Schedule of Investments  (unaudited) 

September 30, 2019

  

BlackRock Enhanced Government Fund, Inc. (EGF)

(Percentages shown are based on Net Assets)

 

Security   Par
(000) 		    Value  

Asset-Backed Securities — 1.6%

 

Asset-Backed Securities — 1.6%  

Securitized Asset Backed Receivables LLC Trust(a):

   

Series 2005-OP1, Class M2, (1 mo. LIBOR US + 0.68%), 2.69%, 01/25/35

  $ 352     $ 348,690  

Series 2005-OP2, Class M1, (1 mo. LIBOR US + 0.43%), 2.45%, 10/25/35

    819       812,874  
   

 

 

 

Total Asset-Backed Securities — 1.6%
(Cost — $1,116,936)

 

    1,161,564  
   

 

 

 

Non-Agency Mortgage-Backed Securities — 0.1%

 

Collateralized Mortgage Obligations — 0.1%  

Bank of America Mortgage Trust, Series 2003-J, Class 2A1,
4.59%, 11/25/33(b)

    45       45,194  

Bear Stearns ALT-A Trust, Series 2004-13, Class A1, (1 mo. LIBOR US + 0.74%), 2.76%, 11/25/34(a)

    3       3,373  
   

 

 

 
      48,567  
Interest Only Collateralized Mortgage Obligations — 0.0%  

CitiMortgage Alternative Loan Trust, Series 2007-A5, Class 1A7, 6.00%, 05/25/37

    138       31,737  
   

 

 

 

Total Non-Agency Mortgage-Backed
Securities — 0.1%
(Cost — $61,151)

 

    80,304  
   

 

 

 

Preferred Securities – 2.5%

 

Capital Trust — 2.5%

 

Electric Utilities — 2.5%  

PPL Capital Funding, Inc., Series A, 4.77%,(c)

         2,000            1,768,271  
   

 

 

 

Total Preferred Securities — 2.5%
(Cost — $1,980,520)

 

    1,768,271  
   

 

 

 

U.S. Government Sponsored Agency
Securities — 59.9%

 

Agency Obligations — 9.6%  

Fannie Mae Mortgage-Backed Securities, 4.50%, 02/01/46

    2,985       3,230,379  
Security   Par
(000) 		    Value  
Agency Obligations (continued)  

Federal Farm Credit Bank, 4.55%, 06/08/20

  $ 3,500     $ 3,564,814  
   

 

 

 
      6,795,193  
Collateralized Mortgage Obligations — 2.1%  

Freddie Mac Mortgage-Backed Securities, Series 4480, Class ZX, 4.00%, 11/15/44

    741       837,235  

Ginnie Mae Mortgage-Backed Securities, Series 2006-3, Class C, 5.24%, 04/16/39(b)

    635       634,702  
   

 

 

 
      1,471,937  
Interest Only Collateralized Mortgage Obligations — 1.0%  

Fannie Mae Mortgage-Backed Securities:

   

Series 2012-96, Class DI, 4.00%, 02/25/27

    584       27,076  

Series 2012-47, Class NI, 4.50%, 04/25/42

    864       129,913  

Ginnie Mae Mortgage-Backed Securities:

   

Series 2006-30, Class IO,
2.39%, 05/16/46(b)

    201       11,557  

Series 2009-78, Class SD, (1 mo. LIBOR + 6.20%), 4.16%, 09/20/32(a)

    511       58,936  

Series 2009-116, Class KS, (1 mo. LIBOR + 6.47%), 4.44%, 12/16/39(a)

    251       35,438  

Series 2011-52, Class NS,
4.64%, 04/16/41(b)

         2,561       478,878  
   

 

 

 
      741,798  
Mortgage-Backed Securities — 47.2%  

Fannie Mae Mortgage-Backed Securities:

   

2.50%, 10/01/28

    3,154            3,185,439  

3.00%, 03/01/43

    5,046       5,195,746  

3.50%, 08/01/44

    2,505       2,636,695  

4.00%, 10/01/24 - 02/01/41

    6,529       6,968,597  

4.50%, 04/01/39 - 08/01/40

    4,862       5,245,291  

5.00%, 11/01/33 - 02/01/40

    2,205       2,434,441  

5.50%, 10/01/23 - 09/01/36

    1,851       2,089,341  

6.00%, 02/01/36 - 03/01/38

    272       310,821  

Freddie Mac Mortgage-Backed Securities:

   

3.50%, 08/01/33 - 01/01/46

    5,140       5,384,087  

4.50%, 05/01/34

    139       146,655  
 

 

 

     1  

Schedule of Investments  (unaudited) (continued)

September 30, 2019

  

BlackRock Enhanced Government Fund, Inc. (EGF)

(Percentages shown are based on Net Assets)

 

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

Ginnie Mae Mortgage-Backed Securities, 5.00%, 11/15/35

  $ 4     $ 4,261  
   

 

 

 
      33,601,374  

Total U.S. Government Sponsored Agency Securities — 59.9%
(Cost — $40,395,396)

 

    42,610,302  
   

 

 

 

U.S. Treasury Obligations — 62.5%

 

U.S. Treasury Bonds, 3.00%, 08/15/48

    5,100       6,065,016  

U.S. Treasury Notes:

   

2.63%, 07/31/20(d)

    7,300       7,345,339  

2.75%, 08/15/21

    6,500       6,627,207  

2.75%, 07/31/23

    500       521,719  

2.00%, 05/31/24

         7,500       7,649,707  

1.25%, 08/31/24(d)

    6,000       5,915,859  

2.88%, 07/31/25(d)

    9,700       10,384,305  
   

 

 

 

Total U.S. Treasury Obligations — 62.5%
(Cost — $42,724,514)

 

         44,509,152  
   

 

 

 

Total Long-Term Investments — 126.6%
(Cost — $86,278,517)

 

    90,129,593  
   

 

 

 
     Shares     Value  

Short-Term Securities — 1.3%

 

BlackRock Liquidity Funds, T-Fund, Institutional Class, 1.81%(e)(f)

      935,558     $ 935,558  
   

 

 

 

Total Short-Term Securities — 1.3%
(Cost — $935,558)

 

    935,558  
   

 

 

 

Total Investments Before Options
Written — 127.9%
(Cost — $87,214,075)

 

         91,065,151  
   

 

 

 

Options Written — (0.4)%
(Premiums Received — $295,000)

 

    (302,265 ) 
   

 

 

 

Total Investments, Net of Options
Written — 127.5%
(Cost — $86,919,075)

 

    90,762,886  

Liabilities in Excess of Other Assets — (27.5)%

 

    (19,550,287 ) 
   

 

 

 

Net Assets Applicable to Common
Shares — 100.0%

 

  $ 71,212,599  
   

 

 

 
 

 

(a) 

Variable rate security. Rate shown is the rate in effect as of period end.

(b) 

Variable or floating rate security, which interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end.

(c) 

Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end.

(d) 

All or a portion of the security has been pledged as collateral in connection with outstanding reverse repurchase agreements.

(e) 

Annualized 7-day yield as of period end.

(f) 

During the period ended September 30, 2019, investments in issuers considered to be an affiliate/affiliates of the Fund for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate    Shares
Held at
12/31/18 		     Net
Activity 		     Shares
Held at
09/30/19 		     Value at
09/30/19 		     Income     

Net

Realized

Gain (Loss) (a)

     Change in
Unrealized
Appreciation
(Depreciation) 		 

BlackRock Liquidity Funds, T-Fund,
Institutional Class

     1,277,564        (342,006 )       935,558      $ 935,558      $ 19,314      $ —      $ —  
           

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

Includes net capital gain distributions, if applicable.

 

 

Portfolio Abbreviations
IO    Interest Only
LIBOR    London Interbank Offered Rate
OTC    Over-the-Counter

 

 

2   

Schedule of Investments  (unaudited) (continued)

September 30, 2019

  

BlackRock Enhanced Government Fund, Inc. (EGF)

    

 

Reverse Repurchase Agreements

 

Counterparty    Interest
Rate 		    Trade
Date 		     Maturity
Date (a) 		     Face Value      Face Value
Including
Accrued Interest 		    

Type of Non-Cash 

Underlying Collateral

   Remaining Contractual
Maturity of the Agreements (a)

Credit Suisse Securities (USA) LLC

     2.00 %      06/20/19        Open      $ 6,105,000      $ 6,148,235      U.S. Treasury Obligations    Open/Demand

Credit Suisse Securities (USA) LLC

     2.00       07/17/19        Open        8,550,000        8,594,567      U.S. Treasury Obligations    Open/Demand

Deutsche Bank Securities, Inc.

     2.45       09/30/19        10/01/19        5,917,500        5,917,903      U.S. Treasury Obligations    Up to 30 days
          

 

 

    

 

 

       
   $ 20,572,500      $ 20,660,705        
  

 

 

    

 

 

       

 

  (a) 

Certain agreements have no stated maturity and can be terminated by either party at any time.

 

Derivative Financial Instruments Outstanding as of Period End

OTC Interest Rate Swaptions Written

 

  

 

  Paid by
the Fund 		  Received by
the Fund 		   Counterparty   Expiration
Date 		    Exercise
Rate 		   

Notional

Amount (000)

    Value  
Description   Rate     Frequency   Rate     Frequency

Call

 

10-Year Interest Rate Swap, 11/01/29(a)

    1.58     Semi-Annual    
3-Month USD
LIBOR, 2.09 		 
  		  Quarterly    Citibank N.A.     10/30/19       1.58     USD     7,500     $ (67,535 ) 

2-Year Interest Rate Swap, 11/01/21(a)

    1.63     Semi-Annual    
6-Month USD
LIBOR, 2.06 		 
  		  Quarterly    Citibank N.A.     10/30/19       1.63     USD     30,000       (58,215 ) 

30-Year Interest Rate Swap, 11/01/49(a)

    1.73     Semi-Annual    
3-Month USD
LIBOR, 2.09 		 
  		  Quarterly    Citibank N.A.     10/30/19       1.73     USD     3,750       (88,996 ) 

5-Year Interest Rate Swap, 11/01/24(a)

    1.51     Semi-Annual    
3-Month USD
LIBOR, 2.09 		 
  		  Quarterly    Citibank N.A.     10/30/19       1.51     USD     19,000       (87,519 ) 
                    

 

 

 
                     $ (302,265 ) 
                    

 

 

 

 

  (a) 

Forward settling swaption, if applicable.

 

 

 

     3  

Schedule of Investments  (unaudited) (continued)

September 30, 2019

  

BlackRock Enhanced Government Fund, Inc. (EGF)

    

 

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments and derivative 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 Fund has the ability to access

 

  •  

Level 2 — Other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs)

 

  •  

Level 3 — Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Fund’s own assumptions used in determining the fair value of investments and derivative 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 BlackRock Global Valuation Methodologies Committee (the “Global 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 investments and derivative financial instruments is based on the pricing transparency of the investments and derivative financial instruments and is not necessarily an indication of the risks associated with investing in those securities. For information about the Fund’s policy regarding valuation of investments and derivative financial instruments, refer to the Fund’s most recent financial statements as contained in its semi-annual report.

The following tables summarize the Fund’s investments and derivative financial instruments categorized in the disclosure hierarchy:

 

      Level 1        Level 2        Level 3        Total  

Assets:

                 

Investments:

                 

Long-Term Investments(a)

   $ —        $ 90,129,593        $ —        $ 90,129,593  

Short-Term Securities

     935,558          —          —          935,558  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 935,558        $ 90,129,593        $ —        $ 91,065,151  
  

 

 

      

 

 

      

 

 

      

 

 

 

Derivative Financial Instruments(b)

                 

Liabilities:

                 

Interest rate contracts

   $ —        $ (302,265 )       $ —        $ (302,265 ) 
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

See above Schedule of Investments for values in each security type.

 
  (b) 

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

 

The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount or face value, including accrued interest, for financial statement purposes. As of period end, reverse repurchase agreements of $20,660,705 are categorized as level 2 within the disclosure hierarchy.

 

 

4   
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