Monthly Portfolio Investments Report on Form N-port (public) (nport-p)
November 27 2019 - 1:10PM
Edgar (US Regulatory)
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Schedule of Investments (unaudited)
September 30, 2019
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BlackRock Enhanced Government Fund, Inc. (EGF)
(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 1.6%
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Asset-Backed Securities 1.6%
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Securitized Asset Backed Receivables LLC
Trust(a):
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Series 2005-OP1, Class M2, (1 mo. LIBOR US + 0.68%),
2.69%, 01/25/35
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$
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352
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$
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348,690
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Series 2005-OP2, Class M1, (1 mo. LIBOR US + 0.43%),
2.45%, 10/25/35
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819
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812,874
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Total Asset-Backed Securities 1.6%
(Cost $1,116,936)
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1,161,564
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Non-Agency Mortgage-Backed Securities
0.1%
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Collateralized Mortgage Obligations 0.1%
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Bank of America Mortgage Trust, Series 2003-J,
Class 2A1,
4.59%, 11/25/33(b)
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45
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45,194
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Bear Stearns ALT-A Trust,
Series 2004-13, Class A1, (1 mo. LIBOR US + 0.74%), 2.76%, 11/25/34(a)
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3
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3,373
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48,567
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Interest Only Collateralized Mortgage Obligations 0.0%
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CitiMortgage Alternative Loan Trust, Series 2007-A5,
Class 1A7, 6.00%, 05/25/37
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138
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31,737
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Total Non-Agency Mortgage-Backed
Securities
0.1%
(Cost $61,151)
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80,304
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Preferred Securities 2.5%
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Capital Trust 2.5%
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Electric Utilities 2.5%
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PPL Capital Funding, Inc., Series A,
4.77%,(c)
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2,000
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1,768,271
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Total Preferred Securities 2.5%
(Cost $1,980,520)
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1,768,271
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U.S. Government Sponsored Agency
Securities 59.9%
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Agency Obligations 9.6%
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Fannie Mae Mortgage-Backed Securities, 4.50%, 02/01/46
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2,985
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3,230,379
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Security
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Par
(000)
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Value
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Agency Obligations (continued)
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Federal Farm Credit Bank, 4.55%, 06/08/20
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$
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3,500
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$
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3,564,814
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6,795,193
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Collateralized Mortgage Obligations 2.1%
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Freddie Mac Mortgage-Backed Securities, Series 4480, Class ZX, 4.00%, 11/15/44
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741
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837,235
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Ginnie Mae Mortgage-Backed Securities, Series 2006-3,
Class C, 5.24%, 04/16/39(b)
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635
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634,702
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1,471,937
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Interest Only Collateralized Mortgage Obligations 1.0%
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Fannie Mae Mortgage-Backed Securities:
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Series 2012-96, Class DI, 4.00%, 02/25/27
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584
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27,076
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Series 2012-47, Class NI, 4.50%, 04/25/42
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864
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129,913
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Ginnie Mae Mortgage-Backed Securities:
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Series 2006-30, Class IO,
2.39%, 05/16/46(b)
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201
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11,557
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Series 2009-78, Class SD, (1 mo. LIBOR + 6.20%),
4.16%, 09/20/32(a)
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511
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58,936
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Series 2009-116, Class KS, (1 mo. LIBOR + 6.47%),
4.44%, 12/16/39(a)
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251
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35,438
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Series 2011-52, Class NS,
4.64%, 04/16/41(b)
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2,561
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478,878
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741,798
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Mortgage-Backed Securities 47.2%
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Fannie Mae Mortgage-Backed Securities:
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2.50%, 10/01/28
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3,154
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3,185,439
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3.00%, 03/01/43
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5,046
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5,195,746
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3.50%, 08/01/44
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2,505
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2,636,695
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4.00%, 10/01/24 - 02/01/41
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6,529
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6,968,597
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4.50%, 04/01/39 - 08/01/40
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4,862
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5,245,291
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5.00%, 11/01/33 - 02/01/40
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2,205
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2,434,441
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5.50%, 10/01/23 - 09/01/36
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1,851
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2,089,341
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6.00%, 02/01/36 - 03/01/38
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272
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310,821
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Freddie Mac Mortgage-Backed Securities:
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3.50%, 08/01/33 - 01/01/46
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5,140
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5,384,087
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4.50%, 05/01/34
|
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|
139
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146,655
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Schedule of Investments (unaudited) (continued)
September 30, 2019
|
|
BlackRock Enhanced Government Fund, Inc. (EGF)
(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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Mortgage-Backed Securities (continued)
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Ginnie Mae Mortgage-Backed Securities, 5.00%, 11/15/35
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$
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4
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$
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4,261
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33,601,374
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Total U.S. Government Sponsored Agency Securities 59.9%
(Cost
$40,395,396)
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42,610,302
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U.S. Treasury Obligations 62.5%
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U.S. Treasury Bonds, 3.00%, 08/15/48
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5,100
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6,065,016
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U.S. Treasury Notes:
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2.63%, 07/31/20(d)
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7,300
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7,345,339
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2.75%, 08/15/21
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6,500
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6,627,207
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2.75%, 07/31/23
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500
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521,719
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2.00%, 05/31/24
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7,500
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7,649,707
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1.25%, 08/31/24(d)
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6,000
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5,915,859
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2.88%, 07/31/25(d)
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9,700
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10,384,305
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Total U.S. Treasury Obligations 62.5%
(Cost $42,724,514)
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44,509,152
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Total Long-Term Investments 126.6%
(Cost $86,278,517)
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90,129,593
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Shares
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Value
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Short-Term Securities 1.3%
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BlackRock Liquidity Funds, T-Fund, Institutional Class, 1.81%(e)(f)
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935,558
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$
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935,558
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Total Short-Term Securities 1.3%
(Cost $935,558)
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935,558
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Total Investments Before Options
Written 127.9%
(Cost
$87,214,075)
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91,065,151
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Options Written (0.4)%
(Premiums Received $295,000)
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(302,265
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)
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Total Investments, Net of Options
Written 127.5%
(Cost
$86,919,075)
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90,762,886
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Liabilities in Excess of Other Assets (27.5)%
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(19,550,287
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)
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Net Assets Applicable to Common
Shares 100.0%
|
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$
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71,212,599
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(a)
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Variable rate security. Rate shown is the rate in effect as of period end.
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(b)
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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.
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(c)
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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.
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(d)
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All or a portion of the security has been pledged as collateral in connection with outstanding reverse repurchase
agreements.
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(e)
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Annualized 7-day yield as of period end.
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(f)
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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:
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Affiliate
|
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Shares
Held at
12/31/18
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Net
Activity
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Shares
Held at
09/30/19
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Value at
09/30/19
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Income
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Net
Realized
Gain (Loss) (a)
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Change in
Unrealized
Appreciation
(Depreciation)
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BlackRock Liquidity Funds, T-Fund,
Institutional Class
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1,277,564
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(342,006
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)
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935,558
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$
|
935,558
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$
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19,314
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$
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$
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(a)
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Includes net capital gain distributions, if applicable.
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Portfolio Abbreviations
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IO
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Interest Only
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LIBOR
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London Interbank Offered Rate
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OTC
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Over-the-Counter
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Schedule of Investments (unaudited) (continued)
September 30, 2019
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BlackRock Enhanced Government Fund, Inc. (EGF)
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Reverse Repurchase Agreements
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Counterparty
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Interest
Rate
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Trade
Date
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Maturity
Date (a)
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Face Value
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Face Value
Including
Accrued Interest
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Type of Non-Cash
Underlying Collateral
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Remaining Contractual
Maturity of the Agreements (a)
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Credit Suisse Securities (USA) LLC
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2.00
|
%
|
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06/20/19
|
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Open
|
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|
$
|
6,105,000
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|
$
|
6,148,235
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U.S. Treasury Obligations
|
|
Open/Demand
|
Credit Suisse Securities (USA) LLC
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2.00
|
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07/17/19
|
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Open
|
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8,550,000
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|
|
|
8,594,567
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U.S. Treasury Obligations
|
|
Open/Demand
|
Deutsche Bank Securities, Inc.
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2.45
|
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09/30/19
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|
10/01/19
|
|
|
|
5,917,500
|
|
|
|
5,917,903
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|
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U.S. Treasury Obligations
|
|
Up to 30 days
|
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$
|
20,572,500
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$
|
20,660,705
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(a)
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Certain agreements have no stated maturity and can be terminated by either party at any time.
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Derivative Financial Instruments Outstanding as of Period End
OTC Interest Rate Swaptions Written
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Paid by
the Fund
|
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Received by
the Fund
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Counterparty
|
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Expiration
Date
|
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Exercise
Rate
|
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Notional
Amount (000)
|
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Value
|
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Description
|
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Rate
|
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Frequency
|
|
Rate
|
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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
|
|
|
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1.58
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|
|
USD
|
|
|
7,500
|
|
|
$
|
(67,535
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)
|
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
|
)
|
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|
|
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|
|
$
|
(302,265
|
)
|
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|
(a)
|
Forward settling swaption, if applicable.
|
|
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|
|
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:
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Level 1 Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the
Fund has the ability to access
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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)
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Level 3 Unobservable inputs based on the best information available in the circumstances, to the extent
observable inputs are not available (including the Funds 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 Funds policy regarding valuation of investments and derivative financial instruments, refer to the Funds most recent financial statements as contained in its semi-annual report.
The following tables summarize the Funds 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.
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