BlackRock Enhanced Equity Dividend Trust

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-21784

Name of Fund: BlackRock Enhanced Equity Dividend Trust (BDJ)

Fund Address:    100 Bellevue Parkway, Wilmington, DE 19809

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

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

Date of fiscal year end: 12/31/2018

Date of reporting period: 06/30/2018


Item 1 – Report to Stockholders


JUNE 30, 2018

 

SEMI-ANNUAL REPORT (UNAUDITED)

  LOGO

 

 

BlackRock Energy and Resources Trust (BGR)

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

BlackRock Enhanced Equity Dividend Trust (BDJ)

BlackRock Enhanced Global Dividend Trust (BOE)

BlackRock Enhanced International Dividend Trust (BGY)

BlackRock Health Sciences Trust (BME)

BlackRock Resources & Commodities Strategy Trust (BCX)

BlackRock Science and Technology Trust (BST)

BlackRock Utilities, Infrastructure & Power Opportunities Trust (BUI)

 

 

 

 

 

Not FDIC Insured • May Lose Value • No Bank Guarantee


The Markets in Review

Dear Shareholder,

In the 12 months ended June 30, 2018, the strongest corporate profits in seven years drove the equity market higher, while rising interest rates constrained bond returns. Though the market’s appetite for risk remained healthy, risk taking was tempered somewhat, as shorter-term, higher-quality securities led the bond market, and U.S. equities outperformed most international stock markets.

Strong equity performance worldwide was driven by synchronized economic growth across the most influential economies. However, volatility in emerging market stocks rose, as U.S.-China trade relations and debt concerns weighed heavily on the Chinese stock market.

Short-term U.S. Treasury interest rates rose the fastest, while longer-term rates slightly increased, leading to a substantial flattening of the yield curve. The annual return for the three-month U.S. Treasury bill surpassed 1.0%, but remained well below the annual headline inflation rate of 2.9%. In contrast, the ten-year U.S. Treasury — a bellwether of the bond market — posted a negative return, as rising inflation expectations drove yields higher. Although the fundamentals in credit markets remained relatively solid, investment-grade bonds declined slightly, and high-yield bonds posted modest returns.

In response to rising growth and inflation, the U.S. Federal Reserve (the “Fed”) increased short-term interest rates three times during the reporting period. The Fed also announced plans to reduce its $4.4 trillion balance sheet by $420 billion in 2018, which began the process of gradually reversing its unprecedented stimulus measures after the financial crisis. Meanwhile, the European Central Bank announced that its bond-purchasing program would conclude at the end of the year, while also expressing an open-ended commitment to low interest rates. In contrast, the Bank of Japan continued to expand its balance sheet through bond purchasing while lowering its expectations for inflation.

The U.S. economy continued to gain momentum despite the Fed’s modest reduction of economic stimulus; unemployment declined to 4.0%, wages increased, and the number of job openings reached a record high. Strong economic performance may justify a more rapid pace of rate hikes in 2018, as the headline inflation rate and investors’ expectations for inflation have already surpassed the Fed’s target of 2.0%.

While U.S. monetary policy is seeking to restrain economic growth and inflation, fiscal policy has produced new sources of growth that could nourish the economy for the next few years. Corporate tax cuts and repatriation of capital held abroad could encourage a virtuous cycle of business spending. Lower individual tax rates coupled with the robust job market may refresh consumer spending. Proposed infrastructure spending would deliver growth from the government sector, generate demand, and improve economic activity in other sectors.

We continue to believe the primary risks to economic expansion are trade protectionism, rapidly rising interest rates, and geopolitical tension. Given the deflationary forces of technology and globalization, a substantial increase in inflation is unlikely to materialize as long as the unemployment rate remains above 3.0%. However, we are closely monitoring trade protectionism and the rise of populism in Western nations. In particular, the outcome of trade negotiations between the United States and China is likely to influence the global growth trajectory and set the tone for free trade in many other nations.

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

Sincerely,

 

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

 

Total Returns as of June 30, 2018
     6-month   12-month

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

  2.65%   14.37%

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

  7.66   17.57

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

  (2.75)   6.84

Emerging market equities
(MSCI Emerging Markets Index)

  (6.66)   8.20

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

  0.81   1.36

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

  (2.68)   (2.69)

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

  (1.62)   (0.40)

Tax-exempt municipal bonds
(S&P Municipal Bond Index)

  (0.02)   1.61

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

  0.16   2.62
Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.
 

 

 

2    THIS PAGE IS NOT PART OF YOUR FUND REPORT


Supplemental Information  (unaudited)

 

Section 19(a) Notices

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

June 30, 2018

 

     Total Cumulative Distributions
for the Fiscal Period
    % Breakdown of the Total Cumulative
Distributions for the Fiscal Period
 
    

Net

Investment

Income

   

Net Realized

Capital Gains

Short-Term

   

Net Realized

Capital Gains

Long-Term

    Return of
Capital
   

Total Per

Common
Share

   

Net

Investment

Income

   

Net Realized
Capital Gains

Short-Term

   

Net Realized

Capital Gains

Long-Term

    Return of
Capital
    Total Per
Common
Share
 

BGR*

  $ 0.138969     $     $     $ 0.326631     $ 0.465600       30             70     100

CII*

    0.082050                   0.414750       0.496800       17                   83       100  

BDJ

    0.081478       0.008302       0.190420             0.280200       29       3       68             100  

BOE

    0.185780       0.097648             0.184572       0.468000       40       21             39       100  

BGY*

    0.113511             0.114489             0.228000       50             50             100  

BME*

    0.047943       0.009451       1.142607             1.200000       4       1       95             100  

BCX*

    0.108728                   0.200872       0.309600       35                   65       100  

BST*

                0.780000             0.780000       0             100             100  

BUI

    0.288398       0.047828       0.023475       0.366299       0.726000       40       7       3       50       100  

 

  *

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

 

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

Section 19(b) Disclosure

The Trusts, acting pursuant to a U.S. Securities and Exchange Commission (“SEC”) exemptive order and with the approval of each Trust’s Board of Trustees/Directors (the “Board”), each have adopted a plan, consistent with its investment objectives and policies to support a level distribution of income, capital gains and/or return of capital (the “Plan”). In accordance with the Plans, the Trusts distribute the following fixed amounts per share on a monthly basis as of June 30, 2018:

 

Exchange Symbol   Amount Per
Common Share
 

BGR

  $ 0.0776  

CII

    0.0828  

BDJ

    0.0467  

BOE

    0.0780  

BGY

    0.0380  

BME

    0.2000  

BCX

    0.0516  

BST

    0.1300  

BUI

    0.1210  

The fixed amounts distributed per share are subject to change at the discretion of each Trust’s Board. Under its Plan, each Trust will distribute all available investment income to its shareholders, consistent with its primary investment objectives and as required by the Internal Revenue Code of 1986, as amended (the “Code”). If sufficient investment income is not available on a monthly basis, the Trusts will distribute long-term capital gains and/or return of capital to shareholders in order to maintain a level distribution. Each monthly distribution to shareholders is expected to be at the fixed amount established by the Board, except for extraordinary distributions and potential distribution rate increases or decreases to enable the Trusts to comply with the distribution requirements imposed by the Code.

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

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

 

 

SUPPLEMENTAL INFORMATION      3  


Table of Contents

 

      Page  

The Markets in Review

     2  

Section 19(a) Notices

     3  

Section 19(b) Disclosure

     3  

Semi-Annual Report:

  

The Benefits and Risks of Option Over-Writing

     5  

Trust Summaries

     6  

Derivative Financial Instruments

     24  

Financial Statements:

  

Schedules of Investments

     25  

Statements of Assets and Liabilities

     91  

Statements of Operations

     93  

Statements of Changes in Net Assets

     95  

Statements of Cash Flows

     100  

Financial Highlights

     102  

Notes to Financial Statements

     111  

Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements

     122  

Trustee and Officer Information

     127  

Additional Information

     128  

Glossary of Terms Used in this Report

     130  

 

 

4   


The Benefits and Risks of Option Over-Writing

 

In general, the goal of each of the Trusts is to provide total return through a combination of current income and realized and unrealized gains (capital appreciation). The Trusts seek to pursue this goal primarily by investing in a portfolio of equity securities and utilizing an option over-writing strategy in an effort to enhance the Trusts’ distribution rate and total return performance. However, these objectives cannot be achieved in all market conditions.

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

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

Each Trust employs a plan to support a level distribution of income, capital gains and/or return of capital. The goal of the plan is to provide shareholders with consistent and predictable cash flows by setting distribution rates based on expected long-term returns of the Trusts. Such distributions, under certain circumstances, may exceed a Trust’s total return performance. When total distributions exceed total return performance for the period, the difference reduces the Trust’s total assets and net asset value per share (“NAV”) and, therefore, could have the effect of increasing the Trust’s expense ratio and reducing the amount of assets, the Trust has available for long term investment. In order to make these distributions, a Trust may have to sell portfolio securities at less than opportune times.

The final tax characterization of distributions is determined after the fiscal year and is reported in the Trust’s annual report to shareholders. Distributions can be characterized as ordinary income, capital gains and/or return of capital. The Trust’s taxable net investment income or net realized capital gains (“taxable income”) may not be sufficient to support the level of distributions paid. To the extent that distributions exceed the Trust’s current and accumulated earnings and profits, the excess may be treated as a non-taxable return of capital. Distributions that exceed a Trust’s taxable income but do not exceed the Trust’s current and accumulated earnings and profits, may be classified as ordinary income which are taxable to shareholders. Such distributions are reported as distributions in excess of net investment income.

A return of capital distribution does not necessarily reflect a Trust’s investment performance and should not be confused with ‘yield’ or ‘income.’ A return of capital is a return of a portion of an investor’s original investment. A return of capital is not taxable, but it reduces a shareholder’s tax basis in his or her shares, thus reducing any loss or increasing any gain on a subsequent disposition by the shareholder of his or her shares. It is possible that a substantial portion of the distributions paid during a calendar year may ultimately be classified as return of capital or as distributions in excess of net investment income for U.S. federal income tax purposes when the final determination of the source and character of the distributions is made.

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

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

 

 

THE BENEFITS AND RISKS OF OPTION OVER-WRITING      5  


Trust Information  as of June 30, 2018    BlackRock Energy and Resources Trust

 

Investment Objective

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

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

Trust Information

 

Symbol on New York Stock Exchange (“NYSE”)

  BGR

Initial Offering Date

  December 29, 2004

Current Distribution Rate on Closing Market Price as of June 30, 2018 ($15.22)(a)

  6.12%

Current Monthly Distribution per Common Share(b)

  $0.0776

Current Annualized Distribution per Common Share(b)

  $0.9312

 

  (a)  Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate consists of income, net realized gains and/or a return of capital. See the Financial Highlights for the actual sources and character of distributions. Past performance does not guarantee future results.  
  (b)  The distribution rate is not constant and is subject to change. A portion of the distribution may be deemed a return of capital or net realized gain.  

Performance and Portfolio Management Commentary

Returns for the six months ended June 30, 2018 were as follows:

 

    Returns Based On  
     Market Price      Net Asset Value  

BGR(a)(b)

    10.89      4.49

Lipper Natural Resources Funds(c)

    (1.38      (0.70

 

  (a)  All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices.  
  (b)  The Trust’s discount to NAV narrowed during the period, which accounts for the difference between performance based on market price and performance based on NAV.  
  (c)  Average return. Returns reflect reinvestment of dividends and/or distributions at NAV on the ex-dividend as calculated by Lipper.  

Past performance is not indicative of future results. Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

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

What factors influenced performance?

Energy stocks experienced unusually high volatility in the first half of 2018. A strong advance in January gave way to a sharp sell-off in February, bringing the sector into negative territory for the year. After trading sideways for approximately two months, energy stocks staged a significant rally through April and early May. Although its performance cooled thereafter, energy nonetheless finished the second calendar quarter as the top performer among the stock market’s eleven major sectors.

The Trust’s position in the U.S. exploration and production (“E&P”) company ConocoPhillips made the largest positive contribution to performance. Upstream producers, in general, maintained capital discipline and prioritized shareholder returns over growth. ConocoPhillips participated in this trend by announcing a 7.5% dividend increase and a 33% expansion of its share buyback program, boosting its stock price. The international E&P stock Anadarko Petroleum Corp. was also among the top contributors. Anadarko displayed capital discipline, and it reported robust growth stemming from higher production volume. The company further benefited from a more favorable backdrop in the liquified natural gas market. Other contributors of note include Royal Dutch Shell PLC, Suncor Energy, Inc. and BP PLC.

On the negative side, the Trust’s positions in E&Ps that emphasize natural gas generally lagged their more oil-focused peers. In this environment, Cabot Oil & Gas Corp. was a leading detractor from absolute performance. The energy distribution sub-sector also came under pressure as pipeline companies faced bottlenecks, leading to weakness in the Trust’s position in TransCanada Corp. Other detractors of note include Cimarex Energy Co., Enbridge, Inc. and Halliburton Co.

The Trust made use of options, principally written call options on individual stocks, in order to seek enhanced income returns while continuing to participate in the performance of the underlying equities. The option overlay strategy detracted from results.

Describe recent portfolio activity.

The investment adviser shifted the Trust’s positioning within the distribution subsector by initiating an investment in Williams Cos. and exiting its position in Enbridge, Inc. It also sold certain E&P stocks, including EOG Resources, Inc., Cimarex Energy Co., and Cabot Oil & Gas Corp., and initiated a new investment in the international E&P stock CNOOC Ltd.

 

 

6    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Trust Information  as of June 30, 2018 (continued)    BlackRock Energy and Resources Trust

 

Describe portfolio positioning at period end.

The E&P sector represented the Trust’s largest allocation, followed by the integrated, oil services, distribution, and refining & marketing industries, respectively. The investment adviser positioned the Trust with a higher-quality bias, focusing on companies with robust balance sheets and low costs of production.

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

Market Price and Net Asset Value Per Share Summary

 

     06/30/18     

12/31/17

     Change      High      Low  

Market Price

  $ 15.22      $ 14.18        7.33    $ 15.63      $ 12.85  

Net Asset Value

    15.97        15.79        1.14        16.54        14.24  

Market Price and Net Asset Value History For the Past Five Years

 

LOGO

Overview of the Trust’s Total Investments *

 

TEN LARGEST HOLDINGS

 

Security   06/30/18  

Royal Dutch Shell PLC — ADR

    10

Exxon Mobil Corp.

    9  

BP PLC

    7  

Chevron Corp.

    6  

TOTAL SA

    5  

Suncor Energy, Inc.

    5  

ConocoPhillips

    5  

Valero Energy Corp.

    4  

EOG Resources, Inc.

    4  

Pioneer Natural Resources Co.

    3  

 

  * Excludes option positions and money market funds.  

INDUSTRY ALLOCATION

 

Industry   06/30/18    

12/31/17

 

Oil, Gas & Consumable Fuels

    92     90

Energy Equipment & Services

    8       10  

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

 

 

 

TRUST INFORMATION      7  


Trust Information  as of June 30, 2018    BlackRock Enhanced Capital and Income Fund, Inc.

 

Investment Objective

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

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

Trust Information

 

Symbol on NYSE

  CII

Initial Offering Date

  April 30, 2004

Current Distribution Rate on Closing Market Price as of June 30, 2018 ($16.22)(a)

  6.13%

Current Monthly Distribution per Common Share(b)

  $0.0828

Current Annualized Distribution per Common Share(b)

  $0.9936

 

  (a) 

Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate consists of income, net realized gains and/or a return of capital. See the Financial Highlights for the actual sources and character of distributions. Past performance does not guarantee future results.

 
  (b) 

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

 

Performance and Portfolio Management Commentary

Returns for the six months ended June 30, 2018 were as follows:

 

    Returns Based On  
     Market Price      Net Asset Value  

CII(a)(b)

    2.13      1.76

S&P 500® Index

    N/A        2.65  

 

  (a) 

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

 
  (b) 

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

 

N/A — Not applicable as the index does not have a market price.

Past performance is not indicative of future results. Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

The following discussion relates to the Trust’s relative performance based on the index cited above:

What factors influenced performance?

In the equity allocation of the Trust, the largest contributor to performance for the six-month period was stock selection in the health care sector. Specifically, selection decisions in the managed care industry provided strong relative returns. In financials, stock selection in capital markets and banks enhanced relative performance. Finally, an underweight allocation to as well as stock selection within industrials provided outperformance. In particular, selection among rail road operators contributed positively to return. At the stock level, the largest individual contributor was Urban Outfitters Inc., followed by a position in Humana Inc. and zero exposure to Johnson & Johnson.

In the equity allocation of the Trust, the largest detractor from relative performance for the six-month period was stock selection in the consumer discretionary sector. Most notably, positioning across homebuilders and underweight exposure to internet and direct marketing retail challenged relative performance. This was followed by positioning in information technology (“IT”) where electronic equipment and software holdings lagged. Finally, exposure to the tobacco industry hurt relative results in the consumer staples sector. Zero exposure to Amazon.com Inc. was the largest individual detractor, followed by a lack of exposure to Netflix Inc. and an overweight position to Altria Group Inc.

Describe recent portfolio activity.

During the six-month period, the Trust significantly boosted exposure to the IT sector. Holdings within industrials and health care also were increased. Conversely, the Trust significantly reduced exposure to the financials sector. The Trust also reduced exposure to consumer discretionary and materials stocks. The Trust made use of options, principally written call options on individual stocks, in order to seek enhanced income returns while continuing to participate in the performance of the underlying equities. The option overlay strategy detracted from results.

Describe portfolio positioning at period end.

At period end, the Trust’s largest allocations were in the IT, health care and financials sectors. Relative to the benchmark, the Trust’s largest overweight positions were in the IT, health care, financials and consumer discretionary sectors. Conversely, the Trust’s largest relative underweights were in the telecommunication services, real estate, and utilities sectors.

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

 

 

8    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Trust Information  as of June 30, 2018 (continued)    BlackRock Enhanced Capital and Income Fund, Inc.

 

Market Price and Net Asset Value Per Share Summary

 

     06/30/18     

12/31/17

     Change      High      Low  

Market Price

  $ 16.22      $ 16.38        (0.98 )%     $ 17.07      $ 14.75  

Net Asset Value

    16.96        17.19        (1.34      18.04        16.21  

Market Price and Net Asset Value History For the Past Five Years

 

LOGO

Overview of the Trust’s Total Investments *

 

TEN LARGEST HOLDINGS

 

Security   06/30/18  

Apple, Inc.

    6

Alphabet, Inc.

    5  

Microsoft Corp.

    5  

JPMorgan Chase & Co.

    3  

Bank of America Corp.

    3  

Pfizer, Inc.

    3  

Cisco Systems, Inc.

    3  

Lowe’s Cos., Inc.

    3  

Comcast Corp.

    2  

United Health Group, Inc.

    2  

 

  * Excludes option positions and money market funds.  

SECTOR ALLOCATION

 

Sector   06/30/18    

12/31/17

 

Information Technology

    28     26

Health Care

    18       16  

Financials

    14       17  

Consumer Discretionary

    12       14  

Industrials

    8       7  

Consumer Staples

    6       6  

Energy

    6       6  

Materials

    5       5  

Utilities

    3       3  

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

 

 

 

TRUST INFORMATION      9  


Trust Information  as of June 30, 2018    BlackRock Enhanced Equity Dividend Trust

 

Investment Objective

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

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

Trust Information

 

Symbol on NYSE

  BDJ

Initial Offering Date

  August 31, 2005

Current Distribution Rate on Closing Market Price as of June 30, 2018 ($9.18)(a)

  6.10%

Current Monthly Distribution per Common Share(b)

  $0.0467

Current Annualized Distribution per Common Share(b)

  $0.5604

 

  (a) 

Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate consists of income, net realized gains and/or a return of capital. See the Financial Highlights for the actual sources and character of distributions. Past performance does not guarantee future results.

 
  (b) 

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

 

Performance and Portfolio Management Commentary

Returns for the six months ended June 30, 2018 were as follows:

 

    Returns Based On  
     Market Price      Net Asset Value  

BDJ(a)(b)

    2.59      (0.38 )% 

Russell 1000® Value Index

    N/A        (1.69

 

  (a) 

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

 
  (b) 

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

 

N/A — Not applicable as the index does not have a market price.

Past performance is not indicative of future results. Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

The following discussion relates to the Trust’s relative performance based on the index cited above:

What factors influenced performance?

The largest contribution to performance for the six-month period came from stock selection in the consumer staples sector. Notably, selection decisions within the beverages industry boosted relative return. In health care, stock selection within pharmaceuticals and health care equipment & services, and an overweight in health care providers & services enhanced relative performance. Lastly, stock selection within energy and utilities contributed, as did a combination of stock selection and an underweight in industrials.

The largest detractor from relative performance derived from stock selection in the financials sector. In particular, a combination of stock selection within and overweight exposure to the banking and insurance industries weighed on relative performance. Additionally, stock selection in the capital markets industry represented a headwind. Within the consumer discretionary sector, issue selection within the media industry had a negative impact. Finally, a lack of exposure to real estate acted as a constraint on returns.

The Trust utilized an options overlay strategy in which calls are written on a portion of the portfolio’s holdings. Premiums generated are recognized as current gains that are intended to enhance distributions payable to shareholders in the form of dividends. The use of options detracted modestly from relative performance.

Describe recent portfolio activity.

During the six-month period, the Trust increased exposure to the information technology sector. Holdings within health care and energy also were increased. Conversely, the Trust significantly lowered its exposure to industrials, and also reduced its positioning within financials and materials.

Describe portfolio positioning at period end.

The Trust’s largest allocations were in the financials, health care and energy sectors. Relative to the benchmark, the Trust’s largest overweight positions were in the health care, financials and energy sectors. Conversely, the Trust’s largest relative underweights were in the real estate, consumer discretionary and materials sectors.

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

 

 

10    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Trust Information  as of June 30, 2018 (continued)    BlackRock Enhanced Equity Dividend Trust

 

Market Price and Net Asset Value Per Share Summary

 

     06/30/18     

12/31/17

     Change      High      Low  

Market Price

  $ 9.18      $ 9.23        (0.54 )%     $ 9.64      $ 8.03  

Net Asset Value

    9.62        9.96        (3.41      10.42        9.33  

Market Price and Net Asset Value History For the Past Five Years

 

LOGO

Overview of the Trust’s Total Investments *

 

TEN LARGEST HOLDINGS

 

Security   06/30/18  

JPMorgan Chase & Co.

    4

Bank of America Corp.

    4  

Pfizer, Inc.

    4  

Citigroup, Inc.

    4  

Wells Fargo & Co.

    3  

Oracle Corp.

    3  

Anthem, Inc.

    3  

Microsoft Corp.

    3  

Suncor Energy, Inc.

    2  

Verizon Communications, Inc.

    2  

 

  * Excludes option positions and money market funds.  

SECTOR ALLOCATION

 

Sector   06/30/18    

12/31/17

 

Financials

    28     29

Health Care

    20       19  

Energy

    13       12  

Information Technology

    11       10  

Industrials

    7       8  

Consumer Staples

    7       7  

Utilities

    5       5  

Consumer Discretionary

    4       4  

Telecommunication Services

    3       3  

Materials

    2       3  

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

 

 

 

TRUST INFORMATION      11  


Trust Information  as of June 30, 2018    BlackRock Enhanced Global Dividend Trust

 

Investment Objective

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

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

Trust Information

 

Symbol on NYSE

  BOE

Initial Offering Date

  May 31, 2005

Current Distribution Rate on Closing Market Price as of June 30, 2018 ($11.12)(a)

  8.42%

Current Monthly Distribution per Common Share(b)

  $0.0780

Current Annualized Distribution per Common Share(b)

  $0.9360

 

  (a) 

Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate consists of income, net realized gains and/or a return of capital. See the Financial Highlights for the actual sources and character of distributions. Past performance does not guarantee future results.

 
  (b) 

The monthly distribution per Common Share, declared on July 2, 2018, was decreased to $0.0630 per share. The current distribution rate on closing market price, current monthly distribution per Common Share and current annualized distribution per Common Share do not reflect the new distribution rate. The new distribution rate is not constant and is subject to change in the future. A portion of the distribution may be deemed a return of capital or net realized gain.

 

Performance and Portfolio Management Commentary

Returns for the six months ended June 30, 2018 were as follows:

 

    Returns Based On  
     Market Price      Net Asset Value  

BOE(a)(b)

    (7.44 )%       (6.19 )% 

MSCI All Country World Index

    N/A        (0.43

 

  (a) 

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

 
  (b) 

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

 

N/A — Not applicable as the index does not have a market price.

Past performance is not indicative of future results. Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

The following discussion relates to the Trust’s relative performance based on the index cited above:

What factors influenced performance?

Security selection within and overweight exposure to consumer staples represented the largest detractors from performance. Stock selection within industrials also weighed on returns. Two tobacco companies, British American Tobacco PLC and Altria Group, Inc., were among the top individual detractors. Tobacco stocks suffered due to a market rotation out of defensive sectors, coupled with the FDA’s announcement that it would be looking to limit nicotine levels in traditional cigarettes, along with questions about “Next Generation” smoking products. In addition, the German postal and international courier company Deutsche Post AG detracted after the company lowered its earnings forecast as it launched a series of measures aimed at stemming a decline in profitability at its post, e-commerce and parcel division.

During the six-month period, the Trust’s significant underweight to financials contributed to relative return as the sector was one of the worst-performing segments of the index. An underweight to real estate also contributed to performance. The Trust’s position in the technology conglomerate Cisco Systems, Inc. was the top individual contributor after the company reported earnings that exceeded expectations and also announced a share buyback. Additionally, the British pharmaceutical firm GlaxoSmithKline PLC was among the top contributors to returns after Novartis AG announced that they will be selling their stake in a consumer health care joint venture to GlaxoSmithKline. Holdings of Chinese sportswear company Anta Sports Products Ltd. also helped performance with positive sentiment driven by the company’s continued strong retail sales.

The Trust made use of options, principally written call options on individual stocks, in order to seek enhanced income returns while continuing to participate in the performance of the underlying equities. The Trust’s options writing strategy contributed to Trust performance.

Describe recent portfolio activity.

The Trust’s allocation to tobacco stocks was reduced in May, with the proceeds reinvested in high quality, dividend-paying names in which the investment adviser has high conviction. These included health care, consumer staples and industrials stocks.

 

 

12    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Trust Information  as of June 30, 2018 (continued)    BlackRock Enhanced Global Dividend Trust

 

Describe portfolio positioning at period end.

At period end, the Trust’s largest sector overweight positions were in the consumer staples and health care sectors, with an emphasis on the tobacco and pharmaceuticals industries, respectively. The largest underweights were to information technology and financials. The Trust had no exposure to real estate, utilities or energy at the end of the period. From a regional perspective, a majority of portfolio assets was invested either within the United States or Europe, with significant exposure in the United Kingdom and Switzerland.

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

Market Price and Net Asset Value Per Share Summary

 

     06/30/18     

12/31/17

     Change      High      Low  

Market Price

  $ 11.12      $ 12.51        (11.11 )%     $ 13.08      $ 10.96  

Net Asset Value

    11.91        13.22        (9.91      13.71        11.78  

Market Price and Net Asset Value History For the Past Five Years

 

LOGO

Overview of the Trust’s Total Investments *

 

TEN LARGEST HOLDINGS

 

Security  

06/30/18

 

Johnson & Johnson

    4

TELUS Corp.

    4  

Altria Group, Inc.

    3  

Sanofi

    3  

Novartis AG, Registered Shares

    3  

Coca-Cola Co.

    3  

Rogers Communications, Inc., Class B

    3  

Cisco Systems, Inc.

    3  

Nestle SA

    3  

Unilever PLC

    3  

 

  *

Excludes option positions and money market funds.

 

GEOGRAPHIC ALLOCATION

 

Country   06/30/18     12/31/17  

United States

    43     42

United Kingdom

    17       16  

Australia

    6       4  

Switzerland

    6       10  

France

    4       3  

India

    4       (a)  

Singapore

    3        

Taiwan

    3       3  

Netherlands

    3        

Germany

    3       2  

Canada

    3       6  

Japan

    2       2  

Belgium

    1       2  

Denmark

    1        

Finland

    1       2  

China

    (a)       (a)  

Sweden

    (a)       (a)  

Ireland

    (a)        

Other(b)

          5  

 

  (a) 

Representing less than 1% of the Trust’s total investments.

 
  (b) 

Other includes a 1% holding or less in each of the following countries: Denmark, Hong Kong, India, Italy, Netherlands and Spain.

 
 

 

 

TRUST INFORMATION      13  


Trust Information  as of June 30, 2018    BlackRock Enhanced International Dividend Trust

 

Investment Objective

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

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

Trust Information

 

Symbol on NYSE

  BGY

Initial Offering Date

  May 30, 2007

Current Distribution Rate on Closing Market Price as of as of June 30, 2018 ($5.74)(a)

  7.94%

Current Monthly Distribution per Common Share(b)

  $0.0380

Current Annualized Distribution per Common Share(b)

  $0.4560

 

  (a) 

Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate consists of income, net realized gains and/or a return of capital. See the Financial Highlights for the actual sources and character of distributions. Past performance does not guarantee future results.

 
  (b) 

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

 

Performance and Portfolio Management Commentary

Returns for the six months ended June 30, 2018 were as follows:

 

    Returns Based On  
     Market Price      Net Asset Value  

BGY(a)(b)

    (8.61 )%       (6.49 )% 

MSCI All Country World Index ex-USA

    N/A        (3.77

 

  (a) 

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

 
  (b) 

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

 

N/A — Not applicable as the index does not have a market price.

Past performance is not indicative of future results. Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

The following discussion relates to the Trust’s relative performance based on the index cited above:

What factors influenced performance?

Security selection within and an overweight to consumer staples were the largest detractors from performance. Additionally, selection within industrials detracted, including positions in international courier companies Deutsche Post AG (Germany) and bpost SA (Belgium). The Trust’s lack of holdings in energy stocks also subtracted from returns.

The leading contributor to relative performance during the period was the Trust’s overweight to the health care sector. Additionally, an underweight to financials contributed to performance. Lastly, stock selection within consumer discretionary added to returns, in particular from holdings in the Chinese sportswear company Anta Sports Products Ltd. and the Macau-based resort firm Sands China Ltd.

During the period, the Trust made use of options, principally written call options on individual stocks, in order to seek enhanced income returns while continuing to participate in the performance of the underlying equities. The Trust’s options writing strategy contributed to relative return.

Describe recent portfolio activity.

The Trust reduced its exposure to tobacco stocks over the period, while retaining an overweight in the industry. The Trust also increased exposure to financials by purchasing two Singapore bank stocks.

Describe portfolio positioning at period end.

At period end, the Trust’s largest sector overweights were in the consumer staples and health care sectors, with an emphasis on the tobacco and pharmaceuticals industries, respectively. The largest underweight exposure was to financials, particularly banks. The Trust had no exposure to real estate, utilities or energy. In regional terms, the majority of portfolio assets was invested in European equities, with significant exposure to the United Kingdom and Switzerland.

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

 

 

14    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Trust Information  as of June 30, 2018 (continued)    BlackRock Enhanced International Dividend Trust

 

Market Price and Net Asset Value Per Share Summary

 

     06/30/18     

12/31/17

     Change      High      Low  

Market Price

  $ 5.74      $ 6.52        (11.96 )%     $ 6.85      $ 5.64  

Net Asset Value

    6.36        7.06        (9.92      7.32        6.27  

Market Price and Net Asset Value History For the Past Five Years

 

LOGO

Overview of the Trust’s Total Investments *

 

TEN LARGEST HOLDINGS

 

Security   06/30/18  

TELUS Corp.

    6

Sanofi

    5  

Novartis AG, Registered Shares

    5  

Rogers Communications, Inc., Class B

    5  

Nestle SA

    5  

Amcor

    5  

Imperial Brands PLC

    5  

Unilever PLC

    5  

British American Tobacco PLC

    4  

Deutsche Post AG, Registered Shares

    4  

 

  * Excludes option positions and money market funds.  

GEOGRAPHIC ALLOCATION

 

Country   06/30/18     12/31/17  

United Kingdom

    24     19

Switzerland

    13       12  

Canada

    11       7  

Australia

    9       5  

France

    7       6  

United States

    5       6  

Germany

    4       3  

Netherlands

    4       6  

Taiwan

    4       3  

Finland

    4       2  

Singapore

    3        

China

    2       5  

Sweden

    2       2  

Belgium

    2       3  

India

    2       2  

Japan

    2       5  

Denmark

    2       (a) 

Hong Kong

          2  

South Korea

          2  

South Africa

          2  

Other

          2 (b) 

 

  (a)  Representing less than 1% of the Trust’s total investments.  
  (b)  Other includes a 1% holding or less in each of the following countries: Ireland and Portugal.  
 

 

 

TRUST INFORMATION      15  


Trust Information  as of June 30, 2018    BlackRock Health Sciences Trust

 

Investment Objective

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

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

Trust Information

 

Symbol on NYSE

  BME

Initial Offering Date

  March 31, 2005

Current Distribution Rate on Closing Market Price as of June 30, 2018 ($38.58)(a)

  6.22%

Current Monthly Distribution per Common Share(b)

  $0.2000

Current Annualized Distribution per Common Share(b)

  $2.4000

 

  (a) 

Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate consists of income, net realized gains and/or a return of capital. See the Financial Highlights for the actual sources and character of distributions. Past performance does not guarantee future results.

 
  (b) 

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

 

Performance and Portfolio Management Commentary

Returns for the six months ended June 30, 2018 were as follows:

 

    Returns Based On  
     Market Price      Net Asset Value  

BME(a)(b)

    9.33      5.90

Russell 3000® Healthcare Index

    N/A        4.15  

 

  (a) 

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

 
  (b) 

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

 

N/A — Not applicable as the index does not have a market price.

Past performance is not indicative of future results. Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

The following discussion relates to the Trust’s relative performance based on the index cited above:

What factors influenced performance?

The Trust added value through its effective individual stock selection. An out-of-benchmark position in Sarepta Therapeutics, Inc., a biotechnology company focused on orphan drugs, was among the largest contributors to relative performance. Sarepta presented preliminary data for its experimental treatment for patients with Duchenne muscular dystrophy, sparking a rally in its shares.

Merger-and-acquisition activity was also a key driver of the Trust’s performance. Avexis, Inc., a clinical-stage gene therapy biotechnology company, announced that it would be acquired at a substantial premium by the Swiss pharmaceutical giant Novartis AG. Toward the end of the period, shares of Boston Scientific Corp. rallied on the rumor that the company had received a takeover bid from Stryker Corp.

Other contributors of note included overweight positions in the health care services companies Humana, Inc, and Teladoc, Inc. The Trust’s overweight position in the biotechnology stock Alnylam Pharmaceuticals, Inc. was among the largest detractors from returns, as the company came under pressure after Pfizer, Inc. released positive data on a competing drug.

A zero weighting in Align Technology, Inc. was among the largest detractors from relative performance in the medical devices & supplies sub-sector. The stock rallied following an analyst event that dispelled concerns about rising competition and outlined a strong growth outlook.

Other detractors of note included overweight positions in Cigna Corp., Novo Nordisk A/S and Insmed, Inc.

The Trust made use of options, principally written call options on individual stocks, in order to seek enhanced income returns while continuing to participate in the performance of the underlying equities. This strategy detracted from performance in the period.

Describe recent portfolio activity.

The Trust increased its allocation to the medical devices & supplies subsector and slightly reduced its weightings in the healthcare providers & services area. Its allocation to biotechnology decreased, while its weighting in pharmaceuticals was largely unchanged.

 

 

16    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Trust Information  as of June 30, 2018 (continued)    BlackRock Health Sciences Trust

 

Describe portfolio positioning at period end.

The Trust continued to employ a bottom-up, fundamental investment process in an effort to construct a balanced, diversified portfolio of health care stocks. The portfolio continues to reflect two broad themes: innovation and value-based health care.

Innovation in medical technology remains a secular growth driver for the health care sector as companies continue to develop new therapies or products that are either fulfilling an unmet medical need or are an improvement over current treatments. This encompasses not only the biotechnology industry, but also the pharmaceuticals and medical devices & supplies sub-sectors.

With respect to value-based health care, the Trust has an above-benchmark weighting in the health care providers & services sub-sector largely due to its sizeable overweight in the managed care industry. The investment adviser continues to find a number of companies in this area that it believes are well positioned to leverage their scale and analytical capabilities to reduce health care costs. Additionally, select holdings in the health care services industry feature business models that are benefiting from the shift to lower-cost options such as home health care.

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

Market Price and Net Asset Value Per Share Summary

 

    

06/30/18

    

12/31/17

     Change      High      Low  

Market Price

  $ 38.58      $ 36.50        5.70    $ 39.83      $ 32.89  

Net Asset Value

    36.54        35.69        2.38        38.56        34.33  

Market Price and Net Asset Value History For the Past Five Years

 

 

LOGO

Overview of the Trust’s Total Investments *

 

TEN LARGEST HOLDINGS

 

Security  

06/30/18

 

UnitedHealth Group, Inc.

    9

Pfizer, Inc.

    5  

Medtronic PLC

    4  

Abbott Laboratories

    4  

Stryker Corp.

    3  

Boston Scientific Corp.

    4  

Quest Diagnostics, Inc.

    3  

Anthem, Inc.

    3  

Humana, Inc.

    2  

Baxter International, Inc.

    2  

 

  *

Excludes option positions and money market funds.

 

INDUSTRY ALLOCATION

 

Industry   06/30/18     12/31/17  

Health Care Equipment & Supplies

    28     23

Health Care Providers & Services

    25       25  

Biotechnology

    20       25  

Pharmaceuticals

    22       24  

Life Sciences Tools & Services

    3       2  

Diversified Consumer Services

    1       1  

Health Care Technology

    1        

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

 

 

 

TRUST INFORMATION      17  


Trust Information  as of June 30, 2018    BlackRock Resources & Commodities Strategy Trust

 

Investment Objective

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

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

Trust Information

 

Symbol on NYSE

  BCX

Initial Offering Date

  March 30, 2011

Current Distribution Rate on Closing Market Price as of June 30, 2018 ($9.29)(a)

  6.67%

Current Monthly Distribution per Common Share(b)

  $0.0516

Current Annualized Distribution per Common Share(b)

  $0.6192

 

  (a) 

Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate consists of income, net realized gains and/or a return of capital. See the Financial Highlights for the actual sources and character of distributions. Past performance does not guarantee future results.

 
  (b) 

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

 

Performance and Portfolio Management Commentary

Returns for the six months ended June 30, 2018 were as follows:

 

    Returns Based On  
     Market Price      Net Asset Value  

BCX(a)(b)

    (1.71 )%       0.07

Lipper Natural Resources Funds(c)

    (1.38      (0.70

 

  (a) 

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

 
  (b) 

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

 
  (c) 

Average return. Returns reflect investment of dividends and/or distributions at NAV on the ex-dividend as calculated by Lipper.

 

Past performance is not indicative of future results. Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

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

What factors influenced performance?

The Trust’s allocation to energy stocks made a positive contribution to its six-month results. Oil prices rallied behind the combination of tighter supplies and higher-than-expected demand, leading to strong returns for the energy sector. In this environment, the U.S. exploration and production company ConocoPhillips was among the largest contributors to performance. Upstream producers, in general, maintained capital discipline and prioritized shareholder returns over growth. ConocoPhillips participated in this trend by announcing a 7.5% dividend increase and a 33% expansion of its share buyback program, which boosted its stock price. Other contributors of note within energy included Royal Dutch Shell PLC, Suncor Energy, Inc. and BP PLC.

The mining stock Nevsun Resources Ltd., which was bid for by a competitor in May, was also a large contributor to returns.

After performing strongly in 2017, the battery materials industry came under pressure in early 2018 as lithium prices retreated. The downturn stemmed from supply concerns that arose after the lithium miner Sociedad Química y Minera de Chile SA reached an agreement with the Chilean government that would allow it to significantly increase production. The Trust’s position in Neo Lithium Corp. detracted from performance as a result. The investment adviser retained the position on the belief that the long-term demand for lithium from electric vehicle sales is likely to outweigh the available supply.

The Brazil-based food producer BRF SA also detracted. The Brazilian Federal Police announced it was investigating the company for manipulating food/meat sample tests that are required to meet export regulatory standards. The company’s former chief executive officer was arrested, along with ten other employees. This news introduced significant risk into the BRF investment case, prompting the Trust to sell the position. Other detractors of note included Glencore PLC, Nutrien Ltd. and Arcelormittal.

The Trust made use of options, principally written call options on individual stocks, in order to seek enhanced income returns while continuing to participate in the performance of the underlying equities. The option overlay strategy detracted from results.

Describe recent portfolio activity.

The Trust exited three of its positions in the agriculture industry, including Monsanto Co. The investment adviser believed the stock had limited upside since its price was close to the level at which the company was bid for by Bayer AG. The Trust also sold BRF and AGCO Corp., and initiated a position in the agricultural supply-chain company Archer Daniels Midland Co. on the expectation that the company’s restructuring effort will lead to higher earnings growth.

 

 

18    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Trust Information  as of June 30, 2018 (continued)    BlackRock Resources & Commodities Strategy Trust

 

The investment adviser rotated some of the portfolio’s positions in the mining industry based on relative valuations. In addition, the Trust’s allocation to the industry was increased through additions to BHP Billiton Ltd. and Glencore.

Describe portfolio positioning at period end.

The mining industry represented the largest allocation following the Trust’s purchases in this area. Energy and agriculture were the second- and third-largest weightings, respectively.

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

Market Price and Net Asset Value Per Share Summary

 

    

06/30/18

    

12/31/17

     Change      High      Low  

Market Price

  $ 9.29      $ 9.77        (4.91 )%     $ 10.49      $ 8.69  

Net Asset Value

    10.30        10.64        (3.20      11.05        9.68  

Market Price and Net Asset Value History For Past Five Years

 

LOGO

Overview of the Trust’s Total Investments *

 

TEN LARGEST HOLDINGS

 

Security   06/30/18  

Nutrien LTD

    6

Royal Dutch Shell PLC — ADR

    6  

Glencore PLC

    5  

BP PLC — ADR

    5  

BHP Billiton PLC

    5  

TOTAL SA

    5  

Rio Tinto PLC — ADR

    4  

Suncor Energy, Inc.

    4  

Vale SA — ADR

    4  

Archer-Daniels-Midland Co.

    3  

 

  *

Excludes option positions and money market funds.

 

INDUSTRY ALLOCATION

 

Industry   06/30/18     12/31/17  

Metals & Mining

    36     34

Oil, Gas & Consumable Fuels

    34       34  

Chemicals

    12       13  

Food Products

    8       11  

Containers & Packaging

    5       3  

Energy Equipment & Services

    2       3  

Paper & Forest Products

    1       1  

Machinery

    1       1  

Electronic Equipment, Instruments & Components

    1        

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

 

 

 

TRUST INFORMATION      19  


Trust Information  as of June 30, 2018     BlackRock Science and Technology Trust

 

Investment Objective

BlackRock Science and Technology Trust’s (BST) (the “Trust”) investment objective is to provide income and total return through a combination of current income, current gains and long-term capital appreciation. The Trust seeks to achieve its investment objective by investing, under normal market conditions, at least 80% of its total assets in equity securities of science and technology companies. The Trust seeks to pursue this goal primarily by investing in a portfolio of equity securities and utilizing an option over-writing strategy in an effort to seek total return performance and enhance distributions.

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

Trust Information

 

Symbol on NYSE

  BST

Initial Offering Date

  October 30, 2014

Current Distribution Rate on Closing Market Price as of June 30, 2018 ($33.65)(a)

  4.64%

Current Monthly Distribution per Common Share(b)

  $0.1300

Current Annualized Distribution per Common Share(b)

  $1.5600

 

  (a) 

Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate consists of income, net realized gains and/or a return of capital. See the Financial Highlights for the actual sources and character of distributions. Past performance does not guarantee future results.

 
  (b) 

The monthly distribution per Common Share, declared on July 2, 2018, was increased to $0.1500 per share. The current distribution rate on closing market price, current monthly distribution per Common Share and current annualized distribution per Common Share do not reflect the new distribution rate. The new distribution rate is not constant and is subject to change in the future. A portion of the distribution may be deemed a return of capital or net realized gain.

 

Performance and Portfolio Management Commentary

Returns for the six months ended June 30, 2018 were as follows:

 

    Returns Based On  
     Market Price      Net Asset Value  

BST(a)(b)

    29.37      15.46

MSCI World Information Technology Index

    N/A        9.44  

 

  (a) 

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

 
  (b) 

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

 

N/A — Not applicable as the index does not have a market price.

Past performance is not indicative of future results. Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

The following discussion relates to the Trust’s relative performance based on the index cited above:

What factors influenced performance?

Global markets were flat during the period, as the MSCI World Index returned 0.43%. However, this masked considerable volatility driven by rising trade tensions and broader geopolitical risk.

The Trust’s non-benchmark position in Amazon.com, Inc. was the largest contributor to relative performance, as strong e-commerce sales helped Amazon surpass first quarter earnings expectations, boosting the company’s share price. Holdings in Netflix, Inc. represented the second largest contributor, as the company beat expectations for growth in subscribers. A non-benchmark position in the mobile payment company Square Inc. was also additive. Square has benefited from an improving macroeconomic backdrop as well as significant growth in mobile payment utilization rates.

The largest detractors from relative performance were the Trust’s underweight positions in Facebook, Inc. and Apple, Inc. Facebook shares rallied after strong earnings helped ease fears surrounding the possible impact of user privacy concerns on Facebook’s business model. Elsewhere, a non-benchmark position in Linx, a Brazilian management software company, was among the largest detractors from performance as recent political unrest in Brazil weighed on the company’s share price.

Also, the Trust made use of options, principally written call options on individual stocks, in order to seek enhanced income returns while continuing to participate in the performance of the underlying equities. The Trust’s options writing strategy detracted from returns.

Describe recent portfolio activity.

During the six-month period, the Trust took profits on a position in a semiconductor company that had performed particularly well. Proceeds from the sale were rotated into a value opportunity within the internet software & services sub-industry.

Describe portfolio positioning at period end.

At period end, the Trust held its largest allocation within the software & services industry group, with a focus on idiosyncratic opportunities within the internet software & services and application software sub-industries. Regionally, the Trust maintained most of its exposure in North America, with smaller allocations to the emerging markets and Europe.

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

 

 

20    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Trust Information  as of June 30, 2018 (continued)    BlackRock Science and Technology Trust

 

Market Price and Net Asset Value Per Share Summary

 

    

06/30/18

    

12/31/17

     Change      High      Low  

Market Price

  $ 33.65      $ 26.69        26.08    $ 35.71      $ 26.00  

Net Asset Value

    31.20        27.73        12.51        32.73        27.48  

Market Price and Net Asset Value History Since Inception

 

LOGO

 

(a) 

Commencement of operations.

Overview of the Trust’s Total Investments *

 

TEN LARGEST HOLDINGS

 

Security   06/30/18  

Amazon.com, Inc.

    6

Microsoft Corp.

    5  

Tencent Holdings Ltd.

    5  

Alphabet Inc.

    5  

Apple, Inc.

    4  

Alibaba Group Holding LTD. — ADR.

    3  

Mastercard, Inc.

    3  

Square, Inc.

    2  

Visa, Inc.

    2  

salesforce.com, Inc.

    2  

 

  *

Excludes option positions and money market funds.

 

INDUSTRY ALLOCATION

 

Industry

  06/30/18     12/31/17  

Software

    30     22

Internet Software & Services

    28       28  

Semiconductors & Semiconductor Equipment

    13       18  

IT Services

    12       10  

Internet & Direct Marketing Retail

    8       6  

Technology Hardware, Storage & Peripherals

    4       7  

Electronic Equipment, Instruments & Components

    1       2  

Media

    1       1  

Other

    3 (a)       6 (a)  

 

  (a) 

Other includes a 1% holding or less in each of the following industries: Automobiles, Chemicals, Consumer Finance, Household Durables, Health Care Technology, Professional Services and Diversified Consumer Services.

 

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

 

 

 

TRUST INFORMATION      21  


Trust Information  as of June 30, 2018   

BlackRock Utilities, Infrastructure & Power Opportunities Trust

 

Investment Objective

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

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

Trust Information

 

Symbol on NYSE

  BUI

Initial Offering Date

  November 25, 2011

Current Distribution Rate on Closing Market Price as of June 30, 2018 ($20.01)(a)

  7.26%

Current Monthly Distribution per Common Share(b)

  $0.1210

Current Annualized Distribution per Common Share(b)

  $1.4520

 

  (a) 

Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate consists of income, net realized gains and/or a return of capital. See the Financial Highlights for the actual sources and character of distributions. Past performance does not guarantee future results.

 
  (b) 

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

 

Performance and Portfolio Management Commentary

Returns for the six-months ended June 30, 2018:

 

    Returns Based On  
     Market Price      Net Asset Value  

BUI(a)(b)

    (4.06 )%       (0.56 )% 

Lipper Utility Funds(c)

    (4.84      (2.54

 

  (a) 

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

 
  (b) 

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

 
  (c) 

Average return. Returns reflect reinvestment of dividends and/or distributions at NAV on the ex-dividend date as calculated by Lipper.

 

Past performance is not indicative of future results. Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

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

What factors influenced performance?

Markets were essentially flat during the period, as the MSCI World Index returning 0.43%. However, this masked considerable volatility driven by rising trade tensions and broader geopolitical risks.

A position in Spanish renewable energy company EDP Renovaveis was the largest contributor to the Trust’s performance during the six-month period. The company’s shares rose on speculation that one or more companies were looking to acquire all or part of the business. Another renewable energy holding, China Longyuan, was among the leading contributors for the period. China is introducing a national emissions trading scheme for carbon dioxide that will incentivize the move to cleaner technologies, boosting the company’s shares in the period. Other contributors of note included clean energy company NextEra Energy Inc., Macquarie Infrastructure Corp. and electric utility FirstEnergy Corp.

Exposure to multinational automotive supplier Valeo was the largest detractor from the Trust’s absolute performance during the period. Despite a stronger-than-expected order book, the company reported lower year-on-year profits for 2017, especially in the autonomous driving and electric vehicle segments, while lowering forward guidance for organic growth. The Trust has maintained the position on a positive view of both the company and the broader vehicle electrification theme, particularly given the regulatory support emerging from many countries. Elsewhere within the automotive space, temporary disruption related to the move to real world driving testing standards negatively impacted our positions in component manufacturers Continental AG and Osram Licht AG. Other detractors of note included European energy company Enel SpA and Denmark-based wind energy manufacturer Vestas Wind Systems A/S.

The Trust made use of options, principally written call options on individual stocks, in order to seek enhanced income returns while continuing to participate in the performance of the underlying equities. The option overlay strategy had a negative impact on results.

 

 

22    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Trust Information  as of June 30, 2018 (continued)   

BlackRock Utilities, Infrastructure & Power Opportunities Trust

 

Describe recent portfolio activity.

During the period, the Trust reduced exposure to midstream energy companies, exiting Shell Midstream Partners and Plains All American Pipeline in the process. Capital was rotated into the electric vehicle exposed companies, such as semiconductor manufacturer Infineon Technologies AG and Continental AG.

Describe portfolio positioning at period end.

At period end, the utilities sector accounted for approximately 63.5% of the Trust’s assets, with holdings concentrated in U.S. electric and multi-utilities. Approximately 16% of the portfolio was invested in the industrials sector, with roughly another 12% in the energy sector. The remainder was invested in other infrastructure- and power-related sectors.

Against a backdrop of historically low interest rates, the demand for equity yield has led to valuations for U.S. utilities that are high relative to their historical levels, placing even greater importance on stock selection. As such, the Trust was focused on owning companies with strong management teams that offer the potential for above-sector growth in earnings and dividends. The Trust had a preference for regulated utilities over their non-regulated counterparts given their existing barriers to entry, strong balance sheets, and lower sensitivity to commodity prices.

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

Market Price and Net Asset Value Per Share Summary

 

    

06/30/18

    

12/31/17

     Change      High      Low  

Market Price

  $ 20.01      $ 21.62        (7.45 )%     $ 21.73      $ 19.09  

Net Asset Value

    20.26        21.12        (4.07      21.27        19.69  

Market Price and Net Asset Value History For the Past Five Years

 

LOGO

Overview of the Trust’s Total Investments *

 

TEN LARGEST HOLDINGS

 

Security   06/30/18  

NextEra Energy, Inc.

    11

Enel SpA

    5  

EDP Renovaveis SA

    5  

National Grid PLC

    4  

Public Service Enterprise Group

    4  

Duke Energy Corp.

    4  

Dominion Energy, Inc.

    3  

Atlantia SpA

    3  

Exelon Corp.

    3  

TransCanada Corp.

    3  

 

  *

Excludes option positions and money market funds.

 

INDUSTRY ALLOCATION

 

Industry  

06/30/18

   

12/31/17

 

Electric Utilities

    36     33

Multi-Utilities

    20       20  

Oil, Gas & Consumable Fuels

    12       12  

Transportation Infrastructure

    11       15  

Independent Power and Renewable Electricity Producers

    8       8  

Electrical Equipment

    4       3  

Chemicals

    4       3  

Water Utilities

    1       1  

Construction & Engineering

          3  

Gas Utilities

          1  

Auto Components

    2        

Other

    2 (a)       1 (a)  

 

  (a) 

Other includes a 1% holding or less in each of the following industries: Building Products and Semiconductors & Semiconductor Equipment.

 

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

 

 

 

TRUST INFORMATION      23  


Derivative Financial Instruments

 

The Trusts may invest in various derivative financial instruments. These instruments are used to obtain exposure to a security, commodity, index, market, and/or other assets without owning or taking physical custody of securities, commodities and/or other referenced assets or to manage market, equity, credit, interest rate, foreign currency exchange rate, commodity and/or other risks. Derivative financial instruments may give rise to a form of economic leverage and involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the instrument. The Trusts’ successful use of a derivative financial instrument depends on the investment adviser’s ability to predict pertinent market movements accurately, which cannot be assured. The use of these instruments may result in losses greater than if they had not been used, may limit the amount of appreciation a Trust can realize on an investment and/or may result in lower distributions paid to shareholders. The Trusts’ investments in these instruments, if any, are discussed in detail in the Notes to Financial Statements.

 

 

24    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited)

June 30, 2018

  

BlackRock Energy and Resources Trust (BGR)

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  

Common Stocks — 99.8%

 

Energy Equipment & Services — 7.6%  

Baker Hughes a GE Co.(a)

    255,700     $ 8,445,771  

Halliburton Co.(a)

    306,900       13,828,914  

Patterson-UTI Energy, Inc.(a)

    192,557       3,466,026  

Schlumberger Ltd.(a)

    156,674       10,501,858  
   

 

 

 
    36,242,569  
Oil, Gas & Consumable Fuels — 92.2%  

Anadarko Petroleum Corp.(a)

    165,033       12,088,667  

Andeavor(a)

    103,050       13,518,099  

BP PLC

    4,427,650       33,687,851  

Cairn Energy PLC(b)

    1,747,695       5,738,664  

Canadian Natural Resources Ltd.

    418,540       15,106,472  

Chevron Corp.(a)(c)

    242,585       30,670,022  

Cimarex Energy Co.(a)

    65,550       6,669,057  

CNOOC Ltd.

    4,423,000       7,579,007  

Concho Resources, Inc.(a)(b)

    26,750       3,700,862  

ConocoPhillips(a)

    314,800       21,916,376  

Devon Energy Corp.(a)

    339,050       14,904,638  

Encana Corp.

    849,530       11,095,295  

EOG Resources, Inc.(a)

    142,700       17,756,161  

EQT Corp.

    180,450       9,957,231  

Exxon Mobil Corp.(a)(c)

    487,002       40,289,675  

Galp Energia SGPS SA

    14,335       273,455  

Kosmos Energy Ltd.(b)

    720,108       5,955,293  

Marathon Oil Corp.(a)

    191,748       3,999,863  

Noble Energy, Inc.(a)

    303,842       10,719,546  

Oil Search Ltd.

    911,863       5,990,891  

Pioneer Natural Resources Co.(a)

    82,876       15,683,454  

Royal Dutch Shell PLC — ADR, Class A(a)

    713,800       49,416,374  

Royal Dutch Shell PLC, Class A

    273,248       9,456,815  

Suncor Energy, Inc.

    548,400       22,317,271  
Security   Shares     Value  
Oil, Gas & Consumable Fuels (continued)  

TOTAL SA

    425,553     $ 25,842,019  

TransCanada Corp.

    306,250       13,250,295  

Valero Energy Corp.(a)

    168,800       18,708,104  

Williams Cos., Inc.(a)

    482,900       13,091,419  
   

 

 

 
    439,382,876  
   

 

 

 

Total Long-Term Investments — 99.8%
(Cost — $404,613,943)

 

    475,625,445  
   

 

 

 

Short-Term Securities — 1.0%

 

BlackRock Liquidity Funds, T-Fund, Institutional Class, 1.80%(d)(e)

    4,599,459       4,599,459  
   

 

 

 

Total Short-Term Securities — 1.0%
(Cost — $4,599,459)

 

    4,599,459  
   

 

 

 

Total Investments Before Options Written — 100.8%
(Cost — $409,213,402)

 

    480,224,904  
   

 

 

 

Options Written — (0.7)%
(Premiums Received — $3,574,813)

 

    (3,538,539
   

 

 

 

Total Investments, Net of Options Written — 100.1%
(Cost — $405,638,589)

 

    476,686,365  

Liabilities in Excess of Other Assets — (0.1)%

 

    (381,317
   

 

 

 

Net Assets — 100.0%

 

  $ 476,305,048  
   

 

 

 

 

(a) 

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

(b) 

Non-income producing security.

(c) 

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

(d) 

Annualized 7-day yield as of period end.

 
(e) 

During the six months ended June 30, 2018, investments in issuers considered to be an affiliate of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate    Shares
Held at
12/31/17
     Net
Activity
     Shares
Held at
06/30/18
     Value at
06/30/18
     Income      Net
Realized

Gain (Loss) (a)
     Change in
Unrealized
Appreciation
(Depreciation)
 

BlackRock Liquidity Funds, T-Fund, Institutional Class

     3,870,844        728,615        4,599,459      $ 4,599,459      $ 28,875      $      $  
           

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

Includes net capital gain distributions, if applicable.

 

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

Derivative Financial Instruments Outstanding as of Period End

Exchange-Traded Options Written

 

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

Call

                          

Chevron Corp.

     154          07/06/18        USD     128.00        USD     1,947        $ (9,086

ConocoPhillips

     164          07/06/18        USD     70.00        USD     1,142          (11,890

Devon Energy Corp.

     114          07/06/18        USD     43.50        USD     501          (11,856

Devon Energy Corp.

     130          07/06/18        USD     41.00        USD     571          (39,975

EOG Resources, Inc.

     89          07/06/18        USD     119.00        USD     1,107          (53,400

Halliburton Co.

     290          07/06/18        USD     51.50        USD     1,307          (870

Williams Cos., Inc.

     460          07/06/18        USD     27.50        USD     1,247          (5,750

Anadarko Petroleum Corp.

     70          07/13/18        USD     72.00        USD     513          (16,450

 

 

SCHEDULES OF INVESTMENTS      25  


Schedule of Investments  (unaudited) (continued)

June 30, 2018

  

BlackRock Energy and Resources Trust (BGR)

 

Exchange-Traded Options Written (continued)

 

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

Call (continued)

                          

Chevron Corp.

     154          07/13/18        USD     129.00        USD     1,947        $ (13,013

ConocoPhillips

     202          07/13/18        USD     70.00        USD     1,406          (24,139

EOG Resources, Inc.

     38          07/13/18        USD     120.00        USD     473          (20,900

Exxon Mobil Corp.

     356          07/13/18        USD     83.00        USD     2,945          (36,312

Pioneer Natural Resources Co.

     111          07/13/18        USD     197.50        USD     2,101          (15,817

Royal Dutch Shell PLC — ADR, Class A

     205          07/13/18        USD     71.00        USD     1,419          (7,175

Valero Energy Corp.

     60          07/13/18        USD     116.00        USD     665          (4,080

Williams Cos., Inc.

     576          07/13/18        USD     27.00        USD     1,562          (29,088

Anadarko Petroleum Corp.

     259          07/20/18        USD     72.50        USD     1,897          (63,196

Andeavor

     104          07/20/18        USD     145.00        USD     1,364          (4,160

Baker Hughes a GE Co.

     287          07/20/18        USD     39.00        USD     948          (2,870

Baker Hughes a GE Co.

     233          07/20/18        USD     36.00        USD     770          (5,825

Canadian Natural Resources Ltd.

     165          07/20/18        CAD     48.00        CAD     783          (10,605

Chevron Corp.

     353          07/20/18        USD     130.00        USD     4,463          (33,712

Cimarex Energy Co.

     74          07/20/18        USD     90.00        USD     753          (92,130

Concho Resources, Inc.

     38          07/20/18        USD     152.75        USD     526          (2,011

ConocoPhillips

     227          07/20/18        USD     72.50        USD     1,580          (13,393

ConocoPhillips

     164          07/20/18        USD     70.50        USD     1,142          (20,582

Devon Energy Corp.

     152          07/20/18        USD     38.00        USD     668          (93,860

Devon Energy Corp.

     70          07/20/18        USD     44.00        USD     308          (10,465

Devon Energy Corp.

     92          07/20/18        USD     46.00        USD     404          (6,348

EOG Resources, Inc.

     116          07/20/18        USD     125.00        USD     1,443          (33,756

Encana Corp.

     1,255          07/20/18        CAD     17.00        CAD     2,155          (69,210

Noble Energy, Inc.

     492          07/20/18        USD     37.50        USD     1,736          (17,220

Royal Dutch Shell PLC — ADR, Class A

     289          07/20/18        USD     70.00        USD     2,001          (26,733

Royal Dutch Shell PLC — ADR, Class A

     405          07/20/18        USD     75.00        USD     2,804          (3,037

Schlumberger Ltd.

     326          07/20/18        USD     73.45        USD     2,185          (3,376

Suncor Energy, Inc.

     982          07/20/18        CAD     54.00        CAD     5,254          (61,625

Andeavor

     131          07/27/18        USD     152.50        USD     1,718          (2,882

Chevron Corp.

     65          07/27/18        USD     130.00        USD     822          (9,782

ConocoPhillips

     108          07/27/18        USD     69.00        USD     752          (25,326

Devon Energy Corp.

     1          07/27/18        USD     44.00        USD     4          (175

Devon Energy Corp.

     92          07/27/18        USD     45.50        USD     404          (9,982

Devon Energy Corp.

     141          07/27/18        USD     45.00        USD     620          (18,118

EOG Resources, Inc.

     91          07/27/18        USD     119.00        USD     1,132          (65,748

Exxon Mobil Corp.

     410          07/27/18        USD     85.00        USD     3,392          (32,800

Halliburton Co.

     392          07/27/18        USD     49.50        USD     1,766          (11,172

Pioneer Natural Resources Co.

     52          07/27/18        USD     202.50        USD     984          (9,880

Royal Dutch Shell PLC — ADR, Class A

     296          07/27/18        USD     71.00        USD     2,049          (23,680

Royal Dutch Shell PLC — ADR, Class A

     405          07/27/18        USD     69.50        USD     2,804          (57,713

Williams Cos., Inc.

     139          07/27/18        USD     28.50        USD     377          (2,363

Williams Cos., Inc.

     257          07/27/18        USD     28.00        USD     697          (7,453

Concho Resources, Inc.

     55          07/30/18        USD     128.25        USD     761          (67,595

Chevron Corp.

     58          08/03/18        USD     130.00        USD     733          (10,498

Devon Energy Corp.

     71          08/03/18        USD     43.50        USD     312          (17,821

Exxon Mobil Corp.

     471          08/03/18        USD     83.00        USD     3,897          (92,081

Pioneer Natural Resources Co.

     31          08/03/18        USD     190.00        USD     587          (21,855

Pioneer Natural Resources Co.

     64          08/03/18        USD     200.00        USD     1,211          (20,320

Valero Energy Corp.

     197          08/03/18        USD     116.00        USD     2,183          (41,567

Chevron Corp.

     65          08/10/18        USD     128.00        USD     822          (19,370

Devon Energy Corp.

     141          08/10/18        USD     46.00        USD     620          (21,925

EOG Resources, Inc.

     165          08/10/18        USD     129.00        USD     2,053          (48,180

Valero Energy Corp.

     128          08/10/18        USD     115.00        USD     1,419          (32,832

Anadarko Petroleum Corp.

     248          08/17/18        USD     72.50        USD     1,817          (97,340

Andeavor

     90          08/17/18        USD     140.00        USD     1,181          (15,390

Canadian Natural Resources Ltd.

     670          08/17/18        CAD     44.00        CAD     3,179          (214,049

Cimarex Energy Co.

     167          08/17/18        USD     100.00        USD     1,699          (105,210

ConocoPhillips

     236          08/17/18        USD     70.00        USD     1,643          (60,298

Devon Energy Corp.

     90          08/17/18        USD     42.00        USD     396          (33,525

Devon Energy Corp.

     92          08/17/18        USD     46.00        USD     404          (15,778

Encana Corp.

     2,268          08/17/18        CAD     17.00        CAD     3,894          (187,181

Exxon Mobil Corp.

     467          08/17/18        USD     82.50        USD     3,863          (113,481

 

 

26    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

June 30, 2018

  

BlackRock Energy and Resources Trust (BGR)

 

Exchange-Traded Options Written (continued)

 

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

Call (continued)

                          

Halliburton Co.

     392          08/17/18        USD     50.00        USD     1,766        $ (20,580

Patterson-UTI Energy, Inc.

     210          08/17/18        USD     19.00        USD     378          (15,750

Pioneer Natural Resources Co.

     32          08/17/18        USD     185.00        USD     606          (38,240

Royal Dutch Shell PLC — ADR, Class A

     206          08/17/18        USD     72.50        USD     1,426          (14,420

Schlumberger Ltd.

     187          08/17/18        USD     67.50        USD     1,253          (42,169

Suncor Energy, Inc.

     937          08/17/18        CAD     54.00        CAD     5,013          (103,347

TransCanada Corp.

     1,071          08/17/18        CAD     58.00        CAD     6,092          (68,839

Valero Energy Corp.

     205          08/17/18        USD     115.00        USD     2,272          (59,245

Williams Cos., Inc.

     258          08/17/18        USD     28.00        USD     699          (13,674
                          

 

 

 
                           $ (2,763,549
                          

 

 

 

OTC Options Written

 

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

Call

 

Noble Energy, Inc.

   Bank of America N.A.      59,000        07/09/18      USD     35.40      USD     2,082      $ (42,265

BP PLC

   Goldman Sachs International      311,600        07/10/18      GBP     5.83      GBP     1,798        (23,239

Oil Search Ltd.

   Morgan Stanley & Co. International PLC      157,000        07/10/18      AUD     8.81      AUD     1,394        (21,568

Patterson-UTI Energy, Inc.

   UBS AG      35,300        07/10/18      USD     23.63      USD     635         

TOTAL SA

   Credit Suisse International      10,700        07/11/18      EUR     53.41      EUR     556        (2,456

TOTAL SA

   UBS AG      18,600        07/11/18      EUR     54.88      EUR     967        (524

Canadian Natural Resources Ltd.

   Credit Suisse International      67,900        07/16/18      CAD     46.25      CAD     3,222        (91,397

BP PLC

   Barclays Bank PLC      262,800        07/18/18      GBP     5.85      GBP     1,516        (25,083

CNOOC Ltd.

   Goldman Sachs International      207,000        07/18/18      HKD     14.07      HKD     2,782        (3,447

TOTAL SA

   Goldman Sachs International      26,500        07/25/18      EUR     53.15      EUR     1,378        (13,724

BP PLC

   Citibank N.A.      230,000        07/26/18      GBP     5.96      GBP     1,327        (15,927

CNOOC Ltd.

   JPMorgan Chase Bank N.A.      261,000        07/26/18      HKD     14.07      HKD     3,508        (6,498

Royal Dutch Shell PLC, Class A

   Goldman Sachs International      95,700        07/26/18      GBP     25.93      GBP     2,509        (94,603

TOTAL SA

   Citibank N.A.      47,000        07/26/18      EUR     53.63      EUR     2,444        (19,103

BP PLC

   Barclays Bank PLC      213,300        07/27/18      GBP     5.86      GBP     1,231        (26,684

BP PLC

   Citibank N.A.      221,000        07/27/18      GBP     5.70      GBP     1,275        (50,760

CNOOC Ltd.

   Societe Generale      300,000        08/01/18      HKD     12.78      HKD     4,032        (32,136

TOTAL SA

   UBS AG      30,000        08/01/18      EUR     53.87      EUR     1,560        (16,207

Patterson-UTI Energy, Inc.

   UBS AG      11,000        08/06/18      USD     20.20      USD     198        (3,321

Royal Dutch Shell PLC — ADR, Class A

   Citibank N.A.      34,600        08/06/18      USD     70.97      USD     2,395        (39,852

Oil Search Ltd.

   Citibank N.A.      190,000        08/07/18      AUD     8.35      AUD     1,687        (86,874

BP PLC

   Goldman Sachs International      311,000        08/08/18      GBP     5.85      GBP     1,794        (55,006

TOTAL SA

   Goldman Sachs International      16,100        08/08/18      EUR     52.17      EUR     837        (21,605

Baker Hughes a GE Co.

   Citibank N.A.      31,300        08/13/18      USD     33.93      USD     1,034        (39,343

Royal Dutch Shell PLC — ADR, Class A

   Citibank N.A.      34,600        08/20/18      USD     70.97      USD     2,395        (43,368
                     

 

 

 
   $ (774,990
                     

 

 

 

Balances Reported in the Statements of Assets and Liabilities for OTC Derivatives

 

      Swap
Premiums
Paid
     Swap
Premiums
Received
     Unrealized
Appreciation
     Unrealized
Depreciation
     Value  

Options Written

     N/A        N/A      $ 966,746      $ (930,472    $ (3,538,539

Derivative Financial Instruments Categorized by Risk Exposure

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

 

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

Liabilities — Derivative Financial Instruments

                    

Options written

                    

Options written at value

   $      $      $ 3,538,539      $      $      $      $ 3,538,539  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

 

SCHEDULES OF INVESTMENTS      27  


Schedule of Investments  (unaudited) (continued)

June 30, 2018

  

BlackRock Energy and Resources Trust (BGR)

 

For the six months ended June 30, 2018, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

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

Net Realized Gain (Loss) from:

                    

Options purchased(a)

   $      $      $ (841    $      $      $      $ (841

Options written

                   (14,337,904                           (14,337,904
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $      $      $ (14,338,745    $      $      $      $ (14,338,745
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

(a) Options purchased are included in net realized gain (loss) from investments.

 

Net Change in Unrealized Appreciation (Depreciation) on:                                                 

Options written

   $      $      $ 4,386,198      $      $      $      $ 4,386,198  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Options:

 

Average value of option contracts purchased

   $ (a)  

Average value of option contracts written

   $ 3,136,477  

 

  (a) 

Derivative not held at quarter-end. The amount shown in the Statements of Operations reflect the results of activity during the period.

 

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

Derivative Financial Instruments — Offsetting as of Period End

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

 

      Assets        Liabilities  

Derivative Financial Instruments:

       

Options

   $        $ 3,538,539  
  

 

 

      

 

 

 

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

              (2,763,549
  

 

 

      

 

 

 

Total derivative assets and liabilities subject to an MNA

   $        $ 774,990  
  

 

 

      

 

 

 

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

 

Counterparty    Derivative
Liabilities
Subject to
an MNA
 by
Counterparty
       Derivatives
Available
for Offset
       Non-cash
Collateral

Pledged (a)
       Cash
Collateral

Pledged
       Net Amount
of Derivative

Liabilities  (b)
 

Bank of America N.A.

   $ 42,265        $        $        $        $ 42,265  

Barclays Bank PLC

     51,767                   (51,767                  

Citibank N.A.

     295,227                   (295,227                  

Credit Suisse International

     93,853                   (93,240                 613  

Goldman Sachs International

     211,624                   (211,624                  

JPMorgan Chase Bank N.A.

     6,498                                     6,498  

Morgan Stanley & Co. International PLC

     21,568                                     21,568  

Societe Generale

     32,136                                     32,136  

UBS AG

     20,052                   (20,052                  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 
   $ 774,990        $        $ (671,910      $        $ 103,080  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

Excess of collateral received from the individual counterparty is not shown for financial reporting purposes.

 
  (b) 

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

 

 

 

28    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

June 30, 2018

  

BlackRock Energy and Resources Trust (BGR)

 

Fair Value Hierarchy as of Period End

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

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

 

      Level 1        Level 2        Level 3        Total  

Assets:

                 

Investments:

                 

Common Stocks:

                 

Energy Equipment & Services

   $ 36,242,569        $        $        $ 36,242,569  

Oil, Gas & Consumable Fuels

     350,814,174          88,568,702                   439,382,876  

Short-Term Securities

     4,599,459                            4,599,459  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 391,656,202        $ 88,568,702        $        $ 480,224,904  
  

 

 

      

 

 

      

 

 

      

 

 

 

Derivative Financial Instruments(a)

                 

Liabilities:

                 

Equity contracts

   $ (2,690,567      $ (847,972      $        $ (3,538,539
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

Derivative financial instruments are options written, which are shown at value.

 

During the six months ended June 30, 2018, there were no transfers between levels.

See notes to financial statements.

 

 

SCHEDULES OF INVESTMENTS      29  


Schedule of Investments  (unaudited)

June 30, 2018

  

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

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  

Common Stocks — 100.3%

 

Airlines — 1.4%  

Delta Air Lines, Inc.

    204,085     $ 10,110,371  
   

 

 

 
Banks — 10.4%  

Bank of America Corp.(a)(b)

    710,271       20,022,540  

JPMorgan Chase & Co.(b)

    239,356       24,940,895  

Regions Financial Corp.

    327,605       5,824,817  

SunTrust Banks, Inc.

    205,255       13,550,935  

U.S. Bancorp

    263,202       13,165,364  
   

 

 

 
    77,504,551  
Biotechnology — 3.5%  

Biogen, Inc.(c)

    55,904       16,225,577  

Gilead Sciences, Inc.

    138,969       9,844,564  
   

 

 

 
    26,070,141  
Capital Markets — 1.2%  

E*Trade Financial Corp.(c)

    150,986       9,234,304  
   

 

 

 
Chemicals — 2.1%  

DowDuPont, Inc.

    243,080       16,023,834  
   

 

 

 
Commercial Services & Supplies — 1.1%  

KAR Auction Services, Inc.

    154,771       8,481,451  
   

 

 

 
Communications Equipment — 2.7%  

Cisco Systems, Inc.

    474,074       20,399,404  
   

 

 

 
Consumer Finance — 1.6%  

Ally Financial, Inc.

    213,891       5,618,916  

SLM Corp.(c)

    537,693       6,156,585  
   

 

 

 
    11,775,501  
Containers & Packaging — 1.2%  

Packaging Corp. of America

    82,529       9,225,917  
   

 

 

 
Electric Utilities — 2.9%  

FirstEnergy Corp.

    363,947       13,069,337  

PG&E Corp.

    206,492       8,788,299  
   

 

 

 
    21,857,636  
Electronic Equipment, Instruments & Components — 2.5%  

CDW Corp.

    154,847       12,510,089  

Flex Ltd.(c)

    443,330       6,255,386  
   

 

 

 
    18,765,475  
Food & Staples Retailing — 2.2%  

Walmart, Inc.

    191,513       16,403,088  
   

 

 

 
Food Products — 1.3%  

J.M. Smucker Co.

    89,440       9,613,011  
   

 

 

 
Health Care Equipment & Supplies — 1.5%  

Baxter International, Inc.

    150,208       11,091,359  
   

 

 

 
Health Care Providers & Services — 9.1%  

Centene Corp.(c)

    79,887       9,842,877  

CVS Health Corp.(a)

    124,485       8,010,610  

Humana, Inc.

    57,029       16,973,541  

Laboratory Corp. of America Holdings(c)

    81,168       14,572,091  

UnitedHealth Group, Inc.

    77,355       18,978,276  
   

 

 

 
    68,377,395  
Hotels, Restaurants & Leisure — 1.1%  

Carnival Corp.

    147,293       8,441,362  
   

 

 

 
Household Durables — 2.9%  

D.R. Horton, Inc.

    337,430       13,834,630  

Lennar Corp., Class A

    90,366       4,744,215  

NVR, Inc.(c)

    1,081       3,210,948  
   

 

 

 
    21,789,793  
Security   Shares     Value  
Household Products — 0.2%  

Energizer Holdings, Inc.

    22,475     $ 1,415,026  
   

 

 

 
Industrial Conglomerates — 0.9%  

General Electric Co.

    481,941       6,559,217  
   

 

 

 
Insurance — 1.4%  

Assured Guaranty Ltd.

    105,887       3,783,343  

Hartford Financial Services Group, Inc.

    135,210       6,913,287  
   

 

 

 
    10,696,630  
Internet Software & Services — 5.0%  

Alphabet, Inc., Class A(c)

    33,203       37,492,496  
   

 

 

 
IT Services — 3.0%  

Amdocs Ltd.

    83,760       5,544,075  

Cognizant Technology Solutions Corp., Class A

    209,862       16,576,999  
   

 

 

 
    22,121,074  
Machinery — 2.3%  

Allison Transmission Holdings, Inc.

    142,313       5,762,253  

Fortive Corp.

    150,060       11,571,127  
   

 

 

 
    17,333,380  
Media — 2.5%  

Comcast Corp., Class A(a)

    565,618       18,557,927  
   

 

 

 
Metals & Mining — 1.5%  

Freeport-McMoRan, Inc.

    433,357       7,479,742  

Rio Tinto PLC — ADR

    59,686       3,311,379  
   

 

 

 
    10,791,121  
Oil, Gas & Consumable Fuels — 6.6%  

BP PLC — ADR

    202,348       9,239,210  

Chevron Corp.

    134,226       16,970,193  

Marathon Oil Corp.

    239,650       4,999,099  

Suncor Energy, Inc.

    404,193       16,442,571  

TOTAL SA — ADR

    32,322       1,957,420  
   

 

 

 
    49,608,493  
Pharmaceuticals — 4.1%  

Novo Nordisk A/S — ADR

    188,798       8,707,364  

Pfizer, Inc.

    608,765       22,085,994  
   

 

 

 
    30,793,358  
Road & Rail — 2.1%  

Norfolk Southern Corp.

    102,299       15,433,850  
   

 

 

 
Software — 8.7%  

Dell Technologies, Inc., Class V(c)

    122,393       10,352,000  

Microsoft Corp.(a)

    395,647       39,014,751  

Oracle Corp.

    351,281       15,477,441  
   

 

 

 
    64,844,192  
Specialty Retail — 5.2%  

Home Depot, Inc.

    45,995       8,973,625  

Lowe’s Cos., Inc.(a)

    204,067       19,502,683  

Urban Outfitters, Inc.(c)

    233,622       10,407,860  
   

 

 

 
    38,884,168  
Technology Hardware, Storage & Peripherals — 5.9%  

Apple, Inc.(b)

    237,136       43,896,245  
   

 

 

 
Tobacco — 2.2%  

Altria Group, Inc.(a)

    288,708       16,395,726  
   

 

 

 

Total Long-Term Investments — 100.3%
(Cost — $584,059,977)

 

    749,987,496  
   

 

 

 
 

 

 

30    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

June 30, 2018

  

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

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  

Short-Term Securities — 0.6%

 

 

BlackRock Liquidity Funds, T-Fund, Institutional Class,
1.80%(d)(e)

    4,630,300     $ 4,630,300  
   

 

 

 

Total Short-Term Securities — 0.6%
(Cost — $4,630,300)

 

    4,630,300  
   

 

 

 

Options Purchased — 0.0%
(Cost — $1,360)

 

    1,605  
   

 

 

 

Total Investments Before Options Written — 100.9%
(Cost — $588,691,637)

 

    754,619,401  
   

 

 

 

Options Written — (0.9)%
(Premiums Received — $8,067,614)

 

    (6,477,238
   

 

 

 

Total Investments, Net of Options Written — 100.0%
(Cost — $580,624,023)

 

    748,142,163  

Liabilities in Excess of Other Assets — (0.0)%

 

    (18,462
   

 

 

 

Net Assets — 100.0%

 

  $ 748,123,701  
   

 

 

 

 

(a) 

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

(b) 

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

(c) 

Non-income producing security.

(d) 

Annualized 7-day yield as of period end.

 
(e) 

During the six months ended June 30, 2018, investments in issuers considered to be an affiliate of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate    Shares
Held at

12/31/17
     Net
Activity
     Shares
Held at
06/30/18
     Value at
06/30/18
     Income      Net
Realized

Gain (Loss) (a)
     Change in
Unrealized

Appreciation
(Depreciation)
 

BlackRock Liquidity Funds, T-Fund, Institutional Class

     3,142,974        1,487,326        4,630,300      $ 4,630,300      $ 29,997      $      $  

 

  (a) 

Includes net capital gain distributions, if applicable.

 

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

Derivative Financial Instruments Outstanding as of Period End

Exchange-Traded Options Purchased

 

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

Call

                          

General Electric Co.

     321          07/13/18        USD     14.50        USD     437        $ 1,605  
                          

 

 

 

Exchange-Traded Options Written

 

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

Call

                          

Bank of America Corp.

     188          07/02/18        USD     31.35        USD     530        $  

Pfizer, Inc.

     38          07/02/18        USD     36.25        USD     138          (755

General Electric Co.

     414          07/05/18        USD     14.75        USD     563          (213

Bank of America Corp.

     669          07/06/18        USD     30.50        USD     1,886          (1,003

Baxter International, Inc.

     37          07/06/18        USD     73.50        USD     273          (3,108

CVS Health Corp.

     278          07/06/18        USD     66.00        USD     1,789          (8,479

Carnival Corp.

     285          07/06/18        USD     64.00        USD     1,633          (1,425

Chevron Corp.

     104          07/06/18        USD     128.00        USD     1,315          (6,136

Cisco Systems, Inc.

     610          07/06/18        USD     44.50        USD     2,625          (1,525

Cognizant Technology Solutions Corp., Class A

     337          07/06/18        USD     77.00        USD     2,662          (75,825

Comcast Corp., Class A

     368          07/06/18        USD     32.00        USD     1,207          (35,880

D.R. Horton, Inc.

     114          07/06/18        USD     43.50        USD     467          (627

Delta Air Lines, Inc.

     284          07/06/18        USD     56.00        USD     1,407          (852

 

 

SCHEDULES OF INVESTMENTS      31  


Schedule of Investments  (unaudited) (continued)

June 30, 2018

  

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

 

Exchange-Traded Options Written (continued)

 

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

Call (continued)

                          

DowDuPont, Inc.

     54          07/06/18        USD     67.50        USD     356        $ (1,026

Flex Ltd.

     372          07/06/18        USD     14.00        USD     525          (9,300

General Electric Co.

     82          07/06/18        USD     15.25        USD     112          (12

General Electric Co.

     146          07/06/18        USD     14.50        USD     199          (292

Gilead Sciences, Inc.

     82          07/06/18        USD     69.50        USD     581          (13,489

Hartford Financial Services Group, Inc.

     178          07/06/18        USD     54.00        USD     910          (712

Humana, Inc.

     43          07/06/18        USD     297.50        USD     1,280          (14,513

Microsoft Corp.

     327          07/06/18        USD     101.00        USD     3,225          (7,357

Norfolk Southern Corp.

     135          07/06/18        USD     160.00        USD     2,037          (1,350

Oracle Corp.

     123          07/06/18        USD     48.00        USD     542          (246

Pfizer, Inc.

     78          07/06/18        USD     36.00        USD     283          (3,471

Pfizer, Inc.

     103          07/06/18        USD     36.50        USD     374          (1,339

Pfizer, Inc.

     39          07/06/18        USD     37.00        USD     141          (175

Suncor Energy, Inc.

     256          07/06/18        USD     40.00        USD     1,041          (23,936

U.S. Bancorp

     154          07/06/18        USD     52.50        USD     770          (308

U.S. Bancorp

     43          07/06/18        USD     53.00        USD     215          (430

UnitedHealth Group, Inc.

     57          07/06/18        USD     245.00        USD     1,398          (14,421

Urban Outfitters, Inc.

     278          07/06/18        USD     42.50        USD     1,238          (56,295

Novo Nordisk A/S — ADR

     124          07/09/18        USD     50.00        USD     572          (46

Suncor Energy, Inc.

     8          07/09/18        USD     38.40        USD     33          (1,920

FirstEnergy Corp.

     442          07/11/18        USD     34.01        USD     1,587          (87,636

Alphabet, Inc., Class A

     18          07/13/18        USD     1,145.00        USD     2,033          (19,980

Altria Group, Inc.

     383          07/13/18        USD     57.50        USD     2,175          (21,257

Apple, Inc.

     129          07/13/18        USD     192.50        USD     2,388          (5,160

Apple, Inc.

     101          07/13/18        USD     187.50        USD     1,870          (18,685

BP PLC — ADR

     133          07/13/18        USD     46.00        USD     607          (7,315

Bank of America Corp.

     318          07/13/18        USD     30.50        USD     896          (1,431

Bank of America Corp.

     161          07/13/18        USD     31.00        USD     454          (563

Biogen, Inc.

     28          07/13/18        USD     295.00        USD     813          (9,660

Carnival Corp.

     70          07/13/18        USD     65.00        USD     401          (350

Carnival Corp.

     70          07/13/18        USD     66.50        USD     401          (350

Chevron Corp.

     104          07/13/18        USD     129.00        USD     1,315          (8,788

Cisco Systems, Inc.

     81          07/13/18        USD     45.00        USD     349          (486

D.R. Horton, Inc.

     114          07/13/18        USD     44.00        USD     467          (1,425

DowDuPont, Inc.

     189          07/13/18        USD     67.00        USD     1,246          (13,136

DowDuPont, Inc.

     126          07/13/18        USD     69.00        USD     831          (2,331

FirstEnergy Corp.

     154          07/13/18        USD     34.50        USD     553          (24,476

Flex Ltd.

     378          07/13/18        USD     14.50        USD     533          (5,103

Hartford Financial Services Group, Inc.

     152          07/13/18        USD     54.00        USD     777          (1,216

Humana, Inc.

     88          07/13/18        USD     307.50        USD     2,619          (9,020

JPMorgan Chase & Co.

     128          07/13/18        USD     111.00        USD     1,334          (2,560

Microsoft Corp.

     71          07/13/18        USD     103.00        USD     700          (1,704

Microsoft Corp.

     260          07/13/18        USD     102.00        USD     2,564          (10,400

Oracle Corp.

     45          07/13/18        USD     49.00        USD     198          (90

Oracle Corp.

     303          07/13/18        USD     48.00        USD     1,335          (1,212

PG&E Corp.

     522          07/13/18        USD     42.50        USD     2,222          (126,585

Pfizer, Inc.

     155          07/13/18        USD     36.50        USD     562          (4,417

Pfizer, Inc.

     38          07/13/18        USD     37.00        USD     138          (418

SunTrust Banks, Inc.

     389          07/13/18        USD     70.00        USD     2,568          (5,815

U.S. Bancorp

     360          07/13/18        USD     50.50        USD     1,801          (17,460

U.S. Bancorp

     43          07/13/18        USD     52.50        USD     215          (236

U.S. Bancorp

     129          07/13/18        USD     51.00        USD     645          (3,805

U.S. Bancorp

     65          07/13/18        USD     51.50        USD     325          (1,105

Urban Outfitters, Inc.

     165          07/13/18        USD     43.00        USD     735          (36,713

Walmart Inc.

     374          07/13/18        USD     85.00        USD     3,203          (55,726

SunTrust Banks, Inc.

     97          07/18/18        USD     70.50        USD     640          (1,880

Allison Transmission Holdings, Inc.

     200          07/20/18        USD     42.51        USD     810          (5,899

Ally Financial, Inc.

     348          07/20/18        USD     27.00        USD     914          (12,180

Ally Financial, Inc.

     120          07/20/18        USD     26.00        USD     315          (9,600

Alphabet, Inc., Class A

     34          07/20/18        USD     1,100.00        USD     3,839          (146,030

Alphabet, Inc., Class A

     7          07/20/18        USD     1,190.00        USD     790          (3,185

Altria Group, Inc.

     470          07/20/18        USD     57.50        USD     2,669          (38,540

 

 

32    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

June 30, 2018

  

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

 

Exchange-Traded Options Written (continued)

 

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

Call (continued)

                          

Apple, Inc.

     520          07/20/18        USD     190.00        USD     9,626        $ (68,380

Assured Guaranty Ltd.

     200          07/20/18        USD     37.00        USD     715          (4,400

Assured Guaranty Ltd.

     200          07/20/18        USD     39.00        USD     715          (600

BP PLC — ADR

     357          07/20/18        USD     47.00        USD     1,630          (12,138

Bank of America Corp.

     297          07/20/18        USD     32.00        USD     837          (1,336

Bank of America Corp.

     274          07/20/18        USD     31.00        USD     772          (1,781

Baxter International, Inc.

     121          07/20/18        USD     72.50        USD     893          (25,592

Biogen, Inc.

     58          07/20/18        USD     280.00        USD     1,683          (80,040

CDW Corp.

     645          07/20/18        USD     80.00        USD     5,211          (158,025

CVS Health Corp.

     283          07/20/18        USD     72.50        USD     1,821          (4,103

Carnival Corp.

     154          07/20/18        USD     64.50        USD     883          (770

Centene Corp.

     211          07/20/18        USD     125.00        USD     2,600          (41,145

Chevron Corp.

     310          07/20/18        USD     130.00        USD     3,919          (29,605

Cisco Systems, Inc.

     344          07/20/18        USD     45.00        USD     1,480          (4,816

Cisco Systems, Inc.

     240          07/20/18        USD     44.00        USD     1,033          (8,040

Cognizant Technology Solutions Corp., Class A

     239          07/20/18        USD     80.00        USD     1,888          (23,900

Comcast Corp., Class A

     141          07/20/18        USD     33.01        USD     463          (12,455

Comcast Corp., Class A

     389          07/20/18        USD     32.50        USD     1,276          (43,374

D.R. Horton, Inc.

     114          07/20/18        USD     45.00        USD     467          (1,482

Dell Technologies, Inc., Class V

     434          07/20/18        USD     90.00        USD     3,671          (77,035

DowDuPont, Inc.

     231          07/20/18        USD     70.00        USD     1,523          (4,504

DowDuPont, Inc.

     94          07/20/18        USD     67.50        USD     620          (7,332

E*Trade Financial Corp.

     113          07/20/18        USD     65.00        USD     691          (5,819

Energizer Holdings, Inc.

     150          07/20/18        USD     60.00        USD     944          (53,250

FirstEnergy Corp.

     242          07/20/18        USD     35.00        USD     869          (29,645

Flex Ltd.

     372          07/20/18        USD     14.00        USD     525          (15,066

Fortive Corp.

     464          07/20/18        USD     80.00        USD     3,578          (25,520

Freeport-McMoRan, Inc.

     414          07/20/18        USD     16.00        USD     715          (62,100

Freeport-McMoRan, Inc.

     213          07/20/18        USD     16.50        USD     368          (23,856

Freeport-McMoRan, Inc.

     267          07/20/18        USD     17.50        USD     461          (14,819

General Electric Co.

     113          07/20/18        USD     15.00        USD     154          (734

General Electric Co.

     52          07/20/18        USD     13.50        USD     71          (2,600

Gilead Sciences, Inc.

     167          07/20/18        USD     67.50        USD     1,183          (64,713

Hartford Financial Services Group, Inc.

     135          07/20/18        USD     55.00        USD     690          (1,080

J.M. Smucker Co.

     227          07/20/18        USD     115.00        USD     2,440          (13,052

JPMorgan Chase & Co.

     103          07/20/18        USD     113.85        USD     1,073          (1,060

JPMorgan Chase & Co.

     79          07/20/18        USD     110.00        USD     823          (4,108

KAR Auction Services, Inc.

     272          07/20/18        USD     55.00        USD     1,491          (23,120

Laboratory Corp. of America Holdings

     15          07/20/18        USD     195.00        USD     269          (450

Lennar Corp., Class A

     188          07/20/18        USD     57.50        USD     987          (3,478

Lennar Corp., Class A

     128          07/20/18        USD     52.50        USD     672          (18,304

Lowe’s Cos., Inc.

     281          07/20/18        USD     86.20        USD     2,686          (287,158

Marathon Oil Corp.

     83          07/20/18        USD     21.00        USD     173          (5,893

Marathon Oil Corp.

     125          07/20/18        USD     22.00        USD     261          (4,312

Microsoft Corp.

     200          07/20/18        USD     100.00        USD     1,972          (40,400

Norfolk Southern Corp.

     223          07/20/18        USD     155.00        USD     3,364          (31,778

Novo Nordisk A/S — ADR

     295          07/20/18        USD     48.90        USD     1,361          (5,578

Oracle Corp.

     301          07/20/18        USD     48.00        USD     1,326          (903

Packaging Corp. of America

     128          07/20/18        USD     125.00        USD     1,431          (1,280

Pfizer, Inc.

     2          07/20/18        USD     36.00        USD     7          (137

Pfizer, Inc.

     105          07/20/18        USD     35.00        USD     381          (15,540

Pfizer, Inc.

     159          07/20/18        USD     37.00        USD     577          (3,100

Regions Financial Corp.

     348          07/20/18        USD     19.00        USD     619          (6,090

Rio Tinto PLC — ADR

     47          07/20/18        USD     60.00        USD     261          (705

SLM Corp.

     863          07/20/18        USD     11.55        USD     988          (24,351

SunTrust Banks, Inc.

     177          07/20/18        USD     70.00        USD     1,169          (5,133

Suncor Energy, Inc.

     34          07/20/18        USD     40.00        USD     138          (4,658

TOTAL SA — ADR

     75          07/20/18        USD     60.00        USD     454          (11,250

TOTAL SA — ADR

     60          07/20/18        USD     62.50        USD     363          (2,100

U.S. Bancorp

     130          07/20/18        USD     51.50        USD     650          (4,810

Walmart Inc.

     77          07/20/18        USD     87.50        USD     660          (4,889

FirstEnergy Corp.

     154          07/24/18        USD     34.75        USD     553          (24,317

 

 

SCHEDULES OF INVESTMENTS      33  


Schedule of Investments  (unaudited) (continued)

June 30, 2018

  

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

 

Exchange-Traded Options Written (continued)

 

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

Call (continued)

                          

CDW Corp.

     219          07/25/18        USD     79.65        USD     1,769        $ (63,069

Alphabet, Inc., Class A

     18          07/27/18        USD     1,160.00        USD     2,033          (42,750

Apple, Inc.

     101          07/27/18        USD     190.00        USD     1,870          (22,523

Apple, Inc.

     101          07/27/18        USD     187.50        USD     1,870          (28,028

BP PLC — ADR

     133          07/27/18        USD     47.00        USD     607          (6,450

BP PLC — ADR

     82          07/27/18        USD     46.00        USD     374          (7,257

Bank of America Corp.

     275          07/27/18        USD     31.00        USD     775          (2,612

Baxter International, Inc.

     121          07/27/18        USD     76.00        USD     893          (11,313

Biogen, Inc.

     57          07/27/18        USD     310.00        USD     1,654          (18,668

Carnival Corp.

     154          07/27/18        USD     64.50        USD     883          (1,540

Chevron Corp.

     39          07/27/18        USD     130.00        USD     493          (5,869

Cisco Systems, Inc.

     163          07/27/18        USD     45.00        USD     701          (3,423

Cognizant Technology Solutions Corp., Class A

     167          07/27/18        USD     80.00        USD     1,319          (20,875

Comcast Corp., Class A

     96          07/27/18        USD     33.00        USD     315          (11,088

D.R. Horton, Inc.

     137          07/27/18        USD     45.00        USD     562          (4,589

Delta Air Lines, Inc.

     169          07/27/18        USD     52.00        USD     837          (11,745

DowDuPont, Inc.

     117          07/27/18        USD     72.00        USD     771          (1,345

DowDuPont, Inc.

     139          07/27/18        USD     67.50        USD     916          (13,831

DowDuPont, Inc.

     35          07/27/18        USD     66.50        USD     231          (5,040

E*Trade Financial Corp.

     372          07/27/18        USD     65.50        USD     2,275          (55,428

Flex Ltd.

     380          07/27/18        USD     14.50        USD     536          (19,190

Freeport-McMoRan, Inc.

     400          07/27/18        USD     18.00        USD     690          (22,000

Freeport-McMoRan, Inc.

     213          07/27/18        USD     17.00        USD     368          (21,407

General Electric Co.

     578          07/27/18        USD     14.50        USD     787          (9,826

General Electric Co.

     52          07/27/18        USD     14.00        USD     71          (1,664

Gilead Sciences, Inc.

     317          07/27/18        USD     72.00        USD     2,246          (58,487

Hartford Financial Services Group, Inc.

     152          07/27/18        USD     54.00        USD     777          (5,320

JPMorgan Chase & Co.

     149          07/27/18        USD     112.00        USD     1,553          (6,034

Lowe’s Cos., Inc.

     199          07/27/18        USD     101.00        USD     1,902          (9,552

Marathon Oil Corp.

     125          07/27/18        USD     22.00        USD     261          (5,875

Marathon Oil Corp.

     121          07/27/18        USD     21.00        USD     252          (10,406

Microsoft Corp.

     71          07/27/18        USD     103.00        USD     700          (8,023

Microsoft Corp.

     133          07/27/18        USD     101.00        USD     1,312          (24,273

Oracle Corp.

     179          07/27/18        USD     49.00        USD     789          (895

Pfizer, Inc.

     324          07/27/18        USD     37.00        USD     1,175          (8,748

Pfizer, Inc.

     60          07/27/18        USD     36.50        USD     218          (2,910

Suncor Energy, Inc.

     393          07/27/18        USD     40.00        USD     1,599          (63,666

U.S. Bancorp

     138          07/27/18        USD     52.00        USD     690          (4,554

UnitedHealth Group, Inc.

     155          07/27/18        USD     255.00        USD     3,803          (38,053

Urban Outfitters, Inc.

     340          07/27/18        USD     46.50        USD     1,515          (33,150

Walmart Inc.

     75          07/27/18        USD     86.50        USD     642          (9,262

Walmart Inc.

     153          07/27/18        USD     86.00        USD     1,310          (22,568

Pfizer, Inc.

     59          07/30/18        USD     36.75        USD     214          (2,580

Pfizer, Inc.

     385          07/30/18        USD     36.50        USD     1,397          (18,691

Bank of America Corp.

     88          07/31/18        USD     30.25        USD     248          (1,845

Cisco Systems, Inc.

     240          07/31/18        USD     44.60        USD     1,033          (8,113

FirstEnergy Corp.

     302          07/31/18        USD     34.75        USD     1,084          (50,824

Altria Group, Inc.

     266          08/03/18        USD     58.50        USD     1,511          (24,738

BP PLC — ADR

     164          08/03/18        USD     46.00        USD     749          (19,106

Bank of America Corp.

     146          08/03/18        USD     30.00        USD     412          (3,723

Bank of America Corp.

     90          08/03/18        USD     29.00        USD     254          (5,040

Baxter International, Inc.

     82          08/03/18        USD     75.00        USD     605          (10,619

Baxter International, Inc.

     43          08/03/18        USD     73.50        USD     318          (8,772

Biogen, Inc.

     19          08/03/18        USD     300.00        USD     551          (13,205

Chevron Corp.

     92          08/03/18        USD     130.00        USD     1,163          (16,652

Comcast Corp., Class A

     141          08/03/18        USD     34.00        USD     463          (11,844

D.R. Horton, Inc.

     291          08/03/18        USD     42.50        USD     1,193          (32,738

Delta Air Lines, Inc.

     500          08/03/18        USD     55.00        USD     2,477          (13,250

E*Trade Financial Corp.

     128          08/03/18        USD     66.00        USD     783          (7,680

Freeport-McMoRan, Inc.

     267          08/03/18        USD     17.50        USD     461          (22,695

General Electric Co.

     205          08/03/18        USD     13.50        USD     279          (12,300

General Electric Co.

     295          08/03/18        USD     15.00        USD     401          (3,392

 

 

34    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

June 30, 2018

  

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

 

Exchange-Traded Options Written (continued)

 

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

Call (continued)

                          

JPMorgan Chase & Co.

     35          08/03/18        USD     110.00        USD     365        $ (3,045

JPMorgan Chase & Co.

     79          08/03/18        USD     111.00        USD     823          (5,411

Lowe’s Cos., Inc.

     245          08/03/18        USD     99.00        USD     2,341          (27,563

Marathon Oil Corp.

     245          08/03/18        USD     21.50        USD     511          (20,213

Microsoft Corp.

     133          08/03/18        USD     102.00        USD     1,312          (22,145

Oracle Corp.

     155          08/03/18        USD     44.00        USD     683          (15,810

Pfizer, Inc.

     100          08/03/18        USD     36.50        USD     363          (6,050

Suncor Energy, Inc.

     7          08/03/18        USD     41.00        USD     28          (850

Urban Outfitters, Inc.

     250          08/03/18        USD     47.50        USD     1,114          (20,625

Novo Nordisk A/S — ADR

     567          08/06/18        USD     45.01        USD     2,615          (111,182

SunTrust Banks, Inc.

     368          08/06/18        USD     68.30        USD     2,430          (40,062

UnitedHealth Group, Inc.

     107          08/09/18        USD     255.00        USD     2,625          (38,690

Bank of America Corp.

     516          08/10/18        USD     30.10        USD     1,455          (15,495

Bank of America Corp.

     305          08/10/18        USD     29.01        USD     860          (18,629

Chevron Corp.

     39          08/10/18        USD     128.00        USD     493          (11,622

Comcast Corp., Class A

     344          08/10/18        USD     33.50        USD     1,129          (39,904

DowDuPont, Inc.

     247          08/10/18        USD     66.00        USD     1,628          (57,428

FirstEnergy Corp.

     301          08/10/18        USD     33.75        USD     1,081          (71,285

Flex Ltd.

     379          08/10/18        USD     14.50        USD     535          (18,950

General Electric Co.

     118          08/10/18        USD     14.00        USD     161          (4,838

Hartford Financial Services Group, Inc.

     63          08/10/18        USD     52.00        USD     322          (7,497

JPMorgan Chase & Co.

     60          08/10/18        USD     108.25        USD     625          (9,219

Lowe’s Cos., Inc.

     116          08/10/18        USD     98.50        USD     1,109          (17,284

Marathon Oil Corp.

     121          08/10/18        USD     21.50        USD     252          (11,192

Microsoft Corp.

     133          08/10/18        USD     102.00        USD     1,312          (24,871

Oracle Corp.

     551          08/10/18        USD     45.10        USD     2,428          (35,791

PG&E Corp.

     200          08/10/18        USD     44.00        USD     851          (52,000

Pfizer, Inc.

     385          08/10/18        USD     36.50        USD     1,397          (25,025

U.S. Bancorp

     191          08/10/18        USD     50.00        USD     955          (26,072

Urban Outfitters, Inc.

     251          08/10/18        USD     47.50        USD     1,118          (26,983

Ally Financial, Inc.

     348          08/17/18        USD     27.00        USD     914          (24,360

Ally Financial, Inc.

     120          08/17/18        USD     26.00        USD     315          (14,400

Alphabet, Inc., Class A

     39          08/17/18        USD     1,105.00        USD     4,404          (234,585

Altria Group, Inc.

     468          08/17/18        USD     59.20        USD     2,658          (48,271

Apple, Inc.

     352          08/17/18        USD     190.00        USD     6,516          (147,840

BP PLC — ADR

     161          08/17/18        USD     46.00        USD     735          (19,964

BP PLC — ADR

     82          08/17/18        USD     47.00        USD     374          (6,724

Bank of America Corp.

     274          08/17/18        USD     31.00        USD     772          (5,343

Bank of America Corp.

     305          08/17/18        USD     29.00        USD     860          (20,893

Baxter International, Inc.

     121          08/17/18        USD     72.50        USD     893          (36,300

Biogen, Inc.

     33          08/17/18        USD     300.00        USD     958          (28,875

CVS Health Corp.

     128          08/17/18        USD     72.50        USD     824          (5,952

Chevron Corp.

     50          08/17/18        USD     130.00        USD     632          (11,625

Comcast Corp., Class A

     501          08/17/18        USD     35.00        USD     1,644          (34,820

D.R. Horton, Inc.

     137          08/17/18        USD     43.00        USD     562          (14,454

D.R. Horton, Inc.

     274          08/17/18        USD     41.00        USD     1,123          (55,896

Delta Air Lines, Inc.

     169          08/17/18        USD     52.50        USD     837          (15,126

DowDuPont, Inc.

     34          08/17/18        USD     70.00        USD     224          (2,958

DowDuPont, Inc.

     70          08/17/18        USD     67.50        USD     461          (12,145

E*Trade Financial Corp.

     217          08/17/18        USD     63.75        USD     1,327          (29,719

Flex Ltd.

     557          08/17/18        USD     15.00        USD     786          (19,774

Fortive Corp.

     61          08/17/18        USD     76.01        USD     470          (23,071

Freeport-McMoRan, Inc.

     210          08/17/18        USD     17.00        USD     362          (25,935

Freeport-McMoRan, Inc.

     400          08/17/18        USD     18.00        USD     690          (31,800

General Electric Co.

     175          08/17/18        USD     15.00        USD     238          (2,887

Gilead Sciences, Inc.

     217          08/17/18        USD     75.00        USD     1,537          (29,512

Hartford Financial Services Group, Inc.

     63          08/17/18        USD     53.05        USD     322          (6,152

Home Depot, Inc.

     274          08/17/18        USD     200.00        USD     5,346          (104,120

Humana, Inc.

     68          08/17/18        USD     300.00        USD     2,024          (63,580

J.M. Smucker Co.

     264          08/17/18        USD     110.00        USD     2,837          (76,560

JPMorgan Chase & Co.

     204          08/17/18        USD     115.00        USD     2,126          (9,792

KAR Auction Services, Inc.

     269          08/17/18        USD     55.00        USD     1,474          (45,730

 

 

SCHEDULES OF INVESTMENTS      35  


Schedule of Investments  (unaudited) (continued)

June 30, 2018

  

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

 

Exchange-Traded Options Written (continued)

 

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

Call (continued)

                          

Lowe’s Cos., Inc.

     281          08/17/18        USD     97.50        USD     2,686        $ (59,572

Marathon Oil Corp.

     373          08/17/18        USD     22.00        USD     778          (30,027

Marathon Oil Corp.

     125          08/17/18        USD     23.00        USD     261          (6,437

Microsoft Corp.

     56          08/17/18        USD     105.00        USD     552          (6,272

Oracle Corp.

     275          08/17/18        USD     44.00        USD     1,212          (34,513

Packaging Corp. of America

     160          08/17/18        USD     120.00        USD     1,789          (20,800

Pfizer, Inc.

     100          08/17/18        USD     37.00        USD     363          (4,600

SunTrust Banks, Inc.

     97          08/17/18        USD     72.50        USD     640          (3,492

Suncor Energy, Inc.

     35          08/17/18        USD     41.00        USD     142          (5,075

TOTAL SA — ADR

     42          08/17/18        USD     62.50        USD     254          (4,095

U.S. Bancorp

     194          08/17/18        USD     52.50        USD     970          (9,118

Walmart Inc.

     374          08/17/18        USD     85.00        USD     3,203          (108,460

UnitedHealth Group, Inc.

     107          08/20/18        USD     255.00        USD     2,625          (47,841
                          

 

 

 
                           $ (5,814,712
                          

 

 

 

OTC Options Written

 

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

Call

                     

Allison Transmission Holdings, Inc.

   Credit Suisse International      20,300        07/06/18        USD       43.10        USD       822      $ (358

SLM Corp.

   Citibank N.A.      30,400        07/09/18        USD       11.42        USD       348        (7,273

Suncor Energy, Inc.

   Citibank N.A.      68,100        07/09/18        USD       38.95        USD       2,770        (128,037

Amdocs Ltd.

   JPMorgan Chase Bank N.A.      23,500        07/10/18        USD       66.43        USD       1,555        (17,802

Laboratory Corp. of America Holdings

   UBS AG      21,000        07/10/18        USD       177.00        USD       3,770        (87,241

Ally Financial, Inc.

   Citibank N.A.      24,000        07/11/18        USD       27.24        USD       630        (3,578

Laboratory Corp. of America Holdings

   UBS AG      21,000        07/19/18        USD       177.00        USD       3,770        (107,192

Centene Corp.

   Citibank N.A.      22,800        07/23/18        USD       118.90        USD       2,809        (146,941

Regions Financial Corp.

   Morgan Stanley & Co. International PLC      75,000        07/24/18        USD       19.58        USD       1,334        (8,423

SLM Corp.

   UBS AG      81,500        07/24/18        USD       12.01        USD       933        (12,623

Novo Nordisk A/S — ADR

   Barclays Bank PLC      5,200        07/26/18        USD       45.41        USD       240        (7,887

Rio Tinto PLC — ADR

   Morgan Stanley & Co. International PLC      21,100        08/03/18        USD       58.75        USD       1,171        (12,758

SLM Corp.

   Morgan Stanley & Co. International PLC      97,500        08/07/18        USD       12.15        USD       1,116        (19,150

Assured Guaranty Ltd.

   Citibank N.A.      18,200        08/13/18        USD       36.51        USD       650        (11,926

Amdocs Ltd.

   JPMorgan Chase Bank N.A.      22,500        08/16/18        USD       67.10        USD       1,489        (27,933

Regions Financial Corp.

   JPMorgan Chase Bank N.A.      35,200        08/16/18        USD       19.45        USD       626        (7,458

Rio Tinto PLC — ADR

   Morgan Stanley & Co. International PLC      21,100        08/20/18        USD       58.75        USD       1,171        (12,288

Regions Financial Corp.

   Morgan Stanley & Co. International PLC      35,100        08/27/18        USD       18.81        USD       624        (14,867

FirstEnergy Corp.

   JPMorgan Chase Bank N.A.      40,600        08/29/18        USD       36.65        USD       1,458        (28,791
                     

 

 

 
   $ (662,526
                     

 

 

 

Balances Reported in the Statements of Assets and Liabilities for OTC Derivatives

 

      Swap
Premium
Paid
     Swap
Premium
Received
     Unrealized
Appreciation
     Unrealized
Depreciation
     Value  

Options Written

     N/A        N/A      $ 2,911,349      $ (1,320,973    $ (6,477,238

 

 

36    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

June 30, 2018

  

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

 

Derivative Financial Instruments Categorized by Risk Exposure

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

 

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

Assets — Derivative Financial Instruments

                    

Options purchased

                    

Investments at value — unaffiliated(a)

   $      $      $ 1,605      $      $      $      $ 1,605  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Liabilities — Derivative Financial Instruments

                    

Options written

                    

Options written at value

   $      $      $ 6,477,238      $      $      $      $ 6,477,238  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

Includes options purchased at value as reported in the schedule of Investments.

 

For the period ended June 30, 2018, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

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

Net Realized Gain (Loss) from:

                    

Options purchased(a)

   $      $      $ (2,570    $      $      $      $ (2,570

Options written

                   (4,323,450                           (4,323,450
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $      $      $ (4,326,020    $      $      $      $ (4,326,020
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

Options purchased are included in net realized gain (loss) from investments.

 

 

Net Change in Unrealized Appreciation (Depreciation) on:

                    

Options purchased

   $      $      $ 245      $      $      $      $ 245  

Options written

                   3,616,469                             3,616,469  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $      $      $ 3,616,714      $      $      $      $ 3,616,714  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

Options purchased are included in net change in unrealized appreciation (depreciation) from investments.

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Options:

 

Average value of option contracts purchased

   $ 803  

Average value of option contracts written

   $ 5,340,856  

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

Derivative Financial Instruments — Offsetting as of Period End

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

 

      Assets      Liabilities  

Derivative Financial Instruments:

     

Options

   $ 1,605 (a)      $ 6,477,238  
  

 

 

    

 

 

 

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

     (1,605      (5,814,712
  

 

 

    

 

 

 

Total derivative assets and liabilities subject to an MNA

   $      $ 662,526  
  

 

 

    

 

 

 

 

  (a) 

Includes options purchased at value which is included in Investments at value – unaffiliated in the Statements of Assets and Liabilities and reported in the Schedule of Investments.

 

 

 

SCHEDULES OF INVESTMENTS      37  


Schedule of Investments  (unaudited) (continued)

June 30, 2018

  

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

 

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

 

Counterparty    Derivative
Liabilities

Subject to
an MNA by
Counterparty
       Derivatives
Available
for Offset
       Non-cash
Collateral

Pledged (a)
       Cash
Collateral
Pledged
       Net Amount
of Derivative
Liabilities
  (b)
 

Barclays Bank PLC

   $ 7,887        $        $        $        $ 7,887  

Citibank N.A.

     297,755                   (297,755                  

Credit Suisse International

     358                                     358  

JPMorgan Chase Bank N.A.

     81,984                                     81,984  

Morgan Stanley & Co. International PLC

     67,486                                     67,486  

UBS AG

     207,056                   (207,056                  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 
   $ 662,526        $        $ (504,811      $        $ 157,715  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

Excess of collateral received from the individual counterparty is not shown for financial reporting purposes.

 
  (b) 

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

 

Fair Value Hierarchy as of Period End

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

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

 

      Level 1        Level 2        Level 3        Total  

Assets:

 

Investments:

 

Long-Term Investments:

 

Common Stocks(a)

   $ 749,987,496        $        $        $ 749,987,496  

Short-Term Securities

     4,630,300                            4,630,300  

Options Purchased:

                 

Equity Contracts

     1,605                            1,605  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 754,619,401        $        $        $ 754,619,401  
  

 

 

      

 

 

      

 

 

      

 

 

 

Derivative Financial Instruments(b)

 

Liabilities:

 

Equity contracts

   $ (4,690,612      $ (1,786,626      $        $ (6,477,238
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

See above Schedule of Investments for values in each industry.

 
  (b) 

Derivative financial instruments are options written, which are shown at value.

 

During the six months ended June 30, 2018, there were no transfers between levels.

See notes to financial statements.

 

 

38    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited)

June 30, 2018

  

BlackRock Enhanced Equity Dividend Trust (BDJ)

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  

Common Stocks — 100.2%

 

Aerospace & Defense — 1.1%  

Lockheed Martin Corp.(a)

    20,920     $ 6,180,396  

Northrop Grumman Corp.(a)

    46,090       14,181,893  
   

 

 

 
    20,362,289  
Banks — 17.8%  

Bank of America Corp.(a)(b)

    2,540,170       71,607,392  

Citigroup, Inc.(a)(b)

    983,479       65,814,415  

JPMorgan Chase & Co.(a)(b)

    696,148       72,538,622  

KeyCorp(a)

    501,280       9,795,011  

SunTrust Banks, Inc.(a)

    293,049       19,347,095  

U.S. Bancorp(a)

    479,743       23,996,745  

Wells Fargo & Co.(a)

    1,033,491       57,296,741  
   

 

 

 
    320,396,021  
Beverages — 2.2%  

Diageo PLC

    507,609       18,236,314  

Dr. Pepper Snapple Group, Inc.(a)

    84,850       10,351,700  

PepsiCo, Inc.(a)

    110,300       12,008,361  
   

 

 

 
    40,596,375  
Capital Markets — 3.4%  

Charles Schwab Corp.(a)

    170,420       8,708,462  

Goldman Sachs Group, Inc.(a)

    106,920       23,583,344  

Morgan Stanley(a)

    621,970       29,481,378  
   

 

 

 
    61,773,184  
Chemicals — 1.2%  

DowDuPont, Inc.(a)

    315,265       20,782,269  
   

 

 

 
Communications Equipment — 1.7%  

Cisco Systems, Inc.(a)

    236,610       10,181,328  

Motorola Solutions, Inc.(a)

    171,600       19,969,092  
   

 

 

 
    30,150,420  
Construction Materials — 0.8%  

CRH PLC

    387,800       13,602,955  
   

 

 

 
Containers & Packaging — 0.4%  

International Paper Co.(a)

    135,700       7,067,256  
   

 

 

 
Diversified Financial Services — 0.3%  

AXA Equitable Holdings, Inc.(a)(c)

    273,200       5,630,652  
   

 

 

 
Diversified Telecommunication Services — 2.9%  

AT&T, Inc.

    37,469       1,203,130  

BCE, Inc.(a)

    122,500       4,960,025  

Verizon Communications, Inc.(a)

    911,410       45,853,037  
   

 

 

 
    52,016,192  
Electric Utilities — 3.8%  

Edison International(a)

    80,393       5,086,465  

FirstEnergy Corp.(a)

    673,530       24,186,462  

NextEra Energy, Inc.(a)

    115,512       19,293,969  

PG&E Corp.(a)

    481,290       20,483,703  
   

 

 

 
    69,050,599  
Electrical Equipment — 0.1%  

nVent Electric PLC(c)

    109,190       2,740,669  
   

 

 

 
Electronic Equipment, Instruments & Components — 0.7%  

CDW Corp.(a)

    161,890       13,079,093  
   

 

 

 
Food & Staples Retailing — 0.7%  

Kroger Co.(a)

    436,290       12,412,451  
   

 

 

 
Food Products — 1.4%  

Danone SA

    58,500       4,271,230  

General Mills, Inc.(a)

    193,760       8,575,817  
Security   Shares     Value  
Food Products (continued)  

Kellogg Co.(a)

    165,540     $ 11,566,280  
   

 

 

 
    24,413,327  
Health Care Equipment & Supplies — 3.1%  

Koninklijke Philips NV

    716,440       30,354,090  

Medtronic PLC(a)

    301,650       25,824,257  
   

 

 

 
    56,178,347  
Health Care Providers & Services — 8.7%  

Aetna, Inc.(a)

    167,946       30,818,091  

Anthem, Inc.(a)

    205,890       49,007,997  

Cardinal Health, Inc.(a)

    169,200       8,262,036  

CVS Health Corp.(a)

    206,260       13,272,831  

Humana, Inc.(a)

    27,590       8,211,612  

McKesson Corp.(a)

    120,390       16,060,026  

Quest Diagnostics, Inc.(a)

    75,810       8,334,551  

UnitedHealth Group, Inc.(a)

    90,460       22,193,456  
   

 

 

 
    156,160,600  
Household Products — 0.9%  

Procter & Gamble Co.(a)

    209,320       16,339,519  
   

 

 

 
Industrial Conglomerates — 3.0%  

3M Co.(a)

    44,990       8,850,433  

General Electric Co.(a)

    1,710,590       23,281,130  

Honeywell International, Inc.(a)

    152,390       21,951,779  
   

 

 

 
    54,083,342  
Insurance — 6.2%  

American International Group, Inc.(a)

    681,330       36,124,116  

Arthur J Gallagher & Co.

    23,433       1,529,706  

Brighthouse Financial, Inc.(a)(c)

    44,511       1,783,556  

Lincoln National Corp.(a)

    46,320       2,883,420  

Marsh & McLennan Cos., Inc.(a)

    183,800       15,066,086  

MetLife, Inc.(a)

    798,253       34,803,831  

Travelers Cos., Inc.(a)

    165,150       20,204,451  
   

 

 

 
    112,395,166  
IT Services — 0.4%  

Cognizant Technology Solutions Corp., Class A(a)

    82,580       6,522,994  
   

 

 

 
Leisure Products — 0.5%  

Mattel, Inc.(a)(d)

    586,956       9,637,818  
   

 

 

 
Machinery — 0.3%  

Pentair PLC(a)

    109,190       4,594,715  
   

 

 

 
Media — 2.1%  

Comcast Corp., Class A(a)

    895,110       29,368,559  

Interpublic Group of Cos., Inc.(a)

    397,970       9,328,417  
   

 

 

 
    38,696,976  
Multi-Utilities — 1.3%  

Public Service Enterprise Group, Inc.(a)

    437,430       23,682,460  
   

 

 

 
Multiline Retail — 0.3%  

Dollar General Corp.(a)

    54,587       5,382,278  
   

 

 

 
Oil, Gas & Consumable Fuels — 13.0%  

Anadarko Petroleum Corp.(a)

    51,700       3,787,025  

BP PLC

    5,057,210       38,477,869  

Chevron Corp.(a)

    118,260       14,951,612  

Devon Energy Corp.(a)

    536,160       23,569,594  

Enterprise Products Partners LP(a)

    758,400       20,984,928  

Hess Corp.(a)

    411,110       27,499,148  

Marathon Oil Corp.(a)

    169,820       3,542,445  

Marathon Petroleum Corp.(a)

    201,459       14,134,364  

ONEOK, Inc.(a)

    138,180       9,649,109  

Royal Dutch Shell PLC — ADR, Class A(a)

    156,710       10,849,033  

Suncor Energy, Inc.(a)

    1,141,580       46,439,474  
 

 

 

SCHEDULES OF INVESTMENTS      39  


Schedule of Investments  (unaudited) (continued)

June 30, 2018

  

BlackRock Enhanced Equity Dividend Trust (BDJ)

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  
Oil, Gas & Consumable Fuels (continued)  

TOTAL SA — ADR(a)

    211,897     $ 12,832,482  

Williams Cos., Inc.(a)

    259,552       7,036,455  
   

 

 

 
    233,753,538  
Personal Products — 0.8%  

Unilever NV — NY Shares(a)

    255,590       14,241,475  
   

 

 

 
Pharmaceuticals — 8.5%  

AstraZeneca PLC

    480,846       33,258,762  

Bayer AG, Registered Shares

    107,845       11,843,916  

Merck & Co., Inc.(a)

    413,570       25,103,699  

Novo Nordisk A/S — ADR(a)

    298,910       13,785,729  

Pfizer, Inc.(a)(b)

    1,911,740       69,357,927  
   

 

 

 
    153,350,033  
Professional Services — 1.3%  

Experian PLC

    530,780       13,093,606  

Nielsen Holdings PLC(a)

    343,020       10,609,609  
   

 

 

 
    23,703,215  
Road & Rail — 0.7%  

Union Pacific Corp.(a)

    83,780       11,869,950  
   

 

 

 
Semiconductors & Semiconductor Equipment — 1.8%  

QUALCOMM, Inc.(a)

    418,240       23,471,629  

Taiwan Semiconductor Manufacturing Co. Ltd. — ADR(a)

    237,560       8,685,193  
   

 

 

 
    32,156,822  
Software — 5.9%  

Constellation Software, Inc.

    14,240       11,043,542  

Microsoft Corp.(a)

    476,210       46,959,068  

Oracle Corp.(a)

    1,118,660       49,288,159  
   

 

 

 
    107,290,769  
Specialty Retail — 0.7%  

Lowe’s Cos., Inc.(a)

    137,050       13,097,869  
   

 

 

 
Technology Hardware, Storage & Peripherals — 0.8%  

Lenovo Group Ltd.

    13,220,000       7,115,799  

Samsung Electronics Co. Ltd. — GDR

    7,819       8,109,582  
   

 

 

 
    15,225,381  
Security   Shares     Value  
Tobacco — 1.4%  

Altria Group, Inc.(a)

    340,020     $ 19,309,736  

Philip Morris International, Inc.(a)

    69,830       5,638,074  
   

 

 

 
    24,947,810  
   

 

 

 

Total Long-Term Investments — 100.2%
(Cost — $1,400,287,297)

 

    1,807,384,829  
   

 

 

 

Short-Term Securities — 0.8%

 

BlackRock Liquidity Funds, T-Fund, Institutional Class, 1.80%(e)(g)

    13,793,172       13,793,172  

SL Liquidity Series, LLC, Money Market Series,
2.16%(e)(f)(g)

    12,294       12,294  
   

 

 

 

Total Short-Term Securities — 0.8%
(Cost — $13,805,466)

 

    13,805,466  
   

 

 

 

Options Purchased — 0.0%
(Cost — $3,195)

 

    3,770  
   

 

 

 

Total Investments Before Options Written — 101.0%
(Cost — $1,414,095,958)

 

    1,821,194,065  
   

 

 

 

Options Written — (0.9)%
(Premiums Received — $17,508,135)

 

    (15,288,978
   

 

 

 

Total Investments, Net of Options Written — 100.1%
(Cost — $1,396,587,823)

 

    1,805,905,087  

Liabilities in Excess of Other Assets — (0.1)%

 

    (1,936,617
   

 

 

 

Net Assets — 100.0%

 

  $ 1,803,968,470  
   

 

 

 

 

(a) 

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

(b) 

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

(c) 

Non-income producing security.

(d) 

Security, or a portion of the security, is on loan.

(e) 

Annualized 7-day yield as of period end.

(f) 

Security was purchased with the cash collateral from loaned securities.

 
(g) 

During the period ended June 30, 2018, investments in issuers considered to be affiliates of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate    Shares
Held at
12/31/17
     Net
Activity
     Shares
Held at
06/30/18
     Value at
06/30/18
     Income      Net
Realized
Gain (Loss)
 (a)
     Change in
Unrealized

Appreciation
(Depreciation)
 

BlackRock Liquidity Funds, T-Fund, Institutional Class

     4,967,189        8,825,983        13,793,172      $ 13,793,172      $ 67,095      $      $  

SL Liquidity Series, LLC, Money Market Series

            12,294        12,294        12,294        7 (b)                
           

 

 

    

 

 

    

 

 

    

 

 

 
   $ 13,805,466      $ 67,102      $      $  
           

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

Includes net capital gain distributions, if applicable.

 
  (b) 

Represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities.

 

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

 

 

40    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

June 30, 2018

  

BlackRock Enhanced Equity Dividend Trust (BDJ)

 

Derivative Financial Instruments Outstanding as of Period End

Exchange-Traded Options Purchased

 

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

Call

                          

General Electric Co.

     754          07/13/18        USD     14.50        USD     1,026        $ 3,770  
                          

 

 

 

Exchange-Traded Options Written

 

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

Call

                          

Bank of America Corp.

     722          07/02/18        USD     31.35        USD     2,035        $  

Pfizer, Inc.

     253          07/02/18        USD     36.25        USD     918          (5,028

General Electric Co.

     992          07/05/18        USD     14.75        USD     1,350          (511

Aetna, Inc.

     131          07/06/18        USD     232.50        USD     3,118          (84,168

Bank of America Corp.

     2,146          07/06/18        USD     30.50        USD     6,050          (3,219

CVS Health Corp.

     279          07/06/18        USD     66.00        USD     1,795          (8,509

Charles Schwab Corp.

     205          07/06/18        USD     59.00        USD     1,048          (1,025

Citigroup, Inc.

     351          07/06/18        USD     69.50        USD     2,349          (4,036

Comcast Corp., Class A

     224          07/06/18        USD     32.00        USD     735          (21,840

Devon Energy Corp.

     64          07/06/18        USD     43.50        USD     281          (6,656

Devon Energy Corp.

     72          07/06/18        USD     41.00        USD     317          (22,140

DowDuPont, Inc.

     56          07/06/18        USD     67.50        USD     369          (1,064

General Electric Co.

     177          07/06/18        USD     15.25        USD     241          (25

General Electric Co.

     339          07/06/18        USD     14.50        USD     461          (678

Goldman Sachs Group, Inc.

     162          07/06/18        USD     235.00        USD     3,573          (1,053

Hess Corp.

     655          07/06/18        USD     62.00        USD     4,381          (324,225

Honeywell International, Inc.

     113          07/06/18        USD     152.50        USD     1,628          (452

Humana, Inc.

     27          07/06/18        USD     297.50        USD     804          (9,112

Marathon Oil Corp.

     181          07/06/18        USD     82.00        USD     1,270          (5,792

McKesson Corp.

     108          07/06/18        USD     146.00        USD     1,441          (1,620

MetLife, Inc.

     570          07/06/18        USD     48.00        USD     2,485          (6,270

Microsoft Corp.

     492          07/06/18        USD     101.00        USD     4,852          (11,070

Morgan Stanley

     206          07/06/18        USD     54.00        USD     976          (1,648

Morgan Stanley

     136          07/06/18        USD     52.00        USD     645          (816

Oracle Corp.

     475          07/06/18        USD     48.00        USD     2,093          (950

Pfizer, Inc.

     514          07/06/18        USD     36.00        USD     1,865          (22,873

Pfizer, Inc.

     470          07/06/18        USD     36.50        USD     1,705          (6,110

Pfizer, Inc.

     176          07/06/18        USD     37.00        USD     639          (792

QUALCOMM, Inc.

     440          07/06/18        USD     60.00        USD     2,469          (3,740

QUALCOMM, Inc.

     605          07/06/18        USD     62.00        USD     3,395          (4,840

Suncor Energy, Inc.

     215          07/06/18        USD     40.00        USD     875          (20,102

U.S. Bancorp

     338          07/06/18        USD     52.50        USD     1,691          (676

U.S. Bancorp

     69          07/06/18        USD     53.00        USD     345          (690

Union Pacific Corp.

     188          07/06/18        USD     147.00        USD     2,664          (1,786

Verizon Communications, Inc.

     495          07/06/18        USD     49.00        USD     2,490          (72,270

Wells Fargo & Co.

     470          07/06/18        USD     55.50        USD     2,606          (28,905

Wells Fargo & Co.

     873          07/06/18        USD     55.00        USD     4,840          (79,007

Williams Cos., Inc.

     224          07/06/18        USD     27.50        USD     607          (2,800

BCE, Inc.

     251          07/09/18        USD     42.45        USD     1,016          (264

Interpublic Group of Cos., Inc.

     450          07/09/18        USD     23.20        USD     1,055          (25,440

Novo Nordisk A/S — ADR

     451          07/09/18        USD     50.00        USD     2,080          (168

Suncor Energy, Inc.

     366          07/09/18        USD     38.40        USD     1,489          (87,819

Pentair PLC

     545          07/10/18        USD     46.51        USD     2,293          (96

FirstEnergy Corp.

     368          07/11/18        USD     34.01        USD     1,321          (72,964

Altria Group, Inc.

     253          07/13/18        USD     57.50        USD     1,437          (14,041

American International Group, Inc.

     719          07/13/18        USD     54.00        USD     3,812          (26,603

Anthem, Inc.

     217          07/13/18        USD     235.00        USD     5,165          (124,233

Bank of America Corp.

     987          07/13/18        USD     30.50        USD     2,782          (4,441

Bank of America Corp.

     484          07/13/18        USD     31.00        USD     1,364          (1,694

Cisco Systems, Inc.

     108          07/13/18        USD     45.00        USD     465          (648

Citigroup, Inc.

     186          07/13/18        USD     70.50        USD     1,245          (5,301

Dollar General Corp.

     354          07/13/18        USD     97.50        USD     3,490          (79,650

 

 

SCHEDULES OF INVESTMENTS      41  


Schedule of Investments  (unaudited) (continued)

June 30, 2018

  

BlackRock Enhanced Equity Dividend Trust (BDJ)

 

Exchange-Traded Options Written (continued)

 

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

Call (continued)

                          

DowDuPont, Inc.

     220          07/13/18        USD     67.00        USD     1,450        $ (15,290

DowDuPont, Inc.

     136          07/13/18        USD     69.00        USD     897          (2,516

FirstEnergy Corp.

     239          07/13/18        USD     34.50        USD     858          (37,985

Goldman Sachs Group, Inc.

     93          07/13/18        USD     237.50        USD     2,051          (1,953

JPMorgan Chase & Co.

     679          07/13/18        USD     111.00        USD     7,075          (13,580

KeyCorp

     270          07/13/18        USD     20.50        USD     528          (2,160

Kroger Co.

     823          07/13/18        USD     25.00        USD     2,341          (288,050

Marathon Petroleum Corp.

     136          07/13/18        USD     78.00        USD     954          (1,020

McKesson Corp.

     65          07/13/18        USD     148.00        USD     867          (975

Medtronic PLC

     146          07/13/18        USD     88.50        USD     1,250          (1,606

Microsoft Corp.

     201          07/13/18        USD     103.00        USD     1,982          (4,824

Microsoft Corp.

     369          07/13/18        USD     102.00        USD     3,639          (14,760

Morgan Stanley

     225          07/13/18        USD     53.00        USD     1,067          (900

Morgan Stanley

     257          07/13/18        USD     54.00        USD     1,218          (5,654

ONEOK, Inc.

     138          07/13/18        USD     69.50        USD     964          (18,285

Oracle Corp.

     141          07/13/18        USD     49.00        USD     621          (282

Oracle Corp.

     961          07/13/18        USD     48.00        USD     4,234          (3,844

PG&E Corp.

     1,334          07/13/18        USD     42.50        USD     5,678          (323,495

PepsiCo, Inc.

     191          07/13/18        USD     102.00        USD     2,079          (137,520

Pfizer, Inc.

     704          07/13/18        USD     36.50        USD     2,554          (20,064

Pfizer, Inc.

     176          07/13/18        USD     37.00        USD     639          (1,936

Procter & Gamble Co.

     226          07/13/18        USD     74.00        USD     1,764          (97,745

SunTrust Banks, Inc.

     466          07/13/18        USD     70.00        USD     3,077          (6,966

U.S. Bancorp

     640          07/13/18        USD     50.50        USD     3,201          (31,040

U.S. Bancorp

     69          07/13/18        USD     52.50        USD     345          (379

U.S. Bancorp

     189          07/13/18        USD     51.00        USD     945          (5,575

U.S. Bancorp

     94          07/13/18        USD     51.50        USD     470          (1,598

Wells Fargo & Co.

     539          07/13/18        USD     56.50        USD     2,988          (36,113

Williams Cos., Inc.

     224          07/13/18        USD     27.00        USD     607          (11,312

SunTrust Banks, Inc.

     118          07/18/18        USD     70.50        USD     779          (2,287

Wells Fargo & Co.

     873          07/19/18        USD     56.25        USD     4,840          (83,303

3M Co.

     105          07/20/18        USD     200.00        USD     2,066          (23,258

AXA Equitable Holdings, Inc.

     437          07/20/18        USD     22.50        USD     901          (4,370

Aetna, Inc.

     218          07/20/18        USD     180.00        USD     4,000          (116,085

Aetna, Inc.

     415          07/20/18        USD     195.00        USD     7,615          (25,730

Altria Group, Inc.

     391          07/20/18        USD     57.50        USD     2,220          (32,062

Anadarko Petroleum Corp.

     129          07/20/18        USD     72.50        USD     945          (31,476

Anthem, Inc.

     144          07/20/18        USD     240.00        USD     3,428          (57,600

Anthem, Inc.

     262          07/20/18        USD     245.00        USD     6,236          (55,675

Bank of America Corp.

     1,190          07/20/18        USD     32.00        USD     3,355          (5,355

Bank of America Corp.

     822          07/20/18        USD     31.00        USD     2,317          (5,343

Brighthouse Financial, Inc.

     155          07/20/18        USD     50.00        USD     621          (1,550

CDW Corp.

     445          07/20/18        USD     80.00        USD     3,595          (109,025

CVS Health Corp.

     349          07/20/18        USD     72.50        USD     2,246          (5,060

Charles Schwab Corp.

     205          07/20/18        USD     60.00        USD     1,048          (1,025

Chevron Corp.

     425          07/20/18        USD     130.00        USD     5,373          (40,588

Cisco Systems, Inc.

     404          07/20/18        USD     45.00        USD     1,738          (5,656

Cisco Systems, Inc.

     336          07/20/18        USD     44.00        USD     1,446          (11,256

Citigroup, Inc.

     757          07/20/18        USD     72.50        USD     5,066          (12,490

Cognizant Technology Solutions Corp., Class A

     103          07/20/18        USD     77.50        USD     814          (25,235

Cognizant Technology Solutions Corp., Class A

     103          07/20/18        USD     80.00        USD     814          (10,300

Comcast Corp., Class A

     254          07/20/18        USD     33.01        USD     833          (22,436

Comcast Corp., Class A

     568          07/20/18        USD     32.50        USD     1,864          (63,332

Devon Energy Corp.

     182          07/20/18        USD     38.00        USD     800          (112,385

Devon Energy Corp.

     153          07/20/18        USD     44.00        USD     673          (22,874

Devon Energy Corp.

     99          07/20/18        USD     46.00        USD     435          (6,831

DowDuPont, Inc.

     244          07/20/18        USD     70.00        USD     1,608          (4,758

DowDuPont, Inc.

     108          07/20/18        USD     67.50        USD     712          (8,424

Enterprise Products Partners LP

     1,264          07/20/18        USD     29.00        USD     3,497          (12,640

FirstEnergy Corp.

     311          07/20/18        USD     35.00        USD     1,117          (38,098

General Electric Co.

     244          07/20/18        USD     15.00        USD     332          (1,586

General Electric Co.

     120          07/20/18        USD     13.50        USD     163          (6,000

 

 

42    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

June 30, 2018

  

BlackRock Enhanced Equity Dividend Trust (BDJ)

 

Exchange-Traded Options Written (continued)

 

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

Call (continued)

                          

General Mills, Inc.

     301          07/20/18        USD     45.00        USD     1,332        $ (14,147

General Mills, Inc.

     667          07/20/18        USD     47.50        USD     2,952          (6,336

Goldman Sachs Group, Inc.

     279          07/20/18        USD     240.00        USD     6,154          (14,508

Hess Corp.

     485          07/20/18        USD     65.00        USD     3,244          (155,200

Honeywell International, Inc.

     75          07/20/18        USD     149.00        USD     1,080          (7,275

International Paper Co.

     176          07/20/18        USD     57.50        USD     917          (1,056

Interpublic Group of Cos., Inc.

     770          07/20/18        USD     24.00        USD     1,805          (28,875

JPMorgan Chase & Co.

     516          07/20/18        USD     113.85        USD     5,377          (5,310

JPMorgan Chase & Co.

     218          07/20/18        USD     110.00        USD     2,272          (11,336

Kellogg Co.

     349          07/20/18        USD     65.00        USD     2,438          (184,970

KeyCorp

     387          07/20/18        USD     21.00        USD     756          (3,483

Kroger Co.

     1,005          07/20/18        USD     26.00        USD     2,859          (260,798

Lincoln National Corp.

     116          07/20/18        USD     72.50        USD     722          (812

Lincoln National Corp.

     115          07/20/18        USD     67.50        USD     716          (1,610

Lowe’s Cos., Inc.

     46          07/20/18        USD     86.20        USD     440          (47,008

Marathon Oil Corp.

     419          07/20/18        USD     77.50        USD     2,940          (7,961

Marathon Oil Corp.

     269          07/20/18        USD     22.00        USD     561          (9,280

Marsh & McLennan Cos., Inc.

     596          07/20/18        USD     83.50        USD     4,885          (30,611

Mattel, Inc.

     144          07/20/18        USD     16.00        USD     236          (12,600

Medtronic PLC

     138          07/20/18        USD     87.50        USD     1,181          (6,141

Medtronic PLC

     147          07/20/18        USD     90.00        USD     1,258          (1,323

Merck & Co., Inc.

     339          07/20/18        USD     60.00        USD     2,058          (51,698

Merck & Co., Inc.

     537          07/20/18        USD     62.50        USD     3,260          (20,675

MetLife, Inc.

     248          07/20/18        USD     50.00        USD     1,081          (3,720

Microsoft Corp.

     238          07/20/18        USD     100.00        USD     2,347          (48,076

Morgan Stanley

     284          07/20/18        USD     53.15        USD     1,346          (2,317

Motorola Solutions, Inc.

     214          07/20/18        USD     110.00        USD     2,490          (150,335

Motorola Solutions, Inc.

     429          07/20/18        USD     115.00        USD     4,992          (126,555

NextEra Energy, Inc.

     247          07/20/18        USD     166.25        USD     4,126          (71,079

NextEra Energy, Inc.

     83          07/20/18        USD     165.00        USD     1,386          (29,880

Nielsen Holdings PLC

     570          07/20/18        USD     32.00        USD     1,763          (12,825

Northrop Grumman Corp.

     73          07/20/18        USD     340.00        USD     2,246          (1,460

Novo Nordisk A/S — ADR

     352          07/20/18        USD     48.90        USD     1,623          (6,655

ONEOK, Inc.

     138          07/20/18        USD     70.00        USD     964          (17,940

Oracle Corp.

     818          07/20/18        USD     48.00        USD     3,604          (2,454

Pepsico, Inc.

     112          07/20/18        USD     102.95        USD     1,219          (69,128

Pfizer, Inc.

     821          07/20/18        USD     36.00        USD     2,979          (56,239

Pfizer, Inc.

     894          07/20/18        USD     35.00        USD     3,243          (132,312

Pfizer, Inc.

     736          07/20/18        USD     37.00        USD     2,670          (14,352

Philip Morris International, Inc.

     349          07/20/18        USD     85.00        USD     2,818          (22,685

Procter & Gamble Co.

     220          07/20/18        USD     76.00        USD     1,717          (55,000

QUALCOMM, Inc.

     605          07/20/18        USD     62.50        USD     3,395          (11,495

Quest Diagnostics, Inc.

     216          07/20/18        USD     106.90        USD     2,375          (81,583

SunTrust Banks, Inc.

     235          07/20/18        USD     70.00        USD     1,551          (6,815

Suncor Energy, Inc.

     534          07/20/18        USD     40.00        USD     2,172          (73,158

TOTAL SA — ADR

     530          07/20/18        USD     62.50        USD     3,210          (18,550

Taiwan Semiconductor Manufacturing Co. Ltd. — ADR

     1,030          07/20/18        USD     41.00        USD     3,766          (10,300

Travelers Cos., Inc.

     272          07/20/18        USD     135.00        USD     3,328          (2,720

Travelers Cos., Inc.

     276          07/20/18        USD     130.00        USD     3,377          (11,730

U.S. Bancorp

     189          07/20/18        USD     51.50        USD     945          (6,993

Unilever NV — NY Shares

     639          07/20/18        USD     57.50        USD     3,561          (19,170

Union Pacific Corp.

     120          07/20/18        USD     150.00        USD     1,700          (7,500

Verizon Communications, Inc.

     477          07/20/18        USD     50.00        USD     2,400          (38,160

Wells Fargo & Co.

     540          07/20/18        USD     55.00        USD     2,994          (85,320

Williams Cos., Inc.

     369          07/20/18        USD     28.00        USD     1,000          (7,933

FirstEnergy Corp.

     238          07/24/18        USD     34.75        USD     855          (37,581

Public Service Enterprise Group, Inc.

     514          07/24/18        USD     52.01        USD     2,783          (119,901

CDW Corp.

     366          07/25/18        USD     79.65        USD     2,957          (105,402

Nextera Energy, Inc.

     247          07/25/18        USD     156.00        USD     4,126          (280,248

Aetna, Inc.

     150          07/27/18        USD     185.00        USD     2,753          (41,625

American International Group, Inc.

     289          07/27/18        USD     56.00        USD     1,532          (5,057

Anthem, Inc.

     131          07/27/18        USD     235.00        USD     3,118          (108,730

 

 

SCHEDULES OF INVESTMENTS      43  


Schedule of Investments  (unaudited) (continued)

June 30, 2018

  

BlackRock Enhanced Equity Dividend Trust (BDJ)

 

Exchange-Traded Options Written (continued)

 

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

Call (continued)

                          

Bank of America Corp.

     823          07/27/18        USD     31.00        USD     2,320        $ (7,818

Cardinal Health, Inc.

     303          07/27/18        USD     55.00        USD     1,480          (6,817

Charles Schwab Corp.

     196          07/27/18        USD     58.00        USD     1,002          (1,960

Chevron Corp.

     177          07/27/18        USD     127.00        USD     2,238          (49,560

Cisco Systems, Inc.

     215          07/27/18        USD     45.00        USD     925          (4,515

Citigroup, Inc.

     538          07/27/18        USD     70.00        USD     3,600          (37,391

Citigroup, Inc.

     139          07/27/18        USD     67.50        USD     930          (22,171

Comcast Corp., Class A

     241          07/27/18        USD     33.00        USD     791          (27,836

Devon Energy Corp.

     455          07/27/18        USD     44.00        USD     2,000          (79,625

Devon Energy Corp.

     99          07/27/18        USD     45.50        USD     435          (10,741

Devon Energy Corp.

     353          07/27/18        USD     45.00        USD     1,552          (45,361

DowDuPont, Inc.

     144          07/27/18        USD     72.00        USD     949          (1,656

DowDuPont, Inc.

     204          07/27/18        USD     67.50        USD     1,345          (20,298

DowDuPont, Inc.

     51          07/27/18        USD     66.50        USD     336          (7,344

Enterprise Products Partners LP

     1,264          07/27/18        USD     29.00        USD     3,497          (15,800

General Electric Co.

     1,316          07/27/18        USD     14.50        USD     1,791          (22,372

General Electric Co.

     122          07/27/18        USD     14.00        USD     166          (3,904

Honeywell International, Inc.

     460          07/27/18        USD     152.50        USD     6,626          (22,540

International Paper Co.

     149          07/27/18        USD     59.00        USD     776          (1,341

JPMorgan Chase & Co.

     473          07/27/18        USD     112.00        USD     4,929          (19,156

KeyCorp

     855          07/27/18        USD     21.50        USD     1,671          (11,970

Lockheed Martin Corp.

     52          07/27/18        USD     310.00        USD     1,536          (15,470

Lowe’s Cos., Inc.

     150          07/27/18        USD     101.00        USD     1,434          (7,200

Marathon Oil Corp.

     269          07/27/18        USD     22.00        USD     561          (12,643

Marsh & McLennan Cos., Inc.

     598          07/27/18        USD     82.60        USD     4,902          (57,753

Mattel, Inc.

     1,479          07/27/18        USD     19.00        USD     2,429          (162,690

Medtronic PLC

     170          07/27/18        USD     86.50        USD     1,455          (16,830

Merck & Co., Inc.

     537          07/27/18        USD     63.50        USD     3,260          (25,239

MetLife, Inc.

     1,274          07/27/18        USD     48.00        USD     5,555          (14,014

Microsoft Corp.

     201          07/27/18        USD     103.00        USD     1,982          (22,713

Microsoft Corp.

     180          07/27/18        USD     101.00        USD     1,775          (32,850

Morgan Stanley

     731          07/27/18        USD     53.00        USD     3,465          (8,772

Motorola Solutions, Inc.

     215          07/27/18        USD     112.00        USD     2,502          (123,124

ONEOK, Inc.

     276          07/27/18        USD     70.00        USD     1,927          (42,780

Oracle Corp.

     278          07/27/18        USD     49.00        USD     1,225          (1,390

PepsiCo, Inc.

     248          07/27/18        USD     106.00        USD     2,700          (101,680

Pfizer, Inc.

     1,535          07/27/18        USD     37.00        USD     5,569          (41,445

Pfizer, Inc.

     299          07/27/18        USD     36.50        USD     1,085          (14,501

Royal Dutch Shell PLC — ADR, Class A

     783          07/27/18        USD     71.00        USD     5,421          (62,640

Suncor Energy, Inc.

     2,098          07/27/18        USD     40.00        USD     8,535          (339,876

U.S. Bancorp

     241          07/27/18        USD     52.00        USD     1,205          (7,953

Union Pacific Corp.

     126          07/27/18        USD     146.00        USD     1,785          (24,759

UnitedHealth Group, Inc.

     173          07/27/18        USD     255.00        USD     4,244          (42,472

Verizon Communications, Inc.

     157          07/27/18        USD     50.00        USD     790          (16,720

Verizon Communications, Inc.

     675          07/27/18        USD     49.00        USD     3,396          (113,738

Wells Fargo & Co.

     245          07/27/18        USD     56.50        USD     1,358          (24,255

Williams Cos., Inc.

     251          07/27/18        USD     28.00        USD     680          (7,279

Pfizer, Inc.

     295          07/30/18        USD     36.75        USD     1,070          (12,902

Pfizer, Inc.

     591          07/30/18        USD     36.50        USD     2,144          (28,692

Travelers Cos., Inc.

     277          07/30/18        USD     133.00        USD     3,389          (10,994

Bank of America Corp.

     244          07/31/18        USD     30.25        USD     688          (5,115

Cisco Systems, Inc.

     337          07/31/18        USD     44.60        USD     1,450          (11,393

FirstEnergy Corp.

     366          07/31/18        USD     34.75        USD     1,314          (61,595

Kellogg Co.

     362          07/31/18        USD     67.00        USD     2,529          (150,416

Altria Group, Inc.

     423          08/03/18        USD     58.50        USD     2,402          (39,339

Anthem, Inc.

     144          08/03/18        USD     242.50        USD     3,428          (74,520

Bank of America Corp.

     912          08/03/18        USD     30.00        USD     2,571          (23,256

Bank of America Corp.

     274          08/03/18        USD     29.00        USD     772          (15,344

Citigroup, Inc.

     1,162          08/03/18        USD     68.50        USD     7,776          (165,585

Comcast Corp., Class A

     254          08/03/18        USD     34.00        USD     833          (21,336

Devon Energy Corp.

     507          08/03/18        USD     43.50        USD     2,229          (127,257

General Electric Co.

     461          08/03/18        USD     13.50        USD     627          (27,660

 

 

44    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

June 30, 2018

  

BlackRock Enhanced Equity Dividend Trust (BDJ)

 

Exchange-Traded Options Written (continued)

 

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

Call (continued)

                          

General Electric Co.

     663          08/03/18        USD     15.00        USD     902        $ (7,624

International Paper Co.

     176          08/03/18        USD     54.50        USD     917          (14,256

JPMorgan Chase & Co.

     305          08/03/18        USD     110.00        USD     3,178          (26,535

JPMorgan Chase & Co.

     217          08/03/18        USD     111.00        USD     2,261          (14,864

Lowe’s Cos., Inc.

     139          08/03/18        USD     99.00        USD     1,328          (15,637

Medtronic PLC

     361          08/03/18        USD     86.50        USD     3,091          (43,140

Microsoft Corp.

     360          08/03/18        USD     102.00        USD     3,550          (59,940

Morgan Stanley

     161          08/03/18        USD     52.00        USD     763          (4,186

Northrop Grumman Corp.

     73          08/03/18        USD     317.50        USD     2,246          (43,070

Oracle Corp.

     493          08/03/18        USD     44.00        USD     2,172          (50,286

Pfizer, Inc.

     751          08/03/18        USD     36.50        USD     2,725          (45,436

Procter & Gamble Co.

     190          08/03/18        USD     78.50        USD     1,483          (26,125

Suncor Energy, Inc.

     727          08/03/18        USD     41.00        USD     2,957          (88,331

Verizon Communications, Inc.

     1,181          08/03/18        USD     50.00        USD     5,942          (137,587

Wells Fargo & Co.

     572          08/03/18        USD     55.00        USD     3,171          (103,246

Novo Nordisk A/S — ADR

     339          08/06/18        USD     45.01        USD     1,563          (66,474

SunTrust Banks, Inc.

     528          08/06/18        USD     68.30        USD     3,486          (57,480

UnitedHealth Group, Inc.

     140          08/09/18        USD     255.00        USD     3,435          (50,622

American International Group, Inc.

     145          08/10/18        USD     55.00        USD     769          (12,832

Anadarko Petroleum Corp.

     129          08/10/18        USD     76.50        USD     945          (24,188

Bank of America Corp.

     989          08/10/18        USD     30.10        USD     2,788          (29,699

Bank of America Corp.

     1,142          08/10/18        USD     29.01        USD     3,219          (69,751

CVS Health Corp.

     283          08/10/18        USD     66.50        USD     1,821          (47,120

Comcast Corp., Class A

     587          08/10/18        USD     33.50        USD     1,926          (68,092

Devon Energy Corp.

     353          08/10/18        USD     46.00        USD     1,552          (54,892

DowDuPont, Inc.

     260          08/10/18        USD     66.00        USD     1,714          (60,450

FirstEnergy Corp.

     367          08/10/18        USD     33.75        USD     1,318          (86,915

General Electric Co.

     265          08/10/18        USD     14.00        USD     361          (10,865

Hess Corp.

     915          08/10/18        USD     70.50        USD     6,120          (161,955

JPMorgan Chase & Co.

     386          08/10/18        USD     108.25        USD     4,022          (59,311

Mattel, Inc.

     287          08/10/18        USD     17.00        USD     471          (25,113

McKesson Corp.

     124          08/10/18        USD     138.00        USD     1,654          (47,120

Medtronic PLC

     361          08/10/18        USD     87.00        USD     3,091          (42,598

MetLife, Inc.

     1,448          08/10/18        USD     44.00        USD     6,313          (187,516

Microsoft Corp.

     181          08/10/18        USD     102.00        USD     1,785          (33,847

Morgan Stanley

     806          08/10/18        USD     50.00        USD     3,820          (55,614

Oracle Corp.

     1,550          08/10/18        USD     45.10        USD     6,829          (100,682

PG&E Corp.

     350          08/10/18        USD     44.00        USD     1,490          (91,000

Pfizer, Inc.

     592          08/10/18        USD     36.50        USD     2,148          (38,480

QUALCOMM, Inc.

     441          08/10/18        USD     58.00        USD     2,475          (78,498

U.S. Bancorp

     1,006          08/10/18        USD     50.00        USD     5,032          (137,319

Union Pacific Corp.

     110          08/10/18        USD     142.00        USD     1,558          (47,300

Verizon Communications, Inc.

     620          08/10/18        USD     52.00        USD     3,119          (31,620

Wells Fargo & Co.

     483          08/10/18        USD     58.00        USD     2,678          (31,154

3M Co.

     119          08/17/18        USD     210.00        USD     2,341          (21,658

AXA Equitable Holdings, Inc.

     465          08/17/18        USD     22.50        USD     958          (11,625

Altria Group, Inc.

     633          08/17/18        USD     59.20        USD     3,595          (65,290

American International Group, Inc.

     1,231          08/17/18        USD     57.50        USD     6,527          (32,622

Bank of America Corp.

     823          08/17/18        USD     31.00        USD     2,320          (16,048

Bank of America Corp.

     1,142          08/17/18        USD     29.00        USD     3,219          (78,227

CVS Health Corp.

     120          08/17/18        USD     72.50        USD     772          (5,580

Cardinal Health, Inc.

     289          08/17/18        USD     55.00        USD     1,411          (17,340

Charles Schwab Corp.

     32          08/17/18        USD     55.00        USD     164          (2,160

Chevron Corp.

     166          08/17/18        USD     130.00        USD     2,099          (38,595

Cisco Systems, Inc.

     137          08/17/18        USD     44.00        USD     590          (14,248

Citigroup, Inc.

     309          08/17/18        USD     67.50        USD     2,068          (61,800

Cognizant Technology Solutions Corp., Class A

     206          08/17/18        USD     80.00        USD     1,627          (48,410

Comcast Corp., Class A

     1,004          08/17/18        USD     35.00        USD     3,294          (69,778

Devon Energy Corp.

     244          08/17/18        USD     42.00        USD     1,073          (90,890

Devon Energy Corp.

     99          08/17/18        USD     46.00        USD     435          (16,978

DowDuPont, Inc.

     51          08/17/18        USD     70.00        USD     336          (4,437

DowDuPont, Inc.

     102          08/17/18        USD     67.50        USD     672          (17,697

 

 

SCHEDULES OF INVESTMENTS      45  


Schedule of Investments  (unaudited) (continued)

June 30, 2018

  

BlackRock Enhanced Equity Dividend Trust (BDJ)

 

Exchange-Traded Options Written (continued)

 

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

Call (continued)

                          

Dr. Pepper Snapple Group, Inc.

     424          08/17/18        USD     120.00        USD     5,173        $ (125,080

Enterprise Products Partners LP

     1,264          08/17/18        USD     29.00        USD     3,497          (25,280

FirstEnergy Corp.

     468          08/17/18        USD     36.00        USD     1,681          (43,290

General Electric Co.

     406          08/17/18        USD     15.00        USD     553          (6,699

Honeywell International, Inc.

     113          08/17/18        USD     148.75        USD     1,628          (21,857

Humana, Inc.

     41          08/17/18        USD     300.00        USD     1,220          (38,335

Humana, Inc.

     69          08/17/18        USD     305.00        USD     2,054          (48,645

International Paper Co.

     177          08/17/18        USD     55.00        USD     922          (14,425

Interpublic Group of Cos., Inc.

     769          08/17/18        USD     24.00        USD     1,803          (61,520

JPMorgan Chase & Co.

     686          08/17/18        USD     115.00        USD     7,148          (32,928

Kellogg Co.

     116          08/17/18        USD     68.75        USD     810          (38,802

KeyCorp

     994          08/17/18        USD     20.45        USD     1,942          (36,752

Kroger Co.

     353          08/17/18        USD     30.00        USD     1,004          (16,414

Lockheed Martin Corp.

     52          08/17/18        USD     315.00        USD     1,536          (17,420

Lowe’s Cos., Inc.

     144          08/17/18        USD     97.50        USD     1,376          (30,528

Marathon Oil Corp.

     42          08/17/18        USD     22.00        USD     88          (3,381

Marathon Oil Corp.

     269          08/17/18        USD     23.00        USD     561          (13,853

Marathon Petroleum Corp.

     271          08/17/18        USD     72.50        USD     1,901          (59,620

Mattel, Inc.

     144          08/17/18        USD     18.00        USD     236          (8,280

McKesson Corp.

     124          08/17/18        USD     140.00        USD     1,654          (38,750

Medtronic PLC

     186          08/17/18        USD     87.50        USD     1,592          (21,111

Merck & Co., Inc.

     335          08/17/18        USD     62.50        USD     2,033          (38,358

Merck & Co., Inc.

     537          08/17/18        USD     65.00        USD     3,260          (24,434

MetLife, Inc.

     451          08/17/18        USD     47.50        USD     1,966          (12,177

Microsoft Corp.

     159          08/17/18        USD     105.00        USD     1,568          (17,808

Morgan Stanley

     303          08/17/18        USD     51.75        USD     1,436          (12,875

Northrop Grumman Corp.

     84          08/17/18        USD     335.00        USD     2,585          (20,370

ONEOK, Inc.

     138          08/17/18        USD     70.00        USD     964          (27,255

Oracle Corp.

     877          08/17/18        USD     44.00        USD     3,864          (110,064

Pfizer, Inc.

     751          08/17/18        USD     37.00        USD     2,725          (34,546

Procter & Gamble Co.

     410          08/17/18        USD     77.50        USD     3,200          (87,535

Quest Diagnostics, Inc.

     216          08/17/18        USD     106.90        USD     2,375          (107,635

SunTrust Banks, Inc.

     118          08/17/18        USD     72.50        USD     779          (4,248

Suncor Energy, Inc.

     534          08/17/18        USD     41.00        USD     2,172          (77,430

TOTAL SA — ADR

     530          08/17/18        USD     62.50        USD     3,210          (51,675

Taiwan Semiconductor Manufacturing Co. Ltd. — ADR

     514          08/17/18        USD     39.50        USD     1,879          (20,770

U.S. Bancorp

     283          08/17/18        USD     52.50        USD     1,416          (13,301

Unilever NV — NY Shares

     638          08/17/18        USD     55.00        USD     3,555          (108,460

Verizon Communications, Inc.

     952          08/17/18        USD     49.00        USD     4,790          (187,068

Wells Fargo & Co.

     572          08/17/18        USD     55.00        USD     3,171          (113,828

Williams Cos., Inc.

     251          08/17/18        USD     28.00        USD     680          (13,303

UnitedHealth Group, Inc.

     140          08/20/18        USD     255.00        USD     3,435          (62,596

Public Service Enterprise Group, Inc.

     421          08/22/18        USD     54.05        USD     2,279          (65,209

Edison International

     281          08/27/18        USD     63.25        USD     1,778          (59,496
                          

 

 

 
                           $ (13,659,306
                          

 

 

 

OTC Options Written

 

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

Call

 

Suncor Energy, Inc.

   Citibank N.A.      123,300        07/09/18      USD     38.95      USD     5,016      $ (231,820

BP PLC

   Goldman Sachs International      88,400        07/10/18      GBP     5.83      GBP     510        (6,593

Bayer AG, Registered Shares

   Credit Suisse International      19,917        07/10/18      EUR     102.39      EUR     1,873        (572

Constellation Software, Inc.

   Citibank N.A.      7,700        07/10/18      CAD     981.42      CAD     7,850        (240,823

Diageo PLC

   Goldman Sachs International      28,400        07/10/18      GBP     26.86      GBP     773        (22,641

AstraZeneca PLC

   Morgan Stanley & Co. International PLC      99,800        07/11/18      GBP     54.55      GBP     5,231        (14,525

CRH PLC

   UBS AG      72,500        07/11/18      GBP     28.27      GBP     1,927        (911

Experian PLC

   Credit Suisse International      121,000        07/11/18      GBP     19.04      GBP     2,261        (20,653

Koninklijke Philips N.V.

   Morgan Stanley & Co. International PLC      222,400        07/12/18      EUR     37.12      EUR     8,069        (62,386

Lenovo Group Ltd.

   UBS AG      3,306,000        07/12/18      HKD     3.96      HKD     13,951        (111,388

 

 

46    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

June 30, 2018

  

BlackRock Enhanced Equity Dividend Trust (BDJ)

 

OTC Options Written (continued)

 

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

Call (continued)

                     

Public Service Enterprise Group, Inc.

   Bank of America N.A.      125,200        07/16/18        USD       53.44        USD       6,778      $ (137,595

BCE, Inc.

   Barclays Bank PLC      36,100        07/17/18        USD       41.90        USD       1,462        (3,955

AstraZeneca PLC

   Goldman Sachs International      33,000        07/18/18        GBP       54.00        GBP       1,730        (14,138

CRH PLC

   Morgan Stanley & Co. International PLC      25,500        07/18/18        GBP       28.61        GBP       678        (577

Danone SA

   Credit Suisse International      29,300        07/18/18        EUR       65.87        EUR       1,832        (2,155

Diageo PLC

   Goldman Sachs International      56,350        07/18/18        GBP       27.45        GBP       1,534        (27,917

Experian PLC

   Goldman Sachs International      181,000        07/18/18        GBP       19.09        GBP       3,383        (40,311

Diageo PLC

   Goldman Sachs International      44,600        07/25/18        GBP       27.90        GBP       1,214        (14,539

BP PLC

   Citibank N.A.      1,175,000        07/26/18        GBP       5.96        GBP       6,780        (81,367

CRH PLC

   Citibank N.A.      36,000        07/26/18        GBP       29.14        GBP       957        (637

Koninklijke Philips N.V.

   Goldman Sachs International      135,800        07/26/18        EUR       37.04        EUR       4,927        (74,385

Novo Nordisk A/S — ADR

   Barclays Bank PLC      35,200        07/26/18        USD       45.41        USD       1,623        (53,392

BP PLC

   Barclays Bank PLC      1,176,000        07/27/18        GBP       5.86        GBP       6,786        (147,117

Bayer AG, Registered Shares

   UBS AG      30,500        07/27/18        EUR       103.22        EUR       2,868        (7,642

TOTAL SA — ADR

   Barclays Bank PLC      31,700        07/31/18        USD       61.39        USD       1,920        (35,273

Samsung Electronics Co. Ltd. — GDR

   UBS AG      5,000        08/02/18        USD       1,158.42        USD       5,186        (34,431

AstraZeneca PLC

   Goldman Sachs International      35,500        08/08/18        GBP       52.35        GBP       1,861        (64,406

BP PLC

   Goldman Sachs International      89,200        08/08/18        GBP       5.85        GBP       515        (15,777

Diageo PLC

   Morgan Stanley & Co. International PLC      124,500        08/08/18        GBP       27.03        GBP       3,389        (136,100

CRH PLC

   UBS AG      59,900        08/09/18        GBP       28.20        GBP       1,592        (12,848

Charles Schwab Corp.

   Citibank N.A.      46,900        08/14/18        USD       57.40        USD       2,397        (12,798
                     

 

 

 
   $ (1,629,672
                     

 

 

 

Balances Reported in the Statements of Assets and Liabilities for OTC Derivatives

 

      Swap
Premium
Paid
     Swap
Premium
Received
     Unrealized
Appreciation
     Unrealized
Depreciation
     Value  

Options Written

     N/A        N/A      $ 6,136,175      $ (3,917,018    $ (15,288,978

Derivative Financial Instruments Categorized by Risk Exposure

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

 

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

Assets — Derivative Financial Instruments

                    

Options purchased

                    

Investments at value — unaffiliated(a)

   $      $      $ 3,770      $      $      $      $ 3,770  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Liabilities — Derivative Financial Instruments

                    

Options written

                    

Options written, at value

   $      $      $ 15,288,978      $      $      $      $ 15,288,978  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

Includes options purchased at value as reported in the Schedule of Investments.

 

For the period ended June 30, 2018, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

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

Net Realized Gain (Loss) from:

                    

Options purchased(a)

   $      $      $ (10,020    $      $      $      $ (10,020

Options written

                   (9,659,803                           (9,659,803
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $      $      $ (9,669,823    $      $      $      $ (9,669,823
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

Options purchased are included in net realized gain (loss) from investments.

 

 

 

 

SCHEDULES OF INVESTMENTS      47  


Schedule of Investments  (unaudited) (continued)

June 30, 2018

  

BlackRock Enhanced Equity Dividend Trust (BDJ)

 

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

Net Change in Unrealized Appreciation on:

                    

Options purchased(a)

   $      $      $ 575      $      $      $      $ 575  

Options written

                   6,323,305                             6,323,305  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $      $      $ 6,323,880      $      $      $      $ 6,323,880  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a)

Options purchased are included in net change in unrealized appreciation (depreciation) from investments.

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Options:

 

Average value of option contracts purchased

   $ 3,218  

Average value of option contracts written

   $ 13,467,680  

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

Derivative Financial Instruments Offsetting as of Period End

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

 

      Assets      Liabilities  

Derivative Financial Instruments:

     

Options

   $ 3,770 (a)      $ 15,288,978  
  

 

 

    

 

 

 

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

     (3,770      (13,659,306
  

 

 

    

 

 

 

Total derivative assets and liabilities subject to an MNA

   $      $ 1,629,672  
  

 

 

    

 

 

 

 

  (a) 

Includes options purchased at value which is included in Investments at value — unaffiliated in the Statements of Assets and Liabilities and reported in the Schedule of Investments.

 

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

 

Counterparty    Derivative
Liabilities

Subject to
an MNA by
Counterparty
       Derivatives
Available
for Offset
       Non-cash
Collateral

Pledged (a)
       Cash
Collateral

Pledged
       Net Amount
of Derivative
Liabilities
  (b)
 

Bank of America N.A.

   $ 137,595        $        $        $        $ 137,595  

Barclays Bank PLC

     239,737                   (239,737                  

Citibank N.A.

     567,445                   (567,445                  

Credit Suisse International

     23,380                   (23,380                  

Goldman Sachs International

     280,707                   (242,630                 38,077  

Morgan Stanley & Co. International PLC

     213,588                   (213,588                  

UBS AG

     167,220                   (167,220                  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 
   $ 1,629,672        $        $ (1,454,000      $        $ 175,672  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

Excess of collateral received from the individual counterparty is not shown for financial reporting purposes.

 
  (b) 

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

 

 

 

48    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

June 30, 2018

  

BlackRock Enhanced Equity Dividend Trust (BDJ)

 

Fair Value Hierarchy as of Period End

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

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

 

      Level 1        Level 2        Level 3        Total  

Assets:

                 

Investments:

                 

Common Stocks:

                 

Aerospace & Defense

   $ 20,362,289        $        $        $ 20,362,289  

Banks

     320,396,021                            320,396,021  

Beverages

     22,360,061          18,236,314                   40,596,375  

Capital Markets

     61,773,184                            61,773,184  

Chemicals

     20,782,269                            20,782,269  

Communications Equipment

     30,150,420                            30,150,420  

Construction Materials

              13,602,955                   13,602,955  

Containers & Packaging

     7,067,256                            7,067,256  

Diversified Financial Services

     5,630,652                            5,630,652  

Diversified Telecommunication Services

     52,016,192                            52,016,192  

Electric Utilities

     69,050,599                            69,050,599  

Electrical Equipment

     2,740,669                            2,740,669  

Electronic Equipment, Instruments & Components

     13,079,093                            13,079,093  

Food & Staples Retailing

     12,412,451                            12,412,451  

Food Products

     20,142,097          4,271,230                   24,413,327  

Health Care Equipment & Supplies

     25,824,257          30,354,090                   56,178,347  

Health Care Providers & Services

     156,160,600                            156,160,600  

Household Products

     16,339,519                            16,339,519  

IT Services

     6,522,994                            6,522,994  

Industrial Conglomerates

     54,083,342                            54,083,342  

Insurance

     112,395,166                            112,395,166  

Leisure Products

     9,637,818                            9,637,818  

Machinery

     4,594,715                            4,594,715  

Media

     38,696,976                            38,696,976  

Multi-Utilities

     23,682,460                            23,682,460  

Multiline Retail

     5,382,278                            5,382,278  

Oil, Gas & Consumable Fuels

     195,275,669          38,477,869                   233,753,538  

Personal Products

     14,241,475                            14,241,475  

Pharmaceuticals

     108,247,355          45,102,678                   153,350,033  

Professional Services

     10,609,609          13,093,606                   23,703,215  

Road & Rail

     11,869,950                            11,869,950  

Semiconductors & Semiconductor Equipment

     32,156,822                            32,156,822  

Software

     107,290,769                            107,290,769  

Specialty Retail

     13,097,869                            13,097,869  

Technology Hardware, Storage & Peripherals

              15,225,381                   15,225,381  

Tobacco

     24,947,810                            24,947,810  

Short-Term Securities

     13,793,172                            13,793,172  

Options Purchased:

 

Equity Contracts

     3,770                            3,770  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 1,642,817,648        $ 178,364,123        $        $ 1,821,181,771  
  

 

 

      

 

 

      

 

 

      

 

 

 

Investments Valued at NAV(a)

                    12,294  
                  $ 1,821,194,065  
                 

 

 

 

Derivative Financial Instruments(b)

 

Liabilities:

 

Equity contracts

   $ (10,982,991      $ (4,305,987      $        $ (15,288,978
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a)

As of June 30, 2018, certain of the Trust’s Investments were fair valued using net asset value (“NAV”) per share and have been excluded from the fair value hierarchy.

 
  (b) 

Derivative financial instruments are options written, which are shown at value.

 

During the six months ended June 30, 2018, there were no transfers between levels.

See notes to financial statements.

 

 

SCHEDULES OF INVESTMENTS      49  


Schedule of Investments  (unaudited)

June 30, 2018

  

BlackRock Enhanced Global Dividend Trust (BOE)

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  

Common Stocks — 98.9%

 

Australia — 5.4%  

Amcor Ltd.

    2,166,058     $ 23,078,661  

Ansell Ltd.

    476,285       9,569,000  

Ensogo Ltd.(a)(b)

    418,198       3  

Sonic Healthcare Ltd.

    666,385       12,088,268  
   

 

 

 
    44,735,932  
Belgium — 1.5%  

Anheuser-Busch InBev SA

    60,431       6,095,366  

bpost SA

    373,254       5,897,538  
   

 

 

 
    11,992,904  
Canada — 6.7%  

Rogers Communications, Inc., Class B

    541,683       25,727,522  

TELUS Corp.

    815,027       28,952,011  
   

 

 

 
    54,679,533  
China — 1.0%  

ANTA Sports Products Ltd.

    1,514,000       7,983,785  
   

 

 

 
Denmark — 1.0%  

Novo Nordisk A/S, Class B

    186,453       8,612,368  
   

 

 

 
Finland — 2.3%  

Kone OYJ, Class B

    368,057       18,714,053  
   

 

 

 
France — 4.4%  

Sanofi

    334,985       26,885,729  

Schneider Electric SE

    111,650       9,285,566  
   

 

 

 
    36,171,295  
Germany — 2.2%  

Deutsche Post AG, Registered Shares

    545,851       17,734,889  
   

 

 

 
India — 1.0%  

Hero MotoCorp Ltd.

    167,596       8,497,945  
   

 

 

 
Ireland — 1.5%  

Medtronic PLC(c)

    143,502       12,285,206  
   

 

 

 
Japan — 1.0%  

Japan Tobacco, Inc.

    310,500       8,677,361  
   

 

 

 
Netherlands — 2.6%  

Heineken NV

    111,338       11,154,782  

Koninklijke Philips NV

    237,749       10,072,937  
   

 

 

 
    21,227,719  
Singapore — 2.7%  

DBS Group Holdings Ltd.

    575,568       11,193,081  

United Overseas Bank Ltd.

    557,900       10,934,131  
   

 

 

 
    22,127,212  
Sweden — 1.3%  

Svenska Handelsbanken AB, Class A

    937,035       10,378,079  
   

 

 

 
Switzerland — 7.8%  

Nestle SA, Registered Shares

    305,978       23,713,541  

Novartis AG, Registered Shares

    347,751       26,342,460  

SGS SA, Registered Shares

    5,218       13,865,236  
   

 

 

 
    63,921,237  
Taiwan — 2.4%  

Far EasTone Telecommunications Co. Ltd.

    2,705,000       6,987,454  

Taiwan Semiconductor Manufacturing Co. Ltd.

    1,796,000       12,753,528  
   

 

 

 
    19,740,982  
United Kingdom — 14.4%  

AstraZeneca PLC

    241,470       16,701,799  

British American Tobacco PLC

    447,851       22,559,764  

Diageo PLC

    384,545       13,815,128  
Security   Shares     Value  
United Kingdom (continued)  

GlaxoSmithKline PLC

    910,852     $ 18,363,626  

Imperial Brands PLC

    626,898       23,281,806  

Unilever PLC

    427,866       23,635,512  
   

 

 

 
    118,357,635  
United States — 39.7%  

3M Co.(c)

    75,958       14,942,458  

AbbVie, Inc.(c)

    95,833       8,878,927  

Altria Group, Inc.(c)(d)

    491,905       27,935,285  

Cisco Systems, Inc.(c)(d)

    573,725       24,687,387  

Citizens Financial Group, Inc.(c)

    167,555       6,517,889  

Coca-Cola Co.(c)

    589,989       25,876,943  

FirstSun Capital Bancorp, (Acquired 3/10/14, cost $5,461,692)(a)(e)

    120,312       4,411,841  

Genuine Parts Co.(c)

    242,320       22,242,553  

International Paper Co.(c)

    303,694       15,816,384  

Johnson & Johnson(c)(d)

    250,145       30,352,594  

M&T Bank Corp.(c)

    69,614       11,844,822  

Microsoft Corp.(c)

    84,489       8,331,460  

PepsiCo, Inc.(c)

    199,047       21,670,247  

Pfizer, Inc.(c)(d)

    463,707       16,823,290  

Philip Morris International, Inc.(c)(d)

    219,915       17,755,937  

Procter & Gamble Co.(c)

    220,742       17,231,121  

U.S. Bancorp(c)

    249,836       12,496,797  

United Parcel Service, Inc., Class B(c)

    76,232       8,098,125  

United Technologies Corp.(c)

    138,181       17,276,770  

Wells Fargo & Co.(c)

    228,446       12,665,046  
   

 

 

 
    325,855,876  

Total Common Stocks — 98.9%
(Cost — $840,788,043)

 

    811,694,011  
   

 

 

 

Preferred Stocks — 1.0%

 

India — 0.1%  

Jasper Infotech Private Ltd., Series F, (Acquired 05/07/14,
cost 1,895,230), 0.00%(a)(b)(e)

    266       465,324  

Jasper Infotech Private Ltd., Series G, (Acquired 10/29/14,
cost 741,913), 0.00%(a)(b)(e)

    88       187,962  
   

 

 

 
    653,286  
United States — 0.9%  

Palantir Technologies, Inc., Series I (Acquired 3/27/14,
cost $3,118,944), 0.00%(a)(b)(e)

    508,800       2,940,864  

Uber Technologies, Inc., Series D (Acquired 06/01/14,
cost $1,611,693), 0.00%(a)(b)(e)

    103,893       4,155,720  
   

 

 

 
    7,096,584  
   

 

 

 

Total Preferred Stocks — 1.0%
(Cost — $7,367,781)

 

    7,749,870  
   

 

 

 

Total Long-Term Investments — 99.9%
(Cost — $848,155,824)

 

    819,443,881  
   

 

 

 

Total Investments Before Options Written — 99.9%
(Cost — $848,155,824)

 

    819,443,881  
   

 

 

 

Options Written — (0.8)%
(Premiums Received — $6,227,625)

 

    (6,213,872
   

 

 

 

Total Investments, Net of Options Written — 99.1%
(Cost — $841,928,199)

 

    813,230,009  

Other Assets Less Liabilities — 0.9%

 

    7,377,581  
   

 

 

 

Net Assets — 100.0%

 

  $ 820,607,590  
   

 

 

 
 

 

 

50    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

June 30, 2018

   BlackRock Enhanced Global Dividend Trust (BOE)

 

 

(a) 

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

(b) 

Non-income producing security.

(c) 

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

(d) 

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

(e) 

Restricted security as to resale, excluding 144A securities. As of period end, the Trust held restricted securities with a current value of $12,167,736 and an original cost of $7,367,780, which was 1.5% of its net assets.

 

During the year ended December 31, 2017, investments in issuers considered to be affiliates of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate    Shares
Held at
12/31/17
     Net
Activity
     Shares
Held at
06/30/18
     Value at
06/30/18
     Income      Net
Realized
Gain (Loss)
 (b)
     Change in
Unrealized
Appreciation
(Depreciation)
 

BlackRock Liquidity Funds, T-Fund, Institutional Class(a)

     13,118,524        (13,118,524           $      $ 56,205      $      $  
           

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

No longer held by the Trust.

 
  (b) 

Includes net capital gain distributions, if applicable.

 

Derivative Financial Instruments Outstanding as of Period End

Exchange-Traded Options Written

 

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

Call

                          

Pfizer, Inc.

     18          07/02/18        USD     36.25        USD     65        $ (358

Cisco Systems, Inc.

     314          07/06/18        USD     44.50        USD     1,351          (785

Coca-Cola Co.

     556          07/06/18        USD     44.00        USD     2,439          (12,788

Genuine Parts Co.

     151          07/06/18        USD     93.00        USD     1,386          (5,285

International Paper Co.

     181          07/06/18        USD     55.00        USD     943          (1,267

International Paper Co.

     93          07/06/18        USD     56.00        USD     484          (372

Johnson & Johnson

     344          07/06/18        USD     122.00        USD     4,174          (24,252

Pfizer, Inc.

     19          07/06/18        USD     36.00        USD     69          (845

Pfizer, Inc.

     104          07/06/18        USD     36.50        USD     377          (1,352

Pfizer, Inc.

     38          07/06/18        USD     37.00        USD     138          (171

U.S. Bancorp

     245          07/06/18        USD     52.50        USD     1,225          (490

U.S. Bancorp

     34          07/06/18        USD     53.00        USD     170          (340

United Technologies Corp.

     245          07/06/18        USD     128.00        USD     3,063          (3,675

Wells Fargo & Co.

     103          07/06/18        USD     55.50        USD     571          (6,334

Wells Fargo & Co.

     175          07/06/18        USD     55.00        USD     970          (15,838

Altria Group, Inc.

     478          07/13/18        USD     57.50        USD     2,715          (26,529

Cisco Systems, Inc.

     598          07/13/18        USD     45.00        USD     2,573          (3,588

Coca-Cola Co.

     158          07/13/18        USD     44.00        USD     693          (6,320

Genuine Parts Co.

     180          07/13/18        USD     92.00        USD     1,652          (23,400

Genuine Parts Co.

     163          07/13/18        USD     95.50        USD     1,496          (2,852

International Paper Co.

     181          07/13/18        USD     55.50        USD     943          (1,900

Medtronic PLC

     110          07/13/18        USD     88.50        USD     942          (1,210

Microsoft Corp.

     76          07/13/18        USD     103.00        USD     749          (1,824

Microsoft Corp.

     82          07/13/18        USD     102.00        USD     809          (3,280

PepsiCo, Inc.

     6          07/13/18        USD     102.00        USD     65          (4,320

Pfizer, Inc.

     156          07/13/18        USD     36.50        USD     566          (4,446

Pfizer, Inc.

     39          07/13/18        USD     37.00        USD     141          (429

Procter & Gamble Co.

     306          07/13/18        USD     74.00        USD     2,389          (132,345

U.S. Bancorp

     101          07/13/18        USD     50.50        USD     505          (4,898

U.S. Bancorp

     34          07/13/18        USD     52.50        USD     170          (187

U.S. Bancorp

     147          07/13/18        USD     51.00        USD     735          (4,336

U.S. Bancorp

     73          07/13/18        USD     51.50        USD     365          (1,241

Wells Fargo & Co.

     93          07/13/18        USD     56.50        USD     516          (6,231

Wells Fargo & Co.

     175          07/19/18        USD     56.25        USD     970          (16,699

3M Co.

     234          07/20/18        USD     200.00        USD     4,603          (51,831

AbbVie, Inc.

     67          07/20/18        USD     100.00        USD     621          (1,440

Altria Group, Inc.

     620          07/20/18        USD     57.50        USD     3,521          (50,840

Cisco Systems, Inc.

     811          07/20/18        USD     45.00        USD     3,490          (11,354

Cisco Systems, Inc.

     361          07/20/18        USD     44.00        USD     1,553          (12,094

Citizens Financial Group, Inc.

     507          07/20/18        USD     42.95        USD     1,972          (3,791

Coca-Cola Co.

     557          07/20/18        USD     44.00        USD     2,443          (28,686

 

 

SCHEDULES OF INVESTMENTS      51  


Schedule of Investments  (unaudited) (continued)

June 30, 2018

  

BlackRock Enhanced Global Dividend Trust (BOE)

 

Exchange-Traded Options Written (continued)

 

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

Call (continued)

                          

Genuine Parts Co.

     151          07/20/18        USD     92.50        USD     1,386        $ (26,803

Genuine Parts Co.

     163          07/20/18        USD     97.50        USD     1,496          (4,482

International Paper Co.

     153          07/20/18        USD     57.50        USD     797          (918

Johnson & Johnson

     286          07/20/18        USD     125.00        USD     3,470          (24,310

M&T Bank Corp.

     164          07/20/18        USD     190.00        USD     2,790          (2,460

M&T Bank Corp.

     163          07/20/18        USD     180.00        USD     2,773          (11,410

Medtronic PLC

     167          07/20/18        USD     87.50        USD     1,430          (7,432

Microsoft Corp.

     88          07/20/18        USD     100.00        USD     868          (17,776

PepsiCo, Inc.

     225          07/20/18        USD     102.95        USD     2,450          (138,873

Pfizer, Inc.

     612          07/20/18        USD     36.00        USD     2,220          (41,922

Pfizer, Inc.

     253          07/20/18        USD     35.00        USD     918          (37,444

Pfizer, Inc.

     158          07/20/18        USD     37.00        USD     573          (3,081

Philip Morris International, Inc.

     316          07/20/18        USD     85.00        USD     2,551          (20,540

Procter & Gamble Co.

     57          07/20/18        USD     76.00        USD     445          (14,250

Rogers Communications, Inc., Class B

     247          07/20/18        CAD     62.00        CAD     1,542          (21,794

TELUS Corp.

     127          07/20/18        CAD     46.00        CAD     584          (9,322

U.S. Bancorp

     146          07/20/18        USD     51.50        USD     730          (5,402

United Parcel Service, Inc.

     57          07/20/18        USD     120.00        USD     606          (256

Wells Fargo & Co.

     93          07/20/18        USD     55.00        USD     516          (14,694

3M Co.

     34          07/27/18        USD     200.00        USD     669          (12,835

AbbVie, Inc.

     158          07/27/18        USD     102.00        USD     1,464          (4,582

Cisco Systems, Inc.

     998          07/27/18        USD     45.00        USD     4,294          (20,958

Coca-Cola Co.

     751          07/27/18        USD     44.50        USD     3,294          (39,803

International Paper Co.

     66          07/27/18        USD     59.00        USD     344          (594

Medtronic PLC

     177          07/27/18        USD     86.50        USD     1,515          (17,523

Microsoft Corp.

     76          07/27/18        USD     103.00        USD     749          (8,588

Microsoft Corp.

     55          07/27/18        USD     101.00        USD     542          (10,038

PepsiCo, Inc.

     223          07/27/18        USD     106.00        USD     2,428          (91,430

Pfizer, Inc.

     320          07/27/18        USD     37.00        USD     1,161          (8,640

Pfizer, Inc.

     26          07/27/18        USD     36.50        USD     94          (1,261

U.S. Bancorp

     77          07/27/18        USD     52.00        USD     385          (2,541

United Parcel Service, Inc., Class B

     301          07/27/18        USD     118.00        USD     3,198          (7,374

United Technologies Corp.

     112          07/27/18        USD     128.00        USD     1,400          (16,800

Wells Fargo & Co.

     42          07/27/18        USD     56.50        USD     233          (4,158

Pfizer, Inc.

     25          07/30/18        USD     36.75        USD     91          (1,093

Pfizer, Inc.

     54          07/30/18        USD     36.50        USD     196          (2,622

Cisco Systems, Inc.

     360          07/31/18        USD     44.60        USD     1,549          (12,170

AbbVie, Inc.

     67          08/03/18        USD     95.50        USD     621          (12,596

Altria Group, Inc.

     3          08/03/18        USD     58.50        USD     17          (279

International Paper Co.

     400          08/03/18        USD     54.50        USD     2,083          (32,400

Johnson & Johnson

     122          08/03/18        USD     126.00        USD     1,480          (12,566

Medtronic PLC

     110          08/03/18        USD     86.50        USD     942          (13,145

Microsoft Corp.

     45          08/03/18        USD     102.00        USD     444          (7,493

Pfizer, Inc.

     151          08/03/18        USD     36.50        USD     548          (9,136

Procter & Gamble Co.

     216          08/03/18        USD     78.50        USD     1,686          (29,700

Wells Fargo & Co.

     150          08/03/18        USD     55.00        USD     832          (27,075

Genuine Parts Co.

     152          08/10/18        USD     93.00        USD     1,395          (25,840

Medtronic PLC

     110          08/10/18        USD     87.00        USD     942          (12,980

Microsoft Corp.

     55          08/10/18        USD     102.00        USD     542          (10,285

Pfizer, Inc.

     54          08/10/18        USD     36.50        USD     196          (3,510

U.S. Bancorp

     97          08/10/18        USD     50.00        USD     485          (13,241

Wells Fargo & Co.

     92          08/10/18        USD     58.00        USD     510          (5,934

3M Co.

     89          08/17/18        USD     210.00        USD     1,751          (16,198

AbbVie, Inc.

     158          08/17/18        USD     105.00        USD     1,464          (8,058

Altria Group, Inc.

     620          08/17/18        USD     59.20        USD     3,521          (63,949

Coca-Cola Co.

     750          08/17/18        USD     45.00        USD     3,290          (38,250

Genuine Parts Co.

     178          08/17/18        USD     95.00        USD     1,634          (28,035

International Paper Co.

     353          08/17/18        USD     55.00        USD     1,838          (28,770

Johnson & Johnson

     123          08/17/18        USD     125.00        USD     1,492          (22,017

Microsoft Corp.

     29          08/17/18        USD     105.00        USD     286          (3,248

PepsiCo, Inc.

     481          08/17/18        USD     105.00        USD     5,237          (263,348

Pfizer, Inc.

     152          08/17/18        USD     37.00        USD     551          (6,992

 

 

52    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

June 30, 2018

  

BlackRock Enhanced Global Dividend Trust (BOE)

 

Exchange-Traded Options Written (continued)

 

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

Call (continued)

                          

Philip Morris International, Inc.

     534          08/17/18        USD     82.50        USD     4,312        $ (113,742

Procter & Gamble Co.

     458          08/17/18        USD     77.50        USD     3,575          (97,783

Rogers Communications, Inc., Class B

     750          08/17/18        CAD     64.00        CAD     4,683          (38,794

TELUS Corp.

     666          08/17/18        CAD     46.00        CAD     3,110          (65,605

U.S. Bancorp

     220          08/17/18        USD     52.50        USD     1,100          (10,340

United Technologies Corp.

     126          08/17/18        USD     125.00        USD     1,575          (46,305

Wells Fargo & Co.

     150          08/17/18        USD     55.00        USD     832          (29,850
                          

 

 

 
     $ (2,243,866
    

 

 

 

OTC Options Written

 

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

Call

               

TELUS Corp.

  Goldman Sachs International     7,641       07/09/18       CAD       46.27       CAD       357     $ (3,616

DBS Group Holdings Ltd.

  Deutsche Bank AG     68,000       07/10/18       SGD       29.99       SGD       1,802       (42

DBS Group Holdings Ltd.

  Deutsche Bank AG     67,000       07/10/18       SGD       29.91       SGD       1,776       (49

Diageo PLC

  Goldman Sachs International     12,800       07/10/18       GBP       26.86       GBP       348       (10,204

Far EasTone Telecommincations Co. Ltd.

  Goldman Sachs International     136,000       07/10/18       USD       75.75       USD       10,711       (13,329

Heineken NV

  UBS AG     24,000       07/10/18       EUR       86.63       EUR       2,059       (18,269

SGS SA, Registered Shares

  Goldman Sachs International     1,300       07/10/18       CHF       2,577.54       CHF       3,421       (92,472

Schneider Electric SE

  UBS AG     22,000       07/10/18       EUR       79.66       EUR       1,567       (131

bpost SA

  Credit Suisse International     15,800       07/10/18       EUR       17.43       EUR       214       (9

AstraZeneca PLC

  UBS AG     69,200       07/11/18       GBP       55.20       GBP       3,627       (4,820

Deutsche Post AG, Registered Shares

  Goldman Sachs International     128,000       07/11/18       EUR       33.57       EUR       3,561       (37

Far EasTone Telecommincations Co. Ltd.

  Morgan Stanley & Co. International PLC     218,000       07/11/18       USD       77.89       USD       17,170       (8,820

Koninklijke Philips NV

  Morgan Stanley & Co. International PLC     112,000       07/11/18       EUR       36.27       EUR       4,063       (73,730

Novo Nordisk A/S, Class B

  Goldman Sachs International     26,100       07/11/18       DKK       306.74       DKK       7,691       (3,329

Rogers Communications, Inc., Class B

  Morgan Stanley & Co. International PLC     44,000       07/11/18       CAD       63.00       CAD       2,747       (15,666

Ansell Ltd.

  JPMorgan Chase Bank N.A.     24,200       07/12/18       AUD       26.93       AUD       657       (8,916

British American Tobacco PLC

  Citibank N.A.     210,900       07/12/18       GBP       39.09       GBP       8,050       (97,123

Japan Tobacco, Inc.

  Goldman Sachs International     41,200       07/12/18       JPY       3,040.60       JPY       127,477       (30,331

Kone OYJ, Class B

  UBS AG     38,800       07/12/18       EUR       43.39       EUR       1,689       (38,679

TELUS Corp.

  Citibank N.A.     32,400       07/13/18       CAD       46.34       CAD       1,513       (16,442

Amcor Ltd.

  Goldman Sachs International     256,000       07/18/18       AUD       13.88       AUD       3,686       (109,795

Anheuser-Busch InBev SA

  Morgan Stanley & Co. International PLC     28,500       07/18/18       EUR       83.88       EUR       2,462       (101,994

Ansell Ltd.

  Goldman Sachs International     27,000       07/18/18       AUD       26.80       AUD       733       (12,577

Deutsche Post AG, Registered Shares

  Credit Suisse International     64,000       07/18/18       EUR       33.48       EUR       1,780       (614

Far EasTone Telecommunications Co. Ltd.

  Goldman Sachs International     370,000       07/18/18       USD       77.13       USD       29,141       (22,892

Imperial Brands PLC

  HSBC Bank PLC     65,400       07/18/18       GBP       26.85       GBP       1,840       (126,258

Kone OYJ, Class B

  Credit Suisse International     46,000       07/18/18       EUR       43.47       EUR       2,003       (51,419

Sanofi

  Morgan Stanley & Co. International PLC     28,150       07/18/18       EUR       65.82       EUR       1,935       (108,851

Schneider Electric SE

  Barclays Bank PLC     8,500       07/18/18       EUR       76.74       EUR       605       (699

TELUS Corp.

  Citibank N.A.     16,700       07/18/18       CAD       45.85       CAD       780       (13,682

United Overseas Bank Ltd.

  JPMorgan Chase Bank N.A.     139,000       07/18/18       SGD       28.67       SGD       3,711       (4,316

bpost SA

  Credit Suisse International     42,000       07/18/18       EUR       15.21       EUR       568       (748

ANTA Sports Products Ltd.

  Goldman Sachs International     206,000       07/19/18       HKD       44.78       HKD       8,522       (16,373

Novartis AG, Registered Shares

  Morgan Stanley & Co. International PLC     106,400       07/19/18       CHF       76.10       CHF       7,982       (79,253

Sonic Healthcare Ltd.

  UBS AG     68,700       07/24/18       AUD       23.80       AUD       1,684       (45,937

United Overseas Bank Ltd.

  UBS AG     123,300       07/24/18       SGD       29.32       SGD       3,292       (2,207

ANTA Sports Products Ltd.

  UBS AG     295,000       07/25/18       HKD       49.34       HKD       12,204       (6,819

Ansell Ltd.

  Morgan Stanley & Co. International PLC     33,500       07/25/18       AUD       26.66       AUD       910       (20,674

Diageo PLC

  Goldman Sachs International     68,800       07/25/18       GBP       27.90       GBP       1,873       (22,428

GlaxoSmithKline PLC

  Citibank N.A.     99,900       07/25/18       GBP       15.50       GBP       1,526       (23,619

Heineken NV

  Deutsche Bank AG     28,300       07/25/18       EUR       87.76       EUR       2,428       (24,416

Kone OYJ, Class B

  UBS AG     12,000       07/25/18       EUR       42.77       EUR       522       (20,691

Nestle SA, Registered Shares

  Morgan Stanley & Co. International PLC     73,000       07/25/18       CHF       76.40       CHF       5,603       (96,268

Novo Nordisk A/S, Class B

  UBS AG     61,600       07/25/18       DKK       308.50       DKK       18,153       (17,246

Sanofi

  UBS AG     58,100       07/25/18       EUR       67.27       EUR       3,993       (153,582

Sonic Healthcare Ltd.

  UBS AG     60,300       07/25/18       AUD       24.52       AUD       1,478       (21,816

Svenska Handelsbanken AB, Class A

  UBS AG     206,500       07/25/18       SEK       101.02       SEK       20,485       (35,170

 

 

SCHEDULES OF INVESTMENTS      53  


Schedule of Investments  (unaudited) (continued)

June 30, 2018

  

BlackRock Enhanced Global Dividend Trust (BOE)

 

OTC Options Written (continued)

 

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

Call (continued)

               

TELUS Corp.

  Citibank N.A.     29,200       07/25/18       CAD       46.49       CAD       1,364     $ (15,350

Taiwan Semiconductor Manufacturing Co. Ltd.

  UBS AG     844,000       07/25/18       USD       228.60       USD       182,726       (29,473

bpost SA

  Deutsche Bank AG     24,200       07/25/18       EUR       16.07       EUR       327       (445

ANTA Sports Products Ltd.

  JPMorgan Chase Bank N.A.     192,000       07/26/18       HKD       50.34       HKD       7,943       (2,947

Amcor Ltd.

  UBS AG     398,100       07/26/18       AUD       14.13       AUD       5,733       (126,212

Ansell Ltd.

  Morgan Stanley & Co. International PLC     31,200       07/26/18       AUD       27.05       AUD       847       (13,321

Far EasTone Telecommunications Co. Ltd.

  Citibank N.A.     297,000       07/26/18       USD       78.15       USD       23,392       (13,297

Far EasTone Telecommunications Co. Ltd.

  Goldman Sachs International     250,000       07/26/18       USD       78.76       USD       19,690       (8,653

Novartis AG, Registered Shares

  Morgan Stanley & Co. International PLC     18,250       07/26/18       CHF       75.85       CHF       1,369       (18,182

Unilever PLC

  Citibank N.A.     141,100       07/26/18       GBP       41.71       GBP       5,906       (174,676

TELUS Corp.

  Goldman Sachs International     24,300       07/27/18       CAD       46.23       CAD       1,135       (16,403

TELUS Corp.

  Goldman Sachs International     24,300       07/31/18       CAD       46.46       CAD       1,135       (14,339

Ansell Ltd.

  Citibank N.A.     32,000       08/01/18       AUD       26.57       AUD       869       (24,559

Deutsche Post AG, Registered Shares

  HSBC Bank PLC     64,500       08/01/18       EUR       28.30       EUR       1,794       (46,698

Kone OYJ, Class B

  Credit Suisse International     46,000       08/01/18       EUR       43.47       EUR       2,003       (60,578

Sonic Healthcare Ltd.

  Morgan Stanley & Co. International PLC     95,000       08/01/18       AUD       24.40       AUD       2,328       (38,387

TELUS Corp.

  Citibank N.A.     29,200       08/01/18       CAD       46.49       CAD       1,364       (18,659

bpost SA

  Credit Suisse International     59,400       08/01/18       EUR       15.15       EUR       804       (4,240

Rogers Communications, Inc., Class B

  Morgan Stanley & Co. International PLC     55,400       08/02/18       CAD       62.10       CAD       3,459       (55,615

TELUS Corp.

  Goldman Sachs International     33,800       08/03/18       CAD       47.00       CAD       1,578       (10,604

SGS SA, Registered Shares

  UBS AG     1,100       08/07/18       CHF       2,574.49       CHF       2,895       (101,341

Ansell Ltd.

  Citibank N.A.     32,000       08/08/18       AUD       26.57       AUD       869       (26,601

AstraZeneca PLC

  Goldman Sachs International     44,300       08/08/18       GBP       52.35       GBP       2,322       (80,371

DBS Group Holdings Ltd.

  UBS AG     135,000       08/08/18       SGD       27.16       SGD       3,578       (47,797

Diageo PLC

  Morgan Stanley & Co. International PLC     99,500       08/08/18       GBP       27.03       GBP       2,708       (108,771

GlaxoSmithKline PLC

  Morgan Stanley & Co. International PLC     328,200       08/08/18       GBP       15.25       GBP       5,015       (164,198

Imperial Brands PLC

  UBS AG     155,000       08/08/18       GBP       27.66       GBP       4,362       (219,958

Japan Tobacco, Inc.

  Goldman Sachs International     71,700       08/08/18       JPY       3,078.48       JPY       221,846       (57,425

Kone OYJ, Class B

  Credit Suisse International     30,100       08/08/18       EUR       43.32       EUR       1,311       (45,588

Sanofi

  Morgan Stanley & Co. International PLC     71,100       08/08/18       EUR       69.52       EUR       4,887       (100,392

Schneider Electric SE

  Morgan Stanley & Co. International PLC     22,000       08/08/18       EUR       71.59       EUR       1,567       (48,912

Sonic Healthcare Ltd.

  JPMorgan Chase Bank N.A.     89,300       08/08/18       AUD       25.08       AUD       2,189       (20,593

Svenska Handelsbanken AB, Class A

  JPMorgan Chase Bank N.A.     234,000       08/08/18       SEK       98.45       SEK       23,213       (72,725

Unilever PLC

  Goldman Sachs International     60,000       08/08/18       GBP       41.88       GBP       2,512       (61,678

TELUS Corp.

  Citibank N.A.     16,600       08/09/18       CAD       45.90       CAD       775       (16,226

ANTA Sports Products Ltd.

  Goldman Sachs International     215,000       08/10/18       HKD       41.32       HKD       8,895       (75,470

Ansell Ltd.

  Citibank N.A.     31,200       08/14/18       AUD       26.94       AUD       847       (21,109

Novartis AG, Registered Shares

  Morgan Stanley & Co. International PLC     38,800       08/14/18       CHF       73.40       CHF       2,911       (113,219

Nestle SA, Registered Shares

  Morgan Stanley & Co. International PLC     70,800       08/15/18       CHF       77.24       CHF       5,434       (92,454

TELUS Corp.

  Royal Bank of Canada     30,600       08/15/18       CAD       47.24       CAD       1,429       (14,751

Amcor Ltd.

  JPMorgan Chase Bank N.A.     364,000       08/16/18       AUD       14.52       AUD       5,242       (82,607

Citizens Financial Group, Inc.

  Morgan Stanley & Co. International PLC     28,000       08/20/18       USD       41.84       USD       1,089       (15,170

Ansell Ltd.

  Morgan Stanley & Co. International PLC     12,800       08/22/18       AUD       27.62       AUD       348       (4,795

Rogers Communications, Inc., Class B

  Citibank N.A.     55,400       08/28/18       CAD       62.50       CAD       3,459       (64,028

TELUS Corp.

  Royal Bank of Canada     59,000       08/29/18       CAD       46.70       CAD       2,755       (44,831
               

 

 

 
  $ (3,970,006
 

 

 

 

Balances Reported in the Statements of Assets and Liabilities for OTC Derivatives

 

      Swap
Premium
Paid
     Swap
Premium
Received
     Unrealized
Appreciation
     Unrealized
Depreciation
     Value  

Options Written

     N/A        N/A      $ 1,779,580      $ (1,765,827    $ (6,213,872

 

 

54    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

June 30, 2018

  

BlackRock Enhanced Global Dividend Trust (BOE)

 

Derivative Financial Instruments Categorized by Risk Exposure

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

 

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

Liabilities — Derivative Financial Instruments

                    

Options written

                    

Options written at value

   $      $      $ 6,213,872      $      $      $      $ 6,213,872  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

For the period ended June 30, 2018, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

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

Net Realized Gain (Loss) from:

                    

Options purchased(a)

   $      $      $ (687    $      $      $      $ (687

Options written

                   2,305,969                             2,305,969  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $      $      $ 2,305,282      $      $      $      $ 2,305,282  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

(a) Options purchased are included in net realized gain (loss) from investments.

  

Net Change in Unrealized Appreciation on:

                    

Options written

   $      $      $ (63,217    $      $      $      $ (63,217
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Options:

 

Average value of option contracts purchased

   $ (a)  

Average value of option contracts written

   $ 5,532,778  

 

  (a) 

Derivative not held at quarter-end. The amount shown in the Statements of Operations reflect the results of activity during the period.

 

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

Derivative Financial Instruments — Offsetting as of Period End

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

 

      Assets        Liabilities  

Derivative Financial Instruments:

       

Options

   $        $ 6,213,872  
  

 

 

      

 

 

 

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

              (2,243,866
  

 

 

      

 

 

 

Total derivative assets and liabilities subject to an MNA

   $        $ 3,970,006  
  

 

 

      

 

 

 

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

 

Counterparty    Derivative
Liabilities
Subject to
an MNA by
Counterparty
       Derivatives
Available
for Offset
       Non-cash
Collateral
Pledged
 (a)
       Cash
Collateral
Pledged
       Net Amount
of Derivative
Liabilities
  (b)
 

Barclays Bank PLC

   $ 699        $        $ (699      $        $  

Citibank N.A.

     525,371                   (525,371                  

Credit Suisse International

     163,196                   (163,196                  

Deutsche Bank AG

     24,952                   (24,952                  

Goldman Sachs International

     662,326                   (662,326                  

HSBC Bank PLC

     172,956                                     172,956  

JPMorgan Chase Bank N.A.

     192,104                   (138,470        (53,634         

Morgan Stanley & Co. International PLC

     1,278,672                   (1,278,672                  

 

 

SCHEDULES OF INVESTMENTS      55  


Schedule of Investments  (unaudited) (continued)

June 30, 2018

  

BlackRock Enhanced Global Dividend Trust (BOE)

 

Counterparty    Derivative
Liabilities
Subject to
an MNA by
Counterparty
       Derivatives
Available
for Offset
       Non-cash
Collateral
Pledged
 (a)
       Cash
Collateral
Pledged
       Net Amount
of Derivative
Liabilities
  (b)
 

Royal Bank of Canada

   $ 59,582        $        $        $        $ 59,582  

UBS AG

     890,148                   (890,148                  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 
   $ 3,970,006        $        $ (3,683,834      $ (53,634      $ 232,538  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

Excess of collateral received from the individual counterparty is not shown for financial reporting purposes.

 
  (b) 

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

 

Fair Value Hierarchy as of Period End

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

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

 

      Level 1        Level 2        Level 3        Total  

Assets:

                 

Investments:

                 

Common Stocks:

                 

Australia

   $        $ 44,735,932        $        $ 44,735,932  

Belgium

     5,897,538          6,095,366                   11,992,904  

Canada

     54,679,533                            54,679,533  

China

              7,983,785                   7,983,785  

Denmark

              8,612,368                   8,612,368  

Finland

              18,714,053                   18,714,053  

France

              36,171,295                   36,171,295  

Germany

              17,734,889                   17,734,889  

India

              8,497,945                   8,497,945  

Ireland

     12,285,206                            12,285,206  

Japan

              8,677,361                   8,677,361  

Netherlands

              21,227,719                   21,227,719  

Singapore

              22,127,212                   22,127,212  

Sweden

              10,378,079                   10,378,079  

Switzerland

              63,921,237                   63,921,237  

Taiwan

              19,740,982                   19,740,982  

United Kingdom

              118,357,635                   118,357,635  

United States

     321,444,035                   4,411,841          325,855,876  

Preferred Stocks

                       7,749,870          7,749,870  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 394,306,312        $ 412,975,858        $ 12,161,711        $ 819,443,881  
  

 

 

      

 

 

      

 

 

      

 

 

 

Derivative Financial Instruments(a)

                 

Liabilities:

                 

Equity contracts

   $ (1,994,988      $ (4,218,884      $        $ (6,213,872
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

Derivative financial instruments are options written, which are shown at value.

 

Transfers between Level 1 and Level 2 were as follows:

 

      Transfers into
Level 1
 (a)
       Transfers out of
Level 1
 (a)
       Transfers Into
Level 2
 (a)
       Transfers out of
Level 2
 (a)
 

Assets:

                 

Long-Term Investments:

                 

Common Stocks

   $ 11,359,711        $ 19,072,931        $ 19,072,931        $ 11,359,711  
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

External pricing service used to reflect any significant market movements between the time the Trust valued such foreign securities and the earlier closing of foreign markets.

 

 

 

56    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

June 30, 2018

  

BlackRock Enhanced Global Dividend Trust (BOE)

 

A reconciliation of Level 3 investments is presented when the Trust had a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:

 

      Common
Stocks
       Preferred
Stocks
       Total  

Assets:

            

Opening Balance, as of December 31, 2017

   $ 4,411,841        $ 11,646,491        $ 16,058,332  

Transfers into Level 3

                        

Transfers out of Level 3

                        

Accrued discounts/premiums

                        

Net realized gain (loss)

              2,510,578          2,510,578  

Net change in unrealized appreciation (depreciation)(a)(b)

              (1,662,515        (1,662,515

Purchases

                        

Sales

              (4,744,684        (4,744,684
  

 

 

      

 

 

      

 

 

 

Closing Balance, as of June 30, 2018

   $ 4,411,841        $ 7,749,870        $ 12,161,711  
  

 

 

      

 

 

      

 

 

 

Net change in unrealized appreciation (depreciation) on investments still held at June 30, 2018(b)

   $        $ (1,662,515      $ (1,662,515
  

 

 

      

 

 

      

 

 

 

 

  (a) 

Included in the related net change in unrealized appreciation (depreciation) in the Statements of Operations.

 
  (b) 

Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on derivative financial instruments still held at June 30, 2018 is generally due to derivative financial instruments no longer held or categorized as Level 3 at period end.

 

The following table summarizes the valuation approaches used and unobservable inputs utilized by the BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) to determine the value of certain of the Trust’s Level 3 investments as of period end.

 

      Value        Valuation Approach        Unobservable Inputs      Range of
unobservable
Inputs Utilized
     Weighted
Average of
Unobservable
Inputs
 

Assets:

                    

Common Stocks

   $ 4,411,841          Market        Tangible Book Value Multiple(a)        1.90x         

Preferred Stocks

     7,749,870          Market        Revenue Multiple(a)        7.50x – 14.50x        13.23x  
             Time to Exit(b)        2.5 years         
             Volatility(b)        35       
             Recent Transactions(a)                
  

 

 

                   
   $ 12,161,711                    
  

 

 

                   

 

  (a) 

Increase in unobservable input may result in a significant increase to value, while a decrease in the unobservable input may result in a significant decrease to value.

 
  (b) 

Decrease in unobservable input may result in a significant increase to value, while an increase in the unobservable input may result in a significant decrease to value.

 

See notes to financial statements.

 

 

SCHEDULES OF INVESTMENTS      57  


Schedule of Investments  (unaudited)

June 30, 2018

  

BlackRock Enhanced International Dividend Trust (BGY)

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  

Common Stocks — 98.7%

 

Australia — 8.7%  

Amcor Ltd.

    3,033,685     $ 32,322,952  

Ansell Ltd.

    657,064       13,201,015  

Sonic Healthcare Ltd.

    816,976       14,819,998  
   

 

 

 
    60,343,965  
Belgium — 2.3%  

Anheuser-Busch InBev SA

    82,168       8,287,867  

bpost SA

    506,122       7,996,897  
   

 

 

 
    16,284,764  
Canada — 10.6%  

Rogers Communications, Inc., Class B

    743,612       35,318,247  

TELUS Corp.

    1,076,118       38,226,684  
   

 

 

 
    73,544,931  
China — 1.8%  

ANTA Sports Products Ltd.

    2,377,600       12,537,812  
   

 

 

 
Denmark — 1.7%  

Novo Nordisk A/S, Class B

    252,763       11,675,264  
   

 

 

 
Finland — 3.8%  

Kone OYJ, Class B

    521,612       26,521,638  
   

 

 

 
France — 7.3%  

Sanofi

    459,696       36,894,971  

Schneider Electric SE

    164,273       13,662,050  
   

 

 

 
    50,557,021  
Germany — 4.3%  

Deutsche Post AG, Registered Shares

    928,368       30,162,999  
   

 

 

 
India — 1.7%  

Hero MotoCorp Ltd.

    225,738       11,446,031  
   

 

 

 
Japan — 1.7%  

Japan Tobacco, Inc.

    421,300       11,773,823  
   

 

 

 
Netherlands — 4.3%  

Heineken NV

    149,488       14,976,972  

Koninklijke Philips NV

    347,780       14,734,724  
   

 

 

 
    29,711,696  
Singapore — 2.9%  

DBS Group Holdings Ltd.

    511,300       9,943,260  

United Overseas Bank Ltd.

    507,200       9,940,475  
   

 

 

 
    19,883,735  
Sweden — 2.3%  

Svenska Handelsbanken AB, Class A

    1,471,323       16,295,557  
   

 

 

 
Switzerland — 13.0%  

Nestle SA, Registered Shares

    430,668       33,377,116  

Novartis AG, Registered Shares

    486,345       36,841,085  

SGS SA, Registered Shares

    7,522       19,987,410  
   

 

 

 
    90,205,611  
Taiwan — 4.3%  

Far EasTone Telecommunications Co. Ltd.

    3,663,000       9,462,123  

Taiwan Semiconductor Manufacturing Co. Ltd.

    2,845,000       20,202,554  
   

 

 

 
    29,664,677  
United Kingdom — 23.4%  

AstraZeneca PLC

    310,495       21,476,063  

British American Tobacco PLC

    608,013       30,627,664  

Diageo PLC

    596,483       21,429,193  

GlaxoSmithKline PLC

    1,291,186       26,031,515  

Imperial Brands PLC

    850,881       31,600,110  

Unilever PLC

    562,299       31,061,652  
   

 

 

 
    162,226,197  
Security   Shares     Value  
United States — 4.6%  

3M Co.(a)

    102,009     $ 20,067,210  

Microsoft Corp.(a)

    116,534       11,491,418  
   

 

 

 
    31,558,628  
   

 

 

 

Total Common Stocks — 98.7%
(Cost — $715,814,039)

 

    684,394,349  
   

 

 

 

Preferred Stocks — 0.7%

 

China — 0.6%  

Xiaoju Kuaizhi, Inc., Series A-17
(Acquired 7/28/15, cost $2,106,332),
0.00%(b)(c)(d)

    76,800       3,911,424  
   

 

 

 
India — 0.1%  

Jasper Infotech Private Ltd., Series F,
(Acquired 5/7/14, cost $2,835,730),
0.00%(b)(c)(d)

    398       696,237  

Jasper Infotech Private Ltd., Series G,
(Acquired 10/29/14, cost $1,112,870),
0.00%(b)(c)(d)

    132       281,943  
   

 

 

 
    978,180  
   

 

 

 

Total Preferred Stocks — 0.7%
(Cost — $6,054,932)

 

    4,889,604  
   

 

 

 

Total Long-Term Investments — 99.4%
(Cost — $721,868,971)

 

    689,283,953  
   

 

 

 

Short-Term Securities — 0.1%

 

BlackRock Liquidity Funds, T-Fund, Institutional Class,
1.80%(e)(f)

    943,659       943,659  
   

 

 

 

Total Short-Term Securities — 0.1%
(Cost — $943,659)

 

    943,659  
   

 

 

 

Total Investments Before Options Written — 99.5%
(Cost — $722,812,630)

 

    690,227,612  
   

 

 

 

Options Written — (0.8)%
(Premiums Received — $5,304,238)

 

    (5,608,380
   

 

 

 

Total Investments, Net of Options Written — 98.7%
(Cost — $717,508,392)

 

    684,619,232  

Other Assets Less Liabilities — 1.3%

 

    8,816,866  
   

 

 

 

Net Assets — 100.0%

 

  $ 693,436,098  
   

 

 

 

 

(a) 

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

(b) 

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

(c) 

Non-income producing security.

(d) 

Restricted security as to resale, excluding 144A securities. As of period end, the Trust held restricted securities with a current value of $4,889,604 and an original cost of $6,054,935, which was 0.7% of its net assets.

(e) 

Annualized 7-day yield as of period end.

 

 

 

58    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

June 30, 2018

  

BlackRock Enhanced International Dividend Trust (BGY)

 

(e) 

During the period ended June 30, 2018, investments in issuers considered to be an affiliate of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate    Shares
Held at
12/31/17
     Net
Activity
     Shares
Held at
06/30/18
     Value at
06/30/18
     Income      Net
Realized

Gain (Loss) (a)
     Change in
Unrealized
Appreciation
(Depreciation)
 

BlackRock Liquidity Funds, T-Fund, Institutional Class

     5,073,700        (4,130,041      943,659      $ 943,659      $ 53,789      $      $  
           

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

Includes net capital gain distributions, if applicable.

 

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

Derivative Financial Instruments Outstanding as of Period End

Exchange-Traded Options Written

 

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

Call

                          

Microsoft Corp.

     100          07/06/18        USD     101.00        USD     986        $ (2,250

Microsoft Corp.

     71          07/13/18        USD     103.00        USD     700          (1,704

Microsoft Corp.

     80          07/13/18        USD     102.00        USD     789          (3,200

3M Co.

     268          07/20/18        USD     200.00        USD     5,272          (59,362

Rogers Communications, Inc., Class B

     819          07/20/18        CAD     62.00        CAD     5,114          (72,266

TELUS Corp.

     265          07/20/18        CAD     46.00        CAD     1,238          (19,452

3M Co.

     60          07/27/18        USD     210.00        USD     1,180          (5,940

3M Co.

     34          07/27/18        USD     200.00        USD     669          (12,835

Microsoft Corp.

     71          07/27/18        USD     103.00        USD     700          (8,023

Microsoft Corp.

     299          08/03/18        USD     102.00        USD     2,948          (49,783

3M Co.

     117          08/17/18        USD     210.00        USD     2,302          (21,294

Microsoft Corp.

     57          08/17/18        USD     105.00        USD     562          (6,384

Rogers Communications, Inc., Class B

     970          08/17/18        CAD     64.00        CAD     6,057          (50,173

TELUS Corp.

     947          08/17/18        CAD     46.00        CAD     4,422          (93,285
                          

 

 

 
                           $ (405,951
                          

 

 

 

OTC Options Written

 

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

Call

 

TELUS Corp.

  Goldman Sachs International     15,959       07/09/18     CAD     46.27     CAD     745     $ (7,553

DBS Group Holdings Ltd.

  Deutsche Bank AG     60,000       07/10/18     SGD     29.99     SGD     1,590       (37

DBS Group Holdings Ltd.

  Deutsche Bank AG     60,000       07/10/18     SGD     29.91     SGD     1,590       (44

Diageo PLC

  Goldman Sachs International     77,900       07/10/18     GBP     26.86     GBP     2,120       (62,103

Far EasTone Telecommincations Co. Ltd.

  Goldman Sachs International     109,000       07/10/18     USD     75.75     USD     8,585       (10,683

Heineken NV

  UBS AG     45,000       07/10/18     EUR     86.63     EUR     3,861       (34,255

SGS SA, Registered Shares

  Goldman Sachs International     1,300       07/10/18     CHF     2,577.54     CHF     3,421       (92,472

Schneider Electric SE

  UBS AG     29,500       07/10/18     EUR     79.66     EUR     2,101       (175

bpost SA

  Credit Suisse International     34,200       07/10/18     EUR     17.43     EUR     463       (20

AstraZeneca PLC

  UBS AG     129,800       07/11/18     GBP     55.20     GBP     6,803       (9,041

Deutsche Post AG, Registered Shares

  Goldman Sachs International     143,000       07/11/18     EUR     33.57     EUR     3,978       (42

Far EasTone Telecommincations Co. Ltd.

  Morgan Stanley & Co. International PLC     218,000       07/11/18     USD     77.89     USD     17,170       (8,820

Koninklijke Philips NV

  Morgan Stanley & Co. International PLC     163,000       07/11/18     EUR     36.27     EUR     5,914       (107,303

Novo Nordisk A/S, Class B

  Goldman Sachs International     74,100       07/11/18     DKK     306.74     DKK     21,837       (9,451

Rogers Communications, Inc., Class B

  Morgan Stanley & Co. International PLC     25,900       07/11/18     CAD     63.00     CAD     1,617       (9,221

Ansell Ltd.

  JPMorgan Chase Bank N.A.     32,000       07/12/18     AUD     26.93     AUD     869       (11,790

British American Tobacco PLC

  Citibank N.A.     296,800       07/12/18     GBP     39.09     GBP     11,329       (136,682

Imperial Brands PLC

  UBS AG     113,000       07/12/18     GBP     29.02     GBP     3,180       (31,716

Japan Tobacco, Inc.

  Goldman Sachs International     44,000       07/12/18     JPY     3,040.60     JPY     136,140       (32,393

Kone OYJ, Class B

  UBS AG     34,600       07/12/18     EUR     43.39     EUR     1,506       (34,492

Sanofi

  Morgan Stanley & Co. International PLC     60,000       07/12/18     EUR     66.89     EUR     4,124       (153,151

Taiwan Semiconductor Manufacturing Co. Ltd.

  Goldman Sachs International     350,000       07/12/18     USD     237.08     USD     75,775       (329

TELUS Corp.

  Citibank N.A.     33,400       07/13/18     CAD     46.34     CAD     1,560       (16,949

 

 

SCHEDULES OF INVESTMENTS      59  


Schedule of Investments  (unaudited) (continued)

June 30, 2018

  

BlackRock Enhanced International Dividend Trust (BGY)

 

OTC Options Written (continued)

 

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

Call (continued)

 

Amcor Ltd.

   Goldman Sachs International     624,700       07/18/18     AUD     13.88     AUD     8,996     $ (267,926

Anheuser-Busch InBev SA

   Morgan Stanley & Co. International PLC     22,000       07/18/18     EUR     83.88     EUR     1,900       (78,733

Ansell Ltd.

   Goldman Sachs International     52,600       07/18/18     AUD     26.80     AUD     1,428       (24,501

Deutsche Post AG, Registered Shares

   Morgan Stanley & Co. International PLC     110,000       07/18/18     EUR     33.57     EUR     3,060       (959

Diageo PLC

   Goldman Sachs International     88,950       07/18/18     GBP     27.45     GBP     2,421       (44,068

Far EasTone Telecommunications Co. Ltd.

   Goldman Sachs International     544,000       07/18/18     USD     77.13     USD     42,845       (33,657

Imperial Brands PLC

   HSBC Bank PLC     17,000       07/18/18     GBP     26.85     GBP     478       (32,820

Kone OYJ, Class B

   Credit Suisse International     52,000       07/18/18     EUR     43.47     EUR     2,264       (58,126

Sanofi

   Morgan Stanley & Co. International PLC     20,850       07/18/18     EUR     65.82     EUR     1,433       (80,623

Schneider Electric SE

   Barclays Bank PLC     18,500       07/18/18     EUR     76.74     EUR     1,318       (1,521

TELUS Corp.

   Citibank N.A.     46,000       07/18/18     CAD     45.85     CAD     2,148       (37,687

United Overseas Bank Ltd.

   JPMorgan Chase Bank N.A.     126,500       07/18/18     SGD     28.67     SGD     3,378       (3,928

bpost SA

   Credit Suisse International     57,000       07/18/18     EUR     15.21     EUR     771       (1,014

ANTA Sports Products Ltd.

   Goldman Sachs International     550,000       07/19/18     HKD     44.78     HKD     22,754       (43,714

Novartis AG, Registered Shares

   Morgan Stanley & Co. International PLC     97,900       07/19/18     CHF     76.10     CHF     7,344       (72,921

Unilever PLC

   Morgan Stanley & Co. International PLC     96,700       07/19/18     GBP     42.83     GBP     4,048       (37,595

Sonic Healthcare Ltd.

   UBS AG     62,300       07/24/18     AUD     23.80     AUD     1,527       (41,658

United Overseas Bank Ltd.

   UBS AG     111,900       07/24/18     SGD     29.32     SGD     2,988       (2,003

ANTA Sports Products Ltd.

   UBS AG     309,000       07/25/18     HKD     49.34     HKD     12,783       (7,142

Anheuser-Busch InBev SA

   UBS AG     16,700       07/25/18     EUR     84.29     EUR     1,442       (57,527

Ansell Ltd.

   Morgan Stanley & Co. International PLC     32,000       07/25/18     AUD     26.66     AUD     869       (19,748

Diageo PLC

   Goldman Sachs International     5,000       07/25/18     GBP     27.90     GBP     136       (1,630

GlaxoSmithKline PLC

   Citibank N.A.     572,700       07/25/18     GBP     15.50     GBP     8,751       (135,399

Heineken NV

   Deutsche Bank AG     25,300       07/25/18     EUR     87.76     EUR     2,170       (21,828

Kone OYJ, Class B

   UBS AG     83,000       07/25/18     EUR     42.77     EUR     3,614       (143,110

Nestle S.A., Registered Shares

   Morgan Stanley & Co. International PLC     68,000       07/25/18     CHF     76.40     CHF     5,219       (89,674

Novo Nordisk A/S, Class B

   UBS AG     44,700       07/25/18     DKK     308.50     DKK     13,173       (12,515

Sanofi

   UBS AG     71,300       07/25/18     EUR     67.27     EUR     4,900       (188,475

Sonic Healthcare Ltd.

   UBS AG     133,900       07/25/18     AUD     24.52     AUD     3,282       (48,443

Svenska Handelsbanken AB, Class A

   UBS AG     270,500       07/25/18     SEK     101.02     SEK     26,834       (46,070

TELUS Corp.

   Citibank N.A.     28,500       07/25/18     CAD     46.49     CAD     1,331       (14,982

Taiwan Semiconductor Manufacturing Co. Ltd.

   UBS AG     987,000       07/25/18     USD     228.60     USD     213,686       (34,466

bpost SA

   Deutsche Bank AG     28,800       07/25/18     EUR     16.07     EUR     390       (529

ANTA Sports Products Ltd.

   JPMorgan Chase Bank N.A.     258,000       07/26/18     HKD     50.34     HKD     10,673       (3,960

Amcor Ltd.

   UBS AG     317,300       07/26/18     AUD     14.13     AUD     4,569       (100,596

Ansell Ltd.

   Morgan Stanley & Co. International PLC     54,800       07/26/18     AUD     27.05     AUD     1,488       (23,397

Far EasTone Telecommunications Co. Ltd.

   Citibank N.A.     401,000       07/26/18     USD     78.15     USD     31,583       (17,953

Far EasTone Telecommunications Co. Ltd.

   Goldman Sachs International     450,000       07/26/18     USD     78.76     USD     35,442       (15,575

Japan Tobacco, Inc.

   Citibank N.A.     38,800       07/26/18     JPY     3,114.06     JPY     120,051       (15,119

Novartis AG, Registered Shares

   Morgan Stanley & Co. International PLC     6,750       07/26/18     CHF     75.85     CHF     506       (6,725

Unilever PLC

   Citibank N.A.     123,300       07/26/18     GBP     41.71     GBP     5,161       (152,640

TELUS Corp.

   Goldman Sachs International     24,600       07/27/18     CAD     46.23     CAD     1,149       (16,605

TELUS Corp.

   Goldman Sachs International     24,600       07/31/18     CAD     46.46     CAD     1,149       (14,516

Ansell Ltd.

   Citibank N.A.     35,000       08/01/18     AUD     26.57     AUD     950       (26,861

Deutsche Post AG, Registered Shares

   HSBC Bank PLC     183,500       08/01/18     EUR     28.30     EUR     5,105       (132,854

Diageo PLC

   Citibank N.A.     26,200       08/01/18     GBP     27.89     GBP     713       (11,797

Kone OYJ, Class B

   Credit Suisse International     52,000       08/01/18     EUR     43.47     EUR     2,264       (68,480

Sonic Healthcare Ltd.

   Morgan Stanley & Co. International PLC     78,800       08/01/18     AUD     24.40     AUD     1,931       (31,841

TELUS Corp.

   Citibank N.A.     28,500       08/01/18     CAD     46.49     CAD     1,331       (18,211

bpost SA

   Credit Suisse International     76,800       08/01/18     EUR     15.15     EUR     1,039       (5,483

Rogers Communications, Inc., Class B

   Morgan Stanley & Co. International PLC     72,300       08/02/18     CAD     62.10     CAD     4,514       (72,581

TELUS Corp.

   Goldman Sachs International     32,400       08/03/18     CAD     47.00     CAD     1,513       (10,165

SGS SA, Registered Shares

   UBS AG     1,700       08/07/18     CHF     2,574.49     CHF     4,473       (156,618

Ansell Ltd.

   Citibank N.A.     35,000       08/08/18     AUD     26.57     AUD     950       (29,095

AstraZeneca PLC

   Goldman Sachs International     16,200       08/08/18     GBP     52.35     GBP     849       (29,391

DBS Group Holdings Ltd.

   UBS AG     120,000       08/08/18     SGD     27.16     SGD     3,180       (42,486

GlaxoSmithKline PLC

   Morgan Stanley & Co. International PLC     34,100       08/08/18     GBP     15.25     GBP     521       (17,060

Imperial Brands PLC

   UBS AG     165,000       08/08/18     GBP     27.66     GBP     4,643       (234,149

Japan Tobacco, Inc.

   Goldman Sachs International     64,700       08/08/18     JPY     3,078.48     JPY     200,188       (51,819

Kone OYJ, Class B

   Credit Suisse International     23,600       08/08/18     EUR     43.32     EUR     1,028       (35,744

Sanofi

   Morgan Stanley & Co. International PLC     63,900       08/08/18     EUR     69.52     EUR     4,392       (90,225

Schneider Electric SE

   Morgan Stanley & Co. International PLC     29,300       08/08/18     EUR     71.59     EUR     2,087       (65,142

 

 

60    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

June 30, 2018

  

BlackRock Enhanced International Dividend Trust (BGY)

 

OTC Options Written (continued)

 

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

Call (continued)

                

Sonic Healthcare Ltd.

     JPMorgan Chase Bank N.A.       109,000     08/08/18     AUD     25.08     AUD       2,672     $ (25,136

Svenska Handelsbanken AB, Class A

     JPMorgan Chase Bank N.A.       421,000     08/08/18     SEK     98.45     SEK       41,763       (130,843

Unilever PLC

     Goldman Sachs International       72,000     08/08/18     GBP     41.88     GBP       3,014       (74,014

TELUS Corp.

     Citibank N.A.       46,100     08/09/18     CAD     45.90     CAD       2,153       (45,062

ANTA Sports Products Ltd.

     Goldman Sachs International       310,000     08/10/18     HKD     41.32     HKD       12,825       (108,817

Diageo PLC

     Deutsche Bank AG       82,300     08/10/18     GBP     27.66     GBP       2,240       (41,224

Ansell Ltd.

     Citibank N.A.       28,800     08/14/18     AUD     26.94     AUD       782       (19,485

Novartis AG, Registered Shares

     Morgan Stanley & Co. International PLC       124,000     08/14/18     CHF     73.40     CHF       9,302       (361,833

Nestle S.A., Registered Shares

     Morgan Stanley & Co. International PLC       134,500     08/15/18     CHF     77.24     CHF       10,323       (175,636

TELUS Corp.

     Royal Bank of Canada       63,500     08/15/18     CAD     47.24     CAD       2,965       (30,610

Amcor Ltd.

     JPMorgan Chase Bank N.A.       483,800     08/16/18     AUD     14.52     AUD       6,967       (109,795

Ansell Ltd.

     Morgan Stanley & Co. International PLC       38,600     08/22/18     AUD     27.62     AUD       1,048       (14,459

Rogers Communications, Inc., Class B

     Citibank N.A.       72,300     08/28/18     CAD     62.50     CAD       4,514       (83,559

TELUS Corp.

     Royal Bank of Canada       41,000     08/29/18     CAD     46.70     CAD       1,915       (31,154
                

 

 

 
  $ (5,202,429
                

 

 

 

Balances Reported in the Statements of Assets and Liabilities for OTC Derivatives

 

      Swap
Premium
Paid
     Swap
Premium
Received
     Unrealized
Appreciation
     Unrealized
Depreciation
     Value  

Options Written

     N/A        N/A      $ 1,388,709      $ (1,692,850    $ (5,608,380

Derivative Financial Instruments Categorized by Risk Exposure

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

 

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

Liabilities — Derivative Financial Instruments

                    

Options written

                    

Options written at value

   $      $      $ 5,608,380      $      $      $      $ 5,608,380  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

For the period ended June 30, 2018, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

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

Net Realized Gain (Loss) from:

                    

Options written

   $      $      $ 3,505,781      $      $      $      $ 3,505,781  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net Change in Unrealized Appreciation (Depreciation) on:

                    

Options written

   $      $      $ (1,888,476    $      $      $      $ (1,888,476
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Options:

 

Average value of option contracts written

   $ 4,967,544  

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

 

 

SCHEDULES OF INVESTMENTS      61  


Schedule of Investments  (unaudited) (continued)

June 30, 2018

  

BlackRock Enhanced International Dividend Trust (BGY)

 

Derivative Financial Instruments — Offsetting as of Period End

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

 

      Assets        Liabilities  

Options

   $        $ 5,608,380  
  

 

 

      

 

 

 

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

              (405,951
  

 

 

      

 

 

 

Total derivative assets and liabilities subject to an MNA

   $        $ 5,202,429  
  

 

 

      

 

 

 

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

 

Counterparty    Derivative
Liabilities

Subject to
an MNA by
Counterparty
       Derivatives
Available
for Offset
       Non-cash
Collateral

Pledged (a)
       Cash
Collateral
Pledged
       Net Amount
of
 Derivative
Liabilities  (b)
 

Barclays Bank PLC

   $ 1,521        $        $        $        $ 1,521  

Citibank N.A.

     761,481                   (761,481                  

Credit Suisse International

     168,867                   (168,867                  

Deutsche Bank AG

     63,662                   (63,662                  

Goldman Sachs International

     951,424                   (951,424                  

HSBC Bank PLC

     165,674                                     165,674  

JPMorgan Chase Bank N.A.

     285,452                            (285,452         

Morgan Stanley & Co. International PLC

     1,517,647                   (1,517,647                  

Royal Bank of Canada

     61,764                                     61,764  

UBS AG

     1,224,937                   (1,224,937                  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 
   $ 5,202,429        $        $ (4,688,018      $ (285,452      $ 228,869  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

Excess of collateral received from the individual counterparty is not shown for financial reporting purposes.

 
  (b) 

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

 

Fair Value Hierarchy as of Period End

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

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

 

      Level 1        Level 2        Level 3        Total  

Assets:

                 

Investments:

                 

Common Stocks:

                 

Australia

   $        $ 60,343,965        $        $ 60,343,965  

Belgium

     7,996,897          8,287,867                   16,284,764  

Canada

     73,544,931                            73,544,931  

China

              12,537,812                   12,537,812  

Denmark

              11,675,264                   11,675,264  

Finland

              26,521,638                   26,521,638  

France

              50,557,021                   50,557,021  

Germany

              30,162,999                   30,162,999  

India

              11,446,031                   11,446,031  

Japan

              11,773,823                   11,773,823  

Netherlands

              29,711,696                   29,711,696  

Singapore

              19,883,735                   19,883,735  

Sweden

              16,295,557                   16,295,557  

Switzerland

              90,205,611                   90,205,611  

Taiwan

              29,664,677                   29,664,677  

United Kingdom

              162,226,197                   162,226,197  

United States

     31,558,628                            31,558,628  

Preferred Stocks

                       4,889,604          4,889,604  

Short-Term Securities

     943,659                            943,659  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 114,044,115        $ 571,293,893        $ 4,889,604        $ 690,227,612  
  

 

 

      

 

 

      

 

 

      

 

 

 

 

 

62    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

June 30, 2018

  

BlackRock Enhanced International Dividend Trust (BGY)

 

      Level 1        Level 2        Level 3        Total  

Derivative Financial Instruments(a)

                 

Liabilities:

                 

Equity contracts

   $ (386,499      $ (5,221,881      $        $ (5,608,380
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

Derivative financial instruments are options written, which are shown at value.

 

Transfers between Level 1 and Level 2 were as follows:

 

      Transfers into
Level 1
 (a)
       Transfers out
of Level 1
 (a)
       Transfers Into
Level 2
 (a)
       Transfers out
of Level 2
 (a)
 

Assets:

 

Long-Term Investments:

 

Common Stocks

   $ 12,033,525        $ 17,468,213        $ 17,468,213        $ 12,033,525  
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

External pricing service used to reflect any significant market movements between the time the Trust valued such foreign securities and the earlier closing of foreign markets.

 

See notes to financial statements.

 

 

SCHEDULES OF INVESTMENTS      63  


Schedule of Investments  (unaudited)

June 30, 2018

  

BlackRock Health Sciences Trust (BME)

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  

Common Stocks — 98.3%

 

Biotechnology — 19.7%  

ACADIA Pharmaceuticals, Inc.(a)(b)

    37,400     $ 571,098  

Acceleron Pharma, Inc.(a)(b)

    35,700       1,732,164  

Acerta Pharma BV, Series B, (Acquired 02/01/16, cost $986,402)(c)(d)

    17,146,440       1,839,813  

Agios Pharmaceuticals, Inc.(a)(b)

    15,700       1,322,411  

Alexion Pharmaceuticals, Inc.(a)(b)

    28,400       3,525,860  

Alnylam Pharmaceuticals, Inc.(a)(b)

    15,000       1,477,350  

Amgen, Inc.(b)

    28,160       5,198,054  

Amicus Therapeutics, Inc.(a)(b)

    22,430       350,357  

AnaptysBio, Inc.(a)

    1,500       106,560  

Apellis Pharmaceuticals, Inc.(a)

    14,547       320,034  

Arena Pharmaceuticals, Inc.(a)(b)

    25,144       1,096,278  

Argenx SE, ADR(a)

    4,536       375,853  

Biogen, Inc.(a)(b)

    25,248       7,327,979  

Biohaven Pharmaceutical Holding Co. Ltd.(a)(b)

    7,050       278,616  

BioMarin Pharmaceutical, Inc.(a)(b)

    32,400       3,052,080  

Bluebird Bio, Inc.(a)(b)

    2,200       345,290  

Blueprint Medicines Corp.(a)(b)

    3,500       222,180  

Cellectis SA, ADR(a)

    15,095       427,038  

Cytokinetics, Inc.(a)(b)

    11,300       93,790  

Eidos Therapeutics, Inc.(a)

    4,486       91,245  

Galapagos NV, ADR(a)(b)

    5,700       525,426  

Gilead Sciences, Inc.(b)

    85,600       6,063,904  

Global Blood Therapeutics, Inc.(a)(b)

    5,388       243,538  

Halozyme Therapeutics, Inc.(a)(b)

    41,600       701,792  

HUA Medicine, Series D (Acquired 03/13/18, cost $82,789)(d)

    7,449       82,789  

HUA Medicine, Series E (Acquired 03/13/18, cost $260,147)(d)

    19,558       260,147  

Incyte Corp.(a)(b)

    22,900       1,534,300  

InflaRx NV, (Acquired 11/08/17, cost $253,349)(d)

    19,488       628,488  

InflaRx NV(a)

    29,508       951,633  

Insmed, Inc.(a)

    67,286       1,591,314  

Intercept Pharmaceuticals, Inc.(a)(b)

    2,600       218,166  

Madrigal Pharmaceuticals, Inc.(a)

    2,100       587,349  

Myovant Sciences Ltd.(a)

    16,236       371,317  

Neurocrine Biosciences, Inc.(a)(b)

    9,300       913,632  

Ovid therapeutics, Inc.(a)

    42,053       328,013  

Regeneron Pharmaceuticals, Inc.(a)(b)

    4,958       1,710,460  

Sage Therapeutics, Inc.(a)(b)

    13,552       2,121,295  

Sarepta Therapeutics, Inc.(a)(b)

    38,650       5,108,757  

Seattle Genetics, Inc.(a)(b)

    50,467       3,350,504  

Spark Therapeutics, Inc.(a)(b)

    9,010       745,668  

Spectrum Pharmaceuticals, Inc.(a)(b)

    55,600       1,165,376  

Syndax Pharmaceuticals, Inc.(a)(b)

    15,784       110,804  

TESARO, Inc.(a)

    17,831       792,945  

Ultragenyx Pharmaceutical, Inc.(a)(b)

    21,300       1,637,331  

Vertex Pharmaceuticals, Inc.(a)(b)

    34,005       5,779,490  
   

 

 

 
    67,278,488  
Diversified Consumer Services — 0.6%  

Service Corp. International(b)

    59,800       2,140,242  
   

 

 

 
Health Care Equipment & Supplies — 28.0%  

Abbott Laboratories(b)

    239,600       14,613,204  

Baxter International, Inc.(b)

    108,800       8,033,792  

Becton Dickinson & Co.(b)

    27,633       6,619,761  

Boston Scientific Corp.(a)(b)

    415,484       13,586,327  

Cooper Cos., Inc.(b)

    4,915       1,157,237  

Edwards Lifesciences Corp.(a)(b)

    31,500       4,585,455  

Globus Medical, Inc., Class A(a)(b)

    24,500       1,236,270  

Intuitive Surgical, Inc.(a)(b)

    12,100       5,789,608  

iRhythm Technologies, Inc.(a)(b)

    15,083       1,223,684  
Security   Shares     Value  
Health Care Equipment & Supplies (continued)  

Masimo Corp.(a)(b)

    38,600     $ 3,769,290  

Medtronic PLC(b)

    169,100       14,476,651  

Nevro Corp.(a)(b)

    24,600       1,964,310  

ResMed, Inc.(b)

    31,900       3,304,202  

Stryker Corp.(b)

    69,200       11,685,112  

Teleflex, Inc.(b)

    8,400       2,252,964  

Varian Medical Systems, Inc.(a)(b)

    14,900       1,694,428  
   

 

 

 
    95,992,295  
Health Care Providers & Services — 24.1%  

Amedisys, Inc.(a)(b)

    39,760       3,397,890  

AmerisourceBergen Corp.(b)

    16,300       1,389,901  

Anthem, Inc.

    35,800       8,521,474  

Centene Corp.(a)

    42,800       5,273,388  

Cigna Corp.(b)

    39,500       6,713,025  

DaVita, Inc.(a)(b)

    55,694       3,867,391  

HCA Healthcare, Inc.(b)

    18,094       1,856,444  

HealthEquity, Inc.(a)(b)

    12,400       931,240  

Humana, Inc.(b)

    27,600       8,214,588  

Molina Healthcare, Inc.(a)(b)

    11,300       1,106,722  

Quest Diagnostics, Inc.(b)

    80,100       8,806,194  

UnitedHealth Group, Inc.

    118,302       29,024,213  

Universal Health Services, Inc., Class B(b)

    16,800       1,872,192  

WellCare Health Plans, Inc.(a)(b)

    6,400       1,575,936  
   

 

 

 
    82,550,598  
Health Care Technology — 0.6%  

Teladoc, Inc.(a)(b)

    37,100       2,153,655  
   

 

 

 
Life Sciences Tools & Services — 3.4%  

Agilent Technologies, Inc.(b)

    32,200       1,991,248  

Charles River Laboratories International, Inc.(a)(b)

    7,771       872,372  

QIAGEN NV(a)

    48,300       1,746,528  

Thermo Fisher Scientific, Inc.(b)

    27,300       5,654,922  

Wuxi Biologics Cayman, Inc.(a)(e)

    120,500       1,336,723  
   

 

 

 
    11,601,793  
Pharmaceuticals — 21.9%  

Allergan PLC(b)

    34,985       5,832,699  

Assembly Biosciences, Inc.(a)

    2,200       86,262  

AstraZeneca PLC

    69,576       4,812,376  

AstraZeneca PLC — ADR(b)

    63,100       2,215,441  

Bristol-Myers Squibb Co.(b)

    104,762       5,797,529  

Chugai Pharmaceutical Co. Ltd.

    15,900       832,532  

Eli Lilly & Co.(b)

    65,800       5,614,714  

Jazz Pharmaceuticals PLC(a)(b)

    10,400       1,791,920  

Johnson & Johnson(b)

    41,970       5,092,640  

Medicines Co.(a)(b)

    18,600       682,620  

Merck & Co., Inc.(b)

    109,579       6,651,445  

Merck KGaA

    28,300       2,754,930  

Nektar Therapeutics(a)(b)

    7,400       361,342  

Novartis AG, ADR(b)

    33,900       2,560,806  

Novo Nordisk A/S — ADR(b)

    74,300       3,426,716  

Pfizer, Inc.(b)

    465,298       16,881,012  

Reata Pharmaceuticals, Inc., Class A(a)(b)

    5,860       204,924  

Sanofi

    20,400       1,637,294  

Sanofi — ADR(b)

    50,200       2,008,502  

Teva Pharmaceutical Industries Ltd. — ADR

    35,500       863,360  

Theravance Biopharma, Inc.(a)(b)

    4,700       106,596  

Tricida, Inc.(a)

    9,249       276,545  

Zoetis, Inc.(b)

    54,500       4,642,855  
   

 

 

 
    75,135,060  
   

 

 

 

Total Common Stocks — 98.3%
(Cost — $226,041,590)

 

    336,852,131  
   

 

 

 
 

 

 

64    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

June 30, 2018

  

BlackRock Health Sciences Trust (BME)

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  

Other Interests(f) — 0.0%

 

Pharmaceuticals — 0.0%  

Afferent Pharmaceuticals, Inc., Series C, (Acquired 09/30/15, Cost $0)(c)(d)

    190     $ 115,997  
   

 

 

 

Total Other Interests — 0.0%
(Cost — $—)

 

    115,997  
   

 

 

 

Preferred Stock

 

Biotechnology — 0.2%  

Rubius Therapeutics, Inc., (Acquired 2/23/18, cost $505,410), 0.00%(a)(c)(d)

    39,516       505,410  
   

 

 

 

Total Preferred Stocks — 0.2%
(Cost — $505,410)

 

    505,410  
   

 

 

 

Rights — 0.0%

 

Health Care Technology — 0.0%  

Dyax Corp., CVR (Expires 12/31/19)(c)

    61,727       141,355  
   

 

 

 

Total Rights — 0.0%
(Cost — $25,848)

 

    141,355  
   

 

 

 

Total Long-Term Investments — 98.5%
(Cost — $226,572,848)

 

    337,614,893  
   

 

 

 
Security   Shares     Value  

Short-Term Securities — 2.1%

 

BlackRock Liquidity Funds, T-Fund, Institutional Class,
1.80%(g)(h)

    7,272,162     $ 7,272,162  
   

 

 

 

Total Short-Term Securities — 2.1%
(Cost — $7,272,162)

 

    7,272,162  
   

 

 

 

Total Investments Before Options Written — 100.6%
(Cost — $233,845,010)

 

    344,887,055  
   

 

 

 

Options Written — (0.8)%
(Premiums Received — $2,899,524)

 

    (2,688,836
   

 

 

 

Total Investments, Net of Options Written — 99.8%
(Cost — $230,945,486)

 

    342,198,219  

Other Assets Less Liabilities — 0.2%

 

    531,212  
   

 

 

 

Net Assets — 100.0%

 

  $ 342,729,431  
   

 

 

 

 

(a) 

Non-income producing security.

(b) 

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

(c) 

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

(d) 

Restricted security as to resale, excluding 144A securities. As of period end, the Trust held restricted securities with a current value of $3,432,644 and an original cost of $2,088,097, which was 0.8% of its net assets.

(e) 

Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.

(f) 

Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities.

(g) 

Annualized 7-day yield as of period end.

 
(h) 

During the period ended June 30, 2018, investments in issuers considered to be affiliates of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate    Shares
Held at
12/31/17
     Net
Activity
     Shares
Held at
06/30/18
     Value at
06/30/18
     Income      Net
Realized
Gain (Loss)
 (a)
     Change in
Unrealized
Appreciation
(Depreciation)
 

BlackRock Liquidity Funds, T-Fund, Institutional Class

     14,301,421        (7,029,259      7,272,162      $ 7,272,162      $ 83,489      $      $  

SL Liquidity Series, LLC, Money Market Series

     120,903        (120,903                    1,241 (b)        13        7  
           

 

 

    

 

 

    

 

 

    

 

 

 
            $ 7,272,162      $ 84,730      $ 13      $ 7  
           

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

Includes net capital gain distributions, if applicable.

 
  (b) 

Represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities.

 

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

Derivative Financial Instruments Outstanding as of Period End

Exchange-Traded Options Written

 

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

Call

                          

Pfizer, Inc.

     30          07/02/18        USD     36.25        USD     109        $ (596

Allergan PLC

     63          07/06/18        USD     157.50        USD     1,050          (61,583

Amgen, Inc.

     7          07/06/18        USD     187.50        USD     129          (420

AstraZeneca PLC

     247          07/06/18        USD     37.50        USD     867          (1,235

Baxter International, Inc.

     45          07/06/18        USD     73.50        USD     332          (3,780

 

 

SCHEDULES OF INVESTMENTS      65  


Schedule of Investments  (unaudited) (continued)

June 30, 2018

  

BlackRock Health Sciences Trust (BME)

 

Exchange-Traded Options Written (continued)

 

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

Call (continued)

                          

Gilead Sciences, Inc.

     65          07/06/18        USD     69.50        USD     460        $ (10,693

Humana, Inc.

     67          07/06/18        USD     297.50        USD     1,994          (22,613

Pfizer, Inc.

     101          07/06/18        USD     36.00        USD     366          (4,494

Pfizer, Inc.

     101          07/06/18        USD     36.50        USD     366          (1,313

Pfizer, Inc.

     38          07/06/18        USD     37.00        USD     138          (171

Zoetis, Inc.

     148          07/06/18        USD     85.50        USD     1,261          (9,620

Novo Nordisk A/S — ADR

     229          07/09/18        USD     50.00        USD     1,056          (85

AmerisourceBergen Corp.

     44          07/13/18        USD     87.00        USD     375          (5,500

Amgen, Inc.

     72          07/13/18        USD     182.50        USD     1,329          (29,160

Becton Dickinson & Co.

     61          07/13/18        USD     232.50        USD     1,461          (53,070

Biogen, Inc.

     26          07/13/18        USD     295.00        USD     755          (8,970

Humana, Inc.

     22          07/13/18        USD     307.50        USD     655          (2,255

Medtronic PLC

     37          07/13/18        USD     88.50        USD     317          (407

Pfizer, Inc.

     152          07/13/18        USD     36.50        USD     551          (4,332

Pfizer, Inc.

     38          07/13/18        USD     37.00        USD     138          (418

Vertex Pharmaceuticals, Inc.

     109          07/13/18        USD     157.50        USD     1,853          (148,240

ACADIA Pharmaceuticals, Inc.

     149          07/20/18        USD     18.00        USD     228          (4,097

Acceleron Pharma, Inc.

     142          07/20/18        USD     40.00        USD     689          (129,220

Agilent Technologies, Inc.

     40          07/20/18        USD     67.50        USD     247          (180

Agios Pharmaceuticals, Inc.

     62          07/20/18        USD     105.00        USD     522          (1,240

Alexion Pharmaceuticals, Inc.

     56          07/20/18        USD     125.00        USD     695          (19,600

Allergan PLC

     76          07/20/18        USD     180.00        USD     1,267          (4,902

Alnylam Pharmaceuticals, Inc.

     60          07/20/18        USD     120.00        USD     591          (2,400

Amedisys, Inc.

     102          07/20/18        USD     80.00        USD     872          (55,845

Amedisys, Inc.

     58          07/20/18        USD     85.00        USD     496          (16,066

Arena Pharmaceuticals, Inc.

     16          07/20/18        USD     50.00        USD     70          (704

Baxter International, Inc.

     69          07/20/18        USD     72.50        USD     509          (14,594

BioMarin Pharmaceutical, Inc.

     56          07/20/18        USD     95.00        USD     528          (17,500

BioMarin Pharmaceutical, Inc.

     73          07/20/18        USD     100.00        USD     688          (11,498

Biogen, Inc.

     24          07/20/18        USD     280.00        USD     697          (33,120

Biohaven Pharmaceutical Holding Co. Ltd.

     28          07/20/18        USD     40.00        USD     111          (6,300

Bluebird Bio, Inc.

     8          07/20/18        USD     195.00        USD     126          (620

Blueprint Medicines Corp.

     14          07/20/18        USD     85.00        USD     89          (1,260

Boston Scientific Corp.

     658          07/20/18        USD     31.00        USD     2,152          (135,548

Bristol-Myers Squibb Co.

     142          07/20/18        USD     55.00        USD     786          (16,046

Cooper Cos., Inc.

     19          07/20/18        USD     230.00        USD     447          (15,580

Cytokinetics, Inc.

     45          07/20/18        USD     10.00        USD     37          (450

DaVita, Inc.

     125          07/20/18        USD     70.00        USD     868          (19,375

Edwards Lifesciences Corp.

     33          07/20/18        USD     145.00        USD     480          (11,385

Galapagos NV, ADR

     22          07/20/18        USD     105.00        USD     203          (10,780

Gilead Sciences, Inc.

     156          07/20/18        USD     67.50        USD     1,105          (60,450

Global Blood Therapeutics, Inc.

     21          07/20/18        USD     50.00        USD     95          (3,202

Globus Medical, Inc., Class A

     88          07/20/18        USD     57.50        USD     444          (1,760

HCA Healthcare, Inc.

     41          07/20/18        USD     105.00        USD     421          (3,997

Halozyme Therapeutics, Inc.

     170          07/20/18        USD     20.00        USD     287          (1,700

HealthEquity, Inc.

     49          07/20/18        USD     85.00        USD     368          (980

Incyte Corp.

     82          07/20/18        USD     75.00        USD     549          (2,665

Jazz Pharmaceuticals PLC

     40          07/20/18        USD     180.00        USD     689          (7,300

Johnson & Johnson

     102          07/20/18        USD     125.00        USD     1,238          (8,670

Masimo Corp.

     151          07/20/18        USD     100.00        USD     1,475          (18,875

Medicines Co.

     74          07/20/18        USD     39.00        USD     272          (5,180

Medtronic PLC

     5          07/20/18        USD     87.50        USD     43          (222

Medtronic PLC

     21          07/20/18        USD     90.00        USD     180          (189

Merck & Co., Inc.

     25          07/20/18        USD     60.00        USD     152          (3,812

Merck & Co., Inc.

     106          07/20/18        USD     62.50        USD     643          (4,081

Molina Healthcare, Inc.

     45          07/20/18        USD     100.00        USD     441          (8,100

Nektar Therapeutics

     29          07/20/18        USD     65.00        USD     142          (1,087

Neurocrine Biosciences, Inc.

     36          07/20/18        USD     94.25        USD     354          (22,744

Nevro Corp.

     98          07/20/18        USD     85.00        USD     783          (8,330

Novartis AG, ADR

     86          07/20/18        USD     80.00        USD     650          (1,075

Novo Nordisk A/S — ADR

     58          07/20/18        USD     48.90        USD     267          (1,097

 

 

66    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

June 30, 2018

  

BlackRock Health Sciences Trust (BME)

 

Exchange-Traded Options Written (continued)

 

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

Call (continued)

                          

Pfizer, Inc.

     137          07/20/18        USD     36.00        USD     497        $ (9,385

Pfizer, Inc.

     169          07/20/18        USD     35.00        USD     613          (25,012

Pfizer, Inc.

     139          07/20/18        USD     37.00        USD     504          (2,710

Quest Diagnostics, Inc.

     83          07/20/18        USD     106.90        USD     913          (31,349

Regeneron Pharmaceuticals, Inc.

     8          07/20/18        USD     320.00        USD     276          (22,200

Resmed, Inc.

     130          07/20/18        USD     106.95        USD     1,347          (9,808

Sage Therapeutics, Inc.

     39          07/20/18        USD     185.00        USD     610          (1,755

Sanofi — ADR

     200          07/20/18        USD     40.00        USD     800          (13,000

Seattle Genetics, Inc.

     201          07/20/18        USD     75.00        USD     1,334          (4,522

Spark Therapeutics, Inc.

     36          07/20/18        USD     79.00        USD     298          (23,431

Stryker Corp.

     280          07/20/18        USD     175.00        USD     4,728          (36,400

Syndax Pharmaceuticals, Inc.

     63          07/20/18        USD     10.00        USD     44          (1,260

Teladoc, Inc.

     148          07/20/18        USD     60.00        USD     859          (26,270

Theravance Biopharma, Inc.

     18          07/20/18        USD     25.00        USD     41          (585

Thermo Fisher Scientific, Inc.

     109          07/20/18        USD     220.00        USD     2,258          (2,725

Universal Health Services, Inc., Class B

     34          07/20/18        USD     120.00        USD     379          (1,020

Varian Medical Systems, Inc.

     59          07/20/18        USD     125.00        USD     671          (885

Vertex Pharmaceuticals, Inc.

     27          07/20/18        USD     160.00        USD     459          (33,345

WellCare Health Plans, Inc.

     25          07/20/18        USD     240.00        USD     616          (23,250

iRhythm Technologies, Inc.

     57          07/20/18        USD     85.00        USD     462          (8,408

Universal Health Services, Inc., Class B

     33          07/23/18        USD     116.50        USD     368          (2,189

Novartis AG, ADR

     66          07/25/18        USD     76.45        USD     499          (7,301

Abbott Laboratories

     486          07/27/18        USD     63.00        USD     2,964          (25,029

Baxter International, Inc.

     71          07/27/18        USD     76.00        USD     524          (6,638

Biogen, Inc.

     8          07/27/18        USD     310.00        USD     232          (2,620

Boston Scientific Corp.

     181          07/27/18        USD     31.50        USD     592          (38,553

Boston Scientific Corp.

     186          07/27/18        USD     33.50        USD     608          (18,600

Bristol-Myers Squibb Co.

     73          07/27/18        USD     55.00        USD     404          (11,826

Cigna Corp.

     158          07/27/18        USD     180.00        USD     2,685          (16,432

Edwards Lifesciences Corp.

     60          07/27/18        USD     155.00        USD     873          (16,650

Gilead Sciences, Inc.

     63          07/27/18        USD     72.00        USD     446          (11,624

Intercept Pharmaceuticals, Inc.

     10          07/27/18        USD     85.00        USD     84          (4,600

Medtronic PLC

     61          07/27/18        USD     88.50        USD     522          (2,318

Medtronic PLC

     85          07/27/18        USD     86.50        USD     728          (8,415

Merck & Co., Inc.

     106          07/27/18        USD     63.50        USD     643          (4,982

Pfizer, Inc.

     255          07/27/18        USD     37.00        USD     925          (6,885

Pfizer, Inc.

     73          07/27/18        USD     36.50        USD     265          (3,540

Sage Therapeutics, Inc.

     15          07/27/18        USD     165.00        USD     235          (8,025

Pfizer, Inc.

     71          07/30/18        USD     36.75        USD     258          (3,105

Pfizer, Inc.

     121          07/30/18        USD     36.50        USD     439          (5,874

Amicus Therapeutics, Inc.

     89          08/03/18        USD     16.00        USD     139          (8,455

Baxter International, Inc.

     136          08/03/18        USD     75.00        USD     1,004          (17,612

Baxter International, Inc.

     45          08/03/18        USD     73.50        USD     332          (9,180

Biogen, Inc.

     3          08/03/18        USD     300.00        USD     87          (2,085

Bristol-Myers Squibb Co.

     175          08/03/18        USD     56.00        USD     968          (22,838

Johnson & Johnson

     33          08/03/18        USD     126.00        USD     400          (3,399

Medtronic PLC

     74          08/03/18        USD     86.50        USD     634          (8,843

Pfizer, Inc.

     157          08/03/18        USD     36.50        USD     570          (9,499

Novo Nordisk A/S — ADR

     33          08/06/18        USD     45.01        USD     152          (6,471

Abbott Laboratories

     251          08/09/18        USD     62.50        USD     1,531          (22,009

AmerisourceBergen Corp.

     21          08/10/18        USD     88.00        USD     179          (5,512

Boston Scientific Corp.

     318          08/10/18        USD     32.50        USD     1,040          (50,403

Edwards Lifesciences Corp.

     33          08/10/18        USD     149.00        USD     480          (18,645

Eli Lilly & Co.

     133          08/10/18        USD     86.00        USD     1,135          (25,337

HCA Healthcare, Inc.

     31          08/10/18        USD     106.00        USD     318          (5,425

Intuitive Surgical, Inc.

     48          08/10/18        USD     495.00        USD     2,297          (58,800

Medtronic PLC

     74          08/10/18        USD     87.00        USD     634          (8,732

Pfizer, Inc.

     121          08/10/18        USD     36.50        USD     439          (7,865

Zoetis, Inc.

     70          08/10/18        USD     87.50        USD     596          (11,375

Abbott Laboratories

     221          08/17/18        USD     62.82        USD     1,348          (20,353

Agilent Technologies, Inc.

     88          08/17/18        USD     62.50        USD     544          (18,480

Alexion Pharmaceuticals, Inc.

     57          08/17/18        USD     125.00        USD     708          (35,625

 

 

SCHEDULES OF INVESTMENTS      67  


Schedule of Investments  (unaudited) (continued)

June 30, 2018

  

BlackRock Health Sciences Trust (BME)

 

Exchange-Traded Options Written (continued)

 

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

Call (continued)

                          

Amgen, Inc.

     33          08/17/18        USD     190.00        USD     609        $ (11,715

Baxter International, Inc.

     69          08/17/18        USD     72.50        USD     509          (20,700

Becton Dickinson & Co.

     49          08/17/18        USD     240.00        USD     1,174          (37,485

Biogen, Inc.

     39          08/17/18        USD     300.00        USD     1,132          (34,125

Boston Scientific Corp.

     318          08/17/18        USD     33.00        USD     1,040          (46,746

Charles River Laboratories International, Inc.

     36          08/17/18        USD     115.00        USD     404          (10,980

Eli Lilly & Co.

     130          08/17/18        USD     87.50        USD     1,109          (18,720

Gilead Sciences, Inc.

     37          08/17/18        USD     75.00        USD     262          (5,032

Humana, Inc.

     21          08/17/18        USD     305.00        USD     625          (14,805

Johnson & Johnson

     32          08/17/18        USD     125.00        USD     388          (5,728

Medtronic PLC

     319          08/17/18        USD     87.50        USD     2,731          (36,207

Merck & Co., Inc.

     95          08/17/18        USD     62.50        USD     577          (10,878

Merck & Co., Inc.

     106          08/17/18        USD     65.00        USD     643          (4,823

Pfizer, Inc.

     158          08/17/18        USD     37.00        USD     573          (7,268

Quest Diagnostics, Inc.

     83          08/17/18        USD     106.90        USD     913          (41,360

Quest Diagnostics, Inc.

     154          08/17/18        USD     110.00        USD     1,693          (49,280

Reata Pharmaceuticals, Inc., Class A

     23          08/17/18        USD     40.00        USD     80          (4,197

Regeneron Pharmaceuticals, Inc., Class A

     11          08/17/18        USD     340.00        USD     379          (23,100

Sarepta Therapeutics, Inc., Class A

     154          08/17/18        USD     145.00        USD     2,036          (107,415

Spectrum Pharmaceuticals, Inc., Class A

     222          08/17/18        USD     20.00        USD     465          (61,605

Teleflex, Inc , Class A

     33          08/17/18        USD     290.00        USD     885          (16,500

Teva Pharmaceutical Industries Ltd. — ADR, Class A

     124          08/17/18        USD     25.00        USD     302          (15,810

Ultragenyx Pharmaceutical, Inc., Class A

     85          08/17/18        USD     80.00        USD     653          (36,125

Service Corp. International, Class A

     53          08/20/18        USD     36.75        USD     190          (5,977
                          

 

 

 
     $ (2,548,831
    

 

 

 

OTC Options Written

 

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

Call

 

InflaRx NV

   UBS AG      11,800        07/02/18      USD     39.00      USD     381      $  

Insmed, Inc.

   Barclays Bank PLC      13,500        07/09/18      USD     27.50      USD     319        (897

DaVita, Inc.

   UBS AG      9,700        07/10/18      USD     70.46      USD     674        (8,289

Myovant Sciences Ltd.

   Bank of America N.A.      7,100        07/11/18      USD     24.98      USD     162        (1,492

Merck & Co., Inc.

   Morgan Stanley & Co. International PLC      11,300        07/19/18      EUR     89.51      EUR     942        (1,907

Service Corp. International

   Barclays Bank PLC      18,600        07/24/18      USD     35.48      USD     666        (18,247

Wuxi Biologics Cayman, Inc.

   JPMorgan Chase Bank N.A.      48,000        07/24/18      HKD     89.71      HKD     4,177        (22,519

Insmed, Inc.

   Barclays Bank PLC      13,500        07/25/18      USD     27.50      USD     319        (5,098

Sanofi

   UBS AG      8,100        07/25/18      EUR     67.27      EUR     557        (21,412

Novo Nordisk A/S — ADR

   Barclays Bank PLC      6,400        07/26/18      USD     45.41      USD     295        (9,708

AstraZeneca PLC

   Goldman Sachs International      27,800        08/08/18      GBP     52.35      GBP     1,457        (50,436
                     

 

 

 
   $ (140,005
                     

 

 

 

Balances Reported in the Statements of Assets and Liabilities for OTC Derivatives

 

      Swap
Premium
Paid
     Swap
Premium
Received
     Unrealized
Appreciation
     Unrealized
Depreciation
     Value  

Options Written

     N/A        N/A      $ 893,309      $ (682,621    $ (2,688,836

 

 

68    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

June 30, 2018

  

BlackRock Health Sciences Trust (BME)

 

Derivative Financial Instruments Categorized by Risk Exposure

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

 

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

Liabilities — Derivative Financial Instruments

                    

Options written

                    

Options written, at value

   $      $      $ 2,688,836      $      $      $      $ 2,688,836  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

For the period ended June 30, 2018, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

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

Net Realized Gain (Loss) from:

                                

Options purchased(a)

   $        $        $ (360      $        $        $        $ (360

Options written

                       (2,080,545                                   (2,080,545
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 
   $        $        $ (2,080,905      $        $        $        $ (2,080,905
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

Options purchased are included in net realized gain (loss) from investments.

 

 

Net Change in Unrealized Appreciation on:

                                

Options written

   $        $        $ 6,401        $        $        $        $ 6,401  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Options:

 

Average value of option contracts written

   $ (a)  

Average value of option contracts written

   $ 2,243,250  

 

  (a) 

Derivative not held at quarter-end. The amount shown in the Statements of Operation reflect the results of activity during the period.

 

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

Derivative Financial Instruments — Offsetting as of Period End:

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

 

      Assets        Liabilities  

Derivative Financial Instruments:

       

Options

   $        $ 2,688,836  
  

 

 

      

 

 

 

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

              (2,548,831
  

 

 

      

 

 

 

Total derivative assets and liabilities subject to an MNA

   $        $ 140,005  
  

 

 

      

 

 

 

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

 

Counterparty    Derivative
Liabilities
Subject to
an MNA by
Counterparty
       Derivatives
Available
for Offset
       Non-cash
Collateral
Pledged
       Cash
Collateral
Pledged
       Net Amount
of Derivative
Liabilities
  (a)
 

Bank of America N.A.

   $ 1,492        $        $        $        $ 1,492  

Barclays Bank PLC

     33,950                                     33,950  

Goldman Sachs International

     50,436                                     50,436  

JPMorgan Chase Bank N.A.

     22,519                                     22,519  

Morgan Stanley & Co. International PLC

     1,907                                     1,907  

UBS AG

     29,701                                     29,701  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 
   $ 140,005        $        $        $        $ 140,005  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

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

 

 

 

SCHEDULES OF INVESTMENTS      69  


Schedule of Investments  (unaudited) (continued)

June 30, 2018

  

BlackRock Health Sciences Trust (BME)

 

Fair Value Hierarchy as of Period End

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

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

 

      Level 1        Level 2        Level 3        Total  

Assets:

 

Investments:

 

Common Stocks:

 

Biotechnology

   $ 64,467,251        $ 628,488        $ 2,182,749        $ 67,278,488  

Diversified Consumer Services

     2,140,242                            2,140,242  

Health Care Equipment & Supplies

     95,992,295                            95,992,295  

Health Care Providers & Services

     82,550,598                            82,550,598  

Health Care Technology

     2,153,655                            2,153,655  

Life Sciences Tools & Services

     10,265,070          1,336,723                   11,601,793  

Pharmaceuticals

     65,097,928          10,037,132                   75,135,060  

Other Interests

                       115,997          115,997  

Preferred Stock

                       505,410          505,410  

Rights

                       141,355          141,355  

Short-Term Securities

     7,272,162                            7,272,162  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 329,939,201        $ 12,002,343        $ 2,945,511        $ 344,887,055  
  

 

 

      

 

 

      

 

 

      

 

 

 

Derivative Financial Instruments(a)

 

Liabilities:

 

Equity contracts

   $ (2,345,082      $ (343,754      $        $ (2,688,836
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

Derivative financial instruments are options written, which are shown at value.

 

Transfers between Level 1 and Level 2 were as follows:

 

      Transfers into
Level 1
       Transfers out of
Level 1
 (a)
       Transfers Into
Level 2
 (a)
       Transfers out of
Level 2
 

Assets:

 

Long-Term Investments:

 

Common Stocks

   $        $ 548,148        $ 548,148        $  
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

External pricing service used to reflect any significant market movements between the time the Trust valued such foreign securities and the earlier closing of foreign markets.

 

A reconciliation of Level 3 investments is presented when the Trust had a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:

 

     

Common

Stocks

      

Preferred

Stocks

       Other
Interests
       Rights        Total  

Assets:

                      

Opening Balance, as of December 31, 2017

   $ 1,916,972        $        $ 387,926        $ 141,355        $ 2,446,253  

Transfers into Level 3

                                          

Transfers out of Level 3

                                          

Accrued discounts/premiums

                                          

Net realized gain (loss)

                          

Net change in unrealized appreciation (depreciation)(a)(b)

     (77,160                 (271,928                 (349,088

Purchases

     342,936          505,410                            848,346  

Sales

                                          
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

Closing Balance, as of June 30, 2018

   $ 2,182,748        $ 505,410        $ 115,998        $ 141,355        $ 2,945,511  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

Net change in unrealized appreciation (depreciation) on investments still held at June 30, 2018(b)

   $ (77,159      $        $ (271,929      $        $ (349,088
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

Included in the related net change in unrealized appreciation (depreciation) in the Statements of Operations.

 
  (b) 

Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on derivative financial instruments still held at June 30, 2018 is generally due to derivative financial instruments no longer held or categorized as Level 3 at period end.

 

See notes to financial statements.

 

 

70    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited)

June 30, 2018

  

BlackRock Resources & Commodities Strategy Trust (BCX)

(Percentages shown are based on Net Assets)

 

Security     Shares     Value  

Common Stocks — 98.4%

 

Chemicals — 11.9%  

Albemarle Corp.(a)

      91,502     $ 8,631,384  

CF Industries Holdings, Inc.(a)

      144,743       6,426,589  

FMC Corp.(a)

      196,837       17,559,829  

Nufarm Ltd.

      1,447,185       9,485,131  

Nutrien Ltd.(a)

      1,094,186       59,501,835  

Umicore SA

      132,428       7,559,973  

Yara International ASA

      210,760       8,719,600  
   

 

 

 
    117,884,341  
Containers & Packaging — 4.6%  

International Paper Co.(a)

      138,669       7,221,881  

Packaging Corp. of America(a)

      177,059       19,793,426  

Smurfit Kappa Group PLC

      464,673       18,759,400  
   

 

 

 
    45,774,707  
Electronic Equipment, Instruments & Components — 0.7%  

Trimble, Inc.(a)(b)

      201,408       6,614,239  
   

 

 

 
Energy Equipment & Services — 1.7%  

Baker Hughes a GE Co.(a)

      212,620       7,022,839  

Halliburton Co.(a)

      221,372       9,975,022  
   

 

 

 
    16,997,861  
Food Products — 7.7%  

Archer-Daniels-Midland Co.(a)

      680,887       31,205,051  

Bunge Ltd.(a)

      96,788       6,747,091  

Glanbia PLC

      628,916       11,677,725  

Hormel Foods Corp.(a)

      426,641       15,875,312  

Origin Enterprises PLC

      583,252       4,202,521  

Tyson Foods, Inc., Class A(a)

      83,491       5,748,355  
   

 

 

 
    75,456,055  
Machinery — 1.3%  

Deere & Co.(a)

      88,995       12,441,501  
   

 

 

 
Metals & Mining — 34.9%  

ArcelorMittal

      776,992       22,669,328  

BHP Billiton PLC

      2,264,226       50,814,714  

First Quantum Minerals Ltd.

      1,023,945       15,086,764  

Franco-Nevada Corp.

      110,278       8,048,662  

Fresnillo PLC

      564,708       8,509,983  

Glencore PLC(b)

      11,099,845       52,699,723  

Lundin Mining Corp.

      1,509,300       8,392,335  

Neo Lithium Corp.(b)

      5,022,674       5,004,908  

Nevsun Resources Ltd.

      3,527,285       12,261,585  

Newcrest Mining Ltd.

      1,174,528       19,070,967  

OZ Minerals Ltd.

      1,292,966       9,016,014  

Polyus PJSC

      128,648       4,220,500  

Rio Tinto PLC — ADR(a)

      767,833       42,599,375  

Stelco Holdings, Inc.

      1,079,971       20,824,756  

Teck Resources Ltd., Class B(a)

      725,386       18,461,074  

Vale SA — ADR(a)

      2,713,425       34,786,108  

Wheaton Precious Metals Corp.

      571,192       12,600,496  
   

 

 

 
    345,067,292  
Oil, Gas & Consumable Fuels — 34.1%  

BP PLC — ADR(a)

      1,143,873       52,229,241  

Cairn Energy PLC(b)

      1,965,097       6,452,517  

Canadian Natural Resources Ltd.

      407,563       14,710,276  

Chevron Corp.(a)

      129,953       16,429,958  

CNOOC Ltd.

      6,962,000       11,929,696  

ConocoPhillips(a)

      212,222       14,774,896  

Devon Energy Corp.(a)

      231,866       10,192,829  

Encana Corp.

      374,738       4,894,270  

EQT Corp.

      115,770       6,388,189  

Exxon Mobil Corp.(a)

      337,908       27,955,129  
Security     Shares     Value  
Oil, Gas & Consumable Fuels (continued)  

Kosmos Energy Ltd.(b)

      600,090     $ 4,962,744  

Pioneer Natural Resources Co.(a)

      61,744       11,684,435  

Royal Dutch Shell PLC — ADR,
Class A(a)

      833,537       57,705,766  

Suncor Energy, Inc.

      913,331       37,168,226  

TOTAL SA

      757,330       45,989,421  

Valero Energy Corp.

      121,400       13,454,762  
   

 

 

 
    336,922,355  
Paper & Forest Products — 1.5%  

Mondi PLC

      538,826       14,536,491  

Precious Woods Holding AG(b)

      20,000       153,489  

Quintis Ltd.(b)(c)(d)

      7,903,565       67  
   

 

 

 
    14,690,047  
   

 

 

 

Total Common Stocks — 98.4%
(Cost — $805,565,896)

 

    971,848,398  
   

 

 

 
            Par
(000)
        

Corporate Bonds — 1.6%

 

Metals & Mining — 1.6%  

Beadell Resources LTD, 6.00%, 06/30/23(c)

    USD       1,800       1,799,820  

Pilgangoora Operations Pty Ltd, 12.00%, 06/21/22

      9,000       10,077,705  

Osisko Gold Royalties, Ltd., 4.00%, 12/31/22

    CAD       5,652       4,299,243  
   

 

 

 
    16,176,768  
   

 

 

 

Total Corporate Bonds — 1.6%
(Cost — $15,311,494)

 

    16,176,768  
   

 

 

 

Total Long-Term Investments — 100.0%
(Cost — $820,877,390)

 

    988,025,166  
   

 

 

 
            Shares         

Short-Term Securities — 0.8%

 

BlackRock Liquidity Funds, T-Fund, Institutional Class, 1.80%(e)(g)

      7,893,261       7,893,261  

SL Liquidity Series, LLC, Money Market Series, 2.16%(e)(f)(g)

      30,670       30,673  

Total Short-Term Securities — 0.8%
(Cost — $7,923,928)

 

    7,923,934  
     

 

 

 

Total Investments Before Options Written — 100.8%
(Cost — $828,801,318)

 

  $ 995,949,100  
     

 

 

 

Options Written — (0.7)%
(Premiums Received — $9,065,805)

 

    (7,080,083
     

 

 

 

Total Investments, Net of Options Written — 100.1%
(Cost — $819,735,513)

 

    988,869,017  

Liabilities in Excess of Other Assets — (0.1)%

 

    (693,588
     

 

 

 

Net Assets Applicable to Common Shares — 100.0%

 

  $ 988,175,429  
     

 

 

 

 

(a) 

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

(b) 

Non-income producing security.

(c) 

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

(d) 

Security, or a portion of the security, is on loan.

(e) 

Annualized 7-day yield as of period end.

(f) 

Security was purchased with the cash collateral from loaned securities.

 

 

 

SCHEDULES OF INVESTMENTS      71  


Schedule of Investments  (unaudited) (continued)

June 30, 2018

  

BlackRock Resources & Commodities Strategy Trust (BCX)

 

(g) 

During the period ended June 30, 2018, investments in issuers considered to be affiliates of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate    Shares
Held at
12/31/17
     Net
Activity
     Shares
Held at
06/30/18
     Value at
06/30/18
     Income      Net
Realized
Gain (Loss)
 (a)
     Change in
Unrealized

Appreciation
(Depreciation)
 

BlackRock Liquidity Funds, T-Fund, Institutional Class

     16,156,750        (8,263,489      7,893,261      $ 7,893,261      $ 73,740      $      $  

SL Liquidity Series, LLC, Money Market Series

     488,032        (457,362      30,670        30,673        2,510 (b)        2        45  
           

 

 

    

 

 

    

 

 

    

 

 

 
   $ 7,923,934      $ 76,250      $ 2      $ 45  
           

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

Includes net capital gain distributions, if applicable.

 
  (b) 

Represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities.

 

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

Derivative Financial Instruments Outstanding as of Period End

Exchange-Traded Options Written

 

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

Call

                          

Archer-Daniels-Midland Co.

     501          07/06/18        USD     45.00        USD     2,296        $ (51,854

Chevron Corp.

     151          07/06/18        USD     128.00        USD     1,909          (8,909

ConocoPhillips

     236          07/06/18        USD     70.00        USD     1,643          (17,110

Deere & Co.

     66          07/06/18        USD     165.00        USD     923          (924

Devon Energy Corp.

     114          07/06/18        USD     43.50        USD     501          (11,856

Devon Energy Corp.

     129          07/06/18        USD     41.00        USD     567          (39,668

Halliburton Co.

     143          07/06/18        USD     51.50        USD     644          (429

Hormel Foods Corp.

     240          07/06/18        USD     36.50        USD     893          (20,400

International Paper Co.

     134          07/06/18        USD     55.00        USD     698          (938

International Paper Co.

     70          07/06/18        USD     56.00        USD     365          (280

Tyson Foods, Inc., Class A

     84          07/06/18        USD     73.00        USD     578          (840

Tyson Foods, Inc., Class A

     96          07/06/18        USD     72.00        USD     661          (1,440

Vale SA — ADR

     852          07/06/18        USD     15.00        USD     1,092          (1,704

Archer-Daniels-Midland Co.

     330          07/13/18        USD     44.00        USD     1,512          (68,475

BP PLC — ADR

     534          07/13/18        USD     46.00        USD     2,438          (29,370

Chevron Corp.

     150          07/13/18        USD     129.00        USD     1,896          (12,675

ConocoPhillips

     278          07/13/18        USD     70.00        USD     1,935          (33,221

Exxon Mobil Corp.

     251          07/13/18        USD     83.00        USD     2,077          (25,602

Hormel Foods Corp.

     215          07/13/18        USD     36.00        USD     800          (29,563

Hormel Foods Corp.

     215          07/13/18        USD     36.50        USD     800          (22,037

International Paper Co.

     134          07/13/18        USD     55.50        USD     698          (1,407

Pioneer Natural Resources Co.

     87          07/13/18        USD     197.50        USD     1,646          (12,397

Royal Dutch Shell PLC — ADR, Class A

     157          07/13/18        USD     71.00        USD     1,087          (5,495

Teck Resources Ltd., Class B

     619          07/13/18        USD     31.50        USD     1,575          (103,992

Tyson Foods, Inc., Class A

     332          07/13/18        USD     69.00        USD     2,286          (35,690

Vale SA — ADR

     590          07/13/18        USD     14.00        USD     756          (3,835

Vale SA — ADR

     752          07/13/18        USD     14.50        USD     964          (2,632

Albemarle Corp.

     370          07/20/18        USD     95.00        USD     3,490          (81,400

Archer-Daniels-Midland Co.

     410          07/20/18        USD     45.00        USD     1,879          (54,120

BP PLC — ADR

     1,498          07/20/18        USD     47.00        USD     6,840          (50,932

Baker Hughes a GE Co.

     233          07/20/18        USD     39.00        USD     770          (2,330

Baker Hughes a GE Co.

     311          07/20/18        USD     36.00        USD     1,027          (7,775

Bunge Ltd.

     116          07/20/18        USD     72.50        USD     809          (11,020

CF Industries Holdings, Inc.

     110          07/20/18        USD     42.50        USD     488          (29,095

Canadian Natural Resources Ltd.

     195          07/20/18        CAD     48.00        CAD     925          (12,534

Chevron Corp.

     149          07/20/18        USD     130.00        USD     1,884          (14,229

ConocoPhillips

     30          07/20/18        USD     72.50        USD     209          (1,770

ConocoPhillips

     236          07/20/18        USD     70.50        USD     1,643          (29,618

Deere & Co.

     80          07/20/18        USD     165.00        USD     1,118          (1,360

Devon Energy Corp.

     150          07/20/18        USD     38.00        USD     659          (92,625

 

 

72    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

June 30, 2018

  

BlackRock Resources & Commodities Strategy Trust (BCX)

 

Exchange-Traded Options Written (continued)

 

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

Call (continued)

                          

Devon Energy Corp.

     69          07/20/18        USD     44.00        USD     303        $ (10,315

Devon Energy Corp.

     82          07/20/18        USD     46.00        USD     360          (5,658

Encana Corp.

     860          07/20/18        CAD     17.00        CAD     1,477          (47,427

FMC Corp.

     304          07/20/18        USD     92.50        USD     2,712          (25,840

First Quantum Minerals Ltd.

     1,000          07/20/18        CAD     18.00        CAD     1,937          (140,342

First Quantum Minerals Ltd.

     391          07/20/18        CAD     23.00        CAD     757          (3,272

First Quantum Minerals Ltd.

     1,299          07/20/18        CAD     22.00        CAD     2,516          (18,280

Franco-Nevada Corp.

     299          07/20/18        CAD     94.00        CAD     2,869          (65,616

Hormel Foods Corp.

     139          07/20/18        USD     36.25        USD     517          (17,337

International Paper Co.

     19          07/20/18        USD     57.50        USD     99          (114

Lundin Mining Corp.

     633          07/20/18        CAD     9.00        CAD     463          (1,926

Nutrien Ltd.

     250          07/20/18        USD     51.55        USD     1,360          (80,311

Nutrien Ltd.

     800          07/20/18        USD     55.00        USD     4,350          (72,000

Packaging Corp. of America

     480          07/20/18        USD     125.00        USD     5,366          (4,800

Rio Tinto PLC — ADR

     373          07/20/18        USD     62.50        USD     2,069          (3,730

Rio Tinto PLC — ADR

     249          07/20/18        USD     60.00        USD     1,381          (3,735

Royal Dutch Shell PLC — ADR, Class A

     558          07/20/18        USD     70.00        USD     3,863          (51,615

Royal Dutch Shell PLC — ADR, Class A

     579          07/20/18        USD     75.00        USD     4,008          (4,342

Suncor Energy, Inc.

     2,088          07/20/18        CAD     54.00        CAD     11,171          (131,031

Teck Resources Ltd., Class B

     264          07/20/18        USD     29.00        USD     672          (2,376

Trimble, Inc.

     148          07/20/18        USD     35.00        USD     486          (1,850

Vale SA — ADR

     1,325          07/20/18        USD     15.00        USD     1,699          (4,637

Archer-Daniels-Midland Co.

     254          07/27/18        USD     46.00        USD     1,164          (21,082

Archer-Daniels-Midland Co.

     264          07/27/18        USD     47.00        USD     1,210          (10,824

BP PLC — ADR

     535          07/27/18        USD     47.00        USD     2,443          (25,948

BP PLC — ADR

     338          07/27/18        USD     46.00        USD     1,543          (29,913

CF Industries Holdings, Inc.

     361          07/27/18        USD     45.50        USD     1,603          (41,335

Chevron Corp.

     56          07/27/18        USD     130.00        USD     708          (8,428

ConocoPhillips

     1          07/27/18        USD     69.00        USD     7          (234

Deere & Co.

     130          07/27/18        USD     147.00        USD     1,817          (25,025

Devon Energy Corp.

     82          07/27/18        USD     45.50        USD     360          (8,897

Devon Energy Corp.

     31          07/27/18        USD     45.00        USD     136          (3,983

Exxon Mobil Corp.

     820          07/27/18        USD     85.00        USD     6,784          (65,600

Halliburton Co.

     374          07/27/18        USD     49.50        USD     1,685          (10,659

International Paper Co.

     18          07/27/18        USD     59.00        USD     94          (162

Nutrien Ltd.

     735          07/27/18        USD     52.50        USD     3,997          (191,100

Nutrien Ltd.

     500          07/27/18        USD     55.00        USD     2,719          (56,250

Pioneer Natural Resources Co.

     75          07/27/18        USD     202.50        USD     1,419          (14,250

Royal Dutch Shell PLC — ADR, Class A

     186          07/27/18        USD     71.00        USD     1,288          (14,880

Royal Dutch Shell PLC — ADR, Class A

     579          07/27/18        USD     69.50        USD     4,008          (82,508

Teck Resources Ltd., Class B

     410          07/27/18        USD     29.50        USD     1,043          (20,090

Vale SA — ADR

     398          07/27/18        USD     14.50        USD     510          (3,980

Vale SA — ADR

     1,030          07/27/18        USD     13.50        USD     1,320          (28,840

Bunge Ltd.

     85          08/02/18        USD     72.01        USD     593          (13,504

Archer-Daniels-Midland Co.

     264          08/03/18        USD     47.00        USD     1,210          (20,460

BP PLC — ADR

     686          08/03/18        USD     46.00        USD     3,132          (79,919

Devon Energy Corp.

     69          08/03/18        USD     43.50        USD     303          (17,319

Exxon Mobil Corp.

     137          08/03/18        USD     83.00        USD     1,133          (26,784

International Paper Co.

     105          08/03/18        USD     54.50        USD     547          (8,505

Pioneer Natural Resources Co.

     22          08/03/18        USD     190.00        USD     416          (15,510

Pioneer Natural Resources Co.

     41          08/03/18        USD     200.00        USD     776          (13,017

Teck Resources Ltd., Class B

     210          08/03/18        USD     27.00        USD     534          (13,650

Vale SA — ADR

     1,545          08/03/18        USD     13.50        USD     1,981          (50,985

Archer-Daniels-Midland Co.

     350          08/10/18        USD     46.00        USD     1,604          (46,725

CF Industries Holdings, Inc.

     107          08/10/18        USD     46.00        USD     475          (16,157

Chevron Corp.

     13          08/10/18        USD     128.00        USD     164          (3,874

Devon Energy Corp.

     31          08/10/18        USD     46.00        USD     136          (4,820

Hormel Foods Corp.

     367          08/10/18        USD     37.50        USD     1,366          (37,618

Teck Resources Ltd., Class B

     800          08/10/18        USD     26.00        USD     2,036          (94,400

Valero Energy Corp.

     480          08/10/18        USD     115.00        USD     5,320          (123,120

Archer-Daniels-Midland Co.

     350          08/17/18        USD     46.00        USD     1,604          (48,125

BP PLC — ADR

     671          08/17/18        USD     46.00        USD     3,064          (83,204

 

 

SCHEDULES OF INVESTMENTS      73  


Schedule of Investments  (unaudited) (continued)

June 30, 2018

  

BlackRock Resources & Commodities Strategy Trust (BCX)

 

Exchange-Traded Options Written (continued)

 

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

Call (continued)

                          

BP PLC — ADR

     338          08/17/18        USD     47.00        USD     1,543        $ (27,716

Bunge Ltd.

     101          08/17/18        USD     72.50        USD     704          (23,987

Canadian Natural Resources Ltd.

     778          08/17/18        CAD     44.00        CAD     3,692          (248,553

ConocoPhillips

     72          08/17/18        USD     70.00        USD     501          (18,396

Deere & Co.

     79          08/17/18        USD     150.00        USD     1,104          (22,712

Devon Energy Corp.

     89          08/17/18        USD     42.00        USD     391          (33,153

Devon Energy Corp.

     82          08/17/18        USD     46.00        USD     360          (14,063

Encana Corp.

     1,995          08/17/18        CAD     17.00        CAD     3,425          (164,650

Exxon Mobil Corp.

     143          08/17/18        USD     82.50        USD     1,183          (34,749

Halliburton Co.

     374          08/17/18        USD     50.00        USD     1,685          (19,635

International Paper Co.

     74          08/17/18        USD     55.00        USD     385          (6,031

Nutrien Ltd.

     735          08/17/18        USD     55.00        USD     3,997          (132,300

Packaging Corp. of America

     228          08/17/18        USD     120.00        USD     2,549          (29,640

Pioneer Natural Resources Co.

     21          08/17/18        USD     185.00        USD     397          (25,095

Royal Dutch Shell PLC — ADR, Class A

     139          08/17/18        USD     72.50        USD     962          (9,730

Suncor Energy, Inc.

     1,565          08/17/18        CAD     54.00        CAD     8,373          (172,612

Teck Resources Ltd., Class B

     600          08/17/18        USD     30.00        USD     1,527          (17,100

Trimble, Inc.

     220          08/17/18        USD     35.00        USD     722          (14,300

Vale SA — ADR

     1,775          08/17/18        USD     15.00        USD     2,276          (20,412

Vale SA — ADR

     437          08/17/18        USD     14.00        USD     560          (12,673

Vale SA — ADR

     2,150          09/21/18        USD     13.00        USD     2,756          (178,450
                          

 

 

 
     $ (4,235,746
                          

 

 

 

OTC Options Written

 

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

Call

 

FMC Corp.

   Citibank N.A.      35,000        07/09/18      USD     90.75      USD     3,122      $ (29,217

First Quantum Minerals Ltd.

   Goldman Sachs International      142,800        07/09/18      CAD     20.76      CAD     2,766        (21,334

Nutrien Ltd.

   Citibank N.A.      50,000        07/09/18      USD     47.93      USD     2,719        (326,789

Stelco Holdings, Inc.

   Goldman Sachs International      36,300        07/09/18      CAD     27.21      CAD     920        (1,356

Glanbia PLC

   Goldman Sachs International      79,700        07/10/18      EUR     14.45      EUR     1,267        (135,048

Rio Tinto PLC — ADR

   Citibank N.A.      53,400        07/10/18      USD     55.85      USD     2,963        (47,448

BHP Billiton PLC

   HSBC Bank PLC      232,700        07/11/18      GBP     17.65      GBP     3,958        (42,220

TOTAL SA

   UBS AG      81,800        07/11/18      EUR     54.88      EUR     4,254        (2,306

Glencore PLC

   Morgan Stanley & Co. International PLC      1,038,000        07/12/18      GBP     3.94      GBP     .3,737        (17,051

Lundin Mining Corp.

   Credit Suisse International      126,600        07/12/18      CAD     8.70      CAD     925        (1,830

Nufarm Ltd.

   Morgan Stanley & Co. International PLC      96,000        07/12/18      AUD     9.69      AUD     851        (51

Smurfit Kappa Group PLC

   Goldman Sachs International      58,000        07/12/18      EUR     35.54      EUR     2,005        (12,710

Stelco Holdings, Inc.

   Goldman Sachs International      50,000        07/12/18      CAD     26.52      CAD     1,268        (7,079

Umicore SA

   Morgan Stanley & Co. International PLC      26,700        07/12/18      EUR     50.02      EUR     1,305        (18,255

Canadian Natural Resources Ltd.

   Credit Suisse International      77,900        07/16/18      CAD     46.25      CAD     3,696        (104,857

CNOOC Ltd.

   Goldman Sachs International      810,000        07/18/18      HKD     14.07      HKD     10,886        (13,486

Fresnillo PLC

   Morgan Stanley & Co. International PLC      40,000        07/18/18      GBP     13.52      GBP     457        (21

Glanbia PLC

   Morgan Stanley & Co. International PLC      93,500        07/18/18      EUR     15.94      EUR     1,487        (24,510

Glencore PLC

   Credit Suisse International      1,453,000        07/18/18      GBP     4.20      GBP     5,231        (8,564

Oz Minerals Ltd.

   Societe Generale      520,000        07/18/18      AUD     10.59      AUD     4,898        (1,725

Stelco Holdings, Inc.

   Goldman Sachs International      27,600        07/18/18      CAD     25.20      CAD     700        (16,399

Umicore SA

   HSBC Bank PLC      26,500        07/18/18      EUR     51.37      EUR     1,295        (11,853

ArcelorMittal

   UBS AG      24,700        07/19/18      EUR     28.16      EUR     617        (1,856

Franco-Nevada Corp.

   Goldman Sachs International      14,400        07/19/18      CAD     96.00      CAD     1,382        (17,191

Hormel Foods Corp.

   Bank of America N.A.      24,000        07/19/18      USD     36.13      USD     893        (31,580

Mondi PLC

   Morgan Stanley & Co. International PLC      77,400        07/19/18      GBP     20.91      GBP     1,582        (14,984

Trimble, Inc.

   Citibank N.A.      22,200        07/23/18      USD     35.83      USD     729        (1,491

Fresnillo PLC

   Goldman Sachs International      123,400        07/24/18      GBP     13.55      GBP     1,409        (1,166

Stelco Holdings, Inc.

   Goldman Sachs International      27,600        07/24/18      CAD     25.20      CAD     700        (18,567

Lundin Mining Corp.

   Morgan Stanley & Co. International PLC      158,000        07/25/18      CAD     9.07      CAD     1,155        (5,066

Newcrest Mining Ltd.

   UBS AG      25,000        07/25/18      AUD     21.18      AUD     549        (18,860

Rio Tinto PLC — ADR

   Citibank N.A.      36,000        07/25/18      USD     61.02      USD     1,997        (4,324

Smurfit Kappa Group PLC

   Goldman Sachs International      17,900        07/25/18      EUR     34.31      EUR     619        (18,875

 

 

74    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

June 30, 2018

  

BlackRock Resources & Commodities Strategy Trust (BCX)

 

OTC Options Written (continued)

 

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

Call (continued)

 

Smurfit Kappa Group PLC

   UBS AG      40,000        07/25/18      EUR     34.54      EUR     1,383      $ (37,215

TOTAL SA

   UBS AG      38,000        07/25/18      EUR     53.09      EUR     1,976        (22,957

ArcelorMittal

   Morgan Stanley & Co. International PLC      100,800        07/26/18      EUR     30.11      EUR     2,518        (2,786

ArcelorMittal

   Morgan Stanley & Co. International PLC      116,000        07/26/18      EUR     29.61      EUR     2,898        (5,046

BHP Billiton PLC

   UBS AG      340,200        07/26/18      GBP     17.26      GBP     5,787        (187,686

CNOOC Ltd.

   JPMorgan Chase Bank N.A.      800,000        07/26/18      HKD     14.07      HKD     10,752        (19,916

Fresnillo PLC

   Goldman Sachs International      63,800        07/26/18      GBP     12.45      GBP     729        (2,707

Glencore PLC

   Goldman Sachs International      704,100        07/26/18      GBP     3.97      GBP     2,535        (32,086

Mondi PLC

   Morgan Stanley & Co. International PLC      139,206        07/26/18      GBP     21.47      GBP     2,845        (13,802

Nufarm Ltd.

   Morgan Stanley & Co. International PLC      214,000        07/26/18      AUD     9.04      AUD     1,896        (21,436

TOTAL SA

   Citibank N.A.      70,500        07/26/18      EUR     53.63      EUR     3,666        (28,655

Yara International ASA

   UBS AG      84,700        07/26/18      NOK     360.37      NOK     28,540        (32,354

Rio Tinto PLC — ADR

   Citibank N.A.      54,000        07/30/18      USD     58.98      USD     2,996        (25,136

Hormel Foods Corp.

   Morgan Stanley & Co. International PLC      29,000        07/31/18      USD     36.26      USD     1,079        (39,135

Lundin Mining Corp.

   Royal Bank of Canada      196,000        07/31/18      CAD     9.03      CAD     1,433        (10,439

Stelco Holdings, Inc.

   Credit Suisse International      30,000        07/31/18      CAD     26.30      CAD     761        (12,226

CNOOC Ltd.

   Societe Generale      193,000        08/01/18      HKD     12.78      HKD     2,594        (20,674

FMC Corp.

   Morgan Stanley & Co. International PLC      13,700        08/01/18      USD     88.40      USD     1,222        (45,696

Stelco Holdings, Inc.

   Goldman Sachs International      25,000        08/01/18      CAD     25.85      CAD     634        (13,517

TOTAL SA

   UBS AG      44,000        08/01/18      EUR     53.87      EUR     2,288        (23,770

BHP Billiton PLC

   Morgan Stanley & Co. International PLC      179,000        08/02/18      GBP     18.01      GBP     3,045        (48,551

Rio Tinto PLC — ADR

   Morgan Stanley & Co. International PLC      51,600        08/03/18      USD     58.75      USD     2,863        (31,200

Royal Dutch Shell PLC — ADR, Class A

   Citibank N.A.      56,800        08/06/18      USD     70.97      USD     3,932        (65,421

Glencore PLC

   Goldman Sachs International      1,184,511        08/07/18      GBP     3.88      GBP     4,264        (108,761

Lundin Mining Corp.

   Citibank N.A.      63,200        08/07/18      CAD     8.31      CAD     462        (4,324

Nufarm Ltd.

   UBS AG      272,000        08/07/18      AUD     9.58      AUD     2,410        (8,852

Nutrien Ltd.

   Barclays Bank PLC      63,000        08/07/18      USD     51.10      USD     3,426        (249,604

ArcelorMittal

   Goldman Sachs International      65,073        08/08/18      EUR     26.10      EUR     1,626        (51,290

BHP Billiton PLC

   JPMorgan Chase Bank N.A.      158,700        08/08/18      GBP     16.62      GBP     2,699        (176,037

Glanbia PLC

   Morgan Stanley & Co. International PLC      74,978        08/08/18      EUR     15.91      EUR     1,192        (30,090

Smurfit Kappa Group PLC

   Goldman Sachs International      67,372        08/08/18      EUR     35.40      EUR     2,329        (45,227

Stelco Holdings, Inc.

   Goldman Sachs International      25,000        08/08/18      CAD     25.85      CAD     634        (15,287

TOTAL SA

   Goldman Sachs International      70,200        08/08/18      EUR     52.17      EUR     3,650        (94,205

Baker Hughes a GE Co.

   Citibank N.A.      31,100        08/13/18      USD     33.93      USD     1,027        (39,092

Stelco Holdings, Inc.

   Credit Suisse International      30,000        08/13/18      CAD     26.88      CAD     761        (11,779

Nutrien Ltd.

   JPMorgan Chase Bank N.A.      25,000        08/14/18      USD     53.95      USD     1,360        (53,272

Bunge Ltd.

   Barclays Bank PLC      8,500        08/16/18      USD     70.73      USD     593        (26,455

Stelco Holdings, Inc.

   Goldman Sachs International      35,500        08/16/18      CAD     27.00      CAD     900        (13,937

Rio Tinto PLC — ADR

   Morgan Stanley & Co. International PLC      51,600        08/20/18      USD     58.75      USD     2,863        (30,049

Royal Dutch Shell PLC — ADR, Class A

   Citibank N.A.      56,800        08/20/18      USD     70.97      USD     3,932        (71,193

Stelco Holdings, Inc.

   Goldman Sachs International      17,300        08/22/18      CAD     26.50      CAD     439        (9,584

Stelco Holdings, Inc.

   Goldman Sachs International      18,200        08/22/18      CAD     25.83      CAD     461        (13,530

Stelco Holdings, Inc.

   Credit Suisse International      32,200        08/29/18      CAD     26.00      CAD     816        (24,082

Stelco Holdings, Inc.

   Credit Suisse International      32,200        09/07/18      CAD     26.00      CAD     816        (26,277

Stelco Holdings, Inc.

   Goldman Sachs International      22,500        09/12/18      CAD     25.76      CAD     570        (20,930
                     

 

 

 
   $ (2,844,337
                     

 

 

 

Balances Reported in the Statements of Assets and Liabilities for OTC Derivatives

 

      Swap
Premium
Paid
     Swap
Premium
Received
     Unrealized
Appreciation
     Unrealized
Depreciation
     Value  

Options Written

     N/A        N/A      $ 3,795,486      $ (1,809,764    $ (7,080,083

 

 

SCHEDULES OF INVESTMENTS      75  


Schedule of Investments  (unaudited) (continued)

June 30, 2018

  

BlackRock Resources & Commodities Strategy Trust (BCX)

 

Derivative Financial Instruments Categorized by Risk Exposure

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

 

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

Liabilities — Derivative Financial Instruments

                        

Options written

                        

Options written, at value

   $      $        $ 7,080,083      $      $      $        $ 7,080,083  
  

 

 

    

 

 

      

 

 

    

 

 

    

 

 

    

 

 

      

 

 

 

For the period ended June 30, 2018, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

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

Net Realized Gain (Loss) from:

                    

Options purchased(a)

   $      $      $ (5,226    $      $      $      $ (5,226

Options written

                   (19,278,563                           (19,278,563
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $      $      $ (19,283,789    $      $      $      $ (19,283,789
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

(a) Includes net capital gain distributions, if applicable.

  

Net Change in Unrealized Appreciation (Depreciation) on:

 

                 

Options written

   $      $      $ 10,195,573      $      $      $      $ 10,195,573  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Options:

 

Average value of option contracts purchased

   $ 2,190  

Average value of option contracts written

   $ 6,199,199  

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

Derivative Financial Instruments — Offsetting as of Period End

The Trust’s derivative asset and liabilities (by type) are as follows:

 

      Assets        Liabilities  

Derivative Financial Instruments

       

Options

   $        $ 7,080,083  
  

 

 

      

 

 

 

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

              (4,235,746
  

 

 

      

 

 

 

Total derivative assets and liabilities subject to an MNA

   $        $ 2,844,337  
  

 

 

      

 

 

 

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

 

Counterparty    Derivative
Liabilities

Subject to
an MNA by
Counterparty
       Derivatives
Available
for Offset
       Non-cash
Collateral

Pledged (a)
       Cash
Collateral

Pledged
       Net Amount
of Derivative

Liabilities  (b)
 

Bank of America N.A.

   $ 31,580        $        $ (31,580      $        $  

Barclays Bank PLC

     276,059                   (276,059                  

Citibank N.A.

     643,090                   (643,090                  

Credit Suisse International

     189,615                   (189,615                  

Goldman Sachs International

     684,272                   (684,272                  

HSBC Bank PLC

     54,073                                     54,073  

JPMorgan Chase Bank N.A.

     249,225                   (48,722                 200,503  

Morgan Stanley & Co. International PLC

     347,729                   (347,729                  

Royal Bank of Canada

     10,439                                     10,439  

 

 

76    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

June 30, 2018

  

BlackRock Resources & Commodities Strategy Trust (BCX)

 

Counterparty    Derivative
Liabilities

Subject to
an MNA by
Counterparty
       Derivatives
Available
for Offset
       Non-cash
Collateral

Pledged (a)
       Cash
Collateral

Pledged
       Net Amount
of Derivative

Liabilities  (b)
 

Societe Generale

   $ 22,399        $        $        $        $ 22,399  

UBS AG

     335,856                   (335,856                  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 
   $ 2,844,337        $        $ (2,556,923      $        $ 287,414  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes.

 
  (b) 

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

 

Fair Value Hierarchy as of Period End

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

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

 

      Level 1        Level 2        Level 3        Total  

Assets:

 

Investments:

 

Common Stocks:

 

Chemicals

   $ 92,119,637        $ 25,764,704        $        $ 117,884,341  

Containers & Packaging

     27,015,307          18,759,400                   45,774,707  

Electronic Equipment, Instruments & Components

     6,614,239                            6,614,239  

Energy Equipment & Services

     16,997,861                            16,997,861  

Food Products

     75,456,055                            75,456,055  

Machinery

     12,441,501                            12,441,501  

Metals & Mining

     178,066,063          165,201,409          1,799,820          345,067,292  

Oil, Gas & Consumable Fuels

     272,550,721          64,371,634                   336,922,355  

Paper & Forest Products

              14,689,980          67          14,690,047  

Corporate Bonds

              16,176,768                   16,176,768  

Short-Term Securities

     7,893,261                            7,893,261  
  

 

 

      

 

 

      

 

 

      

 

 

 

Subtotal

   $ 689,154,645        $ 304,963,895        $ 1,799,887        $ 995,918,427  
  

 

 

      

 

 

      

 

 

      

 

 

 

Investments Valued at NAV(a)

                    30,673  
                  $ 995,949,100  
                 

 

 

 

Derivative Financial Instruments(b)

 

Liabilities:

 

Equity contracts

   $ (4,124,595      $ (2,955,488      $        $ (7,080,083
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

As of June 30, 2018, certain of the Trust’s Investments were fair valued using net asset value (“NAV”) per share and have been excluded from the fair value hierarchy.

 
  (b) 

Derivative financial instruments are options written, which are shown at value.

 

Transfers between Level 1 and Level 2 were as follows:

 

      Transfers into
Level 1
       Transfers out of
Level 1
 (a)
       Transfers Into
Level 2
 (a)
       Transfers out of
Level 2
 

Assets:

 

Long-Term Investments:

 

Common Stocks

   $        $ 5,523,874        $ 5,523,874        $  
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

External pricing service used to reflect any significant market movements between the time the Trust valued such foreign securities and the earlier closing of foreign markets.

 

See notes to financial statements.

 

 

SCHEDULES OF INVESTMENTS      77  


Schedule of Investments  (unaudited)

June 30, 2018

  

BlackRock Science and Technology Trust (BST)

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  

Common Stocks — 97.6%

 

Automobiles — 0.8%  

Tesla, Inc.(a)(b)

    16,500     $ 5,658,675  
   

 

 

 
Consumer Finance — 0.2%  

I3 Verticals, Inc., Class A(a)

    65,175       991,964  
   

 

 

 
Diversified Consumer Services — 0.2%  

Sunlands Online Education Group — ADR(a)(c)

    177,787       1,584,082  
   

 

 

 
Electronic Equipment, Instruments & Components — 1.4%  

Hangzhou Hikvision Digital Technology Co., Ltd.

    516,990       2,885,697  

Isra Vision AG

    42,725       2,611,108  

Sunny Optical Technology Group Co. Ltd.

    230,800       4,280,730  
   

 

 

 
    9,777,535  
Health Care Technology — 0.5%  

Pingan Healthcare and Tech Placing (Acquired 04/27/18, Cost $4,108,447)(d)

    582,478       3,583,014  
   

 

 

 
Household Durables — 0.6%  

Roku, Inc.(a)(b)

    101,197       4,313,016  
   

 

 

 
Internet & Direct Marketing Retail — 7.6%  

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

    22,960       39,027,409  

Ensogo Ltd.(a)(e)

    173,282        

Netflix, Inc.(a)(b)

    36,530       14,298,938  
   

 

 

 
    53,326,347  
Internet Software & Services — 25.9%  

58.com, Inc. — ADR(a)(b)

    52,400       3,633,416  

Alibaba Group Holding Ltd. — ADR(a)(b)

    123,740       22,957,482  

Alphabet, Inc., Class A(a)(b)

    28,186       31,827,349  

Baidu, Inc. — ADR(a)(b)

    35,500       8,626,500  

Bandwidth, Inc., Class A(a)

    93,150       3,537,837  

Delivery Hero AG(a)(f)

    93,637       4,963,227  

DocuSign, Inc.(a)(b)

    79,740       4,222,233  

Facebook, Inc., Class A(a)(b)

    71,900       13,971,608  

IAC/InterActiveCorp(a)(b)

    23,100       3,522,519  

MercadoLibre, Inc.(b)

    14,700       4,394,271  

Mercari, Inc.(a)

    93,400       3,825,760  

MongoDB, Inc.(a)(b)

    33,811       1,678,040  

Okta, Inc.(a)(b)

    99,850       5,029,444  

SendGrid, Inc.(a)(b)

    152,159       4,035,257  

Shopify, Inc., Class A(a)(b)

    33,800       4,931,082  

Spotify Technology SA(a)(b)

    20,709       3,484,082  

Tencent Holdings Ltd.

    654,600       32,870,983  

Twilio, Inc., Class A(a)

    83,700       4,688,874  

Uxin, Ltd., ADR(a)

    486,264       4,395,827  

Wix.com Ltd.(a)(b)

    56,100       5,626,830  

Yandex NV, Class A(a)(b)

    250,480       8,992,232  
   

 

 

 
    181,214,853  
IT Services — 12.0%  

Adyen NV(a)(f)

    10,362       5,708,526  

GMO Payment Gateway, Inc.

    38,300       4,409,488  

InterXion Holding NV(a)(b)

    76,600       4,781,372  

Mastercard, Inc., Class A(b)

    93,300       18,335,316  

Pagseguro Digital Ltd., Class A(a)(b)

    286,408       7,947,822  

PayPal Holdings, Inc.(a)(b)

    97,800       8,143,806  

Square, Inc., Class A(a)(b)

    279,700       17,240,708  

Visa, Inc., Class A(b)

    128,100       16,966,845  
   

 

 

 
    83,533,883  
Media — 1.2%  

Naspers Ltd., Class N

    33,100       8,345,959  
   

 

 

 
Professional Services — 0.5%  

UT Group Co., Ltd.(a)

    90,200       3,368,913  
   

 

 

 
Security   Shares     Value  
Semiconductors & Semiconductor Equipment — 13.4%  

Advanced Micro Devices, Inc.(a)(b)

    294,700     $ 4,417,553  

Aixtron SE(a)

    210,100       2,703,808  

ams AG

    44,830       3,324,598  

ASML Holding NV

    67,100       13,278,066  

Broadcom, Inc.(b)

    51,696       12,543,517  

Cree, Inc.(a)(b)

    76,400       3,175,948  

Lam Research Corp.(b)

    43,301       7,484,578  

NVIDIA Corp.(b)

    37,900       8,978,510  

ON Semiconductor Corp.(a)(b)

    200,000       4,447,000  

Qorvo, Inc.(a)(b)

    54,400       4,361,248  

Silicon Laboratories, Inc.(a)(b)

    34,100       3,396,360  

Skyworks Solutions, Inc.

    43,700       4,223,605  

SOITEC(a)

    89,625       7,515,486  

STMicroelectronics NV

    245,900       5,459,789  

Taiwan Semiconductor Manufacturing Co. Ltd.

    1,200,000       8,521,288  
   

 

 

 
    93,831,354  
Software — 29.5%  

Activision Blizzard, Inc.(b)

    143,400       10,944,288  

Adobe Systems, Inc.(a)(b)

    55,900       13,628,979  

Altair Engineering, Inc., Class A(a)

    154,413       5,277,836  

Altium Ltd.

    207,900       3,455,363  

Autodesk, Inc.(a)(b)

    70,100       9,189,409  

Avalara, Inc.(a)

    112,941       6,027,661  

Bilibili, Inc. — ADR(a)(b)

    179,800       2,515,402  

Carbon Black, Inc.(a)

    48,040       1,249,040  

Electronic Arts, Inc.(a)(b)

    45,500       6,416,410  

FireEye, Inc.(a)(b)

    207,752       3,197,303  

ForeScout Technologies, Inc.(a)(b)

    88,655       3,037,320  

Guidewire Software, Inc.(a)(b)

    42,500       3,773,150  

Kingdee International Software Group Co., Ltd.

    3,724,000       3,793,000  

Linx SA

    636,166       2,905,280  

Microsoft Corp.(b)

    370,380       36,523,172  

Pivotal Software, Inc., Class A(a)(b)

    161,575       3,921,425  

Pluralsight, Inc.(a)

    190,185       4,650,023  

Proofpoint, Inc.(a)(b)

    46,900       5,408,039  

PTC, Inc.(a)(b)

    55,300       5,187,693  

RIB Software SE

    149,200       3,457,046  

SailPoint Technologies Holding, Inc.(a)(b)

    198,822       4,879,092  

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

    120,000       16,368,000  

ServiceNow, Inc.(a)(b)

    38,210       6,590,079  

Smartsheet, Inc., Class A(a)

    40,591       1,054,148  

Take-Two Interactive Software, Inc.(a)(b)

    79,700       9,433,292  

UbiSoft Entertainment SA(a)

    77,447       8,465,593  

Xero Ltd.(a)

    120,100       3,994,889  

Zendesk, Inc.(a)(b)

    93,900       5,116,611  

Zuora, Inc., 6 mo. (Acquired 04/11/18, Cost $3,894,522),(d)

    512,531       13,545,852  

Zuora, Inc., Class A(a)(b)

    88,129       2,397,109  
   

 

 

 
    206,402,504  
Technology Hardware, Storage & Peripherals — 3.8%  

Apple, Inc.(b)

    141,896       26,266,369  
   

 

 

 

Total Common Stocks — 97.6%
(Cost — $346,208,121)

 

    682,198,468  
   

 

 

 

Preferred Securities

 

Preferred Stocks — 2.3%  
Internet & Direct Marketing Retail — 0.1%  

Jasper Infotech Private Ltd., Series I, (Acquired 08/08/15, Cost 1,998,435), 0.00%(d)(e)

    1,054       520,676  
Internet Software & Services — 2.2%  

Uber Technologies, Inc., Series E, (Acquired 12/04/14, cost $3,000,048), 0.00%(d)(e)

    90,044       3,601,760  
 

 

 

78    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

June 30, 2018

  

BlackRock Science and Technology Trust (BST)

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  
Internet Software & Services (continued)  

Xiaoju Kuaizhi, Inc., Series A-17 (Acquired 07/28/15, cost $3,016,964), 0.00%(d)(e)

    110,003     $ 5,602,453  

Ant International Co., Ltd., (Acquired 06/06/18, cost $6,492,863), 0.00%(d)(e)

    1,157,373       6,492,862  
   

 

 

 
    15,697,075  
   

 

 

 

Total Preferred Stocks — 2.3%
(Cost — $14,508,310)

 

    16,217,751  
   

 

 

 

Total Long-Term Investments — 99.9%
(Cost — $360,716,431)

 

    698,416,219  
   

 

 

 

Short-Term Securities — 0.9%

 

BlackRock Liquidity Funds, T-Fund, Institutional Class,
1.80%(g)(i)

    5,803,333       5,803,333  

SL Liquidity Series, LLC, Money Market
Series, 2.16%(g)(h)(i)

    276,979       277,007  
   

 

 

 

Total Short-Term Securities — 0.9%
(Cost — $6,080,330)

 

    6,080,340  
   

 

 

 

Total Investments Before Options Written — 100.8%
(Cost — $366,796,761)

 

    704,496,559  
   

 

 

 

Options Written — (0.9)%
(Premiums Received — $7,916,075)

 

    (6,462,316
   

 

 

 

Total Investments, Net of Options Written — 99.9%
(Cost — $358,880,686)

 

    698,034,243  

Other Assets Less Liabilities — 0.1%

 

    764,977  
   

 

 

 

Net Assets — 100.0%

 

  $ 698,799,220  
   

 

 

 

 

(a) 

Non-income producing security.

(b) 

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

(c) 

Security, or a portion of the security, is on loan.

(d) 

Restricted security as to resale, excluding 144A securities. As of period end, the Trust held restricted securities with a current value of $33,346,617 and an original cost of $22,511,279, which was 4.8% of its net assets.

(e) 

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

(f) 

Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.

(g) 

Annualized 7-day yield as of period end.

(h) 

Security was purchased with the cash collateral from loaned securities.

 
(i) 

During the period ended June 30, 2018, investments in issuers considered to be affiliates of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate    Shares
Held at
12/31/17
     Net
Activity
     Shares
Held at
06/30/18
     Value at
06/30/18
     Income      Net
Realized
Gain (Loss)
 (a)
     Change in
Unrealized
Appreciation
(Depreciation)
 

BlackRock Liquidity Funds, T-Fund, Institutional Class

     4,696,297        1,107,036        5,803,333      $ 5,803,333      $ 32,717      $      $  

SL Liquidity Series, LLC, Money Market Series

     3,497,053        (3,220,074      276,979        277,007        123,932 (b)        (464      179  
           

 

 

    

 

 

    

 

 

    

 

 

 
   $ 6,080,340      $ 156,649      $ (464    $ 179  
           

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

Includes net capital gain distributions, if applicable.

 
  (b) 

Represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities.

 

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

Derivative Financial Instruments Outstanding as of Period End

Exchange-Traded Options Written

 

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

Call

                          

Activision Blizzard, Inc.

     166          07/06/18        USD     73.00        USD     1,267        $ (58,930

Adobe Systems, Inc.

     77          07/06/18        USD     257.50        USD     1,877          (808

Advanced Micro Devices, Inc.

     527          07/06/18        USD     13.50        USD     790          (79,577

Alibaba Group Holding Ltd. — ADR

     144          07/06/18        USD     205.00        USD     2,672          (720

Amazon.com, Inc.

     7          07/06/18        USD     1,660.00        USD     1,190          (34,178

 

 

SCHEDULES OF INVESTMENTS      79  


Schedule of Investments  (unaudited) (continued)

June 30, 2018

  

BlackRock Science and Technology Trust (BST)

 

Exchange-Traded Options Written (continued)

 

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

Call (continued)

                          

Facebook, Inc., Class A

     61          07/06/18        USD     202.50        USD     1,185        $ (1,464

Microsoft Corp.

     195          07/06/18        USD     101.00        USD     1,923          (4,387

Netflix, Inc.

     25          07/06/18        USD     360.00        USD     979          (82,063

PayPal Holdings, Inc.

     70          07/06/18        USD     83.50        USD     583          (6,580

ServiceNow, Inc.

     66          07/06/18        USD     187.50        USD     1,138          (660

Square, Inc., Class A

     362          07/06/18        USD     65.00        USD     2,231          (9,593

Yandex NV, Class A

     27          07/06/18        USD     36.50        USD     97          (945

salesforce.com, Inc.

     86          07/06/18        USD     134.00        USD     1,173          (28,595

Alibaba Group Holding Ltd. — ADR

     82          07/13/18        USD     205.00        USD     1,521          (2,378

Alphabet, Inc., Class A

     5          07/13/18        USD     1,145.00        USD     565          (5,550

Amazon.com, Inc.

     8          07/13/18        USD     1,657.50        USD     1,360          (47,600

Apple, Inc.

     17          07/13/18        USD     187.50        USD     315          (3,145

Autodesk, Inc.

     62          07/13/18        USD     135.00        USD     813          (8,773

Broadcom Inc.

     40          07/13/18        USD     255.00        USD     971          (3,300

FireEye, Inc.

     100          07/13/18        USD     18.00        USD     154          (250

Mastercard, Inc., Class A

     175          07/13/18        USD     205.00        USD     3,439          (7,175

Microsoft Corp.

     71          07/13/18        USD     103.00        USD     700          (1,704

Microsoft Corp.

     155          07/13/18        USD     102.00        USD     1,528          (6,200

Netflix, Inc.

     25          07/13/18        USD     365.00        USD     979          (75,563

Spotify Technology SA

     16          07/13/18        USD     165.00        USD     269          (11,600

salesforce.com, Inc.

     55          07/13/18        USD     133.00        USD     750          (26,537

SailPoint Technologies Holding, Inc.

     360          07/18/18        USD     27.01        USD     883          (9,939

58.com, Inc. — ADR

     183          07/20/18        USD     85.00        USD     1,269          (1,830

Activision Blizzard, Inc.

     104          07/20/18        USD     80.00        USD     794          (6,552

Advanced Micro Devices, Inc.

     531          07/20/18        USD     13.00        USD     796          (111,245

Alphabet, Inc., Class A

     8          07/20/18        USD     1,100.00        USD     903          (34,360

Alphabet, Inc., Class A

     9          07/20/18        USD     1,190.00        USD     1,016          (4,095

Apple, Inc.

     164          07/20/18        USD     190.00        USD     3,036          (21,566

Autodesk, Inc.

     21          07/20/18        USD     145.00        USD     275          (630

Bilibili, Inc. — ADR

     629          07/20/18        USD     15.00        USD     880          (59,755

Broadcom, Inc.

     38          07/20/18        USD     270.00        USD     922          (760

DocuSign, Inc.

     148          07/20/18        USD     65.00        USD     784          (6,660

DocuSign, Inc.

     148          07/20/18        USD     70.00        USD     784          (2,960

Electronic Arts, Inc.

     58          07/20/18        USD     135.00        USD     818          (44,660

Facebook, Inc., Class A

     24          07/20/18        USD     190.00        USD     466          (17,940

FireEye, Inc.

     92          07/20/18        USD     17.00        USD     142          (1,150

ForeScout Technologies, Inc.

     310          07/20/18        USD     40.00        USD     1,062          (4,650

Guidewire Software, Inc.

     233          07/20/18        USD     95.00        USD     2,069          (8,737

IAC/InterActiveCorp.

     80          07/20/18        USD     165.00        USD     1,220          (6,200

InterXion Holding NV

     92          07/20/18        USD     65.00        USD     574          (3,680

Lam Research Corp.

     65          07/20/18        USD     185.00        USD     1,124          (10,075

MercadoLibre, Inc.

     40          07/20/18        USD     310.00        USD     1,196          (29,000

Microsoft Corp.

     324          07/20/18        USD     100.00        USD     3,195          (65,448

MongoDB, Inc.

     118          07/20/18        USD     65.00        USD     586          (885

NVIDIA Corp.

     62          07/20/18        USD     255.00        USD     1,469          (10,230

Netflix, Inc.

     33          07/20/18        USD     350.00        USD     1,292          (164,835

ON Semiconductor Corp.

     217          07/20/18        USD     28.00        USD     483          (2,170

Okta, Inc.

     275          07/20/18        USD     55.00        USD     1,385          (24,062

PTC, Inc.

     193          07/20/18        USD     95.00        USD     1,811          (57,900

Pagseguro Digital Ltd., Class A

     813          07/20/18        USD     40.00        USD     2,256          (4,065

PayPal Holdings, Inc.

     57          07/20/18        USD     85.25        USD     475          (6,981

Pivotal Software, Inc., Class A

     192          07/20/18        USD     20.00        USD     466          (87,360

Proofpoint, Inc.

     164          07/20/18        USD     130.00        USD     1,891          (2,870

Roku, Inc.

     194          07/20/18        USD     35.00        USD     827          (152,290

SailPoint Technologies Holding, Inc.

     168          07/20/18        USD     25.00        USD     412          (15,120

SendGrid, Inc.

     328          07/20/18        USD     30.00        USD     870          (14,760

Silicon Laboratories, Inc.

     187          07/20/18        USD     110.00        USD     1,863          (9,350

Spotify Technology SA

     40          07/20/18        USD     175.00        USD     673          (17,200

Square, Inc., Class A

     362          07/20/18        USD     50.00        USD     2,231          (432,590

Take-Two Interactive Software, Inc.

     95          07/20/18        USD     117.00        USD     1,124          (42,275

Tesla, Inc.

     18          07/20/18        USD     350.00        USD     617          (27,630

Twilio, Inc., Class A

     174          07/20/18        USD     60.00        USD     975          (17,487

 

 

80    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

June 30, 2018

  

BlackRock Science and Technology Trust (BST)

 

Exchange-Traded Options Written (continued)

 

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

Call (continued)

                          

Visa, Inc., Class A

     112          07/20/18        USD     135.00        USD     1,483        $ (15,176

Yandex NV, Class A

     145          07/20/18        USD     36.00        USD     521          (18,125

Zendesk, Inc.

     328          07/20/18        USD     60.00        USD     1,787          (13,120

Zuora, Inc., Class A

     104          07/20/18        USD     22.50        USD     283          (57,720

Zuora, Inc., Class A

     93          07/20/18        USD     35.00        USD     253          (4,650

Alibaba Group Holding Ltd. — ADR

     67          07/27/18        USD     192.50        USD     1,243          (24,790

Alphabet, Inc., Class A

     24          07/27/18        USD     1,160.00        USD     2,710          (57,000

Amazon.com, Inc.

     25          07/27/18        USD     1,725.00        USD     4,250          (138,938

Apple, Inc.

     18          07/27/18        USD     190.00        USD     333          (4,014

Apple, Inc.

     18          07/27/18        USD     187.50        USD     333          (4,995

Baidu, Inc. — ADR

     75          07/27/18        USD     270.00        USD     1,823          (16,050

Cree, Inc.

     107          07/27/18        USD     51.00        USD     445          (1,712

Facebook, Inc., Class A

     27          07/27/18        USD     192.50        USD     525          (20,925

Microsoft Corp.

     71          07/27/18        USD     103.00        USD     700          (8,023

Microsoft Corp.

     174          07/27/18        USD     101.00        USD     1,716          (31,755

PayPal Holdings, Inc.

     57          07/27/18        USD     86.00        USD     475          (10,374

Roku, Inc.

     130          07/27/18        USD     48.00        USD     554          (12,025

ServiceNow, Inc.

     67          07/27/18        USD     187.50        USD     1,156          (12,562

Shopify, Inc., Class A

     68          07/27/18        USD     167.50        USD     992          (6,970

Spotify Technology SA

     16          07/27/18        USD     180.00        USD     269          (8,960

Take-Two Interactive Software, Inc.

     95          07/27/18        USD     118.00        USD     1,124          (45,125

Tesla, Inc.

     39          07/27/18        USD     330.00        USD     1,338          (114,173

Visa, Inc., Class A

     163          07/27/18        USD     137.00        USD     2,159          (26,487

salesforce.com, Inc.

     93          07/27/18        USD     137.00        USD     1,269          (36,270

Okta, Inc.

     275          07/31/18        USD     55.00        USD     1,385          (38,639

Activision Blizzard, Inc.

     119          08/03/18        USD     76.50        USD     908          (38,675

Adobe Systems, Inc.

     50          08/03/18        USD     250.00        USD     1,219          (26,875

Alibaba Group Holding Ltd. — ADR

     82          08/03/18        USD     205.00        USD     1,521          (12,628

Autodesk, Inc.

     57          08/03/18        USD     138.00        USD     747          (12,682

Baidu, Inc. — ADR

     49          08/03/18        USD     245.00        USD     1,191          (53,410

Facebook, Inc., Class A

     18          08/03/18        USD     202.50        USD     350          (8,460

Facebook, Inc., Class A

     61          08/03/18        USD     205.00        USD     1,185          (23,942

Microsoft Corp.

     78          08/03/18        USD     102.00        USD     769          (12,987

NVIDIA Corp.

     75          08/03/18        USD     250.00        USD     1,777          (36,000

Roku, Inc.

     130          08/03/18        USD     42.50        USD     554          (39,975

Take-Two Interactive Software, Inc.

     91          08/03/18        USD     122.00        USD     1,077          (41,860

Visa, Inc., Class A

     111          08/03/18        USD     135.00        USD     1,470          (29,526

Yandex NV, Class A

     174          08/03/18        USD     36.50        USD     625          (32,625

Amazon.com, Inc.

     15          08/10/18        USD     1,710.00        USD     2,550          (112,838

Cree, Inc.

     80          08/10/18        USD     44.00        USD     333          (8,040

FireEye, Inc.

     50          08/10/18        USD     16.00        USD     77          (4,300

Microsoft Corp.

     174          08/10/18        USD     102.00        USD     1,716          (32,538

PayPal Holdings, Inc.

     79          08/10/18        USD     85.00        USD     658          (23,344

Square, Inc., Class A

     460          08/10/18        USD     62.00        USD     2,835          (192,050

salesforce.com, Inc.

     92          08/10/18        USD     138.00        USD     1,255          (40,710

Activision Blizzard, Inc.

     119          08/17/18        USD     77.50        USD     908          (39,865

Adobe Systems, Inc.

     70          08/17/18        USD     250.00        USD     1,707          (47,250

Advanced Micro Devices, Inc.

     562          08/17/18        USD     16.00        USD     842          (49,456

Alibaba Group Holding Ltd. — ADR

     76          08/17/18        USD     210.00        USD     1,410          (16,986

Alphabet, Inc., Class A

     13          08/17/18        USD     1,105.00        USD     1,468          (78,195

Amazon.com, Inc.

     25          08/17/18        USD     1,760.00        USD     4,250          (139,000

Apple, Inc.

     68          08/17/18        USD     190.00        USD     1,259          (28,560

Broadcom Inc.

     106          08/17/18        USD     280.00        USD     2,572          (5,830

Cree, Inc.

     80          08/17/18        USD     49.00        USD     333          (5,200

Electronic Arts, Inc.

     101          08/17/18        USD     145.00        USD     1,424          (54,793

Facebook, Inc., Class A

     60          08/17/18        USD     190.00        USD     1,166          (70,350

FireEye, Inc.

     101          08/17/18        USD     18.00        USD     155          (2,676

FireEye, Inc.

     76          08/17/18        USD     17.00        USD     117          (3,458

Lam Research Corp.

     21          08/17/18        USD     180.00        USD     363          (14,175

Mastercard, Inc., Class A

     151          08/17/18        USD     200.00        USD     2,967          (80,785

Microsoft Corp.

     56          08/17/18        USD     105.00        USD     552          (6,272

NVIDIA Corp.

     73          08/17/18        USD     265.00        USD     1,729          (32,668

 

 

SCHEDULES OF INVESTMENTS      81  


Schedule of Investments  (unaudited) (continued)

June 30, 2018

  

BlackRock Science and Technology Trust (BST)

 

Exchange-Traded Options Written (continued)

 

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

Call (continued)

                          

Netflix, Inc.

     47          08/17/18        USD     405.00        USD     1,840        $ (109,275

ON Semiconductor Corp.

     218          08/17/18        USD     23.00        USD     485          (22,345

Pagseguro Digital Ltd., Class A

     815          08/17/18        USD     30.00        USD     2,262          (142,625

PayPal Holdings, Inc.

     79          08/17/18        USD     87.50        USD     658          (17,459

Pivotal Software, Inc., Class A

     192          08/17/18        USD     26.00        USD     466          (33,600

Qorvo, Inc.

     190          08/17/18        USD     82.50        USD     1,523          (74,100

Roku, Inc.

     102          08/17/18        USD     44.00        USD     435          (37,740

SailPoint Technologies Holding, Inc.

     167          08/17/18        USD     25.00        USD     410          (26,720

Shopify, Inc., Class A

     120          08/17/18        USD     175.00        USD     1,751          (28,800

Skyworks Solutions, Inc.

     154          08/17/18        USD     105.00        USD     1,488          (23,100

Square, Inc., Class A

     361          08/17/18        USD     65.00        USD     2,225          (117,325

Visa, Inc., Class A

     62          08/17/18        USD     135.00        USD     821          (19,840

Wix.com Ltd.

     196          08/17/18        USD     100.00        USD     1,966          (159,740

Yandex NV, Class A

     142          08/17/18        USD     37.00        USD     510          (28,045

Zuora, Inc., Class A

     111          08/17/18        USD     35.00        USD     302          (17,482

salesforce.com, Inc.

     94          08/17/18        USD     140.00        USD     1,282          (37,365

MercadoLibre, Inc.

     40          09/21/18        USD     310.00        USD     1,196          (93,400

Pivotal Software, Inc., Class A

     191          09/21/18        USD     30.00        USD     464          (30,083
                          

 

 

 
     $ (5,256,833
    

 

 

 

OTC Options Written

 

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

Call

 

Aixtron SE

  Morgan Stanley & Co. International PLC     42,000       07/10/18     EUR     14.29     EUR     463     $ (24

Delivery Hero AG

  Morgan Stanley & Co. International PLC     15,100       07/10/18     EUR     41.61     EUR     685       (67,235

SOITEC

  UBS AG     14,200       07/10/18     EUR     81.37     EUR     1,020       (3,595

STMicroelectronics NV

  Morgan Stanley & Co. International PLC     25,300       07/10/18     EUR     21.04     EUR     481       (1,222

SendGrid, Inc.

  Barclays Bank PLC     20,400       07/10/18     USD     27.40     USD     541       (16,684

UbiSoft Entertainment SA

  Morgan Stanley & Co. International PLC     15,700       07/10/18     EUR     87.10     EUR     1,470       (127,596

Bandwidth, Inc., Class A

  Barclays Bank PLC     7,900       07/11/18     USD     37.54     USD     300       (10,424

Bandwidth, Inc., Class A

  Citibank N.A.     7,800       07/11/18     USD     35.00     USD     296       (24,656

Isra Vision AG

  Goldman Sachs International     7,800       07/11/18     EUR     50.93     EUR     408       (23,300

Linx SA

  Morgan Stanley & Co. International PLC     30,600       07/11/18     USD     20.20     USD     542       (37

Naspers Ltd., Class N

  Goldman Sachs International     6,600       07/11/18     ZAR     3,386.25     ZAR     22,828       (53,807

RIB Software SE

  Morgan Stanley & Co. International PLC     41,000       07/11/18     EUR     21.22     EUR     813       (10,343

Tencent Holdings Ltd.

  Goldman Sachs International     120,200       07/11/18     HKD     421.00     HKD     47,355       (12,707

Altair Engineering, Inc.

  Barclays Bank PLC     26,000       07/12/18     USD     38.45     USD     889       (902

Sunny Optical Technology Group Co. Ltd.

  UBS AG     90,400       07/12/18     HKD     156.89     HKD     13,155       (14,979

Taiwan Semiconductor Manufacturing Co. Ltd.

  Goldman Sachs International     325,000       07/12/18     USD     237.08     USD     70,363       (306

ASML Holding NV

  HSBC Bank PLC     11,500       07/18/18     EUR     184.50     EUR     1,949       (14,304

Kingdee International Software Group Co., Ltd.

  UBS AG     550,000       07/18/18     HKD     10.11     HKD     4,395       (5,031

Xero Ltd.

  Goldman Sachs International     42,000       07/18/18     AUD     44.70     AUD     1,888       (41,294

ams AG

  Goldman Sachs International     16,600       07/18/18     CHF     101.12     CHF     1,219       (179

Aixtron SE

  Morgan Stanley & Co. International PLC     31,500       07/25/18     EUR     13.23     EUR     347       (2,690

Delivery Hero AG

  Credit Suisse International     17,600       07/25/18     EUR     40.87     EUR     799       (93,900

RIB Software SE

  Morgan Stanley & Co. International PLC     41,000       07/25/18     EUR     21.22     EUR     813       (22,573

Taiwan Semiconductor Manufacturing Co. Ltd.

  UBS AG     108,000       07/25/18     USD     228.60     USD     23,382       (3,771

Altium Ltd.

  Morgan Stanley & Co. International PLC     67,300       07/26/18     AUD     23.55     AUD     1,512       (23,165

GMO Payment Gateway, Inc.

  JPMorgan Chase Bank N.A.     13,400       07/26/18     JPY     12,127.50     JPY     170,805       (111,904

Kingdee International Software Group Co., Ltd.

  JPMorgan Chase Bank N.A.     550,000       07/26/18     HKD     9.45     HKD     4,395       (15,174

Tencent Holdings Ltd.

  Citibank N.A.     112,400       07/26/18     HKD     408.90     HKD     44,282       (75,939

InterXion Holding NV

  Morgan Stanley & Co. International PLC     18,000       07/31/18     USD     66.48     USD     1,124       (6,223

ON Semiconductor Corp.

  UBS AG     26,500       07/31/18     USD     26.22     USD     589       (4,220

SOITEC

  Goldman Sachs International     17,800       08/07/18     EUR     78.93     EUR     1,278       (41,435

STMicroelectronics NV

  Goldman Sachs International     23,800       08/07/18     EUR     20.77     EUR     452       (9,819

UbiSoft Entertainment SA

  Goldman Sachs International     11,400       08/07/18     EUR     93.55     EUR     1,067       (53,645

ASML Holding NV

  UBS AG     12,000       08/08/18     EUR     175.02     EUR     2,033       (62,052

Altium Ltd.

  Deutsche Bank AG     47,000       08/08/18     AUD     24.97     AUD     1,056       (10,293

Kingdee International Software Group Co., Ltd.

  Morgan Stanley & Co. International PLC     154,000       08/08/18     HKD     8.46     HKD     1,230       (12,163

Smartsheet, Inc., Class A

  Barclays Bank PLC     14,200       08/08/18     USD     26.55     USD     369       (32,529

 

 

82    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

June 30, 2018

  

BlackRock Science and Technology Trust (BST)

 

OTC Options Written (continued)

 

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

Call (continued)

 

UT Group Co., Ltd.

  Societe Generale     31,500       08/08/18     JPY     4,433.00     JPY     130,257     $ (38,889

Carbon Black, Inc.

  Deutsche Bank AG     8,400       08/09/18     USD     25.72     USD     218       (22,321

Bandwidth, Inc., Class A

  Barclays Bank PLC     17,000       08/10/18     USD     37.90     USD     646       (35,635

Isra Vision AG

  UBS AG     7,800       08/10/18     EUR     54.88     EUR     408       (28,472

Carbon Black, Inc.

  Deutsche Bank AG     8,400       08/14/18     USD     25.72     USD     218       (23,579

Altair Engineering, Inc., Class A

  Barclays Bank PLC     29,400       08/20/18     USD     34.73     USD     1,005       (46,467
               

 

 

 
  $ (1,205,483
               

 

 

 

Balances Reported in the Statements of Assets and Liabilities for OTC Derivatives

 

      Swap
Premium
Paid
     Swap
Premium
Received
     Unrealized
Appreciation
     Unrealized
Depreciation
     Value  

Options Written

     N/A        N/A      $ 2,999,050      $ (1,545,291    $ (6,462,316

Derivative Financial Instruments Categorized by Risk Exposure

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

 

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

Liabilities — Derivative Financial Instruments

 

Options written

                    

Options written, at value

   $      $      $ 6,462,316      $      $      $      $ 6,462,316  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

For the period ended June 30, 2018, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

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

Net Realized Gain (Loss) from:

 

Options purchased(a)

   $      $      $ (5,100    $      $      $      $ (5,100

Options written

                   (10,692,313                           (10,692,313
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $      $      $ (10,697,413    $      $      $      $ (10,697,413
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

(a) Options purchased are included in net realized gain (loss) from investments.

  

Net Change in Unrealized Appreciation (Depreciation) on:

 

Options written

   $      $      $ (793,166    $      $      $      $ (793,166
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Options:

 

Average value of option contracts purchased

   $ (a)   

Average value of option contracts written

   $ 6,094,471  

 

  (a) 

Derivative not held at quarter-end. The amount shown in the Statements of Operations reflect the results of activity during the period.

 

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

 

 

SCHEDULES OF INVESTMENTS      83  


Schedule of Investments  (unaudited) (continued)

June 30, 2018

  

BlackRock Science and Technology Trust (BST)

 

Derivative Financial Instruments — Offsetting as of Period End

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

 

      Assets        Liabilities  

Options

   $        $ 6,462,316  
  

 

 

      

 

 

 

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

              (5,256,833
  

 

 

      

 

 

 

Total derivative assets and liabilities subject to an MNA

   $        $ 1,205,483  
  

 

 

      

 

 

 

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

 

Counterparty    Derivative
Liabilities
Subject to
an MNA by
Counterparty
       Derivatives
Available
for Offset
       Non-cash
Collateral
Pledged
       Cash
Collateral
Pledged
 (a)
       Net Amount
of Derivative
Liabilities
 (b)
 

Barclays Bank PLC

   $ 142,641        $        $        $ (142,641      $  

Citibank N.A.

     100,595                            (100,595         

Credit Suisse International

     93,900                            (30,000        63,900  

Deutsche Bank AG

     56,193                                     56,193  

Goldman Sachs International

     236,492                            (236,492         

HSBC Bank PLC

     14,304                                     14,304  

JPMorgan Chase Bank N.A.

     127,078                            (90,000        37,078  

Morgan Stanley & Co. International PLC

     273,271                            (273,271         

Societe Generale

     38,889                                     38,889  

UBS AG

     122,120                            (122,120         
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 
   $ 1,205,483        $        $        $ (995,119      $ 210,364  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

Excess of collateral received from the individual counterparty is not shown for financial reporting purposes.

 
  (b) 

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

 

Fair Value Hierarchy as of Period End

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

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

 

      Level 1        Level 2        Level 3        Total  

Assets:

 

Investments:

 

Common Stocks:

 

Automobiles

   $ 5,658,675        $        $        $ 5,658,675  

Consumer Finance

     991,964                            991,964  

Diversified Consumer Services

     1,584,082                            1,584,082  

Electronic Equipment, Instruments & Components

              9,777,535                   9,777,535  

Health Care Technology

     3,583,014                            3,583,014  

Household Durables

     4,313,016                            4,313,016  

Internet & Direct Marketing Retail

     53,326,347                            53,326,347  

Internet Software & Services

     143,380,643          37,834,210                   181,214,853  

IT Services

     79,124,395          4,409,488                   83,533,883  

Media

              8,345,959                   8,345,959  

Professional Services

              3,368,913                   3,368,913  

Semiconductors & Semiconductor Equipment

     53,028,319          40,803,035                   93,831,354  

Software

     169,690,761          36,711,743                   206,402,504  

Technology Hardware, Storage & Peripherals

     26,266,369                            26,266,369  

Preferred Stocks

                       16,217,751          16,217,751  

Short-Term Securities

     5,803,333                            5,803,333  
  

 

 

      

 

 

      

 

 

      

 

 

 

Subtotal

   $ 546,750,919        $ 141,250,882        $ 16,217,751        $ 704,219,552  
  

 

 

      

 

 

      

 

 

      

 

 

 

Investments valued at NAV(a)

                    277,007  
                 

 

 

 
                  $ 704,496,559  
                 

 

 

 

 

 

84    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

June 30, 2018

  

BlackRock Science and Technology Trust (BST)

 

      Level 1        Level 2        Level 3        Total  

Derivative Financial Instruments(b)

 

Liabilities:

 

Equity contracts

   $ (5,201,275      $ (1,261,041      $        $ (6,462,316
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

As of June 30, 2018, certain of the Trust’s Investments were fair valued using net asset value (“NAV”) per share and have been excluded from the fair value hierarchy.

 
  (b) 

Derivative financial instruments are options written, which are shown at value.

 

Transfers between Level 1 and Level 2 were as follows:

 

      Transfers into
Level 1
       Transfers out of
Level 1
 (a)
       Transfers Into
Level 2
 (a)
       Transfers out of
Level 2
 

Assets:

 

Long-Term Investments:

 

Common Stocks

   $        $ 10,286,668        $ 10,286,668        $  
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

External pricing service used to reflect any significant market movements between the time the Trust valued such foreign securities and the earlier closing of foreign markets.

 

A reconciliation of Level 3 investments is presented when the Trust had a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:

 

     

Common

Stocks

      

Preferred

Stocks

       Total  

Assets:

            

Opening Balance, as of December 31, 2017

   $ 4,971,557        $ 9,033,909        $ 14,005,466  

Transfers into Level 3

                        

Transfers out of Level 3

                        

Accrued discounts/premiums

                        

Net realized gain (loss)

            

Net change in unrealized appreciation (depreciation)(a)(b)

     (1,077,034        690,979          (386,055

Purchases

              6,492,863          6,492,863  

Sales

     (3,894,523                 (3,894,523
  

 

 

      

 

 

      

 

 

 

Closing Balance, as of June 30, 2018

   $        $ 16,217,751        $ 16,217,751  
  

 

 

      

 

 

      

 

 

 

Net change in unrealized appreciation (depreciation) on investments still held at June 30, 2018(b)

   $        $ 690,979        $ 690,979  
  

 

 

      

 

 

      

 

 

 

 

  (a) 

Included in the related net change in unrealized appreciation (depreciation) in the Statements of Operations.

 
  (b) 

Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on derivative financial instruments still held at June 30, 2018 is generally due to derivative financial instruments no longer held or categorized as Level 3 at period end.

 

The following table summarizes the valuation approaches used and unobservable inputs utilized by the BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) to determine the value of certain of the Trust’s Level 3 investments as of period end.

 

      Value        Valuation Approach        Unobservable Inputs      Range of
unobservable
Inputs Utilized
 

Assets:

               

Preferred Stocks

   $ 16,217,751          Market          Revenue Multiple(a)        7.50x  
               Time to Exit(b)        2.5 years  
               Volatility(b)        35
               Recent Transactions(a)         
  

 

 

              
   $ 16,217,751               
  

 

 

              

 

  (a) 

Increase in unobservable input may result in a significant increase to value, while a decrease in the unobservable input may result in a significant decrease to value.

 
  (b) 

Decrease in unobservable input may result in a significant increase to value, while an increase in the unobservable input may result in a significant decrease to value.

 

See notes to financial statements.

 

 

SCHEDULES OF INVESTMENTS      85  


Schedule of Investments  (unaudited)

June 30, 2018

  

BlackRock Utilities, Infrastructure & Power Opportunities Trust (BUI)

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  

Common Stocks — 99.1%

 

Auto Components — 1.9%  

Continental AG

    14,450     $ 3,288,498  

Valeo SA

    58,550       3,192,355  
   

 

 

 
    6,480,853  
Building Products — 1.1%  

Kingspan Group PLC

    71,966       3,603,716  
   

 

 

 
Chemicals — 4.0%  

Air Liquide SA

    53,100       6,655,830  

Linde AG

    28,950       6,877,907  
   

 

 

 
    13,533,737  
Electric Utilities — 35.7%  

American Electric Power Co., Inc.(a)

    96,220       6,663,235  

Duke Energy Corp.(a)

    155,468       12,294,410  

Edison International

    91,290       5,775,918  

Enel SpA

    3,107,517       17,219,313  

Eversource Energy(a)

    80,420       4,713,416  

Exelon Corp.(a)(b)

    269,310       11,472,606  

FirstEnergy Corp.(a)

    202,980       7,289,012  

Fortis, Inc.

    144,250       4,598,690  

Iberdrola SA

    205,992       1,588,559  

NextEra Energy, Inc.(a)(b)

    220,300       36,796,709  

PG&E Corp.

    80,000       3,404,800  

Pinnacle West Capital Corp.

    46,720       3,763,763  

PPL Corp.(a)

    114,710       3,274,971  

Xcel Energy, Inc.

    71,400       3,261,552  
   

 

 

 
    122,116,954  
Electrical Equipment — 3.9%  

OSRAM Licht AG

    27,050       1,101,607  

Schneider Electric SE

    76,750       6,383,047  

Vestas Wind Systems A/S

    94,150       5,812,475  
   

 

 

 
    13,297,129  
Independent Power and Renewable Electricity Producers — 8.0%  

China Longyuan Power Group Corp. Ltd., Class H

    10,218,000       8,208,229  

EDP Renovaveis SA

    1,566,700       16,338,259  

NRG Yield, Inc., Class C

    172,160       2,961,152  
   

 

 

 
    27,507,640  
Multi-Utilities — 19.3%  

CMS Energy Corp.(a)

    127,700       6,037,656  

Dominion Energy, Inc.(a)

    180,060       12,276,491  

DTE Energy Co.(a)

    46,620       4,831,231  

National Grid PLC

    1,241,374       13,718,507  

NiSource, Inc.(a)

    133,100       3,497,868  

Public Service Enterprise Group, Inc.(a)

    239,616       12,972,810  

Sempra Energy(a)

    70,350       8,168,338  

WEC Energy Group, Inc.(a)

    70,180       4,537,137  
   

 

 

 
    66,040,038  
Security   Shares     Value  
Oil, Gas & Consumable Fuels — 12.2%  

Enbridge, Inc.(a)

    252,040     $ 8,995,308  

Energy Transfer Partners LP(a)

    139,769       2,661,202  

Enterprise Products Partners LP(a)

    94,614       2,617,969  

MPLX LP

    74,489       2,543,054  

ONEOK, Inc.(a)

    59,551       4,158,446  

Targa Resources Corp.(a)

    33,630       1,664,349  

TransCanada Corp.

    241,750       10,459,620  

Williams Cos., Inc.(a)

    323,650       8,774,152  
   

 

 

 
    41,874,100  
Semiconductors & Semiconductor Equipment — 1.0%  

Infineon Technologies AG

    133,000       3,378,373  
   

 

 

 
Transportation Infrastructure — 11.2%  

Aeroports de Paris

    20,170       4,556,206  

Atlantia SpA

    397,024       11,705,144  

Flughafen Zuerich AG

    11,710       2,382,576  

Fraport AG Frankfurt Airport Services Worldwide

    22,880       2,201,159  

Getlink SE, Registered Shares

    287,850       3,946,383  

Sydney Airport

    677,826       3,588,371  

Transurban Group

    1,112,890       9,854,982  
   

 

 

 
    38,234,821  
Water Utilities — 0.8%  

American Water Works Co., Inc.(a)

    32,220       2,750,944  
   

 

 

 

Total Long-Term Investments — 99.1%
(Cost — $270,725,073)

 

    338,818,305  
   

 

 

 

Short-Term Securities — 2.0%

 

BlackRock Liquidity Funds, T-Fund, Institutional Class, 1.80%(c)(d)

    6,672,678       6,672,678  
   

 

 

 

Total Short-Term Securities — 2.0%
(Cost — $6,672,678)

 

    6,672,678  
   

 

 

 

Total Investments Before Options Written — 101.6%
(Cost — $277,397,751)

 

    345,490,983  
   

 

 

 

Options Written — (1.0)%
(Premiums Received — $2,010,942)

 

    (3,592,911
   

 

 

 

Total Investments, Net of Options Written — 99.6%
(Cost — $275,386,809)

 

    341,898,072  

Other Assets Less Liabilities — 0.4%

 

    1,517,159  
   

 

 

 

Net Assets — 0.0%

 

  $ 343,415,231  
   

 

 

 

 

(a) 

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

(b) 

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

(c) 

Annualized 7-day yield as of period end.

 
(d) 

During the period ended June 30, 2018, investments in issuers considered to be affiliates of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate    Shares
Held at

12/31/17
     Net
Activity
     Shares
Held at
06/30/18
     Value at
06/30/18
     Income      Net
Realized

Gain (Loss) (a)
     Change in
Unrealized

Appreciation
(Depreciation)
 

BlackRock Liquidity Funds, T-Fund, Institutional Class

     6,376,831        295,847        6,672,678      $ 6,672,678      $ 31,776      $      $  
           

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

Includes net capital gain distributions, if applicable.

 

 

 

86    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

June 30, 2018

  

BlackRock Utilities, Infrastructure & Power Opportunities Trust (BUI)

 

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

Derivative Financial Instruments Outstanding as of Period End

Exchange-Traded Options Written

 

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

Call

                          

Enterprise Products Partners LP

     55          07/06/18        USD     29.00        USD     152        $ (275

Williams Cos., Inc.

     168          07/06/18        USD     27.50        USD     455          (2,100

FirstEnergy Corp.

     110          07/11/18        USD     34.01        USD     395          (21,810

FirstEnergy Corp.

     73          07/13/18        USD     34.50        USD     262          (11,602

Williams Cos., Inc.

     236          07/13/18        USD     27.00        USD     640          (11,918

Dominion Energy, Inc.

     630          07/19/18        USD     66.00        USD     4,295          (167,988

American Electric Power Co., Inc.

     336          07/20/18        USD     65.00        USD     2,327          (152,880

American Water Works Co., Inc.

     112          07/20/18        USD     85.00        USD     956          (15,960

DTE Energy Co.

     163          07/20/18        USD     100.00        USD     1,689          (70,090

Duke Energy Corp.

     272          07/20/18        USD     80.00        USD     2,151          (19,040

Enbridge, Inc.

     618          07/20/18        USD     35.00        USD     2,206          (80,340

Enbridge, Inc.

     264          07/20/18        USD     32.50        USD     942          (89,760

Enterprise Products Partners LP

     46          07/20/18        USD     29.00        USD     127          (460

Eversource Energy

     157          07/20/18        USD     60.00        USD     920          (2,748

Eversource Energy

     124          07/20/18        USD     55.00        USD     727          (48,980

Exelon Corp.

     471          07/20/18        USD     41.00        USD     2,006          (84,780

FirstEnergy Corp.

     96          07/20/18        USD     35.00        USD     345          (11,760

NextEra Energy, Inc.

     292          07/20/18        USD     166.25        USD     4,877          (84,028

NextEra Energy, Inc.

     186          07/20/18        USD     165.00        USD     3,107          (66,960

NiSource, Inc.

     370          07/20/18        USD     25.00        USD     972          (51,800

ONEOK, Inc.

     124          07/20/18        USD     60.00        USD     866          (125,240

Targa Resources Corp.

     59          07/20/18        USD     50.00        USD     292          (5,753

Targa Resources Corp.

     58          07/20/18        USD     49.00        USD     287          (8,845

WEC Energy Group, Inc.

     106          07/20/18        USD     60.00        USD     685          (51,410

WEC Energy Group, Inc.

     139          07/20/18        USD     61.90        USD     899          (40,934

Williams Cos., Inc.

     226          07/20/18        USD     28.00        USD     613          (4,859

FirstEnergy Corp.

     74          07/24/18        USD     34.75        USD     266          (11,685

Public Service Enterprise Group, Inc.

     363          07/24/18        USD     52.01        USD     1,965          (84,677

NextEra Energy, Inc.

     293          07/25/18        USD     156.00        USD     4,894          (332,440

Enterprise Products Partners LP

     46          07/27/18        USD     29.00        USD     127          (575

Williams Cos., Inc.

     158          07/27/18        USD     28.50        USD     428          (2,686

Williams Cos., Inc.

     172          07/27/18        USD     28.00        USD     466          (4,988

FirstEnergy Corp.

     111          07/31/18        USD     34.75        USD     399          (18,680

NiSource, Inc.

     95          07/31/18        USD     24.50        USD     250          (16,055

PPL Corp.

     401          07/31/18        USD     27.50        USD     1,145          (55,927

Duke Energy Corp.

     272          08/01/18        USD     73.75        USD     2,151          (151,037

Enterprise Products Partners LP

     138          08/10/18        USD     28.00        USD     382          (6,555

FirstEnergy Corp.

     111          08/10/18        USD     33.75        USD     399          (26,288

Energy Transfer Partners LP

     489          08/17/18        USD     20.00        USD     931          (14,670

Enterprise Products Partners LP

     46          08/17/18        USD     29.00        USD     127          (920

ONEOK, Inc.

     84          08/17/18        USD     70.00        USD     587          (16,590

TransCanada Corp.

     846          08/17/18        CAD     58.00        CAD     4,812          (54,377

Williams Cos., Inc.

     172          08/17/18        USD     28.00        USD     466          (9,116

Public Service Enterprise Group, Inc.

     251          08/22/18        USD     54.05        USD     1,359          (38,877

Sempra Energy

     101          08/27/18        USD     116.00        USD     1,173          (40,346
                          

 

 

 
     $ (2,118,809
    

 

 

 

OTC Options Written

 

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

Call

 

Getlink SE, Registered Shares

   Morgan Stanley & Co. International PLC     53,300       07/10/18     EUR     12.13      EUR     626     $ (879

Valeo SA

   UBS AG     16,600       07/10/18     EUR     58.32      EUR     775       (3

 

 

SCHEDULES OF INVESTMENTS      87  


Schedule of Investments  (unaudited) (continued)

June 30, 2018

  

BlackRock Utilities, Infrastructure & Power Opportunities Trust (BUI)

 

OTC Options Written (continued)

 

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

Call (continued)

 

Xcel Energy, Inc.

   Bank of America N.A.     24,900       07/10/18     USD     43.65     USD     1,137     $ (51,866

China Longyuan Power Group Corp. Ltd., Class H

   Morgan Stanley & Co. International PLC     1,000,000       07/11/18     HKD     7.53     HKD     6,300       (733

Pinnacle West Capital Corp.

   Credit Suisse International     16,300       07/11/18     USD     77.12     USD     1,313       (58,267

EDP Renovaveis SA

   UBS AG     50,000       07/12/18     EUR     8.23     EUR     447       (41,078

Enel SpA

   UBS AG     514,600       07/12/18     EUR     4.92     EUR     2,439       (12,560

Iberdrola SA

   UBS AG     36,000       07/12/18     EUR     6.55     EUR     238       (2,388

Kingspan Group PLC

   Morgan Stanley & Co. International PLC     28,200       07/12/18     EUR     40.11     EUR     1,209       (92,580

Linde AG

   Morgan Stanley & Co. International PLC     10,100       07/12/18     EUR     197.09     EUR     2,055       (95,544

National Grid PLC

   Morgan Stanley & Co. International PLC     97,000       07/12/18     GBP     8.94     GBP     812       (30

OSRAM Licht AG

   Deutsche Bank AG     8,400       07/12/18     EUR     54.41     EUR     293       (4

Sydney Airport

   Morgan Stanley & Co. International PLC     131,900       07/12/18     AUD     7.30     AUD     943       (4,355

Transurban Group

   UBS AG     145,200       07/12/18     AUD     11.90     AUD     1,738       (20,308

Air Liquide SA

   Morgan Stanley & Co. International PLC     3,300       07/13/18     EUR     112.62     EUR     354       (475

Public Service Enterprise Group, Inc.

   Bank of America N.A.     22,400       07/16/18     USD     53.44     USD     1,213       (24,618

NRG Yield, Inc., Class C

   Bank of America N.A.     16,800       07/17/18     USD     17.78     USD     289       (1,678

Aeroports de Paris

   Goldman Sachs International     7,100       07/18/18     EUR     178.96     EUR     1,373       (121,329

Atlantia SpA

   Bank of America N.A.     17,300       07/18/18     EUR     24.90     EUR     437       (13,425

China Longyuan Power Group Corp. Ltd., Class H

   Citibank N.A.     1,267,000       07/18/18     HKD     7.03     HKD     7,982       (7,575

EDP Renovaveis SA

   Credit Suisse International     50,000       07/18/18     EUR     8.25     EUR     447       (39,985

Enel SpA

   UBS AG     200,000       07/18/18     EUR     4.80     EUR     948       (15,396

Iberdrola SA

   Goldman Sachs International     36,000       07/18/18     EUR     6.40     EUR     238       (8,912

Schneider Electric SE

   Barclays Bank PLC     15,100       07/18/18     EUR     76.74     EUR     1,075       (1,242

Transurban Group

   Morgan Stanley & Co. International PLC     98,974       07/18/18     AUD     11.89     AUD     1,185       (16,685

Vestas Wind Systems A/S

   Goldman Sachs International     33,000       07/19/18     DKK     423.68     DKK     12,998       (14,232

Fraport AG Frankfurt Airport Services Worldwide

   Goldman Sachs International     8,100       07/24/18     EUR     81.62     EUR     667       (21,672

Getlink SE, Registered Shares

   Deutsche Bank AG     47,500       07/25/18     EUR     11.76     EUR     558       (11,937

National Grid PLC

   Citibank N.A.     9,100       07/25/18     GBP     8.42     GBP     76       (1,588

Air Liquide SA

   Citibank N.A.     15,300       07/26/18     EUR     111.75     EUR     1,642       (9,374

Atlantia SpA

   Credit Suisse International     43,200       07/26/18     EUR     25.01     EUR     1,091       (34,477

China Longyuan Power Group Corp. Ltd., Class H

   Citibank N.A.     1,310,000       07/26/18     HKD     7.13     HKD     8,253       (10,505

EDP Renovaveis SA

   Morgan Stanley & Co. International PLC     50,000       07/26/18     EUR     8.05     EUR     447       (51,357

Infineon Technologies AG

   Goldman Sachs International     23,100       07/26/18     EUR     24.08     EUR     502       (4,664

National Grid PLC

   Goldman Sachs International     106,100       07/26/18     GBP     8.83     GBP     888       (2,840

Transurban Group

   Morgan Stanley & Co. International PLC     145,300       07/26/18     AUD     12.00     AUD     1,739       (20,989

Sempra Energy

   Morgan Stanley & Co. International PLC     14,500       07/27/18     USD     116.68     USD     1,684       (33,325

Atlantia SpA

   UBS AG     78,500       08/01/18     EUR     24.72     EUR     1,982       (87,060

EDP Renovaveis SA

   UBS AG     30,000       08/01/18     EUR     8.21     EUR     268       (25,656

Enel SpA

   Credit Suisse International     317,000       08/01/18     EUR     4.87     EUR     1,503       (11,666

Exelon Corp.

   JPMorgan Chase Bank N.A.     47,100       08/01/18     USD     41.18     USD     2,006       (85,020

Fortis, Inc.

   UBS AG     25,400       08/01/18     USD     32.50     USD     810       (22,181

National Grid PLC

   Credit Suisse International     193,900       08/01/18     GBP     8.46     GBP     1,623       (32,779

Flughafen Zuerich AG

   Citibank N.A.     4,169       08/02/18     CHF     216.75     CHF     840       (2,065

CMS Energy Corp.

   UBS AG     44,600       08/07/18     USD     43.45     USD     2,109       (184,041

Continental AG

   UBS AG     4,500       08/07/18     EUR     227.24     EUR     877       (916

EDP Renovaveis SA

   UBS AG     30,000       08/08/18     EUR     8.21     EUR     268       (25,950

Schneider Electric SE

   Morgan Stanley & Co. International PLC     11,800       08/08/18     EUR     71.59     EUR     840       (26,235

EDP Renovaveis SA

   UBS AG     30,000       08/14/18     EUR     8.21     EUR     268       (26,183

Sydney Airport

   JPMorgan Chase Bank N.A.     105,400       08/16/18     AUD     7.60     AUD     754       (3,687

NRG Yield, Inc., Class C

   Barclays Bank PLC     43,400       08/20/18     USD     17.75     USD     746       (14,794

EDP Renovaveis SA

   Morgan Stanley & Co. International PLC     40,000       08/21/18     EUR     8.49     EUR     357       (24,902

EDP Renovaveis SA

   Goldman Sachs International     40,000       08/29/18     EUR     8.93     EUR     357       (12,875

FirstEnergy Corp.

   JPMorgan Chase Bank N.A.     13,500       08/29/18     USD     36.65     USD     485       (9,574

Fortis, Inc.

   Bank of America N.A.     25,000       09/04/18     USD     31.72     USD     797       (16,050

EDP Renovaveis SA

   Goldman Sachs International     40,000       09/05/18     EUR     8.93     EUR     357       (13,593
                

 

 

 
  $ (1,474,102
                

 

 

 

 

 

88    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

June 30, 2018

  

BlackRock Utilities, Infrastructure & Power Opportunities Trust (BUI)

 

Balances Reported in the Statements of Assets and Liabilities for OTC Derivatives

 

      Swap
Premium
Paid
     Swap
Premium
Received
     Unrealized
Depreciation
     Unrealized
Appreciation
     Value  

Options Written

     N/A        N/A      $ 415,293      $ (1,997,262    $ (3,592,911

Derivative Financial Instruments Categorized by Risk Exposure

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

 

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

Liabilities — Derivative Financial Instruments

 

Options written

                    

Options written, at value

   $      $      $ 3,592,911      $      $      $      $ 3,592,911  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

For the period ended June 30, 2018, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

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

Net Realized Gain (Loss) from:

 

Options purchased(a)

   $      $      $ (713    $      $      $      $ (713

Options written

                   185,899                             185,899  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $      $      $ 185,186      $      $      $      $ 185,186  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

(a) Options purchased are included in net realized gain (loss) from investments.

  

           
Net Change in Unrealized Appreciation (Depreciation) on:  

Options purchased(a)

   $      $      $ (547    $      $      $      $ (547

Options written

                   (2,314,197                           (2,314,197
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $      $      $ (2,314,744    $      $      $      $ (2,314,744
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

Includes options purchased at value as reported in the Schedule of Investments.

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Options:

        

Average value of option contracts purchased

   $ (a)  

Average value of option contracts written

   $ 3,257,934  

 

  (a) 

Derivative not held at quarter-end. The amount shown in the Statements of Operations reflect the results of activity during the period.

 

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

Derivative Financial Instruments — Offsetting as of Period End

The Trust’s derivative asset and liabilities (by type) are as follows:

 

      Assets        Liabilities  

Derivative Financial Instruments

       

Options

   $        $ 3,592,911  
  

 

 

      

 

 

 

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

              (2,118,809
  

 

 

      

 

 

 

Total derivative assets and liabilities subject to an MNA

   $        $ 1,474,102  
  

 

 

      

 

 

 

 

 

SCHEDULES OF INVESTMENTS      89  


Schedule of Investments  (unaudited) (continued)

June 30, 2018

  

BlackRock Utilities, Infrastructure & Power Opportunities Trust (BUI)

 

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

 

Counterparty    Derivative
Liabilities

Subject to
an MNA by
Counterparty
       Derivatives
Available
for Offset
       Non-cash
Collateral

Pledged (a)
       Cash
Collateral
Pledged
       Net Amount
of Derivative

Liabilities (b)
 

Bank of America N.A.

   $ 107,637        $        $        $        $ 107,637  

Barclays Bank PLC

     16,036                   (2,495                 13,541  

Citibank N.A.

     31,107                   (31,107                  

Credit Suisse International

     177,174                   (177,174                  

Deutsche Bank AG

     11,941                   (11,941                  

Goldman Sachs International

     200,117                            (130,000        70,117  

JPMorgan Chase Bank N.A.

     98,281                                     98,281  

Morgan Stanley & Co. International PLC

     368,089                   (368,089                  

UBS AG

     463,720                   (208,012                 255,708  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 
   $ 1,474,102        $        $ (798,818      $ (130,000      $ 545,284  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes.

 
  (b) 

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

 

Fair Value Hierarchy as of Period End

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

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

 

      Level 1        Level 2        Level 3        Total  

Assets:

 

Investments:

 

Common Stocks:

 

Auto Components

   $        $ 6,480,853        $        $ 6,480,853  

Building Products

     3,603,716                            3,603,716  

Chemicals

              13,533,737                   13,533,737  

Electric Utilities

     103,309,082          18,807,872                   122,116,954  

Electrical Equipment

              13,297,129                   13,297,129  

Independent Power and Renewable Electricity Producers

     19,299,411          8,208,229                   27,507,640  

Multi-Utilities

     52,321,531          13,718,507                   66,040,038  

Oil, Gas & Consumable Fuels

     41,874,100                            41,874,100  

Semiconductors & Semiconductor Equipment

              3,378,373                   3,378,373  

Transportation Infrastructure

              38,234,821                   38,234,821  

Water Utilities

     2,750,944                            2,750,944  

Short-Term Securities

     6,672,678                            6,672,678  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 229,831,462        $ 115,659,521        $        $ 345,490,983  
  

 

 

      

 

 

      

 

 

      

 

 

 

Derivative Financial Instruments(a)

 

Liabilities:

 

Equity contracts

   $ (1,016,434      $ (2,576,477      $        $ (3,592,911
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

Derivative financial instruments are options written, which are shown at value.

 

Transfers between Level 1 and Level 2 were as follows:

 

      Transfers into
Level 1
       Transfers out of
Level 1
 (a)
       Transfers Into
Level 2
 (a)
       Transfers out of
Level 2
 

Assets:

 

Long-Term Investments:

 

Common Stocks

   $        $ 3,858,072        $ 3,858,072        $  
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

External pricing service used to reflect any significant market movements between the time the Trust valued such foreign securities and the earlier closing of foreign markets.

 

See notes to financial statements.

 

 

90    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Statements of Assets and Liabilities  (unaudited)

June 30, 2018

 

     BGR     CII     BDJ     BOE     BGY  

ASSETS

         

Investments at value — unaffiliated(a)(b)

  $ 475,625,445     $ 749,989,101     $ 1,807,388,599     $ 819,443,881     $ 689,283,953  

Investments at value — affiliated(c)

    4,599,459       4,630,300       13,805,466             943,659  

Due to broker

                            1,553,352  

Cash pledged:

         

Collateral — OTC derivatives

                16,000             803,000  

Collateral — options written

                      3,225,000       5,170,000  

Foreign currency at value(d)

    290,569             1,117       351,455       438,298  

Receivables:

         

Investments sold

    6,732,791       263,300       572,831       1,863,536       3,242,645  

Dividends — unaffiliated

    382,970       864,966       2,431,189       3,752,713       3,771,338  

Options written

    139,844       601,703       1,378,909       400,215       590,394  

Dividends — affiliated

    6,781       6,269       18,286       7,123        

Securities lending income — affiliated

                7              

Prepaid expenses

    13,098       28,676       65,627       28,615       33,183  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total assets

    487,790,957       756,384,315       1,825,678,031       829,072,538       705,829,822  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

LIABILITIES

         

Cash collateral on securities loaned at value

                12,294              

Bank overdraft

                51,239       380,331        

Options written at value(e)

    3,538,539       6,477,238       15,288,978       6,213,872       5,608,380  

Payables:

         

Investments purchased

    6,552,884       372,603       3,065,960       184       5,116,017  

Trustees’ and Officer’s fees

    485,529       200,707       961,873       711,177       218,602  

Investment advisory fees

    406,738       529,408       1,198,528       611,512       516,588  

Options written

    222,218       271,757       498,252       106,610       92,396  

Income dividend distributions

    159,320       212,598       298,756       191,684       614,474  

Other accrued expenses

    120,681       196,303       333,681       249,578       227,267  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total liabilities

    11,485,909       8,260,614       21,709,561       8,464,948       12,393,724  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

NET ASSETS

  $ 476,305,048     $ 748,123,701     $ 1,803,968,470     $ 820,607,590     $ 693,436,098  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

NET ASSETS CONSIST OF:

         

Paid-in capital

  $ 599,545,557     $ 601,583,666     $ 1,320,628,954     $ 831,421,885     $ 680,249,058  

Distributions in excess of net investment income

    (10,562,679     (18,476,686     (37,685,311     (19,351,880     (11,950,317

Accumulated net realized gain (loss)

    (183,729,721     (2,501,419     111,709,900       37,262,216       58,068,210  

Net unrealized appreciation (depreciation)

    71,051,891       167,518,140       409,314,927       (28,724,631     (32,930,853
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

NET ASSETS

  $ 476,305,048     $ 748,123,701     $ 1,803,968,470     $ 820,607,590     $ 693,436,098  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value(f)(g)

  $ 15.97     $ 16.96     $ 9.62     $ 11.91     $ 6.36  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

(a) Investments at cost — unaffiliated

  $ 404,613,943     $ 584,061,337     $ 1,400,290,492     $ 848,155,824     $ 721,868,971  

(b) Securities loaned at value

  $     $     $ 11,215     $     $  

(c) Investments at cost — affiliated

  $ 4,599,459     $ 4,630,300     $ 13,805,466     $     $ 943,659  

(d) Foreign currency at cost

  $ 287,746     $     $ 1,193     $ 357,292     $ 438,364  

(e) Premiums received

  $ 3,574,813     $ 8,067,614     $ 17,508,135     $ 6,227,625     $ 5,304,238  

(f)  Shares outstanding, unlimited number of shares authorized, par value $0.001 per share

    29,825,326             187,542,405       68,911,795       109,049,017  

(g) Shares outstanding, 200 million shares authorized, par value $0.10 per share

          44,121,400                    

See notes to financial statements.

 

 

FINANCIAL STATEMENTS      91  


 

Statements of Assets and Liabilities  (unaudited) (continued)

June 30, 2018

 

 

     BME     BCX(a)     BST     BUI  

ASSETS

 

Investments at value — unaffiliated(b)(c)

  $ 337,614,893     $ 988,025,166     $ 698,416,219     $ 338,818,305  

Investments at value — affiliated(d)

    7,272,162       7,923,934       6,080,340       6,672,678  

Cash

    422,843                    

Cash pledge as collateral for OTC derivatives

                2,310,000       130,000  

Foreign currency at value(e)

    970       533,983       101,678       61  

Receivables:

 

Investments sold

    2,025,642       15,398,531       4,268,837       1,417,520  

Capital shares sold

    352,211                    

Dividends — unaffiliated

    195,412       1,756,944       290,645       1,267,488  

Dividends — affiliated

    12,385       11,894       6,171       9,342  

Options written

    236,581       393,259       870,279       12,444  

Securities lending income — affiliated

          102       1,906        

Offering costs

    78,142                    

Prepaid expenses

    11,170       34,583       14,876       16,662  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total assets

    348,222,411       1,014,078,396       712,360,951       348,344,500  
 

 

 

   

 

 

   

 

 

   

 

 

 

LIABILITIES

 

Cash collateral on securities loaned at value

          27,985       277,000        

Bank overdraft

          246,682             46,601  

Options written at value(f)

    2,688,836       7,080,083       6,462,316       3,592,911  

Payables:

 

Investments purchased

    2,119,009       16,536,174       5,236,399       710,152  

Income dividend distributions

          212,092             130,617  

Investment advisory fees

    281,322       819,901       469,831       271,115  

Offering costs

    24,000                    

Trustees’ and Officer’s fees

    27,805       332,218       14,346       7,775  

Options written

    212,308       396,152       922,674       33,479  

Other accrued expenses

    139,700       251,680       179,165       136,619  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total liabilities

    5,492,980       25,902,967       13,561,731       4,929,269  
 

 

 

   

 

 

   

 

 

   

 

 

 

NET ASSETS

  $ 342,729,431     $ 988,175,429     $ 698,799,220     $ 343,415,231  
 

 

 

   

 

 

   

 

 

   

 

 

 

NET ASSETS CONSIST OF

 

Paid-in capital

  $ 235,049,601     $ 1,274,977,072     $ 348,761,569     $ 281,896,948  

Distributions in excess of net investment income

    (10,780,214     (22,907,120     (20,223,997     (4,028,661

Accumulated net realized gain (loss)

    7,206,834       (433,014,400     31,109,433       (963,829

Net unrealized appreciation (depreciation)

    111,253,210       169,119,877       339,152,215       66,510,773  
 

 

 

   

 

 

   

 

 

   

 

 

 

NET ASSETS

  $ 342,729,431     $ 988,175,429     $ 698,799,220     $ 343,415,231  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value(g)

  $ 36.54     $ 10.30     $ 31.20     $ 20.26  
 

 

 

   

 

 

   

 

 

   

 

 

 

(a) Consolidated Statement of Assets and Liabilities

       

(b) Investments at cost — unaffiliated

  $ 226,572,848     $ 820,877,390     $ 360,716,431     $ 270,725,073  

(c) Securities loaned at value

  $     $ 20     $ 258,390     $  

(d) Investments at cost — affiliated

  $ 7,272,162     $ 7,923,928     $ 6,080,330     $ 6,672,678  

(e) Foreign currency at cost

  $ 963     $ 533,922     $ 101,798     $ 77  

(f)  Premiums received

  $ 2,899,524     $ 9,065,805     $ 7,916,075     $ 2,010,942  

(g) Shares outstanding, unlimited number of shares authorized, par value $0.001 per share

    9,380,449       95,908,874       22,395,449       16,953,526  

See notes to financial statements.

 

 

92    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Statements of Operations  (unaudited)

Six Months Ended June 30, 2018

 

     BGR     CII     BDJ     BOE     BGY  

INVESTMENT INCOME

 

Dividends — unaffiliated

  $ 7,085,380     $ 7,035,737     $ 24,335,838     $ 18,998,651     $ 18,760,836  

Dividends — affiliated

    28,875       29,997       67,095       56,205       53,789  

Securities lending income — affiliated — net

                7              

Foreign taxes withheld

    (451,705     (69,908     (776,065     (1,196,883     (1,636,342
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total investment income

    6,662,550       6,995,826       23,626,875       17,857,973       17,178,283  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

EXPENSES

 

Investment advisory

    2,742,268       3,180,371       7,304,337       4,297,630       3,643,847  

Professional

    44,322       49,685       92,717       73,041       63,257  

Transfer agent

    42,679       30,428       96,989       61,734       56,454  

Custodian

    25,697       12,207       81,925       56,480       64,888  

Accounting services

    17,408       14,923       42,200       24,842       19,900  

Trustees and Officer

    12,734       34,201       71,898       35,119       34,480  

Printing

    6,684       4,759       10,349       8,368       8,494  

Registration

    5,713       8,453       35,926       13,242       20,931  

Miscellaneous

    55,841       29,844       59,364       88,609       77,829  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

    2,953,346       3,364,871       7,795,705       4,659,065       3,990,080  

Less fees waived and/or reimbursed by the Manager

    (344,178     (1,442     (3,186     (432,678     (367,212
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses after fees waived and/or reimbursed

    2,609,168       3,363,429       7,792,519       4,226,387       3,622,868  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

    4,053,382       3,632,397       15,834,356       13,631,586       13,555,415  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

REALIZED AND UNREALIZED GAIN (LOSS)

 

Net realized gain (loss) from:

 

Investments

    3,787,294       28,001,029       75,000,639       3,550,649       93,880,466 (a)  

Payments by affiliates(b)

                            243,859  

Foreign currency transactions

    11,596       95,365       38,465       140,397       (174,449

Options written

    (14,337,904     (4,323,450     (9,659,803     2,305,969       3,505,781  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
    (10,539,014     23,772,944       65,379,301       5,997,015       97,455,657  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net change in unrealized appreciation (depreciation) on:

         

Investments

    21,231,224       (19,378,866     (99,473,803     (77,873,927     (160,402,903

Foreign currency translations

    (1,996           (2,412     (60,005     (98,503

Options written

    4,386,198       3,616,469       6,323,305       (63,217     (1,888,476
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
    25,615,426       (15,762,397     (93,152,910     (77,997,149     (162,389,882
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

    15,076,412       8,010,547       (27,773,609     (72,000,134     (64,934,225
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS

  $ 19,129,794     $ 11,642,944     $ (11,939,253   $ (58,368,548   $ (51,378,810
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

(a) 

Including $(211,516) realized foreign capital gain tax.

(b) 

See Note 6 of the Notes to Financial Statements.

See notes to financial statements.

 

 

FINANCIAL STATEMENTS      93  


 

Statements of Operations  (unaudited) (continued)

Six Months Ended June 30, 2018

 

     BME     BCX(a)     BST     BUI  

INVESTMENT INCOME

 

Dividends — unaffiliated

  $ 2,295,732     $ 16,735,533     $ 2,046,613     $ 7,403,454  

Dividends — affiliated

    83,489       73,740       32,717       31,776  

Securities lending income — affiliated — net

    1,241       2,510       123,932        

Foreign taxes withheld

    (65,244     (975,872     (140,143     (388,091
 

 

 

   

 

 

   

 

 

   

 

 

 

Total investment income

    2,315,218       15,835,911       2,063,119       7,047,139  
 

 

 

   

 

 

   

 

 

   

 

 

 

EXPENSES

 

Investment advisory

    1,667,258       4,933,186       3,351,219       1,710,322  

Professional

    74,999       73,683       58,648       49,543  

Transfer agent

    24,563       61,372       32,913       30,272  

Custodian

    49,895       53,159       89,536       26,227  

Accounting services

    9,975       24,842       19,900       19,900  

Trustees and Officer

    14,631       40,980       30,227       15,626  

Printing

    7,418       8,492       8,105       6,832  

Registration

    5,838       18,509       4,672       5,980  

Miscellaneous

    20,545       121,010       55,317       49,422  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

    1,875,122       5,335,233       3,650,537       1,914,124  

Less fees waived and/or reimbursed by the Manager

    (4,091     (3,732     (671,816     (44,315
 

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses after fees waived and/or reimbursed

    1,871,031       5,331,501       2,978,721       1,869,809  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

    444,187       10,504,410       (915,602     5,177,330  
 

 

 

   

 

 

   

 

 

   

 

 

 

REALIZED AND UNREALIZED GAIN (LOSS)

 

Net realized gain (loss) from:

 

Investments — unaffiliated

    12,777,732       45,478,107       47,251,198       1,260,532  

Investments — affiliated

    13       2       (464      

Foreign currency transactions

    5,323       371,864       (48,482     (17,034

Options written

    (2,080,545     (19,278,563     (10,692,313     185,899  
 

 

 

   

 

 

   

 

 

   

 

 

 
    10,702,523       26,571,410       36,509,939       1,429,397  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net change in unrealized appreciation (depreciation) on:

       

Investments — unaffiliated

    7,749,006       (50,501,437     60,415,871       (6,608,666

Investments — affiliated

    7       45       179        

Foreign currency translations

    (1,049     (21,802     (1,953     (5,287

Options written

    6,401       10,195,573       (793,166     (2,314,197
 

 

 

   

 

 

   

 

 

   

 

 

 
    7,754,365       (40,327,621     59,620,931       (8,928,150
 

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

    18,456,888       (13,756,211     96,130,870       (7,498,753
 

 

 

   

 

 

   

 

 

   

 

 

 

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS

  $ 18,901,075     $ (3,251,801   $ 95,215,268     $ (2,321,423
 

 

 

   

 

 

   

 

 

   

 

 

 

 

(a) 

Consolidated Statement of Operations.

See notes to financial statements.

 

 

94    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Statements of Changes in Net Assets

 

    BGR           CII  
     Six Months Ended
06/30/18
(unaudited)
    Year Ended
12/31/17
           Six Months Ended
06/30/18
(unaudited)
    Year Ended
12/31/17
 

INCREASE (DECREASE) IN NET ASSETS

         

OPERATIONS

         

Net investment income

  $ 4,053,382     $ 12,016,029       $ 3,632,397     $ 6,643,909  

Net realized gain (loss)

    (10,539,014     240,009         23,772,944       10,582,824  

Net change in unrealized appreciation (depreciation)

    25,615,426       (484,738       (15,762,397     119,853,112  
 

 

 

   

 

 

     

 

 

   

 

 

 

Net increase in net assets resulting from operations

    19,129,794       11,771,300         11,642,944       137,079,845  
 

 

 

   

 

 

     

 

 

   

 

 

 

DISTRIBUTIONS TO SHAREHOLDERS

         

From net investment income

    (13,886,672 )(a)      (12,093,542 )(b)        (21,919,512 )(a)      (6,682,172 )(b) 

From return of capital

          (15,679,802 )(b)              (37,156,851 )(b) 
 

 

 

   

 

 

     

 

 

   

 

 

 

Decrease in net assets resulting from distributions to shareholders

    (13,886,672     (27,773,344       (21,919,512     (43,839,023
 

 

 

   

 

 

     

 

 

   

 

 

 

NET ASSETS

         

Total increase (decrease) in net assets

    5,243,122       (16,002,044       (10,276,568     93,240,822  

Beginning of period

    471,061,926       487,063,970         758,400,269       665,159,447  
 

 

 

   

 

 

     

 

 

   

 

 

 

End of period

  $ 476,305,048     $ 471,061,926       $ 748,123,701     $ 758,400,269  
 

 

 

   

 

 

     

 

 

   

 

 

 

Distributions in excess of net investment income, end of period

  $ (10,562,679   $ (729,389     $ (18,476,686   $ (189,571
 

 

 

   

 

 

     

 

 

   

 

 

 

 

(a)  A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year end.
(b)  Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

See notes to financial statements.

 

 

FINANCIAL STATEMENTS      95  


 

Statements of Changes in Net Assets  (continued)

 

 

    BDJ           BOE  
     Six Months Ended
06/30/18
(unaudited)
    Year Ended
12/31/17
           Six Months Ended
06/30/18
(unaudited)
    Year Ended
12/31/17
 

INCREASE (DECREASE) IN NET ASSETS

         

OPERATIONS

         

Net investment income

  $ 15,834,356     $ 30,942,206       $ 13,631,586     $ 11,728,245  

Net realized gain

    65,379,301       191,391,199         5,997,015       188,939,188  

Net change in unrealized appreciation (depreciation)

    (93,152,910     22,107,356         (77,997,149     (54,178,546
 

 

 

   

 

 

     

 

 

   

 

 

 

Net increase (decrease) in net assets resulting from operations

    (11,939,253     244,440,761         (58,368,548     146,488,887  
 

 

 

   

 

 

     

 

 

   

 

 

 

DISTRIBUTIONS TO SHAREHOLDERS

         

From net investment income

    (52,549,382 )(a)      (31,328,211 )(b)        (32,250,719 )(a)      (12,416,010 )(b) 

From net realized gain

          (74,032,175 )(b)              (145,314,426 )(b) 
 

 

 

   

 

 

     

 

 

   

 

 

 

Decrease in net assets resulting from distributions to shareholders

    (52,549,382     (105,360,386       (32,250,719     (157,730,436
 

 

 

   

 

 

     

 

 

   

 

 

 

CAPITAL SHARE TRANSACTIONS

 

     

Redemption of shares resulting from share repurchase program (including transaction costs)

          (12,272,105             (7,428,758
 

 

 

   

 

 

     

 

 

   

 

 

 

NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS

         

Total increase (decrease) in net assets

    (64,488,635     126,808,270         (90,619,267     (18,670,307

Beginning of period

    1,868,457,105       1,741,648,835         911,226,857       929,897,164  
 

 

 

   

 

 

     

 

 

   

 

 

 

End of period

  $ 1,803,968,470     $ 1,868,457,105       $ 820,607,590     $ 911,226,857  
 

 

 

   

 

 

     

 

 

   

 

 

 

Distributions in excess of net investment income, end of period

  $ (37,685,311   $ (970,285     $ (19,351,880   $ (732,747
 

 

 

   

 

 

     

 

 

   

 

 

 

 

(a) 

A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year end.

(b) 

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

See notes to financial statements.

 

 

96    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Statements of Changes in Net Assets  (continued)

 

 

    BGY           BME  
     Six Months Ended
06/30/18
(unaudited)
    Year Ended
12/31/17
           Six Months Ended
06/30/18
(unaudited)
    Year Ended
12/31/17
 

INCREASE (DECREASE) IN NET ASSETS

         

OPERATIONS

         

Net investment income

  $ 13,555,415     $ 9,657,720       $ 444,187     $ 184,052  

Net realized gain

    97,455,657       20,853,143         10,702,523       16,290,255  

Net change in unrealized appreciation (depreciation)

    (162,389,882     104,149,768         7,754,365       43,865,227  
 

 

 

   

 

 

     

 

 

   

 

 

 

Net increase (decrease) in net assets resulting from operations

    (51,378,810     134,660,631         18,901,075       60,339,534  
 

 

 

   

 

 

     

 

 

   

 

 

 

DISTRIBUTIONS

         

From net investment income

    (24,863,178 )(a)      (9,780,974 )(b)        (11,163,071 )(a)      (355,707 )(b) 

From net realized gain

                        (19,026,099 )(b) 

From return of capital

          (40,102,438 )(b)              (2,234,310 )(b) 
 

 

 

   

 

 

     

 

 

   

 

 

 

Decrease in net assets resulting from distributions to shareholders

    (24,863,178     (49,883,412       (11,163,071     (21,616,116
 

 

 

   

 

 

     

 

 

   

 

 

 

CAPITAL SHARE TRANSACTIONS

 

     

Proceeds from the issuance of shares (including deferred offering costs)

                  2,867,059       20,787,792  

Reinvestment of distributions

                  265,971       1,653,765  

Redemption of shares resulting from share repurchase program (including transaction costs)

          (5,726,813              
 

 

 

   

 

 

     

 

 

   

 

 

 

Net increase in net assets derived from capital share transactions

          (5,726,813       3,133,030       22,441,557  
 

 

 

   

 

 

     

 

 

   

 

 

 

NET ASSETS

         

Total increase (decrease) in net assets

    (76,241,988     79,050,406         10,871,034       61,164,975  

Beginning of period

    769,678,086       690,627,680         331,858,397       270,693,422  
 

 

 

   

 

 

     

 

 

   

 

 

 

End of period

  $ 693,436,098     $ 769,678,086       $ 342,729,431     $ 331,858,397  
 

 

 

   

 

 

     

 

 

   

 

 

 

Distributions in excess of net investment income, end of period

  $ (11,950,317   $ (642,554     $ (10,780,214   $ (61,330
 

 

 

   

 

 

     

 

 

   

 

 

 

 

(a) 

A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year end.

(b) 

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

See notes to financial statements.

 

 

FINANCIAL STATEMENTS      97  


 

Statements of Changes in Net Assets  (continued)

 

 

    BCX(a)           BST  
     Six Months Ended
06/30/18
(unaudited)
    Year Ended
12/31/17
           Six Months Ended
06/30/18
(unaudited)
    Year Ended
12/31/17
 

INCREASE (DECREASE) IN NET ASSETS

         

OPERATIONS

         

Net investment income (loss)

  $ 10,504,410     $ 19,831,605       $ (915,602   $ (1,073,646

Net realized gain

    26,571,410       40,599,529         36,509,939       18,280,612  

Net change in unrealized appreciation (depreciation)

    (40,327,621     71,294,123         59,620,931       182,129,520  
 

 

 

   

 

 

     

 

 

   

 

 

 

Net increase (decrease) in net assets resulting from operations

    (3,251,801     131,725,257         95,215,268       199,336,486  
 

 

 

   

 

 

     

 

 

   

 

 

 

DISTRIBUTIONS

         

From net investment income

    (29,737,204 )(b)      (23,004,937 )(c)        (17,456,110 )(b)      (1,173,241 )(c) 

From net realized gain

                        (4,969,225 )(c) 

From return of capital

          (36,309,489 )(c)              (22,536,962 )(c) 
 

 

 

   

 

 

     

 

 

   

 

 

 

Decrease in net assets resulting from distributions to shareholders

    (29,737,204     (59,314,426       (17,456,110     (28,679,428
 

 

 

   

 

 

     

 

 

   

 

 

 

CAPITAL SHARE TRANSACTIONS

 

     

Reinvestment of common distributions

                  739,593        

Redemption of shares resulting from share repurchase program (including transaction costs)

    (6,307,631     (21,837,878             (2,799,570
 

 

 

   

 

 

     

 

 

   

 

 

 

Net increase (decrease) in net assets derived from capital share transactions

    (6,307,631     (21,837,878       739,593       (2,799,570
 

 

 

   

 

 

     

 

 

   

 

 

 

NET ASSETS

         

Total increase (decrease) in net assets

    (39,296,636     50,572,953         78,498,751       167,857,488  

Beginning of period

    1,027,472,065       976,899,112         620,300,469       452,442,981  
 

 

 

   

 

 

     

 

 

   

 

 

 

End of period

  $ 988,175,429     $ 1,027,472,065       $ 698,799,220     $ 620,300,469  
 

 

 

   

 

 

     

 

 

   

 

 

 

Distributions in excess of net investment income, end of period

  $ (22,907,120   $ (3,674,326     $ (20,223,997   $ (1,852,285
 

 

 

   

 

 

     

 

 

   

 

 

 

 

(a) 

Consolidated Statement of Changes in Net Assets.

(b) 

A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year end.

(c) 

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

See notes to financial statements.

 

 

98    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Statements of Changes in Net Assets  (continued)

 

 

    BUI  
     Six Months Ended
06/30/18
(unaudited)
    Year Ended
12/31/17
 

INCREASE (DECREASE) IN NET ASSETS

   

OPERATIONS

   

Net investment income

  $ 5,177,330     $ 9,484,921  

Net realized gain

    1,429,397       20,594,890  

Net change in unrealized appreciation (depreciation)

    (8,928,150     23,259,316  
 

 

 

   

 

 

 

Net increase (decrease) in net assets resulting from operations

    (2,321,423     53,339,127  
 

 

 

   

 

 

 

DISTRIBUTIONS

   

From net investment income

    (12,303,649 )(a)      (7,954,054 )(b) 

From net realized gain

          (16,614,050 )(b) 
 

 

 

   

 

 

 

Decrease in net assets resulting from distributions to shareholders

    (12,303,649     (24,568,104
 

 

 

   

 

 

 

CAPITAL SHARE TRANSACTIONS

 

Reinvestment of common distributions

    263,846       708,672  
 

 

 

   

 

 

 

NET ASSETS

   

Total increase (decrease) in net assets

    (14,361,226     29,479,695  

Beginning of period

    357,776,457       328,296,762  
 

 

 

   

 

 

 

End of period

  $ 343,415,231     $ 357,776,457  
 

 

 

   

 

 

 

Undistributed (distributions in excess of) net investment income, end of period

  $ (4,028,661   $ 3,097,658  
 

 

 

   

 

 

 

 

(a) 

A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year end.

(b) 

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

See notes to financial statements.

 

 

FINANCIAL STATEMENTS      99  


 

Statements of Cash Flows  (unaudited)

Six Months Ended June 30, 2018

 

     BGR     CII     BDJ     BOE     BGY  

CASH PROVIDED BY (USED FOR) OPERATING ACTIVITIES

 

Net increase in net assets resulting from operations

  $ 19,129,794     $ 11,642,944     $ (11,939,253   $ (58,368,548   $ (51,378,810

Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by operating activities:

         

Proceeds from sales of long-term investments and principal paydowns

    114,571,364       116,237,176       363,606,803       155,101,865       350,498,589  

Purchases of long-term investments

    (89,564,193     (92,071,676     (305,526,879     (147,814,279     (338,849,992

Net (purchases) sales of short-term securities

    (728,615     (1,487,326     (8,838,277     13,118,524       4,130,041  

Premiums received from options written

    14,800,983       33,060,594       75,228,716       25,885,437       20,158,527  

Premiums paid on closing options written

    (28,920,943     (37,339,445     (87,400,772     (24,781,616     (17,978,422

Net realized (gain) loss on investments and options written

    10,517,637       (23,677,336     (65,340,836     (5,551,856     (97,967,425

Net unrealized gain (loss) on investments, options written and foreign currency translations

    (25,617,422     15,792,997       93,086,688       77,937,145       160,708,193  
(Increase) Decrease in Assets:  

Receivables:

 

Dividends — affiliated

    (2,717     (2,066     (13,080     29,896       (2,971

Dividends — unaffiliated

    4,877       (245,091     (257,382     (570,075     (1,392,057

Securities lending income — affiliated

                (7            

Prepaid expenses

    1,031       3,618       (8,530     2,221       (9,385
Increase (Decrease) in Liabilities:  

Collateral on securities loaned at value

                12,294              

Payables:

         

Investment advisory fees

    (1,717     (17,256     (68,866     (112,801     (65,830

Trustees’ and Officers’ fees

    (30,381     1,302       (33,146     (36,293     (30,803

Deferred foreign capital gain tax

                      (12,332     (116,814

Other affiliates

          (76,934                  

Other accrued expenses

    18,245       43,045       22,293       6,455       2,534  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net cash provided by (used for) operating activities

    14,177,943       21,864,546       52,529,766       34,833,743       26,200,375  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

CASH PROVIDED BY (USED FOR) FINANCING ACTIVITIES

 

Cash dividends paid to Shareholders

    (13,892,273     (21,939,546     (52,582,273     (35,324,522     (24,873,009

Increase (decrease) in bank overdraft

    (11,776           51,239       380,331        
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net cash used for financing activities

    (13,904,049     (21,939,546     (52,531,034     (34,944,191     (24,873,009
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

CASH IMPACT FROM FOREIGN EXCHANGE FLUCTUATIONS

 

Cash impact from foreign exchange fluctuations

  $ 2,822     $     $ (56   $ (4,478   $ (2,199
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

CASH

 

Net increase (decrease) in restricted and unrestricted cash and foreign currency

    276,716       (75,000     (1,324     (114,926     2,830,167  

Restricted and unrestricted cash and foreign currency at beginning of period

    13,853       75,000       18,441       3,691,381       5,134,483  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Restricted and unrestricted cash and foreign currency at end of period

  $ 290,569     $     $ 17,117     $ 3,576,455     $ 7,964,650  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

RECONCILIATION OF RESTRICTED AND UNRESTRICTED CASH AT VALUE AT THE END OF PERIOD TO THE STATEMENTS OF ASSETS AND LIABILITIES:

         

Due from Broker

  $     $     $     $     $ 1,553,352  

Cash pledged:

         

Collateral for OTC derivatives

                16,000             803,000  

Collateral for options written

                      3,225,000       5,170,000  

Foreign currency at value

    290,569             1,117       35,455       438,298  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 290,569     $     $ 17,117     $ 3,576,455     $ 7,964,650  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

RECONCILIATION OF RESTRICTED AND UNRESTRICTED CASH AT VALUE AT THE BEGINNING OF PERIOD TO THE STATEMENTS OF ASSETS AND LIABILITIES:

         

Cash

  $     $     $     $     $ 20,583  

Cash pledged:

         

Collateral for OTC derivatives

          75,000       16,000       20,000       2,118,000  

Collateral for options written

                      2,970,000       2,350,000  

Foreign currency at value

    13,853             2,441       701,381       645,900  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 13,853     $ 75,000     $ 18,441     $ 3,691,381     $ 5,134,483  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

See notes to financial statements.

 

 

100    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Statements of Cash Flows  (unaudited) (continued)

Six Months Ended June 30, 2018

 

     BME     BCX     BST     BUI  

CASH PROVIDED BY (USED FOR) OPERATING ACTIVITIES

 

Net increase in net assets resulting from operations

  $ 18,901,075     $ (3,251,801   $ 95,215,268     $ (2,321,423

Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by (used for) operating activities:

       

Proceeds from sales of long-term investments

    63,002,792       403,155,155       192,064,386       63,993,278  

Purchases of long-term investments

    (60,570,975     (367,331,390     (164,526,263     (56,800,800

Net (purchases) sales of short-term securities

    7,150,150       8,720,851       2,112,661       (295,847

Premiums received from options written

    11,409,301       34,674,571       31,496,701       7,793,703  

Premiums paid on closing options written

    (12,917,161     (52,771,784     (40,088,866     (7,472,059

Net realized (gain) on investments and options written

    (10,665,080     (26,199,546     (36,580,903     (1,406,572

Net unrealized gain (loss) on investments, options written and foreign currency translations

    (7,451,568     40,242,904       (59,622,884     8,922,863  
(Increase) Decrease in Assets:  

Receivables:

 

Dividends — affiliated

    1,015       3,618       (1,361     (4,149

Dividends — unaffiliated

    46,482       186,767       (180,125     (392,511

Securities lending income — affiliated

    617       183       35,687        

Prepaid expenses

    (993     (3,799     4,390       1,982  

Other assets

                       
Increase (Decrease) in Liabilities:  

Collateral on securities loaned at value

    (120,900     (457,358     (3,220,229      

Payables:

       

Investment advisory fees

    362       (26,708     49,010       (26,560

Trustees’ and Officer’s fees

    (405     (26,231     970       (398

Other accrued expenses

    (15,169     16,817       (5,388     1,182  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net cash provided by (used for) operating activities

    8,769,543       36,932,249       16,753,054       11,992,689  
 

 

 

   

 

 

   

 

 

   

 

 

 

CASH PROVIDED BY (USED FOR) FINANCING ACTIVITIES

       

Cash dividends paid to Shareholders

    (10,897,100     (29,732,298     (16,861,897     (11,909,186

Proceeds from issuance of Shares

    2,560,422                    

Payments on redemption of Shares

          (7,018,860            

Increase (decrease) in bank overdraft

    (10,013     246,682             46,497  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net cash provided by (used for) financing activities

    (8,346,691     (36,504,476     (16,861,897     (11,862,689
 

 

 

   

 

 

   

 

 

   

 

 

 

CASH IMPACT FROM FOREIGN EXCHANGE FLUCTUATIONS

 

Cash impact from foreign exchange fluctuations

  $ 2     $ 61     $ (130   $ 1  
 

 

 

   

 

 

   

 

 

   

 

 

 

CASH

       

Net increase (decrease) in restricted and unrestricted cash and foreign currency

    422,854       427,834       (108,973     130,001  

Restricted and unrestricted cash and foreign currency at beginning of period

    959       106,149       2,520,651       60  
 

 

 

   

 

 

   

 

 

   

 

 

 

Restricted and unrestricted cash and foreign currency at end of period

  $ 423,813     $ 533,983     $ 2,411,678     $ 130,061  
 

 

 

   

 

 

   

 

 

   

 

 

 

NON-CASH FINANCING ACTIVITIES

       

Capital shares issued in reinvestment of distributions paid to Shareholders

  $ 265,971     $     $ 739,593     $ 263,846  
 

 

 

   

 

 

   

 

 

   

 

 

 

RECONCILIATION OF RESTRICTED AND UNRESTRICTED CASH AT VALUE AT THE END OF PERIOD TO THE STATEMENTS OF ASSETS AND LIABILITIES:

       

Cash pledged:

       

Collateral for OTC derivatives

  $ 422,843     $     $ 2,310,000     $ 130,000  

Foreign currency at value

    970       533,983       101,678       61  
 

 

 

   

 

 

   

 

 

   

 

 

 
  $ 423,813     $ 533,983     $ 2,411,678     $ 130,061  
 

 

 

   

 

 

   

 

 

   

 

 

 

RECONCILIATION OF RESTRICTED AND UNRESTRICTED CASH AT VALUE AT THE BEGINNING OF PERIOD TO THE STATEMENTS OF ASSETS AND LIABILITIES:

       

Cash

  $     $ 94,925     $     $  

Cash pledged:

       

Collateral for OTC derivatives

                2,520,000        

Foreign currency at value

    959       11,224       651       60  
 

 

 

   

 

 

   

 

 

   

 

 

 
  $ 959     $ 106,149     $ 2,520,651     $ 60  
 

 

 

   

 

 

   

 

 

   

 

 

 

See notes to financial statements.

 

 

FINANCIAL STATEMENTS      101  


Financial Highlights

(For a share outstanding throughout each period)

 

    BGR  
    Six Months Ended
06/30/18
(Unaudited)
          Year Ended December 31,      Period from
11/01/14 to
12/31/14
     Year Ended October 31,  
          2017     2016      2015      2014      2013  

Net asset value, beginning of period

  $ 15.79             $ 16.33     $ 14.05      $ 21.15      $ 24.90      $ 30.12      $ 25.95  
 

 

 

     

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net investment income(a)

    0.14         0.40 (b)       0.27        0.29        0.07        0.25        0.12  

Net realized and unrealized gain (loss)

    0.51         (0.01     3.01        (5.89      (2.41      (1.21      5.67  
 

 

 

     

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net increase (decrease) from investment operations

    0.65         0.39       3.28        (5.60      (2.34      (0.96      5.79  
 

 

 

     

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
Distributions(c)                                                    

From net investment income

    (0.47 )(d)         (0.40     (0.27      (0.29      (0.47      (0.44       

From net realized gain

                                (0.94      (3.82      (1.62

From return of capital

            (0.53     (0.73      (1.21                     
 

 

 

     

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total distributions

    (0.47       (0.93     (1.00      (1.50      (1.41      (4.26      (1.62
 

 

 

     

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net asset value, end of period

  $ 15.97       $ 15.79     $ 16.33      $ 14.05      $ 21.15      $ 24.90      $ 30.12  
 

 

 

     

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Market price, end of period

  $ 15.22       $ 14.18     $ 14.44      $ 12.53      $ 19.95      $ 23.78      $ 26.82  
 

 

 

     

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total Return(e)

                   

Based on net asset value

    4.49 %(f)         3.49     25.07      (27.47 )%       (9.06 )%(f)       (2.36 )%       23.68
 

 

 

     

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Based on market price

    10.89 %(f)        5.11     24.01      (31.42 )%       (10.18 )%(f)       4.73      17.70
 

 

 

     

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Ratios to Average Net Assets

                   

Total expenses

    1.29 %(g)        1.31     1.31      1.29      1.30 %(g)       1.26      1.26
 

 

 

     

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total expenses after fees waived and/or reimbursed

    1.14 %(g)        1.18     1.24      1.26      1.26 %(g)       1.26      1.25
 

 

 

     

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net investment income

    1.77 %(g)        2.69 %(b)      1.80      1.60      1.82 %(g)       0.89      0.42
 

 

 

     

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Supplemental Data

                   

Net assets, end of period (000)

  $ 476,305       $ 471,062     $ 487,064      $ 418,981      $ 629,603      $ 741,109        896,635  
 

 

 

     

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Portfolio turnover rate

    21       24     33      56      4      85      132
 

 

 

     

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

(a) 

Based on average shares outstanding.

(b) 

Net investment income per share and the ratio of net investment income to average net assets include $0.15 per share and 0.99%, respectively, resulting from a special dividend.

(c) 

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

(d) 

A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year end.

(e) 

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices.

(f) 

Aggregate total return.

(g) 

Annualized.

See notes to financial statements.

 

 

102    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Financial Highlights  (continued)

(For a share outstanding throughout each period)

 

    CII  
    Six Months Ended
06/30/18
(Unaudited)
          Year Ended December 31,      Period from
11/01/14 to
12/31/14
     Year Ended October 31,  
          2017      2016      2015      2014      2013  

Net asset value, beginning of period

  $ 17.19             $ 15.08      $ 15.11      $ 15.67      $ 15.47      $ 15.31      $ 14.11  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net investment income(a)

    0.08         0.15        0.13        0.11        0.04        0.55        0.31  

Net realized and unrealized gain (loss)

    0.19         2.95        0.99        0.53        0.36        0.91        2.09  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
    0.27         3.10        1.12        0.64        0.40        1.46        2.40  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
Distributions(b)                                                     

From net investment income

    (0.50 )(c)        (0.15      (0.13      (0.14      (0.10      (0.65      (0.32

From net realized gain

                   (0.04      (1.06                     

From return of capital

            (0.84      (0.98             (0.10      (0.65      (0.88
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total distributions

    (0.50       (0.99      (1.15      (1.20      (0.20      (1.30      (1.20
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net asset value, end of period

  $ 16.96       $ 17.19      $ 15.08      $ 15.11      $ 15.67      $ 15.47      $ 15.31  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Market price, end of period

  $ 16.22       $ 16.38      $ 13.71      $ 14.14      $ 13.97      $ 14.89      $ 13.52  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total Return(d)

                    

Based on net asset value

    1.76 %(e)         21.69      8.66      4.66      2.69 %(e)        10.49      18.97
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Based on market price

    2.13 %(e)         27.54      5.56      9.86      (4.88 )%(e)       20.43      14.11
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Ratios to Average Net Assets

                    

Total expenses

    0.90 %(f)         0.93      0.95      0.94      0.99 %(f)        0.93      0.93
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total expenses after fees waived and paid indirectly

    0.90 %(f)         0.93      0.95      0.94      0.95 %(f)        0.93      0.93
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net investment income

    0.97 %(f)         0.94      0.89      0.71      1.42 %(f)        3.56      2.15
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Supplemental Data

                    

Net assets, end of period (000)

  $ 748,124       $ 758,400      $ 665,159      $ 666,492      $ 691,380      $ 682,485        675,472  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Portfolio turnover rate

    12       32      54      133      2      80      218
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

(a) 

Based on average shares outstanding.

(b) 

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

(c) 

A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year end.

(d) 

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices.

(e) 

Aggregate total return.

(f) 

Annualized.

See notes to financial statements.

 

 

FINANCIAL HIGHLIGHTS      103  


Financial Highlights  (continued)

(For a share outstanding throughout each period)

 

    BDJ  
    Six Months Ended
06/30/18
(Unaudited)
          Year Ended December 31,      Period from
11/01/14 to
12/31/14
     Year Ended October 31,  
          2017      2016      2015      2014     2013  

Net asset value, beginning of period

  $ 9.96             $ 9.22      $ 8.70      $ 9.24      $ 9.19      $ 8.88     $ 8.30  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Net investment income(a)

    0.08         0.16        0.17        0.17        0.04        0.16       0.18  

Net realized and unrealized gain (loss)

    (0.14       1.14        0.91        (0.15      0.10        0.76       0.96  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Net increase from investment operations

    (0.06       1.30        1.08        0.02        0.14        0.92       1.14  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 
Distributions(b)                                                    

From net investment income

    (0.28 )(c)        (0.17      (0.17      (0.17      (0.03      (0.17     (0.18

In excess of net investment income(d)

                                              (0.20

From net realized gain

            (0.39                                 (0.18

From return of capital

                   (0.39      (0.39      (0.06      (0.44      
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Total distributions

    (0.28       (0.56      (0.56      (0.56      (0.09      (0.61     (0.56
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Net asset value, end of period

  $ 9.62       $ 9.96      $ 9.22      $ 8.70      $ 9.24      $ 9.19       8.88  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Market price, end of period

  $ 9.18       $ 9.23      $ 8.15      $ 7.61      $ 8.12      $ 8.35       7.72  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Total Return(e)

                   

Based on net asset value

    (0.38 )%(f)         15.06      13.90      1.10      1.69 %(f)        11.40     15.11
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Based on market price

    2.59 %(f)         20.63      15.11      0.63      (1.65 )%(f)        16.42     12.09
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Ratios to Average Net Assets

                   

Total expenses

    0.85 %(g)         0.86      0.87      0.86      0.87 %(g)        0.87 %(h)       0.87
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Total expenses after fees waived and/or reimbursed

    0.85 %(g)         0.86      0.85      0.85      0.84 %(g)        0.86 %(h)       0.87
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Net investment income

    1.73 %(g)         1.73      1.91      1.85      2.30 %(g)        1.81     2.13
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Supplemental Data

                   

Net assets, end of period (000)

  $ 1,803,968       $ 1,868,457      $ 1,741,649      $ 1,643,508      $ 1,747,070      $ 1,648,683       1,594,223  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Portfolio turnover rate

    17       42      33      26      0 %(i)        63     180
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

 

(a) 

Based on average shares outstanding.

(b) 

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

(c) 

A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year end.

(d)

Taxable distribution.

(e) 

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices.

(f) 

Aggregate total return.

(g) 

Annualized.

(h) 

Includes reorganization costs associated with the Trust’s merger. Without these costs, total expenses and total expenses after fees waived and/or reimbursed would have been 0.86% and 0.86%, respectively.

(i) 

Amount is less than 0.5%

See notes to financial statements.

 

 

104    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Financial Highlights  (continued)

(For a share outstanding throughout each period)

 

    BOE  
    Six Months Ended
06/30/18
(Unaudited)
          Year Ended December 31,      Period from
11/01/14 to
12/31/14
     Year Ended October 31,  
          2017     2016      2015      2014      2013  

Net asset value, beginning of period

  $ 13.22             $ 13.38     $ 14.25      $ 15.27      $ 15.54      $ 16.68      $ 14.99  
 

 

 

     

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net investment income(a)

    0.20         0.17       0.15        0.11        0.00 (b)         0.14        0.12  

Net realized and unrealized gain (loss)

    (1.04       1.96       0.03        0.03        (0.07      0.07        2.82  
 

 

 

     

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net increase (decrease) from investment operations

    (0.84       2.13       0.18        0.14        (0.07      0.21        2.94  
 

 

 

     

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
Distributions(b)                                                    

From net investment income

    (0.47 )(e)        (0.19     (0.10      (0.17             (0.17      (0.17

In excess of net investment
income(d)

                         (0.10             (0.28      (0.91

From net realized gain

            (2.10                                  

From return of capital

                  (0.95      (0.89      (0.20      (0.90      (0.17
 

 

 

     

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total distributions

    (0.47       (2.29     (1.05      (1.16      (0.20      (1.35      (1.25
 

 

 

     

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net asset value, end of period

  $ 11.91         13.22     $ 13.38      $ 14.25      $ 15.27      $ 15.54      $ 16.68  
 

 

 

     

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Market price, end of period

  $ 11.12         12.51     $ 11.57      $ 12.76      $ 13.13      $ 14.00      $ 14.74  
 

 

 

     

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total Return(f)

                   

Based on net asset value

    (6.19 )%(g)        17.22 %(h)      2.62      1.81      (0.27 )%(g)        2.10      21.93
 

 

 

     

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Based on market price

    (7.44 )%(g)        28.28     (0.90 )%       6.03      (4.82 )%(g)        4.09      21.99
 

 

 

     

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Ratios to Average Net Assets

                   

Total expenses

    1.08 %(j)        1.09 %(i)      1.10      1.08      1.10 %(j)       1.08      1.08
 

 

 

     

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total expenses after fees waived and paid indirectly

    0.98 %(j)        1.02 %(i)      1.05      1.05      1.07 %(j)       1.08      1.08
 

 

 

     

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net investment income

    3.17 %(j)        1.20 %(i)      1.15      0.73      0.00 %(j) (k)       0.83      0.77
 

 

 

     

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Supplemental Data

                   

Net assets, end of period (000)

  $ 820,608       $ 911,227     $ 929,897      $ 990,318      $ 1,060,687      $ 1,079,862        1,159,072  
 

 

 

     

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Portfolio turnover rate

    17       133     64      72      16      150      279
 

 

 

     

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

(a) 

Based on average shares outstanding

(b) 

Amount is less than $0.005 per share

(c) 

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

(d) 

Taxable distribution.

(e) 

A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year end.

(f) 

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices.

(g) 

Aggregate total return.

(h) 

Includes payment received from an affiliate, which had no impact on the Trust’s total return.

(i) 

Excludes expenses incurred indirectly as a result of investments in underlying funds of 0.01%.

(j) 

Annualized.

(k) 

Amount is less than 0.005%

See notes to financial statements.

 

 

FINANCIAL HIGHLIGHTS      105  


Financial Highlights  (continued)

(For a share outstanding throughout each period)

 

    BGY  
    Six Months Ended
06/30/18
(Unaudited)
          Year Ended December 31,      Period from
11/01/14 to
12/31/14
     Year Ended October 31,  
          2017     2016      2015      2014      2013  

Net asset value, beginning of period

  $ 7.06             $ 6.28     $ 6.95      $ 7.61      $ 7.89      $ 9.05      $ 8.28  
 

 

 

     

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net investment income(a)

    0.13         0.09       0.09        0.08        (0.00 )(b)        0.10        0.13  

Net realized and unrealized gain (loss)

    (0.60       1.15       (0.24      (0.15      (0.17      (0.53      1.31  
 

 

 

     

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net increase (decrease) from investment operations

    (0.47       1.24       (0.15      (0.07      (0.17      (0.43      1.44  
 

 

 

     

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
Distributions(c)                                                    

From net investment income

    (0.23 )(d)        (0.09     (0.07      (0.11             (0.13      (0.17

In excess of net investment income(e)

                                       (0.08       

From return of capital

            (0.37     (0.45      (0.48      (0.11      (0.52      (0.50
 

 

 

     

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total distributions

    (0.23       (0.46     (0.52      (0.59      (0.11      (0.73      (0.67
 

 

 

     

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net asset value, end of period

  $ 6.36       $ 7.06     $ 6.28      $ 6.95      $ 7.61      $ 7.89      $ 9.05  
 

 

 

     

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Market price, end of period

  $ 5.74       $ 6.52     $ 5.51      $ 6.24      $ 6.74      $ 7.26      $ 8.14  
 

 

 

     

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total Return(f)

                   

Based on net asset value

    (6.49 )%(g)(h)        20.88 %(h)      (1.12 )%       (0.47 )%       (2.10 )%(g)       (4.49 )%       19.25
 

 

 

     

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Based on market price

    (8.61 )%(g)        27.23     (3.37 )%       0.90      (5.77 )%(g)       (2.29 )%       19.86
 

 

 

     

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Ratios to Average Net Assets

                   

Total expenses(i)

    1.10 %(j)         1.12     1.12      1.09      1.12 %(j)        1.10      1.09
 

 

 

     

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total expenses after fees waived and paid indirectly(i)

    0.99 %(j)         1.02     1.02      1.01      1.03 %(j)        1.05      1.07
 

 

 

     

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net investment income

    3.78 %(j)         1.31     1.41      1.09      (0.13 )%(j)       1.17      1.49
 

 

 

     

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Supplemental Data

                   

Net assets, end of period (000)

  $ 693,436       $ 769,678     $ 690,628      $ 764,154      $ 836,552      $ 867,986      $ 995,736  
 

 

 

     

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Portfolio turnover rate

    48       90     74      67      14      195      266
 

 

 

     

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

(a) 

Based on average shares outstanding.

(b) 

Amount is greater than $(0.005) per share.

(c) 

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

(d) 

A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year end.

(e) 

Taxable distribution.

(f) 

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices.

(g) 

Aggregate total return.

(h) 

Includes payment received from an affiliate, which had no impact on the Trust’s total return.

(i) 

Excludes expenses incurred indirectly as a result of investments in underlying funds as follows:

 

   

Six Months Ended
06/30/18
(Unaudited)

     

 

    Year Ended December 31    

Period

November 1, 2014

to December 31,

2014

          Year Ended October 31,  
    2017     2016     2015           2014     2012        

Investments in underlying funds

              0.01                   0.02          0.01            0.01               —                         —              —          
 

 

 

     

 

 

   

 

 

   

 

 

   

 

 

     

 

 

   

 

 

   

 

(j) 

Annualized.

See notes to financial statements.

 

 

106    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Financial Highlights  (continued)

(For a share outstanding throughout each period)

 

    BME  
    Six Months Ended
06/30/18
(Unaudited)
          Year Ended December 31,      Period from
11/01/14 to
12/31/14
     Year Ended October 31,  
          2017     2016     2015      2014      2013  

Net asset value, beginning of period .

  $ 35.69             $ 31.30     $ 36.19     $ 38.61      $ 40.22      $ 34.92      $ 28.34  
 

 

 

     

 

 

   

 

 

   

 

 

    

 

 

    

 

 

    

 

 

 

Net investment income(a)

    0.05         0.02       0.02       (0.06      (0.01      (0.00 )(b)        0.12  

Net realized and unrealized gain (loss)

    2.00         6.77       (1.91     4.34        1.10        9.14        8.85  
 

 

 

     

 

 

   

 

 

   

 

 

    

 

 

    

 

 

    

 

 

 
    2.05         6.79       (1.89     4.28        1.09        9.14        8.97  
 

 

 

     

 

 

   

 

 

   

 

 

    

 

 

    

 

 

    

 

 

 
Distributions(c)                                                   

From net investment income

    (1.20 )(d)        (0.04     (0.03     (0.63      (0.01      (0.10      (0.06

From net realized gain

            (2.11     (2.97     (6.07      (2.69      (3.74      (2.33

From return of capital

            (0.25                                 
 

 

 

     

 

 

   

 

 

   

 

 

    

 

 

    

 

 

    

 

 

 

Total distributions

    (1.20       (2.40     (3.00     (6.70      (2.70      (3.84      (2.39
 

 

 

     

 

 

   

 

 

   

 

 

    

 

 

    

 

 

    

 

 

 

Net asset value, end of period

  $ 36.54       $ 35.69     $ 31.30     $ 36.19      $ 38.61      $ 40.22      $ 34.92  
 

 

 

     

 

 

   

 

 

   

 

 

    

 

 

    

 

 

    

 

 

 

Market price, end of period

  $ 38.58       $ 36.50     $ 31.75     $ 39.35      $ 42.70      $ 41.37      $ 33.56  
 

 

 

     

 

 

   

 

 

   

 

 

    

 

 

    

 

 

    

 

 

 

Total Return(e)

                  

Based on net asset value

    5.90 %(f)         22.17     (5.36 )%      10.70      2.38 %(f)        28.00      33.37
 

 

 

     

 

 

   

 

 

   

 

 

    

 

 

    

 

 

    

 

 

 

Based on market price

    9.33 %(f)         23.17     (11.71 )%      8.87      10.07 %(f)       36.99      30.38
 

 

 

     

 

 

   

 

 

   

 

 

    

 

 

    

 

 

    

 

 

 

Ratios to Average Net Assets

                  

Total expenses

    1.12 %(g)(h)        1.12 %(h)      1.15 %(i)       1.13      1.16 %(i)        1.11      1.12
 

 

 

     

 

 

   

 

 

   

 

 

    

 

 

    

 

 

    

 

 

 

Total expenses after fees waived and/or reimbursed and excluding amortization of offering costs

    1.12 %(g)(h)        1.12 %(h)      1.14     1.12      1.11 %(i)        1.11      1.12
 

 

 

     

 

 

   

 

 

   

 

 

    

 

 

    

 

 

    

 

 

 

Net investment income

    0.27 %(g)(h)        0.06 %(h)      0.07     (0.14 )%       (0.10 )%(i)       (0.01 )%       0.38
 

 

 

     

 

 

   

 

 

   

 

 

    

 

 

    

 

 

    

 

 

 

Supplemental Data

                  

Net assets, end of period (000)

  $ 342,729       $ 331,858     $ 270,693     $ 297,530      $ 303,103      $ 313,933        270,161  
 

 

 

     

 

 

   

 

 

   

 

 

    

 

 

    

 

 

    

 

 

 

Portfolio turnover rate

    19       38     59     68      6      74      155
 

 

 

     

 

 

   

 

 

   

 

 

    

 

 

    

 

 

    

 

 

 

 

(a) 

Based on average shares outstanding

(b) 

Amount is greater than $(0.005) per share

(c) 

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

(d) 

A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year end.

(e) 

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices.

(f) 

Aggregate total return.

(g) 

Annualized.

(h) 

Excludes expenses incurred indirectly as a result of investments in underlying funds of 0.01%.

(i) 

Offering costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses would have been 1.16%.

See notes to financial statements.

 

 

FINANCIAL HIGHLIGHTS      107  


Financial Highlights  (continued)

(For a share outstanding throughout each period)

 

    BCX  
    Six Months Ended
06/30/18
(Unaudited)
          Year Ended December 31,      Period from
11/01/14 to
12/31/14
     

 

     Year Ended October 31,  
          2017     2016      2015      2014     2013  

Net asset value, beginning of period

  $ 10.64             $ 9.86     $ 8.35      $ 11.67      $ 12.50              $ 13.54     $ 15.42  
 

 

 

     

 

 

   

 

 

    

 

 

    

 

 

      

 

 

   

 

 

 

Net investment income(a)

    0.11         0.20 (b)       0.14        0.25        0.04          0.23       0.25  

Net realized and unrealized gain (loss)

    (0.14       1.19       1.95        (2.76      (0.72        (0.27     (0.97
 

 

 

     

 

 

   

 

 

    

 

 

    

 

 

      

 

 

   

 

 

 

Net increase (decrease) from investment operations

    (0.03       1.39       2.09        (2.51      (0.68        (0.04     (0.72
 

 

 

     

 

 

   

 

 

    

 

 

    

 

 

      

 

 

   

 

 

 
Distributions(c)                                                         

From net investment income

    (0.31 )(d)        (0.24     (0.15      (0.25      (0.02        (0.31     (0.14

From return of capital

            (0.37     (0.43      (0.56      (0.13        (0.69     (1.02
 

 

 

     

 

 

   

 

 

    

 

 

    

 

 

      

 

 

   

 

 

 

Total distributions

    (0.31       (0.61     (0.58      (0.81      (0.15        (1.00     (1.16
 

 

 

     

 

 

   

 

 

    

 

 

    

 

 

      

 

 

   

 

 

 

Net asset value, end of period

  $ 10.30       $ 10.64     $ 9.86      $ 8.35      $ 11.67        $ 12.50     $ 13.54  
 

 

 

     

 

 

   

 

 

    

 

 

    

 

 

      

 

 

   

 

 

 

Market price, end of period

  $ 9.29       $ 9.77     $ 8.27      $ 7.11      $ 9.71        $ 10.78     $ 11.68  
 

 

 

     

 

 

   

 

 

    

 

 

    

 

 

      

 

 

   

 

 

 

Total Return(e)

                    

Based on net asset value

    0.07 %(f)         15.60     27.41      (21.31 )%       (5.20 )%(f)          0.61     (3.61 )%(g) 
 

 

 

     

 

 

   

 

 

    

 

 

    

 

 

      

 

 

   

 

 

 

Based on market price

    (1.71 )%(f)        26.55     25.50      (19.47 )%       (8.53 )%(f)          0.58     (9.19 )% 
 

 

 

     

 

 

   

 

 

    

 

 

    

 

 

      

 

 

   

 

 

 

Ratios to Average Net Assets

                    

Total expenses

    1.08 %(h)         1.08     1.08      1.07      1.15 %(h)          1.35 %(i)       1.27
 

 

 

     

 

 

   

 

 

    

 

 

    

 

 

      

 

 

   

 

 

 

Total expenses after fees waived and paid indirectly

    1.08 %(h)         1.08     1.08      1.07      1.04 %(h)          1.06 %(i)       1.07
 

 

 

     

 

 

   

 

 

    

 

 

    

 

 

      

 

 

   

 

 

 

Net investment income

    2.13 %(h)         2.06 %(b)       1.61      2.43      2.01 %(h)          1.70     1.76
 

 

 

     

 

 

   

 

 

    

 

 

    

 

 

      

 

 

   

 

 

 

Supplemental Data

                    

Net assets, end of period (000)

  $ 988,175       $ 1,027,472     $ 976,899      $ 827,040      $ 1,156,499        $ 582,220     $ 630,617  
 

 

 

     

 

 

   

 

 

    

 

 

    

 

 

      

 

 

   

 

 

 

Portfolio turnover rate

    39       73     101      74      2        62     156
 

 

 

     

 

 

   

 

 

    

 

 

    

 

 

      

 

 

   

 

 

 

 

(a) 

Based on average shares outstanding.

(b) 

Net investment income per share and the ratio of net investment income to average net assets include less than $0.04 per share and 0.39% respectively, resulting from a special dividend from Baker Hughes Inc. in July 2017.

(c) 

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

(d) 

A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year end.

(e) 

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices.

(f) 

Aggregate total return.

(g) 

Includes a payment from an affiliate to compensate for foregone securities lending revenue which impacted the Trust’s total return. Not including this payment the Trust’s return would have been (3.68)%.

(h) 

Annualized.

(i) 

Includes reorganization costs associated with the Trust’s merger. Without these costs, total expenses and total expenses after fees waived and/or reimbursed would have been 1.26% and 1.06%, respectively.

See notes to financial statements.

 

 

108    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Financial Highlights  (continued)

(For a share outstanding throughout each period)

 

    BST  
    Six Months Ended
06/30/18
(Unaudited)
           Year Ended December 31,       

 

    

Period Ended
10/31/14 (a)

to 12/31/14

 
           2017      2016      2015  

Net asset value, beginning of period

  $ 27.73              $ 20.10      $ 19.70      $ 19.43               $ 19.10 (b)   
 

 

 

      

 

 

    

 

 

    

 

 

       

 

 

 

Net investment income (loss)(c)

    (0.04        (0.05      0.00 (d)         0.03           (0.01

Net realized and unrealized gain

    4.29          8.96        1.60        1.44           0.48  
 

 

 

      

 

 

    

 

 

    

 

 

       

 

 

 
    4.25          8.91        1.60        1.47           0.47  
 

 

 

      

 

 

    

 

 

    

 

 

       

 

 

 
Distributions(e)                                               

From net investment income

    (0.78 )(g)          (0.05             (0.03         (0.00 )(f)  

From net realized gain

             (0.22             (0.01          

From return of capital

             (1.01      (1.20      (1.16         (0.10
 

 

 

      

 

 

    

 

 

    

 

 

       

 

 

 

Total distributions

    (0.78        (1.28      (1.20      (1.20         (0.10
 

 

 

      

 

 

    

 

 

    

 

 

       

 

 

 

Capital changes with respect to issuance of Preferred Shares

                                     (0.04
 

 

 

      

 

 

    

 

 

    

 

 

       

 

 

 

Net asset value, end of period

  $ 31.20        $ 27.73      $ 20.10      $ 19.70         $ 19.43  
 

 

 

      

 

 

    

 

 

    

 

 

       

 

 

 

Market price, end of period

  $ 33.65        $ 26.69      $ 17.94      $ 17.31         $ 17.59  
 

 

 

      

 

 

    

 

 

    

 

 

       

 

 

 

Total Return(h)

                  

Based on net asset value

    15.46 %(i)         45.73      9.36      8.61         2.31 %(i)  
 

 

 

      

 

 

    

 

 

    

 

 

       

 

 

 

Based on market price

    29.37 %(i)         57.15      11.08      5.36         (11.55 )%(i) 
 

 

 

      

 

 

    

 

 

    

 

 

       

 

 

 

Ratios to Average Net Assets

                  

Total expenses

    1.09 %(j)          1.09      1.10      1.12         1.19 %(j)  
 

 

 

      

 

 

    

 

 

    

 

 

       

 

 

 

Total expenses after fees waived and paid indirectly

    0.89 %(j)          0.89      0.90      0.92         0.97 %(j)  
 

 

 

      

 

 

    

 

 

    

 

 

       

 

 

 

Net investment income (loss)

    (0.27 )%(j)         (0.19 )%       0.02      0.15         (0.24 )%(j) 
 

 

 

      

 

 

    

 

 

    

 

 

       

 

 

 

Supplemental Data

                  

Net assets, end of period (000)

  $ 698,799        $ 620,300      $ 452,443      $ 443,477         $ 437,380  
 

 

 

      

 

 

    

 

 

    

 

 

       

 

 

 

Portfolio turnover rate

    25        41      74      91         7
 

 

 

      

 

 

    

 

 

    

 

 

       

 

 

 

 

(a) 

Commencement of operations. This information includes the initial investment by BlackRock HoldCo2, Inc.

(b) 

Net asset value, beginning of period, reflects a deduction of $0.8975 per share sales charge from initial offering price of $20.00 per share.

(c) 

Based on average shares outstanding.

(d) 

Amount is less than $0.005 per share

(e) 

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

(f) 

Amount is greater than $(0.005) per share.

(g) 

A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year end.

(h) 

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices.

(i) 

Aggregate total return.

(j) 

Annualized.

See notes to financial statements.

 

 

FINANCIAL HIGHLIGHTS      109  


Financial Highlights  (continued)

(For a share outstanding throughout each period)

 

    BUI  
    Six Months Ended
06/30/18
(Unaudited)
          Year Ended December 31,      Period from
11/01/14 to
12/31/14
     

 

     Year Ended October 31,  
          2017      2016      2015      2014      2013  

Net asset value, beginning of period

  $ 21.12             $ 19.42      $ 19.50      $ 22.47      $ 22.40              $ 20.78      $ 20.22  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

 

Net investment income(a)

    0.31         0.56        0.56        0.47        0.11          0.51        0.57  

Net realized and unrealized gain (loss)

    (0.44       2.59        0.81        (1.99      0.20          2.68        1.44  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

 
    (0.13       3.15        1.37        (1.52      0.31          3.19        2.01  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

 
Distributions(b)                                                           

From net investment income

    (0.73 )(c)        (0.47      (0.49      (0.42      (0.10        (0.51      (0.52

From net realized gain

            (0.98      (0.53      (0.54               (0.37      (0.42

From return of capital

                   (0.43      (0.49      (0.14        (0.69      (0.51
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

 

Total distributions

    (0.73       (1.45      (1.45      (1.45      (0.24        (1.57      (1.45
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

 

Net asset value, end of period

  $ 20.26       $ 21.12      $ 19.42      $ 19.50      $ 22.47        $ 22.40      $ 20.78  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

 

Market price, end of period

  $ 20.01       $ 21.62      $ 18.41      $ 16.78      $ 20.74        $ 20.02      $ 18.36  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

 

Total Return(d)

                      

Based on net asset value

    (0.56 )%(e)        16.62      7.57      (6.09 )%       1.50 %(e)          16.94      11.18
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

 

Based on market price

    (4.06 )%(e)        25.93      18.50      (12.45 )%       4.82 %(e)          18.29      4.37
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

 

Ratios to Average Net Assets

                      

Total expenses

    1.12 %(f)         1.11      1.13      1.11      1.17 %(f)          1.10      1.11
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

 

Total expenses after fees waived and paid indirectly

    1.09 %(f)         1.09      1.13      1.11      1.11 %(f)          1.10      1.10
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

 

Net investment income

    3.03 %(f)         2.70      2.83      2.24      2.83 %(f)          2.36      2.83
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

 

Supplemental Data

                      

Net assets, end of period (000)

  $ 343,415       $ 357,776      $ 328,297      $ 329,747      $ 379,830        $ 378,762        351,325  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

 

Portfolio turnover rate

    17       31      8      20      2        41      133
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

 

 

(a) 

Based on average shares outstanding

(b) 

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

(c) 

A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year end.

(d) 

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices.

(e) 

Aggregate total return.

(f) 

Annualized.

See notes to financial statements.

 

 

110    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Notes to Financial Statements  (unaudited)

 

1.

ORGANIZATION

The following are registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as closed-end management investment companies and are referred to herein collectively as the “Trusts”, or individually as a “Trust”:

 

Fund Name   Herein Referred To As    Organized    Diversification
Classification

BlackRock Energy and Resources Trust

  BGR    Delaware    Non-diversified

BlackRock Enhanced Capital and Income Fund, Inc.

  CII    Maryland    Diversified

BlackRock Enhanced Equity Dividend Trust

  BDJ    Delaware    Diversified

BlackRock Enhanced Global Dividend Trust

  BOE    Delaware    Diversified

BlackRock Enhanced International Dividend Trust

  BGY    Delaware    Diversified

BlackRock Health Sciences Trust

  BME    Delaware    Diversified

BlackRock Resources & Commodities Strategy Trust

  BCX    Delaware    Non-diversified

BlackRock Science and Technology Trust

  BST    Delaware    Non-diversified

BlackRock Utilities, Infrastructure & Power Opportunities Trust

  BUI    Delaware    Diversified

The Board of Directors and Boards of Trustees of the Trusts are collectively referred to throughout this report as the “Board of Trustees” or the “Board,” and the directors/trustees thereof are collectively referred to throughout this report as “Trustees”. The Trusts determine and make available for publication the net asset values (“NAVs”) of their Common Shares on a daily basis.

The Trusts, together with certain other registered investment companies advised by BlackRock Advisors, LLC (the “Manager”) or its affiliates, are included in a complex of closed-end funds referred to as the Closed-End Complex.

Basis of Consolidation: The accompanying consolidated financial statements of BCX include the account of BlackRock Cayman Resources & Commodities Strategy Fund, Ltd. (the “Subsidiary”), which is a wholly-owned subsidiary of BCX and primarily invests in commodity-related instruments. The Subsidiary enables BCX to hold these commodity-related instruments and other derivatives and satisfy regulated investment company tax requirements. BCX may invest up to 25% of its total assets in the Subsidiary. Intercompany accounts and transactions, if any, have been eliminated. During the six months ended June 30, 2018, there were no transactions in the Subsidiary. The Subsidiary is subject to the same investment policies and restrictions that apply to BCX, except that the Subsidiary may invest without limitation in commodity-related instruments.

 

2.

SIGNIFICANT ACCOUNTING POLICIES

The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. Each Trust is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:

Investment Transactions and Income Recognition: For financial reporting purposes, investment transactions are recorded on the dates the transactions are entered into (the “trade dates”). Realized gains and losses on investment transactions are determined on the identified cost basis. Dividend income is recorded on the ex-dividend date. Dividends from foreign securities where the ex-dividend date may have passed are subsequently recorded when the Trusts are informed of the ex-dividend date. Under the applicable foreign tax laws, a withholding tax at various rates may be imposed on capital gains, dividends and interest. Upon notification from issuers, a portion of the dividend income received from a real estate investment trust may be redesignated as a reduction of cost of the related investment and/or realized gain. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized on an accrual basis.

Foreign Currency Translation: Each Trust’s books and records are maintained in U.S. dollars. Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates determined as of the close of trading on the New York Stock Exchange (“NYSE”). Purchases and sales of investments are recorded at the rates of exchange prevailing on the respective dates of such transactions. Generally, when the U.S. dollar rises in value against a foreign currency, the investments denominated in that currency will lose value; the opposite effect occurs if the U.S. dollar falls in relative value.

Each Trust does not isolate the portion of the results of operations arising as a result of changes in the exchange rates from the changes in the market prices of investments held or sold for financial reporting purposes. Accordingly, the effects of changes in exchange rates on investments are not segregated in the Statements of Operations from the effects of changes in market prices of those investments, but are included as a component of net realized and unrealized gain (loss) from investments. Each Trust reports realized currency gains (losses) on foreign currency related transactions as components of net realized gain (loss) for financial reporting purposes, whereas such components are generally treated as ordinary income for U.S. federal income tax purposes.

Segregation and Collateralization: In cases where a Trust enters into certain investments (e.g., futures contracts, forward foreign currency exchange contracts and options written) that would be treated as “senior securities” for 1940 Act purposes, a Trust may segregate or designate on its books and records cash or liquid assets having a market value at least equal to the amount of its future obligations under such investments. Doing so allows the investment to be excluded from treatment as a “senior security.” Furthermore, if required by an exchange or counterparty agreement, the Trusts may be required to deliver/deposit cash and/or securities to/with an exchange, or broker-dealer or custodian as collateral for certain investments or obligations.

Distributions: Distributions paid by the Trusts are recorded on the ex-dividend date. Subject to the Trusts’ level distribution plan, the Trusts intend to make monthly cash distributions to shareholders, which may consist of net investment income, net options premium and net realized and unrealized gains on investments and/or return of capital.

 

 

NOTES TO FINANCIAL STATEMENTS      111  


Notes to Financial Statements  (unaudited) (continued)

 

The character of distributions is determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP. The portion of distributions that exceeds a Trust’s current and accumulated earnings and profits, which are measured on a tax basis, will constitute a non-taxable return of capital.

Net income and realized gains from investments held by the Subsidiary are treated as ordinary income for tax purposes. If a net loss is realized by the Subsidiary in any taxable year, the loss will generally not be available to offset BCX’s ordinary income and/or capital gains for that year.

Deferred Compensation Plan: Under the Deferred Compensation Plan (the “Plan”) approved by each Trust’s Board, the independent Trustees (“Independent Trustees”) may defer a portion of their annual complex-wide compensation. Deferred amounts earn an approximate return as though equivalent dollar amounts had been invested in common shares of certain other BlackRock Closed-End Funds selected by the Independent Trustees. This has the same economic effect for the Independent Trustees as if the Independent Trustees had invested the deferred amounts directly in certain other BlackRock Closed-End Funds.

The Plan is not funded and obligations thereunder represent general unsecured claims against the general assets of each Trust, if applicable. Deferred compensation liabilities are included in the Trustees’ and Officer’s fees payable in the Statements of Assets and Liabilities and will remain as a liability of the Trusts until such amounts are distributed in accordance with the Plan.

Recent Accounting Standards: In March 2017, the Financial Accounting Standards Board issued Accounting Standards Update “Premium Amortization of Purchased Callable Debt Securities” which amends the amortization period for certain purchased callable debt securities. Under the new guidance, the premium amortization of purchased callable debt securities that have explicit, non-contingent call features and are callable at fixed prices will be amortized to the earliest call date. The guidance will be applied on a modified retrospective basis and is effective for fiscal years, and their interim periods, beginning after December 15, 2018. Management is currently evaluating the impact of this guidance to the Funds.

Indemnifications: In the normal course of business, a Trust enters into contracts that contain a variety of representations that provide general indemnification. A Trust’s maximum exposure under these arrangements is unknown because it involves future potential claims against a Trust, which cannot be predicted with any certainty.

Other: Expenses directly related to a Trust are charged to that Trust. Other operating expenses shared by several funds, including other funds managed by the Manager, are prorated among those funds on the basis of relative net assets or other appropriate methods.

 

3.

INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS

Investment Valuation Policies: The Trusts’ investments are valued at fair value (also referred to as “market value” within the financial statements) as of the close of trading on the NYSE (generally 4:00 p.m., Eastern time) (or if the reporting date falls on a day the NYSE is closed, investments are valued at fair value as of the period end). U.S. GAAP defines fair value as the price the Trusts would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Trusts determine the fair values of their financial instruments using various independent dealers or pricing services under policies approved by the Board of Trustees of each Trust (the “Board”). The BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) is the committee formed by management to develop global pricing policies and procedures and to oversee the pricing function for all financial instruments.

Fair Value Inputs and Methodologies: The following methods and inputs are used to establish the fair value of each Trust’s assets and liabilities:

 

   

Equity investments traded on a recognized securities exchange are valued at the official closing price each day, if available. For equity investments traded on more than one exchange, the official closing price on the exchange where the stock is primarily traded is used. Equity investments traded on a recognized exchange for which there were no sales on that day may be valued at the last available bid (long positions) or ask (short positions) price.

Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of trading on the NYSE. Occasionally, events affecting the values of such instruments may occur between the foreign market close and the close of trading on the NYSE that may not be reflected in the computation of the Trusts’ net assets. Each business day, the Trusts use a pricing service to assist with the valuation of certain foreign exchange-traded equity securities and foreign exchange-traded and over-the-counter (“OTC”) options (the “Systematic Fair Value Price”). Using current market factors, the Systematic Fair Value Price is designed to value such foreign securities and foreign options at fair value as of the close of trading on the NYSE, which follows the close of the local markets.

 

   

Fixed-income securities for which market quotations are readily available are generally valued using the last available bid prices or current market quotations provided by independent dealers or third party pricing services. Floating rate loan interests are valued at the mean of the bid prices from one or more independent brokers or dealers as obtained from a third party pricing service. Pricing services generally value fixed-income securities assuming orderly transactions of an institutional round lot size, but a fund may hold or transact in such securities in smaller, odd lot sizes. Odd lots may trade at lower prices than institutional round lots. The pricing services may use matrix pricing or valuation models that utilize certain inputs and assumptions to derive values, including transaction data (e.g., recent representative bids and offers), credit quality information, perceived market movements, news, and other relevant information. Certain fixed-income securities, including asset-backed and mortgage related securities may be valued based on valuation models that consider the estimated cash flows of each tranche of the entity, establish a benchmark yield and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche. The amortized cost method of valuation may be used with respect to debt obligations with sixty days or less remaining to maturity unless the Manager determines such method does not represent fair value.

 

   

Investments in open-end U.S. mutual funds are valued at NAV each business day.

 

   

The Trusts value their investment in SL Liquidity Series, LLC, Money Market Series (the “Money Market Series”) at fair value, which is ordinarily based upon their pro rata ownership in the underlying fund’s net assets. The Money Market Series seeks current income consistent with maintaining liquidity and preserving capital. Although the Money Market Series is not registered under the 1940 Act, its investments may follow the parameters of investments by a money market fund that is subject to Rule 2a-7 under the 1940 Act.

 

   

Futures contracts traded on exchanges are valued at their last sale price.

 

 

112    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Notes to Financial Statements  (unaudited) (continued)

 

 

   

Forward foreign currency exchange contracts are valued at the mean between the bid and ask prices and are determined as of the close of trading on the NYSE. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available.

 

   

Exchange-traded options are valued at the mean between the last bid and ask prices at the close of the options market in which the options trade. An exchange-traded option for which there is no mean price is valued at the last bid (long positions) or ask (short positions) price. If no bid or ask price is available, the prior day’s price will be used, unless it is determined that the prior day’s price no longer reflects the fair value of the option. OTC options and options on swaps (“swaptions”) are valued by an independent pricing service using a mathematical model, which incorporates a number of market data factors, such as the trades and prices of the underlying instruments.

If events (e.g., a company announcement, market volatility or a natural disaster) occur that are expected to materially affect the value of such investments, or in the event that the application of these methods of valuation results in a price for an investment that is deemed not to be representative of the market value of such investment, or if a price is not available, the investment will be valued by the Global Valuation Committee, or its delegate, in accordance with a policy approved by the Board as reflecting fair value (“Fair Valued Investments”). The fair valuation approaches that may be used by the Global Valuation Committee will include market approach, income approach and cost approach. Valuation techniques such as discounted cash flow, use of market comparables and matrix pricing are types of valuation approaches and are typically used in determining fair value. When determining the price for Fair Valued Investments, the Global Valuation Committee, or its delegate, seeks to determine the price that each Trust might reasonably expect to receive or pay from the current sale or purchase of that asset or liability in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the Global Valuation Committee, or its delegate, deems relevant and consistent with the principles of fair value measurement.

The Global Valuation Committee, or its delegate, employs various methods for calibrating valuation approaches for investments where an active market does not exist, including regular due diligence of each Trust’s pricing vendors, regular reviews of key inputs and assumptions, transactional back-testing or disposition analysis to compare unrealized gains and losses to realized gains and losses, reviews of missing or stale prices and large movements in market values and reviews of any market related activity. The pricing of all Fair Valued Investments is subsequently reported to the Board or a committee thereof on a quarterly basis. As a result of the inherent uncertainty in valuation of these investments, the fair values may differ from the values that would have been used had an active market existed.

For investments in equity or debt issued by privately held companies or funds (“Private Company” or collectively, the “Private Companies”) and other Fair Valued Investments, the fair valuation approaches that are used by third party pricing services utilize one or a combination of, but not limited to, the following inputs.

 

     Standard Inputs Generally Considered By Third Party Pricing Services

Market approach

 

(i)  recent market transactions, including subsequent rounds of financing, in the underlying investment or comparable issuers;

(ii)   recapitalizations and other transactions across the capital structure; and

(iii)  market multiples of comparable issuers.

Income approach

 

(i)  future cash flows discounted to present and adjusted as appropriate for liquidity, credit, and/or market risks;

(ii)   quoted prices for similar investments or assets in active markets; and

(iii)  other risk factors, such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, recovery rates, liquidation amounts and/or default rates.

Cost approach

 

(i)  audited or unaudited financial statements, investor communications and financial or operational metrics issued by the Private Company;

(ii)   changes in the valuation of relevant indices or publicly traded companies comparable to the Private Company;

(iii)  relevant news and other public sources; and

(iv)  known secondary market transactions in the Private Company’s interests and merger or acquisition activity in companies comparable to the Private Company.

Investments in series of preferred stock issued by Private Companies are typically valued utilizing market approach in determining the enterprise value of the company. Such investments often contain rights and preferences that differ from other series of preferred and common stock of the same issuer. Valuation techniques such as an option pricing model (“OPM”), a probability weighted expected return model (“PWERM”) or a hybrid of those techniques are used in allocating enterprise value of the company, as deemed appropriate under the circumstances. The use of OPM and PWERM techniques involve a determination of the exit scenarios of the investment in order to appropriately allocate the enterprise value of the company among the various parts of its capital structure.

The Private Companies are not subject to the public company disclosure, timing, and reporting standards as other investments held by a Trust. Typically, the most recently available information by a Private Company is as of a date that is earlier than the date a Trust is calculating its NAV. This factor may result in a difference between the value of the investment and the price a Trust could receive upon the sale of the investment.

Fair Value Hierarchy: Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial statement purposes as follows:

 

   

Level 1 — Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that each Trust has the ability to access

 

   

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

 

   

Level 3 — Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including each Trust’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

 

 

NOTES TO FINANCIAL STATEMENTS      113  


Notes to Financial Statements  (unaudited) (continued)

 

is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by Private Companies. There may not be a secondary market, and/or there are a limited number of investors. Level 3 investments may also be adjusted to reflect illiquidity and/or non-transferability, with the amount of such discount estimated by the Global Valuation Committee in the absence of market information.

Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. In accordance with each Trust’s policy, transfers between different levels of the fair value hierarchy are deemed to have occurred as of the beginning of the reporting period. 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.

As of June 30, 2018, certain investments of the BDJ, BCX and BST were valued using net asset value per share as no quoted market value is available and therefore have been excluded from the fair value hierarchy.

 

4.

SECURITIES AND OTHER INVESTMENTS

Preferred Stocks: Preferred stock has a preference over common stock in liquidation (and generally in receiving dividends as well), but is subordinated to the liabilities of the issuer in all respects. As a general rule, the market value of preferred stock with a fixed dividend rate and no conversion element varies inversely with interest rates and perceived credit risk, while the market price of convertible preferred stock generally also reflects some element of conversion value. Because preferred stock is junior to debt securities and other obligations of the issuer, deterioration in the credit quality of the issuer will cause greater changes in the value of a preferred stock than in a more senior debt security with similar stated yield characteristics. Unlike interest payments on debt securities, preferred stock dividends are payable only if declared by the issuer’s board of directors. Preferred stock also may be subject to optional or mandatory redemption provisions.

Securities Lending: Certain Trusts may lend their securities to approved borrowers, such as brokers, dealers and other financial institutions. The borrower pledges and maintains with the Trusts collateral consisting of cash, an irrevocable letter of credit issued by a bank, or securities issued or guaranteed by the U.S. Government. The initial collateral received by each Trust is required to have a value of at least 102% of the current value of the loaned securities for securities traded on U.S. exchanges and a value of at least 105% for all other securities. The collateral is maintained thereafter at a value equal to at least 100% of the current market value of the securities on loan. The market value of the loaned securities is determined at the close of each business day of the Trust and any additional required collateral is delivered to the Trust, or excess collateral returned by the Trust, on the next business day. During the term of the loan, the Trusts are entitled to all distributions made on or in respect of the loaned securities, but do not receive interest income on securities received as collateral. Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions.

The market value of any securities on loan, all of which were classified as common stocks in the Trusts’ Schedules of Investments, and the value of any related collateral are shown separately in the Statements of Assets and Liabilities as a component of investments at value-unaffiliated, and collateral on securities loaned at value, respectively. As of period end, any securities on loan were collateralized by cash and/or U.S. Government obligations. Cash collateral invested by the securities lending agent, BlackRock Investment Management, LLC (“BIM”), if any, is disclosed in the Schedules of Investments.

Securities lending transactions are entered into by the Trusts under Master Securities Lending Agreements (each, an “MSLA”), which provide the right, in the event of default (including bankruptcy or insolvency), for the non-defaulting party to liquidate the collateral and calculate a net exposure to the defaulting party or request additional collateral. In the event that a borrower defaults, the Trusts, as lender, would offset the market value of the collateral received against the market value of the securities loaned. When the value of the collateral is greater than that of the market value of the securities loaned, the lender is left with a net amount payable to the defaulting party. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of an MSLA counterparty’s bankruptcy or insolvency. Under the MSLA, absent an event of default, the borrower can resell or re-pledge the loaned securities, and a Trust can reinvest cash collateral received in connection with loaned securities. Upon an event of default, the parties’ obligations to return the securities or collateral to the other party are extinguished, and the parties can resell or re-pledge the loaned securities or the collateral received in connection with the loaned securities in order to satisfy the defaulting party’s net payment obligation for all transactions under the MSLA. The defaulting party remains liable for any deficiency.

As of period end, the following table is a summary of the Trusts’ securities lending agreements by counterparty which are subject to offset under an MSLA:

 

Counterparty   Securities
Loaned at Value
     Cash Collateral
Received
 (a)
    Net
Amount
 

BDJ

      

Morgan Stanley & Co. LLC

  $ 11,215      $ (11,215   $  
 

 

 

    

 

 

   

 

 

 

BCX

      

Goldman Sachs & Co.

  $ 5      $ (5   $  

Merrill Lynch, Pierce, Fenner & Smith Inc.

    10        (10      

Morgan Stanley & Co. LLC

    5        (5      
 

 

 

    

 

 

   

 

 

 
  $ 20      $ (20   $  
 

 

 

    

 

 

   

 

 

 

BST

      

Bank of Montreal

  $ 26,730      $ (26,730   $  

Deutsche Bank AG

    98,010        (98,010      

Merrill Lynch, Pierce, Fenner & Smith Inc.

    133,650        (133,650      
 

 

 

    

 

 

   

 

 

 
  $ 258,390      $ (258,390   $  
 

 

 

    

 

 

   

 

 

 

 

  (a) 

Cash collateral with a value of $12,294, $27,985 and $277,000 has been received in connection with securities lending agreements. Collateral received in excess of the value of securities loaned from the individual counterparty is not shown for financial reporting purposes in the table above.

 

 

 

114    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Notes to Financial Statements  (unaudited) (continued)

 

The risks of securities lending include the risk that the borrower may not provide additional collateral when required or may not return the securities when due. To mitigate these risks, the Trusts benefit from a borrower default indemnity provided by BIM. BIM’s indemnity allows for full replacement of the securities loaned if the collateral received does not cover the value on the securities loaned in the event of borrower default. Each Trust could incur a loss if the value of an investment purchased with cash collateral falls below the market value of loaned securities or if the value of an investment purchased with cash collateral falls below the value of the original cash collateral received.

 

5.

DERIVATIVE FINANCIAL INSTRUMENTS

The Trusts engage in various portfolio investment strategies using derivative contracts both to increase the returns of the Trusts and/or to manage their exposure to certain risks such as credit risk, equity risk, interest rate risk, foreign currency exchange rate risk, commodity price risk or other risks (e.g., inflation risk). Derivative financial instruments categorized by risk exposure are included in the Schedules of Investments. These contracts may be transacted on an exchange or OTC.

Futures Contracts: Futures contracts are purchased or sold to gain exposure to, or manage exposure to, changes in interest rates (interest rate risk), and changes in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk).

Futures contracts are agreements between the Trusts and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and on a specified date. Depending on the terms of a contract, it is settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash amount on the settlement date. Upon entering into a futures contract, the Trusts are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on a contract’s size and risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract. Amounts pledged, which are considered restricted, are included in cash pledged for futures contracts on the Statements of Assets and Liabilities.

Securities deposited as initial margin are designated in the Schedules of Investments and cash deposited, if any, is shown as cash pledged for futures contracts in the Statements of Assets and Liabilities. Pursuant to the contract, the Trusts agree to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation) and, if any, shown as variation margin receivable (or payable) on futures contracts in the Statements of Assets and Liabilities. When the contract is closed, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the notional amount of the contract at the time it was opened and the notional amount at the time it was closed. The use of futures contracts involves the risk of an imperfect correlation in the movements in the price of futures contracts and interest, foreign currency exchange rates or underlying assets.

Forward Foreign Currency Exchange Contracts: Forward foreign currency exchange contracts are entered into to gain or reduce exposure to foreign currencies (foreign currency exchange rate risk).

A forward foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a specified date. These contracts help to manage the overall exposure to the currencies in which some of the investments held by the Trusts are denominated and in some cases, may be used to obtain exposure to a particular market.

The contract is marked-to-market daily and the change in market value is recorded as unrealized appreciation (depreciation) in the Statements of Assets and Liabilities. When a contract is closed, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the value at the time it was opened and the value at the time it was closed. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The use of forward foreign currency exchange contracts involves the risk that the value of a forward foreign currency exchange contract changes unfavorably due to movements in the value of the referenced foreign currencies. Cash amounts pledged for forward foreign currency contracts are considered restricted and are included in Cash pledged: Collateral — OTC derivatives on the Statement of Assets and Liabilities.

Options: Certain Trusts purchase and write call and put options to increase or decrease their exposure to the risks of underlying instruments, including equity risk, interest rate risk and/or commodity price risk and/or, in the case of options written, to generate gains from options premiums.

A call option gives the purchaser (holder) of the option the right (but not the obligation) to buy, and obligates the seller (writer) to sell (when the option is exercised) the underlying instrument at the exercise or strike price at any time or at a specified time during the option period. A put option gives the holder the right to sell and obligates the writer to buy the underlying instrument at the exercise or strike price at any time or at a specified time during the option period.

Premiums paid on options purchased and premiums received on options written, as well as the daily fluctuation in market value, are included in investments at value — unaffiliated and options written at value, respectively, in the Statements of Assets and Liabilities. When an instrument is purchased or sold through the exercise of an option, the premium is offset against the cost or proceeds of the underlying instrument. When an option expires, a realized gain or loss is recorded in the Statements of Operations to the extent of the premiums received or paid. When an option is closed or sold, a gain or loss is recorded in the Statements of Operations to the extent the cost of the closing transaction exceeds the premiums received or paid. When the Trusts write a call option, such option is typically “covered,” meaning that they hold the underlying instrument subject to being called by the option counterparty. When the Trusts write a put option, such option is covered by cash in an amount sufficient to cover the obligation. These amounts, which are considered restricted, are included in Cash pledged: Collateral — option written on the Statement of Assets and Liabilities.

In purchasing and writing options, the Trusts bear the risk of an unfavorable change in the value of the underlying instrument or the risk that they may not be able to enter into a closing transaction due to an illiquid market. Exercise of a written option could result in the Trusts purchasing or selling a security when it otherwise would not, or at a price different from the current market value.

Master Netting Arrangements: In order to define their contractual rights and to secure rights that will help them mitigate their counterparty risk, the Trusts may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with their counterparties. An ISDA Master Agreement is a bilateral agreement between each Trust and a counterparty that governs certain OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, each Trust may, under certain circumstances,

 

 

NOTES TO FINANCIAL STATEMENTS      115  


Notes to Financial Statements  (unaudited) (continued)

 

offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. Bankruptcy or insolvency laws of a particular jurisdiction may restrict or prohibit the right of offset in bankruptcy, insolvency or other events.

Collateral Requirements: For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Trusts and the counterparty.

Cash collateral that has been pledged to cover obligations of the Trusts and cash collateral received from the counterparty, if any, is reported separately on the Statements of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively. Non-cash collateral pledged by the Trusts, if any, is noted in the Schedules of Investments. Generally, the amount of collateral due from or to a counterparty is subject to a certain minimum transfer amount threshold before a transfer is required, which is determined at the close of business of the Trusts. Any additional required collateral is delivered to/pledged by the Trusts on the next business day. Typically, the counterparty is not permitted to sell, re-pledge or use cash and non-cash collateral it receives. A Trust generally agrees not to use non-cash collateral that it receives but may, absent default or certain other circumstances defined in the underlying ISDA Master Agreement, be permitted to use cash collateral received. In such cases, interest may be paid pursuant to the collateral arrangement with the counterparty. To the extent amounts due to the Trusts from their counterparties are not fully collateralized, they bear the risk of loss from counterparty non-performance. Likewise, to the extent the Trusts have delivered collateral to a counterparty and stand ready to perform under the terms of their agreement with such counterparty, they bear the risk of loss from a counterparty in the amount of the value of the collateral in the event the counterparty fails to return such collateral. Based on the terms of agreements, collateral may not be required for all derivative contracts.

For financial reporting purposes, the Trusts do not offset derivative assets and derivative liabilities that are subject to netting arrangements, if any, in the Statements of Assets and Liabilities.

 

6.

INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES

The PNC Financial Services Group, Inc. is the largest stockholder and an affiliate of BlackRock, Inc. (“BlackRock”) for 1940 Act purposes.

INVESTMENT ADVISORY: Each Trust entered into an Investment Advisory Agreement with the Manager, the Trusts’ investment adviser, an indirect, wholly-owned subsidiary of BlackRock, to provide investment advisory and administrative services. The Manager is responsible for the management of each Trust’s portfolio and provides the personnel, facilities, equipment and certain other services necessary to the operations of each Trust.

For such services, each Trust, except BCX and BST, pays the Manager a monthly fee at the following annual rates:

 

Average weekly value of each Trust’s net assets:

       

BGR

    1.20

BDJ

    0.80  

BOE

    1.00  

BME

    1.00  

 

Average daily value of each Trust’s net assets:

       

CII

    0.85

BGY

    1.00  

BUI

    1.00  

For such services, BCX pays the Manager a monthly fee of 1.00% of the sum of the average daily value of the net assets of the Trust (excluding the value of the Trust’s interest in the Subsidiary) and the average daily value of the net assets of the Subsidiary, which fee is allocated pro rata between the Trust and the Subsidiary based on the average daily value of their respective net assets (excluding, in the case of the Trust, the value of the Trust’s interest in the Subsidiary).

For such services, BST pays the Manager a monthly fee at an annual rate equal to 1.00% of the average daily value of the Trust’s managed assets. For purposes of calculating this fee, “managed assets” means the total assets of the Trust (including any assets attributable to money borrowed for investment purposes) minus the sum of its accrued liabilities (other than money borrowed for investment purposes).

With respect to BGR, BOE, BGY, BCX and BUI, the Manager entered into separate sub-advisory agreements with BlackRock International Limited (“BIL”), an affiliate of the Manager. The Manager pays BIL, for services it provides, a monthly fee that is a percentage of the investment advisory fees paid by each Trust to the Manager.

The Manager provides investment management and other services to BCX’s Subsidiary. The Manager does not receive separate compensation from the Subsidiary for providing investment management or administrative services. However, BCX pays the Manager based on the Trust’s net assets, which includes the assets of the Subsidiary.

Distribution Fees: BME has entered into a Distribution Agreement with BlackRock Investments, LLC (“BRIL”), an affiliate of the Manager, to provide for distribution of BME common shares on a reasonable best efforts basis through an equity shelf offering (a “Shelf Offering”) (the “Distribution Agreement”). Pursuant to the Distribution Agreement, BME will compensate BRIL with respect to sales of common shares at a commission rate of 1.00% of the gross proceeds of the sale of BME’s common shares and a portion of such commission is re-allowed to broker-dealers engaged by BRIL. The commissions retained by BRIL during the period ended June 30, 2018 amounted to $2,683.

 

 

116    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Notes to Financial Statements  (unaudited) (continued)

 

Expense Limitations, Waivers and Reimbursements: The Manager has contractually agreed to waive a portion of the investment advisory fees on BST as a percentage of its average daily managed assets as follows:

 

             Expiration Date  

BST

    0.20      December 31, 2018  
    0.15        December 31, 2019  
    0.10        December 31, 2020  
      0.05        December 31, 2021  

The Manager voluntarily agreed to waive a portion of the investment advisory fees on the following Trusts as a percentage of their average weekly net assets, except BUI, which is average daily net assets, as follows:

 

BGR

    0.150

BOE

    0.100  

BUI

    0.025  

With respect to BGY, the Manager has voluntarily agreed to waive a portion of its investment advisory fees equal to the annual rate of 0.10% of BGY’s average daily net assets.

These voluntary waivers may be reduced or discontinued at any time without notice.

For the period ended June 30, 2018, the investment advisory fees waived, which are included in fees waived and/or reimbursed by the Manager in the Statements of Operations, were as follows:

 

BGR

  $ 342,783  

BOE

    429,763  

BGY

    364,385  

BST

    670,244  

BUI

    42,758  

With respect to each Trust, the Manager voluntarily agreed to waive its investment advisory fees by the amount of investment advisory fees each Trust pays to the Manager indirectly through its investment in affiliated money market funds (the “affiliated money market fund waiver”). These amounts are included in fees waived and/or reimbursed by the Manager in the Statements of Operations. For the period ended June 30, 2018, the amounts waived were as follows:

 

     Amount Waived  

BGR

  $ 1,395  

CII

    1,442  

BDJ

    3,186  

BOE

    2,915  

BGY

    2,827  

BME

    4,091  

BCX

    3,732  

BST

    1,572  

BUI

    1,557  

The Manager contractually agreed to waive its investment advisory fee with respect to any portion of each Trust’s assets invested in affiliated equity and fixed-income mutual funds and affiliated exchange-traded funds that have a contractual management fee through June 30, 2019. The agreement can be renewed for annual periods thereafter, and may be terminated on 90 days’ notice, each subject to approval by a majority of the Trusts’ Independent Trustees. These amounts are included in fees waived and/or reimbursed by the Manager in the Statements of Operations. For the period ended June 30, 2018, there were no investment advisory fees pursuant to these arrangements.

Securities Lending: The U.S. Securities and Exchange Commission (“SEC”) has issued an exemptive order which permits BIM, an affiliate of the Manager, to serve as securities lending agent for the Trusts, subject to applicable conditions. As securities lending agent, BIM bears all operational costs directly related to securities lending. The Trusts are responsible for expenses in connection with the investment of cash collateral received for securities on loan (the “collateral investment expenses”). The cash collateral is invested in a private investment company managed by the Manager or its affiliates. However, BIM has agreed to cap the collateral investment expenses of the private investment company to an annual rate of 0.04%. The investment adviser to the private investment company will not charge any advisory fees with respect to shares purchased by the Trusts. The private investment company in which the cash collateral has been invested may, under certain circumstances, impose a liquidity fee of up to 2% of the value withdrawn or temporarily restrict withdrawals for up to 10 business days during a 90 day period, in the event that the private investment company’s weekly liquid assets fall below certain thresholds.

Securities lending income is equal to the total of income earned from the reinvestment of cash collateral, net of fees and other payments to and from borrowers of securities, and less the collateral investment expenses. Each Trust retains a portion of securities lending income and remits a remaining portion to BIM as compensation for its services as securities lending agent. Pursuant to a securities lending agreement, BIM may lend securities only when the difference between the borrower rebate rate and the risk free rate exceeds a certain level (such securities, the “specials only securities”).

 

 

NOTES TO FINANCIAL STATEMENTS      117  


Notes to Financial Statements  (unaudited) (continued)

 

Each Trust retains 80% of securities lending income. In addition, commencing the business day following the date that the aggregate securities lending income earned across the Closed-End Complex in a calendar year exceeds the breakpoint dollar threshold applicable in the given year as set forth in the securities lending agreement, each Trust, pursuant to the securities lending agreement, will retain for the remainder of the calendar year securities lending income in an amount equal to 85% of securities lending income.

The share of securities lending income earned by each Trust is shown as securities lending income – affiliated – net in the Statements of Operations. For the period ended June 30, 2018, each Trust paid BIM the following amounts for securities lending agent services:

 

BDJ

  $ 2  

BME

    310  

BCX

    628  

BST

    30,983  

Trustees and Officers: Certain Trustees and/or officers of the Trusts are trustees and/or officers of BlackRock or its affiliates. The Trusts reimburse the Manager for a portion of the compensation paid to the Trusts’ Chief Compliance Officer, which is included in Trustees and Officer in the Statements of Operations.

Other Transactions: During the six months ended June 30, 2018, BGY received a reimbursement of $243,859 from an affiliate, which is shown as payments by affiliates in the Statements of Operations, related to the reimbursement of transaction costs.

The Trusts may purchase securities from, or sell securities to, an affiliated fund provided the affiliation is due solely to having a common investment adviser, common officers, or common trustees. For the six months ended June 30, 2018, the purchase and sale transactions and any net realized gains (losses) with an affiliated fund in compliance with Rule 17a-7 under the 1940 Act were as follows:

 

     Purchase      Sales      Net Realized
Gain (Loss)
 

BDJ

  $ 3,832,651                

 

7.

PURCHASES AND SALES

For the six months ended June 30, 2018, purchases and sales of investments excluding short-term securities, were as follows:

 

     Purchases      Sales  

BGR

  $ 96,116,237      $ 121,304,155  

CII

    92,067,745        116,237,176  

BDJ

    308,006,919        363,941,063  

BOE

    147,813,777        156,965,401  

BGY

    346,240,233        353,741,234  

BME

    62,689,623        65,028,434  

BCX

    383,862,338        418,553,686  

BST

    169,757,561        196,333,223  

BUI

    57,510,952        65,410,798  

 

8.

INCOME TAX INFORMATION

It is each Trust’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of its taxable income to its shareholders. Therefore, no U.S. federal income tax provision is required.

Each Trust files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on each Trust’s U.S. federal tax returns generally remains open for each of the three years ended December 31, 2017, the period ended December 31, 2014 and the year ended October 31, 2014 with the exception of BST. The statutes of limitations on BST’s U.S. federal tax returns remains open for each of the three years ended December 31, 2017 and the period ended December 31, 2014. The statutes of limitations on each Trust’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.

Management has analyzed tax laws and regulations and their application to the Trusts as of June 30, 2018, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Trusts’ financial statements.

As of December 31, 2017, the Trusts had non-expiring capital loss carryforwards available to offset future realized capital gains as follows:

 

     BGR      CII      BGY      BCX  

No expiration date

  $ 154,439,314      $ 21,333,622      $ 31,492,776      $ 437,380,204  

 

 

118    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Notes to Financial Statements  (unaudited) (continued)

 

As of June 30, 2018, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:

 

     BGR     CII     BDJ     BOE     BGY  

Tax cost

  $ 424,143,825     $ 591,611,409     $ 1,429,825,470     $ 848,463,124     $ 723,416,101  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Gross unrealized appreciation

  $ 81,897,361     $ 184,616,547     $ 462,045,697     $ 41,932,385     $ 25,412,668  

Gross unrealized depreciation

    (25,780,008     (20,018,179     (68,457,946     (70,937,899     (58,905,300
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net unrealized appreciation (depreciation)

  $ 56,117,353     $ 164,598,368     $ 393,587,751     $ (29,005,514   $ (33,492,632
         
            BME     BCX     BST     BUI  

Tax cost

 

  $ 235,074,925     $ 849,889,691     $ 369,977,582     $ 265,721,629  
   

 

 

   

 

 

   

 

 

   

 

 

 

Gross unrealized appreciation

 

  $ 116,831,611     $ 194,676,837     $ 346,507,612     $ 89,424,190  

Gross unrealized depreciation

 

    (6,808,793     (46,631,714     (10,534,876     (11,236,806
   

 

 

   

 

 

   

 

 

   

 

 

 

Net unrealized appreciation (depreciation)

 

  $ 110,022,818     $ 148,045,123     $ 335,972,736     $ 78,187,384  

The Tax Cuts and Jobs Act (the “Act”) was enacted on December 22, 2017. Certain provisions of the Act were effective upon enactment with the remainder becoming effective for tax years beginning after December 31, 2017. Although the Act does not amend any provisions directly related to the qualification or taxation of regulated investment companies (“RICs”), the Act does change the taxation of entities in which some RICs invest, the tax treatment of income derived from those entities and the taxation of RIC shareholders. While management does not anticipate significant impact to the Funds or to their shareholders, there is uncertainty in the application of certain provisions in the Act. Specifically, provisions in the Act may increase the amount of or accelerate the recognition of taxable income and may limit the deductibility of certain expenses by RICs. Until full clarity around these provisions is obtained, the impact on the Trusts’ financial statements, if any, cannot be fully determined.

 

9.

PRINCIPAL RISKS

In the normal course of business, certain Trusts invest in securities or other instruments and may enter into certain transactions, and such activities subject each Trust to various risks, including among others, fluctuations in the market (market risk) or failure of an issuer to meet all of its obligations. The value of securities or other instruments may also be affected by various factors, including, without limitation: (i) the general economy; (ii) the overall market as well as local, regional or global political and/or social instability; (iii) regulation, taxation or international tax treaties between various countries; or (iv) currency, interest rate and price fluctuations.

The Trusts may be exposed to additional risks when reinvesting cash collateral in money market funds that do not seek to maintain a stable NAV per share of $1.00 and which may be subject to redemption gates or liquidity fees under certain circumstances.

Valuation Risk: The market values of equities, such as common stocks and preferred securities or equity related investments, such as futures and options, may decline due to general market conditions which are not specifically related to a particular company. They may also decline due to factors which affect a particular industry or industries. A Trust may invest in illiquid investments and may experience difficulty in selling those investments in a timely manner at the price that they believe the investments are worth. Prices may fluctuate widely over short or extended periods in response to company, market or economic news. Markets also tend to move in cycles, with periods of rising and falling prices. This volatility may cause each Trust’s NAV to experience significant increases or decreases over short periods of time. If there is a general decline in the securities and other markets, the NAV of a Trust may lose value, regardless of the individual results of the securities and other instruments in which a Trust invests.

The price a Trust could receive upon the sale of any particular portfolio investment may differ from a Trust’s valuation of the investment, particularly for securities that trade in thin or volatile markets or that are valued using a fair valuation technique or a price provided by an independent pricing service. Changes to significant unobservable inputs and assumptions (i.e., publicly traded company multiples, growth rate, time to exit) due to the lack of observable inputs may significantly impact the resulting fair value and therefore a Trust’s results of operations. As a result, the price received upon the sale of an investment may be less than the value ascribed by a Trust, and a Trust could realize a greater than expected loss or lesser than expected gain upon the sale of the investment. A Trust’s ability to value its investments may also be impacted by technological issues and/or errors by pricing services or other third party service providers.

Counterparty Credit Risk: The Trusts may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions. The Trusts manage counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Trusts to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Trusts’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statements of Assets and Liabilities, less any collateral held by the Trusts.

A derivative contract may suffer a mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.

A Trust’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain less the value of any collateral held by such Trust.

For OTC options purchased, each Trust bears the risk of loss in the amount of the premiums paid plus the positive change in market values net of any collateral held by the Trusts should the counterparty fail to perform under the contracts. Options written by the Trusts do not typically give rise to counterparty credit risk, as options written generally obligate the Trusts, and not the counterparty, to perform. The Trusts may be exposed to counterparty credit risk with respect to options written to the extent the Trusts deposit collateral with its counterparty to a written option.

 

 

NOTES TO FINANCIAL STATEMENTS      119  


Notes to Financial Statements  (unaudited) (continued)

 

With exchange-traded options purchased and futures, there is less counterparty credit risk to the Trusts since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, a Trust does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency). Additionally, credit risk exists in exchange-traded futures with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Trusts.

Concentration Risk: As of period end, the Trusts listed below invested a significant portion of their assets in securities in the following sectors:

 

Energy . . .

    BGR, BCX  

Financials . . . .

    BDJ, BGY  

Health Care . . . . .

    BME  

Information Technology . . . .

    CII, BST  

Materials . . . . .

    BCX  

Utilities . . . . . . .

    BUI  

Changes in economic conditions affecting such sectors would have a greater impact on the trusts and could affect the value, income and/or liquidity of positions in such securities.

BOE invests a substantial amount of its assets in issuers located in a single country or a limited number of countries. When a Trust concentrates its investments in this manner, it assumes the risk that economic, political and social conditions in those countries may have a significant impact on its investment performance. Foreign issuers may not be subject to the same uniform accounting, auditing and financial reporting standards and practices as used in the United States. Foreign securities markets may also be less liquid, more volatile, and less subject to governmental supervision not typically associated with investing in U.S. securities. Investment percentages in specific countries are presented in the Schedules of Investments.

BOE, BGY and BCX invest a significant portion of their assets in securities of issuers located in Europe or with significant exposure to European issuers or countries. The European financial markets have recently experienced volatility and adverse trends due to concerns about economic downturns in, or rising government debt levels of, several European countries. These events may spread to other countries in Europe and may affect the value and liquidity of certain of the Trusts’ investments.

The United Kingdom voted on June 23, 2016 to withdraw from the European Union, which may introduce significant new uncertainties and instability in the financial markets across Europe.

 

10.

CAPITAL SHARE TRANSACTIONS

Each Trust is authorized to issue an unlimited numbers of shares, with the exception of CII, all of which were initially classified as Common Shares. CII is authorized to issue 200 million Common Shares. The par value for each Trust’s Common Shares is $0.001, except for CII, which is $0.10. The Board is authorized, however, to reclassify any unissued Common Shares to Preferred Shares without the approval of Common Shareholders.

For the periods shown, shares issued and outstanding increased by the following amounts as a result of shares issued through the Shelf Offering:

 

    

Six Months Ended

06/30/18

    

Year Ended

12/31/17

 

BME

    75,574        601,804  

For the periods shown, shares issued and outstanding increased by the following amounts as a result of dividend reinvestment:

 

    

Six Months Ended

06/30/18

    

Year Ended

12/31/17

 

BME

    7,315        47,676  

BST

    24,224         

BUI

    12,786        33,776  

For the six months ended June 30, 2018, for BGR, CII, BDJ, BOE and BGY and year ended December 31, 2017, for BGR and CII shares issued and outstanding remained constant.

On June 9, 2016, BME filed a final prospectus with the SEC allowing it to issue an additional 2,500,000 Common Shares through a Shelf Offering. Under the Shelf Offering, BME, subject to market conditions, may raise additional equity capital from time to time in varying amounts and utilizing various offering methods at a net price at or above BME’s NAV per Common Share (calculated within 48 hours of pricing). As of period end, 1,458,914 Common Shares remain available for issuance under the Shelf Offering. From August 12, 2015 to June 9, 2016, BME was authorized to issue 453,000 Common Shares under a previous Shelf Offering. See Additional Information — Shelf Offering Program for additional information about the Shelf Offering.

Initial costs incurred by BME in connection with its shelf offering are recorded “Deferred offering costs” on the Statements of Assets and Liabilities. As shares are sold, a portion of the costs attributable to the shares sold will be charged against paid-in-capital. Any remaining deferred charges at the end of the shelf offering period will be charged to expense. Any subsequent costs incurred to keep the filing active will be charged to expense as incurred.

 

 

120    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Notes to Financial Statements  (unaudited) (continued)

 

The Board previously approved each Trust’s participation in an open market share repurchase program that allowed each Trust to purchase, at prevailing market prices, up to 5% of its common shares outstanding as of the close of business on October 28, 2016 through November 30, 2017, subject to certain conditions. On September 6, 2017, the Board approved a renewal of this program. Commencing December 1, 2017, each Trust may purchase through November 30, 2018, up to 5% of its common shares outstanding as of the close of business on November 30, 2017, subject to certain conditions. There is no assurance that the Trusts will purchase shares in any particular amounts. The shares repurchased during the six months ended June 30, 2018 are as follows:

 

    

Shares

Repurchased

     Amount (a)  

BCX

    636,819      $ 6,307,631  

 

  (a) 

Includes transaction costs.

 

The total amount of such repurchases is reflected in the Statements of Changes in Net Assets.

 

11.

SUBSEQUENT EVENTS

Management’s evaluation of the impact of all subsequent events on the Trusts’ financial statements was completed through the date the financial statements were issued and the following items were noted:

 

     Common Dividend
Per Share
 
     Paid (a)      Declared (b)  

BGR

  $ 0.0776      $ 0.0776  

CII

    0.0828        0.0828  

BDJ

    0.0467        0.0467  

BOE

    0.0630        0.0630  

BME

    0.2000        0.2000  

BGY

    0.0380        0.0380  

BCX

    0.0516        0.0516  

BST

    0.1500        0.1500  

BUI

    0.1210        0.1210  

 

  (a) 

Net investment income dividend paid on July 31, 2018 to shareholders of record on July 16, 2018.

 
  (b) 

Net investment income dividend declared on August 1, 2018, payable to shareholders of record on August 15, 2018.

 

 

 

NOTES TO FINANCIAL STATEMENTS      121  


Disclosure of Investment Advisory Agreement and Sub-Advisory Agreement

 

The Board of Directors or Trustees, as applicable (each, a “Board,” collectively, the “Boards,” and the members of which are referred to as “Board Members”), of BlackRock Energy and Resources Trust (“BGR”), BlackRock Enhanced Capital and Income Fund, Inc. (“CII”), BlackRock Enhanced Equity Dividend Trust (“BDJ”), BlackRock Enhanced Global Dividend Trust (“BOE”), BlackRock Health Sciences Trust (“BME”), BlackRock Enhanced International Dividend Trust (“BGY”), BlackRock Resources & Commodities Strategy Trust (“BCX”), BlackRock Utilities, Infrastructure & Power Opportunities Trust (“BUI”) and BlackRock Science and Technology Trust (“BST” and together with BGR, CII, BDJ, BOE, BME, BGY, BCX and BUI, each a “Fund,” and, collectively, the “Funds”) met in person on April 24, 2018 (the “April Meeting”) and June 6-7, 2018 (the “June Meeting”) to consider the approval of the Fund’s investment advisory agreement (the “Advisory Agreement”) with BlackRock Advisors, LLC (the “Manager”), each Fund’s investment advisor. The Board of each of BGR, BCX, BOE, BGY and BUI also considered the approval of the sub-advisory agreement (the “Sub-Advisory Agreement”) among the Manager, BlackRock International Limited (the “Sub-Advisor”), and the Fund. The Manager and the Sub-Advisor are referred to herein as “BlackRock”. The Advisory Agreement and the Sub-Advisory Agreement are referred to herein as the “Agreements.”

Activities and Composition of the Board

On the date of the June Meeting, the Board of each Fund consisted of ten individuals, eight of whom were not “interested persons” of the Fund as defined in the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Board Members”). The Board Members are responsible for the oversight of the operations of its Fund and perform the various duties imposed on the directors of investment companies by the 1940 Act. The Independent Board Members have retained independent legal counsel to assist them in connection with their duties. The Chair of each Board is an Independent Board Member. Each Board has established five standing committees: an Audit Committee, a Governance and Nominating Committee, a Compliance Committee, a Performance Oversight Committee, and an Executive Committee, each of which is chaired by an Independent Board Member and composed of Independent Board Members (except for the Executive Committee, which also has one interested Board Member).

The Agreements

Pursuant to the 1940 Act, each Board is required to consider the continuation of the Advisory Agreement for its Trust, and with respect to BGR, BCX, BOE, BGY and BUI, the Sub-Advisory Agreement, on an annual basis. Each Board has four quarterly meetings per year, each typically extending for two days, and additional in-person and telephonic meetings throughout the year, as needed. Each Board also has a fifth one-day meeting to consider specific information surrounding the consideration of renewing the Agreement(s) for its Fund. Each Board’s consideration of the Agreement(s) for its Fund is a year-long deliberative process, during which the Board assessed, among other things, the nature, extent and quality of the services provided to its Fund by BlackRock, BlackRock’s personnel and affiliates, including, as applicable; investment management, accounting, administrative, and shareholder services; oversight of the Fund’s service providers; marketing; risk management and oversight; legal and compliance services; and ability to meet applicable legal and regulatory requirements.

Each Board, acting directly and through its committees, considers at each of its meetings, and from time to time as appropriate, factors that are relevant to its annual consideration of the renewal of the Agreement(s) for its Fund, including the services and support provided by BlackRock to the Fund and its shareholders. BlackRock also furnished additional information to each Board in response to specific questions from the Board. This additional information is discussed further below in the section titled “Board Considerations in Approving the Agreements.” Among the matters each Board considered were: (a) investment performance for one-year, three-year, five-year, ten-year, and/or since inception periods, as applicable, against peer funds, applicable benchmarks, and performance metrics, as applicable, as well as senior management’s and portfolio managers’ analysis of the reasons for any over-performance or underperformance relative to its peers, benchmarks, and other performance metrics, as applicable; (b) leverage management, as applicable; (c) fees, including advisory, administration, if applicable, paid to BlackRock and its affiliates by the Fund for services; (d) Fund operating expenses and how BlackRock allocates expenses to the Fund; (e) the resources devoted to, risk oversight of, and compliance reports relating to, implementation of the Fund’s investment objective(s), policies and restrictions, and meeting regulatory requirements; (f) the Fund’s adherence to its compliance policies and procedures; (g) the nature, character and scope of non-investment management services provided by BlackRock and its affiliates and the estimated cost of such services; (h) BlackRock’s and other service providers’ internal controls and risk and compliance oversight mechanisms; (i) BlackRock’s implementation of the proxy voting policies approved by the Board; (j) the use of brokerage commissions and execution quality of portfolio transactions; (k) BlackRock’s implementation of the Fund’s valuation and liquidity procedures; (l) an analysis of management fees for products with similar investment mandates across the open-end fund, closed-end fund, sub-advised mutual fund, collective investment trust, and institutional separate account product channels, as applicable, and the similarities and differences between these products and the services provided as compared to the Fund; (m) BlackRock’s compensation methodology for its investment professionals and the incentives and accountability it creates, along with investment professionals’ investments in the fund(s) they manage; and (n) periodic updates on BlackRock’s business.

Board Considerations in Approving the Agreements

The Approval Process: Prior to the April Meeting, each Board requested and received materials specifically relating to the Agreement(s) for its Fund. Each Board is continuously engaged in a process with its independent legal counsel and BlackRock to review the nature and scope of the information provided to better assist its deliberations. The materials provided to the Board of each Fund in connection with the April Meeting included, among other things: (a) information independently compiled and prepared by Broadridge Financial Solutions, Inc. (“Broadridge”), based on Lipper classifications, regarding the Fund’s fees and expenses as compared with a peer group of funds as determined by Broadridge (“Expense Peers”) and the investment performance of the Fund as compared with a peer group of funds (“Performance Peers”) and other metrics, as applicable; (b) information on the composition of the Expense Peers and Performance Peers, and a description of the Broadridge’s methodology; (c) information on the estimated profits realized by BlackRock and its affiliates pursuant to the Fund’s Agreement(s) and a discussion of fall-out benefits to BlackRock and its affiliates; (d) a general analysis provided by BlackRock concerning investment management fees received in connection with other types of investment products, such as institutional accounts, sub-advised mutual funds, closed-end funds, and open-end funds, under similar investment mandates, as applicable; (e) review of non-management fees; (f) the existence and impact and sharing of potential economies of scale, if any, and the sharing of potential economies of scale with the Fund; (g) a summary of aggregate amounts paid by the Fund to BlackRock; and (h) various additional information requested by the Board as appropriate regarding BlackRock’s and the Fund’s operations.

 

 

122    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements  (continued)

 

At the April Meeting, each Board reviewed materials relating to its consideration of the Agreement(s) for its Fund. As a result of the discussions that occurred during the April Meeting, and as a culmination of each Board’s year-long deliberative process, each Board presented BlackRock with questions and requests for additional information. BlackRock responded to these requests with additional written information in advance of the June Meeting.

At the June Meeting, each Board considered, among other things: (a) the nature, extent and quality of the services provided by BlackRock; (b) the investment performance of the Fund as compared with Performance Peers and other metrics, as applicable; (c) the advisory fee and the estimated cost of the services and estimated profits realized by BlackRock and its affiliates from their relationship with the Fund; (d) the Fund’s fees and expenses compared to Expense Peers; (e) the sharing of potential economies of scale; (f) fall-out benefits to BlackRock and its affiliates as a result of BlackRock’s relationship with the Fund; and (g) other factors deemed relevant by the Board Members.

Each Board also considered other matters it deemed important to the approval process, such as other payments made to BlackRock or its affiliates relating to securities lending and cash management, services related to the valuation and pricing of Fund portfolio holdings, and advice from independent legal counsel with respect to the review process and materials submitted for the Board’s review. Each Board noted the willingness of BlackRock personnel to engage in open, candid discussions with the Board. Each Board did not identify any particular information as determinative, and each Board Member may have attributed different weights to the various items considered.

A. Nature, Extent and Quality of the Services Provided by BlackRock: Each Board, including the Independent Board Members, reviewed the nature, extent and quality of services provided by BlackRock, including the investment advisory services and the resulting performance of its Fund. Throughout the year, each Board compared its Fund’s performance to the performance of a comparable group of closed-end funds, relevant benchmark, and performance metrics, as applicable. Each Board met with BlackRock’s senior management personnel responsible for investment activities, including the senior investment officers. Each Board also reviewed the materials provided by its Fund’s portfolio management team discussing the Fund’s performance and the Fund’s investment objective(s), strategies and outlook.

Each Board considered, among other factors, with respect to BlackRock: the number, education and experience of investment personnel generally and its Fund’s portfolio management team; BlackRock’s research capabilities; investments by portfolio managers in the funds they manage; portfolio trading capabilities; use of technology; commitment to compliance; credit analysis capabilities; risk analysis and oversight capabilities; and the approach to training and retaining portfolio managers and other research, advisory and management personnel. Each Board also considered BlackRock’s overall risk management program, including the continued efforts of BlackRock and its affiliates to address cybersecurity risks and the role of BlackRock’s Risk & Quantitative Analysis Group. Each Board engaged in a review of BlackRock’s compensation structure with respect to the Fund’s portfolio management team and BlackRock’s ability to attract and retain high-quality talent and create performance incentives.

In addition to investment advisory services, each Board considered the quality of the administrative and other non-investment advisory services provided to its Fund. BlackRock and its affiliates provide each Fund with certain administrative, shareholder, and other services (in addition to any such services provided to the Fund by third parties) and officers and other personnel as are necessary for the operations of the Fund. In particular, BlackRock and its affiliates provide each Fund with administrative services including, among others: (i) responsibility for disclosure documents, such as the prospectus and the statement of additional information in connection with the initial public offering, and, with respect to BME, registration statements in connection with BME’s equity shelf program, and periodic shareholder reports; (ii) preparing communications with analysts to support secondary market trading of the Fund; (iii) oversight of daily accounting and pricing; (iv) responsibility for periodic filings with regulators and stock exchanges; (v) overseeing and coordinating the activities of other service providers including, among others, the Fund’s custodian, fund accountant, transfer agent, and auditor; (vi) organizing Board meetings and preparing the materials for such Board meetings; (vii) providing legal and compliance support; (viii) furnishing analytical and other support to assist the Board in its consideration of strategic issues such as the merger, consolidation or repurposing of certain closed-end funds; and (ix) performing administrative functions necessary for the operation of the Fund, such as tax reporting, expense management, fulfilling regulatory filing requirements, and shareholder call center and other services. Each Board reviewed the structure and duties of BlackRock’s fund administration, shareholder services, and legal & compliance departments and considered BlackRock’s policies and procedures for assuring compliance with applicable laws and regulations.

B. The Investment Performance of the Funds and BlackRock: Each Board, including the Independent Board Members, also reviewed and considered the performance history of its Fund. In preparation for the April Meeting, the Board of each Fund was provided with reports independently prepared by Broadridge, which included a comprehensive analysis of its Fund’s performance as of December 31, 2017. The performance information is based on net asset value (NAV), and utilizes Lipper data. Lipper’s methodology calculates a fund’s total return assuming distributions are reinvested on the ex-date at a fund’s ex-date NAV. Broadridge ranks funds in quartiles, ranging from first to fourth, where first is the most desirable quartile position and fourth is the least desirable. In connection with its review, the Board received and reviewed information regarding the investment performance of the Fund as compared to its Performance Peers and the performance of the Fund as compared with its custom benchmark. Each Board and its Performance Oversight Committee regularly review, and meet with Fund management to discuss, the performance of its Fund throughout the year.

In evaluating performance, each Board recognized that the performance data reflects a snapshot of a period as of a particular date and that selecting a different performance period could produce significantly different results. Further, each Board recognized that it is possible that long-term performance can be impacted by even one period of significant outperformance or underperformance, so that a single investment theme has the ability to affect long-term performance disproportionately.

The Board of BDJ noted that for the one-, three- and five-year periods reported, BDJ ranked in the third, second and second quartiles, respectively, against its Performance Peers. The Board noted BDJ’s underperformance for the applicable period reported as compared to its Performance Peers.

BlackRock believes that certain other performance metrics may be more appropriate than the Performance Peers, and the Board was provided with a comparison of BDJ’s performance relative to these metrics. These metrics include Fund return, Sharpe Ratio, stability of distribution and yield. Based on an overall rating relative to these metrics, as determined by BlackRock, BDJ generally performed at or above expectations.

The Board of BGR noted that for the one-, three- and five-year periods reported, the Fund ranked in the second, second, and fourth quartiles, respectively, against its Performance Peers. The Board noted BGR’s underperformance for the applicable period reported as compared to its Performance Peers.

 

 

 

DISCLOSURE OF INVESTMENT ADVISORY AGREEMENTS AND SUB-ADVISORY AGREEMENTS      123  


Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements  (continued)

 

BlackRock believes that certain other performance metrics may be more appropriate than the Performance Peers, and the Board was provided with a comparison of BGR’s performance relative to these metrics. These metrics include Fund return, Sharpe Ratio, stability of distribution and yield. Based on an overall rating relative to these metrics, as determined by BlackRock, BGR generally performed below expectations. The Board and BlackRock reviewed BGR’s underperformance. The Board was informed that, among other things, BGR’s overweight position in oil price sensitive stocks detracted from performance.

The Board and BlackRock discussed BlackRock’s strategy for improving BGR’s investment performance. Discussions covered topics such as performance attribution, BGR’s investment personnel, and the resources appropriate to support BGR’s investment processes. BlackRock and the Board previously had discussed changes within the portfolio management team. The Board will continue to monitor BGR’s performance.

The Board of BOE noted that for the one-, three- and five-year periods reported, BOE ranked in the third, fourth, and fourth quartiles, respectively, against its Performance Peers. The Board noted BOE’s underperformance for the applicable periods reported as compared to its Performance Peers.

BlackRock believes that certain other performance metrics may be more appropriate than the Performance Peers, and the Board was provided with a comparison of BOE’s performance relative to these metrics. These metrics include Fund return, Sharpe Ratio, stability of distribution and yield. Based on an overall rating relative to these metrics, as determined by BlackRock, BOE generally performed below expectations. The Board and BlackRock reviewed BOE’s underperformance. The Board noted that effective June 12, 2017, BOE had undergone certain changes to its investment process and portfolio management team, and in connection with such changes, BOE changed its name from Global Opportunities Equity Trust to Enhanced Global Dividend Trust.

The Board and BlackRock discussed BlackRock’s strategy for improving BOE’s investment performance. Discussions covered topics such as performance attribution, BOE’s investment personnel, and the resources appropriate to support BOE’s investment processes.

The Board of BME noted that for each of the one-, three- and five-year periods reported, BME ranked in the first quartile against its Performance Peers.

BlackRock believes that certain other performance metrics may be more appropriate than the Performance Peers, and the Board was provided with a comparison of BME’s performance relative to these metrics. These metrics include Fund return, Sharpe Ratio, stability of distribution and yield. Based on an overall rating relative to these metrics, as determined by BlackRock, BME generally performed at or above expectations.

The Board of BGY noted that for the one-, three- and five-year periods reported, BGY ranked in the second, fourth, and fourth quartiles, respectively, against its Performance Peers. The Board noted BGY’s underperformance for the applicable periods reported as compared to its Performance Peers.

BlackRock believes that certain other performance metrics may be more appropriate than the Performance Peers, and the Board was provided with a comparison of BGY’s performance relative to these metrics. These metrics include Fund return, Sharpe Ratio, stability of distribution and yield. Based on an overall rating relative to these metrics, as determined by BlackRock, BGY generally performed below expectations. The Board noted that effective June 12, 2017, BGY had undergone certain changes to its investment process and portfolio management team, and in connection with such changes, BGY changed its name from International Growth and Income Trust to Enhanced International Dividend Trust.

The Board and BlackRock discussed BlackRock’s strategy for improving BGY’s investment performance. Discussions covered topics such as performance attribution, BGY’s investment personnel, and the resources appropriate to support BGY’s investment processes.

The Board of BCX noted that for the one-, three- and five-year periods reported, BCX ranked in first, first and third quartiles, respectively, against its Performance Peers. The Board noted BCX’s underperformance for the applicable period reported as compared to its Performance Peers.

BlackRock believes that certain other performance metrics may be more appropriate than the Performance Peers, and the Board was provided with a comparison of BCX’s performance relative to these metrics. These metrics include Fund return, Sharpe Ratio, stability of distribution and yield. Based on an overall rating relative to these metrics, as determined by BlackRock, BCX generally performed near expectations.

The Board of BST noted that for each of the one-year, three-year and since-inception periods reported, BST ranked in the first quartile against its Performance Peers.

BlackRock believes that certain other performance metrics may be more appropriate than the Performance Peers, and the Board was provided with a comparison of BST’s performance relative to these metrics. These metrics include Fund return, Sharpe Ratio, stability of distribution and yield. Based on an overall rating relative to these metrics, as determined by BlackRock, BST generally performed at or above expectations.

The Board of CII noted that for the one-, three- and five-year periods reported, CII ranked in the second, first and first quartiles, respectively, against its Performance Peers.

BlackRock believes that certain other performance metrics may be more appropriate than the Performance Peers, and the Board was provided with a comparison of CII’s performance relative to these metrics. These metrics include Fund return, Sharpe Ratio, stability of distribution and yield. Based on an overall rating relative to these metrics, as determined by BlackRock, CII generally performed at or above expectations.

The Board of BUI noted that for the one-, three- and five-year periods reported, BUI ranked in the second, third and third quartiles, respectively, against its Performance Peers. The Board noted BUI’s underperformance for the applicable periods reported as compared to its Performance Peers.

BlackRock believes that certain other performance metrics may be more appropriate than the Performance Peers, and the Board was provided with a comparison of BUI’s performance relative to these metrics. These metrics include Fund return, Sharpe Ratio, stability of distribution and yield. Based on an overall rating relative to these metrics, as determined by BlackRock, BUI generally performed near expectations. The Board noted that effective November 27, 2017, BUI had undergone certain changes to its investment process, and in connection with such changes, BUI changed its name from Utility and Infrastructure Trust to Utilities, Infrastructure and Power Opportunities Trust.

 

 

124    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements  (continued)

 

C. Consideration of the Advisory/Management Fees and the Estimated Cost of the Services and Estimated Profits Realized by BlackRock and its Affiliates from their Relationship with the Funds: Each Board, including the Independent Board Members, reviewed its Fund’s contractual management fee rate compared with those of its Expense Peers. The contractual management fee rate represents a combination of the advisory fee and any administrative fees, before taking into account any reimbursements or fee waivers. Each Board also compared its Fund’s total expense ratio, as well as its actual management fee rate as a percentage of total assets, to those of its Expense Peers. The total expense ratio represents a fund’s total net operating expenses, excluding any investment related expenses. The total expense ratio gives effect to any expense reimbursements or fee waivers that benefit a fund, and the actual management fee rate gives effect to any management fee reimbursements or waivers that benefit a fund. Each Board considered the services provided and the fees charged by BlackRock and its affiliates to other types of clients with similar investment mandates, as applicable, including institutional accounts and sub-advised mutual funds (including mutual funds sponsored by third parties).

Each Board received and reviewed statements relating to BlackRock’s financial condition. Each Board reviewed BlackRock’s profitability methodology and was also provided with an estimated profitability analysis that detailed the revenues earned and the expenses incurred by BlackRock for services provided to its Fund. Each Board reviewed BlackRock’s estimated profitability with respect to the Fund and other funds the Board currently oversees for the year ended December 31, 2017 compared to available aggregate estimated profitability data provided for the prior two years. Each Board reviewed BlackRock’s estimated profitability with respect to certain other U.S. fund complexes managed by the Manager and/or its affiliates. Each Board reviewed BlackRock’s assumptions and methodology of allocating expenses in the estimated profitability analysis, noting the inherent limitations in allocating costs among various advisory products. Each Board recognized that profitability may be affected by numerous factors including, among other things, fee waivers and expense reimbursements by the Manager, the types of funds managed, precision of expense allocations and business mix. As a result, calculating and comparing profitability at individual fund levels is difficult.

Each Board noted that, in general, individual fund or product line profitability of other advisors is not publicly available. Each Board reviewed BlackRock’s overall operating margin, in general, compared to that of certain other publicly-traded asset management firms. Each Board considered the differences between BlackRock and these other firms, including the contribution of technology at BlackRock, BlackRock’s expense management, and the relative product mix.

In addition, each Board considered the estimated cost of the services provided to its Fund by BlackRock, and BlackRock’s and its affiliates’ estimated profits relating to the management of its Fund and the other funds advised by BlackRock and its affiliates. As part of its analysis, each Board reviewed BlackRock’s methodology in allocating its costs of managing its Fund, to the Fund. Each Board considered whether BlackRock has the financial resources necessary to attract and retain high quality investment management personnel to perform its obligations under its Fund’s Agreement(s) and to continue to provide the high quality of services that is expected by the Board. Each Board further considered factors including but not limited to BlackRock’s commitment of time, assumption of risk, and liability profile in servicing its Fund in contrast to what is required of BlackRock with respect to other products with similar investment mandates across the open-end fund, closed-end fund, sub-advised mutual fund, collective investment trust, and institutional separate account product channels, as applicable.

The Board of BDJ noted that BDJ’s contractual management fee rate ranked in the first quartile, and that the actual management fee rate and total expense ratio each ranked in the first quartile, relative to the Expense Peers.

The Board of BGR noted that BGR’s contractual management fee rate ranked in the third quartile, and that the actual management fee rate and total expense ratio each ranked in the first quartile, relative to the Expense Peers. In addition, the Board noted that BlackRock had agreed to voluntarily waive a portion of the advisory fee payable by BGR, which has been in effect since 2015. After discussion between the Board, including the Independent Board Members, and BlackRock, the Board and BlackRock agreed to a continuation of a 15bps voluntary advisory fee waiver.

The Board of BOE noted that BOE’s contractual management fee rate ranked in the first quartile, and that the actual management fee rate and total expense ratio each ranked in the first quartile, relative to the Expense Peers. In addition, the Board noted that BlackRock had agreed to voluntarily waive a portion of the advisory fee payable by BOE, which has been in effect since 2015. After discussion between the Board, including the Independent Board Members, and BlackRock, the Board and BlackRock agreed to increase the voluntary advisory fee waiver from 10 basis points to 17.5 basis points. The waiver increase was implemented on July 1, 2018.

The Board of BME noted that BME’s contractual management fee rate ranked first out of three funds, and that the actual management fee rate and total expense ratio ranked first out of four funds, and in the first quartile, respectively, relative to the Expense Peers.

The Board of BGY noted that BGY’s contractual management fee rate ranked in the first quartile, and that the actual management fee rate and total expense ratio each ranked in the first quartile, relative to the Expense Peers. The Board also noted that BlackRock had agreed to voluntarily waive a portion of the advisory fee payable by BGY, which has been in effect since 2013. After discussions between the Board, including Independent Board Members, and BlackRock, the Board and BlackRock agreed to a continuation of a 10 basis points voluntary advisory fee waiver.

The Board of BCX noted that BCX’s contractual management fee rate ranked in the first quartile, and that the actual management fee rate and total expense ratio each ranked in the first quartile relative to the Expense Peers.

The Board of BST noted that BST’s contractual management fee rate ranked first out of three funds, and that the actual management fee rate and total expense ratio each ranked in the first quartile relative to the Expense Peers. The Board also noted that, in connection with BST’s launch, BlackRock has contractually agreed to waive a portion of the advisory fee payable by BST through December 31, 2021.

The Board of CII noted that CII’s contractual management fee rate ranked in the first quartile, and that the actual management fee rate and total expense ratio each ranked in the first quartile, relative to the Expense Peers.

The Board of BUI noted that BUI’s contractual management fee rate ranked in the second quartile, and that the actual management fee rate and total expense ratio each ranked in the first quartile, relative to the Expense Peers. The Board also noted that BlackRock had agreed to voluntarily waive a portion of the advisory fee payable by BUI, which has been in effect since 2017. After discussion between the Board, including the Independent Board Members, and BlackRock, the Board and BlackRock agreed to a continuation of a 2.5 basis points voluntary advisory fee waiver.

 

 

DISCLOSURE OF INVESTMENT ADVISORY AGREEMENTS AND SUB-ADVISORY AGREEMENTS      125  


Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements  (continued)

 

D. Economies of Scale: The Board of each Fund, including the Independent Board Members, considered the extent to which economies of scale might be realized as the assets of its Fund increase. Each Board also considered the extent to which its Fund benefits from such economies in a variety of ways, and whether there should be changes in the advisory fee rate or breakpoint structure in order to enable the Fund to more fully participate in these economies of scale. Each Board considered its Fund’s asset levels and whether the current fee was appropriate.    

Based on each Board’s review and consideration of the issue, each Board concluded that most closed-end funds do not have fund level breakpoints because closed-end funds generally do not experience substantial growth after the initial public offering. They are typically priced at scale at a fund’s inception. The Board of BME noted that although BME may from time-to-time make additional share offerings pursuant to its equity shelf program, the growth of BME’s assets will occur primarily through the appreciation of its investment portfolio.    

E. Other Factors Deemed Relevant by the Board Members: Each Board, including the Independent Board Members, also took into account other ancillary or “fall-out” benefits that BlackRock or its affiliates may derive from BlackRock’s respective relationships with its Fund, both tangible and intangible, such as BlackRock’s ability to leverage its investment professionals who manage other portfolios and risk management personnel, an increase in BlackRock’s profile in the investment advisory community, and the engagement of BlackRock’s affiliates as service providers to the Fund, including for administrative, securities lending and cash management services. Each Board also considered BlackRock’s overall operations and its efforts to expand the scale of, and improve the quality of, its operations. Each Board also noted that, subject to applicable law, BlackRock may use and benefit from third party research obtained by soft dollars generated by certain registered fund transactions to assist in managing all or a number of its other client accounts.

In connection with its consideration of the Agreement(s) for its Fund, each Board also received information regarding BlackRock’s brokerage and soft dollar practices. Each Board received reports from BlackRock which included information on brokerage commissions and trade execution practices throughout the year.

Each Board noted the competitive nature of the closed-end fund marketplace, and that shareholders are able to sell their Fund shares in the secondary market if they believe that the Fund’s fees and expenses are too high or if they are dissatisfied with the performance of the Fund.

Each Board also considered the various notable initiatives and projects BlackRock performed in connection with its closed-end fund product line. These initiatives included the completion of the redemption of auction rate preferred securities for all of the BlackRock closed-end funds; developing equity shelf programs; efforts to eliminate product overlap with fund mergers; ongoing services to manage leverage that has become increasingly complex; periodic evaluation of share repurchases and other support initiatives for certain BlackRock funds; and continued communications efforts with shareholders, fund analysts and financial advisers. With respect to the latter, the Independent Board Members of each Fund noted BlackRock’s continued commitment to supporting the secondary market for the common shares of its closed-end funds through a comprehensive secondary market communication program designed to raise investor and analyst awareness and understanding of closed-end funds. BlackRock’s support services included, among other things: sponsoring and participating in conferences; communicating with closed-end fund analysts covering the BlackRock funds throughout the year; providing marketing and product updates for the closed-end funds; and maintaining and enhancing its closed-end fund website.

Conclusion

Each Board, including the Independent Board Members, unanimously approved the continuation of the Advisory Agreement between the Manager and the Fund for a one-year term ending June 30, 2019. The Board of each of BGR, BCX, BOE, BGY and BUI, including the Independent Board Members, also unanimously approved the continuation of the Sub-Advisory Agreement between the Manager and the Sub-Advisor, with respect to its Fund, for a one-year term ending June 30, 2019. Based upon its evaluation of all of the aforementioned factors in their totality, as well as other information, each Board, including the Independent Board Members, was satisfied that the terms of its Fund’s Agreement(s) were fair and reasonable and in the best interest of the Fund and its shareholders. In arriving at its decision to approve the Agreement(s), each Board did not identify any single factor or group of factors as, all-important or controlling, but considered all factors together, and different Board Members may have attributed different weights to the various factors considered. The Independent Board Members of each Fund were also assisted by the advice of independent legal counsel in making this determination.

 

 

126    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Trustee and Officer Information

 

Richard E. Cavanagh, Chair of the Board and Trustee

Karen P. Robards, Vice Chair of the Board and Trustee

Michael J. Castellano, Trustee

Cynthia L. Egan, Trustee

Frank J. Fabozzi, Trustee

R. Glenn Hubbard, Trustee

W. Carl Kester, Trustee

Catherine A. Lynch, Trustee

Robert Fairbairn, Trustee

John M. Perlowski, Trustee and President and Chief Executive Officer

Jonathan Diorio, Vice President

Neal J. Andrews, Chief Financial Officer

Jay M. Fife, Treasurer

Charles Park, Chief Compliance Officer

Janey Ahn, Secretary

 

Investment Adviser

BlackRock Advisors, LLC

Wilmington, DE 19809

Sub-Adviser

BlackRock International LTD.(a)

Edinburgh, EH3 8BL

United Kingdom

Custodian and Accounting Agent

State Street Bank and Trust Company

Boston, MA 02111

Transfer Agent

Computershare Trust Company, N.A.

Canton, MA 02021

Independent Registered Public Accounting Firm

Deloitte & Touche LLP

Boston, MA 02116

Distributor

BlackRock Investments, LLC(b)

New York, NY 10022

Legal Counsel

Skadden, Arps, Slate, Meagher & Flom LLP

Boston, MA 02116

Address of the Trusts

100 Bellevue Parkway

Wilmington, DE 19809

 

 

(a) 

For BGR, BOE, BGY, BCX and BUI.

(b) 

For BME.

 

 

TRUSTEE AND OFFICER INFORMATION      127  


Additional Information

 

Fund Certification

The Trusts are listed for trading on the NYSE and have filed with the NYSE their annual chief executive officer certification regarding compliance with the NYSE’s listing standards. The Trusts filed with the SEC the certification of its chief executive officer and chief financial officer required by section 302 of the Sarbanes-Oxley Act.

General Information

The Trusts, other than BME, do not make available copies of their Statements of Additional Information because the Trusts’ shares, except for BME, are not continuously offered, which means that the Statements of Additional Information of each Trust, other than BME, have not been updated after completion of the respective Trust’s offerings and the information contained in each such Trust’s Statement of Additional Information may have become outdated.

BME’s Statement of Additional Information includes addition information about its Board and is available, without charge upon request by calling 1-800-882-0052.

During the period there were no material changes in the Trusts’ investment objectives or policies or to the Trusts’ charters or by-laws that would delay or prevent a change of control of the Trusts that were not approved by the shareholders or in the principal risk factors associated with investment in the Trusts. There have been no changes in the persons who are primarily responsible for the day-to-day management of the Trusts’ portfolios.

In accordance with Section 23(c) of the Investment Company Act of 1940, as amended, the Trusts from time to time may purchase its common shares in the open market or in private transactions.

Quarterly performance, semi-annual and annual reports and other information regarding the Trusts may be found on BlackRock’s website, which can be accessed at http://www.blackrock.com. Any reference to BlackRock’s website in this report is intended to allow investors public access to information regarding the Trusts and does not, and is not intended to, incorporate BlackRock’s website in this report.

Electronic Delivery

Shareholders can sign up for e-mail notifications of quarterly statements, annual and semi-annual shareholder reports by enrolling in the electronic delivery program. Electronic copies of shareholder reports are available on BlackRock’s website.

To enroll in electronic delivery:

Shareholders Who Hold Accounts with Investment Advisers, Banks or Brokerages:

Please contact your financial advisor. Please note that not all investment advisers, banks or brokerages may offer this service.

Householding

The Trusts will mail only one copy of shareholder documents, annual and semi-annual reports and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called “householding” and is intended to reduce expenses and eliminate duplicate mailings of shareholder documents. Mailings of your shareholder documents may be householded indefinitely unless you instruct us otherwise. If you do not want the mailing of these documents to be combined with those for other members of your household, please call the Trusts (800) 882-0052.

Availability of Quarterly Schedule of Investments

The Trusts file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Trusts’ Forms N-Q are available on the SEC’s website at http://www.sec.gov. and may also be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room or how to access documents on the SEC’s website without charge may be obtained by calling (800) SEC-0330. The Trusts’ Forms N-Q may also be obtained upon request and without charge by calling (800) 882-0052.

Availability of Proxy Voting Policies and Procedures

A description of the policies and procedures that the Trusts use to determine how to vote proxies relating to portfolio securities is available upon request and without charge (1) by calling (800) 882-0052; (2) at http://www.blackrock.com; and (3) on the SEC’s website at http://www.sec.gov.

Availability of Proxy Voting Record

Information about how the Trusts voted proxies relating to securities held in the Trusts’ portfolio during the most recent 12-month period ended June 30 is available upon request and without charge (1) at http://www.blackrock.com or by calling (800) 882-0052 and (2) on the SEC’s website at http://www.sec.gov.

Availability of Trust Updates

BlackRock will update performance and certain other data for the Trusts on a monthly basis on its website in the “Closed-end Funds” section of http://www.blackrock.com as well as certain other material information as necessary from time to time. Investors and others are advised to check the website for updated performance information and the release of other material information about the Trusts. This reference to BlackRock’s website is intended to allow investors public access to information regarding the Trusts and does not, and is not intended to, incorporate BlackRock’s website in this report.

 

 

128    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Additional Information  (continued)

 

Shelf Offering Program

From time-to-time, each Trust may seek to raise additional equity capital through an equity shelf program (a “Shelf Offering”). In a Shelf Offering, a Trust may, subject to market conditions, raise additional equity capital by issuing new Common Shares from time to time in varying amounts at a net price at or above the Trust’s net asset value (“NAV”) per Common Share (calculated within 48 hours of pricing). While any such Shelf Offering may allow a Trust to pursue additional investment opportunities without the need to sell existing portfolio investments, it could also entail risks — including that the issuance of additional Common Shares may limit the extent to which the Common Shares are able to trade at a premium to NAV in the secondary market.

BME has filed a final prospectus with the SEC in connection with its Shelf Offering. This report and the prospectus of BME are not offers to sell BME Common Shares or solicitations of an offer to buy BME Common Shares in any jurisdiction where such offers or sales are not permitted. The prospectus of BME contains important information about the Trust, including its investment objective, risks, charges and expenses. Investors are urged to read the prospectus of BME carefully and in its entirety before investing. Copies of the final prospectus for BME can be obtained from BlackRock at http://www.blackrock.com.

Dividend Policy

Each Trust’s dividend policy is to distribute all or a portion of its net investment income to its shareholders on a monthly basis. In order to provide shareholders with a more stable level of dividend distributions, the distributions paid by the Trusts for any particular month may be more or less than the amount of net investment income earned by the Trusts during such month. The portion of distributions that exceeds a Trust’s current and accumulated earnings and profits, which are measured on a tax basis, will constitute a nontaxable return of capital. Distributions in excess of a Trust’s taxable income and net capital gains, but not in excess of a Trust’s earnings and profits, will be taxable to shareholders as ordinary income and will not constitute a nontaxable return of capital. The Trusts’ current accumulated but undistributed net investment income, if any, is disclosed in the Statements of Assets and Liabilities, which comprises part of the financial information included in this report.

BlackRock Privacy Principles

BlackRock is committed to maintaining the privacy of its current and former fund investors and individual clients (collectively, “Clients”) and to safeguarding their non-public personal information. The following information is provided to help you understand what personal information BlackRock collects, how we protect that information and why in certain cases we share such information with select parties.

If you are located in a jurisdiction where specific laws, rules or regulations require BlackRock to provide you with additional or different privacy-related rights beyond what is set forth below, then BlackRock will comply with those specific laws, rules or regulations.

BlackRock obtains or verifies personal non-public information from and about you from different sources, including the following: (i) information we receive from you or, if applicable, your financial intermediary, on applications, forms or other documents; (ii) information about your transactions with us, our affiliates, or others; (iii) information we receive from a consumer reporting agency; and (iv) from visits to our websites.

BlackRock does not sell or disclose to non-affiliated third parties any non-public personal information about its Clients, except as permitted by law or as is necessary to respond to regulatory requests or to service Client accounts. These non-affiliated third parties are required to protect the confidentiality and security of this information and to use it only for its intended purpose.

We may share information with our affiliates to service your account or to provide you with information about other BlackRock products or services that may be of interest to you. In addition, BlackRock restricts access to non-public personal information about its Clients to those BlackRock employees with a legitimate business need for the information. BlackRock maintains physical, electronic and procedural safeguards that are designed to protect the non-public personal information of its Clients, including procedures relating to the proper storage and disposal of such information.

 

 

ADDITIONAL INFORMATION      129  


Glossary of Terms Used in this Report

 

Currency

AUD    Australian Dollar
CAD    Canadian Dollar
CHF    Swiss Franc
DKK    Danish Krone
EUR    Euro
GBP    British Pound
HKD    Hong Kong Dollar
JPY    Japanese Yen
NOK    Norwegian Krone
NZD    New Zealand Dollar
SEK    Swedish Krona
SGD    Singapore Dollar
USD    U.S. Dollar
ZAR    South African Rand
  
Portfolio Abbreviations
ADR    American Depositary Receipts
REIT    Real Estate Investment Trust
 

 

 

130    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


This report is intended for current holders. It is not a prospectus. Past performance results shown in this report should not be considered a representation of future performance. Statements and other information herein are as dated and are subject to change.

 

LOGO

 

 

CEF-BK9-6/18-SAR    LOGO


Item 2 –

Code of Ethics – Not Applicable to this semi-annual report

 

Item 3 –

Audit Committee Financial Expert – Not Applicable to this semi-annual report

 

Item 4 –

Principal Accountant Fees and Services – Not Applicable to this semi-annual report

 

Item 5 –

Audit Committee of Listed Registrants – Not Applicable to this semi-annual report

 

Item 6 –

Investments

(a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1 of this Form.

(b) Not Applicable due to no such divestments during the semi-annual period covered since the previous Form N-CSR filing.

 

Item 7 –

Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – Not Applicable to this semi-annual report

 

Item 8 –

Portfolio Managers of Closed-End Management Investment Companies

(a) Not Applicable to this semi-annual report

  (b) 

As of the date of this filing, there have been no changes in any of the portfolio managers identified in the most recent annual report on Form N-CSR.

 

Item 9 –

Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers

 

Period

(a) Total

Number of  

Shares

Purchased

(b) Average

Price Paid per  

Share

(c) Total Number of

Shares Purchased as Part  

of Publicly Announced

Plans or Programs

(d) Maximum Number of
 

Shares that May Yet Be

Purchased Under the Plans or  
Programs1

January 1 – 31, 2018

0 0 0 9,377,120

February 1 – 28, 2018

0 0 0 9,377,120

March 1 – 31, 2018

0 0 0 9,377,120

April 1 – 30, 2018

0 0 0 9,377,120

May 1 – 31, 2018

0 0 0 9,377,120

June 1 – 30, 2018

0 0 0 9,377,120

Total:

0 0 0 9,377,120

1 On September 6, 2017, the Fund announced a continuation of the open market share repurchase program, which commenced on December 1, 2017. The Fund may repurchase up to 5% of its outstanding shares based on common shares outstanding on November 30, 2017, in open market transactions, subject to certain conditions.

 

Item 10 –

Submission of Matters to a Vote of Security Holders – There have been no material changes to these procedures.

 

Item 11 –

Controls and Procedures

(a) – The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required

 

2


by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) under the Securities Exchange Act of 1934, as amended.

(b) – There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

 

Item 12 –

Disclosure of Securities Lending Activities for Closed-End Management Investment Companies – Not applicable to this semi-annual report

 

Item 13 –

Exhibits attached hereto

(a)(1) – Code of Ethics – Not Applicable to this semi-annual report

(a)(2) – Certifications – Attached hereto

(a)(3) – Not Applicable

(a)(4) – Not Applicable

(b) – Certifications – Attached hereto

(c) – Notices to the registrant’s common shareholders in accordance with the order under Section 6(c) of the 1940 Act granting an exemption from Section 19(b) of the 1940 Act and Rule 19b-1 under the 1940 Act, dated May 9, 20091

 

 

1 The Fund has received exemptive relief from the Securities and Exchange Commission permitting it to make periodic distributions of long-term capital gains with respect to its outstanding common stock as frequently as twelve times each year, and as frequently as distributions are specified by or in accordance with the terms of its outstanding preferred stock. This relief is conditioned, in part, on an undertaking by the Fund to make the disclosures to the holders of the Fund’s common shares, in addition to the information required by Section 19(a) of the 1940 Act and Rule 19a-1 thereunder. The Fund is likewise obligated to file with the SEC the information contained in any such notice to shareholders and, in that regard, has attached hereto copies of each such notice made during the period.

 

3


Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

BlackRock Enhanced Equity Dividend Trust

 

By:   /s/ John M. Perlowski                        
  John M. Perlowski
  Chief Executive Officer (principal executive officer) of
  BlackRock Enhanced Equity Dividend Trust
Date:   September 4, 2018

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By:   /s/ John M. Perlowski                        
  John M. Perlowski
  Chief Executive Officer (principal executive officer) of
  BlackRock Enhanced Equity Dividend Trust
Date:   September 4, 2018
By:   /s/ Neal J. Andrews                           
  Neal J. Andrews
  Chief Financial Officer (principal financial officer) of
  BlackRock Enhanced Equity Dividend Trust
Date:   September 4, 2018

 

 

4