Schedule of Investments (unaudited) 

September 30, 2023

   

BlackRock Enhanced Government Fund, Inc. (EGF)

(Percentages shown are based on Net Assets)

 

Security  

Par

(000)

     Value  

Asset-Backed Securities

 

Apidos CLO XXIV, Series 2016-24A, Class A1AL, (3-mo. CME Term SOFR + 1.21%), 6.54%, 10/20/30(a)(b)

   $           250     $      248,755  

Birch Grove CLO Ltd., Series 19A, Class CR, (3-mo. CME Term SOFR + 2.46%), 7.87%, 06/15/31(a)(b)

     300       297,859  

BlueMountain CLO XXV Ltd., Series 2019-25A, Class BR, (3-mo. CME Term SOFR + 1.96%), 7.27%, 07/15/36(a)(b)

     250       245,325  

Cedar Funding XV CLO Ltd., Series 2022-15A, Class B, (3-mo. CME Term SOFR + 1.80%), 7.13%, 04/20/35(a)(b)

     250       243,500  

Dryden 53 CLO Ltd., Series 2017-53A, Class B, (3-mo. CME Term SOFR + 1.66%), 6.97%, 01/15/31(a)(b)

     250       247,275  

Elmwood CLO X Ltd., Series 2021-3A, Class C, (3-mo. CME Term SOFR + 2.21%), 7.54%, 10/20/34(a)(b)

     500       492,871  

Generate CLO Ltd., Series 2A, Class CR, (3-mo. CME Term SOFR + 2.11%), 7.46%, 01/22/31(a)(b)

     250       245,267  

Neuberger Berman Loan Advisers CLO Ltd.(a)(b)

    

Series 2017-25A, Class AR, (3-mo. CME Term SOFR + 1.19%), 6.50%, 10/18/29

     390       389,235  

Series 2019-35A, Class C, (3-mo. CME Term SOFR + 2.86%), 8.18%, 01/19/33

     250       250,718  

OCP CLO Ltd., Series 2019-17A, Class BR, (3-mo. CME Term SOFR + 1.86%), 7.19%, 07/20/32(a)(b)

     250       245,500  

OHA Credit Funding Ltd., Series 2019-4A, Class CR, (3-mo. CME Term SOFR + 2.31%), 7.66%, 10/22/36(a)(b)

     250       246,168  

Palmer Square CLO Ltd.(a)(b)

    

Series 2014-1A, Class A1R2, (3-mo. CME Term SOFR + 1.39%), 6.70%, 01/17/31

     199       198,476  

Series 2015-1A, Class BR4, (3-mo. CME Term SOFR + 2.11%), 7.49%, 05/21/34

     250       244,330  

Securitized Asset-Backed Receivables LLC Trust, Series 2005-OP1, Class M2, (1-mo. Term SOFR + 0.79%), 6.11%, 01/25/35(a)

     122       113,758  

Southwick Park CLO LLC, Series 2019-4A, Class A1R, (3-mo. CME Term SOFR + 1.32%), 6.65%, 07/20/32(a)(b)

     250       248,887  

Trimaran CAVU Ltd., Series 2019-1A, Class C1, (3-mo. CME Term SOFR + 3.41%), 8.74%, 07/20/32(a)(b)

     250       249,938  

Voya CLO Ltd., Series 2016-1A, Class A1R, (3-mo. CME Term SOFR + 1.33%), 6.66%, 01/20/31(a)(b)

     231       230,508  
   

 

 

  

Total Asset-Backed Securities — 11.4%
(Cost: $4,419,983)

 

     4,438,370  
   

 

 

  

Corporate Bonds

 

Aerospace & Defense — 0.1%            

Boeing Co., 3.63%, 02/01/31

     50       43,190  
   

 

 

  
Diversified Telecommunication Services — 0.3%  

Verizon Communications, Inc., 2.36%, 03/15/32

     175       133,518  
   

 

 

  
Financial Services — 0.2%  

Morgan Stanley, (1-day SOFR + 3.12%), 3.62%, 04/01/31(a)

     75       64,610  
   

 

 

  
Security  

Par

(000)

     Value  
Software — 0.3%            

Oracle Corp., 2.95%, 04/01/30

   $           125     $      105,186  
   

 

 

  

Total Corporate Bonds — 0.9%
(Cost: $357,363)

 

     346,504  
   

 

 

  

Non-Agency Mortgage-Backed Securities

 

Collateralized Mortgage Obligations — 6.2%  

Bank of America Mortgage Trust, Series 2003-J, Class 2A1, 3.89%, 11/25/33(a)

     18       15,639  

Bravo Residential Funding Trust, Series 2021-NQM1, Class A1, 0.94%, 02/25/49(a)(b)

     50       43,045  

Chase Home Lending Mortgage Trust, Series 2019-ATR1, Class A12, 6.50%, 04/25/49(a)(b)

     37       36,055  

COLT Mortgage Loan Trust(b)

    

Series 2022-1, Class A1, 4.55%, 04/25/67(a)

     97       91,533  

Series 2022-2, Class A1, 2.99%, 02/25/67(c)

     120       103,657  

Series 2022-7, Class A1, 5.16%, 04/25/67(c)

     207       201,921  

Credit Suisse Mortgage Capital Certificates Trust, Series 2022-ATH1, Class A1A, 2.87%, 01/25/67(a)(b)

     118       107,667  

Ellington Financial Mortgage Trust, Series
2022-1, Class A1, 2.21%, 01/25/67(a)(b)

     233       188,916  

GS Mortgage-Backed Securities Corp. Trust, Series 2022- PJ2, Class A4,
2.50%, 06/25/52(a)(b)

     88       66,849  

GS Mortgage-Backed Securities Trust(a)(b)

    

Series 2021-PJ2, Class A2, 2.50%, 11/25/51

     84       63,238  

Series 2021-PJ7, Class A2, 2.50%, 01/25/52

     169       127,631  

JP Morgan Mortgage Trust(a)(b)

    

Series 2022-DSC1, Class A1, 4.75%, 01/25/63

     113       103,433  

Series 2022-INV3, Class A3B, 3.00%, 09/25/52

     88       69,664  

Mello Mortgage Capital Acceptance, Series 2022-INV2, Class A3, 3.00%, 04/25/52(a)(b)

     92       72,327  

MFA Trust(a)(b)

    

Series 2020-NQM1, Class A1, 1.48%, 03/25/65

     63       57,734  

Series 2021-NQM1, Class M1, 2.31%, 04/25/65

     250       175,818  

OBX Trust, Series 2022-INC3, Class A1, 3.00%, 02/25/52(a)(b)

     89       70,345  

RCKT Mortgage Trust, Series 2022-2, Class A1, 3.00%, 02/25/52(a)(b)

     89       70,095  

STAR Trust, Series 2021-1, Class M1, 2.36%, 05/25/65(a)(b)

     200       141,030  

TRK Trust, Series 2021-INV2, Class A1, 1.97%, 11/25/56(a)(b)

     139       112,277  

Verus Securitization Trust(b)(c)

    

Series 2022-1, Class A1, 2.72%, 01/25/67

     85       73,376  

Series 2022-3, Class A1, 4.13%, 02/25/67

     338       304,001  

Series 2022-7, Class A1, 5.15%, 07/25/67

     134       130,336  
   

 

 

  
      2,426,587  
Interest Only Collateralized Mortgage Obligations — 0.0%  

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

     63       10,895  
   

 

 

  

Total Non-Agency Mortgage-Backed Securities — 6.2%
(Cost: $2,828,276)

 

     2,437,482  
   

 

 

  
 

 

 

1

  

Schedule of Investments (unaudited) (continued)

September 30, 2023

   

BlackRock Enhanced Government Fund, Inc. (EGF)

(Percentages shown are based on Net Assets)

 

Security  

Par

(000)

      Value  

Preferred Securities

     
Capital Trusts — 0.9%(a)(d)             

Banks — 0.4%

     

Wells Fargo & Co., Series U, 5.88%

   $           160      $      156,893  
    

 

 

  
Financial Services — 0.5%             

HSBC Holdings PLC, 8.00%

     200        196,955  
    

 

 

  
       353,848  
    

 

 

  

Total Preferred Securities — 0.9%
(Cost: $371,067)

 

      353,848  
    

 

 

  

U.S. Government Sponsored Agency Securities

 

Agency Obligations — 8.5%             

Fannie Mae, 1.61%, 01/27/33

     300        219,703  

Federal Farm Credit Banks Funding Corp, 1.84%, 01/25/36

     500        338,664  

Federal Farm Credit Banks Funding Corp., 2.75%, 02/22/30

     400        345,000  

Federal Home Loan Banks, 2.13%, 09/14/29

     1,000        863,498  

Freddie Mac

     

0.38%, 05/17/24

     500        483,993  

0.40%, 05/24/24

     905        875,212  

0.41%, 09/17/24

     220        209,341  
    

 

 

  
       3,335,411  
Collateralized Mortgage Obligations — 9.7%  

Fannie Mae REMICS

     

Series 2013-73, Class KE, 3.00%, 07/25/43

     500        392,306  

Series 2017-90, Class WB, 3.00%, 11/25/47

     433        315,871  

Series 2020-79, Class JA, 1.50%, 11/25/50

     224        187,692  

Series 2022-25, Class KL, 4.00%, 05/25/52

     1,000        835,098  

Series 2022-31, Class BZ, 4.00%, 10/25/51

     696        528,867  

Freddie Mac REMICS

     

Series 4398, Class ZX, 4.00%, 09/15/54

     357        296,362  

Series 4480, Class ZX, 4.00%, 11/15/44

     648        594,080  

Series 4921, Class NL, 3.00%, 10/25/49

     504        333,388  

Series 5230, Class DL, 3.50%, 09/25/44

     400        318,082  
    

 

 

  
       3,801,746  
Commercial Mortgage-Backed Securities — 0.0%  

Ginnie Mae, Series 2006-30, Class IO, 2.79%, 05/16/46(a)

     38        5  
    

 

 

  
Interest Only Collateralized Mortgage Obligations — 0.3%  

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

     190        34,371  

Ginnie Mae(a)

     

Series 2009-116, Class KS, (1-mo. Term SOFR + 6.36%), 1.03%, 12/16/39

     113        6,591  

Series 2011-52, Class NS, (1-mo. Term SOFR + 6.56%), 1.23%, 04/16/41

     1,142        62,266  
    

 

 

  
       103,228  
Mortgage-Backed Securities — 50.8%  

Freddie Mac Mortgage-Backed Securities, 3.50%, 01/01/46

     813        720,706  

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

     1        1,450  

Uniform Mortgage-Backed Securities

     

4.00%, 10/01/24 - 10/01/49

     5,485        5,029,481  

1.50%, 06/01/31

     660        586,078  

5.00%, 11/01/33 - 10/12/53(e)

     2,909        2,802,934  

3.50%, 02/01/35 - 10/12/53(e)

     2,439        2,134,343  
Security  

Par

(000)

      Value  
Mortgage-Backed Securities (continued)  

Uniform Mortgage-Backed Securities (continued)

 

5.50%, 03/01/35 - 04/01/53

   $ 1,540      $ 1,510,264  

6.00%, 02/01/36 - 03/01/38

     65        65,953  

4.50%, 04/01/39 - 10/13/52(e)

     3,107        2,921,322  

3.00%, 03/01/43 - 05/01/52

     3,463        2,918,811  

6.50%, 09/01/53 - 10/01/53

     1,152        1,157,186  
    

 

 

  
       19,848,528  
    

 

 

  

Total U.S. Government Sponsored Agency
Securities — 69.3%
(Cost: $29,911,815)

 

      27,088,918  
    

 

 

  

U.S. Treasury Obligations

     

U.S. Treasury Bonds

     

1.88%, 02/15/41 - 02/15/51

               940             600,873  

3.38%, 08/15/42

     900        729,211  

3.00%, 08/15/48

     5        3,655  

2.38%, 05/15/51

     700        443,953  

2.00%, 08/15/51

     950        548,180  

U.S. Treasury Notes

     

2.88%, 07/31/25

     1,765        1,695,917  

3.75%, 05/31/30

     325        308,547  

3.38%, 05/15/33

     700        634,813  
    

 

 

  

Total U.S. Treasury Obligations — 12.7%
(Cost: $6,202,338)

 

      4,965,149  
    

 

 

  

Total Long-Term Investments — 101.4%
(Cost: $44,090,842)

 

      39,630,271  
    

 

 

  
     Shares          

Short-Term Securities

     
Money Market Funds — 2.8%             

BlackRock Liquidity Funds, T-Fund, Institutional Class, 5.23%(f)(g)

     1,082,021        1,082,021  
    

 

 

  

Total Short-Term Securities — 2.8%
(Cost: $1,082,021)

 

      1,082,021  
    

 

 

  

Total Investments Before Options Written — 104.2%
(Cost: $45,172,863)

 

      40,712,292  
    

 

 

  

Options Written — (0.5)%
(Premiums Received: $(157,000))

 

      (180,953 ) 
    

 

 

  

Total Investments, Net of Options Written — 103.7%
(Cost: $45,015,863)

 

      40,531,339  

Liabilities in Excess of Other Assets — (3.7)%

 

      (1,434,440 ) 
    

 

 

  

Net Assets — 100.0%

 

    $ 39,096,899  
    

 

 

  

 

(a) 

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.

(b) 

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.

(c) 

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.

(d) 

Perpetual security with no stated maturity date.

(e)

Represents or includes a TBA transaction.

(f) 

Affiliate of the Fund.

(g) 

Annualized 7-day yield as of period end.

 

 

 

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

2

Schedule of Investments (unaudited) (continued)

September 30, 2023

   

BlackRock Enhanced Government Fund, Inc. (EGF)

 

Affiliates

Investments in issuers considered to be affiliate(s) of the Fund during the period ended September 30, 2023 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliated Issuer   Value at
12/31/22		     Purchases
at Cost		     Proceeds
from Sales		     Net
Realized
Gain (Loss)		     Change in
Unrealized
Appreciation
(Depreciation)		     Value at
09/30/23		     Shares
Held at
09/30/23		     Income     Capital Gain
Distributions
from
Underlying
Funds		  

BlackRock Liquidity Funds, T-Fund, Institutional Class

   $ 1,738,499     $ —     $ (656,478 )(a)    $ —     $ —     $ 1,082,021       1,082,021     $ 57,222     $ —  
       

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

 

  (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

            

10-Year U.S. Ultra Long Treasury Note

      1        12/19/23      $ 112        $ (109 ) 

Ultra U.S. Treasury Bond

      9        12/19/23        1,070        (74,673 ) 

2-Year U.S. Treasury Note

      6        12/29/23        1,216        (643 ) 

5-Year U.S. Treasury Note

      61        12/29/23        6,425        (47,412 ) 
           

 

 

  
              (122,837 ) 
           

 

 

  

Short Contracts

            

10-Year U.S. Treasury Note

      9        12/19/23        972        12,479  

U.S. Long Bond

      4        12/19/23        455        24,980  
           

 

 

  
              37,459  
           

 

 

  
              $ (85,378 ) 
           

 

 

  

OTC Interest Rate Swaptions Written

 

    

Paid by the Fund

     Received by the Fund            Expiration      Exercise    

Notional

          
Description   Rate   Frequency     Rate      Frequency      Counterparty      Date      Rate    

Amount (000)

      Value  

Call

                          

10-Year Interest Rate Swap, 11/01/33

   4.33%     Semi-Annual      
 1-Day SOFR,
5.31%		  
 		    Quarterly      UBS AG        10/30/23        4.33 %      USD        3,572      $ (45,275 ) 

2-Year Interest Rate Swap, 11/01/25

   5.00%     Semi-Annual      
 1-Day SOFR,
5.31%		  
 		    Quarterly      UBS AG        10/30/23        5.00       USD        17,146        (52,706 ) 

30-Year Interest Rate Swap, 11/01/53

   4.05%     Semi-Annual      
 1-Day SOFR,
5.31%		  
 		    Quarterly      UBS AG        10/30/23        4.05       USD        1,428        (34,638 ) 

5-Year Interest Rate Swap, 11/01/28

   4.45%     Semi-Annual      
 1-Day SOFR,
5.31%		  
 		    Quarterly      UBS AG        10/30/23        4.45       USD        6,430        (48,334 ) 
                         

 

 

  
                          $ (180,953 ) 
                         

 

 

  

Centrally Cleared Interest Rate Swaps

 

                                                                Upfront          
                                                       Premium      Unrealized  

Paid by the Fund

    Received by the Fund    Effective      Termination      Notional             Paid      Appreciation  
Rate   Frequency    Rate     Frequency    Date      Date      Amount (000)      Value      (Received)      (Depreciation)  

2.87%

   Annual      1-Day SOFR, 5.31 %    Annual      N/A        05/11/42        USD        300      $ 55,631      $ 7      $ 55,624  
                     

 

 

     

 

 

     

 

 

  

 

 

3

  

Schedule of Investments (unaudited) (continued)

September 30, 2023

   

BlackRock Enhanced Government Fund, Inc. (EGF)

 

OTC Credit Default Swaps — Sell Protection

 

Reference Obligation/Index    Financing
Rate Received
by the Fund		      Payment
Frequency		      Counterparty    Termination
Date		      Credit   
Rating(a)		   

Notional   

Amount (000)(b)

      Value      Upfront
Premium
Paid
(Received)		      Unrealized
Appreciation
(Depreciation)		  

CMBX.NA.9

      3.00 %       Monthly      Goldman Sachs
International		      09/17/58      N/R    USD      26         $ (5,607 )     $ (2,734 )     $ (2,873 ) 
                       

 

 

     

 

 

     

 

 

  

 

  (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 Fund may pay should a negative credit event take place as defined under the terms of the agreement.

 

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 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); 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 Committee’s assumptions used in determining the fair value of financial instruments).

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the 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 Fund’s policy regarding valuation of financial instruments, refer to its most recent financial statements.

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

 

      Level 1              Level 2              Level 3              Total  

Assets

                     

Investments

                     

Long-Term Investments

                     

Asset-Backed Securities

    $ —         $ 4,438,370         $ —         $ 4,438,370  

Corporate Bonds

      —           346,504           —           346,504  

Non-Agency Mortgage-Backed Securities

      —           2,437,482           —           2,437,482  

Preferred Securities

                     

Capital Trusts

      —           353,848           —           353,848  

U.S. Government Sponsored Agency Securities

      —           27,088,918           —           27,088,918  

U.S. Treasury Obligations

      —           4,965,149           —           4,965,149  

Short-Term Securities

                     

Money Market Funds

      1,082,021           —           —           1,082,021  
  

 

 

        

 

 

        

 

 

        

 

 

  
   $ 1,082,021         $ 39,630,271         $               —         $ 40,712,292  
  

 

 

        

 

 

        

 

 

        

 

 

  

Derivative Financial Instruments(a)

                     

Assets

                     

Interest Rate Contracts

    $ 37,459         $ 55,624         $ —         $ 93,083  

Liabilities

                     

Credit Contracts

      —           (2,873 )          —           (2,873 ) 

Interest Rate Contracts

      (122,837 )          (180,953 )          —           (303,790 ) 
  

 

 

        

 

 

        

 

 

        

 

 

  
   $ (85,378 )        $ (128,202 )        $ —         $ (213,580 ) 
  

 

 

        

 

 

        

 

 

        

 

 

  

 

  (a)

Derivative financial instruments are swaps and futures contracts. Swaps and futures contracts are valued at the unrealized appreciation (depreciation) on the instrument.

 

 

 

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

   4

Schedule of Investments (unaudited) (continued)

September 30, 2023

   

BlackRock Enhanced Government Fund, Inc. (EGF)

      

 

Currency Abbreviation

 

USD    United States Dollar

Portfolio Abbreviation

 

CLO    Collateralized Loan Obligation
SOFR    Secured Overnight Financing Rate

 

 

5

  
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