20/29 |
|
|
5.00% |
|
|
iTraxx.XO.41.V1 |
|
|
Quarterly |
|
|
Morgan Stanley & Co. International PLC |
|
05/15/24 |
|
|
|
|
|
EUR |
350.00 |
|
|
|
EUR |
|
|
|
2,160 |
|
|
|
6,314 |
|
Bought Protection on 5-Year Credit Default Swap, 06/20/29 |
|
|
5.00% |
|
|
iTraxx.XO.41.V1 |
|
|
Quarterly |
|
|
Goldman Sachs International |
|
05/15/24 |
|
|
|
|
|
EUR |
350.00 |
|
|
|
EUR |
|
|
|
1,775 |
|
|
|
5,188 |
|
Bought Protection on 5-Year Credit Default Swap, 12/20/28 |
|
|
5.00% |
|
|
CDX.NA.HY.41.V2 |
|
|
Quarterly |
|
|
Goldman Sachs International |
|
05/15/24 |
|
|
|
|
|
USD |
104.50 |
|
|
|
USD |
|
|
|
1,570 |
|
|
|
2,117 |
|
Bought Protection on 5-Year Credit Default Swap, 12/20/28 |
|
|
1.00% |
|
|
iTraxx.EUR.40.V1 |
|
|
Quarterly |
|
|
Deutsche Bank AG |
|
06/19/24 |
|
|
|
|
|
EUR |
67.50 |
|
|
|
EUR |
|
|
|
5,905 |
|
|
|
3,944 |
|
Bought Protection on 5-Year Credit Default Swap, 12/20/28 |
|
|
5.00% |
|
|
iTraxx.XO.40.V1 |
|
|
Quarterly |
|
|
Deutsche Bank AG |
|
06/19/24 |
|
|
|
|
|
EUR |
400.00 |
|
|
|
EUR |
|
|
|
1,968 |
|
|
|
6,726 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
27,429 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) |
The maximum potential amount the Trust may pay should a negative credit event take place as defined under the terms of
the agreement. |
|
20
|
|
|
Consolidated Schedule of Investments (unaudited) (continued)
March 31, 2024 |
|
BlackRock Capital Allocation Term Trust (BCAT) |
OTC Interest Rate Swaptions Purchased
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Paid by the Trust |
|
Received by the Trust |
|
Counterparty |
|
Expiration Date |
|
|
Exercise Rate |
|
|
Notional Amount (000) |
|
|
Value |
|
|
Rate |
|
|
Frequency |
|
Rate |
|
|
Frequency |
Call |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10-Year Interest Rate Swap, 05/30/34 |
|
|
1-Day SOFR, 5.34% |
|
|
Annual |
|
|
3.67% |
|
|
Annual |
|
Citibank N.A. |
|
|
05/28/24 |
|
|
|
3.67 |
% |
|
|
USD |
|
|
|
12,763 |
|
|
$ |
82,690 |
|
1-Year Interest Rate Swap, 05/30/25 |
|
|
1-Day SOFR, 5.34% |
|
|
Semi-Annual |
|
|
3.65% |
|
|
Semi-Annual |
|
Goldman Sachs International |
|
|
05/28/24 |
|
|
|
3.65 |
|
|
|
USD |
|
|
|
30,153 |
|
|
|
73,948 |
|
|
|
|
6-mo. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2-Year Interest Rate Swap, 05/30/26 |
|
|
EURIBOR, 3.85% |
|
|
Semi-Annual |
|
|
2.85% |
|
|
Annual |
|
JPMorgan Chase Bank N.A. |
|
|
05/28/24 |
|
|
|
2.85 |
|
|
|
EUR |
|
|
|
24,275 |
|
|
|
26,307 |
|
1-Year Interest Rate Swap, 05/31/25 |
|
|
1-Day SOFR, 5.34% |
|
|
Semi-Annual |
|
|
3.60% |
|
|
Semi-Annual |
|
Goldman Sachs International |
|
|
05/29/24 |
|
|
|
3.60 |
|
|
|
USD |
|
|
|
30,153 |
|
|
|
65,182 |
|
|
|
|
6-mo. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2-Year Interest Rate Swap, 06/05/26 |
|
|
EURIBOR, 3.85% |
|
|
Semi-Annual |
|
|
2.85% |
|
|
Annual |
|
Goldman Sachs International |
|
|
06/03/24 |
|
|
|
2.85 |
|
|
|
EUR |
|
|
|
24,447 |
|
|
|
31,515 |
|
2-Year Interest Rate Swap, 10/26/26 |
|
|
1-Day SOFR, 5.34% |
|
|
Annual |
|
|
4.00% |
|
|
Annual |
|
JPMorgan Chase Bank N.A. |
|
|
10/24/24 |
|
|
|
4.00 |
|
|
|
USD |
|
|
|
39,747 |
|
|
|
218,160 |
|
10-Year Interest Rate Swap, 01/25/35 |
|
|
1-Day SOFR, 5.34% |
|
|
Annual |
|
|
3.00% |
|
|
Annual |
|
Goldman Sachs International |
|
|
01/23/25 |
|
|
|
3.00 |
|
|
|
USD |
|
|
|
25,256 |
|
|
|
208,257 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
706,059 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Exchange-Traded Options Written
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Number of Contracts |
|
|
Expiration Date |
|
|
Exercise Price |
|
|
Notional
Amount (000) |
|
|
Value |
|
Call |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SPDR S&P 500 ETF Trust |
|
|
816 |
|
|
|
04/05/24 |
|
|
|
USD |
|
|
|
535.00 |
|
|
|
USD |
|
|
|
42,683 |
|
|
$ |
(7,752) |
|
SPDR S&P 500 ETF Trust |
|
|
1,000 |
|
|
|
04/05/24 |
|
|
|
USD |
|
|
|
536.00 |
|
|
|
USD |
|
|
|
52,307 |
|
|
|
(6,500 |
) |
SPDR S&P 500 ETF Trust |
|
|
816 |
|
|
|
04/12/24 |
|
|
|
USD |
|
|
|
538.00 |
|
|
|
USD |
|
|
|
42,683 |
|
|
|
(30,192 |
) |
SPX Volatility Index |
|
|
224 |
|
|
|
04/17/24 |
|
|
|
USD |
|
|
|
35.00 |
|
|
|
USD |
|
|
|
291 |
|
|
|
(1,568 |
) |
Advanced Micro Devices, Inc. |
|
|
99 |
|
|
|
04/19/24 |
|
|
|
USD |
|
|
|
250.00 |
|
|
|
USD |
|
|
|
1,787 |
|
|
|
(743 |
) |
Eli Lilly & Co. |
|
|
6 |
|
|
|
04/19/24 |
|
|
|
USD |
|
|
|
700.00 |
|
|
|
USD |
|
|
|
467 |
|
|
|
(49,500 |
) |
Exxon Mobil Corp. |
|
|
201 |
|
|
|
04/19/24 |
|
|
|
USD |
|
|
|
115.00 |
|
|
|
USD |
|
|
|
2,336 |
|
|
|
(55,777 |
) |
iShares China Large-Cap ETF |
|
|
1,666 |
|
|
|
04/19/24 |
|
|
|
USD |
|
|
|
28.00 |
|
|
|
USD |
|
|
|
4,010 |
|
|
|
(3,332 |
) |
Merck & Co., Inc. |
|
|
176 |
|
|
|
04/19/24 |
|
|
|
USD |
|
|
|
135.00 |
|
|
|
USD |
|
|
|
2,322 |
|
|
|
(15,312 |
) |
Micron Technology, Inc. |
|
|
195 |
|
|
|
04/19/24 |
|
|
|
USD |
|
|
|
105.00 |
|
|
|
USD |
|
|
|
2,299 |
|
|
|
(260,812 |
) |
NVIDIA Corp. |
|
|
118 |
|
|
|
04/19/24 |
|
|
|
USD |
|
|
|
980.00 |
|
|
|
USD |
|
|
|
10,662 |
|
|
|
(168,740 |
) |
NVIDIA Corp. |
|
|
79 |
|
|
|
04/19/24 |
|
|
|
USD |
|
|
|
850.00 |
|
|
|
USD |
|
|
|
7,138 |
|
|
|
(562,677 |
) |
NVIDIA Corp. |
|
|
89 |
|
|
|
04/19/24 |
|
|
|
USD |
|
|
|
1,050.00 |
|
|
|
USD |
|
|
|
8,042 |
|
|
|
(48,727 |
) |
Uber Technologies, Inc. |
|
|
305 |
|
|
|
04/19/24 |
|
|
|
USD |
|
|
|
95.00 |
|
|
|
USD |
|
|
|
2,348 |
|
|
|
(1,373 |
) |
Caterpillar, Inc. |
|
|
64 |
|
|
|
05/17/24 |
|
|
|
USD |
|
|
|
410.00 |
|
|
|
USD |
|
|
|
2,345 |
|
|
|
(15,904 |
) |
CF Industries Holdings, Inc. |
|
|
194 |
|
|
|
05/17/24 |
|
|
|
USD |
|
|
|
100.00 |
|
|
|
USD |
|
|
|
1,614 |
|
|
|
(3,880 |
) |
Dexcom, Inc. |
|
|
98 |
|
|
|
05/17/24 |
|
|
|
USD |
|
|
|
135.00 |
|
|
|
USD |
|
|
|
1,359 |
|
|
|
(104,370 |
) |
Eli Lilly & Co. |
|
|
30 |
|
|
|
05/17/24 |
|
|
|
USD |
|
|
|
840.00 |
|
|
|
USD |
|
|
|
2,334 |
|
|
|
(50,625 |
) |
Freeport-McMoRan, Inc. |
|
|
390 |
|
|
|
05/17/24 |
|
|
|
USD |
|
|
|
55.00 |
|
|
|
USD |
|
|
|
1,834 |
|
|
|
(21,060 |
) |
NVIDIA Corp. |
|
|
68 |
|
|
|
05/17/24 |
|
|
|
USD |
|
|
|
1,100.00 |
|
|
|
USD |
|
|
|
6,144 |
|
|
|
(88,060 |
) |
Valero Energy Corp. |
|
|
68 |
|
|
|
05/17/24 |
|
|
|
USD |
|
|
|
185.00 |
|
|
|
USD |
|
|
|
1,161 |
|
|
|
(18,156 |
) |
Nikkei 225 Index |
|
|
27 |
|
|
|
06/14/24 |
|
|
|
JPY |
|
|
|
44,000.00 |
|
|
|
JPY |
|
|
|
1,084,538 |
|
|
|
(38,347 |
) |
JPMorgan Chase & Co. |
|
|
545 |
|
|
|
06/21/24 |
|
|
|
USD |
|
|
|
230.00 |
|
|
|
USD |
|
|
|
10,916 |
|
|
|
(36,787 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1,590,194 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Put |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Adobe, Inc. |
|
|
49 |
|
|
|
04/19/24 |
|
|
|
USD |
|
|
|
500.00 |
|
|
|
USD |
|
|
|
2,473 |
|
|
|
(45,202 |
) |
BMW AG |
|
|
134 |
|
|
|
04/19/24 |
|
|
|
EUR |
|
|
|
100.00 |
|
|
|
EUR |
|
|
|
1,433 |
|
|
|
(3,470 |
) |
Daimler AG |
|
|
54 |
|
|
|
04/19/24 |
|
|
|
EUR |
|
|
|
65.00 |
|
|
|
EUR |
|
|
|
399 |
|
|
|
(320 |
) |
Deckers Outdoor Corp. |
|
|
4 |
|
|
|
04/19/24 |
|
|
|
USD |
|
|
|
800.00 |
|
|
|
USD |
|
|
|
377 |
|
|
|
(470 |
) |
Deckers Outdoor Corp. |
|
|
11 |
|
|
|
04/19/24 |
|
|
|
USD |
|
|
|
850.00 |
|
|
|
USD |
|
|
|
1,035 |
|
|
|
(2,805 |
) |
Exxon Mobil Corp. |
|
|
201 |
|
|
|
04/19/24 |
|
|
|
USD |
|
|
|
95.00 |
|
|
|
USD |
|
|
|
2,336 |
|
|
|
(302 |
) |
iShares Russell 2000 ETF |
|
|
51 |
|
|
|
04/19/24 |
|
|
|
USD |
|
|
|
180.00 |
|
|
|
USD |
|
|
|
1,073 |
|
|
|
(536 |
) |
Las Vegas Sands Corp. |
|
|
135 |
|
|
|
04/19/24 |
|
|
|
USD |
|
|
|
50.00 |
|
|
|
USD |
|
|
|
698 |
|
|
|
(10,935 |
) |
Norfolk Southern Corp. |
|
|
40 |
|
|
|
04/19/24 |
|
|
|
USD |
|
|
|
240.00 |
|
|
|
USD |
|
|
|
1,019 |
|
|
|
(4,900 |
) |
PNC Financial Services Group, Inc. |
|
|
107 |
|
|
|
04/19/24 |
|
|
|
USD |
|
|
|
130.00 |
|
|
|
USD |
|
|
|
1,729 |
|
|
|
(1,070 |
) |
Salesforce, Inc. |
|
|
35 |
|
|
|
04/19/24 |
|
|
|
USD |
|
|
|
290.00 |
|
|
|
USD |
|
|
|
1,054 |
|
|
|
(8,645 |
) |
SPDR S&P 500 ETF Trust |
|
|
1,468 |
|
|
|
04/19/24 |
|
|
|
USD |
|
|
|
475.00 |
|
|
|
USD |
|
|
|
76,787 |
|
|
|
(41,838 |
) |
|
|
|
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 |
|
21 |
|
|
|
Consolidated Schedule of Investments (unaudited) (continued)
March 31, 2024 |
|
BlackRock Capital Allocation Term Trust (BCAT) |
Exchange-Traded Options Written (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Number of Contracts |
|
|
Expiration Date |
|
|
Exercise Price |
|
|
Notional
Amount (000) |
|
|
Value |
|
Put (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Tesla, Inc. |
|
|
106 |
|
|
|
04/19/24 |
|
|
USD |
|
|
145.00 |
|
|
USD |
|
|
1,863 |
|
|
$ |
(11,289 |
) |
Wells Fargo & Co. |
|
|
178 |
|
|
|
04/19/24 |
|
|
USD |
|
|
55.00 |
|
|
USD |
|
|
1,032 |
|
|
|
(8,277 |
) |
Wynn Resorts Ltd. |
|
|
54 |
|
|
|
04/19/24 |
|
|
USD |
|
|
95.00 |
|
|
USD |
|
|
552 |
|
|
|
(2,565 |
) |
Adobe, Inc. |
|
|
15 |
|
|
|
05/17/24 |
|
|
USD |
|
|
520.00 |
|
|
USD |
|
|
757 |
|
|
|
(39,937 |
) |
Adobe, Inc. |
|
|
29 |
|
|
|
05/17/24 |
|
|
USD |
|
|
450.00 |
|
|
USD |
|
|
1,463 |
|
|
|
(8,947 |
) |
Advanced Micro Devices, Inc. |
|
|
46 |
|
|
|
05/17/24 |
|
|
USD |
|
|
170.00 |
|
|
USD |
|
|
830 |
|
|
|
(35,535 |
) |
Amazon.com, Inc. |
|
|
236 |
|
|
|
05/17/24 |
|
|
USD |
|
|
150.00 |
|
|
USD |
|
|
4,257 |
|
|
|
(21,358 |
) |
Bank of America Corp. |
|
|
317 |
|
|
|
05/17/24 |
|
|
USD |
|
|
34.00 |
|
|
USD |
|
|
1,202 |
|
|
|
(6,023 |
) |
Caterpillar, Inc. |
|
|
64 |
|
|
|
05/17/24 |
|
|
USD |
|
|
310.00 |
|
|
USD |
|
|
2,345 |
|
|
|
(8,288 |
) |
Costco Wholesale Corp. |
|
|
14 |
|
|
|
05/17/24 |
|
|
USD |
|
|
725.00 |
|
|
USD |
|
|
1,026 |
|
|
|
(18,550 |
) |
D.R. Horton, Inc. |
|
|
62 |
|
|
|
05/17/24 |
|
|
USD |
|
|
135.00 |
|
|
USD |
|
|
1,020 |
|
|
|
(2,790 |
) |
D.R. Horton, Inc. |
|
|
35 |
|
|
|
05/17/24 |
|
|
USD |
|
|
125.00 |
|
|
USD |
|
|
576 |
|
|
|
(1,225 |
) |
Danaher Corp. |
|
|
117 |
|
|
|
05/17/24 |
|
|
USD |
|
|
230.00 |
|
|
USD |
|
|
2,922 |
|
|
|
(26,325 |
) |
DAX Index |
|
|
204 |
|
|
|
05/17/24 |
|
|
EUR |
|
|
16,300.00 |
|
|
EUR |
|
|
18,862 |
|
|
|
(26,245 |
) |
Edwards Lifesciences Corp. |
|
|
74 |
|
|
|
05/17/24 |
|
|
USD |
|
|
80.00 |
|
|
USD |
|
|
707 |
|
|
|
(2,405 |
) |
Eli Lilly & Co. |
|
|
7 |
|
|
|
05/17/24 |
|
|
USD |
|
|
720.00 |
|
|
USD |
|
|
545 |
|
|
|
(9,993 |
) |
Freeport-McMoRan, Inc. |
|
|
195 |
|
|
|
05/17/24 |
|
|
USD |
|
|
40.00 |
|
|
USD |
|
|
917 |
|
|
|
(6,728 |
) |
Oracle Corp. |
|
|
89 |
|
|
|
05/17/24 |
|
|
USD |
|
|
115.00 |
|
|
USD |
|
|
1,118 |
|
|
|
(5,963 |
) |
Salesforce, Inc. |
|
|
79 |
|
|
|
05/17/24 |
|
|
USD |
|
|
270.00 |
|
|
USD |
|
|
2,379 |
|
|
|
(13,430 |
) |
Walt Disney Co. |
|
|
262 |
|
|
|
05/17/24 |
|
|
USD |
|
|
110.00 |
|
|
USD |
|
|
3,206 |
|
|
|
(31,178 |
) |
Nikkei 225 Index |
|
|
27 |
|
|
|
06/14/24 |
|
|
JPY |
|
|
37,000.00 |
|
|
JPY |
|
|
1,084,538 |
|
|
|
(73,127 |
) |
Crowdstrike Holdings, Inc., Class A |
|
|
23 |
|
|
|
06/21/24 |
|
|
USD |
|
|
290.00 |
|
|
USD |
|
|
737 |
|
|
|
(29,555 |
) |
Edwards Lifesciences Corp. |
|
|
146 |
|
|
|
06/21/24 |
|
|
USD |
|
|
80.00 |
|
|
USD |
|
|
1,395 |
|
|
|
(9,490 |
) |
iShares iBoxx $ High Yield Corporate Bond ETF |
|
|
516 |
|
|
|
06/21/24 |
|
|
USD |
|
|
74.00 |
|
|
USD |
|
|
4,011 |
|
|
|
(9,030 |
) |
Lam Research Corp. |
|
|
9 |
|
|
|
06/21/24 |
|
|
USD |
|
|
820.00 |
|
|
USD |
|
|
874 |
|
|
|
(12,803 |
) |
Meta Platforms, Inc., Class A |
|
|
69 |
|
|
|
06/21/24 |
|
|
USD |
|
|
370.00 |
|
|
USD |
|
|
3,351 |
|
|
|
(25,875 |
) |
Walmart, Inc. |
|
|
144 |
|
|
|
06/21/24 |
|
|
USD |
|
|
55.00 |
|
|
USD |
|
|
866 |
|
|
|
(5,832 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(573,256 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(2,163,450) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
OTC Currency Options Written
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Counterparty |
|
Expiration Date |
|
|
Exercise Price |
|
|
Notional
Amount (000) |
|
|
Value |
|
Call |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
EUR Currency |
|
Bank of America N.A. |
|
|
05/30/24 |
|
|
USD |
|
|
1.11 |
|
|
|
USD |
|
|
|
8,580 |
|
|
$ |
(15,800 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Put |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
EUR Currency |
|
BNP Paribas SA |
|
|
05/02/24 |
|
|
USD |
|
|
1.05 |
|
|
|
USD |
|
|
|
10,192 |
|
|
|
(7,279 |
) |
EUR Currency |
|
HSBC Bank PLC |
|
|
05/09/24 |
|
|
MXN |
|
|
18.30 |
|
|
|
MXN |
|
|
|
4,110 |
|
|
|
(78,126 |
) |
EUR Currency |
|
Bank of America N.A. |
|
|
05/30/24 |
|
|
USD |
|
|
1.05 |
|
|
|
USD |
|
|
|
8,580 |
|
|
|
(11,256 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(96,661 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(112,461 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
OTC Credit Default Swaptions Written
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Paid by the Trust |
|
|
Received by the Trust |
|
|
|
Expiration
Date |
|
Credit
Rating(a) |
|
|
Exercise
Price |
|
|
Notional
Amount (000)(b) |
|
|
Value |
|
Description |
|
Rate/Reference |
|
|
Rate/Reference |
|
Frequency |
|
|
Counterparty |
Put |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Sold Protection on 5-Year Credit Default Swap, 06/20/29 |
|
|
iTraxx.XO.41.V1 |
|
|
5.00% |
|
|
Quarterly |
|
|
Morgan Stanley & Co. International PLC |
|
04/17/24 |
|
|
N/R |
|
|
EUR |
400.00 |
|
|
|
EUR |
|
|
|
1,765 |
|
|
$ |
(732 |
) |
Sold Protection on 5-Year Credit Default Swap, 06/20/29 |
|
|
iTraxx.XO.41.V1 |
|
|
5.00% |
|
|
Quarterly |
|
|
Goldman Sachs International |
|
05/15/24 |
|
|
N/R |
|
|
EUR |
450.00 |
|
|
|
EUR |
|
|
|
1,775 |
|
|
|
(1,646 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(2,378 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) |
Using the rating of the issuer or the underlying securities of the index, as applicable, provided by S&P Global
Ratings. |
|
|
(b) |
The maximum potential amount the Trust may pay should a negative credit event take place as defined under the terms of
the agreement. |
|
22
|
|
|
Consolidated Schedule of Investments (unaudited) (continued)
March 31, 2024 |
|
BlackRock Capital Allocation Term Trust (BCAT) |
OTC Interest Rate Swaptions Written
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Paid by the Trust |
|
Received by the Trust |
|
Counterparty |
|
Expiration Date |
|
|
Exercise Rate |
|
|
Notional Amount (000) |
|
|
Value |
|
|
Rate |
|
|
Frequency |
|
Rate |
|
|
Frequency |
Call |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1-Year Interest Rate Swap, 05/30/25 |
|
|
3.40% |
|
|
Semi-Annual |
|
|
1-Day SOFR, 5.34% |
|
|
Semi-Annual |
|
Goldman Sachs International |
|
|
05/28/24 |
|
|
|
3.40 |
% |
|
|
USD |
|
|
|
30,153 |
|
|
$ |
(35,884 |
) |
|
|
|
|
|
|
|
|
|
6-mo. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2-Year Interest Rate Swap, 05/30/26 |
|
|
2.30% |
|
|
Annual |
|
|
EURIBOR, 3.85% |
|
|
Semi-Annual |
|
JPMorgan Chase Bank N.A. |
|
|
05/28/24 |
|
|
|
2.30 |
|
|
|
EUR |
|
|
|
24,275 |
|
|
|
(1,933 |
) |
1-Year Interest Rate Swap, 05/31/25 |
|
|
3.25% |
|
|
Semi-Annual |
|
|
1-Day SOFR, 5.34% |
|
|
Semi-Annual |
|
Goldman Sachs International |
|
|
05/29/24 |
|
|
|
3.25 |
|
|
|
USD |
|
|
|
30,153 |
|
|
|
(23,215 |
) |
|
|
|
|
|
|
|
|
|
6-mo. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2-Year Interest Rate Swap, 06/05/26 |
|
|
2.30% |
|
|
Annual |
|
|
EURIBOR, 3.85% |
|
|
Semi-Annual |
|
Goldman Sachs International |
|
|
06/03/24 |
|
|
|
2.30 |
|
|
|
EUR |
|
|
|
24,447 |
|
|
|
(2,740 |
) |
2-Year Interest Rate Swap, 10/26/26 |
|
|
3.30% |
|
|
Annual |
|
|
1-Day SOFR, 5.34% |
|
|
Annual |
|
JPMorgan Chase Bank N.A. |
|
|
10/24/24 |
|
|
|
3.30 |
|
|
|
USD |
|
|
|
39,747 |
|
|
|
(77,941 |
) |
10-Year Interest Rate Swap, 01/25/35 |
|
|
2.25% |
|
|
Annual |
|
|
1-Day SOFR, 5.34% |
|
|
Annual |
|
Goldman Sachs International |
|
|
01/23/25 |
|
|
|
2.25 |
|
|
|
USD |
|
|
|
25,257 |
|
|
|
(47,953 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(189,666 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Put |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2-Year Interest Rate Swap, 04/06/26 |
|
|
1-Day SOFR, 5.34% |
|
|
Annual |
|
|
4.40% |
|
|
Annual |
|
Citibank N.A. |
|
|
04/04/24 |
|
|
|
4.40 |
|
|
|
USD |
|
|
|
32,088 |
|
|
|
(90,120 |
) |
2-Year Interest Rate Swap, 04/06/26 |
|
|
1-Day SOFR, 5.34% |
|
|
Annual |
|
|
4.40% |
|
|
Annual |
|
Citibank N.A. |
|
|
04/04/24 |
|
|
|
4.40 |
|
|
|
USD |
|
|
|
11,737 |
|
|
|
(32,962 |
) |
5-Year Interest Rate Swap, 04/06/29 |
|
|
1-Day SOFR, 5.34% |
|
|
Annual |
|
|
4.00% |
|
|
Annual |
|
Citibank N.A. |
|
|
04/04/24 |
|
|
|
4.00 |
|
|
|
USD |
|
|
|
16,044 |
|
|
|
(35,019 |
) |
5-Year Interest Rate Swap, 04/06/29 |
|
|
1-Day SOFR, 5.34% |
|
|
Annual |
|
|
4.00% |
|
|
Annual |
|
Citibank N.A. |
|
|
04/04/24 |
|
|
|
4.00 |
|
|
|
USD |
|
|
|
5,164 |
|
|
|
(11,271 |
) |
2-Year Interest Rate Swap, 04/07/26 |
|
|
1-Day SOFR, 5.34% |
|
|
Annual |
|
|
4.45% |
|
|
Annual |
|
Goldman Sachs International |
|
|
04/05/24 |
|
|
|
4.45 |
|
|
|
USD |
|
|
|
16,044 |
|
|
|
(33,134 |
) |
5-Year Interest Rate Swap, 04/07/29 |
|
|
1-Day SOFR, 5.34% |
|
|
Annual |
|
|
4.05% |
|
|
Annual |
|
Goldman Sachs International |
|
|
04/05/24 |
|
|
|
4.05 |
|
|
|
USD |
|
|
|
16,044 |
|
|
|
(22,639 |
) |
2-Year Interest Rate Swap, 04/18/26 |
|
|
1-Day SOFR, 5.34% |
|
|
Annual |
|
|
4.05% |
|
|
Annual |
|
Deutsche Bank AG |
|
|
04/16/24 |
|
|
|
4.05 |
|
|
|
USD |
|
|
|
25,216 |
|
|
|
(221,570 |
) |
5-Year Interest Rate Swap, 04/18/29 |
|
|
1-Day SOFR, 5.34% |
|
|
Annual |
|
|
4.00% |
|
|
Annual |
|
Deutsche Bank AG |
|
|
04/16/24 |
|
|
|
4.00 |
|
|
|
USD |
|
|
|
25,216 |
|
|
|
(87,661 |
) |
2-Year Interest Rate Swap, 04/24/26 |
|
|
1-Day SOFR, 5.34% |
|
|
Annual |
|
|
4.30% |
|
|
Annual |
|
Deutsche Bank AG |
|
|
04/22/24 |
|
|
|
4.30 |
|
|
|
USD |
|
|
|
30,249 |
|
|
|
(132,889 |
) |
5-Year Interest Rate Swap, 04/24/29 |
|
|
1-Day SOFR, 5.34% |
|
|
Annual |
|
|
4.00% |
|
|
Annual |
|
Deutsche Bank AG |
|
|
04/22/24 |
|
|
|
4.00 |
|
|
|
USD |
|
|
|
12,604 |
|
|
|
(49,300 |
) |
|
|
|
6-mo. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5-Year Interest Rate Swap, 04/28/29 |
|
|
EURIBOR, 3.85% |
|
|
Semi-Annual |
|
|
2.90% |
|
|
Annual |
|
JPMorgan Chase Bank N.A. |
|
|
04/26/24 |
|
|
|
2.90 |
|
|
|
EUR |
|
|
|
17,653 |
|
|
|
(8,561 |
) |
5-Year Interest Rate Swap, 05/04/29 |
|
|
1-Day SOFR, 5.34% |
|
|
Annual |
|
|
4.00% |
|
|
Annual |
|
Deutsche Bank AG |
|
|
05/02/24 |
|
|
|
4.00 |
|
|
|
USD |
|
|
|
25,231 |
|
|
|
(112,533 |
) |
2-Year Interest Rate Swap, 05/08/26 |
|
|
1-Day SOFR, 5.34% |
|
|
Annual |
|
|
4.50% |
|
|
Annual |
|
Goldman Sachs International |
|
|
05/06/24 |
|
|
|
4.50 |
|
|
|
USD |
|
|
|
25,254 |
|
|
|
(50,892 |
) |
2-Year Interest Rate Swap, 05/24/26 |
|
|
1-Day SOFR, 5.34% |
|
|
Annual |
|
|
4.75% |
|
|
Annual |
|
Deutsche Bank AG |
|
|
05/22/24 |
|
|
|
4.75 |
|
|
|
USD |
|
|
|
51,134 |
|
|
|
(34,831 |
) |
1-Year Interest Rate Swap, 05/30/25 |
|
|
1-Day SOFR, 5.34% |
|
|
Semi-Annual |
|
|
4.15% |
|
|
Semi-Annual |
|
Goldman Sachs International |
|
|
05/28/24 |
|
|
|
4.15 |
|
|
|
USD |
|
|
|
30,153 |
|
|
|
(26,592 |
) |
|
|
|
6-mo. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2-Year Interest Rate Swap, 05/30/26 |
|
|
EURIBOR, 3.85% |
|
|
Semi-Annual |
|
|
3.50% |
|
|
Annual |
|
JPMorgan Chase Bank N.A. |
|
|
05/28/24 |
|
|
|
3.50 |
|
|
|
EUR |
|
|
|
24,275 |
|
|
|
(2,887 |
) |
1-Year Interest Rate Swap, 05/31/25 |
|
|
1-Day SOFR, 5.34% |
|
|
Semi-Annual |
|
|
4.10% |
|
|
Semi-Annual |
|
Goldman Sachs International |
|
|
05/29/24 |
|
|
|
4.10 |
|
|
|
USD |
|
|
|
30,153 |
|
|
|
(33,038 |
) |
|
|
|
6-mo. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2-Year Interest Rate Swap, 06/05/26 |
|
|
EURIBOR, 3.85% |
|
|
Semi-Annual |
|
|
3.50% |
|
|
Annual |
|
Goldman Sachs International |
|
|
06/03/24 |
|
|
|
3.50 |
|
|
|
EUR |
|
|
|
24,447 |
|
|
|
(3,506 |
) |
|
|
|
6-mo. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5-Year Interest Rate Swap, 06/09/29 |
|
|
EURIBOR, 3.85% |
|
|
Semi-Annual |
|
|
2.87% |
|
|
Annual |
|
Goldman Sachs International |
|
|
06/07/24 |
|
|
|
2.87 |
|
|
|
EUR |
|
|
|
12,874 |
|
|
|
(24,051 |
) |
2-Year Interest Rate Swap, 07/20/26 |
|
|
1-Day SOFR, 5.34% |
|
|
Annual |
|
|
4.37% |
|
|
Annual |
|
Deutsche Bank AG |
|
|
07/18/24 |
|
|
|
4.37 |
|
|
|
USD |
|
|
|
49,641 |
|
|
|
(182,054 |
) |
|
|
|
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 |
|
23 |
|
|
|
Consolidated Schedule of Investments (unaudited) (continued)
March 31, 2024 |
|
BlackRock Capital Allocation Term Trust (BCAT) |
OTC Interest Rate Swaptions Written (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Paid by the Trust |
|
Received by the Trust |
|
Counterparty |
|
Expiration Date |
|
|
Exercise Rate |
|
|
Notional Amount (000) |
|
|
Value |
|
|
Rate |
|
|
Frequency |
|
Rate |
|
|
Frequency |
Put (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5-Year Interest Rate Swap, 07/20/29 |
|
|
1-Day SOFR, 5.34% |
|
|
Annual |
|
|
4.17% |
|
|
Annual |
|
Citibank N.A. |
|
|
07/18/24 |
|
|
|
4.17 |
% |
|
|
USD |
|
|
|
17,696 |
|
|
$ |
(88,741 |
) |
2-Year Interest Rate Swap, 11/23/26 |
|
|
1-Day SOFR, 5.34% |
|
|
Annual |
|
|
5.00% |
|
|
Annual |
|
JPMorgan Chase Bank N.A. |
|
|
11/21/24 |
|
|
|
5.00 |
|
|
|
USD |
|
|
|
50,148 |
|
|
|
(61,910 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1,346,161 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(1,535,827 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Centrally Cleared Credit Default Swaps Buy Protection
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Reference Obligation/Index |
|
Financing Rate Paid by the Trust |
|
|
Payment Frequency |
|
|
Termination Date |
|
|
Notional Amount (000) |
|
|
Value |
|
|
Upfront Premium Paid (Received) |
|
|
Unrealized Appreciation (Depreciation) |
|
iTraxx.XO.38.V2 |
|
|
5.00 |
% |
|
|
Quarterly |
|
|
|
12/20/27 |
|
|
|
EUR 4,590 |
|
|
$ |
(475,838 |
) |
|
$ |
67,472 |
|
|
$ |
(543,310 |
) |
iTraxx.EUR.40.V1 |
|
|
1.00 |
|
|
|
Quarterly |
|
|
|
12/20/28 |
|
|
|
EUR 177 |
|
|
|
(4,199 |
) |
|
|
(3,559 |
) |
|
|
(640 |
) |
iTraxx.XO.40.V1 |
|
|
5.00 |
|
|
|
Quarterly |
|
|
|
12/20/28 |
|
|
|
EUR 6,921 |
|
|
|
(581,758 |
) |
|
|
(534,961 |
) |
|
|
(46,797 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(1,061,795 |
) |
|
$ |
(471,048 |
) |
|
$ |
(590,747 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Centrally Cleared Credit Default Swaps Sell Protection
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Reference Obligation/Index |
|
|
Financing Rate Received by the Trust |
|
|
Payment Frequency |
|
|
Termination Date |
|
|
Credit Rating(a) |
|
|
Notional Amount (000) |
(b) |
|
|
Value |
|
|
|
Upfront Premium Paid (Received) |
|
|
|
Unrealized Appreciation (Depreciation) |
|
iTraxx.XO.34.V3 |
|
|
5.00 |
% |
|
Quarterly |
|
|
12/20/25 |
|
|
CC- |
|
|
EUR 33,645 |
|
|
$ |
2,124,658 |
|
|
$ |
1,321,813 |
|
|
$ |
802,845 |
|
iTraxx.XO.35.V2 |
|
|
5.00 |
|
|
Quarterly |
|
|
06/20/26 |
|
|
CC |
|
|
EUR 1,421 |
|
|
|
108,538 |
|
|
|
105,833 |
|
|
|
2,705 |
|
CDX.NA.HY.41.V2 |
|
|
5.00 |
|
|
Quarterly |
|
|
12/20/28 |
|
|
B |
|
|
USD 3,367 |
|
|
|
253,528 |
|
|
|
97,281 |
|
|
|
156,247 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
2,486,724 |
|
|
$ |
1,524,927 |
|
|
$ |
961,797 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) |
Using the rating of the issuer or the underlying securities of the index, as applicable, provided by S&P Global
Ratings. |
|
|
(b) |
The maximum potential amount the Trust may pay should a negative credit event take place as defined under the terms of
the agreement. |
|
Centrally Cleared Interest Rate Swaps
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Paid by the Trust |
|
Received by the Trust |
|
Effective Date |
|
|
Termination Date |
|
|
Notional
Amount (000) |
|
Value |
|
|
Upfront Premium Paid (Received) |
|
|
Unrealized Appreciation (Depreciation) |
|
Rate |
|
Frequency |
|
Rate |
|
Frequency |
2.47% |
|
At Termination |
|
1-Day SONIA, 5.19% |
|
At Termination |
|
|
N/A |
|
|
|
04/03/24 |
|
|
GBP |
|
46,645 |
|
$ |
1,559,033 |
|
|
$ |
35 |
|
|
$ |
1,558,998 |
|
1-Day SONIA, 5.19% |
|
At Termination |
|
3.22% |
|
At Termination |
|
|
N/A |
|
|
|
04/03/24 |
|
|
GBP |
|
93,289 |
|
|
(2,227,240 |
) |
|
|
(43 |
) |
|
|
(2,227,197 |
) |
1-Day SONIA, 5.19% |
|
At Termination |
|
4.26% |
|
At Termination |
|
|
N/A |
|
|
|
09/06/24 |
|
|
GBP |
|
25,649 |
|
|
(322,359 |
) |
|
|
54 |
|
|
|
(322,413 |
) |
1-Day SOFR, 5.34% |
|
At Termination |
|
5.45% |
|
At Termination |
|
|
N/A |
|
|
|
10/02/24 |
|
|
USD |
|
174,570 |
|
|
103,558 |
|
|
|
3,666 |
|
|
|
99,892 |
|
28-Day MXIBTIIE, 11.25% |
|
Monthly |
|
9.78% |
|
Monthly |
|
|
N/A |
|
|
|
02/04/25 |
|
|
MXN |
|
48,743 |
|
|
(28,135 |
) |
|
|
3 |
|
|
|
(28,138 |
) |
28-Day MXIBTIIE, 11.25% |
|
Monthly |
|
9.79% |
|
Monthly |
|
|
N/A |
|
|
|
02/04/25 |
|
|
MXN |
|
24,371 |
|
|
(13,935 |
) |
|
|
2 |
|
|
|
(13,937 |
) |
28-Day MXIBTIIE, 11.25% |
|
Monthly |
|
9.80% |
|
Monthly |
|
|
N/A |
|
|
|
02/04/25 |
|
|
MXN |
|
24,371 |
|
|
(13,738 |
) |
|
|
1 |
|
|
|
(13,739 |
) |
28-Day MXIBTIIE, 11.25% |
|
Monthly |
|
9.95% |
|
Monthly |
|
|
N/A |
|
|
|
02/07/25 |
|
|
MXN |
|
550,963 |
|
|
(262,443 |
) |
|
|
50 |
|
|
|
(262,493 |
) |
1-Day SOFR, 5.34% |
|
Annual |
|
5.00% |
|
Annual |
|
|
N/A |
|
|
|
10/02/25 |
|
|
USD |
|
169,290 |
|
|
181,406 |
|
|
|
21,456 |
|
|
|
159,950 |
|
|
|
|
|
Tokyo Overnight Average |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0.28% |
|
Annual |
|
Rate, 0.07% |
|
Annual |
|
|
N/A |
|
|
|
03/09/26 |
|
|
JPY |
|
2,893,937 |
|
|
1,698 |
|
|
|
89 |
|
|
|
1,609 |
|
4.69% |
|
Annual |
|
1-Day SOFR, 5.34% |
|
Annual |
|
|
N/A |
|
|
|
10/02/26 |
|
|
USD |
|
115,533 |
|
|
(394,242 |
) |
|
|
(20,691 |
) |
|
|
(373,551 |
) |
1-Day SOFR, 5.34% |
|
At Termination |
|
4.17% |
|
At Termination |
|
|
10/23/25 |
(a) |
|
|
10/23/26 |
|
|
USD |
|
19,696 |
|
|
78,713 |
|
|
|
36 |
|
|
|
78,677 |
|
1-Day SOFR, 5.34% |
|
At Termination |
|
4.21% |
|
At Termination |
|
|
10/27/25 |
(a) |
|
|
10/27/26 |
|
|
USD |
|
39,419 |
|
|
174,061 |
|
|
|
72 |
|
|
|
173,989 |
|
1-Day SOFR, 5.34% |
|
Annual |
|
3.47% |
|
Annual |
|
|
03/10/25 |
(a) |
|
|
03/10/27 |
|
|
USD |
|
9,910 |
|
|
(69,651 |
) |
|
|
44 |
|
|
|
(69,695 |
) |
1-Day MIBOR, 7.90% |
|
Semi-Annual |
|
6.34% |
|
Semi-Annual |
|
|
N/A |
|
|
|
03/20/27 |
|
|
INR |
|
1,186,669 |
|
|
(23,078 |
) |
|
|
94 |
|
|
|
(23,172 |
) |
1-Day SOFR, 5.34% |
|
Annual |
|
3.30% |
|
Annual |
|
|
10/23/25 |
(a) |
|
|
10/23/27 |
|
|
USD |
|
7,036 |
|
|
(43,392 |
) |
|
|
32 |
|
|
|
(43,424 |
) |
1-Day SOFR, 5.34% |
|
Annual |
|
4.20% |
|
Annual |
|
|
10/23/25 |
(a) |
|
|
10/23/27 |
|
|
USD |
|
10,250 |
|
|
101,636 |
|
|
|
47 |
|
|
|
101,589 |
|
1-Day SOFR, 5.34% |
|
Annual |
|
3.92% |
|
Annual |
|
|
11/03/25 |
(a) |
|
|
11/03/27 |
|
|
USD |
|
4,880 |
|
|
24,722 |
|
|
|
22 |
|
|
|
24,700 |
|
1-Day SOFR, 5.34% |
|
Annual |
|
3.95% |
|
Annual |
|
|
11/03/25 |
(a) |
|
|
11/03/27 |
|
|
USD |
|
4,880 |
|
|
27,330 |
|
|
|
22 |
|
|
|
27,308 |
|
24
|
|
|
Consolidated Schedule of Investments (unaudited) (continued)
March 31, 2024 |
|
BlackRock Capital Allocation Term Trust (BCAT) |
Centrally Cleared Interest Rate Swaps (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Paid by the Trust |
|
Received by the Trust |
|
Effective Date |
|
|
Termination Date |
|
|
Notional
Amount (000) |
|
Value |
|
|
Upfront Premium Paid (Received) |
|
|
Unrealized Appreciation (Depreciation) |
|
Rate |
|
Frequency |
|
Rate |
|
Frequency |
1-Day SOFR, 5.34% |
|
Annual |
|
3.99% |
|
Annual |
|
|
11/03/25 |
(a) |
|
|
11/03/27 |
|
|
USD |
|
9,761 |
|
$ |
60,746 |
|
|
$ |
44 |
|
|
$ |
60,702 |
|
1-Day SOFR, 5.34% |
|
Annual |
|
4.07% |
|
Annual |
|
|
11/03/25 |
(a) |
|
|
11/03/27 |
|
|
USD |
|
19,787 |
|
|
153,178 |
|
|
|
90 |
|
|
|
153,088 |
|
1-Day SOFR, 5.34% |
|
Annual |
|
3.86% |
|
Annual |
|
|
11/10/25 |
(a) |
|
|
11/10/27 |
|
|
USD |
|
20,267 |
|
|
83,001 |
|
|
|
92 |
|
|
|
82,909 |
|
1-Day SOFR, 5.34% |
|
Annual |
|
3.48% |
|
Annual |
|
|
01/23/26 |
(a) |
|
|
01/23/28 |
|
|
USD |
|
27,289 |
|
|
(58,348 |
) |
|
|
118 |
|
|
|
(58,466 |
) |
3.45% |
|
Annual |
|
1-Day SOFR, 5.34% |
|
Annual |
|
|
N/A |
|
|
|
01/26/28 |
|
|
USD |
|
24,493 |
|
|
67,015 |
|
|
|
106 |
|
|
|
66,909 |
|
1-Day SOFR, 5.34% |
|
Annual |
|
4.00% |
|
Annual |
|
|
N/A |
|
|
|
01/26/28 |
|
|
USD |
|
24,493 |
|
|
171,008 |
|
|
|
106 |
|
|
|
170,902 |
|
3.27% |
|
Annual |
|
1-Day SOFR, 5.34% |
|
Annual |
|
|
02/05/26 |
(a) |
|
|
02/05/28 |
|
|
USD |
|
24,747 |
|
|
143,401 |
|
|
|
107 |
|
|
|
143,294 |
|
1-Day SOFR, 5.34% |
|
Annual |
|
3.87% |
|
Annual |
|
|
02/05/26 |
(a) |
|
|
02/05/28 |
|
|
USD |
|
24,747 |
|
|
119,381 |
|
|
|
107 |
|
|
|
119,274 |
|
1-Day SONIA, 5.19% |
|
At Termination |
|
3.18% |
|
At Termination 02/10/27(a) |
|
|
|
|
|
|
02/10/28 |
|
|
GBP |
|
85,657 |
|
|
(172,607 |
) |
|
|
524 |
|
|
|
(173,131 |
) |
1-Day SONIA, 5.19% |
|
Annual |
|
4.86% |
|
Annual |
|
|
N/A |
|
|
|
06/20/28 |
|
|
GBP |
|
6,480 |
|
|
271,754 |
|
|
|
(15 |
) |
|
|
271,769 |
|
28-Day MXIBTIIE, 11.25% |
|
Monthly |
|
9.13% |
|
Monthly |
|
|
N/A |
|
|
|
08/15/28 |
|
|
MXN |
|
104,580 |
|
|
38,901 |
|
|
|
51 |
|
|
|
38,850 |
|
1-Day SOFR, 5.34% |
|
Annual |
|
4.42% |
|
Annual |
|
|
N/A |
|
|
|
10/02/28 |
|
|
USD |
|
81,301 |
|
|
893,301 |
|
|
|
17,554 |
|
|
|
875,747 |
|
1-Day SOFR, 5.34% |
|
Annual |
|
4.40% |
|
Annual |
|
|
N/A |
|
|
|
10/31/28 |
|
|
USD |
|
13,191 |
|
|
150,353 |
|
|
|
115 |
|
|
|
150,238 |
|
1-Day SONIA, 5.19% |
|
Annual |
|
4.12% |
|
Annual |
|
|
N/A |
|
|
|
11/17/28 |
|
|
GBP |
|
6,090 |
|
|
52,593 |
|
|
|
275 |
|
|
|
52,318 |
|
1-Day SONIA, 5.19% |
|
Annual |
|
4.12% |
|
Annual |
|
|
N/A |
|
|
|
11/21/28 |
|
|
GBP |
|
6,085 |
|
|
54,427 |
|
|
|
277 |
|
|
|
54,150 |
|
1-Day SOFR, 5.34% |
|
Annual |
|
3.25% |
|
Annual |
|
|
12/15/26 |
(a) |
|
|
12/15/28 |
|
|
USD |
|
21,232 |
|
|
(106,704 |
) |
|
|
97 |
|
|
|
(106,801 |
) |
6-mo. EURIBOR, 3.85% |
|
Semi-Annual |
|
3.00% |
|
Annual |
|
|
N/A |
|
|
|
03/05/29 |
|
|
EUR |
|
15,660 |
|
|
231,736 |
|
|
|
164 |
|
|
|
231,572 |
|
1-Day MIBOR, 7.90% |
|
Semi-Annual |
|
6.26% |
|
Semi-Annual |
|
|
N/A |
|
|
|
03/20/29 |
|
|
INR |
|
339,246 |
|
|
(14,721 |
) |
|
|
46 |
|
|
|
(14,767 |
) |
1-Day MIBOR, 7.90% |
|
Semi-Annual |
|
6.30% |
|
Semi-Annual |
|
|
N/A |
|
|
|
03/20/29 |
|
|
INR |
|
414,634 |
|
|
(10,055 |
) |
|
|
56 |
|
|
|
(10,111 |
) |
1-Day SOFR, 5.34% |
|
Annual |
|
3.79% |
|
Annual |
|
|
N/A |
|
|
|
03/29/29 |
|
|
USD |
|
35,313 |
|
|
(308,245 |
) |
|
|
319 |
|
|
|
(308,564 |
) |
0.02% |
|
Annual |
|
6-mo. EURIBOR, 3.85% |
|
Semi-Annual |
|
|
N/A |
|
|
|
08/26/31 |
|
|
EUR |
|
9,317 |
|
|
1,763,898 |
|
|
|
148 |
|
|
|
1,763,750 |
|
1-Day ESTR, 1,335.44% |
|
Annual |
|
2.34% |
|
Annual |
|
|
01/19/28 |
(a) |
|
|
01/19/33 |
|
|
EUR |
|
7,414 |
|
|
18,109 |
|
|
|
104 |
|
|
|
18,005 |
|
1-Day SOFR, 5.34% |
|
Annual |
|
3.14% |
|
Annual |
|
|
05/12/28 |
(a) |
|
|
05/12/33 |
|
|
USD |
|
13,769 |
|
|
(256,261 |
) |
|
|
127 |
|
|
|
(256,388 |
) |
1-Day SOFR, 5.34% |
|
Annual |
|
4.31% |
|
Annual |
|
|
N/A |
|
|
|
09/29/33 |
|
|
USD |
|
121,626 |
|
|
3,837,089 |
|
|
|
10,111 |
|
|
|
3,826,978 |
|
4.40% |
|
Annual |
|
1-Day SOFR, 5.34% |
|
Annual |
|
|
N/A |
|
|
|
11/01/33 |
|
|
USD |
|
11,317 |
|
|
(457,162 |
) |
|
|
181 |
|
|
|
(457,343 |
) |
1-Day SOFR, 5.34% |
|
Annual |
|
4.00% |
|
Annual |
|
|
N/A |
|
|
|
01/12/34 |
|
|
USD |
|
9,940 |
|
|
101,461 |
|
|
|
155 |
|
|
|
101,306 |
|
1-Day SOFR, 5.34% |
|
Annual |
|
4.00% |
|
Annual |
|
|
N/A |
|
|
|
01/17/34 |
|
|
USD |
|
2,863 |
|
|
29,857 |
|
|
|
45 |
|
|
|
29,812 |
|
1-Day MIBOR, 7.90% |
|
Semi-Annual |
|
6.34% |
|
Semi-Annual |
|
|
N/A |
|
|
|
03/20/34 |
|
|
INR |
|
218,262 |
|
|
(12,370 |
) |
|
|
45 |
|
|
|
(12,415 |
) |
1-Day MIBOR, 7.90% |
|
Semi-Annual |
|
6.35% |
|
Semi-Annual |
|
|
N/A |
|
|
|
03/20/34 |
|
|
INR |
|
218,262 |
|
|
(10,469 |
) |
|
|
45 |
|
|
|
(10,514 |
) |
3.46% |
|
Annual |
|
1-Day SOFR, 5.34% |
|
Annual |
|
|
12/15/26 |
(a) |
|
|
12/15/36 |
|
|
USD |
|
4,853 |
|
|
72,151 |
|
|
|
80 |
|
|
|
72,071 |
|
4.25% |
|
Annual |
|
1-Day SOFR, 5.34% |
|
Annual |
|
|
N/A |
|
|
|
09/29/43 |
|
|
USD |
|
1,467 |
|
|
(80,885 |
) |
|
|
986 |
|
|
|
(81,871 |
) |
4.03% |
|
Annual |
|
1-Day SOFR, 5.34% |
|
Annual |
|
|
N/A |
|
|
|
09/29/53 |
|
|
USD |
|
30,617 |
|
|
(2,045,808 |
) |
|
|
9,610 |
|
|
|
(2,055,418 |
) |
3.65% |
|
Annual |
|
1-Day SOFR, 5.34% |
|
Annual |
|
|
N/A |
|
|
|
11/03/53 |
|
|
USD |
|
5,251 |
|
|
(1,787 |
) |
|
|
167 |
|
|
|
(1,954 |
) |
1-Day SOFR, 5.34% |
|
Annual |
|
4.00% |
|
Annual |
|
|
N/A |
|
|
|
11/03/53 |
|
|
USD |
|
5,251 |
|
|
336,755 |
|
|
|
167 |
|
|
|
336,588 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
3,968,637 |
|
|
$ |
47,195 |
|
|
$ |
3,921,442 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Centrally Cleared Inflation Swaps
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Paid by the Trust |
|
|
|
Received by the Fund |
|
Termination Date |
|
|
Notional
Amount (000) |
|
Value |
|
|
Upfront Premium Paid (Received) |
|
|
Unrealized Appreciation (Depreciation) |
|
Reference |
|
Frequency |
|
|
|
Rate |
|
Frequency |
Eurostat Eurozone HICP Ex Tobacco Unrevised |
|
At Termination |
|
|
|
2.69% |
|
At Termination |
|
|
08/15/32 |
|
|
EUR 1,425 |
|
|
|
$ |
18,900 |
|
|
$ |
30 |
|
|
$ |
18,870 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
OTC Credit Default Swaps Buy Protection
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Reference Obligations/Index |
|
Financing Rate Paid by the Trust |
|
|
Payment Frequency |
|
|
Counterparty |
|
Termination Date |
|
|
Notional
Amount (000) |
|
|
Value |
|
|
Upfront Premium Paid (Received) |
|
|
Unrealized Appreciation (Depreciation) |
|
American Airlines Group Inc. |
|
|
5.00 |
% |
|
|
Quarterly |
|
|
JPMorgan Chase Bank N.A. |
|
|
12/20/24 |
|
|
USD |
|
|
95 |
|
|
$ |
(3,101 |
) |
|
$ |
(798 |
) |
|
$ |
(2,303 |
) |
UBS Group AG |
|
|
1.00 |
|
|
|
Quarterly |
|
|
JPMorgan Chase Bank N.A. |
|
|
06/20/28 |
|
|
EUR |
|
|
3,700 |
|
|
|
(79,916 |
) |
|
|
113,173 |
|
|
|
(193,089 |
) |
UBS Group AG |
|
|
1.00 |
|
|
|
Quarterly |
|
|
JPMorgan Chase Bank N.A. |
|
|
06/20/28 |
|
|
EUR |
|
|
2,160 |
|
|
|
(46,654 |
) |
|
|
63,831 |
|
|
|
(110,485 |
) |
Boeing, Co. |
|
|
1.00 |
|
|
|
Quarterly |
|
|
Deutsche Bank AG |
|
|
12/20/28 |
|
|
USD |
|
|
800 |
|
|
|
(488 |
) |
|
|
(3,706 |
) |
|
|
3,218 |
|
Paramount Global Class B |
|
|
1.00 |
|
|
|
Quarterly |
|
|
Goldman Sachs International |
|
|
12/20/28 |
|
|
USD |
|
|
155 |
|
|
|
8,069 |
|
|
|
7,116 |
|
|
|
953 |
|
Paramount Global Class B |
|
|
1.00 |
|
|
|
Quarterly |
|
|
JPMorgan Chase Bank N.A. |
|
|
12/20/28 |
|
|
USD |
|
|
300 |
|
|
|
15,618 |
|
|
|
20,412 |
|
|
|
(4,794 |
) |
|
|
|
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 |
|
25 |
|
|
|
Consolidated Schedule of Investments (unaudited) (continued)
March 31, 2024 |
|
BlackRock Capital Allocation Term Trust (BCAT) |
OTC Credit Default Swaps Buy Protection (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Reference Obligations/Index |
|
Financing Rate Paid by the Trust |
|
|
Payment Frequency |
|
|
Counterparty |
|
Termination Date |
|
|
Notional
Amount (000) |
|
|
Value |
|
|
Upfront Premium Paid (Received) |
|
|
Unrealized Appreciation (Depreciation) |
|
Paramount Global Class B |
|
|
1.00 |
% |
|
|
Quarterly |
|
|
JPMorgan Chase Bank N.A. |
|
|
12/20/28 |
|
|
USD |
|
|
300 |
|
|
$ |
15,618 |
|
|
$ |
20,969 |
|
|
$ |
(5,351 |
) |
Xerox Corp. |
|
|
1.00 |
|
|
|
Quarterly |
|
|
JPMorgan Chase Bank N.A. |
|
|
12/20/28 |
|
|
USD |
|
|
10 |
|
|
|
730 |
|
|
|
1,155 |
|
|
|
(425 |
) |
Xerox Corp. |
|
|
1.00 |
|
|
|
Quarterly |
|
|
Morgan Stanley & Co. International PLC |
|
|
12/20/28 |
|
|
USD |
|
|
30 |
|
|
|
2,190 |
|
|
|
3,463 |
|
|
|
(1,273 |
) |
Republic of Panama |
|
|
1.00 |
|
|
|
Quarterly |
|
|
Bank of America N.A. |
|
|
06/20/29 |
|
|
USD |
|
|
300 |
|
|
|
11,379 |
|
|
|
11,827 |
|
|
|
(448 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(76,555 |
) |
|
$ |
237,442 |
|
|
$ |
(313,997 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
OTC Credit Default Swaps Sell Protection
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Reference Obligation/Index |
|
|
Financing Rate Received by the Trust |
|
|
|
Payment Frequency |
|
|
Counterparty |
|
|
Termination Date |
|
|
|
Credit Rating |
(a) |
|
|
Notional
Amount (000) |
(b) |
|
|
Value |
|
|
|
Upfront Premium Paid (Received) |
|
|
|
Unrealized Appreciation (Depreciation) |
|
Vistra Operations Company LLC |
|
|
5.00 |
% |
|
|
Quarterly |
|
|
JPMorgan Chase Bank N.A. |
|
|
12/20/25 |
|
|
|
BB |
|
|
|
USD 642 |
|
|
$ |
46,246 |
|
|
$ |
19,990 |
|
|
$ |
26,256 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) |
Using the rating of the issuer or the underlying securities of the index, as applicable, provided by S&P Global
Ratings. |
|
|
(b) |
The maximum potential amount the Trust may pay should a negative credit event take place as defined under the terms of
the agreement. |
|
OTC Interest Rate Swaps
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Paid by the Trust |
|
Received by the Trust |
|
Counterparty |
|
Effective Date |
|
|
Termination Date |
|
|
Notional Amount (000) |
|
|
Value |
|
|
Upfront Premium Paid (Received) |
|
|
Unrealized Appreciation (Depreciation) |
|
Rate |
|
Frequency |
|
Rate |
|
|
Frequency |
1-Day BZDIOVER, 0.04% |
|
At Termination |
|
|
12.81 |
% |
|
At Termination |
|
Morgan Stanley & Co. International PLC |
|
|
N/A |
|
|
|
01/02/25 |
|
|
|
BRL |
|
|
|
143,165 |
|
|
$ |
666,731 |
|
|
$ |
|
|
|
$ |
666,731 |
|
1-Day BZDIOVER, 0.04% |
|
At Termination |
|
|
13.18 |
% |
|
At Termination |
|
JPMorgan Chase Bank N.A. |
|
|
N/A |
|
|
|
01/02/25 |
|
|
|
BRL |
|
|
|
7,385 |
|
|
|
45,841 |
|
|
|
|
|
|
|
45,841 |
|
1-Day BZDIOVER, 0.04% |
|
At Termination |
|
|
13.21 |
% |
|
At Termination |
|
JPMorgan Chase Bank N.A. |
|
|
N/A |
|
|
|
01/02/25 |
|
|
|
BRL |
|
|
|
7,381 |
|
|
|
46,697 |
|
|
|
|
|
|
|
46,697 |
|
1-Day BZDIOVER, 0.04% |
|
At Termination |
|
|
13.25 |
% |
|
At Termination |
|
Citibank N.A. |
|
|
N/A |
|
|
|
01/02/25 |
|
|
|
BRL |
|
|
|
3,883 |
|
|
|
25,182 |
|
|
|
|
|
|
|
25,182 |
|
China Fixing Repo Rates 7-Day, 2.30% |
|
Quarterly |
|
|
2.60 |
% |
|
Quarterly |
|
Morgan Stanley & Co. International PLC |
|
|
N/A |
|
|
|
09/15/26 |
|
|
|
CNY |
|
|
|
157,107 |
|
|
|
333,903 |
|
|
|
|
|
|
|
333,903 |
|
1-Day BZDIOVER, 0.04% |
|
At Termination |
|
|
10.06 |
% |
|
At Termination |
|
JPMorgan Chase Bank N.A. |
|
|
N/A |
|
|
|
01/04/27 |
|
|
|
BRL |
|
|
|
14,158 |
|
|
|
(36,961 |
) |
|
|
|
|
|
|
(36,961 |
) |
1-Day BZDIOVER, 0.04% |
|
At Termination |
|
|
10.03 |
% |
|
At Termination |
|
BNP Paribas SA |
|
|
N/A |
|
|
|
01/04/27 |
|
|
|
BRL |
|
|
|
12,635 |
|
|
|
(37,579 |
) |
|
|
|
|
|
|
(37,579 |
) |
1-Day BZDIOVER, 0.04% |
|
At Termination |
|
|
10.14 |
% |
|
At Termination |
|
Bank of America N.A. |
|
|
N/A |
|
|
|
01/04/27 |
|
|
|
BRL |
|
|
|
13,441 |
|
|
|
(34,159 |
) |
|
|
|
|
|
|
(34,159 |
) |
1-Day BZDIOVER, 0.04% |
|
At Termination |
|
|
10.12 |
% |
|
At Termination |
|
BNP Paribas SA |
|
|
N/A |
|
|
|
01/04/27 |
|
|
|
BRL |
|
|
|
96 |
|
|
|
(230 |
) |
|
|
|
|
|
|
(230 |
) |
1-Day BZDIOVER, 0.04% |
|
At Termination |
|
|
10.16 |
% |
|
At Termination |
|
Bank of America N.A. |
|
|
N/A |
|
|
|
01/04/27 |
|
|
|
BRL |
|
|
|
17,910 |
|
|
|
(43,061 |
) |
|
|
|
|
|
|
(43,061 |
) |
1-Day BZDIOVER, 0.04% |
|
At Termination |
|
|
10.12 |
% |
|
At Termination |
|
BNP Paribas SA |
|
|
N/A |
|
|
|
01/04/27 |
|
|
|
BRL |
|
|
|
17,183 |
|
|
|
(41,020 |
) |
|
|
|
|
|
|
(41,020 |
) |
1-Day BZDIOVER, 0.04% |
|
At Termination |
|
|
10.35 |
% |
|
At Termination |
|
Barclays Bank PLC |
|
|
N/A |
|
|
|
01/04/27 |
|
|
|
BRL |
|
|
|
29,050 |
|
|
|
(15,896 |
) |
|
|
|
|
|
|
(15,896 |
) |
26
|
|
|
Consolidated Schedule of Investments (unaudited) (continued)
March 31, 2024 |
|
BlackRock Capital Allocation Term Trust (BCAT) |
OTC Interest Rate Swaps (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Paid by the Trust |
|
Received by the Trust |
|
Counterparty |
|
Effective Date |
|
|
Termination Date |
|
|
Notional Amount (000) |
|
|
Value |
|
|
Upfront Premium Paid (Received) |
|
|
Unrealized Appreciation (Depreciation) |
|
Rate |
|
Frequency |
|
Rate |
|
|
Frequency |
1-Day BZDIOVER, 0.04% |
|
At Termination |
|
|
9.99 |
% |
|
At Termination |
|
Citibank N.A. |
|
|
N/A |
|
|
|
01/04/27 |
|
|
|
BRL |
|
|
|
14,191 |
|
|
$ |
(44,146 |
) |
|
$ |
|
|
|
$ |
(44,146 |
) |
1-Day BZDIOVER, 0.04% |
|
At Termination |
|
|
10.00 |
% |
|
At Termination |
|
Bank of America N.A. |
|
|
N/A |
|
|
|
01/04/27 |
|
|
|
BRL |
|
|
|
14,578 |
|
|
|
(43,894 |
) |
|
|
|
|
|
|
(43,894 |
) |
1-Day BZDIOVER, 0.04% |
|
At Termination |
|
|
10.03 |
% |
|
At Termination |
|
Morgan Stanley & Co. International PLC |
|
|
N/A |
|
|
|
01/04/27 |
|
|
|
BRL |
|
|
|
14,173 |
|
|
|
(40,311 |
) |
|
|
|
|
|
|
(40,311 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
781,097 |
|
|
$ |
|
|
|
$ |
781,097 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
OTC Total Return Swaps
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Paid by the Trust |
|
Received by the Trust |
|
Counterparty |
|
Effective Date |
|
|
Termination Date |
|
|
Notional Amount (000) |
|
|
Value |
|
|
Upfront Premium Paid (Received) |
|
|
Unrealized Appreciation (Depreciation) |
|
Rate/Reference |
|
Frequency |
|
Rate/Reference |
|
Frequency |
1-Day SOFR minus 0.30%, 5.34% |
|
At Termination |
|
iShares iBoxx $ High Yield Corporate Bond ETF |
|
At Termination |
|
BNP Paribas SA |
|
|
N/A |
|
|
|
06/17/24 |
|
|
|
USD |
|
|
|
5,095 |
|
|
$ |
34,387 |
|
|
$ |
|
|
|
$ |
34,387 |
|
1-Day SOFR minus 0.30%, 5.34% |
|
At Termination |
|
iShares iBoxx $ High Yield Corporate Bond ETF |
|
At Termination |
|
JPMorgan Chase Bank N.A. |
|
|
N/A |
|
|
|
06/17/24 |
|
|
|
USD |
|
|
|
5,694 |
|
|
|
38,430 |
|
|
|
|
|
|
|
38,430 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
72,817 |
|
|
$ |
|
|
|
$ |
72,817 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
OTC Total Return Swaps
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Reference Entity |
|
Payment
Frequency |
|
Counterparty(a) |
|
Termination Date |
|
|
Net Notional |
|
|
Accrued Unrealized
Appreciation (Depreciation) |
|
|
Net Value of Reference Entity |
|
|
Gross Notional Amount Net Asset Percentage |
|
Equity Securities Long/Short |
|
Monthly |
|
Citibank N.A.(b) |
|
|
10/25/24 |
|
|
$ |
11,218,233 |
|
|
$ |
383,792 |
(c) |
|
$ |
11,653,825 |
|
|
|
0.6 |
% |
|
|
Monthly |
|
JPMorgan Chase Bank N.A.(d) |
|
|
02/10/25 |
|
|
|
(8,303,648 |
) |
|
|
(82,020 |
)(e) |
|
|
(8,399,409 |
) |
|
|
0.5 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
301,772 |
|
|
$ |
3,254,416 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) |
The Trust receives the total return on a portfolio of long positions underlying the total return swap. The Trust pays
the total return on a portfolio of short positions underlying the total return swap. In addition, the Trust pays or receives a variable rate of interest, based on a specified benchmark. The benchmark and spread are determined based upon the country
and/or currency of the individual underlying positions. |
|
|
(c) |
Amount includes $(51,800) of net dividends and financing fees. |
|
|
(e) |
Amount includes $13,741 of net dividends and financing fees. |
|
The following are the specified benchmarks (plus or minus a range) used in determining the variable rate of interest:
|
|
|
|
|
|
|
(b) |
|
(d) |
Range: |
|
26 basis points |
|
15-82 basis points |
Benchmarks: |
|
USD - 1D Overnight Bank Funding Rate (OBFR01) |
|
USD - 1D Overnight Bank Funding Rate (OBFR01) |
|
|
|
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 |
|
27 |
|
|
|
Consolidated Schedule of Investments (unaudited) (continued)
March 31, 2024 |
|
BlackRock Capital Allocation Term Trust (BCAT) |
The following table represents the individual long positions and related values of the equity securities
underlying the total return swap with Citibank N.A. as of period end, termination date 10/25/24:
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
Shares |
|
|
Value |
|
|
% of Basket Value |
|
|
|
|
|
Reference Entity Long |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Common Stocks |
|
|
|
|
|
|
|
|
|
|
|
|
|
Italy |
|
|
|
|
|
|
|
|
|
Leonardo SpA |
|
|
463,859 |
|
|
$ |
11,653,825 |
|
|
|
100.0 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Value of Reference Entity Citibank N.A |
|
|
$11,653,825 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The following table represents the individual long and short positions and related values of the equity securities
underlying the total return swap with JPMorgan Chase Bank N.A. as of period end, termination date 02/10/25:
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
Shares |
|
|
Value |
|
|
% of Basket Value |
|
|
|
|
|
Reference Entity Long |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Common Stocks |
|
|
|
|
|
|
|
|
|
|
|
|
|
United States |
|
|
|
|
|
|
|
|
|
Banc of California, Inc. |
|
|
1 |
|
|
$ |
15 |
|
|
|
(0.0 |
)% |
BankUnited, Inc. |
|
|
3,228 |
|
|
|
90,384 |
|
|
|
(1.1 |
) |
Customers Bancorp., Inc. |
|
|
537 |
|
|
|
28,493 |
|
|
|
(0.3 |
) |
Eagle Bancorp., Inc. |
|
|
3,416 |
|
|
|
80,242 |
|
|
|
(1.0 |
) |
New York Community Bancorp., Inc. |
|
|
152,617 |
|
|
|
491,427 |
|
|
|
(5.8 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Reference Entity Long |
|
|
690,561 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
Shares |
|
|
Value |
|
|
% of Basket Value |
|
|
|
|
|
Reference Entity Short |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Common Stocks |
|
|
|
|
|
|
|
|
|
|
|
|
|
United States |
|
|
|
|
|
|
|
|
|
Air Transport Services Group, Inc. |
|
|
(309 |
) |
|
$ |
(4,252 |
) |
|
|
0.0 |
% |
Atlantic Union Bankshares Corp. |
|
|
(1,550 |
) |
|
|
(54,731 |
) |
|
|
0.7 |
|
Brookline Bancorp, Inc. |
|
|
(5,664 |
) |
|
|
(56,413 |
) |
|
|
0.7 |
|
Community Bank System, Inc. |
|
|
(1,416 |
) |
|
|
(68,011 |
) |
|
|
0.8 |
|
CVB Financial Corp. |
|
|
(3,741 |
) |
|
|
(66,739 |
) |
|
|
0.8 |
|
Dime Community Bancshares, Inc. |
|
|
(212 |
) |
|
|
(4,083 |
) |
|
|
0.0 |
|
First Bancorp./Southern Pines NC |
|
|
(1,699 |
) |
|
|
(61,368 |
) |
|
|
0.7 |
|
Glacier Bancorp, Inc. |
|
|
(1,656 |
) |
|
|
(66,704 |
) |
|
|
0.8 |
|
Independent Bank Group, Inc. |
|
|
(1,817 |
) |
|
|
(82,946 |
) |
|
|
1.0 |
|
Marriott International, Inc., Class A |
|
|
(3,655 |
) |
|
|
(922,193 |
) |
|
|
11.0 |
|
OceanFirst Financial Corp. |
|
|
(4,578 |
) |
|
|
(75,125 |
) |
|
|
0.9 |
|
Provident Financial Services, Inc. |
|
|
(5,230 |
) |
|
|
(76,201 |
) |
|
|
0.9 |
|
Sandy Spring Bancorp, Inc. |
|
|
(3,683 |
) |
|
|
(85,372 |
) |
|
|
1.0 |
|
SouthState Corp. |
|
|
(670 |
) |
|
|
(56,970 |
) |
|
|
0.7 |
|
Valley National Bancorp. |
|
|
(11,378 |
) |
|
|
(90,569 |
) |
|
|
1.1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1,771,677 |
) |
|
|
|
|
|
|
|
|
Exchange Traded Funds |
|
|
|
|
|
|
|
|
|
|
|
|
|
United States |
|
|
|
|
|
|
|
|
|
iShares iBoxx $ High Yield Corporate Bond ETF |
|
|
(24,105 |
) |
|
|
(1,873,681 |
) |
|
|
22.3 |
|
iShares iBoxx $ Investment Grade Corporate Bond ETF |
|
|
(21,553 |
) |
|
|
(2,347,553 |
) |
|
|
27.9 |
|
Vanguard Intermediate-Term Corporate Bond ETF |
|
|
(38,468 |
) |
|
|
(3,097,059 |
) |
|
|
36.9 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(7,318,293 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Reference Entity Short |
|
|
|
(9,089,970 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Value of Reference Entity JPMorgan Chase Bank N.A |
|
|
$ |
(8,399,409 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fair Value Hierarchy as of Period End
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:
|
|
|
Level 1 Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the 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 marketcorroborated 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 Valuation Committees 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 Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by privately held companies or funds. There may
not be a secondary market, and/or there are 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. For information about the Trusts policy regarding valuation of financial instruments, refer to its most recent financial statements.
Certain investments of the Trust were fair valued using net asset value (NAV) as a practical expedient as no quoted market value is available
and therefore have been excluded from the fair value hierarchy.
28
|
|
|
Consolidated Schedule of Investments (unaudited) (continued)
March 31, 2024 |
|
BlackRock Capital Allocation Term Trust (BCAT) |
Fair Value Hierarchy as of Period End (continued)
The following
table summarizes the Trusts financial instruments categorized in the fair value hierarchy. The breakdown of the Trusts 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 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Asset-Backed Securities |
|
$ |
|
|
|
$ |
136,475,971 |
|
|
$ |
8,387,554 |
|
|
$ |
144,863,525 |
|
Common Stocks |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Australia |
|
|
|
|
|
|
6,708,943 |
|
|
|
|
|
|
|
6,708,943 |
|
Canada |
|
|
26,274,905 |
|
|
|
|
|
|
|
|
|
|
|
26,274,905 |
|
China |
|
|
|
|
|
|
13,278,728 |
|
|
|
|
|
|
|
13,278,728 |
|
Denmark |
|
|
|
|
|
|
982,702 |
|
|
|
|
|
|
|
982,702 |
|
France |
|
|
|
|
|
|
35,436,803 |
|
|
|
|
|
|
|
35,436,803 |
|
Germany |
|
|
|
|
|
|
14,829,401 |
|
|
|
|
|
|
|
14,829,401 |
|
Hong Kong |
|
|
|
|
|
|
3,419,588 |
|
|
|
|
|
|
|
3,419,588 |
|
India |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Israel |
|
|
11,108,667 |
|
|
|
|
|
|
|
|
|
|
|
11,108,667 |
|
Italy |
|
|
2,673,291 |
|
|
|
14,481,149 |
|
|
|
|
|
|
|
17,154,440 |
|
Japan |
|
|
|
|
|
|
70,405,104 |
|
|
|
|
|
|
|
70,405,104 |
|
Macau |
|
|
|
|
|
|
1,074,072 |
|
|
|
|
|
|
|
1,074,072 |
|
Netherlands |
|
|
639,092 |
|
|
|
36,183,678 |
|
|
|
|
|
|
|
36,822,770 |
|
South Korea |
|
|
6,057,317 |
|
|
|
2,587,410 |
|
|
|
|
|
|
|
8,644,727 |
|
Spain |
|
|
|
|
|
|
10,089,925 |
|
|
|
|
|
|
|
10,089,925 |
|
Sweden |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Switzerland |
|
|
3,703,366 |
|
|
|
8,950,644 |
|
|
|
|
|
|
|
12,654,010 |
|
Taiwan |
|
|
9,433,843 |
|
|
|
|
|
|
|
|
|
|
|
9,433,843 |
|
United Kingdom |
|
|
4,947,803 |
|
|
|
37,520,253 |
|
|
|
559,949 |
|
|
|
43,028,005 |
|
United States |
|
|
664,416,783 |
|
|
|
26,574,224 |
|
|
|
24,783,847 |
|
|
|
715,774,854 |
|
Zambia |
|
|
170,640 |
|
|
|
|
|
|
|
|
|
|
|
170,640 |
|
Corporate Bonds |
|
|
|
|
|
|
189,316,863 |
|
|
|
63,278,570 |
|
|
|
252,595,433 |
|
Fixed Rate Loan Interests |
|
|
|
|
|
|
1,963,000 |
|
|
|
12,037,484 |
|
|
|
14,000,484 |
|
Floating Rate Loan Interests |
|
|
|
|
|
|
15,891,694 |
|
|
|
71,552,346 |
|
|
|
87,444,040 |
|
Foreign Agency Obligations |
|
|
|
|
|
|
39,023,024 |
|
|
|
|
|
|
|
39,023,024 |
|
Investment Companies |
|
|
17,098,586 |
|
|
|
|
|
|
|
|
|
|
|
17,098,586 |
|
Municipal Bonds |
|
|
|
|
|
|
3,117,477 |
|
|
|
|
|
|
|
3,117,477 |
|
Non-Agency Mortgage-Backed Securities |
|
|
|
|
|
|
78,908,203 |
|
|
|
15,417,314 |
|
|
|
94,325,517 |
|
Other Interests |
|
|
|
|
|
|
|
|
|
|
3,999,216 |
|
|
|
3,999,216 |
|
Preferred Securities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Capital Trusts |
|
|
|
|
|
|
1,581,846 |
|
|
|
|
|
|
|
1,581,846 |
|
Preferred Stocks |
|
|
|
|
|
|
3,737,224 |
|
|
|
62,939,364 |
|
|
|
66,676,588 |
|
U.S. Government Sponsored Agency Securities |
|
|
|
|
|
|
169,497,063 |
|
|
|
|
|
|
|
169,497,063 |
|
U.S. Treasury Obligations |
|
|
|
|
|
|
6,946,606 |
|
|
|
|
|
|
|
6,946,606 |
|
Warrants |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Brazil |
|
|
12,284 |
|
|
|
|
|
|
|
|
|
|
|
12,284 |
|
Israel |
|
|
403 |
|
|
|
|
|
|
|
3,283 |
|
|
|
3,686 |
|
United Kingdom |
|
|
|
|
|
|
|
|
|
|
238,536 |
|
|
|
238,536 |
|
United States |
|
|
40,015 |
|
|
|
1,372 |
|
|
|
2,556,380 |
|
|
|
2,597,767 |
|
Short-Term Securities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Money Market Funds |
|
|
98,453,645 |
|
|
|
|
|
|
|
|
|
|
|
98,453,645 |
|
U.S. Treasury Obligations |
|
|
|
|
|
|
307,281 |
|
|
|
|
|
|
|
307,281 |
|
Options Purchased |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit Contracts |
|
|
|
|
|
|
27,429 |
|
|
|
|
|
|
|
27,429 |
|
Equity Contracts |
|
|
5,866,807 |
|
|
|
|
|
|
|
|
|
|
|
5,866,807 |
|
Foreign Currency Exchange Contracts |
|
|
|
|
|
|
222,969 |
|
|
|
|
|
|
|
222,969 |
|
Interest Rate Contracts |
|
|
70,837 |
|
|
|
706,059 |
|
|
|
|
|
|
|
776,896 |
|
Other Contracts |
|
|
|
|
|
|
55,575 |
|
|
|
|
|
|
|
55,575 |
|
Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Unfunded Floating Rate Loan Interests(a) |
|
|
|
|
|
|
|
|
|
|
(21,008 |
) |
|
|
(21,008 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
850,968,284 |
|
|
$ |
930,302,280 |
|
|
$ |
265,732,835 |
|
|
|
2,047,003,399 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments Valued at NAV(b) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,852,024 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
2,051,855,423 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 |
|
29 |
|
|
|
Consolidated Schedule of Investments (unaudited) (continued)
March 31, 2024 |
|
BlackRock Capital Allocation Term Trust (BCAT) |
Fair Value Hierarchy as of Period End (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
|
|
Derivative Financial Instruments(c) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit Contracts |
|
$ |
|
|
|
$ |
992,224 |
|
|
$ |
|
|
|
$ |
992,224 |
|
Equity Contracts |
|
|
133,713 |
|
|
|
706,177 |
|
|
|
|
|
|
|
839,890 |
|
Foreign Currency Exchange Contracts |
|
|
|
|
|
|
6,911,404 |
|
|
|
|
|
|
|
6,911,404 |
|
Interest Rate Contracts |
|
|
1,701,836 |
|
|
|
11,965,298 |
|
|
|
|
|
|
|
13,667,134 |
|
Other Contracts |
|
|
|
|
|
|
18,870 |
|
|
|
|
|
|
|
18,870 |
|
Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commodity Contracts |
|
|
(87,173 |
) |
|
|
|
|
|
|
|
|
|
|
(87,173 |
) |
Credit Contracts |
|
|
|
|
|
|
(911,293 |
) |
|
|
|
|
|
|
(911,293 |
) |
Equity Contracts |
|
|
(4,309,271 |
) |
|
|
(255,267 |
) |
|
|
|
|
|
|
(4,564,538 |
) |
Foreign Currency Exchange Contracts |
|
|
|
|
|
|
(622,541 |
) |
|
|
|
|
|
|
(622,541 |
) |
Interest Rate Contracts |
|
|
(3,108,017 |
) |
|
|
(8,798,586 |
) |
|
|
|
|
|
|
(11,906,603 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(5,668,912 |
) |
|
$ |
10,006,286 |
|
|
$ |
|
|
|
$ |
4,337,374 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) |
Unfunded floating rate loan interests are valued at the unrealized appreciation (depreciation) on the commitment.
|
|
|
(b) |
Certain investments of the Trust were fair valued using NAV as a practical expedient as no quoted market value is
available and therefore have been excluded from the fair value hierarchy. |
|
|
(c) |
Derivative financial instruments are swaps, futures contracts, forward foreign currency exchange contracts and options
written. Swaps, futures contracts and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument and 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 and derivative financial instruments 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 |
|
|
Fixed
Rate Loan Interests |
|
|
Floating Rate Loan Interests |
|
|
Non-Agency Mortgage-Backed Securities |
|
|
Other Interests |
|
|
|
Assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Opening balance, as of December 31, 2023 |
|
$ |
8,947,923 |
|
|
$ |
27,338,257 |
|
|
$ |
56,881,661 |
|
|
$ |
11,920,142 |
|
|
$ |
65,568,658 |
|
|
$ |
15,407,058 |
|
|
$ |
4,065,568 |
|
Transfers into Level 3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,582,720 |
|
|
|
|
|
|
|
|
|
Transfers out of Level 3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(3,050,180 |
) |
|
|
|
|
|
|
|
|
Other(a) |
|
|
|
|
|
|
(5,271,859 |
) |
|
|
|
|
|
|
(518,703 |
) |
|
|
518,703 |
|
|
|
|
|
|
|
|
|
Accrued discounts/premiums |
|
|
770 |
|
|
|
|
|
|
|
77,022 |
|
|
|
8,399 |
|
|
|
36,044 |
|
|
|
38,513 |
|
|
|
|
|
Net realized gain (loss) |
|
|
3,751 |
|
|
|
(48 |
) |
|
|
(330,154 |
) |
|
|
|
|
|
|
(1,823 |
) |
|
|
|
|
|
|
|
|
Net change in unrealized appreciation
(depreciation)(b) |
|
|
(164,103 |
) |
|
|
231,347 |
|
|
|
114,538 |
|
|
|
35,943 |
|
|
|
320,413 |
|
|
|
158,532 |
|
|
|
(66,352 |
) |
Purchases |
|
|
|
|
|
|
3,046,099 |
|
|
|
23,393,329 |
|
|
|
591,703 |
|
|
|
9,462,260 |
|
|
|
|
|
|
|
|
|
Sales |
|
|
(400,787 |
) |
|
|
|
|
|
|
(16,857,826 |
) |
|
|
|
|
|
|
(5,884,449 |
) |
|
|
(186,789 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Closing balance, as of March 31, 2024 |
|
$ |
8,387,554 |
|
|
$ |
25,343,796 |
|
|
$ |
63,278,570 |
|
|
$ |
12,037,484 |
|
|
$ |
71,552,346 |
|
|
$ |
15,417,314 |
|
|
$ |
3,999,216 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net change in unrealized appreciation (depreciation) on investments still held at March 31, 2024(b) |
|
$ |
(164,103 |
) |
|
$ |
231,347 |
|
|
$ |
33,333 |
|
|
$ |
35,943 |
|
|
$ |
304,013 |
|
|
$ |
158,532 |
|
|
$ |
(66,352 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Preferred Stocks |
|
|
Unfunded Fixed Rate Loan Interests |
|
|
Unfunded Floating Rate Loan Interests |
|
|
Warrants |
|
|
Total |
|
|
|
Assets/Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Opening balance, as of December 31, 2023 |
|
$ |
53,697,827 |
|
|
$ |
|
|
|
$ |
(49,378 |
) |
|
$ |
1,990,642 |
|
|
$ |
245,768,358 |
|
Transfers into Level 3 |
|
|
2,487,113 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,069,833 |
|
Transfers out of Level 3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(3,050,180 |
) |
Other(a) |
|
|
5,271,859 |
|
|
|
191 |
|
|
|
(191 |
) |
|
|
|
|
|
|
|
|
Accrued discounts/premiums |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
160,748 |
|
Net realized gain (loss) |
|
|
301 |
|
|
|
|
|
|
|
|
|
|
|
(24,020 |
) |
|
|
(351,993 |
) |
Net change in unrealized appreciation
(depreciation)(b) |
|
|
(1,926,070 |
) |
|
|
(191 |
) |
|
|
28,561 |
|
|
|
831,577 |
|
|
|
(435,805 |
) |
30
|
|
|
Consolidated Schedule of Investments (unaudited) (continued)
March 31, 2024 |
|
BlackRock Capital Allocation Term Trust (BCAT) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Preferred Stocks |
|
|
Unfunded Fixed Rate Loan Interests |
|
|
Unfunded Floating Rate Loan Interests |
|
|
Warrants |
|
|
Total |
|
|
|
Purchases |
|
$ |
4,653,046 |
|
|
$ |
|
|
|
$ |
|
|
|
$ |
|
|
|
$ |
41,146,437 |
|
Sales |
|
|
(1,244,712 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(24,574,563 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Closing balance, as of March 31, 2024 |
|
$ |
62,939,364 |
|
|
$ |
|
|
|
$ |
(21,008 |
) |
|
$ |
2,798,199 |
|
|
$ |
265,732,835 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net change in unrealized appreciation (depreciation) on investments still held at March 31, 2024(b) |
|
$ |
(1,926,070 |
) |
|
$ |
|
|
|
$ |
(19,858 |
) |
|
$ |
847,461 |
|
|
$ |
(565,754 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) |
Certain Level 3 investments were re-classified between Common Stocks, Fixed Rate Loan Interests,Floating Rate Loan
Interests, Preferred Stocks, Unfunded Fixed Rate Loan Interests and Unfunded Floating Rate Loan Interests. |
|
|
(b) |
Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation
(depreciation) on investments still held at March 31, 2024 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
Valuation Committee (the Valuation Committee) to determine the value of certain of the Trusts 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 $26,074,625. 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) |
|
|
Weighted Average of Unobservable Inputs Based on Fair Value |
|
Assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Common Stocks |
|
$ |
25,343,796 |
|
|
|
Market |
|
|
Revenue Multiple |
|
|
1.88x - 14.00x |
|
|
|
5.06x |
|
|
|
|
|
|
|
|
|
|
|
Volatility |
|
|
75% -88% |
|
|
|
80% |
|
|
|
|
|
|
|
|
|
|
|
Time to Exit |
|
|
0.1 - 5.3 years |
|
|
|
3.0 years |
|
|
|
|
|
|
|
|
|
|
|
EBITDA Multiple |
|
|
15.75x |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Gross Profit Multiple |
|
|
12.40x - 12.89x |
|
|
|
12.70x |
|
|
|
|
|
|
|
|
Income |
|
|
Discount Rate |
|
|
11% |
|
|
|
|
|
|
|
|
|
|
|
Asset Backed Securities |
|
|
5,517,434 |
|
|
|
Income |
|
|
Discount Rate |
|
|
8% - 8% |
|
|
|
8% |
|
|
|
|
|
|
|
Non-Agency Mortgage-Backed Securities |
|
|
3,256,582 |
|
|
|
Income |
|
|
Discount Rate |
|
|
10% |
|
|
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
|
63,278,570 |
|
|
|
Income |
|
|
Discount Rate |
|
|
7% - 26% |
|
|
|
14% |
|
|
|
|
|
|
|
|
Market |
|
|
Revenue Mulltiple |
|
|
4.25x |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Volatility |
|
|
50% |
|
|
|
|
|
|
|
|
|
|
|
Floating Rate Loan Interest |
|
|
64,477,610 |
|
|
|
Income |
|
|
Discount Rate |
|
|
7% - 15% |
|
|
|
11% |
|
|
|
|
|
|
|
Fixed Rate Loan Interests |
|
|
12,037,484 |
|
|
|
Income |
|
|
Discount Rate |
|
|
7% - 13% |
|
|
|
9% |
|
|
|
|
|
|
|
Other Interests |
|
|
3,999,216 |
|
|
|
Income |
|
|
Discount Rate |
|
|
9% |
|
|
|
|
|
Preferred Stocks(b) |
|
|
58,949,319 |
|
|
|
Market |
|
|
Revenue Multiple |
|
|
1.60x - 20.00x |
|
|
|
8.97x |
|
|
|
|
|
|
|
|
|
|
|
Volatility |
|
|
34% - 90% |
|
|
|
67% |
|
|
|
|
|
|
|
|
|
|
|
Time to Exit |
|
|
0.5 - 5.0 years |
|
|
|
2.5 years |
|
|
|
|
|
|
|
|
|
|
|
EBIDTAR Multiple |
|
|
9.53x |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
EBIDTA Multiple |
|
|
7.25x |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Market Adjustment Multiple |
|
|
1.00x- 1.30x |
|
|
|
1.24x |
|
|
|
|
|
|
|
|
|
|
|
Direct Profit Multiple |
|
|
4.50x |
|
|
|
|
|
|
|
|
|
|
|
|
Income |
|
|
Discount Rate |
|
|
11% - 14% |
|
|
|
11% |
|
|
|
|
|
|
|
Warrants |
|
|
2,798,199 |
|
|
|
Market |
|
|
Revenue Multiple |
|
|
4.25x -12.38x |
|
|
|
7.93x |
|
|
|
|
|
|
|
|
|
|
|
Volatility |
|
|
38% - 88% |
|
|
|
73% |
|
|
|
|
|
|
|
|
|
|
|
Time to Exit |
|
|
0.1 - 5.3 years |
|
|
|
2.8 years |
|
|
|
|
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 |
|
31 |
|
|
|
Consolidated Schedule of Investments (unaudited) (continued)
March 31, 2024 |
|
BlackRock Capital Allocation Term Trust (BCAT) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Value |
|
|
|
Valuation Approach |
|
|
Unobservable
Inputs |
|
|
Range of Unobservable Inputs Utilized |
(a) |
|
|
Weighted Average of Unobservable Inputs Based on Fair Value |
|
|
|
|
|
|
|
|
Income |
|
|
Discount Rate |
|
|
26% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
239,658,210 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) |
A significant change in unobservable input would have resulted in a correlated (inverse) significant change to value.
|
|
|
(b) |
For the period end March 31, 2024, the valuation technique for certain investments classified as Preferred Stock
used recent prior transaction prices as inputs within the model used for the approximation of fair value. |
|
|
|
|
|
Currency Abbreviation |
|
|
AUD |
|
Australian Dollar |
|
|
BRL |
|
Brazilian Real |
|
|
CAD |
|
Canadian Dollar |
|
|
CHF |
|
Swiss Franc |
|
|
CNH |
|
Chinese Yuan |
|
|
CNY |
|
Chinese Yuan |
|
|
DKK |
|
Danish Krone |
|
|
EUR |
|
Euro |
|
|
GBP |
|
British Pound |
|
|
HKD |
|
Hong Kong Dollar |
|
|
IDR |
|
Indonesian Rupiah |
|
|
INR |
|
Indian Rupee |
|
|
JPY |
|
Japanese Yen |
|
|
MXN |
|
Mexican Peso |
|
|
NOK |
|
Norwegian Krone |
|
|
SEK |
|
Swedish Krona |
|
|
THB |
|
Thai Baht |
|
|
USD |
|
United States Dollar |
|
|
ZAR |
|
South African Rand |
|
Portfolio Abbreviation |
|
|
ABS |
|
Asset-Backed Security |
|
|
ADR |
|
American Depositary Receipt |
|
|
BZDIOVER |
|
Overnight Brazil Interbank Deposit (CETIP) |
|
|
CLO |
|
Collateralized Loan Obligation |
|
|
CMT |
|
Constant Maturity Treasury |
|
|
CR |
|
Custodian Receipt |
|
|
DAC |
|
Designated Activity Company |
|
|
ESTR |
|
Euro Short Term Rate |
|
|
ETF |
|
Exchange-Traded Fund |
|
|
EURIBOR |
|
Euro Interbank Offered Rate |
|
|
FREMF |
|
Freddie Mac Multifamily Securities |
|
|
GMTN |
|
Global Medium-Term Note |
|
|
|
|
Portfolio Abbreviation (continued) |
|
|
GO |
|
General Obligation Bonds |
|
|
LIBOR |
|
London Interbank Offered Rate |
|
|
MIBOR |
|
Mumbai InterBank Overnight Rate |
|
|
MSCI |
|
Morgan Stanley Capital International |
|
|
MTA |
|
Month Treasury Average |
|
|
MXIBTIIE |
|
Mexico Interbank TIIE 28-Day |
|
|
PIK |
|
Payment-in-Kind |
|
|
PIPE |
|
Private Investment in Public Equity |
|
|
RB |
|
Revenue Bond |
|
|
S&P |
|
Standard & Poors |
|
|
SOFR |
|
Secured Overnight Financing Rate |
|
|
SONIA |
|
Sterling Overnight Interbank Average Rate |
|
|
SPDR |
|
Standard & Poors Depository Receipt |
|
|
ST |
|
Special Tax |
32
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