BlackRock Health Sciences 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: 811-21702

Name of Fund: BlackRock Health Sciences Trust (BME)

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Health

            Sciences 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: 12/31/2015

Date of reporting period: 12/31/2015


Item 1 – Report to Stockholders


DECEMBER 31, 2015        

 

 

ANNUAL REPORT

 

      BLACKROCK®

 

BlackRock Energy and Resources Trust (BGR)

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

BlackRock Enhanced Equity Dividend Trust (BDJ)

BlackRock Global Opportunities Equity Trust (BOE)

BlackRock Health Sciences Trust (BME)

BlackRock International Growth and Income Trust (BGY)

BlackRock Resources & Commodities Strategy Trust (BCX)

BlackRock Science and Technology Trust (BST)

BlackRock Utility and Infrastructure Trust (BUI)

 

 

 

 

Not FDIC Insured ¡ May Lose Value ¡ No Bank Guarantee  

 

 


      

 

 

      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 Global Opportunities Equity Trust’s (BOE), BlackRock Health Sciences Trust’s (BME), BlackRock International Growth and Income Trust’s (BGY), BlackRock Resources & Commodities Strategy Trust’s (BCX), BlackRock Science and Technology Trust’s (BST) and BlackRock Utility and Infrastructure 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 remainder of the fiscal year and may be subject to changes based on regulations. Each Trust will provide a Form 1099-DIV each calendar year that will tell you how to report these distributions for federal income tax purposes.

December 31, 2015

 

      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*

     $ 0.291714                          $ 1.203286        $ 1.495000          20 %       0 %       0 %       80 %       100 %

CII

     $ 0.105411        $ 0.482959        $ 0.611630                 $ 1.200000          9 %       40 %       51 %       0 %       100 %

BDJ*

     $ 0.158604                          $ 0.401796        $ 0.560400          28 %       0 %       0 %       72 %       100 %

BOE*

     $ 0.110916                          $ 1.053084        $ 1.164000          10 %       0 %       0 %       90 %       100 %

BME*

              $ 1.108540        $ 5.152536        $ 0.443360        $ 6.704436          0 %       16 %       77 %       7 %       100 %

BGY*

     $ 0.072567                          $ 0.515433        $ 0.588000          12 %       0 %       0 %       88 %       100 %

BCX*

     $ 0.245782                          $ 0.563418        $ 0.809200          30 %       0 %       0 %       70 %       100 %

BST*

     $ 0.034644                          $ 1.165356        $ 1.200000          3 %       0 %       0 %       97 %       100 %

BUI*

     $ 0.446579        $ 0.285965        $ 0.380468        $ 0.338988        $ 1.452000          31 %       20 %       26 %       23 %       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 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 distributed the following fixed amounts per share on a monthly basis as of December 31, 2015:

 

     Exchange Symbol      Amount Per Common Share        
 

  BGR

     $0.1100     
 

CII

     $0.1000     
 

  BDJ

     $0.0467     
 

   BOE

     $0.0970     
 

   BME

     $0.2000     
 

   BGY

     $0.0490     
 

   BCX

     $0.0655     
 

  BST

     $0.1000     
   

 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 Trust’s 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 each Trust’s prospectus for a more complete description of its risks.

 

2    ANNUAL REPORT    DECEMBER 31, 2015     


Table of Contents     

 

       Page   

Section 19(a) Notices

     2   

Section 19(b) Disclosure

     2   

The Markets in Review

     4   

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

     99   

Statements of Operations

     101   

Statements of Changes in Net Assets

     103   

Statements of Cash Flows

     108   

Financial Highlights

     111   

Notes to Financial Statements

     120   

Report of Independent Registered Public Accounting Firm

     136   

Important Tax Information

     137   

Automatic Dividend Reinvestment Plans

     138   

Officers and Trustees

     139   

Additional Information

     143   

 

     ANNUAL REPORT    DECEMBER 31, 2015    3


The Markets in Review

Dear Shareholder,

Diverging monetary policies and shifting economic outlooks across regions have been the overarching themes driving financial markets over the past couple of years. With U.S. growth outpacing the global economic recovery in 2015 while inflationary pressures remained low, investors spent most of the year anticipating a short-term rate hike from the Federal Reserve (the “Fed”), which ultimately came to fruition in December. In contrast, the European Central Bank (“ECB”) and the Bank of Japan moved to a more accommodative stance during the year. In this environment, the U.S. dollar strengthened considerably, causing profit challenges for U.S. exporters and high levels of volatility in emerging market currencies and commodities. Oil prices were particularly volatile and below the historical norm due to an ongoing imbalance in global supply and demand.

Market volatility broadly increased in the middle of 2015, beginning with a sharp, but temporary, selloff in June as Greece’s long-brewing debt troubles came to an impasse. Just as these concerns abated, Chinese equities tumbled amid weakness in the country’s economy. This, combined with a depreciation of the yuan and declining confidence in China’s policymakers, stoked worries about the potential impact to the broader world economy, causing heightened volatility to spread throughout markets globally. Given a dearth of meaningful growth across most of the world, financial markets became more reliant on central bank policies to drive performance. In that vein, risk assets (such as equities and high yield bonds) rallied in October when China’s central bank provided more stimulus, the ECB hinted at further easing, and soft U.S. data pushed back expectations for a Fed rate hike. As the period came to a close, however, the ECB disappointed investors with its subdued policy changes. The Fed’s December rate hike had a positive impact on the markets as it removed a source of uncertainty, but this was counteracted by the dampening effect of a stronger U.S. dollar, falling oil prices and tighter credit conditions.

At BlackRock, we believe investors need to think globally, extend their scope across a broad array of asset classes and be prepared to move freely as market conditions change over time. 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 December 31, 2015  
    6-month     12-month  

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

    0.15     1.38

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

    (8.75     (4.41

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

    (6.01     (0.81

Emerging market
equities (MSCI Emerging
Markets Index)

    (17.35     (14.92

3-month Treasury
bill (BofA Merrill Lynch
3-Month Treasury
Bill Index)

    0.04        0.05   

U.S. Treasury securities
(BofA Merrill Lynch 10-
Year U.S. Treasury Index)

    1.43        0.91   

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

    0.65        0.55   

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

    3.31        3.32   

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

    (6.79     (4.43
Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.     
 

 

4    THIS PAGE NOT PART OF YOUR TRUST REPORT          


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 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.

 

 

     ANNUAL REPORT    DECEMBER 31, 2015    5


Trust Summary as of December 31, 2015      BlackRock Energy and Resources Trust   

 

      Trust Overview

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 December 31, 2015 ($12.53)1

   10.53%

Current Monthly Distribution per Common Share2

   $0.110

Current Annualized Distribution per Common Share2

   $1.320

 

  1   

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.

 

  2   

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 12-month period ended December 31, 2015 were as follows:

 

     Returns Based On
      Market Price   Net Asset Value

BGR1,2

   (31.42)%   (27.47)%

Lipper Natural Resources Funds3

   (30.07)%   (29.43)%

 

  1   

All returns reflect reinvestment of dividends and/or distributions.

 

  2   

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

 

  3   

Average return.

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

What factors influenced performance?

 

 

Global oil production outstripped demand during 2015, contributing to extreme weakness in oil prices and leading to both elevated volatility and poor performance for the energy sector. In this environment, the Trust’s position in the refining and marketing company Phillips 66 was the leading contributor to performance. Since crude oil is the primary input cost for the refining & marketing industry, lower prices boosted profit margins and enabled the group to outperform the broader energy sector.

 

 

During the first half of the year, the investment advisor positioned the portfolio for a U-shaped recovery in oil prices. The rationale for this move was the increasing evidence that lower oil prices had compelled energy companies to change their behavior in ways that would lead to a more favorable balance of supply and demand for oil. The Trust achieved this shift by adding to positions in exploration and production (E&P) companies and reducing exposure to lower-beta, more defensive integrated oil & gas companies. The integrated oil and gas companies typically display less sensitivity to the oil price due to their exposure to both

    upstream (production) and downstream (refining) elements of the supply chain. The E&P companies typically display greater sensitivity to the oil price as they are focused in the upstream elements only. In order to increase the Trust’s oil price sensitivity during the period, we added to our positions in E&P companies Pioneer Natural Resources and Marathon Oil and reduced exposure to integrated oil and gas companies Royal Dutch Shell, Exxon and Chevron. The recovery process proved slower than the advisor anticipated and the oil price continued to weaken during the year (Brent and WTI declined (30.5)% and (33.5)% respectively). Those companies with greater oil price sensitivity declined more than those with less sensitivity to the oil price and as such, the decision to increase the Trust’s sensitivity to oil prices weighed on absolute performance in 2015.

 

 

The Trust’s investment in Royal Dutch Shell PLC was the largest detractor from absolute returns, owing to both the stock’s large weighting in the portfolio and the market’s negative market reaction to the company’s takeover bid for BG Group PLC. The Trust’s positions in the U.S. E&P companies Marathon Oil Corp., Devon Energy Corp. and Encana Corp. were also notable detractors due to their relatively high sensitivity to oil prices.

 

 

The Trust made use of options, principally written call options on individual stocks, in order to seek enhanced returns while continuing to participate in the performance of the underlying equities. The Trust’s option writing strategy had a positive impact on performance during the period.

Describe recent portfolio activity.

 

 

The investment advisor retained a bias to higher-quality companies, with an emphasis on those with strong balance sheets, high-quality assets and low costs of production. During the fourth calendar quarter, the investment advisor added to the Trust’s weighting in integrated companies based on its expectation for continued volatility in the broader energy sector.

Describe portfolio positioning at period end.

 

 

The Trust held its largest allocations in the integrated oil & gas and exploration & production sub-industries, with smaller allocations to oil services, distribution, and refining & marketing stocks.

 

 

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.

 

6    ANNUAL REPORT    DECEMBER 31, 2015     


Trust Summary as of December 31, 2015      BlackRock Energy and Resources Trust   

 

      Market Price and Net Asset Value Per Share Summary

 

       12/31/15         12/31/14         Change        High         Low   

Market Price

     $12.53         $19.95         (37.19 )%      $22.79         $12.17   

Net Asset Value

     $14.05         $21.15         (33.57 )%      $21.65         $13.56   

 

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

 

 

LOGO

 

      Overview of the Trust’s Total Investments*

 

Ten Largest Holdings    12/31/15

Exxon Mobil Corp.

     11

Royal Dutch Shell PLC, A Shares — ADR

     10   

ConocoPhillips

     6   

Schlumberger Ltd.

     6   

Chevron Corp.

     5   

BG Group PLC

     5   

Occidental Petroleum Corp.

     5   

EOG Resources, Inc.

     5   

BP PLC

     5   

Phillips 66

     4   

 

  *   Excludes option positions and money market funds.
Industry Allocation    12/31/15    12/31/14

Oil, Gas & Consumable Fuels

       93%           96

Energy Equipment & Services

       7%           4

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 advisor. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.

 

 

     ANNUAL REPORT    DECEMBER 31, 2015    7


Trust Summary as of December 31, 2015      BlackRock Enhanced Capital and Income Fund, Inc.   

 

 

      Trust Overview

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 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 objectives will be achieved.

 

      Trust Information

 

Symbol on NYSE

   CII

Initial Offering Date

   April 30, 2004

Current Distribution Rate on Closing Market Price as of December 31, 2015 ($14.14)1

   8.49%

Current Monthly Distribution per Common Share2

   $0.10

Current Annualized Distribution per Common Share2

   $1.20

 

  1   

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.

 

  2   

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 12-month period ended December 31, 2015 were as follows:

 

     Returns Based On
      Market Price   Net Asset Value

CII1,2

   9.86%   4.66%

S&P 500® Index3

   N/A   1.38%

S&P 500® Value Index3

   N/A   (3.13)%

 

  1   

All returns reflect reinvestment of dividends and/or distributions.

 

  2   

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

 

  3   

In addition to the S&P 500® Value Index, the Trust’s returns are also compared to the S&P 500® Index. The S&P 500® Index is a widely recognized, unmanaged index of large cap U.S. equities. The Trust believes that the S&P 500® Index is a better broad-based representation of the equity markets in which the Trust invests given the current and recent historical positioning of the Trust’s portfolio. The Trust intends to remove the S&P 500® Value Index comparison in future shareholder reports.

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

The following discussion relates to the Trust’s relative performance based on the S&P 500® Index:

What factors influenced performance?

 

 

The Trust generated a positive return through its stock selection across multiple sectors, in particular consumer discretionary, health care and energy.

 

 

Within consumer discretionary, Orbitz Worldwide, Inc. made the largest contribution to return after industry leader Expedia, Inc. announced it would acquire the company at a premium. Positions in specialty retail and automobiles also contributed in the sector. The Trust’s overweight to managed-care companies proved most advantageous in the health care sector as the companies consistently beat earnings expectations and raised guidance on strong underlying fundamentals,

  while further benefiting from the summer’s favorable Supreme Court ruling concerning insurance subsidies under the Affordable Care Act and, more critically, the broader consolidation trend in the industry. Strength in energy was attributable to both the Trust’s underweight to the benchmark’s worst-performing names concentrated in exploration & production, and overweight to refining & marketing. The benefit of this positioning more than offset weakness resulting from an overweight in energy services companies, which struggled amid the steep decline in the price of oil.

 

 

Information technology (“IT”) was the prime detractor from relative performance, largely owing to the Trust’s tilt toward enterprise hardware and compute-intensive semiconductor companies. Key names underperformed as the magnitude of PC unit weakness was worse than anticipated, pressuring earnings and forward guidance of several holdings with PC exposure. Micron Technology Inc. and Western Digital Corp. were leading individual detractors within the Trust for the 12-month period. Elsewhere in the portfolio, zero exposure to internet & catalog retail name Amazon.com Inc. hindered relative returns as the stock more than doubled in the period.

 

 

The Trust made use of options, principally written call options on individual stocks, in order to seek enhanced returns while continuing to participate in the performance of the underlying equities. The Trust’s option writing strategy had a positive impact on performance during the period.

Describe recent portfolio activity.

 

 

During the 12-month period, the Trust’s exposure to the consumer staples, health care and IT sectors increased. Reductions were made in several sectors, including consumer discretionary, telecommunication services, industrials and financials.

Describe portfolio positioning at period end.

 

 

Relative to the S&P 500® Index, the Trust ended the period with its largest sector overweights in consumer discretionary, health care and IT. The Trust’s most notable underweights were industrials, telecommunication services and utilities.

 

 

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    ANNUAL REPORT    DECEMBER 31, 2015     


     BlackRock Enhanced Capital and Income Fund, Inc.

 

 

      Market Price and Net Asset Value Per Share Summary

 

       12/31/15         12/31/14         Change        High         Low   

Market Price

     $14.14         $13.97         1.22     $15.67         $12.52   

Net Asset Value

     $15.11         $15.67         (3.57 )%      $16.38         $14.27   

 

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

 

 

LOGO

 

      Overview of the Trust’s Total Investments*

 

Ten Largest Holdings    12/31/15

Alphabet, Inc., Class A

     4

JPMorgan Chase & Co.

     3   

Comcast Corp., Class A

     3   

CVS Health Corp.

     3   

Lowe’s Cos., Inc.

     3   

Home Depot, Inc.

     3   

Citigroup, Inc.

     3   

U.S. Bancorp

     2   

Bank of America Corp.

     2   

Aetna, Inc.

     2   

 

  *   Excludes option positions and money market funds.
Sector Allocation    12/31/15    12/31/14

Information Technology

     23        21

Health Care

     18           14   

Financials

     18           20   

Consumer Discretionary

     17           20   

Consumer Staples

     8           3   

Industrials

     7           9   

Energy

     5           6   

Materials

     3           4   

Utilities

     1             

Telecommunication Services

               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 advisor. These definitions may not apply for purposes of this report, which may combine such sector sub-classifications for reporting ease.

 

 

     ANNUAL REPORT    DECEMBER 31, 2015    9


Trust Summary as of December 31, 2015      BlackRock Enhanced Equity Dividend Trust   

 

 

      Trust Overview

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 December 31, 2015 ($7.61)1

   7.36%

Current Monthly Distribution per Common Share2

   $0.0467

Current Annualized Distribution per Common Share2

   $0.5604

 

  1   

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.

 

  2   

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 12-month period ended December 31, 2015 were as follows:

 

     Returns Based On
      Market Price   Net Asset Value

BDJ1,2

   0.63%   1.10%

Russell 1000® Value Index

   N/A   (3.83)%

 

  1   

All returns reflect reinvestment of dividends and/or distributions.

 

  2   

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

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

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

What factors influenced performance?

 

 

The largest contributors to relative performance came from the Trust’s underweight allocation and stock selection in energy. Notable relative contributors within the sector included an overweight in the refiner Marathon Oil Corp. and the decision not to have a position in the benchmark holding Kinder Morgan, Inc. An underweight in the exploration & production and oilfield service industries also proved beneficial amid falling crude oil prices. Stock selection in the consumer staples and consumer discretionary sectors also added to relative returns. Within consumer staples, top contributors included a position in the grocery store operator Kroger Co. and an overweight to the tobacco industry. Within consumer discretionary, the Trust’s position in The Home Depot, Inc. outperformed due to stronger than expected sales and earnings growth. In addition, stock selection in industrials, especially an overweight to the aerospace & defense sub-industry, contributed positively.

 

 

The largest detractor from relative performance came from a combination of stock selection and portfolio allocation decisions in the health care segment. Notably, an

 

overweight in the managed care industry hurt relative returns, as did a lack of holdings in the benchmark companies Cigna Corporation and Humana Inc., both of which benefited from merger & acquisition activity during the period. In addition, a combination of stock selection and allocation decisions in financials detracted from relative return. In particular, stock selection in the insurance industry and an underweight within real estate investment trusts were costly. In financials, an overweight in American Express Co. also negatively impacted returns. Lastly, a combination of stock selection and an overweight in materials weighed on relative performance.

 

 

The Trust made use of options, principally written call options on individual stocks, in order to seek enhanced returns while continuing to participate in the performance of the underlying equities. The Trust’s option writing strategy had a positive impact on performance during the period.

Describe recent portfolio activity.

 

 

During the 12-month period, the Trust’s exposure to the health care sector was increased through the initiation of new positions in the managed care providers UnitedHealth Group, Inc., Anthem, Inc., and Aetna, Inc. Other notable new purchases included the consumer discretionary holding Dollar General Corp. and the financials firm American International Group, Inc. Conversely, the Trust reduced exposure to the consumer discretionary sector by exiting its position in VF Corp. and reducing its allocation to Comcast Corp. Lastly, the Trust reduced its financials allocation by exiting positions in The Toronto-Dominion Bank and Fifth Third Bancorp, and by trimming its holdings in American Express Co.

Describe portfolio positioning at period end.

 

 

The Trust’s largest overweight positions were in the industrials, health care and consumer staples sectors. Conversely, the Trust’s largest underweights were in the information technology, financials and energy 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    ANNUAL REPORT    DECEMBER 31, 2015     


Trust Summary as of December 31, 2015      BlackRock Enhanced Equity Dividend Trust   

 

 

      Market Price and Net Asset Value Per Share Summary

 

       12/31/15         12/31/14         Change        High         Low   

Market Price

     $7.61         $8.12         (6.28 )%      $8.38         $6.72   

Net Asset Value

     $8.70         $9.24         (5.84 )%      $9.24         $8.07   

 

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

 

 

LOGO

 

      Overview of the Trust’s Total Investments*

 

Ten Largest Holdings    12/31/15

JPMorgan Chase & Co.

     4

Wells Fargo & Co.

     4   

General Electric Co.

     3   

Citigroup, Inc.

     3   

Pfizer, Inc.

     3   

Microsoft Corp.

     3   

Home Depot, Inc.

     3   

Exxon Mobil Corp.

     3   

Raytheon Co.

     2   

Intel Corp.

     2   

 

  *   Excludes option positions and money market funds.
Sector Allocation    12/31/15    12/31/14

Financials

     27        27

Health Care

     14           10   

Industrials

     14           15   

Consumer Staples

     10           9   

Energy

     9           9   

Consumer Discretionary

     7           10   

Information Technology

     7           7   

Utilities

     6           6   

Materials

     4           5   

Telecommunication Services

     2           2   

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 advisor. These definitions may not apply for purposes of this report, which may combine such sector sub-classifications for reporting ease.

 

 

     ANNUAL REPORT    DECEMBER 31, 2015    11


Trust Summary as of December 31, 2015      BlackRock Global Opportunities Equity Trust   

 

 

      Trust Overview

BlackRock Global Opportunities Equity 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. The Trust invests, under normal market conditions, at least 80% of its assets in equity securities or options on equity securities or indices or sectors of equity securities. 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 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 December 31, 2015 ($12.76)1

   9.12%

Current Monthly Distribution per Common Share2

   $0.097

Current Annualized Distribution per Common Share2

   $1.164

 

  1   

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.

 

  2   

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 12-month period ended December 31, 2015 were as follows:

 

     Returns Based On
      Market Price   Net Asset Value

BOE1,2

   6.03%   2.28%

MSCI All Country World Index

   N/A   (2.36)%

 

  1   

All returns reflect reinvestment of dividends and/or distributions.

 

  2   

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

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

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

What factors influenced performance?

 

 

Gains for the period were dispersed through seven of ten market sectors, led by stock selection in the information technology (“IT”) and financials segments. Within IT, stock selection in the Internet software & services sub-industry led performance after holdings in Facebook, Inc. performed strongly on the company’s positive earnings momentum, driven by increasing advertising revenue. The investment advisor believes that Facebook’s valuation remains attractive given its growth profile. Within utilities, stock selection in the electric utilities sub-industry was the next largest contributor to the Trust’s performance, as the group generally traded higher on the basis of strong earnings and a positive outlook.

 

 

The Trust’s position in private company Jasper InfoTech Private Ltd., Series F and Uber Technologies, Inc., Series D contributed positively to performance.

 

Conversely, stock selection in the consumer staples and industrials sectors led detractors for the period. Within consumer staples, stock selection in the tobacco sub-industry hindered returns as shares of ITC Ltd. declined after a steep increase in state taxes in India that is projected to hurt the company’s future earnings potential. The Trust sold the position. Stock selection in the airlines sub-industry was the second largest detractor based on the underperformance of the Trust’s position in American Airlines Group Inc., which was negatively affected by investor concerns regarding over-capacity and increased competition. The Trust continues to hold the shares because of the company’s strong future growth profile following its acquisition of U.S. Airways, and because airlines generally should benefit from significantly lower fuel costs.

 

 

The Trust made use of options, principally written call options on individual stocks, in order to seek enhanced returns while continuing to participate in the performance of the underlying equities. The Trust’s option writing strategy had a positive impact on performance during the period.

Describe recent portfolio activity.

 

 

During the 12-month period, the Trust shifted to more defensive stocks in the telecommunication services and utilities sectors, funded by profit taking within the financials and health care sectors. Regionally, these sector decisions resulted in increased exposure to Europe and the emerging markets, and decreased exposure to North America.

Describe portfolio positioning at period end.

 

 

Relative to the MSCI All Country World Index, the Trust ended the period with its largest overweight positions in the IT and consumer discretionary sectors, and underweight positions in the financials and industrials sectors. Regionally, this resulted in overweight positions in Europe and the emerging markets, and underweights in North America and the Pacific Basin.

 

 

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.

 

12    ANNUAL REPORT    DECEMBER 31, 2015     


     BlackRock Global Opportunities Equity Trust

 

 

      Market Price and Net Asset Value Per Share Summary

 

       12/31/15         12/31/14         Change        High         Low   

Market Price

     $12.76         $13.13         (2.82 )%      $14.20         $11.96   

Net Asset Value

     $14.25         $15.27         (6.68 )%      $15.96         $13.66   

 

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

 

 

LOGO

 

      Overview of the Trust’s Total Investments*

 

Ten Largest Holdings    12/31/15

McDonald’s Corp.

     2

Cellnex Telecom SAU

     2   

Citigroup, Inc.

     2   

Alphabet, Inc., Class C

     2   

Anheuser-Busch InBev SA NV

     1   

Worldpay Group PLC

     1   

Facebook, Inc., Class A

     1   

MasterCard, Inc., Class A

     1   

Uber Technologies, Inc., Series D

     1   

Alibaba Group Holding Ltd. — ADR

     1   

 

  *   Excludes option positions and money market funds.
Geographic Allocation    12/31/15    12/31/14

United States

     53        55

United Kingdom

     14           8   

Japan

     5           5   

China

     3           3   

India

     3           2   

France

     2           4   

Switzerland

     2           3   

Spain

     2           2   

Belgium

     2           2   

Canada

     2           1   

Netherlands

     1           2   

Hong Kong

     1           2   

Germany

     1           3   

South Korea

               2   

Other1

     9           6   

 

  1   

Other includes a 1% holding or less in each of the following countries; Ireland, Taiwan, South Africa, Portugal, Italy, Mexico, Norway, Sweden, Indonesia, Israel, New Zealand, Greece, Peru and Australia.

 

 

Net asset value and performance results do not include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles and may differ from results reported in the financial highlights on page 114.

 

     ANNUAL REPORT    DECEMBER 31, 2015    13


Trust Summary as of December 31, 2015    BlackRock Health Sciences Trust

 

 

 

      Trust Overview

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 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 December 31, 2015 ($39.35)1

   6.10%

Current Monthly Distribution per Common Share2

   $0.20

Current Annualized Distribution per Common Share2

   $2.40

 

  1   

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.

 

  2   

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 12-month period ended December 31, 2015 were as follows:

 

     Returns Based On
      Market Price   Net Asset Value

BME1,2

   8.87%   10.70%

Russell 3000® Healthcare Index

   N/A   7.14%

 

  1   

All returns reflect reinvestment of dividends and/or distributions.

 

  2   

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

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

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

What factors influenced performance?

 

 

The Trust generated strong stock selection in all four of the sub-sectors within health care (pharmaceuticals, biotechnology, medical devices & supplies and health care providers & services), with biotechnology leading the way. The gains from biotechnology were broad-based, with a number of holdings — including Receptos, Inc., Ultragenyx Pharmaceutical, Inc., Dyax Corp. and Synageva BioPharma Corp. — benefiting from positive clinical developments and/or being acquired. Favorable clinical developments also boosted the shares of the pharmaceutical stocks Eisai, Inc., Intra-Cellular Therapies, Inc., and Nektar Therapeutics.

 

 

Many of the Trust’s holdings benefited from solid financial results, including the specialty pharmaceutical stocks Teva Pharmaceuticals Industries Ltd. and Perrigo Co., as well as the medical devices & supplies companies Boston Scientific Corp., DexCom, Inc., Masimo Corp., Becton Dickinson and Co. and Charles River Laboratories International, Inc. Lastly, the Trust’s underweight in several large-cap

   

pharmaceuticals with substantial weightings in the benchmark, including Johnson & Johnson and Merck & Co. Inc., aided relative performance.

 

 

During a period of strong returns for the health care sector, there were only a handful of detractors from the Trust’s performance. Most notably, the Trust’s overweight allocation in managed care stocks and its stock selection in the health care distributors industry hindered performance. In the latter group, McKesson Corp. detracted after reporting mixed financial results. Other positions that weighed on results included Mallinckrodt PLC (pharmaceuticals), The Cooper Cos., Inc. (medical devices & supplies) and an underweight in the strong performing biotechnology stock Gilead Sciences, Inc. The Trust’s lack of a position in Pharmacyclics, Inc., which was acquired by AbbVie, Inc., also detracted.

 

 

The Trust made use of options, principally written call options on individual stocks, in order to seek enhanced returns while continuing to participate in the performance of the underlying equities. The Trust’s option writing strategy had a modest impact on performance during the period.

Describe recent portfolio activity.

 

 

The Trust’s allocations generally remained in line with its allocations at the prior fiscal year-end. The Trust’s weightings in biotechnology and health care providers & services sub-sectors increased slightly, while its weightings in the medical devices & supplies and pharmaceutical sub-sectors declined. These allocations were the by-product of the Trust’s bottom-up, fundamental investment process.

Describe portfolio positioning at period end.

 

 

The Trust continues to focus on identifying innovative companies. Accordingly, its three largest allocations were to the biotechnology, medical devices & supplies and pharmaceuticals industries, where favorable trends in the innovation cycle have supported positive secular growth.

 

 

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    ANNUAL REPORT    DECEMBER 31, 2015     


     BlackRock Health Sciences Trust

 

 

      Market Price and Net Asset Value Per Share Summary

 

       12/31/15         12/31/14         Change        High         Low   

Market Price

     $39.35         $42.70         (7.85 )%      $49.94         $36.45   

Net Asset Value

     $36.17         $38.61         (6.32 )%      $45.09         $35.40   

 

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

 

 

LOGO

 

      Overview of the Trust’s Total Investments*

 

 

Ten Largest Holdings    12/31/15

UnitedHealth Group, Inc.

     5

Celgene Corp.

     4   

Eli Lilly & Co.

     4   

Medtronic PLC

     4   

Amgen, Inc.

     4   

Boston Scientific Corp.

     3   

Bristol-Myers Squibb Co.

     3   

Allergan PLC

     3   

Alexion Pharmaceuticals, Inc.

     3   

Gilead Sciences, Inc.

     2   

 

  *   Excludes option positions and money market funds.
Industry Allocation    12/31/15    12/31/14

Biotechnology

     33        30

Pharmaceuticals

     29           34   

Health Care Providers & Services

     18           14   

Health Care Equipment & Supplies

     17           18   

Life Sciences Tools & Services

     2           3   

Electronic Equipment, Instruments & Components

     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 advisor. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.

 

 

     ANNUAL REPORT    DECEMBER 31, 2015    15


Trust Summary as of December 31, 2015    BlackRock International Growth and Income Trust

 

 

      Trust Overview

BlackRock International Growth and Income 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 market conditions, at least 80% of its assets in equity securities issued by non-U.S. companies of any market capitalization located in countries throughout the world. 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 December 31, 2015 ($6.24)1

   9.42%

Current Monthly Distribution per Common Share2

   $0.049

Current Annualized Distribution per Common Share2

   $0.588

 

  1   

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.

 

  2   

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 12-month period ended December 31, 2015 were as follows:

 

     Returns Based On
      Market Price   Net Asset Value

BGY1,2

   0.90%   (0.61)%

MSCI All Country World Index ex-US

   N/A   (5.66)%

 

  1   

All returns reflect reinvestment of dividends and/or distributions.

 

  2   

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

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

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

What factors influenced performance?

 

 

Stock selection in the financials and consumer discretionary sectors contributed to performance. Within the financial sectors, stock selection within the diversified banks sub-industry led contributors after shares of HDFC Bank Ltd. traded higher throughout the 12-month period, as the bank continues to take market share from legacy state-owned enterprises in India. Within the consumer discretionary sector, the Trust’s position in Jasper Infotech Private Ltd., Series F, an online marketplace company based in India, was the second-largest individual contributor. The Trust’s investment in Jasper InfoTech Private Ltd., a private company, benefited when additional rounds of funding increased the valuation of the company.

 

 

Conversely, stock selection within the information technology (“IT”) and health care sectors hindered performance over the period. Within IT, holdings in the

   

Internet software & services company Baidu, Inc. detracted given the firm’s large share of revenue exposure to China. The Trust exited the position. In health care, stock selection in the pharmaceuticals sub-industry was the next largest detractor after shares of Sanofi detracted due to disappointing earnings results. The investment advisor remains optimistic regarding Sanofi’s cardiovascular drug for cholesterol and the Trust has retained its position there.

 

 

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

Describe recent portfolio activity.

 

 

During the 12-month period, exposure to the financials and telecommunication services (“telecom”) sectors was increased, funded by profit taking in the consumer discretionary and health care sectors. Regionally, these sector decisions resulted in increased exposure to Europe and a decreased weighting in emerging Asia.

Describe portfolio positioning at period end.

 

 

Relative to the MSCI All Country World Index ex-US, the Trust ended the period with overweight positions in the telecom and IT sectors, and underweights in materials and utilities. Regionally, the Trust remains overweight in Europe, and underweight in the emerging markets and the Pacific Basin.

 

 

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.

 

16    ANNUAL REPORT    DECEMBER 31, 2015     


     BlackRock International Growth and Income Trust

 

 

      Market Price and Net Asset Value Per Share Summary

 

       12/31/15         12/31/14         Change        High         Low   

Market Price

     $6.24         $6.74         (7.42 )%      $7.60         $5.80   

Net Asset Value

     $6.94         $7.61         (8.80 )%      $8.07         $6.74   

 

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

 

 

LOGO

 

      Overview of the Trust’s Total Investments*

 

Ten Largest Holdings    12/31/15

AstraZeneca PLC

     3

Roche Holding AG

     2   

Nestle SA

     2   

SABMiller PLC

     2   

Cellnex Telecom SAU

     2   

China Construction Bank Corp., Class H

     2   

AIA Group Ltd.

     2   

Worldpay Group PLC

     2   

Anheuser-Busch InBev SA NV

     2   

BAE Systems PLC

     2   

 

  *   Excludes option positions and money market funds.
Geographic Allocation    12/31/15    12/31/14

United Kingdom

     25        19

Switzerland

     9           9   

Japan

     9           10   

France

     6           6   

India

     5           4   

China

     5           9   

Italy

     4           2   

Ireland

     4           5   

United States

     4           3   

Canada

     4           6   

Germany

     4           4   

Netherlands

     3           4   

Spain

     2           2   

Hong Kong

     2           3   

Belgium

     2           3   

Mexico

     2           1   

Sweden

     2           1   

South Korea

               2   

Israel

     1           2   

Other1

     7           5   

 

  1   

Other includes a 1% holding or less in each of the following countries;

       New Zealand, Portugal, South Africa, Indonesia, Norway, Taiwan, Australia and Peru.
 

 

Net asset value and performance results do not include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles and may differ from results reported in the financial highlights on page 116.

 

     ANNUAL REPORT    DECEMBER 31, 2015    17


Trust Summary as of December 31, 2015    BlackRock Resources & Commodities Strategy Trust

 

 

      Trust Overview

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 over-writing 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 December 31, 2015 ($7.11)1

   11.05%

Current Monthly Distribution per Common Share2

   $0.0655

Current Annualized Distribution per Common Share2

   $0.7860

 

  1   

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.

 

  2   

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 12-month period ended December 31, 2015 were as follows:

 

     Returns Based On
      Market Price   Net Asset Value

BCX1,2

   (19.47)%   (21.31)%

Lipper Natural Resources Funds3

   (30.07)%   (29.43)%

 

  1   

All returns reflect reinvestment of dividends and/or distributions.

 

  2   

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

 

  3   

Average return.

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

What factors influenced performance?

 

 

Tyson Foods, Inc., which continued to deliver on its strategy to develop and expand its value-added and branded capabilities, was one of the largest positive contributors to the Trust’s absolute performance in 2015. The company’s profit margins generally outperformed expectations as management’s efforts to improve the quality of its operations, especially in its chicken business, paid off.

 

 

The Trust’s exposure to the Russian nickel miner MMC Norilsk Nickel PJSC contributed positively to absolute performance during the year. The company benefited from a decline in the perceived political risk in Russia, as well as a reduction in costs stemming from the weakness in the Russian ruble.

 

 

The mining industry detracted dramatically during the year due to a combination of slow global growth and oversupply in a number of the mined commodities. The sector was also hurt by weakening economic data in China, including a sharp drop in industrial activity and evidence of domestic firms struggling under heavy

   

debt burdens. The Trust’s investment in the diversified miner BHP Billiton Ltd. — which was hurt by both its exposure to falling oil prices and the tragic collapse of a mining dam in Brazil — detracted from performance, as did its position in the copper producer First Quantum Minerals Ltd.

 

 

The Trust made use of options, principally written call options on individual stocks, in order to seek enhanced returns while continuing to participate in the performance of the underlying equities. The Trust’s option writing strategy had a positive impact on performance during the period and helped offset some of the volatility among resources stocks.

Describe recent portfolio activity.

 

 

At the beginning of 2015, the Trust was positioned with the majority of its investments in agriculture and energy, with the lowest weighting in the mining sector. These allocations were driven by the investment advisor’s views regarding the varying outlooks and relative valuations for the three sectors. This positioning benefited performance in the first half of the year, during which the agriculture sector held up better than the energy and mining sectors.

 

 

During the third calendar quarter, the investment advisor made significant shifts to the portfolio, taking down its agriculture exposure and substantially increasing its weightings in the energy and mining groups. This adjustment reflected the investment advisor’s view that indiscriminate selling in mining and energy shares had created compelling tactical opportunities.

Describe portfolio positioning at period end.

 

 

The energy sector was the Trust’s largest allocation, followed by metals & mining and agriculture stocks, 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.

 

18    ANNUAL REPORT    DECEMBER 31, 2015     


     BlackRock Resources & Commodities Strategy Trust

 

 

      Market Price and Net Asset Value Per Share Summary

 

       12/31/15         12/31/14         Change        High         Low   

Market Price

     $7.11         $  9.71         (26.78 )%      $10.17         $6.59   

Net Asset Value

     $8.35         $11.67         (28.45 )%      $11.75         $8.02   

 

      Market Price and Net Asset Value History Since Inception

 

 

LOGO

 

  1 

Commencement of operations.

 

      Overview of the Trust’s Total Investments*

 

Ten Largest Holdings    12/31/15

Exxon Mobil Corp.

     7

Chevron Corp.

     7   

Syngenta AG

     6   

Monsanto Co.

     5   

BP PLC — ADR

     5   

ConocoPhillips

     4   

Alcoa, Inc.

     3   

BHP Billiton PLC

     3   

BHP Billiton Ltd. — ADR

     3   

Iluka Resources Ltd.

     3   

 

  *   Excludes option positions and money market funds.
Industry Allocation    12/31/15    12/31/14

Oil, Gas & Consumable Fuels

     34        35

Metals & Mining

     32           21   

Chemicals

     14           23   

Food Products

     10           9   

Paper & Forest Products

     3           3   

Containers & Packaging

     2             

Real Estate Investment Trusts (REITs)

     1           3   

Water Utilities

     1           2   

Other2

     3           4   

 

  2   

Other includes less than 1% in each of the following industries; Food & Staples Retailing, Energy Equipment & Services, Multi-Utilities, Machinery, Industrial Conglomerates, Commercial Services & Supplies, Auto Components, Construction & Engineering, Electrical Equipment, Independent Power and Renewable Electricity Producers, Building Products, Electric Utilities, Electronic Equipment, Instruments & Components, 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 advisor. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.

 

 

     ANNUAL REPORT    DECEMBER 31, 2015    19


Trust Summary as of December 31, 2015    BlackRock Science and Technology Trust

 

 

      Trust Overview

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 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 December 31, 2015 ($17.31)1

   6.93%

Current Monthly Distribution per Common Share2

   $0.10

Current Annualized Distribution per Common Share2

   $1.20

 

  1   

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.

 

  2   

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 12-month period ended December 31, 2015 were as follows:

 

     Returns Based On
      Market Price   Net Asset Value

BST1,2

   5.36%   8.61%

MSCI World Information Technology Index

   N/A   4.76%

 

  1   

All returns reflect reinvestment of dividends and/or distributions.

 

  2   

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

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

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

What factors influenced performance?

 

 

Performance for the 12-month period was led by the Trust’s position in Amazon.com, Inc., which rallied on strong revenue growth and margin control, both of which exceeded analysts’ forecasts. The Trust’s investment advisor looks favorably on Amazon.com, Inc.’s long-term opportunities. The second largest individual contributor to performance was the Trust’s position in Facebook, Inc., Class A, as the stock benefited from strong earnings momentum driven by an increase in the company’s advertising revenues.

 

 

Conversely, the Trust’s position in the Indian language film company Eros International PLC detracted after questions arose concerning the firm’s accounting practices. In addition, the Trust’s position in Oracle Corp. detracted after some investors became skeptical about revenue recognition after discovering aggressive sales incentives. During this time, the

   

Trust sold out of the stock, but reinvested later in the year after the stock appeared to be undervalued, as the investment advisor is optimistic concerning Oracle’s future growth prospects around cloud computing.

 

 

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

Describe recent portfolio activity.

 

 

Over the 12-month period, the Trust added to positions in the software & services and retailing industries, funded by reductions within the semiconductors & semiconductor equipment and technology hardware & equipment industries. From a regional perspective, the Trust increased exposure to North America and Europe and rotated out of the emerging markets, particularly emerging Asia.

Describe portfolio positioning at period end.

 

 

Relative to the MSCI World Information Technology Index, the Trust’s positioning reflected a number of themes. These included company-specific software & services opportunities, particularly in China, to capture the proliferation of Internet search demand and e-commerce. In addition, the Trust was overweight in companies successfully transitioning out of declining PC-related industries and into enterprise-driven “big data” initiatives. Lastly, the portfolio included companies the investment advisor views as industry-leading innovators that consistently re-invent their business models.

 

 

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    ANNUAL REPORT    DECEMBER 31, 2015     


     BlackRock Science and Technology Trust

 

 

      Market Price and Net Asset Value Per Share Summary

 

       12/31/15         12/31/14         Change        High         Low   

Market Price

     $17.31         $17.59         (1.59 )%      $18.57         $14.30   

Net Asset Value

     $19.71         $19.43         1.44     $20.57         $17.77   

 

      Market Price and Net Asset Value History Since Inception

 

 

LOGO

 

  1 

Commencement of operations.

 

      Overview of the Trust’s Total Investments*

 

Ten Largest Holdings    12/31/15

Alphabet, Inc., Class A

     7

Apple, Inc.

     5   

Facebook, Inc., Class A

     5   

Microsoft Corp.

     4   

Amazon.com, Inc.

     4   

Tencent Holdings Ltd.

     3   

Visa, Inc., A Shares

     3   

MasterCard, Inc., Class A

     2   

Activision Blizzard, Inc.

     2   

Crown Castle International Corp.

     2   

 

  *   Excludes option positions and money market funds.
Industry Allocation    12/31/15    12/31/14

Internet Software & Services

     26        25

Software

     20           19   

IT Services

     13           10   

Semiconductors & Semiconductor Equipment

     11           17   

Technology Hardware, Storage & Peripherals

     7           12   

Internet & Catalog Retail

     6           4   

Real Estate Investment Trusts (REITs)

     5           1   

Media

     5           3   

Diversified Telecommunication Services

     2           1   

Electronic Equipment, Instruments & Components

     1           3   

Household Durables

     1           2   

Wireless Telecommunication Services

     1           2   

Other2

     2           1   

 

  2   

Other includes a 1% holding or less in each of the following industries; Professional Services, Hotels, Restaurants & Leisure, Communications Equipment, Commercial Services & Supplies and Diversified Financial 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 advisor. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.

 

 

     ANNUAL REPORT    DECEMBER 31, 2015    21


Trust Summary as of December 31, 2015    BlackRock Utility and Infrastructure Trust

 

 

      Trust Overview

BlackRock Utility and Infrastructure 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 and Infrastructure 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 and 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. 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 December 31, 2015 ($16.78)1

   8.65%

Current Monthly Distribution per Common Share2

   $0.121

Current Annualized Distribution per Common Share2

   $1.452

 

  1   

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.

 

  2   

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 12-month period ended December 31, 2015 were as follows:

 

     Returns Based On
      Market Price   Net Asset Value

BUI1,2

   (12.45)%   (6.09)%

Lipper Utility Funds3

   (15.83)%   (12.88)%

 

  1   

All returns reflect reinvestment of dividends and/or distributions.

 

  2   

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

 

  3   

Average return.

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

What factors influenced performance?

 

 

Broadly, U.S. utilities experienced weak performance in 2015, with a rebound in U.S. interest rates and uncertainty over the timing of future Federal Reserve monetary policy actions contributing to poor returns. The largest detractor from absolute returns was the Trust’s exposure to master limited partnerships (“MLPs”) within the oil, gas & consumable fuels industry. Weakness in crude oil prices negatively impacted MLP returns, as did reduced expectations for long-term growth within the industry. Notable MLP detractors included Dominion Midstream Partners LP, Plains All American Pipeline, L.P . and Enbridge Inc. Stock selection in the independent power & renewables and electric utilities industries also hindered absolute returns.

 

 

The Trust’s position in water utility operator American Water Works Company, Inc. was the largest absolute contributor to performance. Exposure to the transportation infrastructure industry also added to returns, with notable contributions from Atlantia S.p.A. and Transurban Group Ltd. Finally, the Trust’s

   

allocation to gas utilities and multi-utilities also contributed modestly to portfolio absolute returns.

 

 

From a country allocation standpoint, the Trust’s international exposure contributed positively to absolute returns. Portfolio holdings based in Italy and Australia performed particularly well during the reporting period.

 

 

The Trust made use of options, principally written call options on individual stocks, in order to seek enhanced returns while continuing to participate in the performance of the underlying equities. The Trust’s option writing strategy had a positive impact on performance during the period.

Describe recent portfolio activity.

 

 

The Trust increased its transportation infrastructure exposure, by adding to existing positions in Atlantia S.p.A. and Sydney Airport. In utilities, exposure to larger-cap operators including Dominion Resources, Inc., CMS Energy Corporation, and NextEra Energy, Inc. was increased. Finally, the Trust increased its construction & engineering industry allocation by initiating a new position in VINCI SA. Conversely, MLP exposure was reduced, with notable sales including positions in MarkWest Energy Partners, L.P . and TransCanada Corporation.

Describe portfolio positioning at period end.

 

 

The utilities sector accounted for just over one-half of the Trust’s assets, with holdings weighted toward in the U.S. electric and multi-utilities industries. The Trust also maintained a significant allocation to the industrial sectors, including construction and infrastructure operators, and the sector represented approximately 20% of the portfolio. MLPs also accounted for approximately 20% of the portfolio, with a tilt toward midstream pipeline operators with manageable debt burdens, low capital costs and strong coverage ratios. In view of uncertainty around the pace of U.S. interest rate increases and the changing global backdrop against which Trust holdings operate, the Trust was positioned with an emphasis on investments across multiple geographic and regulatory environments.

 

 

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.

 

22    ANNUAL REPORT    DECEMBER 31, 2015     


     BlackRock Utility and Infrastructure Trust

 

 

      Market Price and Net Asset Value Per Share Summary

 

       12/31/15         12/31/14         Change        High         Low   

Market Price

     $16.78         $20.74         (19.09 )%      $20.86         $15.89   

Net Asset Value

     $19.50         $22.47         (13.22 )%      $22.85         $18.44   

 

      Market Price and Net Asset Value History Since Inception

 

 

LOGO

 

  1 

Commencement of operations.

 

      Overview of the Trust’s Total Investments*

 

Ten Largest Holdings    12/31/15

NextEra Energy, Inc.

     5

CMS Energy Corp.

     5   

Dominion Resources, Inc.

     4   

Atlantia SpA

     4   

Duke Energy Corp.

     4   

Shell Midstream Partners LP

     4   

American Water Works Co., Inc.

     4   

Ferrovial SA

     3   

Dominion Midstream Partners LP

     3   

Public Service Enterprise Group, Inc.

     3   

 

  *   Excludes option positions and money market funds.
Industry Allocation    12/31/15    12/31/14

Electric Utilities

     23        21

Oil, Gas & Consumable Fuels

     21           28   

Multi-Utilities

     20           22   

Transportation Infrastructure

     17           12   

Independent Power and Renewable Electricity Producers

     5           4   

Construction & Engineering

     4           2   

Water Utilities

     4           3   

Real Estate Investment Trusts (REITs)

     3           4   

Gas Utilities

     2           1   

Other2

     1           3   

 

  2   

Other includes a 1% holding or less in each of the following industries;

       Diversified Telecommunication Services, Wireless Telecommunication Services, Media and Road & Rail.

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 advisor. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.

 

 

     ANNUAL REPORT    DECEMBER 31, 2015    23


Derivative Financial Instruments     

 

The Trusts may invest in various derivative financial instruments. Derivative financial instruments are used to obtain exposure to a security, index and/or market without owning or taking physical custody of securities 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. Derivative financial instruments also 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

derivative financial instrument. The Trusts’ ability to use a derivative financial instrument successfully depends on the investment advisor’s ability to predict pertinent market movements accurately, which cannot be assured. The use of derivative financial 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    ANNUAL REPORT    DECEMBER 31, 2015     


Schedule of Investments December 31, 2015      BlackRock Energy and Resources Trust (BGR)   
     (Percentages shown are based on Net Assets)   

 

Common Stocks    Shares      Value  

Energy Equipment & Services — 7.0%

     

Halliburton Co. (a)

     146,900       $ 5,000,476   

Schlumberger Ltd. (a)

     347,424         24,232,824   
     

 

 

 
                29,233,300   

Oil, Gas & Consumable Fuels — 92.1%

     

Anadarko Petroleum Corp.

     207,383         10,074,666   

BG Group PLC

     1,419,110         20,571,313   

BP PLC

     3,636,000         18,895,257   

Cabot Oil & Gas Corp. (a)(b)

     385,100         6,812,419   

Cairn Energy PLC (c)

     2,484,800         5,750,755   

Carrizo Oil & Gas, Inc. (a)(c)

     122,300         3,617,634   

Chevron Corp. (a)

     247,300         22,247,108   

Cimarex Energy Co. (a)

     136,250         12,178,025   

ConocoPhillips (a)

     577,800         26,977,482   

Devon Energy Corp.

     334,600         10,707,200   

Enbridge, Inc.

     508,000         16,888,054   

Encana Corp. (a)

     836,400         4,249,398   

Energen Corp. (a)

     89,600         3,672,704   

EOG Resources, Inc. (a)

     268,600         19,014,194   

EQT Corp.

     127,500         6,646,575   

Exxon Mobil Corp. (a)(b)

     581,100         45,296,745   

Hess Corp. (a)

     275,300         13,346,544   

Kosmos Energy Ltd. (a)(c)

     728,007         3,785,636   

Laredo Petroleum, Inc. (a)(c)(d)

     262,000         2,093,380   

Marathon Oil Corp. (a)

     638,400         8,037,456   

Noble Energy, Inc. (a)

     247,892         8,163,084   

Occidental Petroleum Corp. (a)

     292,800         19,796,208   

Oil Search Ltd.

     1,648,963         8,026,069   

Phillips 66 (a)

     210,800         17,243,440   

Pioneer Natural Resources Co. (a)

     104,400         13,089,672   

Range Resources Corp.

     130,500         3,211,605   
Common Stocks    Shares      Value  

Oil, Gas & Consumable Fuels (continued)

     

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

     911,400       $ 41,733,006   

TOTAL SA

     307,384         13,780,527   
     

 

 

 
                385,906,156   

Total Long-Term Investments

(Cost — $521,892,831) — 99.1%

  

  

     415,139,456   
     
Short-Term Securities                

BlackRock Liquidity Funds, TempFund,
Institutional Class, 0.23% (e)(f)

     5,394,590         5,394,590   
      Beneficial
Interest
(000)
         

BlackRock Liquidity Series, LLC Money Market
Series, 0.39% (e)(f)(g)

   $ 945         944,554   

Total Short-Term Securities

(Cost — $6,339,144) — 1.5%

  

  

     6,339,144   

Total Investments Before Options Written

(Cost — $528,231,975) — 100.6%

  

  

     421,478,600   
     
Options Written                

(Premiums Received — $3,279,955) — (0.2)%

  

     (936,806

Total Investments Net of Options Written — 100.4%

  

     420,541,794   

Liabilities in Excess of Other Assets — (0.4)%

  

     (1,560,296
     

 

 

 

Net Assets — 100.0%

      $ 418,981,498   
     

 

 

 
 
      Notes to Schedule of Investments

 

(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 security, is on loan.

 

(e) Current yield as of period end.

 

(f) During the year ended December 31, 2015, 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/
Beneficial Interest
Held at
December 31,
2014
    

Net

Activity

    Shares/
Beneficial Interest
Held at
December 31,
2015
     Income     Realized
Gain
 

BlackRock Liquidity Funds, TempFund, Institutional Class

     35,462,798         (30,068,208     5,394,590         $  13,774        $252   

BlackRock Liquidity Series, LLC Money Market Series

             $     944,554        $   944,554         $191,937 1        

 

  1   

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.

 

      Portfolio Abbreviations
ADR    American Depositary Receipts      HKD    Hong Kong Dollar    SEK    Swedish Krona
AUD    Australian Dollar      JPY    Japanese Yen    SGD    Singapore Dollar
CAD    Canadian Dollar      MXN    Mexican Peso    TWD    Taiwan Dollar
CHF    Swiss Franc      NOK    Norwegian Krone    USD    U.S. Dollar
EUR    Euro      REIT    Real Estate Investment Trust    ZAR    South African Rand
GBP    British Pound              

 

See Notes to Financial Statements.

 

     ANNUAL REPORT    DECEMBER 31, 2015    25


Schedule of Investments (continued)      BlackRock Energy and Resources Trust (BGR)   

 

(g) Security was purchased with the cash collateral from loaned securities. The Trust may withdraw up to 25% of its investment daily, although the manager of the BlackRock Liquidity Series LLC, Money Market Series, in its sole discretion, may permit an investor to withdraw more than 25% on any one day.

 

 

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 advisor. These definitions may not apply for purposes of this report, which may combine industry sub-classifications for reporting ease.

 

      Derivative Financial Instruments Outstanding as of Period End

Exchange-Traded Options Written

 

Description    Put/
Call
     Expiration
Date
  

Strike

Price

     Contracts      Value  

Exxon Mobil Corp.

     Call       1/08/16      USD         82.01         315       $ (1,331

Pioneer Natural Resources Co.

     Call       1/08/16      USD         147.00         49         (2,205

Schlumberger Ltd.

     Call       1/08/16      USD         78.00         411         (2,055

Cabot Oil & Gas Corp.

     Call       1/15/16      USD         20.00         350         (16,625

Carrizo Oil & Gas, Inc.

     Call       1/15/16      USD         35.00         125         (2,500

Chevron Corp.

     Call       1/15/16      USD         100.00         53         (292

Cimarex Energy Co.

     Call       1/15/16      USD         125.00         191         (8,595

ConocoPhillips

     Call       1/15/16      USD         55.00         897         (2,691

Encana Corp.

     Call       1/15/16      CAD         10.00         530         (2,298

Encana Corp.

     Call       1/15/16      CAD         13.00         1,700         (7,372

Energen Corp.

     Call       1/15/16      USD         60.00         175         (9,625

EOG Resources, Inc.

     Call       1/15/16      USD         85.00         100         (2,000

Exxon Mobil Corp.

     Call       1/15/16      USD         82.50         549         (6,588

Halliburton Co.

     Call       1/15/16      USD         40.00         513         (1,539

Hess Corp.

     Call       1/15/16      USD         62.50         200         (4,200

Kosmos Energy Ltd.

     Call       1/15/16      USD         7.50         600         (6,000

Laredo Petroleum, Inc.

     Call       1/15/16      USD         14.00         526         (2,630

Marathon Oil Corp.

     Call       1/15/16      USD         16.00         875         (3,500

Noble Energy, Inc.

     Call       1/15/16      USD         40.00         500         (2,500

Occidental Petroleum Corp.

     Call       1/15/16      USD         72.50         467         (11,675

Pioneer Natural Resources Co.

     Call       1/15/16      USD         145.00         10         (250

Royal Dutch Shell PLC, A Shares — ADR

     Call       1/15/16      USD         52.50         850         (4,250

Chevron Corp.

     Call       1/22/16      USD         91.00         350         (71,575

ConocoPhillips

     Call       1/22/16      USD         50.00         415         (20,542

EOG Resources, Inc.

     Call       1/22/16      USD         82.00         429         (4,504

Exxon Mobil Corp.

     Call       1/22/16      USD         80.00         478         (38,479

Pioneer Natural Resources Co.

     Call       1/22/16      USD         150.00         264         (13,200

Chevron Corp.

     Call       1/25/16      USD         93.23         325         (53,081

EOG Resources, Inc.

     Call       1/29/16      USD         82.00         430         (8,600

Exxon Mobil Corp.

     Call       1/29/16      USD         78.00         259         (52,188

Exxon Mobil Corp.

     Call       1/29/16      USD         80.00         480         (52,800

Chevron Corp.

     Call       2/05/16      USD         93.00         75         (15,525

Chevron Corp.

     Call       2/19/16      USD         95.00         62         (10,137

Marathon Oil Corp.

     Call       2/19/16      USD         16.00         200         (5,800

Noble Energy, Inc.

     Call       2/19/16      USD         35.00         384         (48,960

Phillips 66

     Call       2/19/16      USD         92.75         441         (14,944

Total

                  $ (511,056
                 

 

 

 

OTC Options Written

 

Description   

Put/

Call

     Counterparty    Expiration
Date
  

Strike

Price

     Contracts      Value  

Royal Dutch Shell PLC, A Shares — ADR

     Call       Deutsche Bank AG    1/04/16      USD         54.00         56,000       $ (1

BG Group PLC

     Call       Deutsche Bank AG    1/07/16      GBP         10.42         53,000         (1,914

Oil Search Ltd.

     Call       Goldman Sachs International    1/07/16      AUD         8.07         364,000         (3

Cairn Energy PLC

     Call       Société Générale    1/08/16      GBP         1.52         22,000         (2,227

BG Group PLC

     Call       Morgan Stanley & Co. International PLC    1/13/16      GBP         10.30         100,000         (13,007

Cairn Energy PLC

     Call       Morgan Stanley & Co. International PLC    1/13/16      GBP         1.59         135,000         (7,092

BP PLC

     Call       Deutsche Bank AG    1/14/16      GBP         3.93         177,000         (220

BP PLC

     Call       Morgan Stanley & Co. International PLC    1/21/16      GBP         3.96         197,000         (694

BG Group PLC

     Call       Deutsche Bank AG    1/27/16      GBP         10.46         129,000         (25,529

BG Group PLC

     Call       Morgan Stanley & Co. International PLC    1/27/16      GBP         9.80         50,000         (34,400

Cairn Energy PLC

     Call       Morgan Stanley & Co. International PLC    1/27/16      GBP         1.58         120,000         (10,589

 

See Notes to Financial Statements.

 

26    ANNUAL REPORT    DECEMBER 31, 2015     


Schedule of Investments (continued)      BlackRock Energy and Resources Trust (BGR)   

 

 

Description   

Put/

Call

     Counterparty    Expiration
Date
  

Strike

Price

     Contracts      Value  

Oil Search Ltd.

     Call       Citibank N.A.    1/27/16      AUD         6.16         20,000       $ (8,749

Royal Dutch Shell PLC, A Shares — ADR

     Call       Deutsche Bank AG    1/27/16      USD         51.70         88,000         (11,743

BP PLC

     Call       Morgan Stanley & Co. International PLC    1/28/16      GBP         3.96         197,000         (1,601

TOTAL SA

     Call       Bank of America N.A.    1/28/16      EUR         45.80         66,000         (4,982

BP PLC

     Call       UBS AG    2/03/16      GBP         3.66         702,000         (63,664

BG Group PLC

     Call       Morgan Stanley & Co. International PLC    2/04/16      GBP         10.47         50,000         (17,409

Cairn Energy PLC

     Call       Goldman Sachs International    2/04/16      GBP         1.58         120,000         (11,034

Royal Dutch Shell PLC, A Shares — ADR

     Call       UBS AG    2/05/16      USD         50.49         90,000         (35,359

Oil Search Ltd.

     Call       UBS AG    2/09/16      AUD         8.29         200,000         (779

TOTAL SA

     Call       Deutsche Bank AG    2/09/16      EUR         43.36         44,000         (35,915

BG Group PLC

     Call       Deutsche Bank AG    2/10/16      GBP         10.68         100,000         (32,169

Cairn Energy PLC

     Call       Morgan Stanley & Co. International PLC    2/10/16      GBP         1.43         195,600         (47,653

Cairn Energy PLC

     Call       Morgan Stanley & Co. International PLC    2/18/16      GBP         1.53         75,000         (11,249

Cairn Energy PLC

     Call       Morgan Stanley & Co. International PLC    2/23/16      GBP         1.43         130,000         (32,689

Cairn Energy PLC

     Call       Morgan Stanley & Co. International PLC    3/01/16      GBP         1.45         60,000         (15,079

Total

                     $ (425,750
                    

 

 

 

 

      Transactions in Options Written for the Year Ended December 31, 2015

 

      Calls           Puts  
      Contracts     Premiums
Received
         Contracts      Premiums
Received
 

Outstanding options at beginning of year

     2,108,370      $ 2,703,505                     

Options written

     25,936,847        29,429,686                     

Options expired

     (16,988,135     (17,055,228                  

Options closed

     (7,501,643     (11,779,540                  

Options exercised

     (261     (18,468                  
  

 

 

      

 

 

 

Outstanding options at end of year

     3,555,178      $ 3,279,955                     
  

 

 

      

 

 

 

As of period end, the value of portfolio securities subject to covered call options written was $100,825,896.

 

      Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments were as follows:

 

            Commodity
Contracts
  

Credit

Contracts

  

Equity

Contracts

  

Foreign

Currency
Exchange
Contracts

  

Interest

Rate

Contracts

   Total

Liabilities - Derivative Financial Instruments

                             

Options written

   Options written, at value          $936,806          $936,806

For the year ended December 31, 2015, the effect of derivative financial instruments in the Statements of Operations was as follow:

 

      Commodity
Contracts
   Credit
Contracts
   Equity
Contracts
   Foreign
Currency
Exchange
Contracts
  

Interest

Rate
Contracts

   Total

Net Realized Gain (Loss) from:

                 

Options written

         $9,459,631          $9,459,631
  

 

Net Change in Unrealized Appreciation (Depreciation) on:

                 

Options written

         $1,214,201          $1,214,201
  

 

 

See Notes to Financial Statements.

 

     ANNUAL REPORT    DECEMBER 31, 2015    27


Schedule of Investments (continued)      BlackRock Energy and Resources Trust (BGR)   

 

      Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Options:

        

Average value of option contracts written

   $ 1,449,649   

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

     —           $ 936,806   
  

 

 

 

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

     —             (511,056
  

 

 

 

Total derivative assets and liabilities subject to an MNA

     —           $ 425,750   
  

 

 

 

The following table presents the Trust’s derivative liabilities by counterparty net of amounts available for offset under an Master Netting Agreement (“MNA”) and net of the related collateral pledged by the Trust:

 

      Gross Amounts Not Offset in the Consolidated Statements of Assets and Liabilities
and Subject to an MNA
Counterparty    Derivative Liabilities
Subject to an MNA by
Counterparty
   Derivatives Available
for Offset
   Non-cash
Collateral
Pledged1
  Cash
Collateral
Pledged
   Net Amount of
Derivative Liabilities2

Bank of America N.A.

     $ 4,982                                  $ 4,982  

Citibank N.A.

       8,749                                    8,749  

Deutsche Bank AG

       107,491                 $ (107,491 )                 

Goldman Sachs International

       11,037                   (11,037 )                 

Morgan Stanley & Co. International PLC

       191,462                   (191,462 )                 

Société Générale

       2,227                                    2,227  

UBS AG

       99,802                   (99,802 )                 

Total

     $ 425,750                 $ (409,792 )              $ 15,958  

 

  1   

Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes.

 

  2   

Net amount represents the net amount payable due to the counterparty in the event of default. Net Amount may be offset further by net 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:

         

Energy Equipment & Services

   $ 29,233,300                     $ 29,233,300   

Oil, Gas & Consumable Fuels

     318,882,235      $ 67,023,921                385,906,156   

Short-Term Securities.

     5,394,590        944,554                6,339,144   
  

 

 

 

Total

   $ 353,510,125      $ 67,968,475              $ 421,478,600   
  

 

 

 
         
      Level 1     Level 2     Level 3      Total  

Derivative Financial Instruments1

         

Liabilities:

         

Equity contracts

   $ (441,700   $ (495,106           $ (936,806
  

 

 

 

 

  1   

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

 

See Notes to Financial Statements.

 

28    ANNUAL REPORT    DECEMBER 31, 2015     


Schedule of Investments (concluded)    BlackRock Energy and Resources Trust (BGR)

 

The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statements purposes. As of period end, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

 

      Level 1      Level 2     Level 3      Total  

Assets:

          

Foreign currency at value

   $ 49,322                      $ 49,322   

Liabilities:

          

Collateral on securities loaned at value

           $ (944,554             (944,554
  

 

 

 

Total

   $ 49,322       $ (944,554           $ (895,232
  

 

 

 

During the year ended December 31, 2015, there were no transfers between levels.

 

See Notes to Financial Statements.

 

     ANNUAL REPORT    DECEMBER 31, 2015    29


Schedule of Investments December 31, 2015      BlackRock Enhanced Capital and Income Fund, Inc. (CII)   
     (Percentages shown are based on Net Assets)   

 

Common Stocks    Shares      Value  

Aerospace & Defense — 1.3%

     

Raytheon Co. (a)

     67,400       $ 8,393,322   

Air Freight & Logistics — 1.2%

     

FedEx Corp. (a)

     55,951         8,336,140   

Airlines — 2.0%

     

Delta Air Lines, Inc. (a)

     27,200         1,378,768   

Southwest Airlines Co. (a)

     217,913         9,383,334   

United Continental Holdings, Inc. (a)(b)

     43,300         2,481,090   
     

 

 

 
                13,243,192   

Auto Components — 2.3%

     

Goodyear Tire & Rubber Co. (a)

     122,900         4,015,143   

Lear Corp. (a)

     90,100         11,066,983   
     

 

 

 
                15,082,126   

Banks — 11.8%

     

Bank of America Corp. (a)

     924,688         15,562,499   

Citigroup, Inc. (a)

     313,487         16,222,952   

JPMorgan Chase & Co. (a)

     328,855         21,714,296   

SunTrust Banks, Inc. (a)

     228,420         9,785,513   

U.S. Bancorp. (a)

     367,915         15,698,933   
     

 

 

 
                78,984,193   

Beverages — 2.3%

     

Dr. Pepper Snapple Group, Inc. (a)

     99,200         9,245,440   

Molson Coors Brewing Co., Class B

     62,870         5,904,750   
     

 

 

 
                15,150,190   

Biotechnology — 2.8%

     

Amgen, Inc. (a)

     82,470         13,387,355   

Gilead Sciences, Inc. (a)

     55,800         5,646,402   
     

 

 

 
                19,033,757   

Building Products — 0.5%

     

Owens Corning (a)

     76,800         3,611,904   

Capital Markets — 1.8%

     

Goldman Sachs Group, Inc. (a)

     65,023         11,719,095   

Chemicals — 1.5%

     

Dow Chemical Co. (a)

     89,502         4,607,563   

Eastman Chemical Co. (a)

     76,950         5,194,896   
     

 

 

 
                9,802,459   

Communications Equipment — 2.9%

     

Brocade Communications Systems, Inc. (a)

     466,701         4,284,315   

Cisco Systems, Inc. (a)

     554,922         15,068,907   
     

 

 

 
                19,353,222   

Construction & Engineering — 0.9%

     

AECOM (a)(b)

     208,100         6,249,243   

Consumer Finance — 0.6%

     

SLM Corp. (b)

     626,546         4,085,080   

Containers & Packaging — 0.5%

     

Packaging Corp. of America

     54,943         3,464,156   

Electronic Equipment, Instruments &
Components — 0.8%

     

CDW Corp. (a)

     102,480         4,308,259   

Zebra Technologies Corp., Class A (b)

     15,421         1,074,073   
     

 

 

 
                5,382,332   

Energy Equipment & Services — 2.2%

     

Atwood Oceanics, Inc. (a)

     170,135         1,740,481   

Schlumberger Ltd. (a)

     160,699         11,208,755   

Weatherford International PLC (b)

     177,445         1,488,764   
     

 

 

 
                14,438,000   

Food & Staples Retailing — 2.8%

     

CVS Health Corp. (a)

     180,087         17,607,106   
Common Stocks    Shares      Value  

Food & Staples Retailing (continued)

     

Kroger Co. (a)

     20,488       $ 857,013   
     

 

 

 
                18,464,119   

Food Products — 1.1%

     

Pilgrim’s Pride Corp. (a)

     55,778         1,232,136   

Tyson Foods, Inc., Class A (a)

     118,486         6,318,858   
     

 

 

 
                7,550,994   

Health Care Equipment & Supplies — 0.1%

     

Medtronic PLC (a)

     9,540         733,817   

Health Care Providers & Services — 11.9%

     

Aetna, Inc. (a)

     142,808         15,440,401   

Centene Corp. (a)(b)

     110,000         7,239,100   

Cigna Corp. (a)

     104,200         15,247,586   

Humana, Inc. (a)

     37,418         6,679,487   

Laboratory Corp. of America Holdings (a)(b)

     60,789         7,515,952   

McKesson Corp. (a)

     36,411         7,181,342   

UnitedHealth Group, Inc. (a)

     118,520         13,942,693   

Universal Health Services, Inc., Class B (a)

     50,590         6,044,999   
     

 

 

 
                79,291,560   

Hotels, Restaurants & Leisure — 2.4%

     

Carnival Corp. (a)

     269,468         14,680,617   

Las Vegas Sands Corp. (a)

     33,660         1,475,654   
     

 

 

 
                16,156,271   

Household Durables — 1.3%

     

DR Horton, Inc. (a)

     93,648         2,999,545   

Lennar Corp., Class A (a)

     53,320         2,607,881   

NVR, Inc. (b)

     942         1,547,706   

Toll Brothers, Inc. (a)(b)

     44,277         1,474,424   
     

 

 

 
                8,629,556   

Industrial Conglomerates — 0.4%

     

3M Co. (a)

     16,029         2,414,609   

Insurance — 3.0%

     

American International Group, Inc. (a)

     196,050         12,149,220   

Travelers Cos., Inc. (a)

     68,048         7,679,897   
     

 

 

 
                19,829,117   

Internet & Catalog Retail — 1.0%

     

Priceline Group, Inc. (a)(b)

     5,344         6,813,333   

Internet Software & Services — 5.0%

     

Alphabet, Inc., Class A (a)(b)

     31,322         24,368,829   

Facebook, Inc., Class A (a)(b)

     85,393         8,937,231   
     

 

 

 
                33,306,060   

IT Services — 4.6%

     

Amdocs Ltd. (a)

     101,791         5,554,735   

Cognizant Technology Solutions Corp., Class A (a)(b)

     171,934         10,319,479   

DST Systems, Inc. (a)

     25,936         2,958,260   

MasterCard, Inc., Class A (a)

     75,053         7,307,160   

Total System Services, Inc.

     87,578         4,361,384   
     

 

 

 
                30,501,018   

Media — 3.9%

     

Comcast Corp., Class A (a)

     315,605         17,809,590   

Omnicom Group, Inc. (a)

     63,313         4,790,262   

Viacom, Inc., Class B

     81,600         3,358,656   
     

 

 

 
                25,958,508   

Multi-Utilities — 0.8%

     

Public Service Enterprise Group, Inc. (a)

     142,511         5,513,751   

Oil, Gas & Consumable Fuels — 3.1%

     

BP PLC - ADR (a)

     202,730         6,337,340   
 

 

See Notes to Financial Statements.

 

30    ANNUAL REPORT    DECEMBER 31, 2015     


Schedule of Investments (continued)      BlackRock Enhanced Capital and Income Fund, Inc. (CII)   

 

Common Stocks    Shares      Value  

Oil, Gas & Consumable Fuels (continued)

     

Exxon Mobil Corp. (a)(c)

     5,126       $ 399,572   

Hess Corp.

     19,609         950,644   

PBF Energy, Inc., Class A

     27,626         1,016,913   

Suncor Energy, Inc. (a)

     272,955         7,042,239   

Tesoro Corp. (a)

     21,044         2,217,406   

Valero Energy Corp. (a)

     40,900         2,892,039   
     

 

 

 
                20,856,153   

Paper & Forest Products — 0.5%

     

Domtar Corp.

     88,885         3,284,301   

Pharmaceuticals — 3.0%

     

Allergan PLC (a)(b)

     14,100         4,406,250   

Johnson & Johnson (a)

     14,100         1,448,352   

Merck & Co., Inc. (a)

     4,075         215,239   

Pfizer, Inc. (a)

     21,781         703,091   

Teva Pharmaceutical Industries Ltd. — ADR (a)

     201,710         13,240,244   
     

 

 

 
                20,013,176   

Semiconductors & Semiconductor Equipment — 1.9%

     

Intel Corp. (a)

     116,655         4,018,765   

Micron Technology, Inc. (a)(b)

     355,100         5,028,216   

NVIDIA Corp. (a)

     114,700         3,780,512   
     

 

 

 
                12,827,493   

Software — 3.9%

     

Activision Blizzard, Inc. (a)

     238,340         9,226,141   

Microsoft Corp. (a)(c)

     228,284         12,665,196   

Oracle Corp. (a)

     119,625         4,369,901   
     

 

 

 
                26,261,238   

Specialty Retail — 5.9%

     

Home Depot, Inc. (a)

     124,049         16,405,480   

Lowe’s Cos., Inc. (a)

     221,049         16,808,566   

Ross Stores, Inc. (a)

     110,390         5,940,086   
     

 

 

 
                39,154,132   

Technology Hardware, Storage & Peripherals — 3.7%

     

Apple, Inc. (a)

     144,567         15,217,122   

EMC Corp. (a)

     80,972         2,079,361   

Western Digital Corp. (a)

     118,510         7,116,526   
     

 

 

 
                24,413,009   

Textiles, Apparel & Luxury Goods — 0.2%

     

Fossil Group, Inc. (a)(b)

     31,495         1,151,457   
Common Stocks    Shares      Value  

Tobacco — 2.0%

     

Altria Group, Inc. (a)

     230,785       $ 13,433,995   

Total Common Stocks — 97.9%

              652,886,078   
     
     
Investment Companies                

Investment Companies — 0.4%

     

Utilities Select Sector SPDR Fund

     56,700         2,453,976   

Total Long-Term Investments

(Cost — $670,122,983) — 98.3%

              655,340,054   
     
     
Short-Term Securities                
Money Market Funds                

BlackRock Liquidity Funds, TempFund, Institutional Class, 0.23% (d)(e)

     15,619,710         15,619,710   
Time Deposits   

Par  

(000)

         

Brown Brothers Harriman & Co., 0.25%, 1/04/16

   $ 320         320,338   

Total Short-Term Securities

(Cost — $15,940,048) — 2.4%

              15,940,048   
     
     
Options Purchased                

(Cost — $607) — 0.0%

  

     550   

Total Investments Before Options Written

(Cost — $686,063,638) — 100.7%

  

  

     671,280,652   
     
     
Options Written                

(Premiums Received — $6,490,809) — (0.7)%

  

     (4,940,591

Total Investments Net of Options Written — 100.0%

  

     666,340,061   

Other Assets Less Liabilities — 0.0%

  

     152,020   
     

 

 

 

Net Assets — 100.0%

  

   $ 666,492,081   
     

 

 

 
 

 

      Notes to Schedule of Investments

 

(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 security has been pledged as collateral in connection with outstanding OTC derivatives.

 

(d) Current yield as of period end.

 

(e) During the year ended December 31, 2015, 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/
Beneficial Interest
Held at
December 31,
2014
    

Net

Activity

    Shares
Held at
December 31,
2015
     Income     Realized
Gain
 

BlackRock Liquidity Funds, TempFund, Institutional Class

     1,879,452         13,740,258        15,619,710       $ 28,344      $ 580   

BlackRock Liquidity Series, LLC Money Market Series

   $ 673,750       $ (673,750           $ 10,468 1        

 

  1   

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.

 

See Notes to Financial Statements.

 

     ANNUAL REPORT    DECEMBER 31, 2015    31


Schedule of Investments (continued)    BlackRock Enhanced Capital and Income Fund, Inc. (CII)

 

 

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 advisor. These definitions may not apply for purposes of this report, which may combine industry sub-classifications for reporting ease.

 

      Derivative Financial Instruments Outstanding as of Period End

 

Exchange-Traded Options Purchased

                 
Description   

Put/

Call

     Expiration
Date
  

Market

Value

     Contracts      Value  

Toll Brothers, Inc.

     Call       1/15/16      USD         38.00         55       $ 550   

Exchange-Traded Options Written

                 
Description    Put/
Call
     Expiration
Date
  

Strike

Price

     Contracts      Value  

Omnicom Group, Inc.

     Call       1/04/16      USD         76.00         46       $ (2,124

Public Service Enterprise Group, Inc.

     Call       1/04/16      USD         40.90         180         (46

CDW Corp.

     Call       1/05/16      USD         46.01         210         (7

3M Co.

     Call       1/08/16      USD         157.50         105         (1,260

Activision Blizzard, Inc.

     Call       1/08/16      USD         40.00         243         (3,402

Allergan PLC

     Call       1/08/16      USD         317.50         27         (4,995

Alphabet, Inc., Class A

     Call       1/08/16      USD         785.00         110         (63,250

Altria Group, Inc.

     Call       1/08/16      USD         58.50         238         (9,877

American International Group, Inc.

     Call       1/08/16      USD         64.50         400         (2,600

Amgen, Inc.

     Call       1/08/16      USD         162.50         140         (27,650

Bank of America Corp.

     Call       1/08/16      USD         18.00         220         (330

Cisco Systems, Inc.

     Call       1/08/16      USD         27.50         410         (3,485

Citigroup, Inc.

     Call       1/08/16      USD         54.50         178         (356

Citigroup, Inc.

     Call       1/08/16      USD         55.00         79         (237

Cognizant Technology Solutions Corp., Class A

     Call       1/08/16      USD         63.50         250         (3,750

Comcast Corp., Class A

     Call       1/08/16      USD         61.50         360         (1,080

CVS Health Corp.

     Call       1/08/16      USD         96.50         389         (77,411

DR Horton, Inc.

     Call       1/08/16      USD         33.50         249         (2,241

Exxon Mobil Corp.

     Call       1/08/16      USD         82.01         47         (199

FedEx Corp.

     Call       1/08/16      USD         160.00         145         (145

Humana, Inc.

     Call       1/08/16      USD         177.50         93         (29,062

Intel Corp.

     Call       1/08/16      USD         35.50         136         (884

JPMorgan Chase & Co.

     Call       1/08/16      USD         67.00         100         (1,950

MasterCard, Inc., Class A

     Call       1/08/16      USD         97.50         27         (2,511

Merck & Co., Inc.

     Call       1/08/16      USD         54.01         10         (301

Microsoft Corp.

     Call       1/08/16      USD         57.00         226         (2,373

NVIDIA Corp.

     Call       1/08/16      USD         34.00         87         (3,045

Pfizer, Inc.

     Call       1/08/16      USD         34.00         17         (34

Priceline Group, Inc.

     Call       1/08/16      USD         1,317.50         12         (2,700

Schlumberger Ltd.

     Call       1/08/16      USD         78.00         303         (1,515

Southwest Airlines Co.

     Call       1/08/16      USD         47.50         290         (14,500

Southwest Airlines Co.

     Call       1/08/16      USD         50.50         100         (5,000

Teva Pharmaceutical Industries Ltd. — ADR

     Call       1/08/16      USD         63.00         73         (20,367

Teva Pharmaceutical Industries Ltd. — ADR

     Call       1/08/16      USD         66.50         208         (7,176

Utilities Select Sector SPDR Fund

     Call       1/08/16      USD         43.00         280         (14,840

Valero Energy Corp.

     Call       1/08/16      USD         74.50         110         (1,540

Western Digital Corp.

     Call       1/08/16      USD         69.50         296         (3,256

Activision Blizzard, Inc.

     Call       1/15/16      USD         39.00         610         (42,090

Aetna, Inc.

     Call       1/15/16      USD         110.00         208         (27,352

Altria Group, Inc.

     Call       1/15/16      USD         57.50         234         (28,899

Amdocs Ltd.

     Call       1/15/16      USD         57.50         255         (8,925

American International Group, Inc.

     Call       1/15/16      USD         62.50         580         (44,370

Amgen, Inc.

     Call       1/15/16      USD         160.00         98         (45,815

Atwood Oceanics, Inc.

     Call       1/15/16      USD         12.50         212         (3,180

Bank of America Corp.

     Call       1/15/16      USD         18.00         714         (3,213

Carnival Corp.

     Call       1/15/16      USD         55.00         285         (22,800

CDW Corp.

     Call       1/15/16      USD         45.00         303         (3,030

Centene Corp.

     Call       1/15/16      USD         62.50         275         (118,250

Centene Corp.

     Call       1/15/16      USD         65.00         275         (60,500

Cigna Corp.

     Call       1/15/16      USD         135.00         380         (478,800

 

See Notes to Financial Statements.

 

32    ANNUAL REPORT    DECEMBER 31, 2015     


Schedule of Investments (continued)    BlackRock Enhanced Capital and Income Fund, Inc. (CII)

 

Description    Put/
Call
     Expiration
Date
  

Strike

Price

     Contracts      Value  

Cigna Corp.

     Call       1/15/16      USD         145.00         141       $ (59,150

Cisco Systems, Inc.

     Call       1/15/16      USD         27.00         120         (4,800

Citigroup, Inc.

     Call       1/15/16      USD         55.00         160         (2,000

Cognizant Technology Solutions Corp., Class A

     Call       1/15/16      USD         68.50         100         (88

CVS Health Corp.

     Call       1/15/16      USD         95.00         275         (96,250

Delta Air Lines, Inc.

     Call       1/15/16      USD         50.00         135         (21,532

DR Horton, Inc.

     Call       1/15/16      USD         33.00         119         (3,570

Eastman Chemical Co.

     Call       1/15/16      USD         72.50         102         (1,530

Eastman Chemical Co.

     Call       1/15/16      USD         75.00         117         (1,170

EMC Corp.

     Call       1/15/16      USD         27.00         242         (1,331

Facebook, Inc., Class A

     Call       1/15/16      USD         115.00         153         (842

FedEx Corp.

     Call       1/15/16      USD         150.00         134         (28,609

Fossil Group, Inc.

     Call       1/15/16      USD         39.50         78         (2,535

Gilead Sciences, Inc.

     Call       1/15/16      USD         105.00         120         (6,540

Goldman Sachs Group, Inc.

     Call       1/15/16      USD         190.00         241         (11,086

Home Depot, Inc.

     Call       1/15/16      USD         135.00         310         (18,445

Humana, Inc.

     Call       1/15/16      USD         175.00         93         (47,895

Intel Corp.

     Call       1/15/16      USD         35.00         334         (18,203

Johnson & Johnson

     Call       1/15/16      USD         105.00         60         (1,590

JPMorgan Chase & Co.

     Call       1/15/16      USD         69.01         144         (3,363

Kroger Co.

     Call       1/15/16      USD         41.25         13         (1,365

Kroger Co.

     Call       1/15/16      USD         42.50         13         (520

Laboratory Corp. of America Holdings

     Call       1/15/16      USD         125.00         310         (43,400

Las Vegas Sands Corp.

     Call       1/15/16      USD         47.50         104         (1,872

Lear Corp.

     Call       1/15/16      USD         125.00         249         (36,105

Lennar Corp., Class A

     Call       1/15/16      USD         50.00         133         (7,648

Lowe’s Cos., Inc.

     Call       1/15/16      USD         75.00         86         (15,093

MasterCard, Inc., Class A

     Call       1/15/16      USD         100.00         160         (6,720

McKesson Corp.

     Call       1/15/16      USD         190.00         182         (161,980

Medtronic PLC

     Call       1/15/16      USD         77.50         15         (1,118

Microsoft Corp.

     Call       1/15/16      USD         53.60         262         (56,853

Microsoft Corp.

     Call       1/15/16      USD         55.00         446         (49,729

NVIDIA Corp.

     Call       1/15/16      USD         34.00         200         (10,200

Omnicom Group, Inc.

     Call       1/15/16      USD         75.00         93         (14,415

Owens Corning

     Call       1/15/16      USD         50.00         194         (2,907

Pfizer, Inc.

     Call       1/15/16      USD         34.00         10         (25

Pilgrim’s Pride Corp.

     Call       1/15/16      USD         21.00         140         (19,950

Pilgrim’s Pride Corp.

     Call       1/15/16      USD         22.00         140         (9,100

Priceline Group, Inc.

     Call       1/15/16      USD         1,320.00         7         (4,060

Raytheon Co.

     Call       1/15/16      USD         130.00         82         (1,804

Ross Stores, Inc.

     Call       1/15/16      USD         52.50         210         (43,050

Ross Stores, Inc.

     Call       1/15/16      USD         55.00         210         (13,125

Southwest Airlines Co.

     Call       1/15/16      USD         47.00         70         (1,400

Southwest Airlines Co.

     Call       1/15/16      USD         49.00         630         (3,150

SunTrust Banks, Inc.

     Call       1/15/16      USD         44.00         198         (6,138

SunTrust Banks, Inc.

     Call       1/15/16      USD         45.00         236         (2,714

Tesoro Corp.

     Call       1/15/16      USD         120.00         53         (980

Teva Pharmaceutical Industries Ltd. — ADR

     Call       1/15/16      USD         62.50         284         (100,110

Toll Brothers, Inc.

     Call       1/15/16      USD         39.00         110         (1,100

Travelers Cos., Inc.

     Call       1/15/16      USD         115.00         253         (15,180

Tyson Foods, Inc., Class A

     Call       1/15/16      USD         50.00         70         (26,600

U.S. Bancorp.

     Call       1/15/16      USD         44.00         246         (5,043

United Continental Holdings, Inc.

     Call       1/15/16      USD         60.00         121         (6,292

UnitedHealth Group, Inc.

     Call       1/15/16      USD         120.00         297         (30,146

Universal Health Services, Inc., Class B

     Call       1/15/16      USD         135.00         95         (2,850

Aetna, Inc.

     Call       1/22/16      USD         109.00         169         (36,927

Alphabet, Inc., Class A

     Call       1/22/16      USD         785.00         28         (40,040

Altria Group, Inc.

     Call       1/22/16      USD         58.00         550         (58,300

Amgen, Inc.

     Call       1/22/16      USD         165.00         100         (25,050

Apple, Inc.

     Call       1/22/16      USD         120.00         344         (2,064

Bank of America Corp.

     Call       1/22/16      USD         18.00         713         (7,130

Cisco Systems, Inc.

     Call       1/22/16      USD         27.50         348         (8,874

Citigroup, Inc.

     Call       1/22/16      USD         55.50         280         (3,780

Citigroup, Inc.

     Call       1/22/16      USD         56.00         80         (840

 

See Notes to Financial Statements.

 

     ANNUAL REPORT    DECEMBER 31, 2015    33


Schedule of Investments (continued)    BlackRock Enhanced Capital and Income Fund, Inc. (CII)

 

Description    Put/
Call
     Expiration
Date
  

Strike

Price

     Contracts      Value  

Comcast Corp., Class A

     Call       1/22/16      USD         61.00         360       $ (2,340

CVS Health Corp.

     Call       1/22/16      USD         97.00         112         (24,752

Dow Chemical Co.

     Call       1/22/16      USD         56.00         93         (2,046

DR Horton, Inc.

     Call       1/22/16      USD         32.50         100         (6,200

Goodyear Tire & Rubber Co.

     Call       1/22/16      USD         33.50         200         (9,000

Intel Corp.

     Call       1/22/16      USD         35.50         86         (3,612

JPMorgan Chase & Co.

     Call       1/22/16      USD         68.50         400         (12,600

MasterCard, Inc., Class A

     Call       1/22/16      USD         99.50         25         (2,050

Medtronic PLC

     Call       1/22/16      USD         78.00         10         (705

Medtronic PLC

     Call       1/22/16      USD         78.50         6         (321

Merck & Co., Inc.

     Call       1/22/16      USD         54.00         5         (205

Micron Technology, Inc.

     Call       1/22/16      USD         16.00         445         (4,005

Microsoft Corp.

     Call       1/22/16      USD         56.00         206         (15,862

Oracle Corp.

     Call       1/22/16      USD         37.50         375         (8,813

Pfizer, Inc.

     Call       1/22/16      USD         33.00         20         (450

U.S. Bancorp.

     Call       1/22/16      USD         44.50         210         (3,780

Valero Energy Corp.

     Call       1/22/16      USD         75.00         110         (6,765

Cognizant Technology Solutions Corp., Class A

     Call       1/25/16      USD         66.10         220         (3,821

Tyson Foods, Inc., Class A

     Call       1/25/16      USD         52.00         234         (52,444

U.S. Bancorp.

     Call       1/28/16      USD         44.25         285         (11,812

Activision Blizzard, Inc.

     Call       1/29/16      USD         39.00         100         (10,250

Aetna, Inc.

     Call       1/29/16      USD         111.00         169         (29,237

Aetna, Inc.

     Call       1/29/16      USD         113.00         168         (19,068

Altria Group, Inc.

     Call       1/29/16      USD         59.00         131         (9,825

Apple, Inc.

     Call       1/29/16      USD         111.00         377         (58,812

Bank of America Corp.

     Call       1/29/16      USD         18.00         1,825         (23,725

BP PLC — ADR

     Call       1/29/16      USD         31.50         150         (12,825

Cisco Systems, Inc.

     Call       1/29/16      USD         27.00         622         (35,143

Comcast Corp., Class A

     Call       1/29/16      USD         58.00         429         (25,097

Dow Chemical Co.

     Call       1/29/16      USD         54.00         177         (9,912

Facebook, Inc., Class A

     Call       1/29/16      USD         109.00         152         (26,220

Goodyear Tire & Rubber Co.

     Call       1/29/16      USD         33.00         220         (17,050

Johnson & Johnson

     Call       1/29/16      USD         105.00         10         (700

JPMorgan Chase & Co.

     Call       1/29/16      USD         67.50         220         (15,730

Lowe’s Cos., Inc.

     Call       1/29/16      USD         76.00         86         (13,599

Medtronic PLC

     Call       1/29/16      USD         78.00         11         (1,006

Medtronic PLC

     Call       1/29/16      USD         78.50         3         (214

Oracle Corp.

     Call       1/29/16      USD         37.00         2         (101

Oracle Corp.

     Call       1/29/16      USD         39.00         221         (1,768

Pfizer, Inc.

     Call       1/29/16      USD         33.00         20         (590

Suncor Energy, Inc.

     Call       1/29/16      USD         27.50         205         (4,408

SunTrust Banks, Inc.

     Call       1/29/16      USD         44.51         472         (19,854

Tesoro Corp.

     Call       1/29/16      USD         113.00         53         (8,374

Teva Pharmaceutical Industries Ltd. — ADR

     Call       1/29/16      USD         66.50         234         (25,389

United Continental Holdings, Inc.

     Call       1/29/16      USD         61.50         96         (7,200

UnitedHealth Group, Inc.

     Call       1/29/16      USD         120.00         297         (66,825

SunTrust Banks, Inc.

     Call       2/01/16      USD         43.50         236         (21,419

Activision Blizzard, Inc.

     Call       2/05/16      USD         40.50         240         (23,400

Citigroup, Inc.

     Call       2/05/16      USD         55.00         295         (10,915

CVS Health Corp.

     Call       2/05/16      USD         99.50         125         (17,188

Facebook, Inc., Class A

     Call       2/05/16      USD         109.00         121         (28,556

Merck & Co., Inc.

     Call       2/05/16      USD         53.50         5         (505

Raytheon Co.

     Call       2/05/16      USD         127.00         40         (7,860

Omnicom Group, Inc.

     Call       2/10/16      USD         75.01         177         (43,755

Tyson Foods, Inc., Class A

     Call       2/11/16      USD         53.85         221         (38,222

Intel Corp.

     Call       2/12/16      USD         35.50         28         (1,750

JPMorgan Chase & Co.

     Call       2/12/16      USD         69.00         555         (30,803

Travelers Cos., Inc.

     Call       2/17/16      USD         113.30         87         (22,864

AECOM

     Call       2/19/16      USD         30.00         125         (18,125

AECOM

     Call       2/19/16      USD         32.50         127         (6,350

Allergan PLC

     Call       2/19/16      USD         320.00         40         (31,600

Amgen, Inc.

     Call       2/19/16      USD         165.00         75         (36,000

Atwood Oceanics, Inc.

     Call       2/19/16      USD         12.50         212         (6,890

Bank of America Corp.

     Call       2/19/16      USD         18.00         1,148         (29,274

 

See Notes to Financial Statements.

 

34    ANNUAL REPORT    DECEMBER 31, 2015     


Schedule of Investments (continued)      BlackRock Enhanced Capital and Income Fund, Inc. (CII)   

 

Description    Put/
Call
     Expiration
Date
  

Strike

Price

     Contracts      Value  

Brocade Communications Systems, Inc.

     Call       2/19/16      USD         9.00         1,166       $ (60,049

Cisco Systems, Inc.

     Call       2/19/16      USD         28.00         348         (17,400

Citigroup, Inc.

     Call       2/19/16      USD         55.00         247         (13,215

Comcast Corp., Class A

     Call       2/19/16      USD         60.00         429         (23,381

Dow Chemical Co.

     Call       2/19/16      USD         55.00         177         (13,983

Dr. Pepper Snapple Group, Inc.

     Call       2/19/16      USD         90.00         310         (159,650

DST Systems, Inc.

     Call       2/19/16      USD         120.00         130         (24,050

EMC Corp.

     Call       2/19/16      USD         26.00         165         (11,468

Gilead Sciences, Inc.

     Call       2/19/16      USD         105.00         160         (36,960

Home Depot, Inc.

     Call       2/19/16      USD         135.00         310         (62,620

JPMorgan Chase & Co.

     Call       2/19/16      USD         67.50         220         (24,750

NVIDIA Corp.

     Call       2/19/16      USD         34.00         287         (41,328

Owens Corning

     Call       2/19/16      USD         49.00         190         (20,900

Raytheon Co.

     Call       2/19/16      USD         130.00         170         (24,990

Ross Stores, Inc.

     Call       2/19/16      USD         55.00         130         (20,150

U.S. Bancorp.

     Call       2/19/16      USD         44.00         696         (42,804

Total

                  $ (4,006,678
                 

 

 

 

 

OTC Options Written

                    
Description    Put/
Call
   Counterparty    Expiration
Date
  

Strike

Price

     Contracts      Value  

AECOM

   Call    Deutsche Bank AG    1/06/16      USD         31.97         46,000       $ (1,416

Cisco Systems, Inc.

   Call    UBS AG    1/06/16      USD         28.12         92,600         (752

Kroger Co.

   Call    Morgan Stanley & Co. International PLC    1/07/16      USD         36.93         5,000         (24,496

Tyson Foods, Inc., Class A

   Call    Morgan Stanley & Co. International PLC    1/08/16      USD         51.60         6,800         (15,377

Raytheon Co.

   Call    Credit Suisse International    1/11/16      USD         122.19         4,500         (11,525

U.S. Bancorp.

   Call    Citibank N.A.    1/11/16      USD         43.10         40,200         (16,921

Kroger Co.

   Call    Citibank N.A.    1/12/16      USD         37.80         2,600         (10,497

Molson Coors Brewing Co., Class B

   Call    Citibank N.A.    1/12/16      USD         88.10         20,000         (122,182

SLM Corp.

   Call    Credit Suisse International    1/13/16      USD         6.80         103,000         (4,512

Lowe’s Cos., Inc.

   Call    Credit Suisse International    1/20/16      USD         75.83         93,500         (123,653

Domtar Corp.

   Call    Credit Suisse International    1/22/16      USD         41.52         25,000         (625

Carnival Corp.

   Call    Morgan Stanley & Co. International PLC    1/26/16      USD         52.59         60,000         (176,993

Molson Coors Brewing Co., Class B

   Call    JPMorgan Chase Bank N.A.    1/26/16      USD         95.17         11,400         (16,268

PBF Energy, Inc., Class A

   Call    Citibank N.A.    1/26/16      USD         35.64         13,900         (34,524

Teva Pharmaceutical Industries Ltd. — ADR

   Call    Citibank N.A.    1/26/16      USD         64.66         21,000         (43,208

Universal Health Services, Inc., Class B

   Call    Deutsche Bank AG    1/26/16      USD         123.29         6,500         (16,913

Eastman Chemical Co.

   Call    Citibank N.A.    1/27/16      USD         68.78         16,500         (25,439

Total System Services, Inc.

   Call    Deutsche Bank AG    1/27/16      USD         56.91         23,000         (984

Lear Corp.

   Call    Morgan Stanley & Co. International PLC    1/28/16      USD         124.52         20,200         (45,900

Carnival Corp.

   Call    Morgan Stanley & Co. International PLC    1/29/16      USD         53.65         50,000         (103,340

Public Service Enterprise Group, Inc.

   Call    Deutsche Bank AG    2/03/16      USD         40.45         23,900         (7,342

Total System Services, Inc.

   Call    Deutsche Bank AG    2/10/16      USD         55.90         20,700         (4,531

SLM Corp.

   Call    Morgan Stanley & Co. International PLC    2/12/16      USD         6.65         105,000         (24,082

Amdocs Ltd.

   Call    Morgan Stanley & Co. International PLC    2/16/16      USD         55.83         25,500         (28,163

Domtar Corp.

   Call    Credit Suisse International    2/24/16      USD         38.97         25,000         (17,163

Dr. Pepper Snapple Group, Inc.

   Call    Credit Suisse International    2/26/16      USD         93.03         18,500         (57,107

Total

                     $ (933,913
                    

 

 

 

 

See Notes to Financial Statements.

 

     ANNUAL REPORT    DECEMBER 31, 2015    35


Schedule of Investments (continued)      BlackRock Enhanced Capital and Income Fund, Inc. (CII)   

 

      Transactions in Options Written for the Year Ended December 31, 2015

 

       Calls             Puts   
  

 

 

      

 

 

 
       Contracts       
 
Premiums
Received
  
  
       Contracts        
 
Premiums
Received
  
  
         

 

 

 

Outstanding options at beginning of year

     1,628,393      $ 6,426,875                     

Options written

     8,592,991        61,519,687                     

Options expired

     (4,125,872     (18,431,536                  

Options closed

     (4,908,742     (40,415,911                  

Options exercised

     (264,991     (2,608,306                  
  

 

 

      

 

 

 

Outstanding options at end of year

     921,779      $ 6,490,809                     
  

 

 

      

 

 

 

As of period end, the value of portfolio securities subject to covered call options written was $293,444,871.

 

      Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments were as follows:

 

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

Assets - Derivative Financial Instruments

  

                                                      

Options purchased

   Investments at value — unaffiliated1                        $ 550                          $ 550  
  

 

 

Liabilities - Derivative Financial Instruments

  

                                                      

Options written

   Options written, at value                        $ 4,940,591                          $ 4,940,591  
  

 

 

 

  1   

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

For the year ended December 31, 2015, the effect of derivative financial instruments in the Statements of Operations was as follow:

 

      Commodity
Contracts
   Credit
Contracts
   Equity
Contracts
  Foreign
Currency
Exchange
Contracts
  Interest
Rate
Contracts
   Total
Net Realized Gain (Loss) from:                                  

Forward foreign currency exchange contracts

                               $ 7,289,451                $ 7,289,451  

Options purchased1

                       $ (59,358 )                        (59,358 )

Options written

                         2,559,328                          2,559,328  

Total

                       $ 2,499,970       $ 7,289,451                $ 9,789,421  

Net Change in Unrealized Appreciation (Depreciation) on:

                                                               

Forward foreign currency exchange contracts

                               $ (5,112,006 )              $ (5,112,006 )

Options purchased2

                       $ (57 )                        (57 )

Options written

                         2,601,624                          2,601,624  

Total

                       $ 2,601,567       $ (5,112,006 )              $ (2,510,439 )

 

  1   

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

 

  2  

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

 

See Notes to Financial Statements.

 

36    ANNUAL REPORT    DECEMBER 31, 2015     


Schedule of Investments (continued)      BlackRock Enhanced Capital and Income Fund, Inc. (CII)   

 

      Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Forward foreign currency exchange contracts:

        

Average USD amounts purchased

   $ 82,527,637 1 

Average USD amounts sold

   $ 77,136,317 1 

Options:

  

Average value of option contracts purchased

   $ 95,891 1 

Average value of option contracts written

   $ 4,696,779   

 

  1   

Actual amounts for the period are shown due to limited outstanding derivative financial instruments as of each quarter.

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

           $ 550 1       $ 4,940,591   
  

 

 

 

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

           $ (550      $ (4,006,678
  

 

 

 

Total derivative assets and liabilities subject to an MNA

             $ 933,913   
  

 

 

 

 

   1  

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 liabilities by counterparty net of amounts available for offset under an Master Netting Agreement (“MNA”) and net of the related collateral pledged by the Trust:

 

      Gross Amounts Not Offset in the Consolidated  Statements of Assets and Liabilities
and Subject to an MNA
Counterparty    Derivative Liabilities
Subject to an MNA by
Counterparty
   Derivatives Available
for Offset
   Non-cash
Collateral
Pledged1
  Cash
Collateral
Pledged1
  Net Amount of
Derivative Liabilities2

Deutsche Bank AG

     $ 31,186                         $ (31,186 )        

Citibank N.A

       252,771                 $ (194,875 )             $ 57,896  

Credit Suisse International

       214,585                                   214,585  

JPMorgan Chase Bank N.A

       16,268                                   16,268  

Morgan Stanley & Co. International PLC

       418,351                   (160,892 )               257,459  

UBS AG

       752                                   752  

Total

     $ 933,913                 $ (355,767 )     $ (31,186 )     $ 546,960  

 

  1  

Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes.

 

  2  

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

 

See Notes to Financial Statements.

 

     ANNUAL REPORT    DECEMBER 31, 2015    37


Schedule of Investments (concluded)      BlackRock Enhanced Capital and Income Fund, Inc. (CII)   

 

      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 Stocks1

     $ 652,886,078                        $ 652,886,078  

Investment Companies

       2,453,976                          2,453,976  

Short-Term Securities

       15,619,710                          15,619,710  

Time Deposits

             $ 320,338                  320,338  

Options Purchased

       550                          550  
    

 

 

 

Total

     $ 670,960,314       $ 320,338                $ 671,280,652  
    

 

 

 

1    See above Schedule of Investments for values in each industry.

       

                 
      Level 1   Level 2   Level 3    Total

Derivative Financial Instruments2

                 

Liabilities:

                 

Equity contracts

     $ (3,708,047 )     $ (1,232,544 )              $ (4,940,591 )
    

 

 

 

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

       

The Trust may hold assets in which the fair value approximates the carrying amount for financial statements purposes. As of period end, such assets are categorized within the disclosure hierarchy as follows:    
                 
      Level 1   Level 2   Level 3    Total

Assets:

                 

Foreign currency at value

     $ 2,189                        $ 2,189  

Cash pledged as collateral for OTC derivatives

       420,000                          420,000  
    

 

 

 

Total

     $ 422,189                        $ 422,189  
    

 

 

 

During the year ended December 31, 2015, there were no transfers between levels.

 

See Notes to Financial Statements.

 

38    ANNUAL REPORT    DECEMBER 31, 2015     


Schedule of Investments December 31, 2015      BlackRock Enhanced Equity Dividend Trust (BDJ)   
     (Percentages shown are based on Net Assets)   

 

Common Stocks    Shares      Value  

Aerospace & Defense — 7.5%

     

Honeywell International, Inc. (a)

     242,800       $ 25,146,796   

Lockheed Martin Corp. (a)

     117,230         25,456,494   

Northrop Grumman Corp. (a)

     151,200         28,548,072   

Raytheon Co. (a)

     313,500         39,040,155   

United Technologies Corp. (a)

     51,600         4,957,212   
     

 

 

 
                123,148,729   

Air Freight & Logistics — 1.1%

     

United Parcel Service, Class B (a)

     182,900         17,600,467   

Banks — 16.1%

     

Bank of America Corp. (a)

     1,456,600         24,514,578   

Citigroup, Inc. (a)

     972,200         50,311,350   

JPMorgan Chase & Co. (a)(b)

     1,041,499         68,770,179   

SunTrust Banks, Inc. (a)

     672,340         28,803,046   

U.S. Bancorp. (a)

     656,900         28,029,923   

Wells Fargo & Co. (a)(b)

     1,187,700         64,563,372   
     

 

 

 
                264,992,448   

Beverages — 1.9%

     

Coca-Cola Co. (a)

     417,100         17,918,616   

Diageo PLC — ADR (a)

     114,600         12,499,422   
     

 

 

 
                30,418,038   

Biotechnology — 0.6%

     

AbbVie, Inc. (a)

     153,414         9,088,245   

Capital Markets — 2.1%

     

Goldman Sachs Group, Inc. (a)

     69,000         12,435,870   

Invesco Ltd.

     121,960         4,083,221   

Morgan Stanley (a)

     539,500         17,161,495   
     

 

 

 
                33,680,586   

Chemicals — 2.7%

     

Dow Chemical Co. (a)

     288,800         14,867,424   

EI du Pont de Nemours & Co. (a)

     368,300         24,528,780   

Praxair, Inc. (a)

     43,900         4,495,360   
     

 

 

 
                43,891,564   

Commercial Services & Supplies — 0.3%

     

Tyco International PLC (a)

     166,500         5,309,685   

Communications Equipment — 0.8%

     

Motorola Solutions, Inc. (a)

     190,800         13,060,260   

Consumer Finance — 0.4%

     

American Express Co. (a)

     100,600         6,996,730   

Diversified Financial Services — 0.9%

     

CME Group, Inc. (a)

     163,700         14,831,220   

Diversified Telecommunication Services — 2.0%

     

BCE, Inc. (a)

     115,700         4,468,334   

Verizon Communications, Inc. (a)

     628,400         29,044,648   
     

 

 

 
                33,512,982   

Electric Utilities — 2.5%

     

Duke Energy Corp. (a)

     102,400         7,310,336   

Exelon Corp. (a)

     264,700         7,350,719   

ITC Holdings Corp. (a)

     134,000         5,259,500   

NextEra Energy, Inc. (a)

     201,600         20,944,224   
     

 

 

 
                40,864,779   

Electrical Equipment — 0.3%

     

Rockwell Automation, Inc. (a)

     53,400         5,479,374   

Energy Equipment & Services — 0.4%

     

Schlumberger Ltd. (a)

     98,300         6,856,425   

Food & Staples Retailing — 1.5%

     

Kroger Co. (a)

     591,900         24,759,177   
Common Stocks    Shares      Value  

Food Products — 1.0%

     

General Mills, Inc.

     82,600       $ 4,762,716   

Mondelez International, Inc., Class A (a)

     249,485         11,186,907   
     

 

 

 
                15,949,623   

Health Care Equipment & Supplies — 1.1%

     

Abbott Laboratories (a)

     156,800         7,041,888   

Becton Dickinson and Co. (a)

     73,000         11,248,570   
     

 

 

 
                18,290,458   

Health Care Providers & Services — 4.2%

     

Aetna, Inc. (a)

     85,232         9,215,284   

Anthem, Inc. (a)

     138,600         19,326,384   

Quest Diagnostics, Inc. (a)

     233,500         16,611,190   

UnitedHealth Group, Inc. (a)

     208,655         24,546,174   
     

 

 

 
                69,699,032   

Hotels, Restaurants & Leisure — 1.0%

     

McDonald’s Corp. (a)

     133,600         15,783,504   

Household Products — 2.6%

     

Kimberly-Clark Corp. (a)

     77,100         9,814,830   

Procter & Gamble Co. (a)

     405,920         32,234,107   
     

 

 

 
                42,048,937   

Industrial Conglomerates — 3.9%

     

3M Co. (a)

     54,500         8,209,880   

General Electric Co. (a)

     1,793,900         55,879,985   
     

 

 

 
                64,089,865   

Insurance — 6.5%

     

ACE Ltd

     147,600         17,247,060   

American International Group, Inc. (a)

     366,800         22,730,596   

MetLife, Inc. (a)

     466,550         22,492,375   

Prudential Financial, Inc. (a)

     280,200         22,811,082   

Travelers Cos., Inc. (a)

     185,500         20,935,530   
     

 

 

 
                106,216,643   

IT Services — 0.2%

     

International Business Machines Corp. (a)

     26,130         3,596,011   

Media — 1.4%

     

Comcast Corp., Class A (a)

     418,400         23,610,312   

Multiline Retail — 1.8%

     

Dollar General Corp. (a)

     412,400         29,639,188   

Multi-Utilities — 2.7%

     

CMS Energy Corp. (a)

     261,300         9,427,704   

Dominion Resources, Inc. (a)

     277,500         18,770,100   

Public Service Enterprise Group, Inc. (a)

     194,300         7,517,467   

WEC Energy Group, Inc.

     160,100         8,214,731   
     

 

 

 
                43,930,002   

Oil, Gas & Consumable Fuels — 8.8%

     

Chevron Corp. (a)(b)

     193,800         17,434,248   

ConocoPhillips (a)

     119,860         5,596,263   

Enbridge, Inc.

     212,800         7,074,366   

Exxon Mobil Corp. (a)

     526,100         41,009,495   

Marathon Petroleum Corp. (a)

     292,900         15,183,936   

Occidental Petroleum Corp. (a)

     424,800         28,720,728   

Pioneer Natural Resources Co. (a)

     61,700         7,735,946   

TOTAL SA — ADR (a)

     500,500         22,497,475   
     

 

 

 
                145,252,457   

Paper & Forest Products — 0.9%

     

International Paper Co. (a)

     370,650         13,973,505   

Personal Products — 0.5%

     

Unilever NV (a)

     189,900         8,226,468   
 

 

See Notes to Financial Statements.

 

     ANNUAL REPORT    DECEMBER 31, 2015    39


Schedule of Investments (continued)      BlackRock Enhanced Equity Dividend Trust (BDJ)   
  

 

Common Stocks    Shares      Value  

Pharmaceuticals — 8.5%

     

AstraZeneca PLC

     125,800       $ 8,497,507   

Bristol-Myers Squibb Co. (a)

     216,000         14,858,640   

Johnson & Johnson (a)

     311,200         31,966,464   

Merck & Co., Inc. (a)(b)

     665,600         35,156,992   

Pfizer, Inc. (a)

     1,532,400         49,465,872   
     

 

 

 
                139,945,475   

Professional Services — 0.4%

     

Nielsen Holdings PLC (a)

     145,700         6,789,620   

Real Estate Investment Trusts (REITs) — 0.4%

  

  

Weyerhaeuser Co. (a)

     244,500         7,330,110   

Road & Rail — 0.7%

     

Union Pacific Corp. (a)

     147,000         11,495,400   

Semiconductors & Semiconductor Equipment — 2.3%

  

  

Intel Corp. (a)

     1,096,000         37,757,200   

Software — 3.2%

     

Microsoft Corp. (a)

     785,500         43,579,540   

Oracle Corp. (a)

     244,600         8,935,238   
     

 

 

 
                52,514,778   

Specialty Retail — 3.0%

     

Gap, Inc.

     321,000         7,928,700   

Home Depot, Inc. (a)

     317,300         41,962,925   
     

 

 

 
                49,891,625   

Technology Hardware, Storage & Peripherals — 0.6%

  

  

Lenovo Group Ltd.

     4,646,000         4,717,908   

Samsung Electronics Co. Ltd. — GDR

     8,900         4,730,350   
     

 

 

 
                9,448,258   

Tobacco — 2.2%

     

Altria Group, Inc. (a)

     243,300         14,162,493   
Common Stocks    Shares      Value  

Tobacco (continued)

     

Philip Morris International, Inc. (a)

     104,300       $ 9,169,013   

Reynolds American, Inc. (a)

     262,578         12,117,975   
     

 

 

 
                35,449,481   

Water Utilities — 0.9%

     

American Water Works Co., Inc. (a)

     258,600         15,451,350   

Total Long-Term Investments

(Cost — $1,333,837,560) — 99.9%

  

  

     1,640,870,011   
     
Short-Term Securities                

BlackRock Liquidity Funds, TempFund, Institutional Class, 0.23% (c)(d)

     13,770,944         13,770,944   

Total Short-Term Securities

(Cost — $13,770,944) — 0.8%

              13,770,944   
     
Options Purchased                

(Cost — $11,076) — 0.0%

              4,078   

Total Investments Before Options Written

(Cost — $1,347,619,580) — 100.7%

  

  

     1,654,645,033   
     
Options Written                

(Premiums Received — $15,748,607) — (0.8)%

  

     (12,401,598

Total Investments Net of Options Written — 99.9%

  

     1,642,243,435   

Other Assets Less Liabilities — 0.1%

        1,264,652   
     

 

 

 

Net Assets — 100.0%

      $ 1,643,508,087   
     

 

 

 
 
      Notes to Schedule of Investments

 

(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) Current yield as of period end.

 

(d) During the year ended December 31, 2015, investments in companies 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
December 31,
2014
     Net
Activity
    Shares
Held at
December 31,
2015
     Income     Realized
Gain
 

BlackRock Liquidity Funds, TempFund, Institutional Class

     23,544,648         (9,773,704     13,770,944       $ 26,109      $ 560   

BlackRock Liquidity Series, LLC Money Market Series

                          $ 36 1        

 

  1   

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 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 advisor. These definitions may not apply for purposes of this report, which may combine industry sub-classifications for reporting ease.

 

See Notes to Financial Statements.

 

40    ANNUAL REPORT    DECEMBER 31, 2015     


Schedule of Investments (continued)      BlackRock Enhanced Equity Dividend Trust (BDJ)   

 

      Derivative Financial Instruments Outstanding as of Period End

 

Exchange-Traded Options Purchased

                 
Description    Put/
Call
     Expiration
Date
   Strike
Price
     Contracts      Value  

International Paper Co.

     Call       1/15/16      USD         41.50         927       $ 3,708   

Morgan Stanley

     Call       1/15/16      USD         35.00         148         370   

Total

                  $ 4,078   
                 

 

 

 

Exchange-Traded Options Written

                 
Description    Put/
Call
     Expiration
Date
   Strike
Price
     Contracts      Value  

Public Service Enterprise Group, Inc.

     Call       1/04/16      USD         40.90         168       $ (43

American Water Works Co., Inc.

     Call       1/05/16      USD         59.01         513         (51,456

Procter & Gamble Co.

     Call       1/07/16      USD         75.16         1,096         (469,316

Altria Group, Inc.

     Call       1/08/16      USD         58.50         476         (19,754

American Express Co.

     Call       1/08/16      USD         72.50         430         (860

Bank of America Corp.

     Call       1/08/16      USD         18.00         269         (404

Bristol-Myers Squibb Co.

     Call       1/08/16      USD         69.50         271         (12,872

Citigroup, Inc.

     Call       1/08/16      USD         54.50         529         (1,058

Citigroup, Inc.

     Call       1/08/16      USD         55.00         192         (576

CME Group, Inc.

     Call       1/08/16      USD         98.50         164         (820

CME Group, Inc.

     Call       1/08/16      USD         99.00         129         (5,805

Coca-Cola Co.

     Call       1/08/16      USD         43.50         783         (10,570

Dollar General Corp.

     Call       1/08/16      USD         69.50         661         (178,470

Dow Chemical Co.

     Call       1/08/16      USD         53.50         282         (2,820

Exxon Mobil Corp.

     Call       1/08/16      USD         82.01         576         (2,434

General Electric Co.

     Call       1/08/16      USD         30.50         1,276         (100,804

Intel Corp.

     Call       1/08/16      USD         35.50         798         (5,187

International Business Machines Corp.

     Call       1/08/16      USD         139.00         84         (5,880

International Paper Co.

     Call       1/08/16      USD         41.00         923         (14,768

JPMorgan Chase & Co.

     Call       1/08/16      USD         67.00         500         (9,750

McDonald’s Corp.

     Call       1/08/16      USD         117.00         66         (13,563

Merck & Co., Inc.

     Call       1/08/16      USD         54.01         518         (15,594

MetLife, Inc.

     Call       1/08/16      USD         52.00         1,070         (53,500

Microsoft Corp.

     Call       1/08/16      USD         57.00         311         (3,266

Morgan Stanley

     Call       1/08/16      USD         34.50         323         (969

Pfizer, Inc.

     Call       1/08/16      USD         34.00         853         (1,706

Schlumberger Ltd.

     Call       1/08/16      USD         78.00         86         (430

United Technologies Corp.

     Call       1/08/16      USD         96.00         152         (14,592

UnitedHealth Group, Inc.

     Call       1/08/16      USD         119.00         206         (17,304

Verizon Communications, Inc.

     Call       1/08/16      USD         46.00         775         (30,225

Wells Fargo & Co.

     Call       1/08/16      USD         55.50         1,059         (13,238

Weyerhaeuser Co.

     Call       1/08/16      USD         31.00         242         (6,050

BCE, Inc.

     Call       1/11/16      USD         43.01         289         (3

ITC Holdings Corp.

     Call       1/13/16      USD         32.70         100         (65,546

3M Co.

     Call       1/15/16      USD         160.00         136         (884

Altria Group, Inc.

     Call       1/15/16      USD         57.50         157         (19,390

American Express Co.

     Call       1/15/16      USD         72.50         223         (2,676

American International Group, Inc.

     Call       1/15/16      USD         62.50         394         (30,141

Anthem, Inc.

     Call       1/15/16      USD         135.00         138         (78,315

Anthem, Inc.

     Call       1/15/16      USD         140.00         141         (32,430

Bank of America Corp.

     Call       1/15/16      USD         18.00         932         (4,194

Becton Dickinson and Co.

     Call       1/15/16      USD         155.00         233         (38,445

Chevron Corp.

     Call       1/15/16      USD         100.00         103         (566

Citigroup, Inc.

     Call       1/15/16      USD         55.00         382         (4,775

CME Group, Inc.

     Call       1/15/16      USD         100.00         98         (490

CME Group, Inc.

     Call       1/15/16      USD         97.50         250         (2,500

Coca-Cola Co.

     Call       1/15/16      USD         44.00         693         (8,316

Comcast Corp., Class A

     Call       1/15/16      USD         60.76         1,050         (4,614

ConocoPhillips

     Call       1/15/16      USD         55.00         234         (702

Dollar General Corp.

     Call       1/15/16      USD         72.50         674         (62,345

Dominion Resources, Inc.

     Call       1/15/16      USD         70.00         693         (10,395

Duke Energy Corp.

     Call       1/15/16      USD         67.50         258         (105,780

 

See Notes to Financial Statements.

 

     ANNUAL REPORT    DECEMBER 31, 2015    41


Schedule of Investments (continued)      BlackRock Enhanced Equity Dividend Trust (BDJ)   

 

Description    Put/
Call
     Expiration
Date
   Strike
Price
     Contracts      Value  

EI du Pont de Nemours & Co.

     Call       1/15/16      USD         67.50         919       $ (86,845

Exelon Corp.

     Call       1/15/16      USD         28.00         435         (17,400

Exxon Mobil Corp.

     Call       1/15/16      USD         82.50         943         (11,316

General Electric Co.

     Call       1/15/16      USD         30.00         1,807         (228,585

Goldman Sachs Group, Inc.

     Call       1/15/16      USD         190.00         121         (5,566

Home Depot, Inc.

     Call       1/15/16      USD         125.00         200         (157,500

Home Depot, Inc.

     Call       1/15/16      USD         135.00         694         (41,293

Honeywell International, Inc.

     Call       1/15/16      USD         105.00         613         (53,331

Intel Corp.

     Call       1/15/16      USD         35.00         1,990         (108,455

International Paper Co.

     Call       1/15/16      USD         42.00         927         (8,343

Johnson & Johnson

     Call       1/15/16      USD         105.00         580         (15,370

JPMorgan Chase & Co.

     Call       1/15/16      USD         69.01         696         (16,254

Kimberly-Clark Corp.

     Call       1/15/16      USD         125.00         375         (146,250

Kroger Co.

     Call       1/15/16      USD         41.25         584         (61,320

Kroger Co.

     Call       1/15/16      USD         42.50         585         (23,400

Lockheed Martin Corp.

     Call       1/15/16      USD         220.00         303         (53,782

Marathon Petroleum Corp.

     Call       1/15/16      USD         57.50         697         (13,940

McDonald’s Corp.

     Call       1/15/16      USD         115.00         398         (154,225

Merck & Co., Inc.

     Call       1/15/16      USD         52.50         394         (37,824

Microsoft Corp.

     Call       1/15/16      USD         53.60         987         (214,175

Microsoft Corp.

     Call       1/15/16      USD         55.00         976         (108,824

Mondelez International, Inc., Class A

     Call       1/15/16      USD         46.00         268         (9,782

Morgan Stanley

     Call       1/15/16      USD         34.00         785         (5,102

Morgan Stanley

     Call       1/15/16      USD         36.00         148         (296

Motorola Solutions, Inc.

     Call       1/15/16      USD         75.00         477         (7,632

Nielsen Holdings PLC

     Call       1/15/16      USD         47.00         363         (27,225

Northrop Grumman Corp.

     Call       1/15/16      USD         190.00         469         (94,972

Occidental Petroleum Corp.

     Call       1/15/16      USD         72.50         494         (12,350

Pfizer, Inc.

     Call       1/15/16      USD         34.00         555         (1,388

Philip Morris International, Inc.

     Call       1/15/16      USD         85.00         191         (64,940

Pioneer Natural Resources Co.

     Call       1/15/16      USD         145.00         240         (6,000

Praxair, Inc.

     Call       1/15/16      USD         105.00         137         (9,590

Praxair, Inc.

     Call       1/15/16      USD         115.00         148         (740

Procter & Gamble Co.

     Call       1/15/16      USD         77.50         495         (114,097

Prudential Financial, Inc.

     Call       1/15/16      USD         85.00         353         (11,120

Quest Diagnostics, Inc.

     Call       1/15/16      USD         70.00         217         (38,518

Quest Diagnostics, Inc.

     Call       1/15/16      USD         71.00         449         (52,143

Raytheon Co.

     Call       1/15/16      USD         130.00         429         (9,438

Reynolds American, Inc.

     Call       1/15/16      USD         46.25         853         (59,710

Rockwell Automation, Inc.

     Call       1/15/16      USD         106.75         134         (7,508

SunTrust Banks, Inc.

     Call       1/15/16      USD         44.00         1,622         (50,282

SunTrust Banks, Inc.

     Call       1/15/16      USD         45.00         435         (5,002

TOTAL SA — ADR

     Call       1/15/16      USD         47.50         450         (7,875

Travelers Cos., Inc.

     Call       1/15/16      USD         115.00         344         (20,640

Tyco International PLC

     Call       1/15/16      USD         33.00         416         (5,824

U.S. Bancorp.

     Call       1/15/16      USD         44.00         345         (7,072

UnitedHealth Group, Inc.

     Call       1/15/16      USD         120.00         663         (67,294

Verizon Communications, Inc.

     Call       1/15/16      USD         46.00         699         (33,552

Wells Fargo & Co.

     Call       1/15/16      USD         55.00         1,335         (75,428

Weyerhaeuser Co.

     Call       1/15/16      USD         29.00         242         (29,645

AbbVie, Inc.

     Call       1/22/16      USD         60.50         338         (23,660

Aetna, Inc.

     Call       1/22/16      USD         112.00         188         (20,774

Altria Group, Inc.

     Call       1/22/16      USD         58.00         625         (66,250

American International Group, Inc.

     Call       1/22/16      USD         62.00         200         (24,700

Anthem, Inc.

     Call       1/22/16      USD         140.00         250         (75,125

Bank of America Corp.

     Call       1/22/16      USD         18.00         933         (9,330

Bristol-Myers Squibb Co.

     Call       1/22/16      USD         70.00         405         (34,222

Chevron Corp.

     Call       1/22/16      USD         91.00         219         (44,786

Citigroup, Inc.

     Call       1/22/16      USD         55.50         534         (7,209

Citigroup, Inc.

     Call       1/22/16      USD         56.00         192         (2,016

Coca-Cola Co.

     Call       1/22/16      USD         43.50         176         (5,896

ConocoPhillips

     Call       1/22/16      USD         50.00         130         (6,435

Dollar General Corp.

     Call       1/22/16      USD         71.50         727         (121,772

Dow Chemical Co.

     Call       1/22/16      USD         56.00         288         (6,336

EI du Pont de Nemours & Co.

     Call       1/22/16      USD         68.00         922         (109,257

 

See Notes to Financial Statements.

 

42    ANNUAL REPORT    DECEMBER 31, 2015     


Schedule of Investments (continued)    BlackRock Enhanced Equity Dividend Trust (BDJ)

 

Description    Put/
Call
   Expiration
Date
  

Strike

Price

     Contracts      Value  

Exxon Mobil Corp.

   Call    1/22/16      USD         80.00         518       $ (41,699

General Electric Co.

   Call    1/22/16      USD         31.00         1,347         (90,922

Intel Corp.

   Call    1/22/16      USD         35.50         682         (28,644

Johnson & Johnson

   Call    1/22/16      USD         103.00         781         (91,768

JPMorgan Chase & Co.

   Call    1/22/16      USD         68.50         209         (6,584

Marathon Petroleum Corp.

   Call    1/22/16      USD         54.50         383         (27,768

McDonald’s Corp.

   Call    1/22/16      USD         118.00         404         (84,436

Merck & Co., Inc.

   Call    1/22/16      USD         54.00         255         (10,455

Microsoft Corp.

   Call    1/22/16      USD         56.00         631         (48,587

Oracle Corp.

   Call    1/22/16      USD         37.50         350         (8,225

Pfizer, Inc.

   Call    1/22/16      USD         33.00         1,510         (33,975

Philip Morris International, Inc.

   Call    1/22/16      USD         88.00         182         (23,569

Procter & Gamble Co.

   Call    1/22/16      USD         79.00         295         (36,875

U.S. Bancorp.

   Call    1/22/16      USD         44.50         362         (6,516

United Parcel Service, Class B

   Call    1/22/16      USD         102.00         85         (1,742

Verizon Communications, Inc.

   Call    1/22/16      USD         46.50         418         (16,093

Wells Fargo & Co.

   Call    1/22/16      USD         55.50         1,478         (75,378

Weyerhaeuser Co.

   Call    1/22/16      USD         32.00         369         (18,450

Chevron Corp.

   Call    1/25/16      USD         93.23         174         (28,419

Procter & Gamble Co.

   Call    1/25/16      USD         74.75         260         (121,160

American Water Works Co., Inc.

   Call    1/26/16      USD         59.01         422         (63,173

CMS Energy Corp.

   Call    1/26/16      USD         35.50         135         (20,553

Honeywell International, Inc.

   Call    1/26/16      USD         103.51         601         (118,085

U.S. Bancorp.

   Call    1/28/16      USD         44.25         725         (30,049

3M Co.

   Call    1/29/16      USD         160.00         136         (7,548

AbbVie, Inc.

   Call    1/29/16      USD         60.50         337         (34,542

Aetna, Inc.

   Call    1/29/16      USD         111.00         95         (16,435

Aetna, Inc.

   Call    1/29/16      USD         113.00         96         (10,896

Altria Group, Inc.

   Call    1/29/16      USD         59.00         324         (24,300

American International Group, Inc.

   Call    1/29/16      USD         63.00         689         (64,077

Anthem, Inc.

   Call    1/29/16      USD         146.00         233         (37,396

Bank of America Corp.

   Call    1/29/16      USD         18.00         1,969         (25,597

Bristol-Myers Squibb Co.

   Call    1/29/16      USD         70.00         405         (48,195

Citigroup, Inc.

   Call    1/29/16      USD         53.50         620         (40,610

CME Group, Inc.

   Call    1/29/16      USD         95.00         178         (9,790

Coca-Cola Co.

   Call    1/29/16      USD         43.50         352         (14,960

Comcast Corp., Class A

   Call    1/29/16      USD         58.00         520         (30,420

Dow Chemical Co.

   Call    1/29/16      USD         54.00         296         (16,576

Exxon Mobil Corp.

   Call    1/29/16      USD         78.00         75         (15,112

Exxon Mobil Corp.

   Call    1/29/16      USD         80.00         518         (56,980

Johnson & Johnson

   Call    1/29/16      USD         105.00         195         (13,650

JPMorgan Chase & Co.

   Call    1/29/16      USD         67.00         500         (45,250

JPMorgan Chase & Co.

   Call    1/29/16      USD         67.50         529         (37,824

Kimberly-Clark Corp.

   Call    1/29/16      USD         126.00         126         (54,877

Marathon Petroleum Corp.

   Call    1/29/16      USD         54.50         384         (38,400

Merck & Co., Inc.

   Call    1/29/16      USD         52.50         393         (51,680

Merck & Co., Inc.

   Call    1/29/16      USD         53.00         395         (39,302

MetLife, Inc.

   Call    1/29/16      USD         49.50         480         (30,960

Mondelez International, Inc., Class A

   Call    1/29/16      USD         45.00         268         (32,953

Oracle Corp.

   Call    1/29/16      USD         37.00         92         (4,646

Oracle Corp.

   Call    1/29/16      USD         39.00         351         (2,808

Pfizer, Inc.

   Call    1/29/16      USD         33.00         744         (21,948

Philip Morris International, Inc.

   Call    1/29/16      USD         88.50         304         (38,152

SunTrust Banks, Inc.

   Call    1/29/16      USD         44.51         870         (36,596

Union Pacific Corp.

   Call    1/29/16      USD         80.50         477         (58,671

United Parcel Service, Class B

   Call    1/29/16      USD         101.00         87         (3,698

UnitedHealth Group, Inc.

   Call    1/29/16      USD         120.00         663         (149,175

Wells Fargo & Co.

   Call    1/29/16      USD         55.00         731         (61,770

Wells Fargo & Co.

   Call    1/29/16      USD         56.00         667         (31,016

Weyerhaeuser Co.

   Call    1/29/16      USD         30.50         369         (20,295

SunTrust Banks, Inc.

   Call    2/01/16      USD         43.50         435         (39,479

Dominion Resources, Inc.

   Call    2/03/16      USD         68.28         694         (75,223

Becton Dickinson and Co.

   Call    2/05/16      USD         155.01         132         (41,618

Chevron Corp.

   Call    2/05/16      USD         93.00         180         (37,260

Citigroup, Inc.

   Call    2/05/16      USD         55.00         200         (7,400

 

See Notes to Financial Statements.

 

     ANNUAL REPORT    DECEMBER 31, 2015    43


Schedule of Investments (continued)    BlackRock Enhanced Equity Dividend Trust (BDJ)

 

Description    Put/
Call
   Expiration
Date
  

Strike

Price

     Contracts      Value  

Merck & Co., Inc.

   Call    2/05/16      USD         53.50         650       $ (65,650

Microsoft Corp.

   Call    2/05/16      USD         57.00         1,023         (128,386

Raytheon Co.

   Call    2/05/16      USD         127.00         161         (31,638

TOTAL SA — ADR

   Call    2/05/16      USD         50.01         515         (9,047

United Parcel Service, Class B

   Call    2/05/16      USD         98.50         371         (55,279

Prudential Financial, Inc.

   Call    2/08/16      USD         81.25         695         (173,488

NextEra Energy, Inc.

   Call    2/11/16      USD         103.50         188         (47,847

Duke Energy Corp.

   Call    2/12/16      USD         70.50         254         (44,354

Intel Corp.

   Call    2/12/16      USD         35.50         399         (24,938

JPMorgan Chase & Co.

   Call    2/12/16      USD         69.00         677         (37,574

Lockheed Martin Corp.

   Call    2/12/16      USD         219.00         283         (131,194

Diageo PLC — ADR

   Call    2/16/16      USD         111.25         744         (149,696

Travelers Cos., Inc.

   Call    2/17/16      USD         113.30         171         (44,939

Rockwell Automation, Inc.

   Call    2/18/16      USD         105.75         134         (24,338

Abbott Laboratories

   Call    2/19/16      USD         46.00         783         (61,074

AbbVie, Inc.

   Call    2/19/16      USD         60.00         92         (15,870

Bank of America Corp.

   Call    2/19/16      USD         18.00         992         (25,296

Chevron Corp.

   Call    2/19/16      USD         95.00         293         (47,906

Citigroup, Inc.

   Call    2/19/16      USD         55.00         376         (20,116

Coca-Cola Co.

   Call    2/19/16      USD         44.00         707         (35,350

Comcast Corp., Class A

   Call    2/19/16      USD         60.00         522         (28,449

Dow Chemical Co.

   Call    2/19/16      USD         52.50         282         (47,940

Dow Chemical Co.

   Call    2/19/16      USD         55.00         296         (23,384

Exelon Corp.

   Call    2/19/16      USD         29.00         188         (7,520

General Electric Co.

   Call    2/19/16      USD         31.00         4,540         (404,060

Home Depot, Inc.

   Call    2/19/16      USD         135.00         694         (140,188

Intel Corp.

   Call    2/19/16      USD         36.00         1,611         (76,522

ITC Holdings Corp.

   Call    2/19/16      USD         40.00         570         (108,300

JPMorgan Chase & Co.

   Call    2/19/16      USD         67.50         529         (59,512

Merck & Co., Inc.

   Call    2/19/16      USD         55.00         724         (43,802

Mondelez International, Inc., Class A

   Call    2/19/16      USD         47.00         270         (21,195

Nielsen Holdings PLC

   Call    2/19/16      USD         49.00         366         (32,025

Procter & Gamble Co.

   Call    2/19/16      USD         82.50         493         (24,404

Prudential Financial, Inc.

   Call    2/19/16      USD         85.00         352         (48,400

Quest Diagnostics, Inc.

   Call    2/19/16      USD         75.00         151         (12,080

Raytheon Co.

   Call    2/19/16      USD         125.00         391         (131,962

Reynolds American, Inc.

   Call    2/19/16      USD         47.50         853         (72,505

TOTAL SA — ADR

   Call    2/19/16      USD         49.78         515         (17,095

U.S. Bancorp.

   Call    2/19/16      USD         44.00         1,134         (69,741

Unilever NV

   Call    2/19/16      USD         45.00         412         (26,780

United Parcel Service, Class B

   Call    2/19/16      USD         100.00         371         (45,633

Verizon Communications, Inc.

   Call    2/19/16      USD         47.00         1,250         (59,375

Total

                  $ (9,629,584
                 

 

 

 

 

OTC Options Written

                    
Description    Put/
Call
   Counterparty    Expiration
Date
  

Strike

Price

     Contracts      Value  

CMS Energy Corp.

   Call    Credit Suisse International    1/06/16      USD         35.55         27,000       $ (18,532

Kroger Co.

   Call    Morgan Stanley & Co. International PLC    1/07/16      USD         36.93         151,000         (739,781

AstraZeneca PLC

   Call    Morgan Stanley & Co. International PLC    1/08/16      GBP         42.44         63,000         (314,990

Mondelez International, Inc., Class A

   Call    Morgan Stanley & Co. International PLC    1/11/16      USD         46.40         81,500         (19,139

NextEra Energy, Inc.

   Call    Morgan Stanley & Co. International PLC    1/11/16      USD         102.50         18,600         (40,372

Raytheon Co.

   Call    Credit Suisse International    1/11/16      USD         122.19         62,300         (159,562

U.S. Bancorp.

   Call    Citibank N.A.    1/11/16      USD         43.10         71,800         (30,221

Unilever NV

   Call    Citibank N.A.    1/11/16      USD         45.50         41,000         (2,778

CMS Energy Corp.

   Call    Credit Suisse International    1/12/16      USD         35.55         27,000         (29,981

Kroger Co.

   Call    Citibank N.A.    1/12/16      USD         37.80         116,800         (471,546

Travelers Cos., Inc.

   Call    Morgan Stanley & Co. International PLC    1/12/16      USD         113.25         69,000         (125,915

American Water Works Co., Inc.

   Call    Morgan Stanley & Co. International PLC    1/14/16      USD         57.55         35,800         (84,915

Lenovo Group Ltd.

   Call    Bank of America N.A.    1/14/16      HKD         8.95         574,000         (1,475

WEC Energy Group, Inc.

   Call    Goldman Sachs International    1/14/16      USD         51.99         23,800         (12,682

Lenovo Group Ltd.

   Call    Bank of America N.A.    1/21/16      HKD         8.09         580,000         (11,943

Northrop Grumman Corp.

   Call    Morgan Stanley & Co. International PLC    1/25/16      USD         187.60         54,200         (247,073

 

See Notes to Financial Statements.

 

44    ANNUAL REPORT    DECEMBER 31, 2015     


Schedule of Investments (continued)      BlackRock Enhanced Equity Dividend Trust (BDJ)   

 

Description      Put/
Call
       Counterparty        Expiration
Date
  

Strike

Price

       Contracts        Value  

TOTAL SA — ADR

       Call           Deutsche Bank AG        1/25/16      USD           50.39           40,000         $ (3,126

Unilever NV

       Call           UBS AG         1/25/16      USD           44.44           41,200           (21,825

General Mills, Inc.

       Call           Credit Suisse International         1/26/16      USD           58.26           54,000           (31,548

NextEra Energy, Inc.

       Call        

 

Credit Suisse International

  

     1/27/16      USD           102.19           63,400           (196,617

Lenovo Group Ltd.

       Call           Bank of America N.A.         1/28/16      HKD           8.84           584,000           (2,771

CMS Energy Corp.

       Call           Citibank N.A.         2/03/16      USD           36.29           63,200           (81,194

Public Service Enterprise Group, Inc.

       Call           Deutsche Bank AG         2/03/16      USD           40.45           15,300           (4,700

WEC Energy Group, Inc.

       Call           Citibank N.A.         2/08/16      USD           50.81           56,200           (93,041

TOTAL SA — ADR

       Call           Morgan Stanley & Co. International PLC         2/26/16      USD           48.80           43,500           (26,287

Total

                                 $ (2,772,014
                                

 

 

 

 

      Transactions in Options Written for the Year Ended December 31, 2015

 

      Calls           Puts  
      Contracts     Premiums
Received
         Contracts     Premiums
Received
 

Outstanding options at beginning of year

     3,032,339      $ 14,525,930                    

Options written

     17,082,653        121,576,680           1,160      $ 32,506   

Options expired

     (5,962,580     (34,078,116        (990     (28,943

Options closed

     (10,930,836     (85,801,646        (170     (3,563

Options exercised

     (150,203     (474,241                 
  

 

 

      

 

 

 

Outstanding options at end of year

     3,071,373      $ 15,748,607                    
  

 

 

      

 

 

 

As of period end, the value of portfolio securities subject to covered call options written was $751,058,342.

 

      Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments were as follows:

 

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

Assets - Derivative Financial Instruments

                                          

Options purchased

   Investments at value — unaffiliated1          $ 4,078             $ 4,078   

Liabilities - Derivative Financial Instruments

                                          

Options written

   Options written, at value          $ 12,401,598             $ 12,401,598   

 

  1   

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

For the year ended December 31, 2015, the effect of derivative financial instruments in the Statements of Operations was as follow:

 

      Commodity
Contracts
   Credit
Contracts
   Equity
Contracts
    Foreign
Currency
Exchange
Contracts
  

Interest

Rate
Contracts

   Total  

Net Realized Gain (Loss) from:

                                    

Options purchased1

         $ (14,554         $ (14,554

Options written

           2,794,489              2,794,489   
  

 

 

Total

         $ 2,779,935            $ 2,779,935   
  

 

 

 

  1   

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

 

 

See Notes to Financial Statements.

 

     ANNUAL REPORT    DECEMBER 31, 2015    45


Schedule of Investments (continued)      BlackRock Enhanced Equity Dividend Trust (BDJ)   

 

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

Net Change in Unrealized Appreciation (Depreciation) on:

                                    

Options purchased1

         $ (6,998         $ (6,998

Options written

           5,212,149              5,212,149   
  

 

 

Total

         $ 5,205,151            $ 5,205,151   
  

 

 

 

  1   

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

 

      Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Options:

        

Average value of option contracts purchased1

   $ 50,422   

Average value of option contracts written

   $ 9,661,459   

 

  1   

Actual amounts for the period are shown due to limited outstanding derivative financial instruments as of each quarter.

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

   $ 4,078 1    $ 12,401,598   
  

 

 

 

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

     (4,078     (9,629,584
  

 

 

 

Total derivative assets and liabilities subject to an MNA

          $ 2,772,014   
  

 

 

 

 

  1 

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 liabilities by counterparty net of amounts available for offset under an Master Netting Agreement (“MNA”) and net of the related collateral pledged by the Trust:

 

      Gross Amounts Not Offset in the Consolidated Statements of Assets and Liabilities
and Subject to an MNA
Counterparty    Derivative Liabilities
Subject to an MNA by
Counterparty
   Derivatives Available
for Offset
   Non-cash
Collateral
Pledged1
  Cash
Collateral
Pledged
  Net Amount of
Derivative Liabilities2

Bank of America N.A.

     $ 16,189                                 $ 16,189  

Citibank N.A.

       678,780                 $ (580,780 )     $ (98,000 )        

Credit Suisse International

       436,240                   (436,240 )                

Deutsche Bank AG

       7,826                   (7,826 )                

Goldman Sachs International

       12,682                   (12,682 )                

Morgan Stanley & Co. International PLC

       1,598,472                   (1,598,472 )                

UBS AG

       21,825                                 $ 21,825  

Total

     $ 2,772,014                 $ (2,636,000 )     $ (98,000 )     $ 38,014  

 

  1   

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

 

  2   

Net amount represents the net amount payable due to the 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.

 

 

See Notes to Financial Statements.

 

46    ANNUAL REPORT    DECEMBER 31, 2015     


Schedule of Investments (concluded)      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:

                 

Long-Term Investments:

                 

Common Stocks1

     $ 1,632,372,504       $ 8,497,507                $ 1,640,870,011  

Short-Term Securities

       13,770,944                          13,770,944  

Options Purchased

       4,078                          4,078  
    

 

 

 

Total

     $ 1,646,147,526       $ 8,497,507                $ 1,654,645,033  
    

 

 

 

 

1    See above Schedule of Investments for values in each industry, excluding Level 2, Pharmaceuticals, within the table.

       

                 
      Level 1   Level 2   Level 3    Total

Derivative Financial Instruments1

                 

Liabilities:

                 

Equity contracts.

     $ (7,394,678 )     $ (5,006,920 )              $ (12,401,598 )
    

 

 

 

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

       

The Trust may hold assets in which the fair value approximates the carrying amount for financial statements purposes. As of period end, such assets are categorized within the disclosure hierarchy as follows:    
                 
      Level 1   Level 2   Level 3    Total

Assets:

                 

Foreign currency at value

     $ 1,836                        $ 1,836  

Cash pledged as collateral for OTC derivatives

       98,000                          98,000  
    

 

 

 

Total

     $ 99,836                        $ 99,836  
    

 

 

 

During the year ended December 31, 2015, there were no transfers between levels.

 

 

See Notes to Financial Statements.

 

     ANNUAL REPORT    DECEMBER 31, 2015    47


Schedule of Investments December 31, 2015      BlackRock Global Opportunities Equity Trust (BOE)   
     (Percentages shown are based on Net Assets)   

 

Common Stocks    Shares      Value  

Australia — 0.1%

     

Ensogo Ltd. (a)

     418,198       $ 639,954   

Belgium — 1.5%

     

Anheuser-Busch InBev SA NV

     118,159         14,704,641   

Canada — 1.5%

     

Element Financial Corp. (b)

     281,500         3,397,449   

Encana Corp. (b)

     905,700         4,601,482   

Royal Bank of Canada (b)

     122,400         6,559,196   
     

 

 

 
                14,558,127   

China — 3.2%

     

Alibaba Group Holding Ltd. — ADR (a)(b)

     145,780         11,847,541   

China Construction Bank Corp., Class H

     13,704,000         9,348,158   

CRRC Corp. Ltd., Class H

     4,209,000         5,170,597   

JD.com, Inc. — ADR (a)(b)

     160,300         5,172,080   
     

 

 

 
                31,538,376   

France — 2.4%

     

Amundi SA (a)(c)

     73,300         3,439,684   

Societe Generale SA

     112,031         5,162,657   

Unibail-Rodamco SE

     36,690         9,316,786   

Vivendi SA

     295,950         6,356,167   
     

 

 

 
                24,275,294   

Germany — 0.9%

     

Daimler AG

     91,770         7,667,792   

Scout24 AG (a)(c)

     40,986         1,466,538   
     

 

 

 
                9,134,330   

Hong Kong — 1.1%

     

AIA Group Ltd.

     1,806,500         10,793,988   

India — 1.7%

     

Bharti Infratel Ltd.

     1,032,544         6,681,637   

HDFC Bank Ltd.

     490,682         9,834,475   
     

 

 

 
                16,516,112   

Indonesia — 0.6%

     

Matahari Department Store Tbk PT

     4,378,823         5,543,302   

Ireland — 1.3%

     

Green REIT PLC

     4,694,157         8,123,988   

Shire PLC — ADR (b)

     25,560         5,239,800   
     

 

 

 
                13,363,788   

Israel — 0.5%

     

Teva Pharmaceutical Industries Ltd. — ADR (b)

     74,500         4,890,180   

Italy — 0.7%

     

Eni SpA

     445,200         6,614,906   

Japan — 5.1%

     

Alps Electric Co. Ltd.

     179,500         4,950,643   

FANUC Corp.

     35,800         6,167,977   

Mitsubishi Estate Co. Ltd.

     388,000         8,067,813   

Nintendo Co. Ltd.

     46,600         6,407,971   

Panasonic Corp.

     457,500         4,637,912   

SMC Corp.

     19,500         5,064,811   

SoftBank Group Corp.

     144,000         7,267,738   

Sumitomo Mitsui Financial Group, Inc.

     200,200         7,555,758   
     

 

 

 
                50,120,623   

Mexico — 0.6%

     

Fomento Economico Mexicano SAB de CV — ADR

     70,600         6,519,910   

Netherlands — 1.2%

     

InterXion Holding NV (a)

     144,300         4,350,645   

Koninklijke Philips NV

     304,440         7,770,650   
     

 

 

 
                12,121,295   
Common Stocks    Shares      Value  

New Zealand — 0.5%

     

Xero Ltd. (a)

     350,000       $ 4,728,593   

Norway — 0.6%

     

Statoil ASA

     439,260         6,126,260   

Peru — 0.4%

     

Credicorp Ltd. (b)

     45,079         4,387,088   

Portugal — 0.8%

     

Galp Energia SGPS SA

     672,400         7,833,474   

South Africa — 0.9%

     

Naspers Ltd., N Shares

     66,150         9,041,668   

Spain — 1.9%

     

Cellnex Telecom SAU (c)

     1,004,378         18,778,916   

Sweden — 0.6%

     

Nordea Bank AB

     531,258         5,828,835   

Switzerland — 2.2%

     

Adecco SA

     90,700         6,207,757   

Roche Holding AG

     30,320         8,401,927   

UBS Group AG

     366,789         7,148,284   
     

 

 

 
                21,757,968   

Taiwan — 1.3%

     

Catcher Technology Co. Ltd.

     327,000         2,726,009   

Largan Precision Co. Ltd.

     64,000         4,422,930   

Taiwan Semiconductor Manufacturing Co. Ltd.

     1,416,000         6,108,966   
     

 

 

 
                13,257,905   

United Kingdom — 13.6%

     

AstraZeneca PLC

     165,700         11,192,663   

Atlassian Corp. PLC, Class A (a)

     81,700         2,457,536   

BAE Systems PLC

     1,150,970         8,474,085   

BG Group PLC

     316,000         4,580,712   

Crest Nicholson Holdings PLC

     662,002         5,424,208   

Delphi Automotive PLC (b)

     124,510         10,674,242   

Diageo PLC

     369,800         10,098,469   

GlaxoSmithKline PLC

     292,400         5,905,299   

Lloyds Banking Group PLC

     9,380,140         10,093,043   

Metro Bank PLC (Acquired 1/15/14, Cost $5,768,771) (a)(d)

     271,008         5,237,738   

Nomad Foods Ltd. (a)

     813,129         9,594,922   

Prudential PLC

     327,860         7,386,562   

SABMiller PLC

     149,200         8,925,798   

Unilever PLC

     243,900         10,461,459   

Vodafone Group PLC — ADR (b)

     286,910         9,255,717   

Worldpay Group PLC (a)(c)

     3,208,300         14,534,380   
     

 

 

 
                134,296,833   

United States — 51.7%

     

Adobe Systems, Inc. (a)(b)

     91,820         8,625,571   

Allergan PLC (a)(b)

     15,700         4,906,250   

Alphabet, Inc., Class A (a)(b)

     13,714         10,669,629   

Alphabet, Inc., Class C (a)(b)

     23,652         17,949,030   

Altria Group, Inc. (b)

     178,910         10,414,351   

Amazon.com, Inc. (a)(b)

     11,060         7,475,343   

American Airlines Group, Inc. (b)

     153,730         6,510,465   

Amgen, Inc. (b)

     48,400         7,856,772   

Apple, Inc. (b)

     76,400         8,041,864   

Aramark

     284,920         9,188,670   

Assured Guaranty Ltd. (b)

     266,900         7,054,167   

Autodesk, Inc. (a)(b)

     132,510         8,073,834   

BankUnited, Inc.

     217,563         7,845,322   

Becton Dickinson and Co. (b)

     31,550         4,861,539   

Best Buy Co., Inc.

     171,810         5,231,615   

Boston Scientific Corp. (a)(b)(e)

     557,387         10,278,216   
 

 

See Notes to Financial Statements.

 

48    ANNUAL REPORT    DECEMBER 31, 2015     


Schedule of Investments (continued)      BlackRock Global Opportunities Equity Trust (BOE)   
  

 

Common Stocks    Shares      Value  

United States (continued)

     

Bristol-Myers Squibb Co. (b)

     160,710       $ 11,055,241   

Carnival Corp.

     67,300         3,666,504   

Celgene Corp. (a)(b)

     70,300         8,419,128   

Charles River Laboratories International, Inc. (a)

     6,968         560,158   

Cigna Corp. (b)

     34,000         4,975,220   

Citigroup, Inc. (b)(e)

     348,910         18,056,094   

Comcast Corp., Class A (b)(e)

     176,200         9,942,966   

Concho Resources, Inc. (a)(b)

     77,330         7,180,864   

Crown Holdings, Inc. (a)

     174,370         8,840,559   

Discover Financial Services (b)

     112,500         6,032,250   

Eastman Chemical Co. (b)

     97,090         6,554,546   

Eli Lilly & Co. (b)

     88,310         7,441,001   

Energy Transfer Partners LP (b)

     163,500         5,514,855   

EOG Resources, Inc. (b)

     105,370         7,459,142   

Facebook, Inc., Class A (a)(b)

     129,800         13,584,868   

FirstEnergy Corp. (b)

     309,600         9,823,608   

Hain Celestial Group, Inc. (a)(b)

     105,362         4,255,571   

Hartford Financial Services Group, Inc. (b)

     232,330         10,097,062   

Hortonworks, Inc. (a)(b)(e)

     448,047         9,812,229   

Humana, Inc. (b)

     29,600         5,283,896   

Kennedy-Wilson Holdings, Inc.

     384,748         9,264,732   

Lam Research Corp. (b)

     68,100         5,408,502   

LendingClub Corp. (a)(b)

     309,816         3,423,467   

Lowe’s Cos., Inc. (b)

     109,830         8,351,473   

Macquarie Infrastructure Corp. (b)

     79,140         5,745,564   

MasterCard, Inc., Class A (b)(e)

     137,560         13,392,842   

McDonald’s Corp. (b)(e)

     186,000         21,974,040   

Medtronic PLC (b)

     144,183         11,090,556   

Merck & Co., Inc. (b)

     109,910         5,805,446   

Micron Technology, Inc. (a)(b)

     242,100         3,428,136   

Mobileye NV (a)(b)(f)

     62,700         2,650,956   

Mondelez International, Inc., Class A (b)

     211,230         9,471,553   

Monsanto Co. (b)

     52,600         5,182,152   

New Relic, Inc. (a)(b)

     266,852         9,721,418   

Pioneer Natural Resources Co. (b)

     43,000         5,391,340   

Platform Specialty Products Corp. (a)(b)

     484,673         6,218,355   

PPL Corp. (b)

     192,700         6,576,851   

Priceline Group, Inc. (a)(b)

     4,600         5,864,770   

Public Service Enterprise Group, Inc. (b)

     234,730         9,081,704   

Roper Industries, Inc. (b)

     57,900         10,988,841   

Samsonite International SA

     1,632,800         4,893,467   

Sensata Technologies Holding NV (a)

     166,798         7,682,716   

Sherwin-Williams Co. (b)

     21,800         5,659,280   

St. Jude Medical, Inc. (b)

     81,091         5,008,991   

Strategic Growth Bancorp. (Acquired 3/10/14,
Cost $5,461,692) (a)(d)

     438,690         3,948,210   

TransUnion (a)

     222,800         6,142,596   

Union Pacific Corp. (b)

     77,474         6,058,467   

UnitedHealth Group, Inc. (b)

     69,487         8,174,451   

Walt Disney Co. (b)

     76,500         8,038,620   

WisdomTree Investments, Inc. (b)

     234,370         3,674,922   
     

 

 

 
                511,852,818   

Total Common Stocks — 96.9%

              959,225,184   
     
                  
Investment Companies    Shares      Value  

United Kingdom — 0.5%

     

Kennedy Wilson Europe Real Estate PLC

     299,275       $ 5,322,251   
     
Preferred Stocks                

India — 0.9%

     

Jasper Infotech Private Ltd., Series F (Acquired 5/7/14, Cost $1,888,464), 0.00% (a)(d)

     266         6,602,855   

Jasper Infotech Private Ltd., Series G (Acquired 10/29/14, Cost $741,913), 0.00% (a)(d)

     88         2,184,403   
     

 

 

 
                8,787,258   

United States — 1.8%

     

Palantir Technologies, Inc., Series I (Acquired 2/7/14, Cost $3,118,944), 0.00% (a)(d)

     508,800         5,790,144   

Uber Technologies, Inc., Series D (Acquired 6/6/14, Cost $3,845,800), 0.00% (a)(d)

     247,908         12,091,019   
     

 

 

 
                17,881,163   

Total Preferred Stocks — 2.7%

  

     26,668,421   

Total Long Term Investments

(Cost — $892,199,000) — 100.1%

  

  

     991,215,856   
     
Short-Term Securities                

BlackRock Liquidity Funds, TempFund, Institutional Class, 0.23% (g)(h)

     6,389,331         6,389,331   
      Beneficial
Interest
(000)
         

BlackRock Liquidity Series, LLC Money Market
Series, 0.39% (g)(h)(i)

   $ 428         427,550   

Total Short-Term Securities

(Cost — $6,816,881) — 0.7%

  

  

     6,816,881   
     
Options Purchased                

(Cost — $36,189) — 0.0%

              6,934   

Total Investments Before Options Written

(Cost — $899,052,070) — 100.8%

  

  

     998,039,671   
     
Options Written                

(Premiums Received — $11,916,657) — (0.8)%

              (8,123,575

Total Investments Net of Options Written — 100.0%

  

     989,916,096   

Other Assets Less Liabilities — 0.0%

  

     401,892   
     

 

 

 

Net Assets — 100.0%

      $ 990,317,988   
     

 

 

 
 
      Notes to Schedule of Investments

 

(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.

 

See Notes to Financial Statements.

 

     ANNUAL REPORT    DECEMBER 31, 2015    49


Schedule of Investments (continued)      BlackRock Global Opportunities Equity Trust (BOE)   

 

 

(c) Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933. This security may be resold in transactions exempt from registration to qualified institutional investors.

 

(d) Restricted securities as to resale, excluding 144A securities. As of period end, the Trust held restricted securities with a current value of $35,854,369 and an original cost of $20,825,584 which was 3.6% of its net assets.

 

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

 

(f) Security, or a portion of security, is on loan.

 

(g) Current yield as of period end.

 

(h) During the year ended December 31, 2015, 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/
Beneficial Interest
Held at
December 31,
2014
     Net
Activity
    Shares/
Beneficial Interest
Held at
December 31,
2015
     Income     Realized
Gain
 

BlackRock Liquidity Funds, TempFund, Institutional Class

     5,932,752         456,579        6,389,331       $ 17,381      $ 175   

BlackRock Liquidity Series, LLC Money Market Series

   $ 1,401,820       $ (974,270   $ 427,550       $ 16,113 1        

 

  1   

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.

 

(i) Security was purchased with the cash collateral from loaned securities. The Trust may withdraw up to 25% of its investment daily, although the manager of the BlackRock Liquidity Series LLC, Money Market Series, in its sole discretion, may permit an investor to withdraw more than 25% on any one day.

 

      Derivative Financial Instruments Outstanding as of Period End

 

Exchange-Traded Options Purchased

                 
Description    Put/
Call
    

Strike

Price

     Expiration
Date
   Contracts      Value  

WisdomTree Investments, Inc.

     Call         USD         20.75       1/15/16      500       $ 2,500   

 

OTC Options Purchased

                    
Description    Counterparty    Put/
Call
     Strike
Price
     Expiration
Date
   Contracts      Value  

NH Hotel Group SA

   Morgan Stanley & Co. International PLC      Call         EUR         5.11       01/06/16      75,000       $ 4,434   

 

Exchange-Traded Options Written

                 
Description    Put/
Call
     Strike
Price
     Expiration
Date
   Contracts      Value  

Public Service Enterprise Group, Inc.

     Call         USD         40.90       1/04/16      429       $ (110

Alibaba Group Holding Ltd. — ADR

     Call         USD         89.00       1/08/16      201         (804

Alphabet, Inc., Class A

     Call         USD         785.00       1/08/16      16         (9,200

Alphabet, Inc., Class C

     Call         USD         767.50       1/08/16      39         (15,210

Altria Group, Inc.

     Call         USD         58.50       1/08/16      352         (14,608

Amazon.com, Inc.

     Call         USD         675.00       1/08/16      4         (3,880

American Airlines Group, Inc.

     Call         USD         47.00       1/08/16      498         (3,984

Apple, Inc.

     Call         USD         120.00       1/08/16      211         (633

Bristol-Myers Squibb Co.

     Call         USD         69.50       1/08/16      169         (8,028

Celgene Corp.

     Call         USD         114.00       1/08/16      99         (71,775

Citigroup, Inc.

     Call         USD         54.50       1/08/16      299         (598

Citigroup, Inc.

     Call         USD         55.00       1/08/16      158         (474

Comcast Corp., Class A

     Call         USD         61.50       1/08/16      314         (942

Eli Lilly & Co.

     Call         USD         86.50       1/08/16      220         (11,660

Hartford Financial Services Group, Inc.

     Call         USD         46.50       1/08/16      210         (5,460

Hartford Financial Services Group, Inc.

     Call         USD         47.50       1/08/16      161         (3,864

JD.com, Inc. — ADR

     Call         USD         33.00       1/08/16      280         (11,200

MasterCard, Inc., Class A

     Call         USD         97.50       1/08/16      371         (34,503

McDonald’s Corp.

     Call         USD         115.00       1/08/16      290         (107,300

McDonald’s Corp.

     Call         USD         117.00       1/08/16      321         (65,966

Merck & Co., Inc.

     Call         USD         54.01       1/08/16      123         (3,703

Monsanto Co.

     Call         USD         101.00       1/08/16      9         (608

Pioneer Natural Resources Co.

     Call         USD         147.00       1/08/16      55         (2,475

Roper Industries, Inc.

     Call         USD         191.10       1/08/16      160         (23,191

UnitedHealth Group, Inc.

     Call         USD         119.00       1/08/16      194         (16,296

Vodafone Group PLC — ADR

     Call         USD         33.00       1/08/16      390         (5,460

 

See Notes to Financial Statements.

 

50    ANNUAL REPORT    DECEMBER 31, 2015     


Schedule of Investments (continued)      BlackRock Global Opportunities Equity Trust (BOE)   

 

 

Description    Put/
Call
    

Strike

Price

     Expiration
Date
   Contracts      Value  

Walt Disney Co.

     Call         USD         116.00       1/13/16      213       $ (540

Adobe Systems, Inc.

     Call         USD         95.00       1/15/16      328         (40,344

Alibaba Group Holding Ltd. — ADR

     Call         USD         82.50       1/15/16      132         (18,546

Alphabet, Inc., Class C

     Call         USD         730.00       1/15/16      27         (90,990

Alphabet, Inc., Class C

     Call         USD         750.00       1/15/16      25         (45,125

Altria Group, Inc.

     Call         USD         57.50       1/15/16      50         (6,175

Amazon.com, Inc.

     Call         USD         695.00       1/15/16      57         (31,777

American Airlines Group, Inc.

     Call         USD         46.00       1/15/16      160         (2,080

Amgen, Inc.

     Call         USD         160.00       1/15/16      105         (49,087

Assured Guaranty Ltd.

     Call         USD         29.00       1/15/16      622         (10,885

Autodesk, Inc.

     Call         USD         62.50       1/15/16      390         (26,520

Autodesk, Inc.

     Call         USD         65.00       1/15/16      339         (6,441

Becton Dickinson and Co.

     Call         USD         155.00       1/15/16      212         (34,980

Boston Scientific Corp.

     Call         USD         19.00       1/15/16      866         (11,691

Bristol-Myers Squibb Co.

     Call         USD         70.00       1/15/16      440         (27,280

Celgene Corp.

     Call         USD         120.00       1/15/16      287         (85,382

Cigna Corp.

     Call         USD         145.00       1/15/16      170         (71,315

Citigroup, Inc.

     Call         USD         55.00       1/15/16      317         (3,962

Concho Resources, Inc.

     Call         USD         115.00       1/15/16      220         (3,300

Credicorp Ltd.

     Call         USD         105.00       1/15/16      124         (1,860

Delphi Automotive PLC

     Call         USD         87.50       1/15/16      160         (16,000

Discover Financial Services

     Call         USD         57.50       1/15/16      11         (275

Discover Financial Services

     Call         USD         58.01       1/15/16      290         (1,093

Eastman Chemical Co.

     Call         USD         70.75       1/15/16      260         (12,017

Element Financial Corp.

     Call         CAD         18.00       1/15/16      256         (2,498

Eli Lilly & Co.

     Call         USD         82.50       1/15/16      135         (39,150

Encana Corp.

     Call         CAD         10.00       1/15/16      60         (260

Encana Corp.

     Call         CAD         13.00       1/15/16      400         (1,733

Energy Transfer Partners LP

     Call         USD         37.50       1/15/16      389         (14,587

Energy Transfer Partners LP

     Call         USD         40.00       1/15/16      389         (5,835

EOG Resources, Inc.

     Call         USD         85.00       1/15/16      125         (2,500

Facebook, Inc., Class A

     Call         USD         115.00       1/15/16      188         (1,034

FirstEnergy Corp.

     Call         USD         31.00       1/15/16      860         (90,300

Hartford Financial Services Group, Inc.

     Call         USD         47.00       1/15/16      320         (8,000

Hortonworks, Inc.

     Call         USD         20.00       1/15/16      532         (114,380

Hortonworks, Inc.

     Call         USD         22.50       1/15/16      335         (25,125

Humana, Inc.

     Call         USD         175.00       1/15/16      130         (66,950

JD.com, Inc. — ADR

     Call         USD         34.00       1/15/16      280         (11,200

Lam Research Corp.

     Call         USD         80.00       1/15/16      190         (25,175

LendingClub Corp.

     Call         USD         14.00       1/15/16      574         (8,610

Lowe’s Cos., Inc.

     Call         USD         75.00       1/15/16      184         (32,292

Macquarie Infrastructure Corp.

     Call         USD         75.00       1/15/16      196         (8,820

McDonald’s Corp.

     Call         USD         115.00       1/15/16      347         (134,462

Medtronic PLC

     Call         USD         77.50       1/15/16      280         (20,860

Merck & Co., Inc.

     Call         USD         52.50       1/15/16      32         (3,072

Mondelez International, Inc., Class A

     Call         USD         46.00       1/15/16      216         (7,884

Monsanto Co.

     Call         USD         97.50       1/15/16      140         (33,950

New Relic, Inc.

     Call         USD         40.00       1/15/16      104         (4,680

Pioneer Natural Resources Co.

     Call         USD         145.00       1/15/16      110         (2,750

Platform Specialty Products Corp.

     Call         USD         12.50       1/15/16      500         (42,500

PPL Corp.

     Call         USD         34.00       1/15/16      380         (19,950

Priceline Group, Inc.

     Call         USD         1,365.00       1/15/16      20         (2,300

Sherwin-Williams Co.

     Call         USD         280.00       1/15/16      35         (1,050

St. Jude Medical, Inc.

     Call         USD         65.00       1/15/16      460         (10,350

UnitedHealth Group, Inc.

     Call         USD         120.00       1/15/16      94         (9,541

Vodafone Group PLC — ADR

     Call         USD         32.00       1/15/16      407         (28,897

WisdomTree Investments, Inc.

     Call         USD         21.75       1/15/16      250         (12,500

WisdomTree Investments, Inc.

     Call         USD         22.75       1/15/16      250         (6,250

Alibaba Group Holding Ltd. — ADR

     Call         USD         84.50       1/22/16      130         (15,600

Alphabet, Inc., Class A

     Call         USD         785.00       1/22/16      60         (85,800

Alphabet, Inc., Class C

     Call         USD         755.00       1/22/16      39         (78,390

Altria Group, Inc.

     Call         USD         58.00       1/22/16      386         (40,916

American Airlines Group, Inc.

     Call         USD         46.00       1/22/16      187         (4,956

Amgen, Inc.

     Call         USD         165.00       1/22/16      105         (26,302

Bristol-Myers Squibb Co.

     Call         USD         70.00       1/22/16      137         (11,576

 

See Notes to Financial Statements.

 

     ANNUAL REPORT    DECEMBER 31, 2015    51


Schedule of Investments (continued)      BlackRock Global Opportunities Equity Trust (BOE)   

 

Description    Put/
Call
    

Strike

Price

     Expiration
Date
   Contracts      Value  

Citigroup, Inc.

     Call         USD         55.50       1/22/16      470       $ (6,345

Citigroup, Inc.

     Call         USD         56.00       1/22/16      158         (1,659

Comcast Corp., Class A

     Call         USD         61.00       1/22/16      324         (2,106

EOG Resources, Inc.

     Call         USD         82.00       1/22/16      227         (2,384

Facebook, Inc., Class A

     Call         USD         109.00       1/22/16      27         (2,498

MasterCard, Inc., Class A

     Call         USD         99.50       1/22/16      386         (31,652

McDonald’s Corp.

     Call         USD         118.00       1/22/16      66         (13,794

Medtronic PLC

     Call         USD         78.00       1/22/16      100         (7,050

Medtronic PLC

     Call         USD         78.50       1/22/16      74         (3,959

Merck & Co., Inc.

     Call         USD         54.00       1/22/16      163         (6,683

Micron Technology, Inc.

     Call         USD         16.00       1/22/16      445         (4,005

Monsanto Co.

     Call         USD         99.50       1/22/16      140         (22,960

Pioneer Natural Resources Co.

     Call         USD         150.00       1/22/16      16         (800

Roper Industries, Inc.

     Call         USD         191.10       1/22/16      160         (45,870

Vodafone Group PLC — ADR

     Call         USD         32.00       1/22/16      407         (32,153

Walt Disney Co.

     Call         USD         117.00       1/22/16      106         (1,060

Alibaba Group Holding Ltd. — ADR

     Call         USD         87.00       1/29/16      210         (25,095

Altria Group, Inc.

     Call         USD         59.00       1/29/16      197         (14,775

Bristol-Myers Squibb Co.

     Call         USD         70.00       1/29/16      137         (16,303

Citigroup, Inc.

     Call         USD         53.50       1/29/16      270         (17,685

Comcast Corp., Class A

     Call         USD         58.00       1/29/16      166         (9,711

EOG Resources, Inc.

     Call         USD         82.00       1/29/16      227         (4,540

Facebook, Inc., Class A

     Call         USD         109.00       1/29/16      150         (25,875

Hartford Financial Services Group, Inc.

     Call         USD         46.00       1/29/16      390         (9,750

JD.com, Inc. — ADR

     Call         USD         34.00       1/29/16      280         (20,300

Lowe’s Cos., Inc.

     Call         USD         76.00       1/29/16      186         (29,412

Medtronic PLC

     Call         USD         78.00       1/29/16      264         (24,156

Medtronic PLC

     Call         USD         78.50       1/29/16      38         (2,717

Merck & Co., Inc.

     Call         USD         52.50       1/29/16      32         (4,208

Merck & Co., Inc.

     Call         USD         53.00       1/29/16      31         (3,084

Mobileye NV

     Call         USD         42.00       1/29/16      172         (43,430

Mondelez International, Inc., Class A

     Call         USD         45.00       1/29/16      210         (25,822

Shire PLC — ADR

     Call         USD         202.50       1/29/16      69         (65,205

Teva Pharmaceutical Industries Ltd. — ADR

     Call         USD         66.50       1/29/16      370         (40,145

Union Pacific Corp.

     Call         USD         80.50       1/29/16      213         (26,199

UnitedHealth Group, Inc.

     Call         USD         120.00       1/29/16      94         (21,150

Becton Dickinson and Co.

     Call         USD         155.01       2/05/16      20         (6,306

Citigroup, Inc.

     Call         USD         55.00       2/05/16      100         (3,700

Facebook, Inc., Class A

     Call         USD         109.00       2/05/16      344         (81,184

Hartford Financial Services Group, Inc.

     Call         USD         44.50       2/05/16      198         (18,216

Merck & Co., Inc.

     Call         USD         53.50       2/05/16      193         (19,493

Discover Financial Services

     Call         USD         56.00       2/12/16      320         (24,000

Alibaba Group Holding Ltd. — ADR

     Call         USD         80.00       2/19/16      129         (65,145

Allergan PLC

     Call         USD         320.00       2/19/16      80         (63,200

Amgen, Inc.

     Call         USD         165.00       2/19/16      56         (26,880

Boston Scientific Corp.

     Call         USD         19.00       2/19/16      880         (38,720

Citigroup, Inc.

     Call         USD         55.00       2/19/16      73         (3,906

Comcast Corp., Class A

     Call         USD         60.00       2/19/16      165         (8,992

Credicorp Ltd.

     Call         USD         105.00       2/19/16      124         (16,430

Delphi Automotive PLC

     Call         USD         90.00       2/19/16      160         (24,800

Element Financial Corp.

     Call         CAD         17.00       2/19/16      650         (33,118

Eli Lilly & Co.

     Call         USD         85.00       2/19/16      130         (35,360

Hain Celestial Group, Inc.

     Call         USD         45.00       2/19/16      290         (27,550

Merck & Co., Inc.

     Call         USD         55.00       2/19/16      30         (1,815

Mobileye NV

     Call         USD         43.00       2/19/16      172         (47,730

Mondelez International, Inc., Class A

     Call         USD         47.00       2/19/16      209         (16,406

Royal Bank of Canada

     Call         CAD         76.00       2/19/16      674         (37,507

Sherwin-Williams Co.

     Call         USD         270.00       2/19/16      85         (49,725

Total

                  $ (3,347,305
                 

 

 

 

 

See Notes to Financial Statements.

 

52    ANNUAL REPORT    DECEMBER 31, 2015     


Schedule of Investments (continued)    BlackRock Global Opportunities Equity Trust (BOE)

 

OTC Options Written

                    
Description    Put/
Call
   Counterparty    Expiration
Date
  

Strike

Price

     Contracts      Value  

Delphi Automotive PLC

   Call    Deutsche Bank AG    1/04/16      USD         85.06         37,000       $ (50,321

New Relic, Inc.

   Call    Morgan Stanley & Co. International PLC    1/04/16      USD         39.00         26,000         (215

Adecco SA

   Call    Deutsche Bank AG    1/05/16      CHF         74.86         25,000         (355

Anheuser-Busch InBev SA NV

   Call    Deutsche Bank AG    1/05/16      EUR         110.60         12,100         (53,937

Anheuser-Busch InBev SA NV

   Call    Deutsche Bank AG    1/05/16      EUR         116.45         11,800         (9,028

China Construction Bank Corp., Class H

   Call    UBS AG    1/05/16      HKD         5.48         3,810,000         (3,981

Encana Corp.

   Call    Morgan Stanley & Co. International PLC    1/05/16      CAD         10.91         168,200         (1

Lloyds Banking Group PLC

   Call    Morgan Stanley & Co. International PLC    1/05/16      GBP         0.76         572,500         (1,231

Nintendo Co. Ltd.

   Call    Bank of America N.A.    1/05/16      JPY         20,872.82         13,800         (1

Nordea Bank AB

   Call    Deutsche Bank AG    1/05/16      SEK         98.58         72,500         (10

TransUnion

   Call    Deutsche Bank AG    1/05/16      USD         25.80         11,800         (20,937

Crest Nicholson Holdings PLC

   Call    Morgan Stanley & Co. International PLC    1/06/16      GBP         5.54         13,500         (1,804

Crest Nicholson Holdings PLC

   Call    Morgan Stanley & Co. International PLC    1/06/16      GBP         5.58         13,000         (1,353

Crest Nicholson Holdings PLC

   Call    UBS AG    1/06/16      GBP         5.34         40,000         (13,518

New Relic, Inc.

   Call    Citibank N.A.    1/06/16      USD         38.51         12,000         (675

NH Hotel Group SA

   Call    UBS AG    1/06/16      EUR         5.11         75,000         (4,430

Shire PLC — ADR

   Call    Citibank N.A.    1/06/16      USD         222.42         7,200         (817

Statoil ASA

   Call    Deutsche Bank AG    1/06/16      NOK         144.38         131,200         (6

TransUnion

   Call    Citibank N.A.    1/06/16      USD         26.24         28,000         (40,447

Vivendi SA

   Call    Bank of America N.A.    1/06/16      EUR         19.79         148,000         (39,741

BG Group PLC

   Call    Deutsche Bank AG    1/07/16      GBP         10.47         80,000         (3,210

Cellnex Telecom SAU

   Call    UBS AG    1/07/16      EUR         16.01         70,000         (91,254

Galp Energia SGPS SA

   Call    UBS AG    1/07/16      EUR         10.17         55,000         (36,325

Kennedy-Wilson Holdings, Inc.

   Call    Deutsche Bank AG    1/07/16      USD         24.60         50,000         (7,718

Prudential PLC

   Call    Morgan Stanley & Co. International PLC    1/07/16      GBP         15.04         92,200         (47,118

Samsonite International SA

   Call    Bank of America N.A.    1/07/16      HKD         24.23         128,700         (1,859

Sensata Technologies Holding NV

   Call    Deutsche Bank AG    1/07/16      USD         48.47         42,000         (3,334

UBS Group AG

   Call    UBS AG    1/07/16      CHF         20.50         109,000         (3,295

AstraZeneca PLC

   Call    Morgan Stanley & Co. International PLC    1/08/16      GBP         42.44         47,000         (234,992

Mitsubishi Estate Co. Ltd.

   Call    Bank of America N.A.    1/08/16      JPY         2,663.89         107,000         (922

Roche Holding AG

   Call    UBS AG    1/08/16      CHF         269.47         8,000         (71,881

Crown Holdings, Inc.

   Call    Deutsche Bank AG    1/11/16      USD         52.61         41,000         (8,555

Mondelez International, Inc., Class A

   Call    Morgan Stanley & Co. International PLC    1/11/16      USD         46.40         52,600         (12,352

PPL Corp.

   Call    Credit Suisse International    1/11/16      USD         34.30         68,000         (27,955

Aramark

   Call    Citibank N.A.    1/12/16      USD         31.21         48,000         (62,631

BankUnited, Inc.

   Call    Citibank N.A.    1/12/16      USD         38.28         18,500         (1,370

BankUnited, Inc.

   Call    Credit Suisse International    1/12/16      USD         38.35         4,500         (305

Cellnex Telecom SAU

   Call    UBS AG    1/12/16      EUR         17.34         27,000         (7,051

Daimler AG

   Call    Deutsche Bank AG    1/12/16      EUR         77.94         30,000         (53,648

Eni SpA

   Call    UBS AG    1/12/16      EUR         15.83         35,000         (6

GlaxoSmithKline PLC

   Call    UBS AG    1/12/16      GBP         14.13         35,800         (2,517

Kennedy-Wilson Holdings, Inc.

   Call    Société Générale    1/12/16      USD         25.57         50,000         (2,994

SMC Corp.

   Call    Bank of America N.A.    1/12/16      JPY         33,374.40         5,900         (9,295

Worldpay Group PLC

   Call    Morgan Stanley & Co. International PLC    1/12/16      GBP         3.09         220,000         (12,457

Worldpay Group PLC

   Call    UBS AG    1/12/16      GBP         3.09         220,000         (11,455

BG Group PLC

   Call    Deutsche Bank AG    1/13/16      GBP         10.57         80,000         (5,999

Crest Nicholson Holdings PLC

   Call    Morgan Stanley & Co. International PLC    1/13/16      GBP         5.26         102,000         (48,313

Lloyds Banking Group PLC

   Call    Morgan Stanley & Co. International PLC    1/13/16      GBP         0.75         2,252,500         (20,826

Nordea Bank AB

   Call    Morgan Stanley & Co. International PLC    1/13/16      SEK         98.58         72,500         (2,241

Public Service Enterprise Group, Inc.

   Call    Citibank N.A.    1/13/16      USD         39.99         23,600         (4,858

TransUnion

   Call    Société Générale    1/13/16      USD         26.05         28,000         (44,907

Cellnex Telecom SAU

   Call    Morgan Stanley & Co. International PLC    1/14/16      EUR         17.28         52,000         (16,998

CRRC Corp. Ltd., Class H

   Call    Bank of America N.A.    1/14/16      HKD         10.36         532,000         (3,036

Eni SpA

   Call    UBS AG    1/14/16      EUR         14.29         88,000         (6,557

New Relic, Inc.

   Call    Morgan Stanley & Co. International PLC    1/14/16      USD         39.00         26,000         (4,001

Samsonite International SA

   Call    Bank of America N.A.    1/14/16      HKD         24.08         222,000         (7,800

InterXion Holding NV

   Call    Citibank N.A.    1/19/16      USD         31.33         40,000         (19,727

BAE Systems PLC

   Call    Credit Suisse International    1/20/16      GBP         4.85         256,000         (72,803

Cellnex Telecom SAU

   Call    UBS AG    1/20/16      EUR         17.19         31,000         (13,647

Crest Nicholson Holdings PLC

   Call    Morgan Stanley & Co. International PLC    1/20/16      GBP         5.08         102,000         (73,627

 

See Notes to Financial Statements.

 

     ANNUAL REPORT    DECEMBER 31, 2015    53


Schedule of Investments (continued)    BlackRock Global Opportunities Equity Trust (BOE)

 

Description    Put/
Call
   Counterparty    Expiration
Date
  

Strike

Price

     Contracts      Value  

CRRC Corp. Ltd., Class H

   Call    Bank of America N.A.    1/20/16      HKD         10.36         532,000       $ (4,707

Daimler AG

   Call    Deutsche Bank AG    1/20/16      EUR         79.79         21,100         (18,852

Green REIT PLC

   Call    Goldman Sachs International    1/20/16      EUR         1.61         129,000         (2,995

Largan Precision Co. Ltd.

   Call    BNP Paribas S.A.    1/20/16      TWD         2,619.27         36,000         (16,839

Lowe’s Cos., Inc.

   Call    Credit Suisse International    1/20/16      USD         75.83         23,500         (31,079

Sensata Technologies Holding NV

   Call    Credit Suisse International    1/20/16      USD         47.13         29,800         (22,533

SoftBank Group Corp.

   Call    BNP Paribas S.A.    1/20/16      JPY         6,680.95         33,000         (7,416

Taiwan Semiconductor Manufacturing Co. Ltd.

   Call    UBS AG    1/20/16      TWD         141.11         393,000         (50,614

Unibail-Rodamco SE

   Call    Bank of America N.A.    1/20/16      EUR         231.19         10,200         (74,354

Catcher Technology Co. Ltd.

   Call    UBS AG    1/21/16      TWD         303.16         90,000         (2,598

Diageo PLC

   Call    Deutsche Bank AG    1/21/16      GBP         19.32         111,000         (15,702

Galp Energia SGPS SA

   Call    Morgan Stanley & Co. International PLC    1/21/16      EUR         9.44         90,000         (129,938

Panasonic Corp.

   Call    Bank of America N.A.    1/21/16      JPY         1,432.59         64,000         (384

Samsonite International SA

   Call    Bank of America N.A.    1/21/16      HKD         24.09         231,000         (11,436

SoftBank Group Corp.

   Call    BNP Paribas S.A.    1/21/16      JPY         6,309.41         46,000         (23,446

Unilever PLC

   Call    Bank of America N.A.    1/21/16      GBP         29.27         60,500         (43,342

AIA Group Ltd.

   Call    UBS AG    1/22/16      HKD         49.63         500,000         (12,067

Cellnex Telecom SAU

   Call    Morgan Stanley & Co. International PLC    1/22/16      EUR         17.36         104,000         (38,514

Koninklijke Philips NV

   Call    Morgan Stanley & Co. International PLC    1/22/16      EUR         25.79         124,000         (3,039

Nordea Bank AB

   Call    Morgan Stanley & Co. International PLC    1/22/16      SEK         92.66         149,500         (36,303

Alps Electric Co. Ltd.

   Call    Morgan Stanley & Co. International PLC    1/26/16      JPY         3,370.12         98,000         (57,524

Aramark

   Call    Citibank N.A.    1/26/16      USD         33.42         13,400         (6,963

Aramark

   Call    Credit Suisse International    1/26/16      USD         30.50         49,000         (101,425

BankUnited, Inc.

   Call    Citibank N.A.    1/26/16      USD         37.73         46,700         (21,034

Carnival Corp.

   Call    Morgan Stanley & Co. International PLC    1/26/16      USD         52.59         18,500         (54,573

Kennedy-Wilson Holdings, Inc.

   Call    Morgan Stanley & Co. International PLC    1/26/16      USD         25.71         33,000         (5,462

SABMiller PLC

   Call    Deutsche Bank AG    1/26/16      GBP         40.68         41,400         (25,687

SMC Corp.

   Call    BNP Paribas S.A.    1/26/16      JPY         31,583.32         4,900         (36,898

Societe Generale SA

   Call    Deutsche Bank AG    1/26/16      EUR         42.64         25,000         (30,596

Anheuser-Busch InBev SA NV

   Call    Morgan Stanley & Co. International PLC    1/27/16      EUR         118.65         11,700         (16,726

Cellnex Telecom SAU

   Call    UBS AG    1/27/16      EUR         17.19         31,000         (15,498

Crest Nicholson Holdings PLC

   Call    UBS AG    1/27/16      GBP         5.44         18,600         (6,322

Eastman Chemical Co.

   Call    Citibank N.A.    1/27/16      USD         68.78         9,200         (14,184

Eastman Chemical Co.

   Call    Citibank N.A.    1/27/16      USD         72.91         18,200         (6,799

Encana Corp.

   Call    Credit Suisse International    1/27/16      CAD         10.40         180,000         (991

Galp Energia SGPS SA

   Call    UBS AG    1/27/16      EUR         10.21         85,000         (68,541

InterXion Holding NV

   Call    Citibank N.A.    1/27/16      USD         30.13         40,000         (46,058

Koninklijke Philips NV

   Call    UBS AG    1/27/16      EUR         24.50         43,000         (9,561

Lloyds Banking Group PLC

   Call    Goldman Sachs International    1/27/16      GBP         0.73         680,000         (21,507

Lloyds Banking Group PLC

   Call    Morgan Stanley & Co. International PLC    1/27/16      GBP         0.75         1,085,000         (23,374

Panasonic Corp.

   Call    Bank of America N.A.    1/27/16      JPY         1,382.43         189,400         (6,720

Worldpay Group PLC

   Call    Morgan Stanley & Co. International PLC    1/27/16      GBP         2.97         220,000         (42,555

Adecco SA

   Call    Bank of America N.A.    1/28/16      CHF         71.54         25,000         (13,151

AstraZeneca PLC

   Call    Bank of America N.A.    1/28/16      GBP         46.04         10,000         (13,026

Cellnex Telecom SAU

   Call    Morgan Stanley & Co. International PLC    1/28/16      EUR         17.45         104,000         (39,664

China Construction Bank Corp., Class H

   Call    UBS AG    1/28/16      HKD         5.48         3,810,000         (27,756

Galp Energia SGPS SA

   Call    Morgan Stanley & Co. International PLC    1/28/16      EUR         10.31         140,000         (103,936

Green REIT PLC

   Call    Morgan Stanley & Co. International PLC    1/28/16      EUR         1.62         129,000         (2,998

Lloyds Banking Group PLC

   Call    Morgan Stanley & Co. International PLC    1/28/16      GBP         0.75         570,000         (9,759

Mitsubishi Estate Co. Ltd.

   Call    Bank of America N.A.    1/28/16      JPY         2,663.89         107,000         (11,787

Samsonite International SA

   Call    Bank of America N.A.    1/28/16      HKD         23.55         82,200         (7,197

Statoil ASA

   Call    Bank of America N.A.    1/28/16      NOK         137.28         55,000         (9,590

Sumitomo Mitsui Financial Group, Inc.

   Call    BNP Paribas S.A.    1/28/16      JPY         4,893.65         64,800         (12,624

Adobe Systems, Inc.

   Call    Deutsche Bank AG    1/29/16      USD         94.71         18,300         (37,350

Boston Scientific Corp.

   Call    UBS AG    1/29/16      USD         18.87         84,000         (24,741

Carnival Corp.

   Call    Morgan Stanley & Co. International PLC    1/29/16      USD         53.65         18,500         (38,236

Lam Research Corp.

   Call    Deutsche Bank AG    1/29/16      USD         80.03         19,000         (46,287

Unilever PLC

   Call    UBS AG    2/02/16      GBP         28.55         74,000         (117,346

Worldpay Group PLC

   Call    Morgan Stanley & Co. International PLC    2/02/16      GBP         3.11         79,000         (6,855

CRRC Corp. Ltd., Class H

   Call    BNP Paribas S.A.    2/03/16      HKD         10.05         1,250,000         (35,001

 

See Notes to Financial Statements.

 

54    ANNUAL REPORT    DECEMBER 31, 2015     


Schedule of Investments (continued)    BlackRock Global Opportunities Equity Trust (BOE)

 

Description    Put/
Call
   Counterparty    Expiration
Date
  

Strike

Price

     Contracts      Value  

Fomento Economico Mexicano SAB de CV — ADR

   Call    Morgan Stanley & Co. International PLC    2/03/16      USD         96.35         39,000       $ (77,068

Public Service Enterprise Group, Inc.

   Call    Deutsche Bank AG    2/03/16      USD         40.45         19,900         (6,113

Taiwan Semiconductor Manufacturing Co. Ltd.

   Call    UBS AG    2/03/16      TWD         143.82         386,000         (44,695

AIA Group Ltd.

   Call    Bank of America N.A.    2/04/16      HKD         48.74         500,000         (35,832

Anheuser-Busch InBev SA NV

   Call    Morgan Stanley & Co. International PLC    2/04/16      EUR         115.93         29,000         (87,846

AstraZeneca PLC

   Call    Deutsche Bank AG    2/04/16      GBP         45.05         34,000         (80,452

BankUnited, Inc.

   Call    Credit Suisse International    2/04/16      USD         38.11         50,000         (15,756

Nintendo Co. Ltd.

   Call    Morgan Stanley & Co. International PLC    2/04/16      JPY         19,928.11         12,000         (4,751

Roche Holding AG

   Call    UBS AG    2/04/16      CHF         271.44         8,700         (90,259

SABMiller PLC

   Call    Deutsche Bank AG    2/04/16      GBP         40.68         41,400         (30,635

Samsonite International SA

   Call    Citibank N.A.    2/04/16      HKD         22.59         234,000         (38,061

Sumitomo Mitsui Financial Group, Inc.

   Call    BNP Paribas S.A.    2/04/16      JPY         4,709.66         46,000         (27,511

Unibail-Rodamco SE

   Call    Morgan Stanley & Co. International PLC    2/04/16      EUR         236.54         10,100         (72,650

Eni SpA

   Call    UBS AG    2/05/16      EUR         14.33         121,000         (27,302

Aramark

   Call    Citibank N.A.    2/08/16      USD         34.18         46,400         (23,366

Boston Scientific Corp.

   Call    Citibank N.A.    2/08/16      USD         18.60         47,700         (27,665

BAE Systems PLC

   Call    UBS AG    2/09/16      GBP         5.14         200,000         (24,135

Crest Nicholson Holdings PLC

   Call    Morgan Stanley & Co. International PLC    2/09/16      GBP         5.29         75,000         (39,537

Diageo PLC

   Call    Deutsche Bank AG    2/09/16      GBP         18.58         93,500         (62,705

Element Financial Corp.

   Call    Citibank N.A.    2/09/16      CAD         17.06         64,000         (31,770

FANUC Corp.

   Call    BNP Paribas S.A.    2/09/16      JPY         22,335.14         20,000         (40,147

FirstEnergy Corp.

   Call    UBS AG    2/09/16      USD         32.16         42,000         (21,798

Kennedy-Wilson Holdings, Inc.

   Call    Morgan Stanley & Co. International PLC    2/09/16      USD         25.40         48,000         (15,520

TransUnion

   Call    Deutsche Bank AG    2/09/16      USD         25.95         54,800         (127,347

Vivendi SA

   Call    Bank of America N.A.    2/09/16      EUR         19.99         16,000         (5,944

Cellnex Telecom SAU

   Call    Bank of America N.A.    2/10/16      EUR         17.17         80,000         (49,888

Prudential PLC

   Call    UBS AG    2/10/16      GBP         15.57         88,000         (46,229

GlaxoSmithKline PLC

   Call    Bank of America N.A.    2/11/16      GBP         13.81         125,000         (61,820

Statoil ASA

   Call    Bank of America N.A.    2/11/16      NOK         126.63         56,000         (33,910

UBS Group AG

   Call    Morgan Stanley & Co. International PLC    2/11/16      CHF         19.75         94,000         (50,690

New Relic, Inc.

   Call    Barclays Bank PLC    2/12/16      USD         38.37         39,300         (32,126

BAE Systems PLC

   Call    Deutsche Bank AG    2/16/16      GBP         4.97         173,400         (42,936

Assured Guaranty Ltd.

   Call    Citibank N.A.    2/17/16      USD         27.33         85,000         (88,278

Naspers Ltd., N Shares

   Call    Deutsche Bank AG    2/24/16      ZAR         2,181.18         36,700         (195,961

Societe Generale SA

   Call    UBS AG    2/25/16      EUR         45.01         37,000         (32,176

New Relic, Inc.

   Call    Credit Suisse International    2/26/16      USD         38.08         33,000         (37,391

Kennedy-Wilson Holdings, Inc.

   Call    Deutsche Bank AG    2/29/16      USD         24.72         31,000         (20,893

Total

                     $ (4,776,270
                    

 

 

 

 

       Transactions in Options Written for the Year Ended December 31, 2015

 

       Calls           Puts
  

 

 

      

 

       Contracts       
 
Premiums
Received
  
  
     Contracts    Premiums
Received
         

 

Outstanding options at beginning of year

     16,891,194      $ 11,403,065           

Options written

     182,680,845        96,858,817           

Options expired

     (88,854,008     (36,781,963        

Options closed

     (84,348,868     (59,287,334        

Options exercised

     (78,816     (275,928        
  

 

 

      

 

Outstanding options at end of year

     26,290,347      $ 11,916,657           
  

 

 

      

 

As of period end, the value of portfolio securities subject to covered call options written was $453,958,693.

 

See Notes to Financial Statements.

 

     ANNUAL REPORT    DECEMBER 31, 2015    55


Schedule of Investments (continued)    BlackRock Global Opportunities Equity Trust (BOE)

 

 

      Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments were as follows:

 

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

Assets - Derivative Financial Instruments

                                         

Options purchased

   Investments at value — unaffiliated1         $ 6,934             $ 6,934   

Liabilities - Derivative Financial Instruments

                                         

Options written

   Options written, at value         $ 8,123,575                 $ 8,123,575   

 

  1   

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

For the year ended December 31, 2015, the effect of derivative financial instruments in the Statements of Operations was as follow:

 

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

Net Realized Gain (Loss) from:

                                    

Options purchased1

         $ 9,166            $ 9,166   

Options written

           (260,651           (260,651
  

 

 

Total

         $ (251,485         $ (251,485
  

 

 
                

Net Change in Unrealized Appreciation (Depreciation) on:

                                    

Options purchased2

         $ (29,255         $ (29,255

Options written

           3,104,107              3,104,107   
  

 

 

Total

         $ 3,074,852            $ 3,074,852   
  

 

 

 

  1   

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

 

  2   

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

 

      Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Options:

        

Average value of option contracts purchased1

   $ 181,238   

Average value of option contracts written

   $ 8,827,972   

 

  1   

Actual amounts for the period are shown due to limited outstanding derivative financial instruments as of each quarter.

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

   $ 6,934 1    $ 8,123,575   
  

 

 

 

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

     (2,500     (3,347,305
  

 

 

 

Total derivative assets and liabilities subject to an MNA

   $ 4,434      $ 4,776,270   
  

 

 

 

 

  1   

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

 

See Notes to Financial Statements.

 

56    ANNUAL REPORT    DECEMBER 31, 2015     


Schedule of Investments (continued)      BlackRock Global Opportunities Equity Trust (BOE)   

 

The following table presents the Trust’s derivative assets and liabilities by counterparty net of amounts available for offset under an Master Netting Agreement (“MNA”) and net of the related collateral pledged by the Trust:

 

      Gross Amounts Not Offset in the Statements of Assets and Liabilities
and Subject to an MNA
Counterparty    Derivative Assets
Subject to an MNA by
Counterparty
   Derivatives Available
for Offset1
  Non-cash
Collateral
Received
  Cash
Collateral
Received
   Net Amount of
Derivative Assets

Morgan Stanley & Co. International PLC

       $      4,434          $(4,434)                           
      Gross Amounts Not Offset in the Consolidated Statements of Assets and Liabilities
and Subject to an MNA
Counterparty    Derivative Liabilities
Subject to an MNA by
Counterparty
   Derivatives Available
for Offset1
  Non-cash
Collateral
Pledged2
  Cash
Collateral
Pledged
   Net Amount of
Derivative
Liabilities3

Bank of America N.A.

     $ 445,742                $ (445,742 )                 

Barclays Bank PLC

       32,126                                 $ 32,126  

BNP Paribas S.A.

       199,882                  (122,275 )                77,607  

Citibank N.A.

       434,703                  (434,703 )                 

Credit Suisse International

       310,238                  (310,238 )                 

Deutsche Bank AG

       958,574                  (958,574 )                 

Goldman Sachs International

       24,502                  (24,502 )                 

Morgan Stanley & Co. International PLC

       1,435,047          $(4,434       (1,430,613 )                 

Société Générale

       47,901                                   47,901  

UBS AG

       887,555                  (887,555 )                 
    

 

 

 

Total

     $ 4,776,270          $(4,434     $ (4,614,202 )              $ 157,634  
    

 

 

 

 

  1   

The amount of derivatives available for offset is limited to the amount of derivative assets and/or liabilities that are subject to an MNA.

 

  2   

Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes.

 

  3   

Net amount represents the net amount payable due to the 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:

                   

Australia

     $ 639,954                          $ 639,954  

Belgium

              $   14,704,641                   14,704,641  

Canada

       14,558,127                            14,558,127  

China

       17,019,621          14,518,755                   31,538,376  

France

       3,439,684          20,835,610                   24,275,294  

Germany

       1,466,538          7,667,792                   9,134,330  

Hong Kong

                10,793,988                   10,793,988  

India

       6,681,637          9,834,475                   16,516,112  

Indonesia

                5,543,302                   5,543,302  

Ireland

       5,239,800          8,123,988                   13,363,788  

Israel

       4,890,180                            4,890,180  

Italy

                6,614,906                   6,614,906  

Japan

       4,950,643          45,169,980                   50,120,623  

Mexico

       6,519,910                            6,519,910  

Netherlands

       4,350,645          7,770,650                   12,121,295  

New Zealand

                4,728,593                   4,728,593  

Norway

                6,126,260                   6,126,260  

Peru

       4,387,088                            4,387,088  

Portugal

       7,833,474                            7,833,474  

 

See Notes to Financial Statements.

 

     ANNUAL REPORT    DECEMBER 31, 2015    57


Schedule of Investments (continued)      BlackRock Global Opportunities Equity Trust (BOE)   

 

      Level 1   Level 2   Level 3    Total

Assets: (concluded)

                 

Investments: (concluded)

                 

Long-Term Investments: (concluded)

                 

Common Stocks: (concluded)

                 

South Africa

             $ 9,041,668                $ 9,041,668  

Spain

               18,778,916                  18,778,916  

Sweden

               5,828,835                  5,828,835  

Switzerland

     $ 7,148,284         14,609,684                  21,757,968  

Taiwan

       4,422,930         8,834,975                  13,257,905  

United Kingdom

       46,516,797         82,542,298       $ 5,237,738          134,296,833  

United States

       503,011,141         4,893,467         3,948,210          511,852,818  

Investment Companies

               5,322,251                  5,322,251  

Preferred Stocks

                       26,668,421          26,668,421  

Short-Term Securities

       6,389,331         427,550                  6,816,881  

Options Purchased

       2,500         4,434                  6,934  
    

 

 

 

Total

     $ 649,468,284       $ 312,717,018       $ 35,854,369        $ 998,039,671  
    

 

 

 
                 
      Level 1   Level 2   Level 3    Total

Derivative Financial Instruments1

                 

Liabilities:

                 

Equity contracts

     $ (3,199,244 )     $ (4,924,331 )              $ (8,123,575 )
    

 

 

 

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

       

The Trust may hold assets in which the fair value approximates the carrying amount for financial statement purposes. As of period end, such assets are categorized within the disclosure hierarchy as follows:    
                 
      Level 1   Level 2   Level 3    Total

Assets:

                 

Foreign currency at value

     $ 402,399                        $ 402,399  

Liabilities:

                 

Collateral on securities loaned at value

             $ (427,550 )                (427,550 )
    

 

 

 

Total

     $ 402,399       $ (427,550 )              $ (25,151 )
    

 

 

 
Transfers between Level 1 and Level 2 were as follow:                  
                 
      Transfers into
Level 11
  Transfers out of
Level 1 2
  Transfers into
Level 2 2
   Transfers out of
Level 21

Assets:

                 

Investments:

                 

Long-Term Investments:

                 

Common Stocks

     $ 6,037,361       $ (11,361,159 )     $ 11,361,159        $ (6,037,361 )

Investment Companies

               (4,973,677 )       4,973,677           
    

 

 

 

Total

     $ 6,037,361       $ (16,334,836 )     $ 16,334,836        $ (6,037,361 )
    

 

 

 
  1   

Systematic Fair Value Prices were not utilized at period end for these investments.

 

  2   

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.

 

58    ANNUAL REPORT    DECEMBER 31, 2015     


Schedule of Investments (concluded)      BlackRock Global Opportunities Equity 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 year 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, 2014

   $ 10,140,910      $ 14,907,869       $ 25,048,779   

Transfers into Level 3

                      

Transfers out of Level 3

                      

Accrued discounts/premiums

                      

Net realized gain (loss)

                      

Net change in unrealized appreciation/depreciation1,2

     (954,962     11,760,552         10,805,590   

Purchases

                      

Sales

                      
  

 

 

 

Closing Balance, as of December 31, 2015

   $ 9,185,948      $ 26,668,421       $ 35,854,369   
  

 

 

 

Net change in unrealized appreciation/depreciation on investments still held at December 31, 20152

   $ (954,962   $ 11,760,552       $ 10,805,590   
  

 

 

 

 

  1   

Included in the related net change in unrealized appreciation (depreciation) in the Statements of Operations.

 

  2   

Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at December 31, 2015 is generally due to investments no longer held or categorized as Level 3 at period end.

The following table summarizes the valuation techniques 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 Techniques  

Unobservable

Inputs

  Range of
Unobservable Inputs
Utilized
    Weighted Average of
Unobservable Inputs
 

Assets:

         

Common Stocks        

  $ 9,185,948      Market Comparables   Tangible Book Value Multiple1     1.55x - 2.10x        1.86x   

Preferred Stocks

    26,668,421      Market Comparables   Revenue Multiple1     22.92x - 32.79x        29.59x   
      Revenue Growth Rate1     373.00%          
      Revenue Growth Rate1     94.00%          
    Probability-Weighted Expected Return Model   Discount Rate 1     25.00%          
      IPO Exit Probability1     70.00%          
      Merger & Acquisition Probability1     25.00%          
      Revenue Growth Rate 1     86.00%          
      Revenue Multiple 1     1.85x - 3.20x          
      Time to Exit 2     1-3 years          

Total

  $ 35,854,369                           

 

  1   

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.

 

  2   

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.

 

     ANNUAL REPORT    DECEMBER 31, 2015    59


Schedule of Investments December 31, 2015      BlackRock Health Sciences Trust (BME)   
     (Percentages shown are based on Net Assets)   

 

Common Stocks    Shares      Value  

Biotechnology — 29.8%

     

AbbVie, Inc. (a)

     29,586       $ 1,752,675   

ACADIA Pharmaceuticals, Inc. (a)(b)

     9,300         331,545   

Acceleron Pharma, Inc. (a)(b)

     23,700         1,155,612   

Actelion Ltd.

     6,800         944,817   

Alder Biopharmaceuticals, Inc. (a)(b)

     13,600         449,208   

Alexion Pharmaceuticals, Inc. (a)(b)

     40,660         7,755,895   

Alkermes PLC (a)(b)

     27,500         2,182,950   

Alnylam Pharmaceuticals, Inc. (a)(b)

     4,700         442,458   

Amgen, Inc. (a)

     63,222         10,262,827   

Anacor Pharmaceuticals, Inc. (a)(b)

     34,000         3,840,980   

Aquinox Pharmaceuticals, Inc. (b)

     13,100         163,488   

Axovant Sciences Ltd. (b)

     11,400         205,542   

Baxalta, Inc. (a)

     77,300         3,017,019   

Biogen, Inc. (a)(b)

     16,295         4,991,973   

BioMarin Pharmaceutical, Inc. (b)

     13,300         1,393,308   

Celgene Corp. (a)(b)

     101,586         12,165,939   

CytomX Therapeutics, Inc. (Acquired 10/8/15,
cost $261,307) (b)(c)

     28,059         556,312   

Dyax Corp. (b)

     61,727         2,322,170   

Genomic Health, Inc. (b)

     22,400         788,480   

Gilead Sciences, Inc. (a)

     68,400         6,921,396   

Incyte Corp. (a)(b)

     30,500         3,307,725   

Infinity Pharmaceuticals, Inc. (b)

     46,400         364,240   

Inotek Pharmaceuticals Corp. (b)

     26,096         295,668   

Intercept Pharmaceuticals, Inc. (b)

     5,700         851,295   

Ionis Pharmaceuticals, Inc. (a)(b)

     49,500         3,065,535   

Medivation, Inc. (a)(b)

     49,200         2,378,328   

Neurocrine Biosciences, Inc. (a)(b)

     41,262         2,334,191   

Otonomy, Inc. (b)

     8,400         233,100   

ProNAi Therapeutics, Inc. (Acquired 7/16/15,
cost $272,600) (b)(c)

     54,596         780,068   

PTC Therapeutics, Inc. (a)(b)

     16,600         537,840   

Regeneron Pharmaceuticals, Inc. (a)(b)

     8,158         4,428,733   

REGENXBIO, Inc. (Acquired 5/14/15,
cost $343,081) (b)(c)

     35,850         565,354   

Sage Therapeutics, Inc. (b)

     5,342         311,439   

Seattle Genetics, Inc. (a)(b)

     12,467         559,519   

Seres Therapeutics, Inc. (b)

     15,200         533,368   

Seres Therapeutics, Inc. (Acquired 6/26/15,
cost $251,900) (b)(c)

     20,710         726,714   

Ultragenyx Pharmaceutical, Inc. (a)(b)

     17,715         1,987,269   

Vertex Pharmaceuticals, Inc. (a)(b)

     29,305         3,687,448   
     

 

 

 
                88,592,428   

Electronic Equipment, Instruments & Components — 0.5%

  

FEI Co.

     18,800         1,500,052   

Health Care Equipment & Supplies — 16.5%

     

Abbott Laboratories (a)

     121,300         5,447,583   

Baxter International, Inc. (a)

     41,600         1,587,040   

Becton Dickinson and Co. (a)

     28,833         4,442,877   

Boston Scientific Corp. (a)(b)

     519,200         9,574,048   

CONMED Corp.

     12,000         528,600   

Cooper Cos., Inc.

     19,366         2,598,917   

CR Bard, Inc. (a)

     10,900         2,064,896   

Edwards Lifesciences Corp. (a)(b)

     44,298         3,498,656   

Masimo Corp. (b)

     13,353         554,283   

Medtronic PLC (a)

     142,600         10,968,792   

St. Jude Medical, Inc.

     78,500         4,848,945   

Stryker Corp. (a)

     32,100         2,983,374   
     

 

 

 
                49,098,011   
Common Stocks    Shares      Value  

Health Care Providers & Services — 17.9%

     

Aetna, Inc. (a)

     30,011       $ 3,244,789   

Amedisys, Inc. (a)(b)

     35,800         1,407,656   

AmerisourceBergen Corp. (a)

     19,700         2,043,087   

Anthem, Inc. (a)

     47,600         6,637,344   

Cardinal Health, Inc. (a)

     42,930         3,832,361   

Cigna Corp. (a)

     37,000         5,414,210   

Express Scripts Holding Co. (a)(b)

     30,476         2,663,907   

HCA Holdings, Inc. (a)(b)

     10,794         729,998   

HealthEquity, Inc. (b)

     16,900         423,683   

Humana, Inc. (a)

     24,900         4,444,899   

McKesson Corp. (a)

     26,200         5,167,426   

Teladoc, Inc. (b)

     18,800         337,648   

UnitedHealth Group, Inc. (a)(d)

     110,802         13,034,747   

Universal Health Services, Inc., Class B

     27,500         3,285,975   

Wellcare Health Plans, Inc. (a)(b)

     7,100         555,291   
     

 

 

 
                53,223,021   

Health Care Technology — 0.4%

     

Cerner Corp. (a)(b)

     17,600         1,058,992   

Life Sciences Tools & Services — 2.0%

     

Bio-Rad Laboratories, Inc., Class A (a)(b)

     4,500         623,970   

Charles River Laboratories International, Inc. (a)(b)

     18,017         1,448,387   

Thermo Fisher Scientific, Inc. (a)

     28,300         4,014,355   
     

 

 

 
                6,086,712   

Pharmaceuticals — 28.3%

     

Allergan PLC (a)(b)

     27,625         8,632,814   

AstraZeneca PLC

     72,900         4,924,231   

Bristol-Myers Squibb Co. (a)

     137,630         9,467,568   

Chugai Pharmaceutical Co. Ltd.

     25,600         892,329   

Dermira, Inc. (b)

     15,400         532,994   

Eli Lilly & Co. (a)

     135,200         11,391,952   

GlaxoSmithKline PLC

     97,200         1,963,047   

GlaxoSmithKline PLC — ADR

     14,700         593,145   

Intra-Cellular Therapies, Inc. (a)(b)

     51,281         2,758,405   

Jazz Pharmaceuticals PLC (b)

     11,100         1,560,216   

Johnson & Johnson (a)

     52,270         5,369,174   

Mallinckrodt PLC (b)

     23,143         1,727,162   

Merck & Co., Inc. (a)

     92,000         4,859,440   

Merck KGaA

     14,100         1,365,181   

Mylan NV (a)(b)

     78,800         4,260,716   

Nektar Therapeutics (a)(b)

     105,300         1,774,305   

Perrigo Co. PLC (a)

     10,100         1,461,470   

Pfizer, Inc. (a)

     114,400         3,692,832   

Phibro Animal Health Corp., Class A

     21,000         632,730   

Roche Holding AG

     11,600         3,214,458   

Sanofi — ADR

     30,200         1,288,030   

Shire PLC — ADR (a)

     16,000         3,280,000   

Teva Pharmaceutical Industries Ltd. — ADR (a)

     86,800         5,697,552   

UCB SA

     12,300         1,110,242   

Zoetis, Inc. (a)

     39,300         1,883,256   
     

 

 

 
                84,333,249   

Total Common Stocks — 95.4%

  

     283,892,465   
     
                  
 

 

See Notes to Financial Statements.

 

60    ANNUAL REPORT    DECEMBER 31, 2015     


Schedule of Investments (continued)      BlackRock Health Sciences Trust (BME)   

 

Preferred Stocks    Shares      Value  

Biotechnology — 1.8%

     

Acerta Pharma BV, Series B (Acquired 5/6/15,
cost $2,192,003), 0.00% (b)(c)

     190,609       $ 3,896,048   

Afferent Pharmaceuticals, Inc., Series C (Acquired 6/30/15, cost $466,519), 0.00% (b)(c)

     190,160         466,520   

Corvus Pharmaceuticals, Inc. (Acquired 9/11/15,
cost $297,937), 0.00% (b)(c)

     21,266         297,937   

Intellia Therapeutics, Inc. (Acquired 8/19/15,
cost $248,567), 0.00% (b)(c)

     47,346         248,566   

Ovid Therapeutics, Inc. (Acquired 8/7/15,
cost $503,166), 0.00% (b)(c)

     80,765         503,166   
     

 

 

 
                5,412,237   

Pharmaceuticals — 0.2%

     

Syndax Pharmaceuticals, Inc. (Acquired 8/19/15,
cost $495,693), 0.00% (b)(c)

     44,286         495,693   

Total Preferred Stocks — 2.0%

              5,907,930   

Total Long-Term Investments

(Cost — $191,075,239) — 97.4%

              289,800,395   
     
                  
Short-Term Securities    Shares      Value  

BlackRock Liquidity Funds, TempFund,
Institutional Class, 0.23% (e)(f)

     8,854,560       $ 8,854,560   

Total Short-Term Securities

(Cost — $8,854,560) — 3.0%

              8,854,560   

Total Investments Before Options Written

(Cost — $199,929,799) — 100.4%

              298,654,955   
     
Options Written                

(Premiums Received — $2,456,919) — (0.9)%

  

     (2,611,696

Total Investments Net of Options Written — 99.5%

  

     296,043,259   

Other Assets Less Liabilities — 0.5%

  

     1,486,701   
     

 

 

 

Net Assets — 100.0%

  

   $ 297,529,960   
     

 

 

 
 

 

      Notes to Schedule of Investments

 

(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) Restricted securities as to resale, excluding 144A securities. As of period end, the Trust held restricted securities with a current value of $8,536,378 and an original cost of $5,332,773 which was 2.9% of its net assets.

 

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

 

(e) Current yield as of period end.

 

(f) During the year ended December 31, 2015, 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:

 

Affiliates   

Shares

Held at
December 31,
2014

     Net
Activity
    

Shares

Held at
December 31,
2015

     Income      Realized
Gain
 

BlackRock Liquidity Funds, TempFund, Institutional Class

     3,271,616         5,582,944         8,854,560       $ 16,254       $ 894   

BlackRock Liquidity Series, LLC Money Market Series

                           $ 4,7881           

 

  1  

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 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 advisor. These definitions may not apply for purposes of this report, which may combine industry sub-classifications for reporting ease.

 

      Derivative Financial Instruments Outstanding as of Period End

 

Exchange-Traded Options Written                  
Description    Put/
Call
    

Strike

Price

     Expiration
Date
   Contracts      Value  

Allergan PLC

     Call         USD         317.50       1/08/16      104       $ (19,240

Amgen, Inc.

     Call         USD         162.50       1/08/16      16         (3,160

Baxter International, Inc.

     Call         USD         38.50       1/08/16      31         (914

Bristol-Myers Squibb Co.

     Call         USD         69.50       1/08/16      70         (3,325

Celgene Corp.

     Call         USD         114.00       1/08/16      381         (276,225

Eli Lilly & Co.

     Call         USD         86.50       1/08/16      152         (8,056

Pfizer, Inc.

     Call         USD         34.00       1/08/16      47         (94

Teva Pharmaceutical Industries Ltd. — ADR

     Call         USD         63.00       1/08/16      33         (9,207

Teva Pharmaceutical Industries Ltd. — ADR

     Call         USD         66.50       1/08/16      106         (3,657

 

See Notes to Financial Statements.

 

     ANNUAL REPORT    DECEMBER 31, 2015    61


Schedule of Investments (continued)    BlackRock Health Sciences Trust (BME)

 

 

Description    Put/
Call
    

Strike

Price

    

Expiration

Date

   Contracts      Value  

UnitedHealth Group, Inc.

     Call         USD         119.00       1/08/16      192       $ (16,128

Vertex Pharmaceuticals, Inc.

     Call         USD         130.00       1/08/16      55         (8,388

Zoetis, Inc.

     Call         USD         46.50       1/08/16      85         (14,662

Abbott Laboratories

     Call         USD         46.00       1/15/16      196         (4,214

ACADIA Pharmaceuticals, Inc.

     Call         USD         40.00       1/15/16      35         (2,012

Alder Biopharmaceuticals, Inc.

     Call         USD         40.00       1/15/16      50         (2,625

Alkermes PLC

     Call         USD         85.00       1/15/16      104         (19,760

Alnylam Pharmaceuticals, Inc.

     Call         USD         115.00       1/15/16      18         (900

Amedisys, Inc.

     Call         USD         44.00       1/15/16      135         (5,805

Anacor Pharmaceuticals, Inc.

     Call         USD         130.00       1/15/16      95         (8,550

Anthem, Inc.

     Call         USD         135.00       1/15/16      122         (69,235

Anthem, Inc.

     Call         USD         140.00       1/15/16      56         (12,880

Baxalta, Inc.

     Call         USD         37.50       1/15/16      237         (67,545

Baxter International, Inc.

     Call         USD         40.00       1/15/16      53         (663

Becton Dickinson and Co.

     Call         USD         155.00       1/15/16      152         (25,080

Bio-Rad Laboratories, Inc., Class A

     Call         USD         140.00       1/15/16      16         (3,080

Boston Scientific Corp.

     Call         USD         19.00       1/15/16      769         (10,381

Bristol-Myers Squibb Co.

     Call         USD         70.00       1/15/16      35         (2,170

Cardinal Health, Inc.

     Call         USD         90.00       1/15/16      161         (14,490

Cerner Corp.

     Call         USD         61.00       1/15/16      66         (4,820

Charles River Laboratories International, Inc.

     Call         USD         80.00       1/15/16      48         (9,120

Cigna Corp.

     Call         USD         135.00       1/15/16      65         (81,900

Cigna Corp.

     Call         USD         145.00       1/15/16      74         (31,043

CR Bard, Inc.

     Call         USD         195.00       1/15/16      38         (3,990

Edwards Lifesciences Corp.

     Call         USD         82.50       1/15/16      78         (6,435

Eli Lilly & Co.

     Call         USD         82.50       1/15/16      161         (46,690

Express Scripts Holding Co.

     Call         USD         87.50       1/15/16      40         (4,740

HCA Holdings, Inc.

     Call         USD         70.00       1/15/16      65         (6,500

Incyte Corp.

     Call         USD         115.00       1/15/16      65         (15,600

Intra-Cellular Therapies, Inc.

     Call         USD         60.00       1/15/16      190         (15,200

Ionis Pharmaceuticals, Inc.

     Call         USD         65.00       1/15/16      130         (15,275

Johnson & Johnson

     Call         USD         105.00       1/15/16      40         (1,060

McKesson Corp.

     Call         USD         190.00       1/15/16      98         (87,220

Medivation, Inc.

     Call         USD         45.00       1/15/16      92         (41,400

Medtronic PLC

     Call         USD         80.00       1/15/16      250         (2,750

Neurocrine Biosciences, Inc.

     Call         USD         60.00       1/15/16      150         (26,250

Pfizer, Inc.

     Call         USD         34.00       1/15/16      32         (80

PTC Therapeutics, Inc.

     Call         USD         45.00       1/15/16      50         (3,750

Regeneron Pharmaceuticals, Inc.

     Call         USD         560.00       1/15/16      30         (21,450

Seattle Genetics, Inc.

     Call         USD         48.00       1/15/16      50         (3,750

Shire PLC — ADR

     Call         USD         215.00       1/15/16      45         (12,037

Stryker Corp.

     Call         USD         95.00       1/15/16      120         (6,300

Teva Pharmaceutical Industries Ltd. — ADR

     Call         USD         62.50       1/15/16      36         (12,690

Thermo Fisher Scientific, Inc.

     Call         USD         140.00       1/15/16      100         (34,000

Ultragenyx Pharmaceutical, Inc.

     Call         USD         115.00       1/15/16      33         (16,830

UnitedHealth Group, Inc.

     Call         USD         120.00       1/15/16      98         (9,947

UnitedHealth Group, Inc.

     Call         USD         125.00       1/15/16      28         (448

Wellcare Health Plans, Inc.

     Call         USD         85.00       1/15/16      26         (910

Zoetis, Inc.

     Call         USD         48.00       1/15/16      60         (5,550

AbbVie, Inc.

     Call         USD         60.50       1/22/16      55         (3,850

Aetna, Inc.

     Call         USD         109.00       1/22/16      48         (10,488

Alexion Pharmaceuticals, Inc.

     Call         USD         180.00       1/22/16      76         (103,740

Amgen, Inc.

     Call         USD         165.00       1/22/16      159         (39,830

Baxter International, Inc.

     Call         USD         38.00       1/22/16      72         (6,480

Biogen, Inc.

     Call         USD         297.50       1/22/16      61         (89,365

Bristol-Myers Squibb Co.

     Call         USD         70.00       1/22/16      206         (17,407

Express Scripts Holding Co.

     Call         USD         90.50       1/22/16      8         (312

Humana, Inc.

     Call         USD         175.00       1/22/16      78         (52,650

Johnson & Johnson

     Call         USD         103.00       1/22/16      103         (12,103

Medivation, Inc.

     Call         USD         45.00       1/22/16      93         (48,593

Medtronic PLC

     Call         USD         78.50       1/22/16      125         (6,688

Merck & Co., Inc.

     Call         USD         54.00       1/22/16      14         (574

Mylan NV

     Call         USD         54.00       1/22/16      150         (25,575

Pfizer, Inc.

     Call         USD         33.00       1/22/16      60         (1,350

Teva Pharmaceutical Industries Ltd. — ADR

     Call         USD         66.00       1/22/16      83         (9,130

 

See Notes to Financial Statements.

 

62    ANNUAL REPORT    DECEMBER 31, 2015     


Schedule of Investments (continued)    BlackRock Health Sciences Trust (BME)

 

 

Description    Put/
Call
    

Strike

Price

     Expiration
Date
   Contracts      Value  

Vertex Pharmaceuticals, Inc.

     Call         USD         123.00       1/22/16      55       $ (41,800

AbbVie, Inc.

     Call         USD         60.50       1/29/16      56         (5,740

Aetna, Inc.

     Call         USD         111.00       1/29/16      32         (5,536

Aetna, Inc.

     Call         USD         113.00       1/29/16      32         (3,632

Bristol-Myers Squibb Co.

     Call         USD         70.00       1/29/16      206         (24,514

Express Scripts Holding Co.

     Call         USD         87.50       1/29/16      66         (11,418

Johnson & Johnson

     Call         USD         105.00       1/29/16      53         (3,710

Medtronic PLC

     Call         USD         78.00       1/29/16      37         (3,386

Medtronic PLC

     Call         USD         78.50       1/29/16      63         (4,505

Merck & Co., Inc.

     Call         USD         52.50       1/29/16      4         (526

Mylan NV

     Call         USD         54.00       1/29/16      150         (28,800

Pfizer, Inc.

     Call         USD         33.00       1/29/16      51         (1,504

Shire PLC — ADR

     Call         USD         202.50       1/29/16      8         (7,560

Teva Pharmaceutical Industries Ltd. — ADR

     Call         USD         66.50       1/29/16      68         (7,378

UnitedHealth Group, Inc.

     Call         USD         120.00       1/29/16      98         (22,050

Abbott Laboratories

     Call         USD         45.00       2/19/16      196         (24,010

Abbott Laboratories

     Call         USD         46.00       2/19/16      67         (5,226

Acceleron Pharma, Inc.

     Call         USD         50.00       2/19/16      100         (37,500

Alexion Pharmaceuticals, Inc.

     Call         USD         180.00       2/19/16      76         (130,340

AmerisourceBergen Corp.

     Call         USD         105.00       2/19/16      74         (19,240

Amgen, Inc.

     Call         USD         165.00       2/19/16      47         (22,560

Charles River Laboratories International, Inc.

     Call         USD         80.00       2/19/16      48         (18,480

Eli Lilly & Co.

     Call         USD         85.00       2/19/16      195         (53,040

Gilead Sciences, Inc.

     Call         USD         105.00       2/19/16      259         (59,829

Merck & Co., Inc.

     Call         USD         55.00       2/19/16      311         (18,815

Nektar Therapeutics

     Call         USD         16.00       2/19/16      400         (68,000

Perrigo Co. PLC

     Call         USD         155.00       2/19/16      38         (9,405

Ultragenyx Pharmaceutical, Inc.

     Call         USD         115.00       2/19/16      33         (30,690

Total

                  $ (2,237,510
                 

 

 

 

 

OTC Options Written

                    
Description    Put/
Call
   Counterparty    Expiration
Date
  

Strike

Price

     Contracts      Value  

Baxalta, Inc.

   Call    Citibank N.A.    1/05/16      USD         35.59         5,300       $ (18,421

Shire PLC — ADR

   Call    Citibank N.A.    1/06/16      USD         222.42         800         (91

AstraZeneca PLC

   Call    Morgan Stanley & Co. International PLC    1/08/16      GBP         42.44         12,000         (59,998

Roche Holding AG

   Call    UBS AG    1/08/16      CHF         269.47         4,000         (35,941

GlaxoSmithKline PLC

   Call    UBS AG    1/12/16      GBP         14.13         2,500         (176

Masimo Corp.

   Call    Barclays Bank PLC    1/12/16      USD         43.12         10,000         (4,069

Chugai Pharmaceutical Co. Ltd.

   Call    Goldman Sachs International    1/14/16      JPY          4,292.50         9,000         (3,899

Dermira, Inc.

   Call    Barclays Bank PLC    1/25/16      USD         31.25         6,000         (25,375

Actelion Ltd.

   Call    Morgan Stanley & Co. International PLC    1/26/16      CHF         138.17         2,400         (10,922

FEI Co.

   Call    Deutsche Bank AG    1/26/16      USD         80.09         7,000         (15,413

GlaxoSmithKline PLC

   Call    Morgan Stanley & Co. International PLC    1/26/16      GBP         13.76         34,000         (12,828

Universal Health Services, Inc., Class B

   Call    Deutsche Bank AG    1/26/16      USD         123.29         4,500         (11,709

Genomic Health, Inc.

   Call    Citibank N.A.    1/27/16      USD         32.53         8,500         (31,235

AstraZeneca PLC

   Call    Bank of America N.A.    1/28/16      GBP         46.04         10,000         (13,026

St. Jude Medical, Inc.

   Call    Morgan Stanley & Co. International PLC    1/28/16      USD         62.21         29,500         (61,070

Boston Scientific Corp.

   Call    UBS AG    1/29/16      USD         18.87         60,000         (17,672

Phibro Animal Health Corp., Class A

   Call    Morgan Stanley & Co. International PLC    2/01/16      USD         32.60         8,000         (5,515

AstraZeneca PLC

   Call    Deutsche Bank AG    2/04/16      GBP         45.05         5,500         (13,014

Boston Scientific Corp.

   Call    Citibank N.A.    2/08/16      USD         18.60         58,300         (33,812

Total

                     $ (374,186
                    

 

 

 

 

See Notes to Financial Statements.

 

     ANNUAL REPORT    DECEMBER 31, 2015    63


Schedule of Investments (continued)    BlackRock Health Sciences Trust (BME)

 

 

      Transactions in Options Written for the Year Ended December 31, 2015

 

      Calls     Puts  
  

 

 

   

 

 

 
     Contracts     Premiums
Received
    Contracts     Premiums
Received
 

 

   

 

 

 

Outstanding options at beginning of year

     567,355      $ 3,268,399                 

Options written

     2,088,149        24,830,776        491,024      $ 2,885,395   

Options expired

     (997,599     (8,125,133     (290,921     (1,601,665

Options closed

     (1,359,087     (17,382,222              

Options exercised

     (11,440     (134,901     (200,103     (1,283,730
  

 

 

   

 

 

 

Outstanding options at end of year

     287,378      $ 2,456,919                 
  

 

 

   

 

 

 

As of period end, the value of portfolio securities subject to covered call options written was $95,252,557.

 

      Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments were as follows:

 

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

Liabilities - Derivative Financial Instruments

                                

Options written

   Options written, at value            $2,611,696               $2,611,696   

For the year ended December 31, 2015, the effect of derivative financial instruments in the Statements of Operations was as follow:

 

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

Net Realized Gain (Loss) from:

                                                                

Options purchased1

                       $ (252 )                       $ (252 )

Options written

                         1,225,140                           1,225,140  
    

 

 

 

Total

                       $ 1,224,888                         $ 1,224,888  
    

 

 

 

Net Change in Unrealized Appreciation (Depreciation) on:

                                                                

Options written

                       $ (508,206 )                       $ (508,206 )
    

 

 

 

 

  1   

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

 

      Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Options:

        

Average value of option contracts purchased1

   $ 252   

Average value of option contracts written

   $ 2,145,907   

 

  1   

Actual amounts for the period are shown due to limited outstanding derivative financial instruments as of each quarter.

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

 

 

See Notes to Financial Statements.

 

64    ANNUAL REPORT    DECEMBER 31, 2015     


Schedule of Investments (continued)    BlackRock Health Sciences Trust (BME)

 

 

      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

       —      $ 2,611,696   
  

 

 

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

       —        (2,237,510
  

 

 

Total derivative assets and liabilities subject to an MNA

       —      $ 374,186   
  

 

 

The following table presents the Trust’s derivative liabilities by counterparty net of amounts available for offset under an Master Netting Agreement (MNA) and net of the related collateral pledged by the Trust:

 

     

Gross Amounts Not Offset in the Consolidated Statements of Assets and  Liabilities

and Subject to an MNA

Counterparty   

Derivative Liabilities
Subject to an MNA by

Counterparty

   Derivatives Available
for Offset
  

Non-cash

Collateral

Pledged1

  Cash
Collateral
Pledged
  

Net Amount of

Derivative Liabilities2

Bank of America N.A

     $ 13,026                                  $ 13,026  

Barclays Bank PLC

       29,444                                    29,444  

Citibank N.A

       83,559                                    83,559  

Deutsche Bank AG

       40,136                                    40,136  

Goldman Sachs International

       3,899                                    3,899  

Morgan Stanley & Co. International PLC

       150,333                 $ (150,333 )                 

UBS AG

       53,789                                    53,789  
    

 

 

 

Total

     $ 374,186                 $ (150,333 )              $ 223,853  
    

 

 

 

 

  1   

Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes.

 

  2   

Net amount represents the net amount payable due to the 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:

                 

Biotechnology

   $ 85,745,877         $ 2,846,551                   $ 88,592,428   

Electronic Equipment, Instruments & Components

     1,500,052                               1,500,052   

Health Care Equipment & Supplies

     49,098,011                               49,098,011   

Health Care Providers & Services

     53,223,021                               53,223,021   

Health Care Technology

     1,058,992                               1,058,992   

Life Sciences Tools & Services

     6,086,712                               6,086,712   

Pharmaceuticals

     70,863,761           13,469,488                     84,333,249   

Preferred Stocks1

                       $ 5,907,930           5,907,930   

Short-Term Securities

     8,854,560                               8,854,560   
  

 

 

 

Total

   $ 276,430,986         $ 16,316,039         $ 5,907,930         $ 298,654,955   
  

 

 

 

 

  1   

See above Schedule of Investments for values in each industry.

 

 

See Notes to Financial Statements.

 

     ANNUAL REPORT    DECEMBER 31, 2015    65


Schedule of Investments (continued)    BlackRock Health Sciences Trust (BME)

 

 

        Level 1      Level 2      Level 3        Total  

Derivative Financial Instruments2

               

Liabilities:

               

Equity contracts

     $ (2,232,689    $ (379,007              $ (2,611,696
    

 

 

 

 

  2   

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

The Trust may hold assets in which the fair value approximates the carrying amount for financial statement purposes. As of period end, foreign currency of $1,212 are categorized as Level 1 within the disclosure hierarchy.

During the year ended December 31, 2015, there were no transfers between levels.

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 year 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, 2014

   $ 251,899      $ 425,376      $ 677,275   

Transfers into Level 3

                     

Transfers out of Level 3

     (251,899     (425,376     (677,275

Accrued discounts/premiums

                     

Net realized gain (loss)

                     

Net change in unrealized appreciation/depreciation1,2

            1,704,045        1,704,045   

Purchases

       4,203,885        4,203,885   

Sales

                     
  

 

 

 

Closing Balance, as of December 31, 2015

          $ 5,907,930      $ 5,907,930   
  

 

 

 

Net change in unrealized appreciation/depreciation on investments still held at December 31, 20152

          $ 1,704,045      $ 1,704,045   
  

 

 

 

 

  1   

Included in the related net change in unrealized appreciation (depreciation) in the Statements of Operations.

 

  2   

Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at December 31, 2015 is generally due to investments no longer held or categorized as Level 3 at period end.

The following table summarizes the valuation techniques 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 Techniques   Unobservable
Inputs
  Range of
Unobservable Inputs
Utilized
 

Assets:

         

Preferred Stocks

   $ 4,362,568       Discounted Cash Flow   Discount Rate1     1.87%   
      Cost2   N/A       
  

 

 

 

Total

   $ 4,362,568          
  

 

 

 

 

  1   

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.

 

  2   

The Trust fair values certain of its Level 3 investments using acquisition cost, although the transaction may not have occurred during the current reporting period. These investments are generally privately held investments. There may not be a secondary market, and/or there are a limited number of investors. The determination to fair value such investments at cost is based upon factors consistent with the principles of fair value measurement that are reasonably available to the Global Valuation Committee, or its delegate. Valuations are reviewed utilizing available market information to determine if the carrying value should be adjusted. Such market data may include, but is not limited to, observations of the trading multiples of public companies considered comparable to the private companies being valued, financial or operational information released by the company, and/or news or corporate events that affect the investment. Valuations may be adjusted to account for company-specific issues, the lack of liquidity inherent in a nonpublic investment and the fact that comparable public companies are not identical to the investments being fair valued by the Trust.

 

See Notes to Financial Statements.

 

66    ANNUAL REPORT    DECEMBER 31, 2015     


Schedule of Investments December 31, 2015      BlackRock International Growth and Income Trust (BGY)   
     (Percentages shown are based on Net Assets)   

 

Common Stocks    Shares      Value  

Australia — 1.0%

     

Commonwealth Bank of Australia

     126,300       $ 7,808,416   

Belgium — 1.8%

     

Anheuser-Busch InBev SA NV

     108,146         13,458,544   

Canada — 3.8%

     

Canadian Pacific Railway Ltd. (a)

     28,200         3,601,782   

Element Financial Corp. (a)

     614,000         7,410,421   

Encana Corp. (a)

     684,700         3,478,674   

Gildan Activewear, Inc. (a)

     272,600         7,750,296   

Royal Bank of Canada (a)

     122,900         6,585,990   
     

 

 

 
                28,827,163   

China — 4.0%

     

Alibaba Group Holding Ltd. — ADR (a)(b)

     75,874         6,166,280   

China Construction Bank Corp., Class H

     22,677,000         15,469,073   

CRRC Corp. Ltd., Class H

     3,629,000         4,458,089   

Tencent Holdings Ltd.

     239,100         4,704,841   
     

 

 

 
                30,798,283   

France — 6.1%

     

Amundi SA (b)(c)

     65,100         3,054,890   

AXA SA

     230,300         6,292,653   

BNP Paribas SA

     195,664         11,070,205   

Dassault Aviation SA

     1,067         1,329,445   

Orange SA

     684,900         11,455,514   

Sanofi

     63,800         5,437,178   

Unibail-Rodamco SE

     31,400         7,973,482   
     

 

 

 
                46,613,367   

Germany — 3.5%

     

Continental AG

     32,354         7,826,796   

SAP SE

     136,600         10,839,703   

Scout24 AG (b)(c)

     27,583         986,959   

Wacker Chemie AG

     82,578         6,904,434   
     

 

 

 
                26,557,892   

Hong Kong — 1.9%

     

AIA Group Ltd.

     2,379,152         14,215,631   

India — 2.9%

     

Bharti Infratel Ltd.

     983,159         6,362,065   

HDFC Bank Ltd.

     511,902         10,259,776   

Tata Motors Ltd. — ADR (a)(b)

     190,825         5,623,613   
     

 

 

 
                22,245,454   

Indonesia — 0.7%

     

Matahari Department Store Tbk PT

     4,297,980         5,440,960   

Ireland — 4.0%

     

Green REIT PLC

     3,829,626         6,627,779   

Kingspan Group PLC (d)

     206,913         5,581,551   

Ryanair Holdings PLC — ADR (a)

     102,636         8,873,909   

Shire PLC — ADR (a)

     46,400         9,512,000   
     

 

 

 
                30,595,239   

Israel — 1.3%

     

Teva Pharmaceutical Industries Ltd. — ADR (a)

     151,700         9,957,591   

Italy — 4.1%

     

Banca Generali SpA

     151,600         4,768,757   

Eni SpA

     543,200         8,071,017   

Telecom Italia SpA (b)(d)

     7,052,500         8,937,783   

UniCredit SpA

     1,729,600         9,562,475   
     

 

 

 
                31,340,032   

Japan — 8.4%

     

FANUC Corp.

     22,500         3,876,522   

Mitsubishi Estate Co. Ltd.

     512,000         10,646,187   

Nintendo Co. Ltd.

     28,100         3,864,034   
Common Stocks    Shares      Value  

Japan (continued)

     

ORIX Corp.

     603,200       $ 8,461,969   

Panasonic Corp.

     329,800         3,343,352   

SMC Corp.

     29,500         7,662,150   

Sumitomo Mitsui Financial Group, Inc.

     344,900         13,016,888   

Toyota Motor Corp.

     214,700         13,221,016   
     

 

 

 
                64,092,118   

Mexico — 1.5%

     

Cemex SAB de CV — ADR (b)

     735,017         4,094,045   

Fomento Economico Mexicano SAB de CV — ADR

     82,800         7,646,580   
     

 

 

 
                11,740,625   

Netherlands — 2.9%

     

Aalberts Industries NV

     231,352         7,971,448   

ASML Holding NV

     57,100         5,073,448   

Koninklijke Philips NV

     355,000         9,061,164   
     

 

 

 
                22,106,060   

New Zealand — 0.8%

     

Xero Ltd. (b)

     465,305         6,286,394   

Norway — 0.8%

     

Statoil ASA

     458,100         6,389,018   

Peru — 0.6%

     

Credicorp Ltd. (a)

     43,198         4,204,025   

Portugal — 0.8%

     

Galp Energia SGPS SA

     528,600         6,158,201   

South Africa — 0.8%

     

Naspers Ltd., N Shares

     45,019         6,153,392   

Spain — 2.2%

     

Cellnex Telecom SAU (c)

     887,340         16,590,650   

Sweden — 1.5%

     

Nordea Bank AB

     1,013,036         11,114,787   

Switzerland — 8.5%

     

Adecco SA

     119,800         8,199,440   

Nestle SA

     232,600         17,267,120   

Novartis AG

     129,500         11,139,496   

Roche Holding AG

     62,323         17,270,228   

UBS Group AG

     581,400         11,330,799   
     

 

 

 
                65,207,083   

Taiwan — 1.3%

     

Hermes Microvision, Inc.

     90,437         3,252,815   

Largan Precision Co. Ltd.

     24,000         1,658,599   

Taiwan Semiconductor Manufacturing Co. Ltd.

     1,190,000         5,133,947   
     

 

 

 
                10,045,361   

United Kingdom — 23.1%

     

ARM Holdings PLC

     309,100         4,711,339   

AstraZeneca PLC

     287,900         19,446,998   

BAE Systems PLC

     1,827,700         13,456,547   

BG Group PLC

     391,400         5,673,705   

Crest Nicholson Holdings PLC

     487,146         3,991,501   

Diageo PLC

     318,700         8,703,034   

GlaxoSmithKline PLC

     300,500         6,068,886   

Imperial Tobacco Group PLC

     190,000         10,035,414   

Liberty Global PLC, Class A (b)

     262,800         11,132,208   

Lloyds Banking Group PLC

     9,562,300         10,289,048   

Metro Bank PLC (Acquired 1/15/14,
cost $4,917,700) (b)(e)

     231,026         4,465,011   

Nomad Foods Ltd. (b)

     634,094         7,482,309   

Prudential PLC

     373,300         8,410,308   

Rio Tinto PLC

     164,900         4,801,137   
 

 

See Notes to Financial Statements.

 

     ANNUAL REPORT    DECEMBER 31, 2015    67


Schedule of investments (continued)      BlackRock International Growth and Income Trust (BGY)   

 

Common Stocks    Shares      Value  

United Kingdom (continued)

     

SABMiller PLC

     281,000       $ 16,810,653   

Sophos Group PLC (c)

     1,222,500         4,721,817   

Unilever PLC

     198,100         8,496,987   

Vodafone Group PLC

     2,826,000         9,164,113   

Whitbread PLC

     82,053         5,318,421   

Worldpay Group PLC (b)(c)

     2,994,100         13,564,002   
     

 

 

 
                176,743,438   

United States — 2.7%

     

Las Vegas Sands Corp. (a)(f)

     69,000         3,024,960   

Mobileye NV (a)(b)

     54,700         2,312,716   

Samsonite International SA

     3,376,500         10,119,298   

Sensata Technologies Holding NV (b)

     117,400         5,407,444   
     

 

 

 
                20,864,418   

Total Common Stocks — 91.0%

              695,554,142   
     
     
Investment Companies                

United Kingdom — 1.0%

     

Kennedy Wilson Europe Real Estate PLC

     429,439         7,637,064   

United States — 1.1%

     

Deutsche X-trackers MSCI Japan Hedged Equity
Fund (f)

     216,200         8,235,058   

Total Investment Companies — 2.1%

              15,872,122   
     
     
Preferred Stocks    Shares      Value  

China — 0.3%

     

Xiaoju Kuaizhi, Inc., Series A-17 (Acquired 7/28/15,
Cost $2,106,332), 0.00% (b)(e)

     76,800         2,348,544   

India — 1.7%

     

Jasper Infotech Private Ltd., Series F (Acquired 5/7/14, cost $2,825,580), 0.00% (b)(e)

     398         9,879,460   

Jasper Infotech Private Ltd., Series G (Acquired 10/29/14, cost $1,112,870), 0.00% (b)(e)

     132         3,276,605   

Total Preferred Stocks — 2.0%

              15,504,609   
            Value  

Total Long-Term Investments

(Cost — $704,864,225) — 95.1%

          $ 726,930,873   
   
     
Short-Term Securities   Shares         

BlackRock Liquidity Funds, TempFund, Institutional Class, 0.23% (g)(h)

    37,105,203        37,105,203   
     Beneficial
Interest
(000)
        

BlackRock Liquidity Series, LLC Money Market Series, 0.39% (g)(h)(i)

  $ 2,751        2,751,247   

Total Short-Term Securities

(Cost — $39,856,450) — 5.2%

            39,856,450   
   
     
Options Purchased              

(Cost — $76,865) — 0.0%

            22,948   

Total Investments Before Options Written

(Cost — $744,797,540) — 100.3%

            766,810,271   
   
     
Options Written              

(Premiums Received — $8,979,694) — (0.8)%

            (6,463,536

Total Investments Net of Options Written — 99.5%

  

    760,346,735   

Other Assets Less Liabilities — 0.5%

      3,807,754   
   

 

 

 

Net Assets — 100.0%

    $ 764,154,489   
   

 

 

 
 

 

      Notes to Schedule of Investments

 

(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 exempt from registration pursuant to Rule 144A under the Securities Act of 1933. This security may be resold in transactions exempt from registration to qualified institutional investors.

 

(d) Security, or a portion of security, is on loan.

 

 

(e) Restricted security as to resale, excluding 144A securities. As of report date, the Trust held restricted securities with a current value of $19,969,620 and an original cost of $10,962,482 which was 2.6% of its net assets.

 

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

 

(g) During the year ended December 31, 2015, 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:

 

Affiliates    Shares/
Beneficial Interest
Held at
December 31,
2014
     Net
Activity
    Shares/
Beneficial Interest
Held at
December 31,
2015
     Income     Realized
Gain
 

BlackRock Liquidity Funds, TempFund, Institutional Class

     38,787,564         (1,682,361     37,105,203       $ 41,106      $ 944   

BlackRock Liquidity Series, LLC, Money Market Series

   $ 870,139         1,881,108      $ 2,751,247       $ 202,454 1        

 

  1   

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.

 

See Notes to Financial Statements.

 

68    ANNUAL REPORT    DECEMBER 31, 2015     


Schedule of Investments (continued)      BlackRock International Growth and Income Trust (BGY)   

 

(h) Current yield as of period end.

 

(i) Security was purchased with the cash collateral from loaned securities. The Trust may withdraw up to 25% of its investment daily, although the manager of the BlackRock Liquidity Series LLC, Money Market Series, in its sole discretion, may permit an investor to withdraw more than 25% on any one day.

 

      Derivative Financial Instruments Outstanding as of Period End

 

OTC Options Purchased

                    
Description    Counterparty    Put/
Call
     Expiration
Date
  

Strike

Price

     Contracts      Value  

NH Hotel Group SA

   Morgan Stanley & Co. International PLC      Call       1/06/16      EUR         5.11         75,000       $ 4,434   

Schneider Electric SE

   UBS AG      Call       2/09/16      EUR         56.03         26,300         18,514   

Total

                     $ 22,948   
                    

 

 

 

 

Exchange-Traded Options Written

                 
Description    Put/
Call
     Expiration
Date
  

Strike

Price

     Contracts      Value  

Alibaba Group Holding Ltd. — ADR

     Call       1/08/16      USD         89.00         90       $ (360

Teva Pharmaceutical Industries Ltd. — ADR

     Call       1/08/16      USD         63.00         110         (30,690

Teva Pharmaceutical Industries Ltd. — ADR

     Call       1/08/16      USD         66.50         177         (6,106

Alibaba Group Holding Ltd. — ADR

     Call       1/15/16      USD         82.50         34         (4,777

Canadian Pacific Railway Ltd.

     Call       1/15/16      CAD         205.00         72         (676

Credicorp Ltd.

     Call       1/15/16      USD         105.00         119         (1,785

Element Financial Corp.

     Call       1/15/16      CAD         18.00         629         (6,137

Encana Corp.

     Call       1/15/16      CAD         10.00         70         (304

Encana Corp.

     Call       1/15/16      CAD         13.00         250         (1,084

Gildan Activewear, Inc.

     Call       1/15/16      CAD         42.00         460         (3,324

Las Vegas Sands Corp.

     Call       1/15/16      USD         47.50         251         (4,518

Shire PLC — ADR

     Call       1/15/16      USD         215.00         113         (30,228

Tata Motors Ltd. — ADR

     Call       1/15/16      USD         31.00         100         (2,000

Teva Pharmaceutical Industries Ltd. — ADR

     Call       1/15/16      USD         62.50         87         (30,668

Alibaba Group Holding Ltd. — ADR

     Call       1/22/16      USD         84.50         35         (4,200

Tata Motors Ltd. — ADR

     Call       1/22/16      USD         30.00         150         (9,375

Teva Pharmaceutical Industries Ltd. — ADR

     Call       1/22/16      USD         66.00         177         (19,470

Alibaba Group Holding Ltd. — ADR

     Call       1/29/16      USD         87.00         195         (23,303

Mobileye NV

     Call       1/29/16      USD         42.00         150         (37,875

Shire PLC — ADR

     Call       1/29/16      USD         202.50         83         (78,435

Tata Motors Ltd. — ADR

     Call       1/29/16      USD         30.00         150         (12,000

Teva Pharmaceutical Industries Ltd. — ADR

     Call       1/29/16      USD         66.50         283         (30,706

Ryanair Holdings PLC — ADR

     Call       2/09/16      USD         84.50         370         (150,775

Alibaba Group Holding Ltd. — ADR

     Call       2/19/16      USD         80.00         34         (17,170

Credicorp Ltd.

     Call       2/19/16      USD         105.00         119         (15,768

Element Financial Corp.

     Call       2/19/16      CAD         17.00         2,100         (106,996

Gildan Activewear, Inc.

     Call       2/19/16      CAD         42.00         1,040         (45,472

Mobileye NV

     Call       2/19/16      USD         43.00         150         (41,625

Royal Bank of Canada

     Call       2/19/16      CAD         76.00         676         (37,618

Total

                  $ (753,445
                 

 

 

 

 

OTC Options Written

                    
Description    Put/
Call
     Counterparty    Expiration
Date
  

Strike

Price

     Contracts      Value  

Fomento Economico Mexicano SAB de CV — ADR

     Call       Deutsche Bank AG    1/04/16      USD         100.25         19,000       $ (3

Adecco SA

     Call       Deutsche Bank AG    1/05/16      CHF         74.86         30,500         (433

Anheuser-Busch InBev SA NV

     Call       Deutsche Bank AG    1/05/16      EUR         110.60         13,000         (57,946

China Construction Bank Corp., Class H

     Call       Bank of America N.A.    1/05/16      HKD         5.83         3,810,000         (5

Encana Corp.

     Call       Morgan Stanley & Co. International PLC    1/05/16      CAD         10.91         129,100         (1

Kingspan Group PLC

     Call       Morgan Stanley & Co. International PLC    1/05/16      EUR         22.72         11,800         (26,956

Lloyds Banking Group PLC

     Call       Morgan Stanley & Co. International PLC    1/05/16      GBP         0.76         841,800         (1,810

Mitsubishi Estate Co. Ltd.

     Call       BNP Paribas S.A.    1/05/16      JPY         2,542.86         158,000         (21,990

Nordea Bank AB

     Call       Deutsche Bank AG    1/05/16      SEK         98.58         71,500         (10

Aalberts Industries NV

     Call       Bank of America N.A.    1/06/16      EUR         30.39         22,000         (32,460

 

See Notes to Financial Statements.

 

     ANNUAL REPORT    DECEMBER 31, 2015    69


Schedule of Investments (continued)      BlackRock International Growth and Income Trust (BGY)   

 

Description    Put/
Call
     Counterparty    Expiration
Date
  

Strike

Price

     Contracts      Value  

Crest Nicholson Holdings PLC

     Call       Morgan Stanley & Co. International PLC    1/06/16      GBP         5.54         45,700       $ (6,106

NH Hotel Group SA

     Call       UBS AG    1/06/16      EUR         5.11         75,000         (4,431

Shire PLC — ADR

     Call       Citibank N.A.    1/06/16      USD         222.42         6,000         (681

Statoil ASA

     Call       Deutsche Bank AG    1/06/16      NOK         144.38         99,000         (4

UniCredit SpA

     Call       UBS AG    1/06/16      EUR         6.15         227,000         (2

Cellnex Telecom SAU

     Call       UBS AG    1/07/16      EUR         16.01         55,500         (72,351

Galp Energia SGPS SA

     Call       UBS AG    1/07/16      EUR         10.17         45,000         (29,721

Prudential PLC

     Call       Morgan Stanley & Co. International PLC    1/07/16      GBP         15.04         121,600         (62,142

Rio Tinto PLC

     Call       Deutsche Bank AG    1/07/16      GBP         23.39         42,000         (220

Ryanair Holdings PLC — ADR

     Call       Morgan Stanley & Co. International PLC    1/07/16      USD         81.75         20,000         (94,812

Samsonite International SA

     Call       Bank of America N.A.    1/07/16      HKD         24.23         227,400         (3,284

SAP SE

     Call       Morgan Stanley & Co. International PLC    1/07/16      EUR         74.28         32,000         (17,134

Sensata Technologies Holding NV

     Call       Deutsche Bank AG    1/07/16      USD         48.47         29,000         (2,302

Sumitomo Mitsui Financial Group, Inc.

     Call       BNP Paribas S.A.    1/07/16      JPY         4,964.34         63,000         (948

Telecom Italia SpA

     Call       Deutsche Bank AG    1/07/16      EUR         1.21         1,392,000         (13,957

Tencent Holdings Ltd.

     Call       Citibank N.A.    1/07/16      HKD         152.80         61,000         (13,870

UBS Group AG

     Call       UBS AG    1/07/16      CHF         20.50         143,000         (4,322

AstraZeneca PLC

     Call       Morgan Stanley & Co. International PLC    1/08/16      GBP         42.44         78,000         (389,987

ORIX Corp.

     Call       Bank of America N.A.    1/08/16      JPY         1,868.13         227,000         (3,025

Roche Holding AG

     Call       UBS AG    1/08/16      CHF         269.47         15,000         (134,777

ASML Holding NV

     Call       UBS AG    1/12/16      EUR         87.62         24,500         (4,638

ASML Holding NV

     Call       UBS AG    1/12/16      EUR         89.41         4,500         (342

Cellnex Telecom SAU

     Call       UBS AG    1/12/16      EUR         17.34         22,000         (5,746

Largan Precision Co. Ltd.

     Call       Deutsche Bank AG    1/12/16      TWD         2,585.30         12,000         (2,762

SMC Corp.

     Call       Bank of America N.A.    1/12/16      JPY         33,374.40         8,100         (12,761

Telecom Italia SpA

     Call       UBS AG    1/12/16      EUR         1.21         340,000         (5,905

UniCredit SpA

     Call       Bank of America N.A.    1/12/16      EUR         5.99         123,000         (39

Wacker Chemie AG

     Call       Morgan Stanley & Co. International PLC    1/12/16      EUR         86.43         30,400         (1,176

Whitbread PLC

     Call       UBS AG    1/12/16      GBP         47.91         20,000         (89

Worldpay Group PLC

     Call       Morgan Stanley & Co. International PLC    1/12/16      GBP         3.09         197,500         (11,183

Worldpay Group PLC

     Call       UBS AG    1/12/16      GBP         3.09         197,500         (10,284

Aalberts Industries NV

     Call       UBS AG    1/13/16      EUR         30.57         22,000         (32,254

Crest Nicholson Holdings PLC

     Call       Morgan Stanley & Co. International PLC    1/13/16      GBP         5.26         75,000         (35,524

Hermes Microvision, Inc.

     Call       Goldman Sachs International    1/13/16      TWD         1,246.95         29,000         (28,992

Kingspan Group PLC

     Call       Morgan Stanley & Co. International PLC    1/13/16      EUR         22.72         11,800         (26,960

Nordea Bank AB

     Call       Morgan Stanley & Co. International PLC    1/13/16      SEK         98.58         71,500         (2,210

SAP SE

     Call       Bank of America N.A.    1/13/16      EUR         72.48         37,900         (71,603

BG Group PLC

     Call       Deutsche Bank AG    1/14/16      GBP         10.67         107,500         (6,782

Cellnex Telecom SAU

     Call       Morgan Stanley & Co. International PLC    1/14/16      EUR         17.28         41,500         (13,566

Commonwealth Bank of Australia

     Call       Bank of America N.A.    1/14/16      AUD         81.63         32,000         (80,423

CRRC Corp. Ltd., Class H

     Call       Bank of America N.A.    1/14/16      HKD         10.36         878,000         (5,010

Eni SpA

     Call       Deutsche Bank AG    1/14/16      EUR         15.68         149,000         (714

Samsonite International SA

     Call       Bank of America N.A.    1/14/16      HKD         24.08         716,100         (25,160

ARM Holdings PLC

     Call       Morgan Stanley & Co. International PLC    1/19/16      GBP         11.27         43,000         (1,108

Cellnex Telecom SAU

     Call       UBS AG    1/20/16      EUR         17.19         25,000         (11,006

Crest Nicholson Holdings PLC

     Call       Morgan Stanley & Co. International PLC    1/20/16      GBP         5.08         75,000         (54,137

CRRC Corp. Ltd., Class H

     Call       Bank of America N.A.    1/20/16      HKD         10.36         878,000         (7,768

Fomento Economico Mexicano SAB de CV — ADR

     Call       Morgan Stanley & Co. International PLC    1/20/16      USD         100.20         23,300         (3,454

Green REIT PLC

     Call       Goldman Sachs International    1/20/16      EUR         1.61         105,000         (2,438

Kingspan Group PLC

     Call       Morgan Stanley & Co. International PLC    1/20/16      EUR         26.54         11,700         (1,168

Rio Tinto PLC

     Call       Morgan Stanley & Co. International PLC    1/20/16      GBP         21.21         48,600         (13,945

Sensata Technologies Holding NV

     Call       Credit Suisse International    1/20/16      USD         47.13         5,500         (4,159

Taiwan Semiconductor Manufacturing Co. Ltd.

     Call       UBS AG    1/20/16      TWD         141.11         304,000         (39,152

Unibail-Rodamco SE

     Call       Bank of America N.A.    1/20/16      EUR         231.19         10,800         (78,727

China Construction Bank Corp., Class H

     Call       BNP Paribas S.A.    1/21/16      HKD         5.35         1,600,000         (18,929

Diageo PLC

     Call       Deutsche Bank AG    1/21/16      GBP         19.32         89,000         (12,590

Galp Energia SGPS SA

     Call       Morgan Stanley & Co. International PLC    1/21/16      EUR         9.44         72,000         (103,950

Samsonite International SA

     Call       Bank of America N.A.    1/21/16      HKD         24.09         150,000         (7,426

Toyota Motor Corp.

     Call       Bank of America N.A.    1/21/16      JPY         7,750.98         80,000         (21,727

Unilever PLC

     Call       Bank of America N.A.    1/21/16      GBP         29.27         42,500         (30,447

 

See Notes to Financial Statements.

 

70    ANNUAL REPORT    DECEMBER 31, 2015     


Schedule of Investments (continued)      BlackRock International Growth and Income Trust (BGY)   

 

Description    Put/
Call
     Counterparty    Expiration
Date
  

Strike

Price

     Contracts      Value  

AIA Group Ltd.

     Call       UBS AG    1/22/16      HKD         49.63         600,000       $ (14,481

Cellnex Telecom SAU

     Call       Morgan Stanley & Co. International PLC    1/22/16      EUR         17.36         83,000         (30,738

Koninklijke Philips NV

     Call       Morgan Stanley & Co. International PLC    1/22/16      EUR         25.79         149,000         (3,651

Naspers Ltd., N Shares

     Call       Deutsche Bank AG    1/22/16      ZAR         2,155.26         16,500         (55,368

Nestle SA

     Call       UBS AG    1/22/16      CHF         74.44         73,000         (94,434

Nordea Bank AB

     Call       Morgan Stanley & Co. International PLC    1/22/16      SEK         92.66         135,500         (32,903

Orange SA

     Call       Deutsche Bank AG    1/22/16      EUR         16.55         132,000         (10,835

Dassault Aviation SA

     Call       Morgan Stanley & Co. International PLC    1/26/16      EUR         1,086.30         290         (23,040

GlaxoSmithKline PLC

     Call       Morgan Stanley & Co. International PLC    1/26/16      GBP         13.76         150,000         (56,596

SABMiller PLC

     Call       Deutsche Bank AG    1/26/16      GBP         40.68         71,800         (44,549

SMC Corp.

     Call       BNP Paribas S.A.    1/26/16      JPY         31,583.32         6,800         (51,205

UniCredit SpA

     Call       UBS AG    1/26/16      EUR         5.75         308,000         (1,625

Vodafone Group PLC

     Call       Morgan Stanley & Co. International PLC    1/26/16      GBP         2.29         235,000         (6,953

Aalberts Industries NV

     Call       Bank of America N.A.    1/27/16      EUR         32.12         24,000         (13,017

Anheuser-Busch InBev SA NV

     Call       Morgan Stanley & Co. International PLC    1/27/16      EUR         118.65         9,300         (13,295

ARM Holdings PLC

     Call       Morgan Stanley & Co. International PLC    1/27/16      GBP         10.53         115,000         (36,472

AXA SA

     Call       UBS AG    1/27/16      EUR         25.45         127,000         (68,029

Cellnex Telecom SAU

     Call       UBS AG    1/27/16      EUR         17.19         25,000         (12,498

Commonwealth Bank of Australia

     Call       Morgan Stanley & Co. International PLC    1/27/16      AUD         79.89         32,000         (121,344

Crest Nicholson Holdings PLC

     Call       UBS AG    1/27/16      GBP         5.44         40,000         (13,595

Encana Corp.

     Call       Credit Suisse International    1/27/16      CAD         10.40         140,000         (771

Galp Energia SGPS SA

     Call       UBS AG    1/27/16      EUR         10.21         67,000         (54,027

Kingspan Group PLC

     Call       Morgan Stanley & Co. International PLC    1/27/16      EUR         22.86         10,000         (22,782

Koninklijke Philips NV

     Call       UBS AG    1/27/16      EUR         24.50         41,000         (9,117

Lloyds Banking Group PLC

     Call       Goldman Sachs International    1/27/16      GBP         0.73         1,375,000         (43,488

Lloyds Banking Group PLC

     Call       Morgan Stanley & Co. International PLC    1/27/16      GBP         0.75         1,817,000         (39,144

Novartis AG

     Call       Goldman Sachs International    1/27/16      CHF         86.91         68,500         (101,082

Panasonic Corp.

     Call       Bank of America N.A.    1/27/16      JPY         1,382.43         168,600         (5,982

UniCredit SpA

     Call       Goldman Sachs International    1/27/16      EUR         5.27         227,000         (16,756

Worldpay Group PLC

     Call       Morgan Stanley & Co. International PLC    1/27/16      GBP         2.97         197,500         (38,203

Adecco SA

     Call       Bank of America N.A.    1/28/16      CHF         71.54         2,000         (1,052

AstraZeneca PLC

     Call       Bank of America N.A.    1/28/16      GBP         46.04         39,000         (50,801

BAE Systems PLC

     Call       Bank of America N.A.    1/28/16      GBP         5.25         334,000         (14,772

Banca Generali SpA

     Call       UBS AG    1/28/16      EUR         29.56         57,000         (30,378

BG Group PLC

     Call       Deutsche Bank AG    1/28/16      GBP         10.78         107,500         (17,646

BNP Paribas SA

     Call       Bank of America N.A.    1/28/16      EUR         55.96         49,000         (9,070

Cellnex Telecom SAU

     Call       Morgan Stanley & Co. International PLC    1/28/16      EUR         17.45         83,000         (31,655

Galp Energia SGPS SA

     Call       Morgan Stanley & Co. International PLC    1/28/16      EUR         10.31         107,000         (79,437

Green REIT PLC

     Call       Morgan Stanley & Co. International PLC    1/28/16      EUR         1.62         105,000         (2,440

Lloyds Banking Group PLC

     Call       Morgan Stanley & Co. International PLC    1/28/16      GBP         0.75         841,000         (14,398

Samsonite International SA

     Call       Bank of America N.A.    1/28/16      HKD         23.55         394,200         (34,514

Statoil ASA

     Call       Bank of America N.A.    1/28/16      NOK         137.28         138,000         (24,061

Sumitomo Mitsui Financial Group, Inc.

     Call       BNP Paribas S.A.    1/28/16      JPY         4,893.65         79,200         (15,429

Telecom Italia SpA

     Call       Deutsche Bank AG    1/28/16      EUR         1.16         1,052,600         (79,915

Whitbread PLC

     Call       UBS AG    1/28/16      GBP         48.65         20,800         (500

Imperial Tobacco Group PLC

     Call       Morgan Stanley & Co. International PLC    2/02/16      GBP         37.12         17,000         (18,136

Imperial Tobacco Group PLC

     Call       UBS AG    2/02/16      GBP         35.31         80,200         (181,847

Nordea Bank AB

     Call       UBS AG    2/02/16      SEK         92.56         274,800         (92,336

Unilever PLC

     Call       UBS AG    2/02/16      GBP         28.55         58,800         (93,243

Worldpay Group PLC

     Call       Morgan Stanley & Co. International PLC    2/02/16      GBP         3.11         82,500         (7,159

CRRC Corp. Ltd., Class H

     Call       BNP Paribas S.A.    2/03/16      HKD         10.05         100,000         (2,800

Kingspan Group PLC

     Call       Bank of America N.A.    2/03/16      EUR         25.80         17,000         (7,605

Taiwan Semiconductor Manufacturing Co. Ltd.

     Call       UBS AG    2/03/16      TWD         143.82         304,000         (35,200

Toyota Motor Corp.

     Call       Goldman Sachs International    2/03/16      JPY         7,677.01         30,000         (21,947

Aalberts Industries NV

     Call       Deutsche Bank AG    2/04/16      EUR         31.60         27,200         (28,528

AIA Group Ltd.

     Call       Bank of America N.A.    2/04/16      HKD         48.74         600,000         (42,999

Anheuser-Busch InBev SA NV

     Call       Morgan Stanley & Co. International PLC    2/04/16      EUR         115.93         33,000         (99,963

AstraZeneca PLC

     Call       Deutsche Bank AG    2/04/16      GBP         45.05         35,000         (82,818

Nintendo Co. Ltd.

     Call       Morgan Stanley & Co. International PLC    2/04/16      JPY         19,928.11         15,000         (5,939

ORIX Corp.

     Call       Goldman Sachs International    2/04/16      JPY         1,785.13         102,000         (35,258

Roche Holding AG

     Call       UBS AG    2/04/16      CHF         271.44         17,600         (182,592

SABMiller PLC

     Call       Deutsche Bank AG    2/04/16      GBP         40.68         71,800         (53,129

 

See Notes to Financial Statements.

 

     ANNUAL REPORT    DECEMBER 31, 2015    71


Schedule of Investments (continued)      BlackRock International Growth and Income Trust (BGY)   

 

Description    Put/
Call
     Counterparty    Expiration
Date
  

Strike

Price

     Contracts      Value  

Samsonite International SA

     Call       Citibank N.A.    2/04/16      HKD         22.59         303,000       $ (49,284

Sumitomo Mitsui Financial Group, Inc.

     Call       BNP Paribas S.A.    2/04/16      JPY         4,709.66         30,000         (17,942

Unibail-Rodamco SE

     Call       Morgan Stanley & Co. International PLC    2/04/16      EUR         236.54         5,400         (38,843

China Construction Bank Corp., Class H

     Call       Citibank N.A.    2/05/16      HKD         5.45         1,700,000         (19,478

Continental AG

     Call       Deutsche Bank AG    2/05/16      EUR         230.76         8,000         (34,426

Eni SpA

     Call       UBS AG    2/05/16      EUR         14.33         150,000         (33,845

Adecco SA

     Call       Deutsche Bank AG    2/09/16      CHF         68.39         28,800         (60,548

BAE Systems PLC

     Call       UBS AG    2/09/16      GBP         5.14         371,000         (44,771

Banca Generali SpA

     Call       UBS AG    2/09/16      EUR         28.75         21,000         (21,972

BNP Paribas SA

     Call       UBS AG    2/09/16      EUR         53.70         51,000         (68,267

Dassault Aviation SA

     Call       Goldman Sachs International    2/09/16      EUR         1,111.80         240         (16,616

Diageo PLC

     Call       Deutsche Bank AG    2/09/16      GBP         18.58         74,000         (49,627

Element Financial Corp.

     Call       Citibank N.A.    2/09/16      CAD         17.06         63,000         (31,273

FANUC Corp.

     Call       BNP Paribas S.A.    2/09/16      JPY         22,335.14         11,500         (23,084

Kingspan Group PLC

     Call       Morgan Stanley & Co. International PLC    2/09/16      EUR         26.01         10,000         (4,199

Schneider Electric SE

     Call       Bank of America N.A.    2/09/16      EUR         56.05         26,300         (18,424

Vodafone Group PLC

     Call       Morgan Stanley & Co. International PLC    2/09/16      GBP         2.18         542,800         (63,356

Aalberts Industries NV

     Call       Morgan Stanley & Co. International PLC    2/10/16      EUR         31.79         23,000         (22,404

Cellnex Telecom SAU

     Call       Bank of America N.A.    2/10/16      EUR         17.17         65,000         (40,534

Mitsubishi Estate Co. Ltd.

     Call       Citibank N.A.    2/10/16      JPY         2,596.37         108,000         (89,764

Prudential PLC

     Call       UBS AG    2/10/16      GBP         15.57         60,000         (31,520

China Construction Bank Corp., Class H

     Call       Citibank N.A.    2/11/16      HKD         5.29         4,860,000         (102,421

Statoil ASA

     Call       Bank of America N.A.    2/11/16      NOK         126.63         15,000         (9,083

Tencent Holdings Ltd.

     Call       Citibank N.A.    2/11/16      HKD         154.63         61,000         (31,488

UBS Group AG

     Call       Morgan Stanley & Co. International PLC    2/11/16      CHF         19.75         143,000         (77,114

Wacker Chemie AG

     Call       Deutsche Bank AG    2/11/16      EUR         80.02         15,000         (32,655

BAE Systems PLC

     Call       Deutsche Bank AG    2/16/16      GBP         4.97         249,600         (61,806

Telecom Italia SpA

     Call       Deutsche Bank AG    2/16/16      EUR         1.18         1,072,000         (63,546

Vodafone Group PLC

     Call       UBS AG    2/16/16      GBP         2.17         662,000         (81,366

Crest Nicholson Holdings PLC

     Call       UBS AG    2/17/16      GBP         5.56         21,000         (6,820

Kingspan Group PLC

     Call       Bank of America N.A.    2/17/16      EUR         25.80         17,000         (10,143

Kingspan Group PLC

     Call       Morgan Stanley & Co. International PLC    2/24/16      EUR         26.54         11,700         (4,708

Nestle SA

     Call       UBS AG    2/24/16      CHF         75.22         46,000         (77,504

Continental AG

     Call       Deutsche Bank AG    2/25/16      EUR         230.76         8,000         (48,963

Orange SA

     Call       Morgan Stanley & Co. International PLC    2/25/16      EUR         16.21         206,000         (91,891

Kingspan Group PLC

     Call       Morgan Stanley & Co. International PLC    2/26/16      EUR         26.54         11,700         (4,915

Total

                     $ (5,710,091
                    

 

 

 

 

      Transactions in Options Written for the Year Ended December 31, 2015

 

      Calls           Puts  
      Contracts    

 

Premiums
Received

         Contracts      Premiums
Received
 

BGY

            

Outstanding options at beginning of year

     22,442,266      $ 9,784,983                     

Options written

     241,933,552        71,895,382                     

Options expired

     (142,632,668     (36,392,683                  

Options closed

     (84,067,277     (36,116,235                  

Options exercised

     (71,469     (191,753                  
  

 

 

      

 

 

 

Outstanding options at end of year

     37,604,404      $ 8,979,694                     
  

 

 

      

 

 

 

As of period end, the value of portfolio securities subject to covered call options written was $ 313,210,513.

 

See Notes to Financial Statements.

 

72    ANNUAL REPORT    DECEMBER 31, 2015     


Schedule of Investments (continued)      BlackRock International Growth and Income Trust (BGY)   

 

      Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments were as follows:

 

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

Assets - Derivative Financial Instruments

  

Options purchased

     Investments at value — unaffiliated 1          $ 22,948             $ 22,948   

Liabilities - Derivative Financial Instruments

                                             

Options written

     Options written, at value            $ 6,463,536             $ 6,463,536   

 

  1   

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

For the year ended December 31, 2015, the effect of derivative financial instruments in the Statements of Operations was as follow:

 

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

Net Realized Gain (Loss) from:

  

Futures

         $ (703,843         $ (703,843

Options purchased1

           (548           (548

Options written

           (5,062,285           (5,062,285
  

 

 

Total

         $ (5,766,676         $ (5,766,676
  

 

 
                

Net Change in Unrealized Appreciation (Depreciation) on:

                                    

Options purchased2

         $ (53,917         $ (53,917

Options written

           3,316,487              3,316,487   
  

 

 

Total

         $ 3,262,570            $ 3,262,570   
  

 

 

 

  1   

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

 

  2   

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

 

      Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Financial futures contracts:

        

Average notional value of contracts — long

   $ 46,156,149 1 

Average notional value of contracts — short

   $ 45,453,620 1 

Options:

  

Average value of option contracts purchased

   $ 5,737   

Average value of option contracts written

   $ 7,544,137   

 

  1   

Actual amounts for the period are shown due to limited outstanding derivative financial instruments as of each quarter.

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

 

See Notes to Financial Statements.

 

     ANNUAL REPORT    DECEMBER 31, 2015    73


Schedule of Investments (continued)      BlackRock International Growth and Income Trust (BGY)   

 

 

      Derivative Financial Instruments - Offsetting as of Period End

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

 

            Assets           Liabilities       

    Options1

        $ 22,948 1         $ 6,463,536       

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

                      (753,445    

Total derivative assets and liabilities subject to an MNA

        $ 22,948           $ 5,710,091       

 

  1   

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 Master Netting Agreement (“MNA”) and net of the related collateral pledged by the Trust:

 

      Gross Amounts Not Offset in the Statements  of Assets and Liabilities
and Subject to an MNA
Counterparty    Derivative Assets
Subject to an MNA by
Counterparty
   Derivatives Available
for Offset1
  Non-cash
Collateral
Received
  Cash
Collateral
Received
 

Net Amount of

Derivative Assets

Morgan Stanley & Co. International PLC

     $ 4,434        $ (4,434 )                        

UBS AG

       18,514          (18,514 )                        
                         

Total

     $ 22,948        $ (22,948 )                          
     Gross Amounts Not Offset in the Consolidated Statements of Assets and Liabilities
and Subject to an MNA
Counterparty   

Derivative Liabilities
Subject to an MNA by

Counterparty

   Derivatives Available
for Offset1
  Non-cash
Collateral
Pledged2
 

Cash

Collateral
Pledged2

  Net Amount of
Derivative Liabilities3

Bank of America N.A

     $ 661,922                        $ (661,922 )        

BNP Paribas S.A

       152,327                          (152,327 )        

Citibank N.A

       338,259                          (338,259 )        

Credit Suisse International

       4,930                                $ 4,930  

Deutsche Bank AG

       822,082                $ (822,082 )                

Goldman Sachs International

       266,577                          (266,577 )        

Morgan Stanley & Co. International PLC

       1,859,007        $ (4,434 )       (1,327,954 )       (526,619 )        

UBS AG

       1,604,987          (18,514 )       (338,473 )       (1,248,000 )        

Total

     $ 5,710,091        $ (22,948 )       (2,488,509 )       (3,193,704 )     $ 4,930  

 

  1   

The amount of derivatives available for offset is limited to the amount of derivative assets and/or liabilities that are subject to an MNA.

 

  2   

Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes.

 

  3   

Net amount represents the net amount payable due to the 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:

           

Australia

           $ 7,808,416          $ 7,808,416   

Belgium

              13,458,544             13,458,544   

Canada

   $   28,827,163                    28,827,163   

 

See Notes to Financial Statements.

 

74    ANNUAL REPORT    DECEMBER 31, 2015     


Schedule of Investments (continued)      BlackRock International Growth and Income Trust (BGY)  

 

      Level 1   Level 2   Level 3    Total

Assets: (concluded)

                 

Investments: (concluded)

                 

Long-Term Investments: (concluded)

                 

Common Stocks: (concluded)

                 

China

     $ 10,871,121       $ 19,927,162                $ 30,798,283  

France

       4,384,335         42,229,032                  46,613,367  

Germany

       986,959         25,570,933                  26,557,892  

Hong Kong

               14,215,631                  14,215,631  

India

       11,985,678         10,259,776                  22,245,454  

Indonesia

               5,440,960                  5,440,960  

Ireland

       18,385,909         12,209,330                  30,595,239  

Israel

       9,957,591                          9,957,591  

Italy

               31,340,032                  31,340,032  

Japan

               64,092,118                  64,092,118  

Mexico

       11,740,625                          11,740,625  

Netherlands

               22,106,060                  22,106,060  

New Zealand

               6,286,394                  6,286,394  

Norway

               6,389,018                  6,389,018  

Peru

       4,204,025                          4,204,025  

Portugal

       6,158,201                          6,158,201  

South Africa

               6,153,392                  6,153,392  

Spain

               16,590,650                  16,590,650  

Sweden

               11,114,787                  11,114,787  

Switzerland

       11,330,799         53,876,284                  65,207,083  

Taiwan

       1,658,599         8,386,762                  10,045,361  

United Kingdom

       36,900,336         135,378,091       $ 4,465,011          176,743,438  

United States

       10,745,120         10,119,298                  20,864,418  

Investment Companies

       8,235,058         7,637,064                  15,872,122  

Preferred Stocks

                       15,504,609          15,504,609  

Short-Term Securities

       37,105,203         2,751,247                  39,856,450  

Options Purchased

               22,948                  22,948  
    

 

 

 

Total

     $     213,476,722       $     533,363,929       $     19,969,620        $     766,810,271  
    

 

 

 
                 
      Level 1   Level 2   Level 3    Total

Derivative Financial Instruments1

                 

Liabilities:

                 

Equity contracts

     $ (602,670 )     $ (5,860,866 )              $ (6,463,536 )
    

 

 

 

1    Derivative financial instruments are options written, which are shown at value. depreciation on the instrument.

       

The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statements purposes. As of period end, December 31, 2015, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

 

   

      Level 1   Level 2   Level 3    Total

Assets:

                 

Cash

     $ 23,857                        $ 23,857  

Foreign currency at value

       542,973                          542,973  

Cash pledged as collateral for OTC derivatives

       4,056,619                          4,056,619  

Cash pledged as collateral for exchange-traded options written

       2,114,000                          2,114,000  

Liabilities:

                 

Collateral on securities loaned at value

             $ (2,751,247 )                (2,751,247 )
    

 

 

 

Total

     $ 6,737,449       $ (2,751,247 )              $ 3,986,202  
    

 

 

 
                 
      Transfers into
Level 11
  Transfers out
of Level 12
  Transfers into
Level 22
   Transfers out of
Level 21

Assets:

                 

Long-Term Investments:

                 

Common Stocks

     $ 5,158,479       $ (9,107,539 )  $       9,107,539        $ (5,158,479 )

Investment Companies

               (7,061,380 )       7,061,380           
    

 

 

 

Total

     $ 5,158,479       $ (16,168,919 )  $       16,168,919        $ (5,158,479 )
    

 

 

 

 

  1   

Systematic Fair Value Prices were not utilized at period end for these investments.

 

  2   

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.

 

     ANNUAL REPORT    DECEMBER 31, 2015    75


Schedule of Investments (concluded)      BlackRock International Growth and Income Trust (BGY)   

 

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 year 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, 2014

   $ 4,688,215      $ 4,187,086      $ 8,875,301   

Transfers into Level 3

                     

Transfers out of Level 3

                     

Accrued discounts/premiums

                     

Net realized gain (loss)

            (215,219     (215,219

Net change in unrealized appreciation/depreciation1,2

     (223,204     9,417,978        9,194,774   

Purchases

            4,725,125        4,725,125   

Sales

            (2,610,361     (2,610,361
  

 

 

 

Closing Balance, as of December 31, 2015

   $ 4,465,011      $ 15,504,609      $ 19,969,620   
  

 

 

 

Net change in unrealized appreciation/depreciation on investments still held at December 31, 20152

   $ (223,204   $ 9,417,978      $ 9,194,774   
  

 

 

 

 

  1   

Included in the related net change in unrealized appreciation (depreciation) in the Statements of Operations.

 

  2   

Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at December 31, 2015 is generally due to investments no longer held or categorized as Level 3 at period end.

The following table summarizes the valuation techniques 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 Techniques  

Unobservable

Inputs

  Range of
Unobservable Inputs
Utilized
 

Assets:

       

Common Stocks

  $ 4,465,011      Market Comparables   Tangible Book Value Multiple1     2.10x   

Preferred Stocks

    15,504,609      Market Comparables   Revenue Multiple1     6.03x   
      Revenue Growth Rate1     670.00%   
    Probability-Weighted Expected Return Model   Discount Rate1     25.00%   
      IPO Exit Probability1     70.00%   
      Merger and Acquisition Probability1     25.00%   
      Revenue Growth Rate1     86.00%   
      Revenue Multiple1     1.85x-3.20x   
      Time to Exit2     1-3 years   

Total

  $ 19,969,620                   

 

  1   

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.

 

  2   

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.

 

76    ANNUAL REPORT    DECEMBER 31, 2015     


Consolidated Schedule of Investments December 31,  2015      BlackRock Resources & Commodities StrategyTrust (BCX)   
     (Percentages shown are based on Net Assets)   

 

Common Stocks    Shares      Value  

Building Products — 0.1%

     

Kingspan Group PLC

     31,800       $ 838,432   

Chemicals — 13.9%

     

Air Liquide SA

     4,730         531,024   

Albemarle Corp. (a)

     245,000         13,722,450   

CF Industries Holdings, Inc.

     278,478         11,364,687   

Linde AG

     2,900         418,932   

Monsanto Co. (a)(b)

     427,971         42,163,703   

Novozymes A/S, B Shares

     27,900         1,335,821   

Syngenta AG

     115,314         45,134,258   

Wacker Chemie AG

     5,600         468,224   
     

 

 

 
                115,139,099   

Containers & Packaging — 1.6%

     

Smurfit Kappa Group PLC

     511,889         13,095,262   

Electric Utilities — 0.0%

     

Fortum OYJ

     16,900         254,624   

Electrical Equipment — 0.3%

     

ABB Ltd.

     25,400         453,329   

Gamesa Corp. Tecnologica SA

     27,700         474,225   

Schneider Electric SE

     10,700         607,806   

Vestas Wind Systems A/S

     13,933         973,064   
     

 

 

 
                2,508,424   

Electronic Equipment, Instruments & Components — 0.0%

  

  

Azbil Corp.

     9,800         251,117   

Energy Equipment & Services — 0.8%

     

Schlumberger Ltd. (a)

     90,703         6,326,534   

Food & Staples Retailing — 1.1%

     

Fyffes PLC

     5,441,098         8,928,848   

Food Products — 9.2%

     

Bunge Ltd. (a)

     274,835         18,765,730   

First Resources Ltd.

     8,361,900         11,322,976   

Kerry Group PLC, Class A

     48,427         4,016,067   

Leroy Seafood Group ASA

     235,731         8,788,331   

Mead Johnson Nutrition Co. (a)

     104,104         8,219,011   

Pilgrim’s Pride Corp. (a)

     339,576         7,501,234   

Select Harvests Ltd. (c)

     1,175,925         7,241,131   

Tyson Foods, Inc., Class A (a)

     193,933         10,342,447   
     

 

 

 
                76,196,927   

Independent Power and Renewable Electricity Producers — 0.2%

     

China Longyuan Power Group Corp. Ltd., Class H

     488,000         366,966   

EDP Renovaveis SA

     119,300         938,374   

Enel Green Power SpA

     223,400         454,078   

Greenko Group PLC

     59,000         85,674   
     

 

 

 
                1,845,092   

Metals & Mining — 32.2%

     

Agnico Eagle Mines Ltd. (a)

     295,638         7,770,726   

Alcoa, Inc. (a)

     2,505,303         24,727,341   

Allegheny Technologies, Inc.

     35,000         393,750   

Barrick Gold Corp. (a)

     1,235,979         9,121,525   

BHP Billiton Ltd. — ADR

     930,196         23,961,849   

BHP Billiton PLC

     2,211,530         24,662,728   

Boliden AB

     245,029         4,147,942   

Dominion Diamond Corp. (a)

     825,000         8,430,657   

Eldorado Gold Corp.

     4,633,858         13,730,446   

First Quantum Minerals Ltd. (a)

     3,361,297         12,583,305   

Freeport-McMoRan, Inc.

     1,160,978         7,859,821   

Fresnillo PLC

     1,150,700         11,964,040   

Glencore PLC

     9,557,294         12,664,721   

Grupo Mexico SAB de CV, Series B

     5,640,509         12,040,635   
Common Stocks    Shares      Value  

Metals & Mining (continued)

     

Iluka Resources Ltd.

     4,635,756       $ 20,505,881   

Lundin Mining Corp. (d)

     4,311,374         11,840,154   

MMC Norilsk Nickel PJSC — ADR

     689,940         8,743,447   

Nevsun Resources Ltd.

     4,564,376         12,370,030   

OZ Minerals Ltd.

     3,002,700         8,778,395   

Rio Tinto PLC — ADR

     483,123         14,068,542   

Tahoe Resources, Inc. (a)

     965,000         8,347,944   

Teck Resources Ltd., Class B

     2,025,000         7,816,500   
     

 

 

 
                266,530,379   

Multi-Utilities — 0.5%

     

Hera SpA

     357,100         946,390   

National Grid PLC

     33,700         464,779   

Veolia Environnement SA

     126,000         2,989,463   
     

 

 

 
                4,400,632   

Oil, Gas & Consumable Fuels — 34.5%

     

Anadarko Petroleum Corp.

     93,340         4,534,457   

BG Group PLC

     577,500         8,371,397   

BP PLC — ADR (a)

     1,181,160         36,923,062   

Cairn Energy PLC (d)

     3,032,880         7,019,217   

Canadian Oil Sands Ltd.

     634,200         3,790,442   

Chevron Corp. (a)(b)

     604,542         54,384,598   

China Shenhua Energy Co. Ltd., Class H

     6,951,000         10,853,995   

ConocoPhillips (a)(b)

     670,760         31,317,784   

Enbridge, Inc.

     518,610         17,240,775   

Eni SpA — ADR

     242,270         7,219,646   

EQT Corp.

     60,400         3,148,652   

Exxon Mobil Corp. (a)(b)

     734,264         57,235,879   

Imperial Oil Ltd. (a)

     287,490         9,366,228   

Inpex Corp.

     357,600         3,486,211   

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

     258,824         11,851,551   

Statoil ASA

     229,931         3,206,796   

TOTAL SA — ADR (a)

     335,970         15,101,852   
     

 

 

 
                285,052,542   

Paper & Forest Products — 2.7%

     

Interfor Corp. (d)

     923,729         9,372,809   

International Paper Co. (a)

     334,439         12,608,350   

Precious Woods Holding AG (d)

     20,000         76,877   
     

 

 

 
                22,058,036   

Real Estate Investment Trusts (REITs) — 1.5%

     

Weyerhaeuser Co. (a)

     401,872         12,048,123   

Semiconductors & Semiconductor Equipment — 0.0%

  

  

AIXTRON SE (d)

     7,600         33,715   

SMA Solar Technology AG (d)

     2,600         143,785   
     

 

 

 
                177,500   

Water Utilities — 0.6%

     

Pennon Group PLC

     215,200         2,730,139   

United Utilities Group PLC

     158,381         2,180,810   
     

 

 

 
                4,910,949   

Total Common Stocks — 99.2%

              820,562,520   
 

 

See Notes to Financial Statements.

 

     ANNUAL REPORT    DECEMBER 31, 2015    77


Consolidated Schedule of Investments (continued)      BlackRock Resources & Commodities StrategyTrust (BCX)   
  

 

 

Preferred Stocks    Shares      Value  

Food Products — 0.7%

     

Tyson Foods, Inc.

     99,842       $ 6,058,413   

Total Long-Term Investments

(Cost — $979,019,351) — 99.9%

              826,620,933   
     
     
Short-Term Securities                

BlackRock Liquidity Funds, TempFund,
Institutional Class, 0.23% (e)(f)

     6,170,241         6,170,241   
      Beneficial
Interest
(000)
         

BlackRock Liquidity Series, LLC Money Market Series, 0.39% (e)(f)(g)

   $ 36         35,689   

Total Short-Term Securities

(Cost — $6,205,930) — 0.8%

              6,205,930   
                   
Options Purchased          Value  

(Cost — $4,529) — 0.0%

        $ 1,680   

Total Investments Before Options Written

(Cost — $985,229,810) — 100.7%

          832,828,543   
     
Options Written              

(Premiums Received — $7,049,614) — (0.7)%

          (5,376,750

Total Investments Net of Options Written — 100.0%

        827,451,793   

Liabilities in Excess of Other Assets — 0.0%

        (411,899
     

 

 

 

Net Assets — 100.0%

      $ 827,039,894   
     

 

 

 

 

 
      Notes to Schedule of Investments

 

(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) Security, or a portion of security, is on loan.

 

(d) Non-income producing security.

 

(e) During the year ended December 31, 2015, 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:

 

Affiliates    Shares/
Beneficial Interest
Held at
December 31,
2014
    

Net

Activity

    Shares/
Beneficial Interest
Held at
December 31,
2015
     Income     Realized
Gain
 

BlackRock Liquidity Funds, TempFund, Institutional Class

     29,478,327         (23,308,086     6,170,241       $ 18,056      $ 354   

BlackRock Liquidity Series, LLC Money Market Series

   $ 2,373,800       $ (2,338,111   $ 35,689       $ 24,110 1        

 

  1   

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.

 

(f) Current yield as of period end.

 

(g) Security was purchased with the cash collateral from loaned securities. The Trust may withdraw up to 25% of its investment daily, although the manager of the BlackRock Liquidity Series LLC, Money Market Series, in its sole discretion, may permit an investor to withdraw more than 25% on any one day.

 

 

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 advisor. These definitions may not apply for purposes of this report, which may combine industry sub-classifications for reporting ease.

 

      Derivative Financial Instruments Outstanding as of Period End

 

Exchange-Traded Options Purchased

              
Description    Put/
Call
     Expiration
Date
   Strike
Price
     Contracts      Value  

International Paper Co.

     Call       1/15/16      USD 41.50         420       $ 1,680   

Total

               $ 1,680   
              

 

 

 

 

See Notes to Financial Statements.

 

78    ANNUAL REPORT    DECEMBER 31, 2015     


Consolidated Schedule of Investments (continued)    BlackRock Resources & Commodities Strategy Trust (BCX)

 

Exchange-Traded Options Written

                 
Description    Put/
Call
   Expiration
Date
  

Strike

Price

     Contracts      Value  

Alcoa, Inc.

   Call    1/08/16      USD         10.00         2,200       $ (30,800

Barrick Gold Corp.

   Call    1/08/16      USD         8.00         720         (2,880

Exxon Mobil Corp.

   Call    1/08/16      USD         82.01         505         (2,134

International Paper Co.

   Call    1/08/16      USD         41.00         424         (6,784

Monsanto Co.

   Call    1/08/16      USD         101.00         260         (17,550

Schlumberger Ltd.

   Call    1/08/16      USD         78.00         37         (185

Weyerhaeuser Co.

   Call    1/08/16      USD         31.00         492         (12,300

Agnico Eagle Mines Ltd.

   Call    1/15/16      CAD         38.00         650         (31,239

Alcoa, Inc.

   Call    1/15/16      USD         10.00         1,000         (31,000

Bunge Ltd.

   Call    1/15/16      USD         67.50         480         (86,400

Chevron Corp.

   Call    1/15/16      USD         100.00         150         (825

ConocoPhillips

   Call    1/15/16      USD         55.00         678         (2,034

Exxon Mobil Corp.

   Call    1/15/16      USD         82.50         580         (6,960

First Quantum Minerals Ltd.

   Call    1/15/16      CAD         5.00         3,155         (110,586

First Quantum Minerals Ltd.

   Call    1/15/16      CAD         6.00         3,155         (31,922

Imperial Oil Ltd.

   Call    1/15/16      CAD         46.00         335         (15,132

International Paper Co.

   Call    1/15/16      USD         40.00         101         (1,057

International Paper Co.

   Call    1/15/16      USD         42.00         420         (3,780

Mead Johnson Nutrition Co.

   Call    1/15/16      USD         85.00         370         (11,655

Monsanto Co.

   Call    1/15/16      USD         97.50         635         (153,988

Pilgrim’s Pride Corp.

   Call    1/15/16      USD         22.00         926         (60,190

Pilgrim’s Pride Corp.

   Call    1/15/16      USD         23.00         260         (6,500

Royal Dutch Shell PLC, A Shares — ADR

   Call    1/15/16      USD         52.50         200         (1,000

Schlumberger Ltd.

   Call    1/15/16      USD         82.50         65         (65

Tahoe Resources, Inc.

   Call    1/15/16      CAD         13.00         1,000         (9,034

TOTAL SA — ADR

   Call    1/15/16      USD         47.50         350         (6,125

Weyerhaeuser Co.

   Call    1/15/16      USD         29.00         609         (74,602

Chevron Corp.

   Call    1/22/16      USD         91.00         319         (65,236

ConocoPhillips

   Call    1/22/16      USD         50.00         985         (48,758

Exxon Mobil Corp.

   Call    1/22/16      USD         80.00         646         (52,003

Monsanto Co.

   Call    1/22/16      USD         99.50         600         (98,400

Weyerhaeuser Co.

   Call    1/22/16      USD         32.00         153         (7,650

Chevron Corp.

   Call    1/25/16      USD         93.23         637         (104,039

Tyson Foods, Inc., Class A

   Call    1/25/16      USD         52.00         400         (89,647

Barrick Gold Corp.

   Call    1/29/16      USD         8.00         1,000         (19,000

BP PLC — ADR

   Call    1/29/16      USD         31.50         1,000         (85,500

Exxon Mobil Corp.

   Call    1/29/16      USD         78.00         236         (47,554

Exxon Mobil Corp.

   Call    1/29/16      USD         80.00         646         (71,060

Weyerhaeuser Co.

   Call    1/29/16      USD         30.50         152         (8,360

Barrick Gold Corp.

   Call    2/05/16      USD         8.00         1,000         (24,500

Chevron Corp.

   Call    2/05/16      USD         93.00         336         (69,552

TOTAL SA — ADR

   Call    2/05/16      USD         50.01         204         (3,584

Agnico Eagle Mines Ltd.

   Call    2/19/16      CAD         42.00         385         (21,564

Bunge Ltd.

   Call    2/19/16      USD         67.50         480         (151,200

Chevron Corp.

   Call    2/19/16      USD         95.00         675         (110,362

Dominion Diamond Corp.

   Call    2/19/16      CAD         15.00         962         (49,014

First Quantum Minerals Ltd.

   Call    2/19/16      CAD         8.00         3,000         (26,017

Tahoe Resources, Inc.

   Call    2/19/16      CAD         13.00         1,000         (34,328

TOTAL SA — ADR

   Call    2/19/16      USD         49.78         204         (6,772

Total

                  $ (1,910,827
                 

 

 

 

 

OTC Options Written

                    
Description    Put/
Call
   Counterparty    Expiration
Date
  

Strike

Price

     Contracts      Value  

Royal Dutch Shell PLC, A Shares — ADR

   Call    Deutsche Bank AG    1/04/16      USD         54.00         41,000       $   

Azbil Corp.

   Call    UBS AG    1/05/16      JPY         3,164.61         1,700         (132

EDP Renovaveis SA

   Call    Bank of America N.A.    1/05/16      EUR         6.71         15,500         (8,868

Eldorado Gold Corp.

   Call    UBS AG    1/05/16      CAD         4.24         300,000         (13,408

Fresnillo PLC

   Call    Bank of America N.A.    1/05/16      GBP         7.62         90,000         (671

Iluka Resources Ltd.

   Call    Deutsche Bank AG    1/05/16      AUD         6.75         200,000         (55

Interfor Corp.

   Call    Citibank N.A.    1/05/16      CAD         12.90         64,000         (55,189

 

See Notes to Financial Statements.

 

     ANNUAL REPORT    DECEMBER 31, 2015    79


Consolidated Schedule of Investments (continued)      BlackRock Resources & Commodities StrategyTrust (BCX)   

 

Description    Put/
Call
   Counterparty    Expiration
Date
  

Strike

Price

     Contracts      Value  

Veolia Environnement SA

   Call    Morgan Stanley & Co. International PLC    1/05/16      EUR         21.50         23,000       $ (12,819

Enbridge, Inc.

   Call    Citibank N.A.    1/06/16      CAD         52.55         86,200         (42

Eni SpA — ADR

   Call    UBS AG    1/06/16      USD         32.61         30,000         (84

Select Harvests Ltd.

   Call    Goldman Sachs International    1/06/16      AUD         10.84         37,500           

Statoil ASA

   Call    Deutsche Bank AG    1/06/16      NOK         144.38         19,500         (1

Boliden AB

   Call    Morgan Stanley & Co. International PLC    1/07/16      SEK         153.55         56,500         (1,879

EDP Renovaveis SA

   Call    Bank of America N.A.    1/07/16      EUR         6.51         5,500         (4,353

First Resources Ltd.

   Call    Bank of America N.A.    1/07/16      SGD         2.00         200,000         (1,658

MMC Norilsk Nickel PJSC — ADR

   Call    Deutsche Bank AG    1/07/16      USD         15.41         118,000         (60

OZ Minerals Ltd.

   Call    UBS AG    1/07/16      AUD         4.68         231,000         (261

Cairn Energy PLC

   Call    Société Générale    1/08/16      GBP         1.52         200,000         (20,243

CF Industries Holdings, Inc.

   Call    Citibank N.A.    1/08/16      USD         46.30         49,000         (953

Tyson Foods, Inc., Class A

   Call    Credit Suisse International    1/08/16      USD         44.50         28,000         (247,338

BHP Billiton PLC

   Call    Deutsche Bank AG    1/12/16      GBP         8.48         100,000         (1,566

BHP Billiton PLC

   Call    Deutsche Bank AG    1/12/16      GBP         9.31         44,000         (193

Leroy Seafood Group ASA

   Call    Morgan Stanley & Co. International PLC    1/12/16      NOK         335.71         20,000         (11,709

Lundin Mining Corp.

   Call    Citibank N.A.    1/12/16      CAD         4.10         300,000         (10,897

Wacker Chemie AG

   Call    Morgan Stanley & Co. International PLC    1/12/16      EUR         86.43         2,000         (77

China Longyuan Power Group Corp. Ltd., Class H

   Call    Bank of America N.A.    1/13/16      HKD         6.70         86,000         (47

EDP Renovaveis SA

   Call    Bank of America N.A.    1/13/16      EUR         6.71         15,200         (8,873

First Resources Ltd.

   Call    Bank of America N.A.    1/13/16      SGD         2.05         200,000         (1,735

Inpex Corp.

   Call    Morgan Stanley & Co. International PLC    1/13/16      JPY         1,259.70         62,500         (1,751

Select Harvests Ltd.

   Call    Deutsche Bank AG    1/13/16      AUD         10.83         21,000         (19

Select Harvests Ltd.

   Call    UBS AG    1/13/16      AUD         10.23         13,400         (17

Boliden AB

   Call    Bank of America N.A.    1/14/16      SEK         148.73         135,000         (30,617

First Resources Ltd.

   Call    Bank of America N.A.    1/14/16      SGD         1.99         100,000         (1,847

Iluka Resources Ltd.

   Call    Bank of America N.A.    1/14/16      AUD         6.17         500,000         (45,030

OZ Minerals Ltd.

   Call    UBS AG    1/14/16      AUD         4.36         235,000         (3,394

Select Harvests Ltd.

   Call    Bank of America N.A.    1/14/16      AUD         9.99         50,000         (284

Smurfit Kappa Group PLC

   Call    Bank of America N.A.    1/14/16      EUR         26.22         30,000         (444

Syngenta AG

   Call    UBS AG    1/14/16      CHF         383.15         16,000         (293,275

United Utilities Group PLC

   Call    Morgan Stanley & Co. International PLC    1/14/16      GBP         9.78         55,000         (1,615

Albemarle Corp.

   Call    Morgan Stanley & Co. International PLC    1/20/16      USD         51.47         35,000         (196,916

Azbil Corp.

   Call    UBS AG    1/20/16      JPY         3,156.25         1,700         (522

BHP Billiton PLC

   Call    UBS AG    1/20/16      GBP         8.11         472,000         (58,263

Cairn Energy PLC

   Call    Bank of America N.A.    1/20/16      GBP         1.62         100,000         (4,258

Fresnillo PLC

   Call    Deutsche Bank AG    1/20/16      GBP         7.04         121,000         (37,490

Glencore PLC

   Call    Bank of America N.A.    1/20/16      GBP         0.94         200,000         (12,300

Iluka Resources Ltd.

   Call    Bank of America N.A.    1/20/16      AUD         6.17         500,000         (54,589

Inpex Corp.

   Call    Bank of America N.A.    1/20/16      JPY         1,263.68         63,000         (3,198

Enel Green Power SpA

   Call    UBS AG    1/21/16      EUR         2.03         39,000         (184

First Resources Ltd.

   Call    Morgan Stanley & Co. International PLC    1/21/16      SGD         1.98         400,000         (12,337

OZ Minerals Ltd.

   Call    Citibank N.A.    1/21/16      AUD         3.95         128,000         (16,843

OZ Minerals Ltd.

   Call    UBS AG    1/21/16      AUD         4.20         213,000         (10,453

Schneider Electric SE

   Call    Bank of America N.A.    1/21/16      EUR         58.90         1,900         (39

Smurfit Kappa Group PLC

   Call    Bank of America N.A.    1/21/16      EUR         26.20         60,000         (2,451

TOTAL SA — ADR

   Call    Deutsche Bank AG    1/25/16      USD         50.39         20,000         (1,563

Interfor Corp.

   Call    Citibank N.A.    1/26/16      CAD         13.20         64,000         (62,036

Veolia Environnement SA

   Call    Morgan Stanley & Co. International PLC    1/26/16      EUR         22.31         21,100         (9,713

BG Group PLC

   Call    Morgan Stanley & Co. International PLC    1/27/16      GBP         9.80         100,000         (68,800

Boliden AB

   Call    UBS AG    1/27/16      SEK         143.82         53,500         (34,324

Cairn Energy PLC

   Call    Morgan Stanley & Co. International PLC    1/27/16      GBP         1.58         51,000         (4,500

First Resources Ltd.

   Call    Morgan Stanley & Co. International PLC    1/27/16      SGD         1.98         400,000         (13,995

Fresnillo PLC

   Call    Goldman Sachs International    1/27/16      GBP         6.76         125,000         (76,239

Glencore PLC

   Call    Goldman Sachs International    1/27/16      GBP         0.85         200,000         (27,336

Grupo Mexico SAB de CV, Series B

   Call    Credit Suisse International    1/27/16      MXN         38.72         900,000         (23,936

Iluka Resources Ltd.

   Call    Goldman Sachs International    1/27/16      AUD         6.21         200,000         (25,058

Kingspan Group PLC

   Call    Morgan Stanley & Co. International PLC    1/27/16      EUR         25.92         11,100         (2,116

MMC Norilsk Nickel PJSC — ADR

   Call    Morgan Stanley & Co. International PLC    1/27/16      USD         13.21         123,400         (31,384

Pennon Group PLC

   Call    Morgan Stanley & Co. International PLC    1/27/16      GBP         8.34         37,500         (19,259

Royal Dutch Shell PLC, A Shares — ADR

   Call    Deutsche Bank AG    1/27/16      USD         51.70         19,500         (2,602

Eldorado Gold Corp.

   Call    Morgan Stanley & Co. International PLC    1/28/16      CAD         4.85         200,000         (12,170

 

See Notes to Financial Statements.

 

80    ANNUAL REPORT    DECEMBER 31, 2015     


Consolidated Schedule of Investments (continued)      BlackRock Resources & Commodities StrategyTrust (BCX)   

 

Description    Put/
Call
     Counterparty    Expiration
Date
  

Strike

Price

     Contracts      Value  

First Resources Ltd.

     Call       Morgan Stanley & Co. International PLC    1/28/16      SGD         2.00         200,000       $ (5,481

First Resources Ltd.

     Call       Morgan Stanley & Co. International PLC    1/28/16      SGD         2.08         200,000         (3,628

Gamesa Corp. Tecnologica SA

     Call       UBS AG    1/28/16      EUR         16.75         9,700         (2,261

Smurfit Kappa Group PLC

     Call       UBS AG    1/28/16      EUR         26.22         30,000         (2,741

Glencore PLC

     Call       UBS AG    1/29/16      GBP         0.90         500,000         (51,714

Hera SpA

     Call       Deutsche Bank AG    2/02/16      EUR         2.46         125,000         (4,674

Select Harvests Ltd.

     Call       UBS AG    2/02/16      AUD         9.73         37,500         (2,124

Fresnillo PLC

     Call       Société Générale    2/03/16      GBP         6.70         67,000         (49,915

Interfor Corp.

     Call       Citibank N.A.    2/03/16      CAD         13.34         67,000         (66,678

BG Group PLC

     Call       Morgan Stanley & Co. International PLC    2/04/16      GBP         10.47         100,000         (34,818

Cairn Energy PLC

     Call       Goldman Sachs International    2/04/16      GBP         1.58         51,000         (4,690

Enel Green Power SpA

     Call       Goldman Sachs International    2/04/16      EUR         1.90         39,100         (2,256

OZ Minerals Ltd.

     Call       Citibank N.A.    2/05/16      AUD         4.26         250,000         (17,223

Royal Dutch Shell PLC, A Shares — ADR

     Call       UBS AG    2/05/16      USD         50.49         10,000         (3,929

CF Industries Holdings, Inc.

     Call       Citibank N.A.    2/08/16      USD         44.18         49,000         (45,841

Grupo Mexico SAB de CV, Series B

     Call       Credit Suisse International    2/08/16      MXN         39.09         900,000         (29,679

Interfor Corp.

     Call       Citibank N.A.    2/08/16      CAD         13.84         64,000         (54,423

EDP Renovaveis SA

     Call       Morgan Stanley & Co. International PLC    2/09/16      EUR         6.80         5,500         (3,099

Eldorado Gold Corp.

     Call       Citibank N.A.    2/09/16      CAD         4.42         200,000         (29,736

Kerry Group PLC, Class A

     Call       Bank of America N.A.    2/09/16      EUR         76.86         17,000         (28,137

Schneider Electric SE

     Call       Bank of America N.A.    2/09/16      EUR         56.05         1,800         (1,261

Cairn Energy PLC

     Call       Morgan Stanley & Co. International PLC    2/10/16      GBP         1.43         293,500         (71,503

Select Harvests Ltd.

     Call       UBS AG    2/10/16      AUD         8.72         50,000         (13,182

Syngenta AG

     Call       UBS AG    2/10/16      CHF         382.44         24,300         (634,411

First Resources Ltd.

     Call       Morgan Stanley & Co. International PLC    2/11/16      SGD         2.02         200,000         (7,469

Statoil ASA

     Call       Bank of America N.A.    2/11/16      NOK         126.63         61,000         (36,937

China Longyuan Power Group Corp. Ltd., Class H

     Call       Bank of America N.A.    2/16/16      HKD         6.97         85,000         (394

China Shenhua Energy Co. Ltd., Class H

     Call       Bank of America N.A.    2/16/16      HKD         12.07         1,216,000         (108,553

Interfor Corp.

     Call       Citibank N.A.    2/16/16      CAD         14.01         64,000         (55,588

National Grid PLC

     Call       Morgan Stanley & Co. International PLC    2/16/16      GBP         9.19         11,800         (6,361

Glencore PLC

     Call       Deutsche Bank AG    2/17/16      GBP         0.97         2,445,000         (225,768

Select Harvests Ltd.

     Call       Citibank N.A.    2/17/16      AUD         8.60         37,500         (12,254

Cairn Energy PLC

     Call       Morgan Stanley & Co. International PLC    2/18/16      GBP         1.53         75,000         (11,249

First Resources Ltd.

     Call       Morgan Stanley & Co. International PLC    2/18/16      SGD         1.99         200,000         (10,131

Cairn Energy PLC

     Call       Morgan Stanley & Co. International PLC    2/23/16      GBP         1.43         140,000         (35,204

Albemarle Corp.

     Call       Citibank N.A.    2/24/16      USD         56.75         50,000         (142,386

TOTAL SA — ADR

     Call       Morgan Stanley & Co. International PLC    2/26/16      USD         48.80         14,500         (8,762

Cairn Energy PLC

     Call       Morgan Stanley & Co. International PLC    3/01/16      GBP         1.45         140,000         (35,185

Total

                     $ (3,465,923
                    

 

 

 

 

      Transactions in Options Written for the Year Ended December 31, 2015

 

       Calls           Puts
  

 

 

      

 

       Contracts       
 
Premiums
Received
  
  
     Contracts    Premiums
Received
         

 

Outstanding options at beginning of year

     11,008,132      $ 6,119,364           

Options written

     112,467,627        60,914,650           

Options expired

     (70,855,090     (32,012,856        

Options closed

     (35,911,166     (27,799,810        

Options exercised

     (1,326     (171,734        
  

 

 

      

 

Outstanding options at end of year

     16,708,177      $ 7,049,614           
  

 

 

      

 

As of period end, the value of portfolio securities subject to covered call options written was $207,292,133.

 

See Notes to Financial Statements.

 

     ANNUAL REPORT    DECEMBER 31, 2015    81


Consolidated Schedule of Investments (continued)      BlackRock Resources & Commodities StrategyTrust (BCX)   

 

 

      Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments were as follows:

 

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

Assets - Derivative Financial Instruments

                                

Options purchased

   Investments at value —  unaffiliated1         $ 1,680             $ 1,680   

Liabilities - Derivative Financial Instruments

                                

Options written

   Options written, at value         $ 5,376,750             $ 5,376,750   

 

  1   

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

For the year ended December 31, 2015, the effect of derivative financial instruments in the Statements of Operations was as follow:

 

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

Net Realized Gain (Loss) from:

                                    

Options purchased1

         $ (11,041         $ (11,041

Options written

           17,670,523              17,670,523   
  

 

 

Total

         $ 17,659,482            $ 17,659,482   
  

 

 
                

Net Change in Unrealized Appreciation (Depreciation) on:

                                    

Options purchased2

         $ (2,849         $ (2,849

Options written

           3,014,954              3,014,954   
  

 

 

Total

         $ 3,012,105            $ 3,012,105   
  

 

 

 

  1   

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

 

  2   

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

 

      Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Options:

        

Average value of option contracts purchased

   $ 420   

Average value of option contracts written

   $ 4,218,946   

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

   $ 1,680 1    $ 5,376,750   
  

 

 

 

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

     (1,680     (1,910,827
  

 

 

 

Total derivative assets and liabilities subject to an MNA

          $ 3,465,923   
  

 

 

 
  1   

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

 

See Notes to Financial Statements.

 

82    ANNUAL REPORT    DECEMBER 31, 2015     


Consolidated Schedule of Investments (continued)      BlackRock Resources & Commodities StrategyTrust (BCX)   

 

The following table presents the Trust’s derivative liabilities by counterparty net of amounts available for offset under an Master Netting Agreement (MNA) and net of the related collateral pledged by the Trust:

 

      Gross Amounts Not Offset in the Consolidated Statements of Assets and Liabilities
and Subject to an MNA
Counterparty    Derivative Liabilities
Subject to an MNA by
Counterparty
   Derivatives Available
for Offset
   Non-cash
Collateral
Pledged1
  Cash
Collateral
Pledged
   Net Amount of
Derivative Liabilities2

Bank of America N.A

     $ 356,544                 $ (336,042 )              $ 20,502  

Citibank N.A

       570,089                   (398,091 )                171,998  

Credit Suisse International

       300,953                   (148,105 )                152,848  

Deutsche Bank AG

       273,991                   (273,991 )                 

Goldman Sachs International

       135,579                   (77,950 )                57,629  

Morgan Stanley & Co. International PLC

       633,930                   (558,742 )                75,188  

Société Générale

       70,158                                    70,158  

UBS AG

       1,124,679                   (1,124,679 )                 

Total

     $ 3,465,923                 $ (2,917,600 )              $ 548,323  

 

  1   

Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes.

 

  2   

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

         

Building Products

          $ 838,432              $ 838,432   

Chemicals

   $ 67,250,840        47,888,259                115,139,099   

Containers & Packaging

     13,095,262                       13,095,262   

Electric Utilities

            254,624                254,624   

Electrical Equipment

            2,508,424                2,508,424   

Electronic Equipment, Instruments & Components

            251,117                251,117   

Energy Equipment & Services

     6,326,534                       6,326,534   

Food & Staples Retailing

     8,928,848                       8,928,848   

Food Products

     68,955,796        7,241,131                76,196,927   

Independent Power and Renewable Electricity Producers

     85,674        1,759,418                1,845,092   

Metals & Mining

     179,211,167        87,319,212                266,530,379   

Multi-Utilities

            4,400,632                4,400,632   

Oil, Gas & Consumable Fuels

     252,114,926        32,937,616                285,052,542   

Paper & Forest Products

     21,981,159        76,877                22,058,036   

Real Estate Investment Trusts (REITs)

     12,048,123                       12,048,123   

Semiconductors & Semiconductor Equipment

            177,500                177,500   

Water Utilities

            4,910,949                4,910,949   

Preferred Stocks

     6,058,413                       6,058,413   

Short-Term Securities

     6,170,241        35,689                6,205,930   

Options Purchased

     1,680                       1,680   
  

 

 

 

Total

   $ 642,228,663      $ 190,599,880              $ 832,828,543   
  

 

 

 
         
      Level 1     Level 2     Level 3      Total  

Derivative Financial Instruments1

         

Liabilities:

         

Equity contracts

   $ (1,704,651   $ (3,672,099           $ (5,376,750
  

 

 

 

 

  1   

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

 

See Notes to Financial Statements.

 

     ANNUAL REPORT    DECEMBER 31, 2015    83


Consolidated Schedule of Investments (concluded)      BlackRock Resources & Commodities Strategy Trust (BCX)   

 

The Trust may hold liabilities in which the fair value approximates the carrying amount for financial statements purposes. As of period end, such liabilities are categorized within the disclosure hierarchy as follows:

 

      Level 1      Level 2     Level 3      Total  

Liabilities:

          

Foreign bank overdraft

           $ (247,746           $ (247,746

Collateral on securities loaned at value

             (35,689             (35,689
  

 

 

 

Total

           $ (283,435           $ (283,435
  

 

 

 

During the year ended December 31, 2015, there were no transfers between levels.

 

See Notes to Financial Statements.

 

84    ANNUAL REPORT    DECEMBER 31, 2015     


Schedule of Investments December 31, 2015      BlackRock Science and Technology Trust (BST)   
     (Percentages shown are based on Net Assets)   

 

Common Stocks    Shares      Value  

Diversified Telecommunication Services — 2.2%

     

Cellnex Telecom SAU (a)

     202,621       $ 3,788,417   

Cogent Communications Holdings, Inc. (b)

     99,200         3,441,248   

Com Hem Holding AB

     263,200         2,394,584   
     

 

 

 
                9,624,249   

Electronic Equipment, Instruments & Components — 1.5%

  

CDW Corp.

     82,300         3,459,892   

Japan Aviation Electronics Industry Ltd.

     131,000         1,913,857   

Tongda Group Holdings Ltd.

     6,450,000         1,140,186   
     

 

 

 
                6,513,935   

Hotels, Restaurants & Leisure — 0.9%

     

Six Flags Entertainment Corp. (b)

     69,800         3,834,812   

Household Durables — 1.3%

     

Sony Corp.

     242,100         5,950,042   

Internet & Catalog Retail — 5.6%

     

Amazon.com, Inc. (b)(c)

     24,200         16,356,538   

Ctrip.com International Ltd. — ADR (b)(c)

     57,000         2,640,810   

Ensogo Ltd. (c)

     173,282         265,168   

Netflix Inc. (b)(c)

     47,620         5,446,776   
     

 

 

 
                24,709,292   

Internet Software & Services — 23.9%

     

58.com, Inc. — ADR (b)(c)

     82,400         5,435,100   

Alibaba Group Holding Ltd. — ADR (b)(c)

     86,800         7,054,236   

Alphabet, Inc., Class A (b)(c)

     41,500         32,287,415   

comScore, Inc. (b)(c)

     55,000         2,263,250   

Cvent, Inc. (b)(c)

     84,700         2,956,877   

eBay, Inc. (b)(c)

     77,100         2,118,708   

Facebook, Inc., Class A (b)(c)

     220,700         23,098,462   

Hortonworks, Inc. (b)(c)

     121,935         2,670,378   

Instructure, Inc. (c)

     117,500         2,446,350   

LinkedIn Corp., Class A (b)(c)

     15,400         3,466,232   

NetEase, Inc. — ADR (b)

     25,800         4,675,992   

New Relic, Inc. (b)(c)

     69,200         2,520,956   

Scout24 AG (a)(c)

     74,300         2,658,560   

Tencent Holdings Ltd.

     633,500         12,465,565   
     

 

 

 
                106,118,081   

IT Services — 13.0%

     

Alliance Data Systems Corp. (b)(c)

     13,100         3,623,067   

Euronet Worldwide, Inc. (c)

     48,100         3,483,883   

Fidelity National Information Services, Inc. (b)

     56,500         3,423,900   

First Data Corp., Class A (b)(c)

     117,900         1,888,758   

Global Payments, Inc. (b)

     70,000         4,515,700   

HCL Technologies Ltd.

     218,300         2,821,628   

Luxoft Holding, Inc. (c)

     50,500         3,895,065   

MasterCard, Inc., Class A (b)

     96,000         9,346,560   

PayPal Holdings, Inc. (b)(c)

     72,900         2,638,980   

Sabre Corp.

     170,000         4,754,900   

Visa, Inc., A Shares (b)

     150,000         11,632,500   

Worldpay Group PLC (a)(c)

     1,280,400         5,800,524   
     

 

 

 
                57,825,465   

Media — 4.5%

     

Eros International PLC (b)(c)(d)

     154,305         1,411,891   

Naspers Ltd., N Shares

     43,800         5,986,774   

REA Group Ltd.

     58,800         2,360,467   

Rentrak Corp. (c)

     37,000         1,758,610   

Sky PLC

     198,900         3,260,608   

Stroeer SE

     53,100         3,341,220   

Walt Disney Co. (b)

     18,800         1,975,504   
     

 

 

 
                20,095,074   

Professional Services — 1.5%

     

TechnoPro Holdings, Inc.

     137,300         4,060,914   
Common Stocks    Shares      Value  

Professional Services (continued)

     

TransUnion (c)

     90,100       $ 2,484,057   
     

 

 

 
                6,544,971   

Real Estate Investment Trusts (REITs) — 5.0%

     

Crown Castle International Corp. (b)

     87,900         7,598,955   

Digital Realty Trust, Inc.

     90,800         6,866,296   

Equinix, Inc. (b)

     24,751         7,484,702   
     

 

 

 
                21,949,953   

Semiconductors & Semiconductor Equipment — 10.5%

  

ARM Holdings PLC

     197,800         3,014,891   

ASML Holding NV

     24,100         2,141,333   

Avago Technologies Ltd. (b)

     37,100         5,385,065   

BE Semiconductor Industries NV

     105,500         2,120,162   

Broadcom Corp., Class A

     72,400         4,186,168   

Cavium, Inc. (b)(c)

     33,200         2,181,572   

Hermes Microvision, Inc.

     39,000         1,402,742   

Lam Research Corp. (b)

     53,900         4,280,738   

M/A-COM Technology Solutions Holdings. Inc. (b)(c)

     71,700         2,931,813   

Maxim Integrated Products, Inc. (b)

     69,800         2,652,400   

Micron Technology, Inc. (b)(c)

     80,300         1,137,048   

NVIDIA Corp. (b)

     91,700         3,022,432   

NXP Semiconductors NV (b)(c)

     42,700         3,597,475   

Silicon Motion Technology Corp. — ADR (b)

     74,900         2,348,864   

Taiwan Semiconductor Manufacturing Co. Ltd.

     1,471,000         6,346,249   
     

 

 

 
                46,748,952   

Software — 19.6%

     

Activision Blizzard, Inc. (b)

     205,500         7,954,905   

Adobe Systems, Inc. (b)(c)

     66,100         6,209,434   

Atlassian Corp. PLC, Class A (c)

     109,200         3,284,736   

Autodesk, Inc. (b)(c)

     86,000         5,239,980   

Electronic Arts, Inc. (b)(c)

     65,400         4,494,288   

Imperva, Inc. (b)(c)

     75,700         4,792,567   

Microsoft Corp. (b)

     321,600         17,842,368   

Nintendo Co. Ltd.

     31,800         4,372,822   

Oracle Corp. (b)

     180,800         6,604,624   

Proofpoint, Inc. (b)(c)

     50,400         3,276,504   

RingCentral, Inc., Class A (b)(c)

     145,200         3,423,816   

Salesforce.com, Inc. (b)(c)

     55,200         4,327,680   

ServiceNow, Inc. (b)(c)

     45,100         3,903,856   

Sophos Group PLC (a)

     771,000         2,977,931   

Tableau Software, Inc., Class A (b)(c)

     27,900         2,628,738   

Take-Two Interactive Software, Inc. (b)(c)

     64,800         2,257,632   

Zendesk, Inc. (b)(c)

     125,400         3,315,576   
     

 

 

 
                86,907,457   

Technology Hardware, Storage & Peripherals — 6.6%

  

Apple, Inc. (b)

     224,800         23,662,448   

Catcher Technology Co. Ltd.

     242,000         2,017,413   

Lenovo Group Ltd.

     1,866,000         1,894,881   

Quanta Computer, Inc.

     1,116,000         1,800,712   
     

 

 

 
                29,375,454   

Wireless Telecommunication Services — 0.7%

     

Bharti Infratel Ltd.

     460,800         2,981,857   

Total Common Stocks — 96.8%

              429,179,594   
     
     
               
 

 

See Notes to Financial Statements.

 

     ANNUAL REPORT    DECEMBER 31, 2015    85


Schedule of Investments (continued)      BlackRock Science and Technology Trust (BST)   

 

Preferred Stocks    Shares      Value  

Internet & Catalog Retail — 0.6%

     

Jasper Infotech Private Ltd., Series I (Acquired 8/18/15, Cost 1,998,435) (c)(e)

     1,054       $ 2,608,186   

Internet Software & Services — 2.6%

     

Uber Technologies, Inc., Series E (Acquired 12/4/14, Cost $3,000,048), 0.00% (c)(e)

     90,044         4,391,644   

Xiaoju Kuaizhi, Inc., Series A-17 (Acquired 7/28/15, Cost $3,016,964) (c)(e)

     110,003         3,363,892   

Zuora, Inc. (Acquired 1/16/15, Cost $3,894,522), 0.00% (c)(e)

     1,025,063         3,838,348   
     

 

 

 
                11,593,884   

Software — 0.3%

     

Illumio, Inc., Series C (Acquired 3/11/15, Cost $1,500,001), 0.00% (c)(e)

     466,730         1,494,470   

Total Preferred Stocks — 3.5%

  

     15,696,540   

Total Long-Term Investments

(Cost — $376,392,657) — 100.3%

  

  

     444,876,134   
     
     
               

 

Short-Term Securities    Shares      Value  

BlackRock Liquidity Funds, TempFund, Institutional Class, 0.23% (f)(g)

     604,146       $ 604,146   
      Beneficial
Interest
(000)
         

BlackRock Liquidity Series, LLC Money Market Series, 0.39% (f)(g)(h)

   $ 119         119,000   

Total Short-Term Securities

(Cost — $723,146) — 0.2%

  

  

     723,146   

Total Investments Before Options Written

(Cost — $377,115,803) — 100.5%

  

  

     445,599,280   
     
     
Options Written                

(Premiums Received — $4,168,452) — (0.6)%

  

     (2,699,149

Total Investments Net of Options Written — 99.9%

  

     442,900,131   

Other Assets Less Liabilities — 0.1%

  

     576,714   
     

 

 

 

Net Assets — 100.0%

  

   $ 443,476,845   
     

 

 

 
 

 

      Notes to Schedule of Investments

 

(a) Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933. This security may be resold in transactions exempt from registration to qualified institutional investors.

 

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

 

(c) Non-income producing security.

 

(d) Security, or a portion of security, is on loan.

 

(e) Restricted security as to resale, excluding 144A securities. As of report date, the Trust held restricted securities with a current value of $15,696,540 and an original cost of $13,409,970 which was 3.5% of its net assets.

 

(f) Current yield as of period end.

 

(g) During the year ended December 31, 2015, 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:

 

Affiliates    Shares
Held at
December 31,
2014
    

Net

Activity

    Shares/
Beneficial Interest
Held at
December 31,
2015
     Income     Realized
Gain
 

BlackRock Liquidity Funds, TempFund, Institutional Class

     43,173,790         (42,569,644     604,146         $  7,865        $56   

BlackRock Liquidity Series, LLC, Money Market Series

             $      119,000        $119,000         $19,944 1        

 

  1   

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.

 

(h) Security was purchased with the cash collateral from loaned securities. The Trust may withdraw up to 25% of its investment daily, although the manager of the BlackRock Liquidity Series LLC, Money Market Series, in its sole discretion, may permit an investor to withdraw more than 25% on any one day.

 

 

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 advisor. These definitions may not apply for purposes of this report, which may combine industry sub- classifications for reporting ease.

 

      Derivative Financial Instruments Outstanding as of Period End

Exchange-Traded Options Written

 

Description    Put/
Call
     Expiration
Date
  

Strike

Price

     Contracts      Value  

Silicon Motion Technology Corp. — ADR

     Call       1/04/16      USD         30.40         87       $ (9,248

Activision Blizzard, Inc.

     Call       1/08/16      USD         40.00         388         (5,432

Alibaba Group Holding Ltd. — ADR

     Call       1/08/16      USD         89.00         154         (616

Amazon.com, Inc.

     Call       1/08/16      USD         675.00         29         (28,130

Amazon.com, Inc.

     Call       1/08/16      USD         697.50         51         (8,644

 

See Notes to Financial Statements.

 

86    ANNUAL REPORT    DECEMBER 31, 2015     


Schedule of Investments (continued)      BlackRock Science and Technology Trust (BST)   

 

Description    Put/
Call
     Expiration
Date
  

Strike

Price

     Contracts      Value  

Apple, Inc.

     Call       1/08/16      USD         120.00         81       $ (243

eBay, Inc.

     Call       1/08/16      USD         30.00         124         (496

Electronic Arts, Inc.

     Call       1/08/16      USD         72.50         125         (2,750

LinkedIn Corp., Class A

     Call       1/08/16      USD         250.00         32         (224

MasterCard, Inc., Class A

     Call       1/08/16      USD         100.00         96         (1,536

MasterCard, Inc., Class A

     Call       1/08/16      USD         97.50         148         (13,764

Microsoft Corp.

     Call       1/08/16      USD         57.00         83         (872

NetEase, Inc. — ADR

     Call       1/08/16      USD         177.50         50         (29,000

Netflix Inc.

     Call       1/08/16      USD         125.00         82         (1,148

NVIDIA Corp.

     Call       1/08/16      USD         34.00         320         (11,200

PayPal Holdings, Inc.

     Call       1/08/16      USD         37.00         135         (4,388

Salesforce.com, Inc.

     Call       1/08/16      USD         82.00         73         (1,168

Visa, Inc., A Shares

     Call       1/08/16      USD         81.00         225         (788

Walt Disney Co.

     Call       1/08/16      USD         117.00         36         (468

Silicon Motion Technology Corp. — ADR

     Call       1/11/16      USD         32.25         90         (3,204

Imperva, Inc.

     Call       1/12/16      USD         73.00         135         (1,661

Walt Disney Co.

     Call       1/13/16      USD         116.00         36         (91

Activision Blizzard, Inc.

     Call       1/15/16      USD         39.00         15         (1,035

Adobe Systems, Inc.

     Call       1/15/16      USD         95.00         279         (34,317

Alibaba Group Holding Ltd. — ADR

     Call       1/15/16      USD         82.50         44         (6,182

Alliance Data Systems Corp.

     Call       1/15/16      USD         270.00         46         (42,320

Amazon.com, Inc.

     Call       1/15/16      USD         695.00         5         (2,788

Autodesk, Inc.

     Call       1/15/16      USD         62.50         298         (20,264

Autodesk, Inc.

     Call       1/15/16      USD         65.00         176         (3,344

Avago Technologies Ltd.

     Call       1/15/16      USD         155.00         130         (8,775

Cavium, Inc.

     Call       1/15/16      USD         65.00         182         (41,405

comScore, Inc.

     Call       1/15/16      USD         50.00         82         (4,510

Crown Castle International Corp.

     Call       1/15/16      USD         87.50         296         (19,240

Ctrip.com International Ltd. — ADR

     Call       1/15/16      USD         52.50         100         (997

Cvent, Inc.

     Call       1/15/16      USD         35.00         150         (12,750

Equinix, Inc.

     Call       1/15/16      USD         300.00         86         (55,470

Eros International PLC

     Call       1/15/16      USD         10.00         270         (10,800

Facebook, Inc., Class A

     Call       1/15/16      USD         115.00         50         (275

Fidelity National Information Services, Inc.

     Call       1/15/16      USD         68.00         200         (1,295

Global Payments, Inc.

     Call       1/15/16      USD         65.00         193         (32,328

Global Payments, Inc.

     Call       1/15/16      USD         70.00         193         (8,685

Hortonworks, Inc.

     Call       1/15/16      USD         20.00         106         (22,790

Hortonworks, Inc.

     Call       1/15/16      USD         22.50         100         (7,500

Lam Research Corp.

     Call       1/15/16      USD         80.00         188         (24,910

M/A-COM Technology Solutions Holdings. Inc.

     Call       1/15/16      USD         40.00         250         (52,500

MasterCard, Inc., Class A

     Call       1/15/16      USD         101.00         96         (2,352

Maxim Integrated Products, Inc.

     Call       1/15/16      USD         41.00         245         (6,125

Microsoft Corp.

     Call       1/15/16      USD         53.60         308         (66,835

Microsoft Corp.

     Call       1/15/16      USD         55.00         307         (34,231

NetEase, Inc. — ADR

     Call       1/15/16      USD         150.00         10         (31,800

NetEase, Inc. — ADR

     Call       1/15/16      USD         190.00         81         (12,758

New Relic, Inc.

     Call       1/15/16      USD         40.00         182         (8,190

NXP Semiconductors NV

     Call       1/15/16      USD         85.00         75         (15,563

RingCentral, Inc., Class A

     Call       1/15/16      USD         24.00         10         (600

RingCentral, Inc., Class A

     Call       1/15/16      USD         25.00         250         (6,875

Salesforce.com, Inc.

     Call       1/15/16      USD         80.00         121         (11,253

ServiceNow, Inc.

     Call       1/15/16      USD         86.00         248         (60,974

Silicon Motion Technology Corp. — ADR

     Call       1/15/16      USD         35.00         145         (2,538

Six Flags Entertainment Corp.

     Call       1/15/16      USD         55.00         259         (22,015

Tableau Software, Inc., Class A

     Call       1/15/16      USD         95.00         47         (11,162

Take-Two Interactive Software, Inc.

     Call       1/15/16      USD         36.00         226         (6,780

Visa, Inc., A Shares

     Call       1/15/16      USD         78.75         28         (1,876

Visa, Inc., A Shares

     Call       1/15/16      USD         80.00         176         (5,368

Zendesk, Inc.

     Call       1/15/16      USD         25.00         270         (47,250

Alphabet, Inc., Class A

     Call       1/22/16      USD         785.00         146         (208,780

Apple, Inc.

     Call       1/22/16      USD         120.00         191         (1,146

Cogent Communications Holdings, Inc.

     Call       1/22/16      USD         34.09         347         (49,114

Electronic Arts, Inc.

     Call       1/22/16      USD         75.00         104         (3,328

Facebook, Inc., Class A

     Call       1/22/16      USD         109.00         405         (37,463

MasterCard, Inc., Class A

     Call       1/22/16      USD         99.50         189         (15,498

 

See Notes to Financial Statements.

 

     ANNUAL REPORT    DECEMBER 31, 2015    87


Schedule of Investments (continued)      BlackRock Science and Technology Trust (BST)   

 

Description    Put/
Call
     Expiration
Date
  

Strike

Price

     Contracts      Value  

Micron Technology, Inc.

     Call       1/22/16      USD         16.00         110       $ (990

Microsoft Corp.

     Call       1/22/16      USD         56.00         188         (14,476

Netflix Inc.

     Call       1/22/16      USD         123.00         86         (38,055

NXP Semiconductors NV

     Call       1/22/16      USD         90.50         75         (6,000

PayPal Holdings, Inc.

     Call       1/22/16      USD         36.50         130         (12,675

Visa, Inc., A Shares

     Call       1/22/16      USD         78.50         329         (35,368

Walt Disney Co.

     Call       1/22/16      USD         117.00         18         (180

Activision Blizzard, Inc.

     Call       1/29/16      USD         39.00         340         (34,850

Alibaba Group Holding Ltd. — ADR

     Call       1/29/16      USD         87.00         55         (6,572

Ctrip.com International Ltd. — ADR

     Call       1/29/16      USD         52.50         100         (2,750

eBay, Inc.

     Call       1/29/16      USD         29.00         20         (640

Facebook, Inc., Class A

     Call       1/29/16      USD         109.00         254         (43,815

Netflix Inc.

     Call       1/29/16      USD         142.00         190         (23,180

Oracle Corp.

     Call       1/29/16      USD         37.00         263         (13,282

Activision Blizzard, Inc.

     Call       2/05/16      USD         40.50         388         (37,830

Facebook, Inc., Class A

     Call       2/05/16      USD         109.00         63         (14,868

Microsoft Corp.

     Call       2/05/16      USD         57.00         240         (30,120

PayPal Holdings, Inc.

     Call       2/05/16      USD         37.00         135         (18,225

58.com, Inc. — ADR

     Call       2/16/16      USD         70.00         289         (63,216

Alibaba Group Holding Ltd. — ADR

     Call       2/19/16      USD         80.00         50         (25,250

First Data Corp., Class A

     Call       2/19/16      USD         17.00         206         (8,755

NVIDIA Corp.

     Call       2/19/16      USD         34.00         185         (26,640

Proofpoint, Inc.

     Call       2/19/16      USD         70.00         88         (23,320

Proofpoint, Inc.

     Call       2/19/16      USD         75.00         88         (12,320

Total

                  $ (1,702,802
                 

 

 

 

 

OTC Options Written

                    
Description    Put/
Call
     Counterparty    Expiration
Date
  

Strike

Price

     Contracts      Value  

CDW Corp.

     Call       Citibank N.A.    1/05/16      USD         43.58         29,000       $ (2,381

Luxoft Holding, Inc.

     Call       Deutsche Bank AG    1/05/16      USD         69.04         10,000         (81,004

Nintendo Co. Ltd.

     Call       Bank of America N.A.    1/05/16      JPY         20,872.82         4,200           

Sky PLC

     Call       UBS AG    1/05/16      GBP         10.96         25,000         (7,705

Taiwan Semiconductor Manufacturing Co. Ltd.

     Call       Deutsche Bank AG    1/05/16      TWD         145.95         217,000         (3,531

Tongda Group Holdings Ltd.

     Call       Bank of America N.A.    1/05/16      HKD         1.64         2,250,000         (3

TransUnion

     Call       Deutsche Bank AG    1/05/16      USD         25.80         9,400         (16,678

Digital Realty Trust, Inc.

     Call       UBS AG    1/06/16      USD         73.32         17,000         (41,473

New Relic, Inc.

     Call       Citibank N.A.    1/06/16      USD         38.51         18,150         (1,021

TransUnion

     Call       Citibank N.A.    1/06/16      USD         26.24         10,500         (15,168

Cellnex Telecom SAU

     Call       UBS AG    1/07/16      EUR         16.01         9,000         (11,733

RingCentral, Inc., Class A

     Call       Deutsche Bank AG    1/07/16      USD         20.75         25,000         (71,001

Tencent Holdings Ltd.

     Call       Citibank N.A.    1/07/16      HKD         152.80         111,000         (25,238

Com Hem Holding AB

     Call       Goldman Sachs International    1/08/16      SEK         76.84         23,000         (3,378

Digital Realty Trust, Inc.

     Call       Deutsche Bank AG    1/11/16      USD         73.76         16,000         (36,732

ARM Holdings PLC

     Call       Morgan Stanley & Co. International PLC    1/12/16      GBP         11.69         35,000         (32

ASML Holding NV

     Call       UBS AG    1/12/16      EUR         87.62         10,000         (1,893

ASML Holding NV

     Call       UBS AG    1/12/16      EUR         89.41         3,200         (243

Cellnex Telecom SAU

     Call       UBS AG    1/12/16      EUR         17.34         7,600         (1,985

Com Hem Holding AB

     Call       Bank of America N.A.    1/12/16      SEK         78.21         23,000         (2,579

Com Hem Holding AB

     Call       Morgan Stanley & Co. International PLC    1/12/16      SEK         77.48         23,000         (3,217

Sabre Corp.

     Call       Citibank N.A.    1/12/16      USD         29.50         20,400         (1,772

TechnoPro Holdings, Inc.

     Call       Bank of America N.A.    1/12/16      JPY         3,462.90         20,000         (20,217

Worldpay Group PLC

     Call       Morgan Stanley & Co. International PLC    1/12/16      GBP         3.09         88,000         (4,983

Worldpay Group PLC

     Call       UBS AG    1/12/16      GBP         3.09         88,000         (4,582

BE Semiconductor Industries NV

     Call       Morgan Stanley & Co. International PLC    1/13/16      EUR         20.09         37,000         (3,951

Hermes Microvision, Inc.

     Call       Goldman Sachs International    1/13/16      TWD         1,246.95         18,000         (17,995

Six Flags Entertainment Corp.

     Call       Morgan Stanley & Co. International PLC    1/13/16      USD         52.60         12,300         (37,664

Sky PLC

     Call       Deutsche Bank AG    1/13/16      GBP         10.76         14,700         (8,846

Sky PLC

     Call       Morgan Stanley & Co. International PLC    1/13/16      GBP         10.91         22,000         (9,665

Sky PLC

     Call       UBS AG    1/13/16      GBP         10.96         26,000         (9,978

Stroeer SE

     Call       Bank of America N.A.    1/13/16      EUR         57.11         11,000         (29,099

TransUnion

     Call       Société Générale    1/13/16      USD         26.05         10,500         (16,840

ARM Holdings PLC

     Call       Morgan Stanley & Co. International PLC    1/14/16      GBP         10.77         7,200         (1,073

 

See Notes to Financial Statements.

 

88    ANNUAL REPORT    DECEMBER 31, 2015     


Schedule of Investments (continued)      BlackRock Science and Technology Trust (BST)   

 

Description    Put/
Call
     Counterparty    Expiration
Date
  

Strike

Price

     Contracts      Value  

Cellnex Telecom SAU

     Call       Morgan Stanley & Co. International PLC    1/14/16      EUR         17.28         6,500       $ (2,125

Lenovo Group Ltd.

     Call       Bank of America N.A.    1/14/16      HKD         8.76         300,000         (407

REA Group Ltd.

     Call       UBS AG    1/14/16      AUD         53.97         18,000         (19,272

TechnoPro Holdings, Inc.

     Call       Bank of America N.A.    1/14/16      JPY         3,500.38         16,000         (14,651

ARM Holdings PLC

     Call       Morgan Stanley & Co. International PLC    1/19/16      GBP         11.27         37,000         (953

Cellnex Telecom SAU

     Call       UBS AG    1/20/16      EUR         17.19         4,000         (1,761

Sony Corp.

     Call       Bank of America N.A.    1/20/16      JPY         3,351.72         55,000         (4,721

Taiwan Semiconductor Manufacturing Co. Ltd.

     Call       UBS AG    1/20/16      TWD         141.11         202,000         (26,016

Catcher Technology Co. Ltd.

     Call       UBS AG    1/21/16      TWD         303.16         42,000         (1,213

Japan Aviation Electronics Industry Ltd.

     Call       UBS AG    1/21/16      JPY         1,991.91         23,000         (2,441

Cellnex Telecom SAU

     Call       Morgan Stanley & Co. International PLC    1/22/16      EUR         17.36         13,000         (4,814

Naspers Ltd., N Shares

     Call       Deutsche Bank AG    1/22/16      ZAR         2,155.26         8,000         (26,845

Sabre Corp.

     Call       Citibank N.A.    1/26/16      USD         29.75         13,600         (2,901

ARM Holdings PLC

     Call       Morgan Stanley & Co. International PLC    1/27/16      GBP         10.53         29,000         (9,197

Cellnex Telecom SAU

     Call       UBS AG    1/27/16      EUR         17.19         4,000         (2,000

Crown Castle International Corp.

     Call       Citibank N.A.    1/27/16      USD         86.65         19,000         (25,014

Worldpay Group PLC

     Call       Morgan Stanley & Co. International PLC    1/27/16      GBP         2.97         88,000         (17,022

Cellnex Telecom SAU

     Call       Morgan Stanley & Co. International PLC    1/28/16      EUR         17.45         13,000         (4,958

Com Hem Holding AB

     Call       Goldman Sachs International    1/28/16      SEK         76.84         23,000         (6,205

Lenovo Group Ltd.

     Call       Bank of America N.A.    1/28/16      HKD         8.84         315,000         (1,495

TechnoPro Holdings, Inc.

     Call       Bank of America N.A.    1/28/16      JPY         3,804.94         27,100         (10,881

Adobe Systems, Inc.

     Call       Deutsche Bank AG    1/29/16      USD         94.71         8,800         (17,960

Digital Realty Trust, Inc.

     Call       UBS AG    1/29/16      USD         74.04         17,000         (46,473

Imperva, Inc.

     Call       Citibank N.A.    1/29/16      USD         68.10         13,000         (18,843

Quanta Computer, Inc.

     Call       Deutsche Bank AG    2/02/16      TWD         57.10         390,000         (6,455

Worldpay Group PLC

     Call       Morgan Stanley & Co. International PLC    2/02/16      GBP         3.11         33,000         (2,863

Taiwan Semiconductor Manufacturing Co. Ltd.

     Call       UBS AG    2/03/16      TWD         143.82         96,000         (11,116

Nintendo Co. Ltd.

     Call       Morgan Stanley & Co. International PLC    2/04/16      JPY         19,928.11         7,000         (2,771

Stroeer SE

     Call       Morgan Stanley & Co. International PLC    2/04/16      EUR         57.96         8,000         (28,889

Luxoft Holding, Inc.

     Call       UBS AG    2/05/16      USD         76.50         7,600         (30,797

Sony Corp.

     Call       UBS AG    2/05/16      JPY         3,221.38         30,000         (6,394

TransUnion

     Call       Deutsche Bank AG    2/09/16      USD         25.95         1,200         (2,789

Cellnex Telecom SAU

     Call       Bank of America N.A.    2/10/16      EUR         17.19         9,000         (6,605

TechnoPro Holdings, Inc.

     Call       Goldman Sachs International    2/10/16      JPY         3,754.40         12,400         (8,775

Tencent Holdings Ltd.

     Call       Citibank N.A.    2/11/16      HKD         154.63         111,000         (57,298

New Relic, Inc.

     Call       Barclays Bank PLC    2/12/16      USD         38.37         1,700         (1,390

Zendesk, Inc.

     Call       Deutsche Bank AG    2/18/16      USD         26.10         17,000         (29,398

Naspers Ltd., N Shares

     Call       Deutsche Bank AG    2/24/16      ZAR         2,181.18         7,300         (38,979

Total

                     $ (996,347
                    

 

 

 

 

      Transactions in Options Written for the Year Ended December 31, 2015

 

       Calls             Puts   
  

 

 

      

 

 

 
     Contracts     Premiums
Received
         Contracts     Premiums
Received
 
  

 

 

      

 

 

 

Outstanding options at beginning of year

     4,962,899      $ 3,398,355           790,203      $ 428,041   

Options written

     43,054,800        35,607,689           1,512,329        1,774,818   

Options expired

     (17,987,594     (12,402,725        (961,198     (1,172,604

Options closed

     (24,737,471     (22,268,112        (248,882     (576,823

Options exercised

     (909     (166,755        (1,092,452     (453,432
  

 

 

      

 

 

 

Outstanding options at end of year

     5,291,725      $ 4,168,452                    
  

 

 

      

 

 

 

As of period end, the value of portfolio securities subject to covered call options written was $149,137,542.

 

See Notes to Financial Statements.

 

     ANNUAL REPORT    DECEMBER 31, 2015    89


Schedule of Investments (continued)      BlackRock Science and Technology Trust (BST)   

 

 

      Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments were as follows:

 

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

Liabilities — Derivative Financial Instruments

                                     

Options written

   Options written, at value          $ 2,699,149             $ 2,699,149   

For the year ended December 31, 2015, the effect of derivative financial instruments in the Statements of Operations was as follow:

 

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

Net Realized Gain (Loss) from:

                                    

Options written

         $ (4,583,126         $ (4,583,126

Net Change in Unrealized Appreciation (Depreciation) on:

                                    

Options written

         $ 823,811            $ 823,811   

 

      Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Options:

        

Average value of option contracts purchased

   $ 40,758 1 

Average value of option contracts written

   $ 3,226,454   

 

 

  1   

Actual amounts for the period are shown due to limited outstanding derivative financial instruments as of each quarter.

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

      $ 2,699,149   
  

 

 

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

        (1,702,802
  

 

 

Total derivative assets and liabilities subject to an MNA

      $ 996,347   
  

 

 

 

See Notes to Financial Statements.

 

90    ANNUAL REPORT    DECEMBER 31, 2015     


Schedule of Investments (continued)      BlackRock Science and Technology Trust (BST)   

 

The following table presents the Trust’s derivative liabilities by counterparty net of amounts available for offset under an Master Netting Agreement (“MNA”) and net of the related collateral pledged by the Trust:

 

      Gross Amounts Not Offset in the Consolidated Statements of Assets and Liabilities
and Subject to an MNA
Counterparty    Derivative Liabilities
Subject to an MNA by
Counterparty
   Derivatives Available
for Offset
   Non-cash
Collateral
Pledged
   Cash
Collateral
Pledged1
  Net Amount of
Derivative Liabilities2

Bank of America N.A.

     $ 90,658                                  $ 90,658  

Barclays Bank PLC

       1,390                                    1,390  

Citibank N.A.

       149,636                                    149,636  

Deutsche Bank AG

       340,218                          $ (340,218 )        

Goldman Sachs International

       36,353                                    36,353  

Morgan Stanley & Co. International PLC

       134,177                            (134,177 )        

Société Générale

       16,840                                    16,840  

UBS AG

       227,075                            (30,000 )       197,075  

Total

     $ 996,347                          $ (504,395 )     $ 491,952  

 

  1   

Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes.

 

  2   

Net amount represents the net amount payable due to the 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:

         

Diversified Telecommunication Services

   $ 5,835,832      $ 3,788,417              $ 9,624,249   

Electronic Equipment, Instruments & Components

     6,513,935                       6,513,935   

Hotels, Restaurants & Leisure

     3,834,812                       3,834,812   

Household Durables

            5,950,042                5,950,042   

Internet & Catalog Retail

     24,709,292                       24,709,292   

Internet Software & Services

     106,118,081                       106,118,081   

IT Services

     57,825,465                       57,825,465   

Media

     14,108,300        5,986,774                20,095,074   

Professional Services

     6,544,971                       6,544,971   

Real Estate Investment Trusts (REITs)

     21,949,953                       21,949,953   

Semiconductors & Semiconductor Equipment

     31,723,575        15,025,377                46,748,952   

Software

     82,534,635        4,372,822                86,907,457   

Technology Hardware, Storage & Peripherals

     27,358,041        2,017,413                29,375,454   

Wireless Telecommunication Services

     2,981,857                       2,981,857   

Preferred Stocks

                 $ 15,696,540         15,696,540   

Short-Term Securities

     604,146        119,000                723,146   
  

 

 

 

Total

   $ 392,642,895      $ 37,259,845      $ 15,696,540       $ 445,599,280   
  

 

 

 
         
      Level 1     Level 2     Level 3      Total  

Derivative Financial Instruments1

         

Liabilities:

         

Equity contracts

   $ (1,447,164   $ (1,251,985      $ (2,699,149
  

 

 

 

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

         

 

See Notes to Financial Statements.

 

     ANNUAL REPORT    DECEMBER 31, 2015    91


Schedule of Investments (concluded)      BlackRock Science and Technology Trust (BST)   

 

The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statements purposes. As of period end, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

 

      Level 1      Level 2     Level 3      Total  

Assets:

          

Foreign currency at value

   $ 88,602                      $ 88,602   

Cash pledged as collateral for OTC derivatives

     1,100,000                        1,100,000   

Liabilities:

          

Collateral on securities loaned at value

           $ (119,000             (119,000
  

 

 

 

Total

   $                 1,188,602       $         (119,000                     —       $                 1,069,602   
  

 

 

 

During the year ended December 31, 2015, there were no transfers between levels.

A reconciliation of Level 3 investments and derivative financial instruments is presented when the Trust had a significant amount of Level 3 investments and derivative financial instruments at the beginning and/or end of the year 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:

 

      Preferred  
Stocks    
 

Assets:

  

Opening Balance, as of December 31, 2014

           $ 3,000,048   

Transfers into Level 3

       

Transfers out of Level 3

       

Accrued discounts/premiums

       

Net realized gain (loss)

       

Net change in unrealized appreciation/depreciation1,2

     2,286,570   

Purchases

     10,409,922   

Sales

       
  

 

 

 

Closing Balance, as of December 31, 2015

           $ 15,696,540   
  

 

 

 

Net change in unrealized appreciation/depreciation on investments still held at December 31, 20152

           $ 2,286,570   
  

 

 

 

 

  1   

Included in the related net change in unrealized appreciation (depreciation) in the Statements of Operations.

 

  2   

Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at December 31, 2015 is generally due to investments no longer held or categorized as Level 3 at period end.

The following table summarizes the valuation techniques 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 Techniques  

Unobservable

Inputs

  Range of
Unobservable Inputs
Utilized
    Weighted Average of
Unobservable Inputs
 

Assets:

         

Preferred Stocks        

  $ 15,696,540      Market Comparables   Revenue Multiple1     6.03x          
      Revenue Multiple1     32.79x          
      Revenue Growth Rate1     373.00%          
      Revenue Growth Rate1     670.00%          
    Probability-Weighted Expected Return Model   Discount Rate1     25.00%          
      IPO Exit Probability1     70.00% - 80.00%       71.88%   
      Merger and Acquisition Probability1     15.00% - 25.00%        23.12%   
      Revenue Growth Rate1     72.60% - 86.00%        78.02%   
      Revenue Growth Rate1     766.00%          
      Revenue Multiple1     1.85x - 4.75x        3.45x   
      Revenue Multiple1     55.00x - 92.50x          
      Time to Exit2     1-3 years          
 

 

 

 

Total

  $ 15,696,540           
 

 

 

 

 

  1   

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.

 

  2   

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.

 

92    ANNUAL REPORT    DECEMBER 31, 2015     


Schedule of Investments December 31, 2015      BlackRock Utility and Infrastructure Trust (BUI)   
     (Percentages shown are based on Net Assets)   

 

Common Stocks    Shares      Value  

Construction & Engineering — 3.8%

  

  

Ferrovial SA

     432,700       $ 9,784,793   

Vinci SA

     41,100         2,634,309   
     

 

 

 
                12,419,102   

Diversified Telecommunication Services — 1.4%

     

Frontier Communications Corp.

     174,300         813,981   

Verizon Communications, Inc. (a)

     79,500         3,674,490   
     

 

 

 
                4,488,471   

Electric Utilities — 22.6%

  

  

American Electric Power Co., Inc.

     96,800         5,640,536   

Duke Energy Corp. (a)

     177,168         12,648,023   

Edison International (a)

     109,700         6,495,337   

El Paso Electric Co.

     36,900         1,420,650   

Enel SpA

     488,200         2,047,182   

Eversource Energy (a)

     80,900         4,131,563   

Exelon Corp. (a)

     306,600         8,514,282   

Iberdrola SA

     198,600         1,407,878   

ITC Holdings Corp. (a)

     111,800         4,388,150   

NextEra Energy, Inc. (a)(b)

     168,900         17,547,021   

Pinnacle West Capital Corp. (a)

     47,000         3,030,560   

PPL Corp. (a)

     115,400         3,938,602   

Xcel Energy, Inc.

     91,700         3,292,947   
     

 

 

 
                74,502,731   

Gas Utilities — 2.2%

  

  

Laclede Group, Inc.

     27,400         1,627,834   

New Jersey Resources Corp.

     57,000         1,878,720   

Snam SpA

     743,800         3,881,868   
     

 

 

 
                7,388,422   

Independent Power and Renewable Electricity Producers — 4.7%

  

  

EDP Renovaveis SA

     342,100         2,690,844   

Enel Green Power SpA

     896,600         1,822,410   

NextEra Energy Partners LP (a)

     130,100         3,883,485   

NRG Yield, Inc., Class A

     173,400         2,411,994   

NRG Yield, Inc., Class C

     173,400         2,559,384   

Pattern Energy Group, Inc. (a)

     103,500         2,164,185   
     

 

 

 
                15,532,302   

Multi-Utilities — 19.8%

  

  

CMS Energy Corp. (a)(b)

     446,300         16,102,504   

Dominion Resources, Inc. (a)

     215,100         14,549,364   

DTE Energy Co. (a)

     28,100         2,253,339   

National Grid PLC

     184,900         2,550,079   

NiSource, Inc. (a)

     133,900         2,612,389   

NorthWestern Corp.

     45,792         2,484,216   

Public Service Enterprise Group, Inc. (a)

     241,056         9,326,457   

Sempra Energy (a)

     67,900         6,383,279   

Veolia Environnement SA

     101,800         2,415,296   

WEC Energy Group, Inc.

     126,800         6,506,108   
     

 

 

 
                65,183,031   

Oil, Gas & Consumable Fuels — 20.1%

  

  

Antero Midstream Partners LP (a)

     78,200         1,784,524   

Columbia Pipeline Group, Inc.

     123,900         2,478,000   

Columbia Pipeline Partners LP

     76,300         1,333,724   

Delek Logistics Partners LP

     29,700         1,059,993   

Dominion Midstream Partners LP (c)

     306,500         9,397,290   

Enbridge, Inc.

     96,200         3,192,878   

Energy Transfer Partners LP (a)

     23,696         799,266   

Enterprise Products Partners LP (a)

     185,354         4,741,355   

EQT Midstream Partners LP (a)

     28,600         2,158,156   

GasLog Partners LP

     5,100         72,522   

Genesis Energy LP

     114,869         4,220,287   

Magellan Midstream Partners LP (a)

     59,300         4,027,656   
Common Stocks    Shares      Value  

Oil, Gas & Consumable Fuels (continued)

  

  

MPLX LP (a)

     111,419       $ 4,382,109   

ONEOK Partners LP (a)

     62,545         1,884,481   

Phillips 66 Partners LP (a)

     42,300         2,597,220   

Plains All American Pipeline LP (a)

     87,570         2,022,867   

Rose Rock Midstream LP

     17,400         261,696   

Shell Midstream Partners LP

     299,810         12,448,111   

Sunoco Logistics Partners LP

     78,800         2,025,160   

Tesoro Logistics LP

     33,658         1,693,671   

Valero Energy Partners LP (a)

     36,300         1,873,443   

Western Gas Partners LP

     18,814         894,229   

Williams Partners LP (a)

     39,815         1,108,848   
     

 

 

 
                66,457,486   

Real Estate Investment Trusts (REITs) — 2.6%

  

  

American Tower Corp. (a)(b)

     77,700         7,533,015   

Crown Castle International Corp.

     11,300         976,885   
     

 

 

 
                8,509,900   

Road & Rail — 0.3%

  

  

East Japan Railway Co.

     9,900         943,093   

Transportation Infrastructure — 16.3%

  

  

Abertis Infraestructuras SA

     401,400         6,277,683   

Aeroports de Paris

     38,400         4,468,576   

Atlantia SpA

     489,884         12,961,631   

China Merchants Holdings International Co. Ltd.

     250,000         790,718   

Flughafen Zuerich AG

     6,500         4,877,028   

Fraport AG Frankfurt Airport Services Worldwide

     29,100         1,855,777   

Groupe Eurotunnel SE

     358,200         4,456,418   

Japan Airport Terminal Co. Ltd.

     63,500         2,811,086   

Sydney Airport (d)

     1,491,766         6,865,571   

Transurban Group (d)

     1,119,600         8,486,505   
     

 

 

 
                53,850,993   

Water Utilities — 3.8%

  

  

American Water Works Co., Inc. (a)

     207,300         12,386,175   

Wireless Telecommunication Services — 0.7%

  

  

SBA Communications Corp., Class A (b)(c)

     22,500         2,364,075   

Total Long-Term Investments

(Cost — $ 275,543,907) — 98.3%

              324,025,781   
     
Short-Term Securities                

BlackRock Liquidity Funds, TempFund,
Institutional Class, 0.23% (e)(f)

     8,391,615         8,391,615   

Total Short-Term Securities

(Cost — $ 8,391,615) — 2.5%

              8,391,615   

Total Investments Before Options Written

(Cost — $ 283,935,522) — 100.8%

              332,417,396   
     
                  
 

 

See Notes to Financial Statements.

 

     ANNUAL REPORT    DECEMBER 31, 2015    93


Schedule of Investments (continued)      BlackRock Utility and Infrastructure Trust (BUI)   

 

Options Written    Value  

(Premiums Received — $2,174,098) — (0.9)%

   $ (2,892,074

Total Investments Net of Options Written — 99.9%

     329,525,322   

Other Assets Less Liabilities — 0.1%

     221,890   
  

 

 

 

Net Assets — 100.0%

   $ 329,747,212   
  

 

 

 

    

 
      Notes to Schedule of Investments

 

(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) A security contractually bound to one or more other securities to form a single saleable unit which cannot be sold separately.

 

(e) During the year ended December 31, 2015, 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:

 

Affiliates    Shares
Held at
December 31,
2014
     Net
Activity
    Shares
Held at
December 31,
2015
     Income     Realized
Gain
 

BlackRock Liquidity Funds, TempFund, Institutional Class

     10,776,191         (2,384,576     8,391,615       $ 13,472      $ 458   

BlackRock Liquidity Series, LLC Money Market Series

                          $ 5,972 1        

 

  1   

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.

 

(f) Current yield as of period end.

 

 

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 advisor. These definitions may not apply for purposes of this report, which may combine industry sub-classifications for reporting ease.

 

      Derivative Financial Instruments Outstanding as of Period End

 

Exchange-Traded Options Written

                 
Description    Put/
Call
     Expiration
Date
  

Strike

Price

     Contracts      Value  

Public Service Enterprise Group, Inc.

     Call       1/04/16      USD         40.90         100       $ (26

American Water Works Co., Inc.

     Call       1/05/16      USD         59.01         299         (29,991

American Tower Corp.

     Call       1/08/16      USD         96.00         112         (24,360

Verizon Communications, Inc.

     Call       1/08/16      USD         46.00         112         (4,368

ITC Holdings Corp.

     Call       1/13/16      USD         32.70         240         (157,311

Dominion Resources, Inc.

     Call       1/15/16      USD         70.00         376         (5,640

DTE Energy Co.

     Call       1/15/16      USD         83.25         100         (4,287

Duke Energy Corp.

     Call       1/15/16      USD         67.50         296         (121,360

Edison International

     Call       1/15/16      USD         62.50         191         (2,865

Energy Transfer Partners LP

     Call       1/15/16      USD         37.50         41         (1,538

Energy Transfer Partners LP

     Call       1/15/16      USD         40.00         41         (615

Enterprise Products Partners LP

     Call       1/15/16      USD         27.50         324         (7,290

EQT Midstream Partners LP

     Call       1/15/16      USD         75.00         100         (28,000

Exelon Corp.

     Call       1/15/16      USD         28.00         355         (14,200

Magellan Midstream Partners LP

     Call       1/15/16      USD         65.00         105         (41,475

Magellan Midstream Partners LP

     Call       1/15/16      USD         67.50         103         (23,947

MPLX LP

     Call       1/15/16      USD         40.00         195         (33,638

NextEra Energy Partners LP

     Call       1/15/16      USD         30.00         227         (24,970

ONEOK Partners LP

     Call       1/15/16      USD         30.00         72         (10,440

Pattern Energy Group, Inc.

     Call       1/15/16      USD         22.50         182         (6,370

Phillips 66 Partners LP

     Call       1/15/16      USD         60.00         74         (21,645

Pinnacle West Capital Corp.

     Call       1/15/16      USD         65.00         164         (9,840

Plains All American Pipeline LP

     Call       1/15/16      USD         25.00         153         (6,120

PPL Corp.

     Call       1/15/16      USD         34.00         403         (21,158

Sempra Energy

     Call       1/15/16      USD         105.00         165         (1,650

Valero Energy Partners LP

     Call       1/15/16      USD         50.00         64         (16,480

Verizon Communications, Inc.

     Call       1/15/16      USD         46.00         30         (1,440

Williams Partners LP

     Call       1/15/16      USD         30.00         70         (3,675

 

See Notes to Financial Statements.

 

94    ANNUAL REPORT    DECEMBER 31, 2015     


Schedule of Investments (continued)      BlackRock Utility and Infrastructure Trust (BUI)   

 

 

Description    Put/
Call
     Expiration
Date
   Strike
Price
     Contracts      Value  

Eversource Energy

     Call       1/20/16      USD         51.51         141       $ (13,230

Verizon Communications, Inc.

     Call       1/22/16      USD         46.50         36         (1,386

American Water Works Co., Inc.

     Call       1/26/16      USD         59.01         164         (24,551

CMS Energy Corp.

     Call       1/26/16      USD         35.50         701         (106,721

American Tower Corp.

     Call       1/29/16      USD         98.50         160         (20,800

Eversource Energy

     Call       1/29/16      USD         51.81         142         (14,837

Dominion Resources, Inc.

     Call       2/03/16      USD         68.28         376         (40,755

NextEra Energy, Inc.

     Call       2/11/16      USD         103.50         185         (47,084

Duke Energy Corp.

     Call       2/12/16      USD         70.50         325         (56,752

Antero Midstream Partners LP

     Call       2/19/16      USD         25.00         137         (6,508

Exelon Corp.

     Call       2/19/16      USD         29.00         118         (4,720

ITC Holdings Corp.

     Call       2/19/16      USD         40.00         151         (28,690

Verizon Communications, Inc.

     Call       2/19/16      USD         47.00         100         (4,750

NiSource, Inc.

     Call       2/26/16      USD         19.82         470         (21,126

Total

                  $ (1,016,609
                 

 

 

 

OTC Options Written

 

Description    Put/
Call
       Counterparty    Expiration
Date
   Strike
Price
     Contracts      Value  

Xcel Energy, Inc.

     Call         Citibank N.A.    1/04/16      USD         35.90         23,500       $ (6,720

Xcel Energy, Inc.

     Call         JPMorgan Chase Bank N.A.    1/04/16      USD         35.98         8,500         (2,702

China Merchants Holdings International Co. Ltd.

     Call         Bank of America N.A.    1/05/16      HKD         27.45         44,000         (1

EDP Renovaveis SA

     Call         Bank of America N.A.    1/05/16      EUR         6.71         7,400         (4,234

Veolia Environnement SA

     Call         Morgan Stanley & Co. International PLC    1/05/16      EUR         21.50         10,000         (5,573

CMS Energy Corp.

     Call         Credit Suisse International    1/06/16      USD         35.55         32,250         (22,136

Sydney Airport

     Call         UBS AG    1/06/16      AUD         6.54         109,700         (405

Aeroports de Paris

     Call         Deutsche Bank AG    1/07/16      EUR         112.34         1,900         (185

Aeroports de Paris

     Call         Deutsche Bank AG    1/07/16      EUR         115.77         2,000         (25

Dominion Midstream Partners LP

     Call         Deutsche Bank AG    1/07/16      USD         32.50         21,000         (7,343

EDP Renovaveis SA

     Call         Bank of America N.A.    1/07/16      EUR         6.51         18,000         (14,246

Transurban Group

     Call         UBS AG    1/07/16      AUD         10.46         191,696         (11,658

El Paso Electric Co.

     Call         Goldman Sachs International    1/11/16      USD         39.14         12,900         (3,250

NextEra Energy, Inc.

     Call         Morgan Stanley & Co. International PLC    1/11/16      USD         102.50         21,600         (46,882

NorthWestern Corp.

     Call         Citibank N.A.    1/11/16      USD         56.00         16,000         (2,717

American Electric Power Co., Inc.

     Call         Deutsche Bank AG    1/12/16      USD         56.94         10,300         (17,428

CMS Energy Corp.

     Call         Credit Suisse International    1/12/16      USD         35.55         32,250         (35,810

Groupe Eurotunnel SE

     Call         Morgan Stanley & Co. International PLC    1/12/16      EUR         12.57         35,000         (143

Japan Airport Terminal Co. Ltd.

     Call         Citibank N.A.    1/12/16      JPY         6,847.80         12,000         (7

Laclede Group, Inc.

     Call         Credit Suisse International    1/12/16      USD         58.57         9,500         (11,955

EDP Renovaveis SA

     Call         Bank of America N.A.    1/13/16      EUR         6.71         7,400         (4,320

American Water Works Co., Inc.

     Call         Morgan Stanley & Co. International PLC    1/14/16      USD         57.55         26,200         (62,144

Dominion Midstream Partners LP

     Call         Deutsche Bank AG    1/14/16      USD         32.50         21,000         (15,062

New Jersey Resources Corp.

     Call         Morgan Stanley & Co. International PLC    1/14/16      USD         30.03         19,900         (58,744

Vinci SA

     Call         UBS AG    1/14/16      EUR         62.01         7,000         (618

NRG Yield, Inc., Class C

     Call         Credit Suisse International    1/15/16      USD         15.79         30,300         (4,290

China Merchants Holdings International Co. Ltd.

     Call         Bank of America N.A.    1/20/16      HKD         26.42         42,000         (1,146

East Japan Railway Co.

     Call         Bank of America N.A.    1/20/16      JPY         11,635.20         3,400         (3,752

Transurban Group

     Call         UBS AG    1/20/16      AUD         9.97         96,350         (34,565

Enel Green Power SpA

     Call         UBS AG    1/21/16      EUR         2.03         150,000         (708

Fraport AG Frankfurt Airport Services Worldwide

     Call         UBS AG    1/21/16      EUR         57.80         10,200         (17,121

Sydney Airport

     Call         Goldman Sachs International    1/21/16      AUD         6.31         109,700         (11,590

Abertis Infraestructuras SA

     Call         Bank of America N.A.    1/22/16      EUR         14.81         75,000         (6,999

Snam SpA

     Call         Deutsche Bank AG    1/22/16      EUR         4.87         120,000         (6,749

Valero Energy Partners LP

     Call         Morgan Stanley & Co. International PLC    1/25/16      USD         48.49         6,300         (30,152

Enel SpA

     Call         Deutsche Bank AG    1/26/16      EUR         4.11         92,000         (1,019

Ferrovial SA

     Call         Morgan Stanley & Co. International PLC    1/26/16      EUR         22.84         32,000         (1,472

Iberdrola SA

     Call         Deutsche Bank AG    1/26/16      EUR         6.64         33,000         (2,511

Veolia Environnement SA

     Call         Morgan Stanley & Co. International PLC    1/26/16      EUR         21.11         14,600         (17,427

Veolia Environnement SA

     Call         Morgan Stanley & Co. International PLC    1/26/16      EUR         22.31         11,000         (5,064

Crown Castle International Corp.

     Call         Citibank N.A.    1/27/16      USD         86.65         3,900         (5,134

 

See Notes to Financial Statements.

 

     ANNUAL REPORT    DECEMBER 31, 2015    95


Schedule of Investments (continued)      BlackRock Utility and Infrastructure Trust (BUI)   

 

Description    Put/
Call
     Counterparty    Expiration
Date
  

Strike

Price

     Contracts      Value  

National Grid PLC

     Call       Morgan Stanley & Co. International PLC    1/27/16      GBP         9.47         65,000       $ (15,546

NextEra Energy, Inc.

     Call       Credit Suisse International    1/27/16      USD         102.19         19,000         (58,923

Aeroports de Paris

     Call       UBS AG    1/28/16      EUR         110.72         2,700         (3,359

Atlantia SpA

     Call       Deutsche Bank AG    1/28/16      EUR         24.59         75,200         (37,027

Dominion Midstream Partners LP

     Call       Morgan Stanley & Co. International PLC    1/28/16      USD         32.15         33,000         (45,514

EDP Renovaveis SA

     Call       UBS AG    1/28/16      EUR         6.37         21,400         (20,241

Shell Midstream Partners LP

     Call       UBS AG    1/28/16      USD         35.38         31,000         (200,036

Edison International

     Call       JPMorgan Chase Bank N.A.    1/29/16      USD         61.34         19,100         (8,966

EDP Renovaveis SA

     Call       Morgan Stanley & Co. International PLC    2/02/16      EUR         7.24         13,400         (3,308

Groupe Eurotunnel SE

     Call       Morgan Stanley & Co. International PLC    2/02/16      EUR         12.29         43,000         (3,021

Transurban Group

     Call       UBS AG    2/02/16      AUD         10.16         105,182         (29,024

CMS Energy Corp.

     Call       Citibank N.A.    2/03/16      USD         36.29         21,600         (27,750

EDP Renovaveis SA

     Call       Bank of America N.A.    2/03/16      EUR         6.74         13,200         (7,976

Enel SpA

     Call       Deutsche Bank AG    2/03/16      EUR         3.92         78,800         (7,844

Public Service Enterprise Group, Inc.

     Call       Deutsche Bank AG    2/03/16      USD         40.45         64,500         (19,814

Sydney Airport

     Call       UBS AG    2/03/16      AUD         6.44         302,700         (31,675

Enel Green Power SpA

     Call       Goldman Sachs International    2/04/16      EUR         1.90         163,800         (9,449

Ferrovial SA

     Call       Deutsche Bank AG    2/04/16      EUR         20.87         109,000         (68,636

Snam SpA

     Call       Deutsche Bank AG    2/04/16      EUR         4.73         140,300         (21,878

WEC Energy Group, Inc.

     Call       Citibank N.A.    2/08/16      USD         50.81         44,300         (73,340

Aeroports de Paris

     Call       Deutsche Bank AG    2/09/16      EUR         108.09         3,900         (11,436

Atlantia SpA

     Call       Bank of America N.A.    2/09/16      EUR         24.39         21,300         (15,700

Atlantia SpA

     Call       UBS AG    2/09/16      EUR         24.44         75,000         (54,283

EDP Renovaveis SA

     Call       Morgan Stanley & Co. International PLC    2/09/16      EUR         6.80         18,000         (10,140

Abertis Infraestructuras SA

     Call       Bank of America N.A.    2/11/16      EUR         14.44         66,000         (25,261

American Electric Power Co., Inc.

     Call       Citibank N.A.    2/11/16      USD         58.27         15,000         (17,550

American Electric Power Co., Inc.

     Call       Deutsche Bank AG    2/11/16      USD         57.06         8,600         (15,223

Dominion Midstream Partners LP

     Call       Citibank N.A.    2/11/16      USD         30.79         13,500         (30,705

Iberdrola SA

     Call       Morgan Stanley & Co. International PLC    2/11/16      EUR         6.73         35,700         (2,087

Vinci SA

     Call       Bank of America N.A.    2/12/16      EUR         60.47         7,800         (10,238

EDP Renovaveis SA

     Call       Morgan Stanley & Co. International PLC    2/16/16      EUR         6.89         20,900         (10,722

Groupe Eurotunnel SE

     Call       UBS AG    2/16/16      EUR         11.34         47,000         (22,044

Japan Airport Terminal Co. Ltd.

     Call       Goldman Sachs International    2/16/16      JPY         5,842.50         9,800         (10,324

Shell Midstream Partners LP

     Call       UBS AG    2/18/16      USD         35.38         31,000         (208,861

Shell Midstream Partners LP

     Call       Citibank N.A.    2/26/16      USD         36.75         43,000         (253,557

Total

                     $ (1,875,465
                    

 

 

 

 

      Transactions in Options Written for the Year Ended December 31, 2015

 

      Calls           Puts  
      Contracts    

 

Premiums
Received

         Contracts      Premiums
Received
 

Outstanding options at beginning of year

     2,748,363      $ 2,256,661                     

Options written

     23,267,764        17,711,446                     

Options expired

     (10,587,388     (8,148,056                  

Options closed

     (12,059,877     (9,592,536                  

Options exercised

     (47,534     (53,417                  
  

 

 

      

 

 

 

Outstanding options at end of year

     3,321,328      $ 2,174,098                     
  

 

 

      

 

 

 

As of period end, the value of portfolio securities subject to covered call options written was $ 94,949,335.

 

See Notes to Financial Statements.

 

96    ANNUAL REPORT    DECEMBER 31, 2015     


Schedule of Investments (continued)      BlackRock Utility and Infrastructure Trust (BUI)   

 

      Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments were as follows:

 

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

Liabilities — Derivative Financial Instruments

                                     

Options written

   Options written, at value          $ 2,892,074             $ 2,892,074   

For the year ended December 31, 2015, the effect of derivative financial instruments in the Statements of Operations was as follow:

 

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

Net Realized Gain (Loss) from:

                                     

Options written

         $ 2,887,998             $ 2,887,998   

Net Change in Unrealized Appreciation (Depreciation) on:

                                     

Options written

         $ 130,345             $ 130,345   

 

      Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Options:

        

Average value of option contracts written

   $ 2,018,030   

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

      $ 2,892,074   
  

 

 

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

        (1,016,609
  

 

 

Total derivative assets and liabilities subject to an MNA

      $ 1,875,465   
  

 

 

 

See Notes to Financial Statements.

 

     ANNUAL REPORT    DECEMBER 31, 2015    97


Schedule of Investments (concluded)      BlackRock Utility and Infrastructure Trust (BUI)   

 

The following table presents the Trust’s derivative liabilities by counterparty net of amounts available for offset under an Master Netting Agreement (“MNA”) and net of the related collateral pledged by the Trust:

 

      Gross Amounts Not Offset in the Consolidated  Statements of Assets and Liabilities
and Subject to an MNA
Counterparty   

Derivative Liabilities
Subject to an MNA by

Counterparty

   Derivatives Available
for Offset
   Non-cash
Collateral
Pledged1
  Cash
Collateral
Pledged
   Net Amount of
Derivative Liabilities2

Bank of America N.A

     $ 93,873                                  $ 93,873  

Citibank N.A

       417,480                                    417,480  

Credit Suisse International

       133,114                 $ (133,114 )                 

Deutsche Bank AG

       232,180                   (192,716 )                39,464  

Goldman Sachs International

       34,613                   (34,613 )                 

JPMorgan Chase Bank N.A

       11,668                                    11,668  

Morgan Stanley & Co. International PLC

       317,939                   (317,939 )                 

UBS AG

       634,598                   (481,163 )                153,435  

Total

     $ 1,875,465                 $ (1,159,545 )              $ 715,920  

 

  1   

Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes.

 

  2   

Net amount represents the net amount payable due to the 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:

         

Construction & Engineering

          $ 12,419,102              $ 12,419,102   

Diversified Telecommunication Services

   $ 4,488,471                       4,488,471   

Electric Utilities

     71,047,671        3,455,060                74,502,731   

Gas Utilities

     3,506,554        3,881,868                7,388,422   

Independent Power and Renewable Electricity Producers

     11,019,048        4,513,254                15,532,302   

Multi-Utilities

     60,217,656        4,965,375                65,183,031   

Oil, Gas & Consumable Fuels

     66,457,486                       66,457,486   

Real Estate Investment Trusts (REITs)

     8,509,900                       8,509,900   

Road & Rail

     943,093                       943,093   

Transportation Infrastructure

            53,850,993                53,850,993   

Water Utilities

     12,386,175                       12,386,175   

Wireless Telecommunication Services

     2,364,075                       2,364,075   

Short-Term Securities

     8,391,615                       8,391,615   
  

 

 

 

Total

   $ 249,331,744      $ 83,085,652              $ 332,417,396   
  

 

 

 
         
      Level 1     Level 2     Level 3      Total  

Derivative Financial Instruments1

         

Liabilities:

         

Equity contracts.

   $  (499,938   $ (2,392,136           $ (2,892,074
  

 

 

 

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

       

The Trust may hold assets in which the fair value approximates the carrying amount for financial statement purposes. As of period end, foreign currency of $23,753 are categorized as Level 1 within the disclosure hierarchy.

During the year ended December 31, 2015, there were no transfers between levels.

 

See Notes to Financial Statements.

 

98    ANNUAL REPORT    DECEMBER 31, 2015     


Statements of Assets and Liabilities     

 

December 31, 2015   

BlackRock
Energy and
Resources

Trust (BGR)

   

BlackRock
Enhanced
Capital and
Income

Fund, Inc. (CII)

   

BlackRock
Enhanced

Equity

Dividend

Trust (BDJ)

   

BlackRock

Global
Opportunities
Equity

Trust (BOE)

   

BlackRock
Health

Sciences

Trust (BME)

 
          
Assets                                         

Investments at value — unaffiliated1,2

   $     415,139,456      $     655,660,942      $     1,640,874,089      $     991,222,790      $     289,800,395   

Investments at value — affiliated3

     6,339,144        15,619,710        13,770,944        6,816,881        8,854,560   

Cash pledged: collateral — OTC derivatives

            420,000        98,000                 

Foreign currency at value4

     49,322        2,189        1,836        402,399        1,212   

Receivables:

          

Capital shares issued

                                 935,772   

Investments sold

                   2,677,088        934,067        881,216   

Options written

            81,566        193,450        96,569        28,121   

Dividends — unaffiliated

     581,241        744,378        3,093,276        1,334,387        358,921   

Dividends — affiliated

     1,802        3,324        4,362        1,389        4,240   

Securities lending income — affiliated

     6,204        195               346          

Prepaid offering costs

                                 80,172   

Other assets

     11,692        17,842        40,817        39,131        11,324   
  

 

 

 

Total assets

     422,128,861        672,550,146        1,660,753,862        1,000,847,959        300,955,933   
  

 

 

 
          
Liabilities                                         

Options written at value5

     936,806        4,940,591        12,401,598        8,123,575        2,611,696   

Collateral on securities loaned at value

     944,554                      427,550          

Payables:

          

Investments purchased

                   2,347,706               411,767   

Options written.

            11,440        1,102        127,988        2,169   

Income dividends

     293,644        314,682        389,890        265,666        916   

Investment advisory fees

     422,724        482,629        1,082,964        799,972        258,825   

Officer’s and Trustees’ fees

     408,526        125,458        747,469        576,354        25,003   

Other accrued expenses payable

     141,109        183,265        275,046        208,866        115,597   
  

 

 

 

Total liabilities

     3,147,363        6,058,065        17,245,775        10,529,971        3,425,973   
  

 

 

 

Net Assets

   $ 418,981,498      $ 666,492,081      $ 1,643,508,087      $ 990,317,988      $ 297,529,960   
  

 

 

 
          
Net Assets Consist of                                         

Paid-in capital

   $ 636,945,433      $ 689,310,753      $ 1,468,888,354      $ 943,069,418      $ 197,187,863   

Distributions in excess of net investment income

     (398,691     (112,579     (720,631     (6,725,341     (631,796

Accumulated net realized gain (loss)

     (113,153,719     (9,466,372     (135,027,729     (48,740,930     2,406,607   

Net unrealized appreciation (depreciation)

     (104,411,525     (13,239,721     310,368,093        102,714,841        98,567,286   
  

 

 

 

Net Assets

   $ 418,981,498      $ 666,492,081      $ 1,643,508,087      $ 990,317,988      $ 297,529,960   
  

 

 

 

Net asset value6,7

   $ 14.05      $ 15.11      $ 8.70      $ 14.25      $ 36.19   
  

 

 

 

1      Investments at cost — unaffiliated

   $ 521,892,831      $ 670,443,928      $ 1,333,848,636      $ 892,235,189      $ 191,075,239   

2      Securities loaned at value

   $ 887,881                    $ 425,337          

3      Investments at cost — affiliated

   $ 6,339,144      $ 15,619,710      $ 13,770,944      $ 6,816,881      $ 8,854,560   

4      Foreign currency at cost

   $ 49,766      $ 9,142      $ 1,960      $ 410,982      $ 1,227   

5      Premiums received

   $ 3,279,955      $ 6,490,809      $ 15,748,607      $ 11,916,657      $ 2,456,919   

6      Shares outstanding, unlimited number of shares authorized, $0.001 par value

     29,825,326               188,978,322        69,483,161        8,221,108   

7      Shares outstanding, 200 million shares authorized, $0.10 par value

            44,121,400                        

 

See Notes to Financial Statements.

 

     ANNUAL REPORT    DECEMBER 31, 2015    99


Statements of Assets and Liabilities     

 

December 31, 2015   

BlackRock
International
Growth and
Income

Trust (BGY)

   

BlackRock
Resources &
Commodities
Strategy

Trust (BCX)1

    BlackRock
Science and
Technology
Trust (BST)
    BlackRock
Utility and
Infrastructure
Trust (BUI)
 
        
Assets                                 

Investments at value — unaffiliated2,3

   $     726,953,821      $     826,622,613      $     444,876,134      $     324,025,781   

Investments at value — affiliated4

     39,856,450        6,205,930        723,146        8,391,615   

Cash

     23,857                        

Cash pledged:

        

Collateral — exchange traded options written

     2,114,000                        

Collateral — OTC derivatives

     4,056,619               1,100,000          

Foreign currency at value5

     542,973               88,602        23,753   

Receivables:

        

Options written

            422,944        38,068        21,345   

Dividends — unaffiliated

     1,532,546        1,144,169        158,498        729,996   

Dividends — affiliated

     7,066        2,328        328        3,111   

Securities lending income — affiliated

     6,690        71        1,441          

Other assets

     22,461        40,794        11,542        8,882   
  

 

 

 

Total assets

     775,116,483        834,438,849        446,997,759        333,204,483   
  

 

 

 
        
Liabilities                                 

Foreign bank overdraft5

            247,746                 

Options written at value6

     6,463,536        5,376,750        2,699,149        2,892,074   

Collateral on securities loaned at value

     2,751,247        35,689        119,000          

Payables:

        

Options written

            101,887        1,770          

Foreign taxes withheld

     147,618                        

Income dividends

     334,268        272,472        169,750        150,787   

Investment advisory fees

     581,375        699,911        301,934        272,137   

Officer’s and Trustees’ fees

     501,537        310,999        13,463        9,734   

Other accrued expenses payable

     182,413        353,501        215,848        132,539   
  

 

 

 

Total liabilities

     10,961,994        7,398,955        3,520,914        3,457,271   
  

 

 

 

Net Assets

   $ 764,154,489      $ 827,039,894      $ 443,476,845      $ 329,747,212   
  

 

 

 
        
Net Assets Consist of                                 

Paid-in capital

   $ 1,290,672,026      $ 1,386,290,465      $ 400,387,105      $ 288,195,604   

Undistributed (distributions in excess of) net investment income

     (5,838,996     (315,958     148        1,934,397   

Accumulated net realized loss

     (545,122,237     (408,181,779     (26,865,348     (8,136,254

Net unrealized appreciation (depreciation)

     24,275,454        (150,752,834     69,954,940        47,753,465   
  

 

 

 

Net Assets

   $ 763,986,247      $ 827,039,894      $ 443,476,845      $ 329,747,212   
  

 

 

 

Net asset value7

   $ 6.95      $ 8.35      $ 19.70      $ 19.50   
  

 

 

 

1      Consolidated Statement of Assets and Liabilities

        

2      Investments at cost — unaffiliated

   $ 704,941,090      $ 979,023,880      $ 376,392,657      $ 275,543,907   

3      Securities loaned at value

   $ 2,581,980      $ 29,062      $ 108,885          

4      Investments at cost — affiliated

   $ 39,856,450      $ 6,205,930      $ 723,146      $ 8,391,615   

5      Foreign currency at cost

   $ 550,786      $ (245,109   $ 86,510      $ 23,794   

6      Premiums received

   $ 8,979,694      $ 7,049,614      $ 4,168,452      $ 2,174,098   

7      Shares outstanding, unlimited number of shares authorized, $0.001 par value

     109,989,277        99,059,784        22,507,592        16,906,964   

 

See Notes to Financial Statements.

 

100    ANNUAL REPORT    DECEMBER 31, 2015     


Statements of Operations     

 

Year Ended December 31, 2015   

BlackRock
Energy and
Resources

Trust (BGR)

   

BlackRock
Enhanced
Capital and
Income

Fund, Inc. (CII)

   

BlackRock
Enhanced
Equity
Dividend

Trust (BDJ)

   

BlackRock
Global
Opportunities
Equity

Trust (BOE)

   

BlackRock
Health Sciences

Trust (BME)

 
          
Investment Income                                         

Dividends — unaffiliated

   $     15,842,335      $     11,508,858      $     45,921,496      $     19,444,884      $     3,247,815   

Foreign taxes withheld

     (476,534     (167,560     (473,472     (781,979     (64,043

Dividends — affiliated

     13,774        28,344        26,109        17,381        16,254   

Securities lending — affiliated — net

     191,937        10,468        36        16,113        4,788   
  

 

 

 

Total income

     15,571,512        11,380,110        45,474,169        18,696,399        3,204,814   
  

 

 

 
          
Expenses                                         

Investment advisory

     6,534,273        5,866,686        13,461,417        10,499,939        3,248,903   

Professional

     114,108        221,285        181,091        139,531        99,933   

Transfer agent

     126,013        95,966        247,564        155,364        56,094   

Custodian

     98,360        173,921        216,383        240,537        105,541   

Offering costs

                                 37,220   

Officer and Trustees

     51,879        63,586        135,253        87,117        32,027   

Printing.

     34,515        25,447        83,887        53,048        24,407   

Insurance

     18,142        17,807        45,745        24,955        7,247   

Registration

     10,601        15,692        66,877        24,711        8,996   

Miscellaneous

     28,101        41,298        64,562        100,971        37,206   
  

 

 

 

Total expenses

     7,015,992        6,521,688        14,502,779        11,326,173        3,657,574   

Less fees waived by the Manager

     (130,770     (17,996     (224,608     (268,544     (8,987
  

 

 

 

Total expenses after fees waived

     6,885,222        6,503,692        14,278,171        11,057,629        3,648,587   
  

 

 

 

Net investment income (loss)

     8,686,290        4,876,418        31,195,998        7,638,770        (443,773
  

 

 

 
          
Realized and Unrealized Gain (Loss)                                         

Net realized gain (loss) from:

          

Investments — unaffiliated

     (114,749,606     146,721,511        28,676,375        29,946,745        50,475,725   

Capital gain distributions received from affiliated investment companies

     252        580        560        175        894   

Options written

     9,459,631        2,559,328        2,794,489        (260,651     1,225,140   

Foreign currency transactions

     (194,876     6,403,762        9,040        (591,261     (47,419
  

 

 

 
     (105,484,599     155,685,181        31,480,464        29,095,008        51,654,340   
  

 

 

 

Net change in unrealized appreciation (depreciation) on:

          

Investments — unaffiliated

     (71,675,254     (129,994,724     (65,546,030     (29,339,535     (17,434,614

Options written

     1,214,201        2,601,624        5,212,149        3,104,107        (508,206

Foreign currency translations

     4,863        (5,110,258     (1,430     11,312        7,973   
  

 

 

 
     (70,456,190     (132,503,358     (60,335,311     (26,224,116     (17,934,847
  

 

 

 

Net realized and unrealized gain (loss)

     (175,940,789     23,181,823        (28,854,847     2,870,892        33,719,493   
  

 

 

 

Net Increase (Decrease) in Net Assets Resulting from Operations

   $ (167,254,499   $ 28,058,241      $ 2,341,151      $ 10,509,662      $ 33,275,720   
  

 

 

 

 

See Notes to Financial Statements.

 

     ANNUAL REPORT    DECEMBER 31, 2015    101


Statements of Operations     

 

Year Ended December 31, 2015   

BlackRock
International
Growth and
Income

Trust (BGY)

    BlackRock
Resources &
Commodities
Strategy
Trust (BCX)1
   

BlackRock

Science and
Technology Trust (BST)

    BlackRock
Utility and
Infrastructure
Trust (BUI)
 
        
Investment Income                                 

Dividends — unaffiliated

   $     18,529,518      $     36,890,697      $     5,045,706      $     12,100,000   

Foreign taxes withheld

     (1,389,237     (1,507,193     (310,816     (266,880

Dividends — affiliated

     41,106        18,056        7,865        13,472   

Securities lending — affiliated — net

     34,212        24,110        19,944        5,645   

Other income — unaffiliated

     168,242                        

Other income — affiliated

                          327   
  

 

 

 

Total income

     17,383,841        35,425,670        4,762,699        11,852,564   
  

 

 

 
        
Expenses                                 

Investment advisory

     8,254,469        10,109,430        4,427,666        3,541,594   

Custodian

     200,821        211,178        151,299        104,331   

Professional

     116,102        163,103        123,201        97,829   

Transfer agent

     153,352        98,414        63,640        65,681   

Officer and Trustees

     61,036        95,533        49,201        35,404   

Printing

     42,953        5,129        37,320        25,785   

Insurance

     20,058        16,155        9,372        8,752   

Registration

     39,117        38,443        46,617        8,994   

Miscellaneous

     103,103        98,800        69,472        56,007   
  

 

 

 

Total expenses

     8,991,011        10,836,185        4,977,788        3,944,377   

Less fees waived by the Manager

     (641,232     (11,707     (891,863     (8,324
  

 

 

 

Total expenses after fees waived

     8,349,779        10,824,478        4,085,925        3,936,053   
  

 

 

 

Net investment income

     9,034,062        24,601,192        676,774        7,916,511   
  

 

 

 
        
Realized and Unrealized Gain (Loss)                                 

Net realized gain (loss) from:

        

Investments — unaffiliated

     (791,533     (119,234,716     (21,156,948     4,217,438   

Capital gain distributions received from affiliated investment companies

     944        354        56        458   

Options written

     (5,062,285     17,670,523        (4,583,126     2,887,998   

Financial futures contracts

     (703,843                     

Foreign currency transactions

     (692,378     205,002        (72,717     (5,866
  

 

 

 
     (7,249,095     (101,358,837     (25,812,735     7,100,028   
  

 

 

 

Net change in unrealized appreciation (depreciation) on:

        

Investments — unaffiliated

     (12,854,264 )2      (175,552,633     57,416,766        (40,681,811

Options written

     3,316,487        3,014,954        823,811        130,345   

Foreign currency translations

     29,240        (4,141     876        754   
  

 

 

 
     (9,508,537     (172,541,820     58,241,453        (40,550,712
  

 

 

 

Net realized and unrealized gain (loss)

     (16,757,632     (273,900,657     32,428,718        (33,450,684
  

 

 

 

Net Increase (Decrease) in Net Assets Resulting from Operations

   $ (7,723,570   $ (249,299,465   $ 33,105,492      $ (25,534,173
  

 

 

 

 

  1   

Consolidated Statement of Operations.

 

  2   

Net of $147,618 foreign capital gain tax.

 

See Notes to Financial Statements.

 

102    ANNUAL REPORT    DECEMBER 31, 2015     


Statements of Changes in Net Assets     

 

     BlackRock
Energy and
Resources Trust (BGR)
    BlackRock
Enhanced Capital and
Income Fund, Inc. (CII)
 
Increase (Decrease) in Net Assets:    Year Ended
December 31,
2015
   

Period
November 1, 2014
to

December 31,
2014

    Year Ended
October 31, 2014
    Year Ended
December 31,
2015
   

Period
November 1, 2014
to

December 31,
2014

    Year Ended
October 31, 2014
 
            
Operations                                                 

Net investment income

   $ 8,686,290      $ 2,096,008      $ 7,346,369      $ 4,876,418      $ 1,634,790      $ 24,393,114   

Net realized gain (loss)

     (105,484,599     (1,832,469     83,202,249        155,685,181        (6,407,527     17,414,546   

Net change in unrealized appreciation/depreciation

     (70,456,190     (69,799,268     (119,419,186     (132,503,358     22,491,481        22,563,197   
  

 

 

   

 

 

 

Net increase (decrease) in net assets resulting from operations

     (167,254,499     (69,535,729     (28,870,568     28,058,241        17,718,744        64,370,857   
  

 

 

   

 

 

 
            
Distributions to Shareholders1                                                 

Net investment income

     (8,567,540     (13,897,363     (13,106,479     (6,318,821     (4,539,117     (28,519,674

Net realized gains

            (28,073,003     (113,548,774     (46,626,859              

Return of capital

     (36,005,387                          (4,285,163     (28,838,146
  

 

 

   

 

 

 

Decrease in net assets resulting from distributions to shareholders

     (44,572,927     (41,970,366     (126,655,253     (52,945,680     (8,824,280     (57,357,820
  

 

 

   

 

 

 
            
Capital Share Transactions                                                 

Reinvestment of distributions

     1,205,970                                      
  

 

 

   

 

 

 
            
Net Assets                                                 

Total increase (decrease) in net assets

     (210,621,456     (111,506,095     (155,525,821     (24,887,439     8,894,464        7,013,037   

Beginning of period

     629,602,954        741,109,049        896,634,870        691,379,520        682,485,056        675,472,019   
  

 

 

   

 

 

 

End of period

   $     418,981,498      $     629,602,954      $     741,109,049      $     666,492,081      $ 691,379,520      $ 682,485,056   
  

 

 

   

 

 

 

Undistributed (distributions in excess of) net investment income, end of period

   $ (398,691   $ (322,565   $ 11,513,217      $ (112,579   $ (4,844,799   $ (1,937,207
  

 

 

   

 

 

 

 

  1   

Distributions for annual periods determined in accordance with federal income tax regulations.

 

See Notes to Financial Statements.

 

     ANNUAL REPORT    DECEMBER 31, 2015    103


Statements of Changes in Net Assets     

 

     BlackRock
Enhanced Equity
Dividend Trust (BDJ)
    BlackRock
Global Opportunities
Equity Trust (BOE)
 
Increase (Decrease) in Net Assets:    Year Ended
December 31,
2015
   

Period

November 4, 2014
to

December 31,
2014

    Year Ended
October 31, 2014
    Year Ended
December 31,
2015
   

Period

November 4, 2014
to

December 31,
2014

    Year Ended
October 31, 2014
 
            
Operations                                                 

Net investment income

   $ 31,195,998      $ 6,521,559      $ 29,525,835      $ 7,638,770      $ 6,382      $ 9,427,710   

Net realized gain (loss)

     31,480,464        (18,927,760     (1,706,021     29,095,008        (21,177,014     27,237,243   

Net change in unrealized appreciation/depreciation

     (60,335,311     39,519,195        135,550,138        (26,224,116     15,955,016        (22,035,229
  

 

 

   

 

 

 

Net increase (decrease) in net assets resulting from operations

     2,341,151        27,112,994        163,369,952        10,509,662        (5,215,616     14,629,724   
  

 

 

   

 

 

 
            
Distributions to Shareholders1                                                 

Net investment income

     (31,248,083     (6,490,341     (29,340,373     (11,517,508            (11,495,722

Distributions in excess of net investment income

                          (7,284,361            (19,478,198

Return of capital

     (74,655,369     (10,716,791     (79,569,763     (62,076,530     (13,959,167     (62,866,563
  

 

 

   

 

 

 

Decrease in net assets resulting from distributions to shareholders

     (105,903,452     (17,207,132     (108,910,136     (80,878,399     (13,959,167     (93,840,483
  

 

 

   

 

 

 
            
Capital Share Transactions                                                 

Net proceeds from the issuance of shares due to reorganization

            88,481,334                               
  

 

 

   

 

 

 
            
Net Assets                                                 

Total increase (decrease) in net assets

     (103,562,301     98,387,196        54,459,816        (70,368,737     (19,174,783     (79,210,759

Beginning of period

     1,747,070,388        1,648,683,192        1,594,223,376        1,060,686,725        1,079,861,508        1,159,072,267   
  

 

 

   

 

 

 

End of period

   $     1,643,508,087      $     1,747,070,388      $     1,648,683,192      $     990,317,988      $     1,060,686,725      $     1,079,861,508   
  

 

 

   

 

 

 

Distributions in excess of net investment income, end of period

   $ (720,631   $ (588,821   $ (691,062   $ (6,725,341   $ (3,681,733   $ (4,181,410
  

 

 

   

 

 

 

 

  1   

Distributions for annual periods determined in accordance with federal income tax regulations.

 

See Notes to Financial Statements.

 

104    ANNUAL REPORT    DECEMBER 31, 2015     


Statements of Changes in Net Assets     

 

     BlackRock
Health Sciences Trust (BME)
    BlackRock
International Growth and
Income Trust (BGY)
 
Increase (Decrease) in Net Assets:    Year Ended
December 31,
2015
   

Period
November 1, 2014
to

December 31,
2014

    Year Ended
October 31, 2014
    Year Ended
December 31,
2015
   

Period
November 1, 2014
to

December 31,
2014

    Year Ended
October 31, 2014
 
            
Operations                                                 

Net investment income (loss)

   $ (443,773   $ (52,256   $ (23,323   $ 9,034,062      $ (183,053   $ 11,277,182   

Net realized gain (loss)

     51,654,340        5,859,439        32,929,280        (7,249,095     (11,726,948     37,382,745   

Net change in unrealized appreciation/depreciation

     (17,934,847     2,584,250        38,234,459        (9,508,537     (7,975,241     (96,386,922
  

 

 

   

 

 

 

Net increase (decrease) in net assets resulting from operations

     33,275,720        8,391,433        71,140,416        (7,723,570     (19,885,242     (47,726,995
  

 

 

   

 

 

 
            
Distributions to Shareholders1                                                 

Net investment income

     (5,039,768     (97,279     (806,862     (12,357,754            (13,975,718

Distributions in excess of net investment income2

                                        (8,305,169

Net realized gains

     (48,696,568     (20,982,505     (28,969,492                     

Return of capital

                          (52,315,941     (11,548,874     (57,741,812
  

 

 

   

 

 

 

Decrease in net assets resulting from distributions to shareholders

     (53,736,336     (21,079,784     (29,776,354     (64,673,695     (11,548,874     (80,022,699
  

 

 

   

 

 

 
            
Capital Share Transactions                                                 

Net proceeds from the issuance of shares

     10,367,053                                      

Reinvestment of dividends

     4,520,259        1,858,610        2,407,444                        
  

 

 

   

 

 

 

Net increase in net assets derived from shares transactions

     14,887,312        1,858,610        2,407,444                        
  

 

 

   

 

 

 
            
Net Assets                                                 

Total increase (decrease) in net assets

     (5,573,304     (10,829,741     43,771,506        (72,397,265     (31,434,116     (127,749,694

Beginning of period

     303,103,264        313,933,005        270,161,499        836,551,754        867,985,870        995,735,564   
  

 

 

   

 

 

 

End of period

   $     297,529,960      $     303,103,264      $     313,933,005      $     764,154,489      $     836,551,754      $     867,985,870   
  

 

 

   

 

 

 

Undistributed (distributions in excess of) net investment income, end of period

   $ (631,796   $ (16,686   $ 80,023      $ (5,838,996   $ (3,482,256   $ (3,848,440
  

 

 

   

 

 

 

 

  1   

Distributions for annual periods determined in accordance with federal income tax regulations.

 

  2   

Tax distribution.

 

See Notes to Financial Statements.

 

     ANNUAL REPORT    DECEMBER 31, 2015    105


Statements of Changes in Net Assets     

 

     BlackRock
Resources & Commodities
Strategy Trust (BCX)1
    BlackRock
Science and
Technology Trust (BST)
 
Increase (Decrease) in Net Assets:    Year Ended
December 31,
2015
   

Period

November 1, 2014
to

December 31,
2014

    Year Ended
October 31, 2014
    Year Ended
December 31,
2015
   

Period

October 30, 20142
to

December 31,
2014

 
          
Operations                                         

Net investment income (loss)

   $ 24,601,192      $ 2,761,892      $ 10,734,803      $ 676,774      $ (172,275

Net realized loss

     (101,358,837     (7,428,077     (9,644,316     (25,812,735     (904,997

Net change in unrealized appreciation/depreciation

     (172,541,820     (37,530,055     (2,819,981     58,241,453        11,713,487   
  

 

 

   

 

 

 

Net increase (decrease) in net assets resulting from operations

     (249,299,465     (42,196,240     (1,729,494     33,105,492        10,636,215   
  

 

 

   

 

 

 
          
Distributions to Shareholders3                                         

Net investment income

     (24,837,338     (2,386,991     (14,352,994     (603,909     (48,058

Distributions in excess of net investment income

                          (144,770       

Return of capital

     (55,321,839     (8,841,474     (32,315,467     (26,260,431     (2,202,701
  

 

 

   

 

 

 

Decrease in net assets resulting from distributions to shareholders

     (80,159,177     (11,228,465     (46,668,461     (27,009,110     (2,250,759
  

 

 

   

 

 

 
          
Capital Share Transactions                                         

Net proceeds from the issuance of shares due to reorganization

            627,703,703                        

Net proceeds from the issuance of shares

                                 400,245,000   

Net proceeds from the underwriters’ over allotment option exercised

                                 28,650,000   
  

 

 

   

 

 

 

Net increase in net assets derived from shares transactions

            627,703,703                      428,895,000   
  

 

 

   

 

 

 
          
Net Assets                                         

Total increase (decrease) in net assets

     (329,458,642     574,278,998        (48,397,955     6,096,382        437,280,456   

Beginning of period

     1,156,498,536        582,219,538        630,617,493        437,380,463        100,007   
  

 

 

   

 

 

 

End of period

   $     827,039,894      $     1,156,498,536      $     582,219,538      $     443,476,845      $     437,380,463   
  

 

 

   

 

 

 

Undistributed (distributions in excess of) net investment income, end of period

   $ (315,958   $ (302,805   $ (398,604   $ 148          
  

 

 

   

 

 

 

 

  1   

Consolidated Statement of Changes in Net Assets.

 

  2   

Commencement of Operations.

 

  3   

Distributions for annual periods determined in accordance with federal income tax regulations.

 

See Notes to Financial Statements.

 

106    ANNUAL REPORT    DECEMBER 31, 2015     


Statements of Changes in Net Assets     

 

 

     BlackRock Utility and
Infrastructure
Trust (BUI)
 
Increase (Decrease) in Net Assets:    Year Ended
December 31, 2015
    Period
November 1, 2014
to
December 31, 2014
    Year Ended
October 31, 2014
 
      
Operations                         

Net investment income

   $ 7,916,511      $ 1,785,327      $ 8,621,602   

Net realized gain (loss)

     7,100,028        (849,901     6,037,859   

Net change in unrealized appreciation/depreciation

     (40,550,712     4,224,386        39,346,515   
  

 

 

 

Net increase (decrease) in net assets resulting from operations

     (25,534,173     5,159,812        54,005,976   
  

 

 

 
      
Distributions to Shareholders1                         

Net investment income

     (7,096,542     (1,712,370     (8,667,652

Net realized gains

     (9,103,053            (6,308,640

Return of capital

     (8,349,317     (2,379,115     (11,593,002
  

 

 

 

Decrease in net assets resulting from distributions to shareholders

     (24,548,912     (4,091,485     (26,569,294
  

 

 

 
      
Net Assets                         

Total increase (decrease) in net assets

     (50,083,085     1,068,327        27,436,682   

Beginning of period

     379,830,297        378,761,970        351,325,288   
  

 

 

 

End of period

   $     329,747,212      $     379,830,297      $     378,761,970   
  

 

 

 

Undistributed net investment income, end of period

   $ 1,934,397      $ 1,332,581      $ 1,271,735   
  

 

 

 

 

  1   

Distributions for annual periods determined in accordance with federal income tax regulations.

 

See Notes to Financial Statements.

 

     ANNUAL REPORT    DECEMBER 31, 2015    107


Statements of Cash Flows     

 

 

Year Ended December 31, 2015   

BlackRock
Energy and
Resources

Trust (BGR)

   

BlackRock
Enhanced
Capital and
Income

Fund, Inc. (CII)

   

BlackRock
Enhanced
Equity

Dividend

Trust (BDJ)

 
      
Cash Provided by Operating Activities                         

Net increase (decrease) in net assets resulting from operations

   $ (167,254,499   $ 28,058,241      $ 2,341,151   

Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by operating activities:

      

Proceeds from sales of long-term investments

     299,747,123        940,825,301        490,691,353   

Purchases of long-term investments

     (301,132,625     (890,345,907     (429,794,507

Net (purchases) sales of short-term securities

     29,123,906        (13,386,266     9,774,264   

(Increase) decrease in assets:

      

Cash pledged as collateral for OTC derivatives

            (320,000       

Dividends receivable — unaffiliated

     (380,836     170,307        147,529   

Dividends receivable — affiliated

     1,054        (3,190     (2,305

Securities lending income receivable — affiliated

     (6,204     95          

Other assets

     6,312        (2,066     4,899   

Increase (decrease) in liabilities:

      

Investment advisory fees payable

     (234,517     (16,087     (101,691

Collateral on securities loaned at value

     944,554        (673,750       

Reorganization costs payable

                   (151,484

Officer’s and Trustees’ fees payable

     22,928        28,126        48,085   

Other accrued expenses payable

     12,900        26,150        47,866   

Premiums received from options written

     29,452,651        61,949,713        122,465,062   

Premiums paid on closing options written

     (19,376,037     (56,628,286         (118,386,927

Net realized (gain) loss on investments and options written

     105,289,723            (149,281,419     (31,471,424

Net unrealized loss on investments, options written and foreign currency translations

     70,460,541        132,504,018        60,333,769   
  

 

 

 

Net cash provided by operating activities

     46,676,974        52,904,980        105,945,640   
  

 

 

 
  
Cash Used for Financing Activities                         

Cash dividends paid to shareholders

         (46,700,929     (52,970,388     (105,946,958
  

 

 

 

Net cash used for financing activities

     (46,700,929     (52,970,388     (105,946,958
  

 

 

 
  
Cash Impact from Foreign Exchange Fluctuations                         

Cash impact from foreign exchange fluctuations

     512        1,088        112   
  

 

 

 
  
Cash and Foreign Currency                         

Net decrease in cash and foreign currency

     (23,443     (64,320     (1,206

Cash and foreign currency at beginning of year

     72,765        66,509        3,042   
  

 

 

 

Cash and foreign currency at end of year

   $ 49,322      $ 2,189      $ 1,836   
  

 

 

 
  
Non-Cash Financing Activities                         

Capital shares issued in reinvestment of dividends paid to shareholders

   $ 1,205,970                 
  

 

 

 

 

See Notes to Financial Statements.

 

108    ANNUAL REPORT    DECEMBER 31, 2015     


Statements of Cash Flows (continued)     

 

 

Year Ended December 31, 2015   

BlackRock
Global
Opportunities
Equity

Trust (BOE)

   

BlackRock
Health
Sciences

Trust (BME)

   

BlackRock
International
Growth and
Income

Trust (BGY)

 
      
Cash Provided by Operating Activities                         

Net increase (decrease) in net assets resulting from operations

   $ 10,509,662      $ 33,275,720      $ (7,723,570

Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by operating activities:

      

Proceeds from sales of long-term investments

     821,676,996        254,409,306        577,441,282   

Purchases of long-term investments

         (748,871,947         (210,321,328         (522,332,839

Net sales of short-term securities

     517,866        (5,582,050     (197,803

(Increase) decrease in assets:

      

Cash pledged as collateral for OTC derivatives

                   3,836,381   

Cash pledged as collateral for exchange traded options written

                   (1,755,000

Dividends receivable — unaffiliated

     65,526        (13,919     (125,345

Dividends receivable — affiliated

     (917     (4,062     (5,587

Securities lending income receivable — affiliated

     3,602        88        (5,343

Prepaid offering costs

            (80,172       

Other assets

     181        (2,688     773   

Increase (decrease) in liabilities:

      

Collateral on securities loaned at value

     (974,270            1,881,108   

Investment advisory fees payable

     (99,186     (8,320     (99,038

Officer’s and Trustees’ fees payable

     32,934        1,406        18,292   

Foreign taxes withheld

                   147,618   

Other accrued expenses payable

     (50,783     37,140        (84,382

Premiums received from options written

     96,839,429        27,715,378        71,912,977   

Premiums paid on closing options written

     (96,247,784     (25,882,468     (77,572,620

Net realized (gain) loss on investments, options written and financial futures contracts

     (29,686,269     (51,701,759     5,852,874   

Net unrealized (gain) loss on investments, options written and foreign currency translations

     26,241,644        17,942,805        9,422,409   
  

 

 

 

Net cash provided by operating activities

     79,956,684        39,785,077        60,612,187   
  

 

 

 
      
Cash Used for Financing Activities                         

Cash dividends paid to shareholders

     (80,899,435     (49,215,161     (64,701,424

Net proceeds from issuance of shares

            9,431,281          
  

 

 

 

Net cash used for financing activities

     (80,899,435     (39,783,880     (64,701,424
  

 

 

 
      
Cash Impact from Foreign Exchange Fluctuations                         

Cash impact from foreign exchange fluctuations

     (6,216     15        (32,250
  

 

 

 
      
Cash and Foreign Currency                         

Net increase (decrease) in cash and foreign currency

     (948,967     1,212        (4,121,487

Cash and foreign currency at beginning of year

     1,351,366               4,688,317   
  

 

 

 

Cash and foreign currency at end of year

   $ 402,399      $ 1,212      $ 566,830   
  

 

 

 
      
Non-Cash Financing Activities                         

Capital shares issued in reinvestment of dividends paid to shareholders

          $ 4,520,259          
  

 

 

 

 

See Notes to Financial Statements.

 

     ANNUAL REPORT    DECEMBER 31, 2015    109


Statements of Cash Flows (concluded)     

 

Year Ended December 31, 2015   

BlackRock
Resources &
Commodities
Strategy

Trust (BCX)1

    BlackRock
Science and
Technology
Trust (BST)
    BlackRock
Utility and
Infrastructure
Trust (BUI)
 
      
Cash Provided by Operating Activities                         

Net increase (decrease) in net assets resulting from operations

   $ (249,299,465   $ 33,105,492      $ (25,534,173

Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by operating activities:

      

Proceeds from sales of long-term investments

     755,395,205        390,635,386        82,823,053   

Purchases of long-term investments

         (742,590,845         (417,496,635     (71,470,211

Net (purchases) sales of short-term securities

     25,646,551        42,450,699        2,385,035   

(Increase) decrease in assets:

      

Cash pledged as collateral for exchange-traded options written

            15,055,661          

Cash pledged as collateral for OTC derivatives

            (1,100,000       

Dividends receivable — affiliated

     12        3,086        (2,682

Dividends receivable — unaffiliated

     1,097,379        (32,008     123,969   

Securities lending income receivable — affiliated

     12,304        (1,441       

Other assets

     (2,640     (2,170     645   

Increase (decrease) in liabilities:

      

Collateral for securities on loaned at value

     (2,338,111     119,000          

Investment advisory fees payable

     (298,161     7,968        (45,371

Reorganization costs payable

     (469,615              

Officer’s and Trustees’ fees payable

     (3,274     7,209        1,098   

Other accrued expenses payable

     80,366        62,850        22,078   

Premiums received from options written

     60,621,063        37,562,766        17,702,160   

Premiums paid on closing options written

     (42,041,613     (41,185,046         (14,852,594

Net realized loss on investments and options written

     101,563,839        25,740,018        (7,105,894

Net unrealized gain on investments, options written and foreign currency translations

     172,536,810        (58,238,635     40,551,444   
  

 

 

 

Net cash provided by operating activities

     79,909,805        26,694,200        24,598,557   
  

 

 

 
      
Cash Used for Financing Activities                         

Increase (decrease) in bank overdraft/bank overdraft on foreign currency at value

     247,746               (9,288

Cash dividends paid to shareholders

     (80,266,895     (26,839,360     (24,567,713
  

 

 

 

Net cash used for financing activities

     (80,019,149     (26,839,360     (24,577,001
  

 

 

 
      
Cash Impact from Foreign Exchange Fluctuations                         

Cash impact from foreign exchange fluctuations

     869        (1,942     22   
  

 

 

 
      
Cash and Foreign Currency                         

Net increase (decrease) in cash and foreign currency

     (108,475     (147,102     21,578   

Cash and foreign currency at beginning of year

     108,475        235,704        2,175   
  

 

 

 

Cash and foreign currency at end of year

          $ 88,602      $ 23,753   
  

 

 

 

 

  1   

Consolidated Statement of Cash Flows.

 

See Notes to Financial Statements.

 

110    ANNUAL REPORT    DECEMBER 31, 2015     


Financial Highlights      BlackRock Energy and Resources Trust (BGR)  

 

 

 

    

Year Ended

December 31, 2015

   

Period

November 1, 2014

to

December 31, 2014

    Year Ended October 31,  
                 2014     2013     2012     2011  
            
Per Share Operating Performance                                                 

Net asset value, beginning of period

   $ 21.15      $ 24.90      $ 30.12      $ 25.95      $ 28.33      $ 25.87   
  

 

 

 

Net investment income1

     0.29        0.07        0.25        0.12        0.13        0.06   

Net realized and unrealized gain (loss)

     (5.89     (2.41     (1.21     5.67        (0.74     4.02   
  

 

 

 

Net increase (decrease) from investment operations

     (5.60     (2.34     (0.96     5.79        (0.61     4.08   
  

 

 

 

Distributions:2

            

Net investment income

     (0.29     (0.47     (0.44            (0.03     (0.24

Net realized gain

            (0.94     (3.82     (1.62     (1.44     (1.38

Return of capital

     (1.21                          (0.30       
  

 

 

 

Total distributions

     (1.50     (1.41     (4.26     (1.62     (1.77     (1.62
  

 

 

 

Net asset value, end of period.

   $ 14.05      $ 21.15      $ 24.90      $ 30.12      $ 25.95      $ 28.33   
  

 

 

 

Market price, end of period

   $ 12.53      $ 19.95      $ 23.78      $ 26.82      $ 24.28      $ 26.54   
  

 

 

 
            
Total Return3                                                 

Based on net asset value

     (27.47 )%      (9.06 )%4      (2.36 )%      23.68     (1.76 )%      16.09
  

 

 

 

Based on market price

     (31.42 )%      (10.18 )%4      4.73     17.70     (1.88 )%      10.95
  

 

 

 
            
Ratios to Average Net Assets                                                 

Total expenses

     1.29     1.30 %5      1.26     1.26     1.28     1.26
  

 

 

 

Total expenses after fees waived and/or reimbursed

     1.26     1.26 %5      1.26     1.25     1.22     1.15
  

 

 

 

Net investment income

     1.60     1.82 %5      0.89     0.42     0.50     0.19
  

 

 

 
            
Supplemental Data                                                 

Net assets, end of period (000)

   $ 418,981      $ 629,603      $ 741,109      $ 896,635      $ 772,457      $ 843,328   
  

 

 

 

Portfolio turnover rate

     56     4     85     132     86     111
  

 

 

 

 

  1   

Based on average shares outstanding.

 

  2   

Distributions for annual periods determined in accordance with federal income tax regulations.

 

  3   

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.

 

  4   

Aggregate total return.

 

  5   

Annualized.

 

See Notes to Financial Statements.

 

     ANNUAL REPORT    DECEMBER 31, 2015    111


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

 

 

 

    

Year Ended

December 31, 2015

   

Period

November 1, 2014

to

December 31, 2014

    Year Ended October 31,  
      
      
       2014     2013     2012     2011  
            
Per Share Operating Performance                                                 

Net asset value, beginning of period

   $ 15.67      $ 15.47      $ 15.31      $ 14.11      $ 13.87      $ 14.53   
  

 

 

 

Net investment income1

     0.11        0.04        0.55        0.31        0.33        0.35   

Net realized and unrealized gain

     0.53        0.36        0.91        2.09        1.29        0.68   
  

 

 

 

Net increase from investment operations

     0.64        0.40        1.46        2.40        1.62        1.03   
  

 

 

 

Distributions:2

            

Net investment income

     (0.14     (0.10     (0.65     (0.32     (0.33 )3      (0.35 )3 

Distributions in excess of net investment income4

                                 (0.20 )3      (0.23 )3 

Net realized gain

     (1.06                          (0.13     (1.11

Return of capital

            (0.10     (0.65     (0.88     (0.72       
  

 

 

 

Total distributions

     (1.20     (0.20     (1.30     (1.20     (1.38     (1.69
  

 

 

 

Net asset value, end of period

   $ 15.11      $ 15.67      $ 15.47      $ 15.31      $ 14.11      $ 13.87   
  

 

 

 

Market price, end of period

   $ 14.14      $ 13.97      $ 14.89      $ 13.52      $ 12.99      $ 12.39   
  

 

 

 
            
Total Return5                                                 

Based on net asset value

     4.66     2.69 %6      10.49     18.97     12.94     7.56
  

 

 

 

Based on market price

     9.86     (4.88 )%6      20.43     14.11     16.39     (7.11 )% 
  

 

 

 
            
Ratios to Average Net Assets                                                 

Total expenses

     0.94     0.99 %7      0.93     0.93     0.94     0.94
  

 

 

 

Total expenses after fees waived and/or reimbursed

     0.94     0.95 %7      0.93     0.93     0.94     0.93
  

 

 

 

Net investment income

     0.71     1.42 %7      3.56     2.15     2.34     2.40
  

 

 

 
            
Supplemental Data                                                 

Net assets, end of period (000)

   $ 666,492      $ 691,380      $ 682,485      $ 675,472      $ 622,657      $ 612,145   
  

 

 

 

Portfolio turnover rate

     133     2     80     218     205     190
  

 

 

 

 

  1  

Based on average shares outstanding.

 

  2   

Distributions for annual periods determined in accordance with federal income tax regulations.

 

  3   

The amount of distributions to shareholders from net investment income reported in October 31, 2012 and October 31, 2011 has been reclassified to allocate the amount between distributions from net investment income and distributions in excess of net investment income; both of which were included in the prior year net investment income in the amount of $0.53 and $0.58, respectively.

 

  4   

Taxable distribution.

 

  5   

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.

 

  6   

Aggregate total return.

 

  7   

Annualized.

 

See Notes to Financial Statements.

 

112    ANNUAL REPORT    DECEMBER 31, 2015     


Financial Highlights      BlackRock Enhanced Equity Dividend Trust (BDJ)   

 

 

 

    

Year Ended

December 31, 2015

   

Period

November 1, 2014

to

December 31, 2014

    Year Ended October 31,  
      
      
       2014     2013     2012     2011  
            
Per Share Operating Performance                                                 

Net asset value, beginning of period

   $ 9.24      $ 9.19      $ 8.88      $ 8.30      $ 8.03      $ 8.32   
  

 

 

 

Net investment income1

     0.17        0.04        0.16        0.18        0.18        0.16   

Net realized and unrealized gain (loss)

     (0.15     0.10        0.76        0.96        0.77        0.38   
  

 

 

 

Net increase from investment operations

     0.02        0.14        0.92        1.14        0.95        0.54   
  

 

 

 

Distributions:2

            

Net investment income

     (0.17     (0.03     (0.17     (0.18     (0.18 )3      (0.16 )3 

Distributions in excess of net investment income4

                          (0.20     (0.22 )3      (0.35 )3 

Net realized gain

                          (0.18              

Return of capital

     (0.39     (0.06     (0.44            (0.28     (0.32
  

 

 

 

Total distributions

     (0.56     (0.09     (0.61     (0.56     (0.68     (0.83
  

 

 

 

Net asset value, end of period

   $ 8.70      $ 9.24      $ 9.19      $ 8.88      $ 8.30      $ 8.03   
  

 

 

 

Market price, end of period

   $ 7.61      $ 8.12      $ 8.35      $ 7.72      $ 7.41      $ 7.29   
  

 

 

 
            
Total Return5                                                 

Based on net asset value

     1.10     1.69 %6      11.40     15.11     13.22     6.88
  

 

 

 

Based on market price

     0.63     (1.65 )%6      16.42     12.09     11.34     (10.20 )% 
  

 

 

 
            
Ratios to Average Net Assets                                                 

Total expenses

     0.86     0.87 %7      0.87 %8      0.87     0.95     1.15
  

 

 

 

Total expenses after fees waived and/or reimbursed

     0.85     0.84 %7      0.86 %8      0.87     0.95     1.14
  

 

 

 

Net investment income

     1.85     2.30 %7      1.81     2.13     2.16     1.92
  

 

 

 
            
Supplemental Data                                                 

Net assets, end of period (000)

   $ 1,643,508      $ 1,747,070      $ 1,648,683      $ 1,594,223      $ 1,490,096      $ 575,712   
  

 

 

 

Portfolio turnover rate

     26     0 %9      63     180     185     231
  

 

 

 

 

  1   

Based on average shares outstanding.

 

  2   

Distributions for annual periods determined in accordance with federal income tax regulations.

 

  3   

The amount of distributions to shareholders from net investment income reported in October 31, 2012 and October 31, 2011 has been reclassified to allocate the amount between distributions from net investment income and distributions in excess of net investment income; both of which were included in the prior year net investment income in the amount of $0.40 and $0.51, respectively.

 

  4   

Taxable distribution.

 

  5   

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.

 

  6   

Aggregate total return.

 

  7   

Annualized.

 

  8   

Includes reorganization costs associated with the Trust’s merger. Without these costs, total expenses and total expenses after fees waived would have been 0.86% and 0.86%, respectively

 

  9   

Amount is less than 0.5%.

 

See Notes to Financial Statements.

 

     ANNUAL REPORT    DECEMBER 31, 2015    113


Financial Highlights      BlackRock Global Opportunities Equity Trust (BOE)   

 

 

 

    

Year Ended

December 31, 2015

   

Period

November 1, 2014

to

December 31, 2014

    Year Ended October 31,  
      
      
       2014     2013     2012     2011  
            
Per Share Operating Performance                                                 

Net asset value, beginning of period

   $ 15.27      $ 15.54      $ 16.68      $ 14.99      $ 16.03      $ 18.68   
  

 

 

 

Net investment income1

     0.11        0.00 2      0.14        0.12        0.20        0.17   

Net realized and unrealized gain (loss)

     0.03        (0.07     0.07        2.82        0.72        (0.54
  

 

 

 

Net increase (decrease) from investment operations.

     0.14        (0.07     0.21        2.94        0.92        (0.37
  

 

 

 

Distributions:3

            

Net investment income

     (0.17            (0.17     (0.17     (0.22     (0.17 )4 

Distributions in excess of net investment income5

     (0.10            (0.28     (0.91            (0.68 )4 

Net realized gain

                                        (0.61

Return of capital

     (0.89     (0.20     (0.90     (0.17     (1.74     (0.82
  

 

 

 

Total distributions

     (1.16     (0.20     (1.35     (1.25     (1.96     (2.28
  

 

 

 

Net asset value, end of period

   $ 14.25      $ 15.27      $ 15.54      $ 16.68      $ 14.99      $ 16.03   
  

 

 

 

Market price, end of period

   $ 12.76      $ 13.13      $ 14.00      $ 14.74      $ 13.24      $ 14.95   
  

 

 

 
            
Total Return6                                                 

Based on net asset value

     1.81     (0.27 )%7      2.10     21.93     7.36     (2.55 )% 
  

 

 

 

Based on market price

     6.03     (4.82 )%7      4.09     21.99     1.68     (10.93 )% 
  

 

 

 
            
Ratios to Average Net Assets                                                 

Total expenses

     1.08 %8      1.10 %9      1.08     1.08     1.10     1.10
  

 

 

 

Total expenses after fees waived and/or reimbursed

     1.05 %8      1.07 %9      1.08     1.08     1.10     1.09
  

 

 

 

Net investment income

     0.73 %8      0.00 %910      0.83     0.77     1.34     0.96
  

 

 

 
            
Supplemental Data                                                 

Net assets, end of period (000)

   $ 990,318      $ 1,060,687      $ 1,079,862      $ 1,159,072      $ 1,041,210      $ 1,113,920   
  

 

 

 

Portfolio turnover rate

     72     16     150     279     298     253
  

 

 

 

 

  1   

Based on average shares outstanding.

 

  2   

Amount is less than $0.005 per share.

 

  3   

Distributions for annual periods determined in accordance with federal income tax regulations.

 

  4   

The amount of distributions to shareholders from net investment income reported in October 31, 2011 and October 31, 2010 has been reclassified to allocate the amount between distributions from net investment income and distributions in excess of net investment income; both of which were included in the prior year net investment income in the amount of $0.85 and $1.44, respectively.

 

  5   

Taxable distribution.

 

  6   

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.

 

  7   

Aggregate total return.

 

  8   

Excludes expenses incurred indirectly as a result of investments in underlying funds of 0.01%.

 

  9   

Annualized.

 

  10   

Amount is less than 0.005%.

 

See Notes to Financial Statements.

 

114    ANNUAL REPORT    DECEMBER 31, 2015     


Financial Highlights      BlackRock Health Sciences Trust (BME)   

 

 

 

    

Year Ended

December 31, 2015

   

Period

November 1, 2014

to

December 31, 2014

    Year Ended October 31,  
      
      
       2014     2013     2012     2011  
            
Per Share Operating Performance                                                 

Net asset value, beginning of period

   $ 38.61      $ 40.22      $ 34.92      $ 28.34      $ 26.65      $ 27.19   
  

 

 

 

Net investment income (loss)1

     (0.06     (0.01     (0.00 )2      0.12        0.08        (0.01

Net realized and unrealized gain

     4.34        1.10        9.14        8.85        4.11        1.71   
  

 

 

 

Net increase from investment operations

     4.28        1.09        9.14        8.97        4.19        1.70   
  

 

 

 

Distributions:3

            

Net investment income

     (0.63     (0.01     (0.10     (0.06     (0.09       

Net realized gain

     (6.07     (2.69     (3.74     (2.33     (2.41     (2.24
  

 

 

 

Total distributions

     (6.70     (2.70     (3.84     (2.39     (2.50     (2.24
  

 

 

 

Net asset value, end of period

   $ 36.19      $ 38.61      $ 40.22      $ 34.92      $ 28.34      $ 26.65   
  

 

 

 

Market price, end of period

   $ 39.35      $ 42.70      $ 41.37      $ 33.56      $ 27.86      $ 25.81   
  

 

 

 
            
Total Return4                                                 

Based on net asset value

     10.70     2.38 %5      28.00     33.37     16.42     6.43
  

 

 

 

Based on market price

     8.87     10.07 %5      36.99     30.38     18.17     3.26
  

 

 

 
            
Ratios to Average Net Assets                                                 

Total expenses

     1.13     1.16 %6      1.11     1.12     1.13     1.14
  

 

 

 

Total expenses after fees waived and/or reimbursed and excluding amortization of offering costs

     1.12     1.11 %6      1.11     1.12     1.13     1.13
  

 

 

 

Net investment income (loss)

     (0.14 )%      (0.10 )%6      (0.01 )%      0.38     0.29     (0.02 )% 
  

 

 

 
            
Supplemental Data                                                 

Net assets, end of period (000)

   $ 297,530      $ 303,103      $ 313,933      $ 270,161      $ 218,377      $ 202,675   
  

 

 

 

Portfolio turnover rate

     68     6     74     155     209     226
  

 

 

 

 

  1   

Based on average shares outstanding.

 

  2   

Amount is greater than $(0.005) per share.

 

  3   

Distributions for annual periods determined in accordance with federal income tax regulations.

 

  4   

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.

 

  5   

Aggregate total return.

 

  6   

Annualized.

 

See Notes to Financial Statements.

 

     ANNUAL REPORT    DECEMBER 31,2015    115


Financial Highlights      BlackRock International Growth and Income Trust (BGY)   

 

 

 

    

Year Ended

December 31, 2015

   

Period

November 1, 2014

to

December 31, 2014

    Year Ended October 31,  
      
      
       2014     2013     2012     2011  
            
Per Share Operating Performance                                                 

Net asset value, beginning of period

   $ 7.61      $ 7.89      $ 9.05      $ 8.28      $ 8.72      $ 10.52   
  

 

 

 

Net investment income (loss)1

     0.08        (0.00 )2      0.10        0.13        0.16        0.14   

Net realized and unrealized gain (loss)

     (0.15     (0.17     (0.53     1.31        0.35        (0.58
  

 

 

 

Net increase (decrease) from investment operations

     (0.07     (0.17     (0.43     1.44        0.51        (0.44
  

 

 

 

Distributions:3

            

Net investment income

     (0.11            (0.13     (0.17     (0.18     (0.14 )4 

Distributions in excess of net investment income5

                   (0.08                   (0.53 )4 

Return of capital

     (0.48     (0.11     (0.52     (0.50     (0.77     (0.69
  

 

 

 

Total distributions

     (0.59     (0.11     (0.73     (0.67     (0.95     (1.36
  

 

 

 

Net asset value, end of period

   $ 6.95      $ 7.61      $ 7.89      $ 9.05      $ 8.28      $ 8.72   
  

 

 

 

Market price, end of period

   $ 6.24      $ 6.74      $ 7.26      $ 8.14      $ 7.41      $ 7.88   
  

 

 

 
            
Total Return6                                                 

Based on net asset value

     (0.47 )%      (2.10 )%7      (4.49 )%      19.25     7.65     (4.55 )% 
  

 

 

 

Based on market price

     0.90     (5.77 )%7      (2.29 )%      19.86     6.61     (14.07 )% 
  

 

 

 
            
Ratios to Average Net Assets                                                 

Total expenses

     1.09 %8      1.12 %9      1.10     1.09     1.11     1.10
  

 

 

 

Total expenses after fees waived and/or reimbursed

     1.01 %8      1.03 %9      1.05     1.07     1.11     1.10
  

 

 

 

Net investment income (loss)

     1.09 %8      (0.13 )%9      1.17     1.49     1.97     1.37
  

 

 

 
            
Supplemental Data                                                 

Net assets, end of period (000)

   $ 763,986      $ 836,552      $ 867,986      $ 995,736      $ 910,481      $ 959,153   
  

 

 

 

Portfolio turnover rate

     67     14     195     266     226     217
  

 

 

 

 

  1   

Based on average shares outstanding.

 

  2   

Amount is greater than $(0.005) per share.

 

  3   

Distributions for annual periods determined in accordance with federal income tax regulations.

 

  4   

The amount of distributions to shareholders from net investment income reported in October 31, 2011 has been reclassified to allocate the amount between distributions from net investment income and distributions in excess of net investment income; both of which were included in the prior year net investment income in the amount of $0.67.

 

  5   

Taxable distribution.

 

  6   

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.

 

  7   

Aggregate total return.

 

  8   

Excludes expenses incurred indirectly as a result of investments in underlying funds of 0.01%.

 

  9   

Annualized.

 

See Notes to Financial Statements.

 

116    ANNUAL REPORT    DECEMBER 31, 2015     


Consolidated Financial Highlights      BlackRock Resources & Commodities Strategy Trust (BCX)   

 

 

 

    

Year Ended

December 31,

2015

   

Period

November 1, 2014

to

December 31, 2014

    Year Ended October 31    

Period

March 30, 20111

through

October 31, 2011

 
        
        
        
        
        
         2014     2013     2012    
            
Per Share Operating Performance                                                 

Net asset value, beginning of period

   $ 11.67      $ 12.50      $ 13.54      $ 15.42      $ 16.83      $ 19.10 2 
  

 

 

 

Net investment income3

     0.25        0.04        0.23        0.25        0.18        0.03   

Net realized and unrealized loss

     (2.76     (0.72     (0.27     (0.97     (0.19     (1.57
  

 

 

 

Net decrease from investment operations

     (2.51     (0.68     (0.04     (0.72     (0.01     (1.54
  

 

 

 

Distributions:4

            

Net investment income

     (0.25     (0.02     (0.31     (0.14     (0.26       

Net realized gain

                                 (0.01     (0.24

Return of capital

     (0.56     (0.13     (0.69     (1.02     (1.13     (0.46
  

 

 

 

Total distributions

     (0.81     (0.15     (1.00     (1.16     (1.40     (0.70
  

 

 

 

Capital charges with respect to the issuance of shares

                                        (0.03
  

 

 

 

Net asset value, end of period

   $ 8.35      $ 11.67      $ 12.50      $ 13.54      $ 15.42      $ 16.83   
  

 

 

 

Market price, end of period

   $ 7.11      $ 9.71      $ 10.78      $ 11.68      $ 14.12      $ 14.95   
  

 

 

 
            
Total Return5                                                 

Based on net asset value

     (21.31 )%      (5.20 )%6      0.61     (3.61 )%7      0.90     (7.80 )%6 
  

 

 

 

Based on market price

     (19.47 )%      (8.53 )%6      0.58     (9.19 )%      4.02     (21.79 )%6 
  

 

 

 
            
Ratios to Average Net Assets                                                 

Total expenses.

     1.07     1.15 %8      1.35 %9      1.27     1.25     1.35 %8 
  

 

 

 

Total expenses after fees waived and/or reimbursed

     1.07     1.04 %9      1.06 %9      1.07     1.05     1.13 %8 
  

 

 

 

Net investment income

     2.43     2.01 %8      1.70     1.76     1.14     0.27 %8 
  

 

 

 
            
Supplemental Data                                                 

Net assets, end of period (000)

   $ 827,040      $ 1,156,499      $ 582,220      $ 630,617      $ 718,016      $ 783,792   
  

 

 

 

Portfolio turnover rate

     74     2     62     156     100     27
  

 

 

 

 

  1   

Commencement of investment operations. This information includes the initial investment by BlackRock HoldCo2, Inc.

 

  2   

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.

 

  3   

Based on average shares outstanding.

 

  4   

Distributions for annual periods determined in accordance with federal income tax regulations.

 

  5   

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.

 

  6  

Aggregate total return.

 

  7   

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 total return would have been (3.68)%.

 

  8   

Annualized.

 

  9   

Includes reorganization costs associated with the Trust’s merger. Without these costs, total expenses and total expenses after fees waived would have been 1.26% and 1.06%, respectively.

 

See Notes to Financial Statements.

 

     ANNUAL REPORT    DECEMBER 31, 2015    117


Financial Highlights   

 

BlackRock Science and Technology Trust (BST)

  

 

 

     Year Ended
December 31, 2015
   

Period
October 30, 20141
to

December 31, 2014

 
    
Per Share Operating Performance                 

Net asset value, beginning of period

   $ 19.43      $ 19.10 2 
  

 

 

 

Net investment income (loss)3

     0.03        (0.01

Net realized and unrealized gain.

     1.44        0.48   
  

 

 

 

Net increase from investment operations

     1.47        0.47   
  

 

 

 

Distributions:4

    

Net investment income

     (0.03     (0.00 )5 

Distributions in excess of net investment income

     (0.01       

Return of capital

     (1.16     (0.10
  

 

 

 

Total distributions

     (1.20     (0.10
  

 

 

 

Capital Charges with respect to the issuance of Shares

            (0.04
  

 

 

 

Net asset value, end of period.

   $ 19.70        19.43   
  

 

 

 

Market price, end of period

   $ 17.31        17.59   
  

 

 

 
    
Total Return6                 

Based on net asset value

     8.61     2.31 %7 
  

 

 

 

Based on market price

     5.36     (11.55 )%7 
  

 

 

 
    
Ratios to Average Net Assets                 

Total expenses

     1.12     1.19 %8 
  

 

 

 

Total expenses after fees waived and paid indirectly

     0.92     0.97 %8 
  

 

 

 

Net investment income (loss)

     0.15     (0.24 )%8 
  

 

 

 
    
Supplemental Data                 

Net assets, end of period (000)

   $ 443,477      $ 437,380   
  

 

 

 

Portfolio turnover rate

     91     7
  

 

 

 

 

  1   

Commencement of investment operations. This information includes the initial investment by BlackRock HoldCo2, Inc.

 

  2   

Net asset value, beginning of period, reflects a deduction of $0.8975 per share sales charge from the initial offering price of $20.00 per share.

 

  3   

Based on average shares outstanding.

 

  4   

Distributions for annual periods determined in accordance with federal income tax regulations.

 

  5   

Amount is greater than $(0.005) per share.

 

  6   

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.

 

  7   

Aggregate total return.

 

  8   

Annualized.

 

See Notes to Financial Statements.

 

118    ANNUAL REPORT    DECEMBER 31, 2015     


Financial Highlights      BlackRock Utility and Infrastructure Trust (BUI)   

 

 

    

Year Ended

December 31, 2015

   

Period

November 1, 2014

to

December 31, 2014

   

 

Year Ended October 31,

   

Period

November 25, 20111

through

October 31, 2012

 
         2014     2013    
          
Per Share Operating Performance                                         

Net asset value, beginning of period

   $ 22.47      $ 22.40      $ 20.78      $ 20.22      $ 19.10 2 
  

 

 

 

Net investment income3

     0.47        0.11        0.51        0.57        0.54   

Net realized and unrealized gain (loss)

     (1.99     0.20        2.68        1.44        1.71   
  

 

 

 

Net increase from investment operations

     (1.52     0.31        3.19        2.01        2.25   
  

 

 

 

Distributions:4

          

Net investment income

     (0.42     (0.10     (0.51     (0.52     (0.49

Net realized gain

     (0.54            (0.37     (0.42     (0.41

Return of capital

     (0.49     (0.14     (0.69     (0.51     (0.19
  

 

 

 

Total distributions

     (1.45     (0.24     (1.57     (1.45     (1.09
  

 

 

 

Capital charges with respect to the issuance of shares

                                 (0.04

Net asset value, end of period

   $ 19.50      $ 22.47      $ 22.40      $ 20.78      $ 20.22   
  

 

 

 

Market price, end of period

   $ 16.78      $ 20.74      $ 20.02      $ 18.36      $ 19.03   
  

 

 

 
  
Total Return5                                         

Based on net asset value

     (6.09 )%      1.50 %6      16.94     11.18     12.05 %6 
  

 

 

 

Based on market price

     (12.45 )%      4.82 %6      18.29     4.37     0.71 %6 
  

 

 

 
  
Ratios to Average Net Assets                                         

Total expenses

     1.11     1.17 %7      1.10     1.11     1.12 %7 
  

 

 

 

Total expenses after fees waived and/or reimbursed

     1.11     1.11 %7      1.10     1.10     1.11 %7 
  

 

 

 

Total expenses after fees waived and/or reimbursed and excluding excise tax

     1.11     1.11 %7      1.10     1.10     1.10 %7 
  

 

 

 

Net investment income

     2.24     2.83 %7      2.36     2.83     2.94 %7 
  

 

 

 
  
Supplemental Data                                         

Net assets, end of period (000)

   $ 329,747      $ 379,830      $ 378,762      $ 351,325      $ 341,939   
  

 

 

 

Portfolio turnover rate

     20     2     41     133     90
  

 

 

 

 

  1   

Commencement of investment operations. This information includes the initial investment by BlackRock HoldCo2, Inc.

 

  2   

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.

 

  3   

Based on average shares outstanding.

 

  4   

Distributions for annual periods determined in accordance with federal income tax regulations.

 

  5   

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.

 

  6   

Aggregate total return.

 

  7   

Annualized.

 

See Notes to Financial Statements.

 

     ANNUAL REPORT    DECEMBER 31, 2015    119


Notes to Financial Statements     

 

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 Global Opportunities Equity Trust

       BOE           Delaware           Diversified   

BlackRock Health Sciences Trust

       BME           Delaware           Non-diversified   

BlackRock International Growth and Income Trust

       BGY           Delaware           Non-diversified   

BlackRock Resources & Commodities Strategy Trust.

       BCX           Delaware           Non-diversified   

BlackRock Science and Technology Trust

       BST           Delaware           Non-diversified   

BlackRock Utility and Infrastructure Trust.

       BUI           Delaware           Non-diversified   

The Boards of Directors/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 NAVs of their 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.

Reorganizations: The Board of BDJ, the Board and shareholders of BCX and the Board and shareholders of each of BlackRock Dividend Income Trust (BQY), BlackRock EcoSolutions Investment Trust (BQR) and BlackRock Real Asset Equity Trust (BCF) (individually a “Target Trust” and collectively the “Target Trusts”) approved separate plans of reorganization pursuant to which BDJ would acquire substantially all of the assets and assume substantially all of the liabilities of BQY in exchange for an equal aggregate value of newly issued shares of BDJ and BCX would acquire substantially all of the assets and assume substantially all of the liabilities of BQR and BCF in exchange for an equal aggregate value of newly issued shares of BCX in separate merger transactions.

Each shareholder of BQY received shares of BDJ in an amount equal to the aggregate NAV of such shareholder’s shares, as determined at the close of business on December 5, 2014 less the costs of the Target Trust’s reorganization. Cash was distributed for any fractional shares.

Each shareholder of BQR and BCF received shares of BCX in an amount equal to the aggregate NAV of such shareholder’s shares, as determined at the close of business on December 5, 2014 less the costs of the Target Trust’s reorganization. Cash was distributed for any fractional shares.

The reorganizations were accomplished by a tax-free exchange of shares of BDJ and BCX in the following amounts and at the following conversion ratios:

 

Target Trust    Shares Prior to
Reorganizations
     Conversion
Ratio
     Shares of
BDJ
 

BQY

     6,033,028         1.57393059         9,495,566   
        
Target Trusts    Shares Prior to
Reorganizations
     Conversion
Ratio
     Shares of
BCX
 

BQR

     12,564,457         0.73620796         9,250,050   

BCF

     57,173,280         0.75619994         43,234,424   

 

120    ANNUAL REPORT    DECEMBER 31, 2015     


Notes to Financial Statements (continued)     

 

Each Target Trust’s net assets and composition of net assets on December 5, 2014, the date of the reorganization, were as follows:

 

Target Trusts    Paid-In
Capital
     Distributions in
Excess of Net
Investment
Income
    Realized
Loss
    Net Unrealized
Appreciation
     Net Assets  

BQY

   $ 82,012,845       $ 74,388      $ (4,394,868   $ 10,788,969       $ 88,481,334   
            
Target Trusts    Paid-In
Capital
     Distributions in
Excess of Net
Investment
Income
    Realized
Loss
    Net Unrealized
Appreciation
     Net Assets  

BQR

   $ 163,163,281              $ (64,418,338   $ 11,883,961       $ 110,628,904   

BCF

   $ 581,405,775       $ (315,467   $ (112,655,107   $ 48,639,598       $ 517,074,799   

For financial reporting purposes, assets received and shares issued by BDJ and BCX were recorded at fair value. However, the cost basis of the investments being received from the respective Target Trusts were carried forward to align ongoing reporting of BDJ’s and BCX’s realized and unrealized gains and losses with amounts distributable to shareholders for tax purposes.

The net assets of BDJ and BCX before the acquisitions were $1,672,452,880 and $557,033,644, respectively.

The aggregate net assets of BDJ and BCX immediately after the acquisitions amounted to $1,760,934,213 and $1,184,737,348, respectively. Each Target Trust’s fair value and cost of investments prior to the reorganizations were as follows:

 

Target Trust    Fair Value
of Investments
     Cost
of Investments
 

BQY

   $ 88,510,430       $ 77,716,510   
     
Target Trust    Fair Value
of Investments
     Cost
of Investments
 

BQR

   $ 110,216,946       $ 98,315,757   

BCF

   $ 517,114,717       $ 468,473,614   

The purpose of these transactions was to combine five funds managed by the Manager with the same or substantially similar (but not identical) investment objectives, investment policies, strategies, risks and restrictions into two funds. Each reorganization was a tax-free event and was effective on December 8, 2014.

Assuming the acquisition had been completed on November 1, 2014 the beginning of the fiscal reporting period of BDJ, the pro forma results of operations for the period ended, December 31, 2014, are as follows:

 

 

Net investment income/loss: $6,739,981

 

 

Net realized and change in unrealized gain/loss on investments: $20,388,852

 

 

Net increase in net assets resulting from operations: $27,128,833

Assuming the acquisition had been completed on December 8, 2014 the beginning of the fiscal reporting period of BCX, the pro forma results of operations for the period ended, December 31, 2014, are as follows:

 

 

Net investment income/loss: $3,796,955

 

 

Net realized and change in unrealized gain/loss on investments: $(56,054,826)

 

 

Net increase in net assets resulting from operations: $(52,257,871)

Because the combined investment portfolios have been managed as a single integrated portfolio since the acquisition was completed, it is not practicable to separate the amounts of revenue and earnings of BQY, BQR and BCF that have been included in BDJ and BCX Statement of Operations since December 8, 2014.

 

     ANNUAL REPORT    DECEMBER 31, 2015    121


Notes to Financial Statements (continued)     

 

Reorganization costs incurred by BDJ and BCX in connection with their respective reorganizations were expensed by BCX and BDJ.

Basis of Consolidation: The accompanying consolidated financial statements of BCX include the accounts 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 satisfy regulated investment company tax requirements. BCX may invest up to 25% of its total assets in the Subsidiary. During the year ended December 31, 2015, there were no transactions in the Subsidiary. Intercompany accounts and transactions, if any, have been eliminated. 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 Trusts’ 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. The following is a summary of significant accounting policies.

Foreign Currency: The Trusts’ books and records are maintained in U.S. dollars. 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.

The Trusts do not isolate 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. The Trusts report 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 federal income tax purposes.

Segregation and Collateralization: In cases where a Trust enters into certain investments (e.g., financial futures contracts, options written and forward foreign currency exchange contracts), that would be treated as “senior securities” for 1940 Act purposes, such 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, a Trust 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.

Investment Transactions and Investment Income: 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 dates. Dividends from foreign securities where the ex-dividend date may have passed are subsequently recorded when Trust is 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, some 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 the accrual basis.

Distributions: Distributions paid by the Trusts are recorded on the ex-dividend date. Subject to each Trust’s level distribution plan, each Trust intends to make monthly distributions to shareholders, which may consist of net investment income, net options premium, net realized and unrealized gains on investments, and/or return of capital.

Portions of return of capital distributions under U.S. GAAP may be taxed at ordinary income rates.

The character of distributions is determined in accordance with 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. Realized net capital gains can be offset by capital losses carried forward from prior years. However, certain Trusts have capital loss carry-forwards from pre-2012 tax years that offset realized net capital gains but do not offset current and accumulated earnings and profits. Consequently, if distributions in any tax year are less than a Trust’s current earnings and profits but greater than net investment income and net realized capital gains (taxable income), distributions in excess of taxable income are not treated as non-taxable return of capital, but rather may be

 

122    ANNUAL REPORT    DECEMBER 31, 2015     


Notes to Financial Statements (continued)     

 

taxable to shareholders at ordinary income rates. Under certain circumstances, taxable excess distributions could be significant. See Note 8, Income Tax Information, for the tax character of each Trust’s distributions paid during the period.

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 the Trust’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 officer’s and trustees 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.

Indemnifications: In the normal course of business, the Trusts enter into contracts that contain a variety of representations that provide general indemnification. The Trust’s maximum exposure under these arrangements is unknown because it involves future potential claims against the 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 Trusts are prorated among those Trusts on the basis of relative net assets or other appropriate methods.

The Trusts have an arrangement with the custodian whereby fees may be reduced by credits earned on uninvested cash balances, which, if applicable, are shown as fees paid indirectly in the Statements of Operations. The custodian imposes fees on overdrawn cash balances, which can be offset by accumulated credits earned or may result in additional custody charges.

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 New York Stock Exchange (“NYSE”) (generally 4:00 p.m., Eastern time). 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 its financial instruments using independent dealers or pricing services under policies approved by the Board of Trustees of each Trust. 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 provide oversight of the pricing function for the Trusts for all financial instruments.

Fair Value Inputs and Methodologies: The following methods (or “techniques”) and inputs are used to establish the fair value of the each Trust’s assets and liabilities:

 

 

Equity investments traded on a recognized securities exchange are valued at the official close price each day, if available. For equity investments traded on more than one exchange, the official close 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 business on the NYSE. Occasionally, events affecting the values of such instruments may occur between the foreign market close and the close of business on the NYSE that may not be reflected in the computation of the Trust’s net assets. Each business day, the Trust’s 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 business on the NYSE, which follows the close of the local markets.

 

 

Investments in open-end registered investment companies are valued at net asset value (“NAV”) each business day.

 

 

The Trust values its investment in BlackRock Liquidity Series, LLC, Money Market Series (the “Money Market Series”) at fair value, which is ordinarily based upon its 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 will follow the parameters of investments by a money market fund that is subject to Rule 2a-7 under the 1940 Act. The Trusts may withdraw up to 25% of its investment daily, although the manager of the Money Market Series, in its sole discretion, may permit an investor to withdraw more than 25% on any one day.

 

 

Financial futures contracts traded on exchanges are valued at their last sale price.

 

     ANNUAL REPORT    DECEMBER 31, 2015    123


Notes to Financial Statements (continued)     

 

 

 

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 business on the NYSE. Forward foreign currency exchange contracts are valued at the mean between the bid and ask prices and are determined as of the close of business 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. Over-the-counter (“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 instruments, 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”). 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 consistent with the principles of fair value measurement, which include the market approach, income approach and/or in the case of recent investments, the cost approach, as appropriate. The market approach generally consists of using comparable market transactions. The income approach generally is used to discount future cash flows to present value and is adjusted for liquidity as appropriate. These factors include but are not limited to: (i) attributes specific to the investment or asset; (ii) the principal market for the investment or asset; (iii) the customary participants in the principal market for the investment or asset; (iv) data assumptions by market participants for the investment or asset, if reasonably available; (v) quoted prices for similar investments or assets in active markets; and (vi) other factors, such as future cash flows, interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, recovery rates, liquidation amounts and/or default rates. Due to the inherent uncertainty of valuations of such investments, the fair values may differ from the values that would have been used had an active market existed. 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.

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 is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments are typically categorized as Level 3. The fair value hierarchy for each Trust’s investments has been included in the Schedule of Investments.

Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. In accordance with the Trusts’ 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.

 

124    ANNUAL REPORT    DECEMBER 31, 2015     


Notes to Financial Statements (continued)     

 

4. Securities and Other Investments:

Preferred Stock: 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. 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. The 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 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 the 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 met 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:

 

BGR

                         
Counterparty    Securities Loaned
at Value
     Cash  Collateral
Received1
    Net
Amount
 

Deutsche Bank Securities, Inc.

   $ 887,881       $ (887,881       
                               

BOE

                         
Counterparty    Securities Loaned
at Value
     Cash Collateral
Received1
    Net
Amount
 

Goldman Sachs & Co.

   $ 425,337       $ (425,337       

BGY

                         
Counterparty    Securities Loaned
at Value
     Cash Collateral
Received1
    Net
Amount
 

UBS Securities LLC

   $ 2,533,580       $ (2,533,580       

Nomura Securities international, Inc.

     48,400         (48,400       

Total

   $ 2,581,980       $ (2,581,980       
  

 

 

 

 

     ANNUAL REPORT    DECEMBER 31, 2015    125


Notes to Financial Statements (continued)     

 

 

BCX

                         
Counterparty    Securities Loaned
at Value
     Cash  Collateral
Received1
    Net
Amount
 

SG Americas Securities LLC

   $ 29,062       $ (29,062       

BST

                         
Counterparty    Securities Loaned
at Value
     Cash Collateral
Received1
    Net
Amount
 

JP Morgan Securities LLC.

   $ 108,885       $ (108,885       

 

 

  1   

Collateral with a value of $944,554, $427,550, $2,751,247, $35,689 and $119,000 has been received in connection with securities lending agreements for BGR, BOE, BGY, BCX and BST, respectively. 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.

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. The Trusts could suffer 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 economically, their exposure to certain risks such as equity risk. These contracts may be transacted on an exchange or OTC.

Financial Futures Contracts: Certain Trusts invest in long and/or short positions in financial futures contracts and options on financial futures contracts to gain exposure to, or economically hedge against, changes in the value of equity securities (equity risk). Financial 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 at a specified date. Depending on the terms of the particular contract, financial futures contracts are settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash settlement amount on the settlement date.

Upon entering into a financial 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. Securities deposited as initial margin are designated on the Schedules of Investments and cash deposited, if any, is recorded on the Statements of Assets and Liabilities as cash pledged for financial futures contracts. 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 value of the contract. Such receipts or payments are known as variation margin. Variation margin is recorded by the Trusts as unrealized appreciation (depreciation) and, if applicable, as a receivable or payable for variation margin in the Statements of Assets and Liabilities.

When the contract is closed, the Trusts record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The use of financial futures contracts involves the risk of an imperfect correlation in the movements in the price of financial futures contracts, interest or foreign currency exchange rates and the underlying assets.

Forward Foreign Currency Exchange Contracts: Certain Trusts enter into forward foreign currency exchange contracts as an economic hedge against either specific transactions or portfolio instruments or to obtain exposure to, or hedge exposure away from, 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 future date. Forward foreign currency exchange contracts, when used by the Trusts, help to manage the overall exposure to the currencies in which some of the investments held by the Trusts are denominated. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The contract is marked-to-market daily and the change in market value is recorded by the Trusts as an unrealized gain or loss. When the contract is closed, the Trusts record a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed. 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.

Options: Certain Trusts purchase and write call and put options to increase or decrease their exposure to underlying instruments (including equity 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

 

126    ANNUAL REPORT    DECEMBER 31, 2015     


Notes to Financial Statements (continued)     

 

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. When the Trusts purchase (write) an option, an amount equal to the premium paid (received) by the Trusts is reflected as an asset (liability). The amount of the asset (liability) is subsequently marked-to-market to reflect the current market value of the option purchased (written). When an instrument is purchased or sold through an exercise of an option, the related premium paid (or received) is added to (or deducted from) the basis of the instrument acquired or deducted from (or added to) the proceeds of the instrument sold. When an option expires (or the Trusts enter into a closing transaction), the Trusts realize a gain or loss on the option to the extent of the premiums received or paid (or gain or loss 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 “covered,” meaning that the Trusts 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.

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 the Trusts 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 better define the Trusts’ 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, 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. In addition, certain ISDA Master Agreements allow counterparties to terminate derivative contracts prior to maturity in the event the Trusts’ net assets decline by a stated percentage or the Trusts fail to meet the terms of their ISDA Master Agreements. The result would cause the Trusts to accelerate payment of any net liability owed to the counterparty.

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 a Trust 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 party has to exceed a minimum transfer amount threshold (typically either $250,000 or $500,000) 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, a Trust’s 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, a Trust may pay interest pursuant to the collateral arrangement with the counterparty. To the extent amounts due to the Trusts from their counterparties are not fully collateralized, the Trusts 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, the Trusts 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 to 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 for 1940 Act purposes.

Each Trust entered into an Investment Advisory Agreement with BlackRock Advisors, LLC (the “Manager”), the Trusts’ investment advisor, an indirect, wholly owned subsidiary of BlackRock, to provide investment advisory and administration services. The Manager is responsible for the management of

 

     ANNUAL REPORT    DECEMBER 31, 2015    127


Notes to Financial Statements (continued)     

 

each Trust’s portfolio and provides the necessary personnel, facilities, equipment and certain other services to the operations of each Trust. For such services, each Trust 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

BCX

     1.00

BUI

     1.00
 

 

BST pays the Manager a monthly fee of 1.00% of its average daily managed assets. Managed assets are the total assets of the Trust (including any assets attributable to money borrowed for investment purposes) minus the sum of the Trust’s accrued liabilities (other than money borrowed for investment purposes).

The Manager has 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   

Effective July 1, 2015, the Manager has voluntarily agreed to waive a portion of its investment advisory fees on the following Trusts as a percentage of average daily net assets as follows:

 

BGR

     0.050

BDJ

     0.025

BOE

     0.050

BGY

     0.100

Prior to July 1, 2015, the Manager had voluntarily agreed to waive 0.05% of the investment advisory fees on BGY as a percentage of its average daily net assets.

These voluntary waivers may be reduced or discontinued at any time without notice.

For the year ended December 31, 2015, investment advisory fees waived which is included in fees waived by the Manager in the Statements of Operations were as follows:

 

BGR

   $ 121,210   

BDJ

   $ 207,534   

BOE

   $ 257,227   

BGY

   $ 613,033   

BST

   $ 885,533   

The Manager provides investment management and other services to the 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.

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. These amounts are included in fees waived by the Manager in the Statements of Operations. However, the Manager does not waive its investment advisory fees by the amount of investment advisory fees paid in connection with each Trust’s investment in other affiliated investment companies, if any. However, the Manager does not waive its investment advisory fees by the amount of

 

128    ANNUAL REPORT    DECEMBER 31, 2015     


Notes to Financial Statements (continued)     

 

investment advisory fees paid in connection with each Trust’s investment in other affiliated investment companies, if any. For the period ended December 31, 2015, the amounts waived pursuant to this arrangement were as follows:

 

BGR

   $ 9,560   

CII

   $ 17,996   

BDJ

   $ 17,074   

BOE

   $ 11,317   

BME

   $ 8,987   

BGY

   $ 28,199   

BCX

   $ 11,707   

BST

   $ 6,330   

BUI

   $ 8,324   

The Manager entered into separate sub-advisory agreements with BlackRock International Limited (“BIL”), an affiliate of the Manager, to serve as sub-advisor for BGR and BCX. The Manager pays BIL for services it provides to each Trust, a monthly fee that is a percentage of the investment advisory fees paid by each Trust to the Manager.

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 compensates 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 redistributed to broker-dealers engaged by BRIL. The commissions retained by BRIL during the period ended December 31, 2015 amounted to $20,882.

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 advisor to the private investment company will not charge any advisory fees with respect to shares purchased by the Trusts.

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 effective January 1, 2015, 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”).

Pursuant to such agreement, 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 — affiliated — net in the Statements of Operations. For the period ended December 31, 2015, each Trust paid BIM the following amounts for securities lending agent services:

 

BGR

   $ 48,018   

CII

   $ 2,523   

BDJ

   $ 9   

BOE

   $ 3,906   

BME

   $ 1,197   

BGY

   $ 8,555   

BCX

   $ 5,692   

BST

   $ 4,998   

BUI

   $ 1,411   

BUI recorded a payment from an affiliate to compensate for foregone securities lending revenue, which is shown as other income – affiliated in the Statements of Operations.

Certain officers and/or trustees of the Trusts are officers and/or trustees 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 officer and trustees in the Statements of Operations.

 

     ANNUAL REPORT    DECEMBER 31, 2015    129


Notes to Financial Statements (continued)     

 

The Trusts may purchase securities from, or sell securities to, an affiliated fund provided the affiliation is due solely to having a common investment advisor, common officers, or common trustees. For the period ended December 31, 2015, the purchase and sale transactions with an affiliated fund in compliance with Rule 17a-7 under the 1940 Act were as follows:

 

      Purchases      Sales  

CII

   $ 7,986,521       $ 17,172,283   

BOE

           $ 7,857,836   

BME

   $ 283,871       $ 497,623   

7. Purchases and Sales:

For the period ended December 31, 2015, purchases and sales of investments, excluding short-term securities, were as follows:

 

      Purchases      Sales  

BGR

   $ 301,132,625       $ 299,735,761   

CII

   $ 890,250,017       $ 940,518,266   

BDJ

   $ 432,091,791       $ 492,641,353   

BOE

   $ 748,690,709       $ 819,771,661   

BME

   $ 210,593,812       $ 255,265,710   

BGY

   $ 519,552,661       $ 576,854,177   

BCX

   $ 742,575,273       $ 754,602,008   

BST

   $ 415,462,936       $ 390,706,737   

BUI

   $ 68,799,370       $ 82,822,903   

8. Income Tax Information:

It is the Trusts’ 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 their taxable income to their shareholders. Therefore, no federal income tax provision is required.

The Trusts file 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 remains open for the year ended December 31, 2015, the period ended December 31, 2014 and each of the three years ended October 31, 2014 with the exception of BST and BUI. The statutes of limitations on BUI’s U.S. federal tax returns remains open for the year ended December 31, 2015, the period ended December 31, 2014, the two years ended October 31, 2014 and the period ended October 31, 2012. The statutes of limitations on BST’s U.S. federal tax returns remains open for the year ended December 31, 2015 and the period ended December 31, 2014. The statute 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 December 31, 2015, inclusive of the open tax years and does not believe there are any uncertain tax positions that require recognition of a tax liability in the Trusts’ financial statements.

US GAAP requires that certain components of net assets be adjusted to reflect permanent differences between financial and tax reporting. These reclassifications have no effect on net assets or net asset values per share. As of period end, the following permanent differences attributable to foreign currency transactions, the sale of stock of passive foreign investment companies, non-deductible expenses, the characterization of corporate actions, income recognized from investments in partnerships, the expiration of capital loss carryforwards and the accounting for real estate investment trusts were reclassified to the following accounts:

 

      BGR     CII     BDJ     BOE     BME  

Paid-in capital

                 $ (29,846,203   $ (27,549,574   $ (2,765,264

Undistributed (distributions in excess of) net investment income

   $ (194,876   $ 6,174,623      $ (79,725   $ 835,130      $ 4,868,431   

Accumulated net realized gain (loss)

   $ 194,876      $ (6,174,623   $ 29,925,928      $ 26,714,444      $ (2,103,167

 

      BGY     BCX     BST     BUI  

Paid-in capital

          $ (2,849,098          $ 138,554   

Undistributed (distributions in excess of) net investment income

   $ 1,135,194      $ 222,993      $ (72,717   $ (218,153

Accumulated net realized gain (loss)

   $ (1,135,194   $ 2,626,105      $ 72,717      $ 79,599   

 

 

130    ANNUAL REPORT    DECEMBER 31, 2015     


Notes to Financial Statements (continued)     

 

The tax character of distributions paid was as follows:

 

      BGR      CII      BDJ      BOE      BME  

Ordinary income

              

12/31/15

   $ 8,567,540       $ 6,318,821       $ 31,248,083       $ 18,801,869       $ 21,088,719   

12/31/14

   $ 20,473,130       $ 4,539,117       $ 6,490,341               $ 10,151,557   

10/31/14

   $ 44,116,137       $ 28,519,674       $ 29,340,373       $ 30,973,920       $ 16,767,193   

Long-term capital gains

              

12/31/15

           $ 46,626,859                       $ 32,647,617   

12/31/14

   $ 21,497,236                               $ 10,928,227   

10/31/14

   $ 82,539,116                               $ 13,009,161   

Tax return of capital

              

12/31/15

   $ 36,005,387               $ 74,655,369       $ 62,076,530           

12/31/14

           $ 4,285,163       $ 10,716,791       $ 13,959,167           

10/31/14

           $ 28,838,146       $ 79,569,763       $ 62,866,563           
  

 

 

 

Total

              

12/31/15

   $ 44,572,927       $ 52,945,680       $ 105,903,452       $ 80,878,399       $ 53,736,336   
  

 

 

 

12/31/14

   $ 41,970,366       $ 8,824,280       $ 17,207,132       $ 13,959,167       $ 21,079,784   
  

 

 

 

10/31/14

   $ 126,655,253       $ 57,357,820       $ 108,910,136       $ 93,840,483       $ 29,776,354   
  

 

 

 

 

      BGY      BCX      BST      BUI  

Ordinary income

           

12/31/15

   $ 12,357,754       $ 24,837,338       $ 748,679       $ 14,070,240   

12/31/14

           $ 2,386,991       $ 48,058       $ 1,712,370   

10/31/14

   $ 22,280,887       $ 14,352,994               $ 8,735,252   

Long-term capital gains

           

12/31/15

                           $ 2,129,355   

12/31/14

                               

10/31/14

                           $ 6,241,040   

Tax return of capital

           

12/31/15

   $ 52,315,941       $ 55,321,839       $ 26,260,431       $ 8,349,317   

12/31/14

   $ 11,548,874       $ 8,841,474       $ 2,202,701       $ 2,379,115   

10/31/14

   $ 57,741,812       $ 32,315,467               $ 11,593,002   
  

 

 

 

Total

           

12/31/15

   $ 64,673,695       $ 80,159,177       $ 27,009,110       $ 24,548,912   
  

 

 

 

12/31/14

   $ 11,548,874       $ 11,228,465       $ 2,250,759       $ 4,091,485   
  

 

 

 

10/31/14

   $ 80,022,699       $ 46,668,461               $ 26,569,294   
  

 

 

 

As of period end, the tax components of accumulated net earnings (losses) were as follows:

 

      BGR     CII     BDJ     BOE     BME  

Undistributed ordinary income

          $ 1,889                    $ 199,250   

Undistributed long-term capital gains

            1,824,455                      6,899,552   

Capital loss carryforwards

   $ (90,148,351     (7,402,495   $ (80,260,679   $ (38,148,041       

Net unrealized gains (losses)1

     (112,834,510     (17,242,521     254,880,412        87,990,024        93,243,295   

Qualified late-year losses2

     (14,981,074                   (2,593,413       
  

 

 

 

Total

   $ (217,963,935   $ (22,818,672   $ 174,619,733      $ 47,248,570      $ 100,342,097   
  

 

 

 

 

  1   

The difference between book-basis and tax-basis net unrealized gains (losses) was attributable primarily to the tax deferral of losses on wash sales and straddles, the realization for tax purposes of unrealized gains/losses on certain foreign currency contracts, the realization for tax purposes of unrealized gains on investments in passive foreign investment companies, the timing and recognition of partnership income, the characterization of corporate actions, and the deferral of compensation to Trustees.

 

  2   

The Trust has elected to defer certain qualified late-year losses and recognize such losses in the next taxable period.

 

     ANNUAL REPORT    DECEMBER 31, 2015    131


Notes to Financial Statements (continued)     

 

 

      BGY     BCX     BST     BUI  

Capital loss carryforwards

   $ (527,699,123   $ (355,720,427   $ (17,183,438       

Net unrealized gains (losses)1

     7,499,918        (200,602,112     67,179,342      $ 42,741,517   

Qualified late-year losses2

     (6,318,332     (2,928,032     (6,906,164     (1,189,909
  

 

 

 

Total

   $ (526,517,537   $ (559,250,571   $ 43,089,740      $ 41,551,608   
  

 

 

 

 

  1   

The difference between book-basis and tax-basis net unrealized gains (losses) was attributable primarily to the tax deferral of losses on wash sales and straddles, the realization for tax purposes of unrealized gains/losses on certain foreign currency contracts, the realization for tax purposes of unrealized gains on investments in passive foreign investment companies, the timing and recognition of partnership income, the characterization of corporate actions, and the deferral of compensation to Trustees.

 

  2   

The Trust has elected to defer certain qualified late-year losses and recognize such losses in the next taxable period.

As of period end, the Trusts had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates as follows:

 

Expires December 31,    BGR      CII      BDJ      BOE      BGY      BCX      BST  

No expiration date3

   $ 90,148,351               $ 10,263,758               $ 13,249,726       $ 351,265,582       $ 17,183,438   

2016

           $ 4,870,467         61,470,173       $ 38,148,041         458,843,935         2,659,644           

2017

             2,532,028         8,526,748                 55,605,462         1,795,201           
  

 

 

 

Total

   $ 90,148,351       $ 7,402,495       $ 80,260,679       $ 38,148,041       $ 527,699,123       $ 355,720,427       $ 17,183,438   
  

 

 

 

 

  3   

Must be utilized prior to losses subject to expiration.

During the year ended December 31, 2015, the Trusts listed below utilized the following amounts of their respective capital loss carryforward:

 

CII

     $77,134,401   

BDJ

     $21,337,943   

BOE

     $26,636,753   

BUI

     $     819,024   

As of period end, gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes were as follows:

 

      BGR     CII     BDJ     BOE     BME  

Tax cost

   $ 535,115,298      $ 688,835,574      $ 1,392,507,050      $ 905,386,360      $ 202,014,141   
  

 

 

 

Gross unrealized appreciation

   $ 5,347,748      $ 31,052,817      $ 288,337,522      $ 133,850,334      $ 97,402,717   

Gross unrealized depreciation

     (118,984,446     (48,607,739     (26,199,539     (41,197,023     (761,903
  

 

 

 

Net unrealized appreciation (depreciation)

   $ (113,636,698   $ (17,554,922   $ 262,137,983      $ 92,653,311      $ 96,640,814   
  

 

 

 

 

      BGY     BCX     BST     BUI  

Tax cost

   $ 749,068,325      $ 1,026,211,665      $ 378,183,803      $ 277,463,509   
  

 

 

 

Gross unrealized appreciation

   $ 64,458,051      $ 29,796,513      $ 77,609,510      $ 68,610,164   

Gross unrealized depreciation

     (46,716,105     (223,179,635     (10,194,033     (13,656,277
  

 

 

 

Net unrealized appreciation (depreciation)

   $ 17,741,946      $ (193,383,122   $ 67,415,477      $ 54,953,887   
  

 

 

 

9. Principal Risks:

In the normal course of business, the Trusts invest in securities and enter into transactions where risks exist due to fluctuations in the market (market risk) or failure of the issuer to meet all its obligations, including the ability to pay principal and interest when due (issuer credit risk). The value of securities held by the Trusts may decline in response to certain events, including those directly involving the issuers of securities owned by the Trusts. Changes arising from the general economy; the overall market and; local, regional or global political, or/and social or instability; as well as currency, interest rate and price fluctuations also affect the securities’ value.

 

132    ANNUAL REPORT    DECEMBER 31, 2015     


Notes to Financial Statements (continued)     

 

Counterparty Credit Risk: Similar to issuer 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 Trust’s 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.

The 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 the 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.

With exchange-traded options purchased, 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 options 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

Health Care

   BME

Information Technology

   BST

Materials

   BCX

Utilities.

   BUI

Financials

   BDJ, BGY

Changes in economic conditions affecting these sectors would have a greater impact on these Trusts and could affect the value, income and/or liquidity of positions in such securities.

BOE and BGY invest a substantial amount of their 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 their investment performance. Foreign issuers may not be subject to the same uniform accounting, auditing and financial reporting standards and practices as used in the U.S. Foreign securities markets may also be less liquid, more volatile, and less subject to governmental supervision not typically associated with investing in United States securities. Investment percentages in specific countries are presented in the Schedule of Investments.

As of period end, BOE’s and BGY’s investments had the following industry classifications:

 

Industry    BOE     BGY  

Banks

     9     14

Internet Software & Services

     9     2

Pharmaceuticals.

     7     11

Oil, Gas & Consumable Fuels

     6     4

Beverages

     4     6

Diversified Telecommunication Services.

     2     5

 

  *   All other industries held were each less than 5%.

 

     ANNUAL REPORT    DECEMBER 31, 2015    133


Notes to Financial Statements (continued)     

 

10. Capital Share Transactions:

There are an unlimited number of $0.001 par value common shares of beneficial interest authorized for each Trust, with the exception of CII. CII is authorized to issue 200 million shares of $0.10 par value shares, all of which were initially classified as Common Shares. The Board is authorized, however, to reclassify any unissued Common Shares to Preferred Shares without approval of Common Shareholders.

Prior to commencement of operations, organization costs associated with the establishment of BST were expensed by BST. Offering costs incurred in connection with the Trust’s offering of Common Shares have been charged against the proceeds from the initial Common Share offering in the amount of $795,000.

Transactions in common shares of beneficial interest during the period ended December 31, 2014 were as follows:

 

Trust    Commencement
of Investment
Operations
   Initial
Public
Offering
     Underwriters’
Exercising the
Over-allotment
Option
 

BST

   10/30/2014      21,007,592         1,500,000   

For the period shown, shares issued and outstanding increased by the following amounts as a result of reorganizations:

 

      Period Ended
December 31,
2014
 

BDJ

     9,495,566   

BCX

     52,484,474   

For the period shown, shares issued and outstanding increased by the following amounts as a result of shares issued through the Shelf Offering:

 

      Year Ended
December 31,
2015
 

BME

     252,980   

For the periods shown, shares issued and outstanding increased by the following amounts as a result of dividend reinvestments:

 

      Year Ended
December 31,
2015
     Period Ended
December 31,
2014
     Year Ended
October 31,
2014
 

BGR

     59,109                   

BME

     117,681         45,589         67,810   

For the period ended December 31, 2015, CII, BDJ, BOE, BGY, BCX, BST and BUI, for the period ended December 31, 2014, BGR, CII, BOE, BGY, and BUI and for the year ended October 31, 2014, BGR, CII, BDJ, BOE, BGY, BCX and BUI, shares issued and outstanding remained constant.

BME filed a final prospectus with the U.S. Securities and Exchange Commission (“SEC”) allowing it to issue an additional 453,000 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 net asset value (“NAV”) per Common Share (calculated within 48 hours of pricing). As of period end, 200,020 Common Shares remain available for issuance under the Shelf Offering. See Additional Information -Shelf Offering Program for additional information about the Shelf Offering.

Costs incurred by BME in connection with the Shelf Offering are recorded as a deferred charge and amortized over 12 months.

At December 31, 2015, 7,592 shares of BlackRock Science & Technology Fund (BST) were owned by affiliates.

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:

The Trusts paid a distribution on January 29, 2016 to shareholders of record on January 15, 2016 as follows:

 

134    ANNUAL REPORT    DECEMBER 31, 2015     


Notes to Financial Statements (concluded)     

 

 

      Common Dividend
Per Share
 

BGR

   $ 0.11000   

CII

   $ 0.10000   

BDJ

   $ 0.04670   

BOE

   $ 0.09700   

BME

   $ 0.20000   

BGY

   $ 0.04900   

BCX

   $ 0.06550   

BST

   $ 0.10000   

BUI

   $ 0.12100   

Additionally, certain Trusts declared a distribution in the following amounts per share on February 1, 2016 payable to shareholders of record on February 16, 2016 as follows:

 

      Common Dividend
Per Share
 

BGR

   $ 0.11000   

CII

   $ 0.10000   

BDJ

   $ 0.04670   

BOE

   $ 0.09700   

BME

   $ 0.20000   

BGY

   $ 0.04900   

BCX

   $ 0.06550   

BST

   $ 0.10000   

BUI

   $ 0.12100   

 

     ANNUAL REPORT    DECEMBER 31, 2015    135


Report of Independent Registered Public Accounting Firm     

 

To the Board of Trustees and Shareholders of BlackRock Energy and Resources Trust, BlackRock Enhanced Equity Dividend Trust, BlackRock Global Opportunities Equity Trust, BlackRock Health Sciences Trust, BlackRock International Growth and Income Trust, BlackRock Resources & Commodities Strategy Trust, BlackRock Science and Technology Trust, BlackRock Utility and Infrastructure Trust, and the Board of Directors and Shareholder of BlackRock Enhanced Capital and Income Fund, Inc.:

We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of BlackRock Energy and Resources Trust, BlackRock Enhanced Capital and Income Fund, Inc., BlackRock Enhanced Equity Dividend Trust, BlackRock Global Opportunities Equity Trust, BlackRock Health Sciences Trust, BlackRock International Growth and Income Trust, BlackRock Science and Technology Trust and BlackRock Utility and Infrastructure Trust, as of December 31, 2015, and the related statements of operations and cash flows for the year then ended, the statements of changes in net assets for each of the periods presented, and the financial highlights for each of the periods presented. We have also audited the consolidated statement of assets and liabilities, including the consolidated schedule of investments of BlackRock Resources & Commodities Strategy Trust (collectively with BlackRock Energy and Resources trust, BlackRock Enhanced Capital and Income Fund, Inc., BlackRock Enhanced Equity Dividend Trust, BlackRock Global Opportunities Equity Trust, BlackRock Health Sciences Trust, BlackRock International Growth and Income Trust, BlackRock Science and Technology Trust and BlackRock Utility and Infrastructure Trust, the “Trusts”), as of December 31, 2015, and the related consolidated statements of operations and cash flows for the period then ended, the consolidated statements of changes in net assets for each of the periods presented and the consolidated financial highlights for each of the periods presented. These financial statements and financial highlights are the responsibility of the Trusts’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Trusts are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Trusts’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2015, by correspondence with the custodian and brokers; where replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, such financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the BlackRock Energy and Resources Trust, BlackRock Enhanced Capital and Income Fund, Inc., BlackRock Enhanced Equity Dividend Trust, BlackRock Global Opportunities Equity Trust, BlackRock Health Sciences Trust, BlackRock International Growth and Income Trust, BlackRock Science and Technology Trust and BlackRock Utility and Infrastructure as of December 31, 2015, the results of their operations and cash flows for the year then ended, the changes in their net assets for each of the periods presented, and the financial highlights for each of the periods presented, and the consolidated financial position of BlackRock Resources & Commodities Strategy Trust as of December 31, 2015, the consolidated results of its operations and the cash flows for the year then ended, the consolidated changes in net assets for each of the periods presented, and the consolidated financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America.

Deloitte & Touche LLP

Philadelphia, Pennsylvania

February 24, 2016

 

136    ANNUAL REPORT    DECEMBER 31, 2015     


Important Tax Information (Unaudited)     

 

During the taxable period ended December 31, 2015, the following information is provided with respect to the distributions paid by the Trusts:

 

      Payable Date    Long-Term
Capital  Gains
    Non-Taxable
Return of
Capital
    Qualified
Dividend
Income for
Individuals1
    Dividends
Qualifying for
the Dividends
Received
Deduction for
Corporations1
    Short-Term
Capital  Gain
Dividends for
Non-U.S.
Residents2
    Foreign
Source
Income
    Foreign
Taxes
Paid3
 

BGR

   01/30/15 - 12/31/15             79.82     20.18     18.65                     
   02/27/15 - 12/31/15             80.87     19.13     17.76                     

CII

   01/30/15 - 12/31/15      88.07            11.93     11.93                     

BDJ

   01/30/15 - 12/31/15             70.50     29.50     29.50                     

BOE

   01/30/15 - 12/31/15             76.75     19.61     7.92                     

BME

   01/30/15 - 04/30/15      50.27            8.84     7.48     49.73              
   05/29/15      55.70            7.48     6.10     39.45              
   06/30/15 - 12/31/15      62.04            5.88     4.48     27.42              

BGY

   01/30/15 - 12/31/15             80.89     19.60     0.71            13.24     2.15

BCX

   01/30/15 - 12/31/15             69.03     30.97     13.86                     

BST

   01/30/15 - 12/31/15             97.23     2.77     2.77                     

BUI

   01/30/15 - 12/31/15      8.67     34.01     30.87     22.21     28.41              

 

  1   

The Trusts hereby designate the percentages indicated above to the maximum amount allowable by law.

 

  2   

Represents the portion of the dividends eligible for exemption from U.S. withholding tax for nonresident aliens and foreign corporations.

 

  3   

The foreign taxes paid represent taxes incurred by the Trust on interest received from foreign sources. Foreign taxes paid may be included in taxable income with an offsetting deduction from gross income or may be taken as a credit for taxes paid to foreign governments. You should consult your tax advisor regarding the appropriate treatment of foreign taxes paid.

 

     ANNUAL REPORT    DECEMBER 31, 2015    137


Automatic Dividend Reinvestment Plans     

 

Pursuant to each Trust’s Dividend Reinvestment Plan (the “Reinvestment Plan”), Common Shareholders are automatically enrolled, to have all distributions of dividends and capital gains reinvested by Computershare Trust Company, N.A. (the “Reinvestment Plan Agent”) in the respective Trust’s shares pursuant to the Reinvestment Plan. Shareholders who do not participate in the Reinvestment Plan will receive all distributions in cash paid by check and mailed directly to the shareholders of record (or if the shares are held in street or other nominee name, then to the nominee) by the Reinvestment Plan Agent, which serves as agent for the shareholders in administering the Reinvestment Plan.

After the Trusts declare a dividend or determines to make a capital gain distribution, the Reinvestment Plan Agent will acquire shares for the participants’ account, depending upon the following circumstances, either (i) through receipt of unissued but authorized shares from the Trust (“newly issued shares”) or (ii) by purchase of outstanding shares on the open market, on a Trust’s primary exchange (“open market purchases”). If, on the dividend payment date, the net asset value per share (“NAV”) is equal to or less than the market price per share plus estimated brokerage commissions (such condition being referred to herein as “market premium”), the Reinvestment Plan Agent will invest the dividend amount in newly issued shares acquired on behalf of the participants. The number of newly issued shares to be credited to each participant’s account will be determined by dividing the dollar amount of the dividend by the NAV on the date the shares are issued. However, if the NAV is less than 95% of the market price on the dividend payment date, the dollar amount of the dividend will be divided by 95% of the market price on the dividend payment date. If, on the dividend payment date, the NAV is greater than the market price per share plus estimated brokerage commissions (such condition being referred to herein as “market discount”), the Reinvestment Plan Agent will invest the dividend amount in shares acquired on behalf of the participants in open-market purchases. If the Reinvestment Plan Agent is unable to invest the full dividend amount in open market purchases, or if the market discount shifts to a market premium during the purchase period, the Reinvestment Plan Agent will invest any un-invested portion in newly issued shares. Investments in newly issued shares made in this manner would be made pursuant to the same process described above and the date of issue for such newly issued shares will substitute for the dividend payment date.

Participation in the Reinvestment Plan is completely voluntary and may be terminated or resumed at any time without penalty by notice if received and processed by the Reinvestment Plan Agent prior to the dividend record date. Additionally, the Reinvestment Plan Agent seeks to process notices received after the record date but prior to the payable date and such notices often will become effective by the payable date. Where late notices are not processed by the applicable payable date, such termination or resumption will be effective with respect to any subsequently declared dividend or other distribution.

The Reinvestment Plan Agent’s fees for the handling of the reinvestment of all distributions will be paid by each Trust. However, each participant will pay a pro rata share of brokerage commissions incurred with respect to the Reinvestment Plan Agent’s open market purchases in connection with the reinvestment of all distributions. The automatic reinvestment of all distributions will not relieve participants of any federal income tax that may be payable on such dividends or distributions.

Each Trust reserves the right to amend or terminate the Reinvestment Plan. There is no direct service charge to participants in the Reinvestment Plan; however, each Trust reserves the right to amend the Reinvestment Plan to include a service charge payable by the participants. Participants that request a sale of shares are subject to a $0.02 per share sold brokerage commission. All correspondence concerning the Reinvestment Plan should be directed to Computershare Trust Company, N.A. through the internet at http://www.computershare.com/blackrock, or in writing to Computershare, P.O. Box 30170, College Station, TX 77842-3170, Telephone: (800) 699-1236. Overnight correspondence should be directed to the Reinvestment Plan Agent at Computershare, 211 Quality Circle, Suite 210, College Station, TX 77845.

 

138    ANNUAL REPORT    DECEMBER 31, 2015     


Officers and Trustees     

 

 

Name, Address1,

and Year of Birth

 

Position(s)
Held with

the Trusts

 

Length

of Time
Served as

a Trustee3

   Principal Occupation(s) During Past Five Years   Number of BlackRock-
Advised Registered
Investment Companies
(“RICs”) Consisting of
Investment Portfolios
(“Portfolios”) Overseen
  Public
Directorships
Independent Trustees2                     

Richard E. Cavanagh

1946

  Chairman of the Board and Trustee  

Since

2007

   Trustee, Aircraft Finance Trust from 1999 to 2009; Director, The Guardian Life Insurance Company of America since 1998; Director, Arch Chemical (chemical and allied products) from 1999 to 2011; Trustee, Educational Testing Service from 1997 to 2009 and Chairman thereof from 2005 to 2009; Senior Advisor, The Fremont Group since 2008 and Director thereof since 1996; Faculty Member/Adjunct Lecturer, Harvard University since 2007; President and Chief Executive Officer, The Conference Board, Inc. (global business research organization) from 1995 to 2007.  

75 RICs consisting of

75 Portfolios

  None

Karen P. Robards

1950

  Vice Chairperson of the Board, Chairperson of the Audit Committee and Trustee  

Since

2007

   Partner of Robards & Company, LLC (financial advisory firm) since 1987; Co-founder and Director of the Cooke Center for Learning and Development (a not-for-profit organization) since 1987; Director of Care Investment Trust, Inc. (health care real estate investment trust) from 2007 to 2010; Investment Banker at Morgan Stanley from 1976 to 1987.  

75 RICs consisting of

75 Portfolios

  AtriCure, Inc. (medical devices); Greenhill & Co., Inc.

Michael J. Castellano

1946

  Trustee and Member of the Audit Committee  

Since

2011

   Chief Financial Officer of Lazard Group LLC from 2001 to 2011; Chief Financial Officer of Lazard Ltd from 2004 to 2011; Director, Support Our Aging Religious (non-profit) from 2009 to June 2015; Director, National Advisory Board of Church Management at Villanova University since 2010; Trustee, Domestic Church Media Foundation since 2012 ; Director, CircleBlack Inc. (financial technology company). since 2015.  

75 RICs consisting of

75 Portfolios

  None

Frank J. Fabozzi4

1948

  Trustee and Member of the Audit Committee  

Since

2007

   Editor of and Consultant for The Journal of Portfolio Management since 2006; Professor of Finance, EDHEC Business School since 2011; Visiting Professor, Princeton University from 2013 to 2014; Professor in the Practice of Finance and Becton Fellow, Yale University School of Management from 2006 to 2011  

108 RICs consisting of

230 Portfolios

  None

Kathleen F. Feldstein

1941

  Trustee  

Since

2007

   President of Economics Studies, Inc. (private economic consulting firm) since 1987; Chair, Board of Trustees, McLean Hospital from 2000 to 2008 and Trustee Emeritus thereof since 2008; Member of the Board of Partners Community Healthcare, Inc. from 2005 to 2009; Member of the Corporation of Partners HealthCare since 1995; Trustee, Museum of Fine Arts, Boston since 1992; Member of the Visiting Committee to the Harvard University Art Museum since 2003; Director, Catholic Charities of Boston since 2009.  

75 RICs consisting of

75 Portfolios

  The McClatchy Company (publishing)

James T. Flynn2

1939

  Trustee and Member of the Audit Committee  

Since

2007

   Chief Financial Officer of JPMorgan & Co., Inc. from 1990 to 1995.   75 RICs consisting of 75 Portfolios   None

Jerrold B. Harris

1942

  Trustee  

Since

2007

   Trustee, Ursinus College from 2000 to 2012; Director, Waterfowl Chesapeake (conservation) since 2014; Director, Ducks Unlimited, Inc. (conservation) since 2013 ; Director, Troemner LLC (scientific equipment) since 2000; Director of Delta Waterfowl Foundation from 2010 to 2012; President and Chief Executive Officer, VWR Scientific Products Corporation from 1990 to 1999.  

75 RICs consisting of

75 Portfolios

  BlackRock Capital Corp. (business development company)

R. Glenn Hubbard

1958

  Trustee  

Since

2007

   Dean, Columbia Business School since 2004; Faculty member, Columbia Business School since 1988.  

75 RICs consisting of

75 Portfolios

  ADP (data and information services), Metropolitan Life Insurance Company (insurance)

 

     ANNUAL REPORT    DECEMBER 31, 2015    139


Officers and Trustees (continued)     

 

Name, Address1,

and Year of Birth

  Position(s)
Held with the
Trusts
 

Length

of Time
Served as

a Trustee3

   Principal Occupation(s) During Past Five Years   Number of BlackRock-
Advised Registered
Investment Companies
(“RICs”) Consisting of
Investment Portfolios
(“Portfolios”) Overseen
  Public
Directorships
Independent Trustees2 (concluded)    

W. Carl Kester

1951

  Trustee and Member of the Audit Committee  

Since

2007

   George Fisher Baker Jr. Professor of Business Administration, Harvard Business School since 2008, Deputy Dean for Academic Affairs from 2006 to 2010, Chairman of the Finance Unit, from 2005 to 2006, Senior Associate Dean and Chairman of the MBA Program from 1999 to 2005; Member of the faculty of Harvard Business School since 1981.  

75 RICs consisting of

75 Portfolios

  None
 

1    The address of each Trustee is c/o BlackRock, Inc., Park Avenue Plaza, 55 East 52nd Street, New York, NY 10055.

2    Independent Trustees serve until their resignation, retirement, removal or death, or until December 31 of the year in which they turn 74. The maximum age limitation may be waived as to any Trustee by action of a majority of the Trustees upon finding of good cause thereof. The Board has unanimously approved further extending the mandatory retirement age for Mr. James T. Flynn until December 31, 2015 which the Board believes is in the best interest of shareholders.

3    Date shown is the earliest date a person has served for the Trusts covered by this annual report. Following the combination of Merrill Lynch Investment Managers, L.P. (“MLIM”) and BlackRock, Inc. (“BlackRock”) in September 2006, the various legacy MLIM and legacy BlackRock fund boards were realigned and consolidated into three new fund boards in 2007. As a result, although the chart shows certain Trustees as joining the Trust’s board in 2007, those Trustees first became members of the boards of other legacy MLIM or legacy BlackRock funds as follows: Richard E. Cavanagh, 1994; Frank J. Fabozzi, 1988; Kathleen F. Feldstein, 2005; James T. Flynn, 1996; Jerrold B. Harris, 1999; R. Glenn Hubbard, 2004; W. Carl Kester, 1995 and Karen P. Robards, 1998.

4    For purposes of this chart, “RICs” refers to investment companies registered under the 1940 Act and “Portfolios” refers to the investment programs of the BlackRock-advised funds. The Closed-End Complex is comprised of 76 RICs. Mr. Perlowski, Dr. Fabozzi and Ms. Novick are also board members of certain complexes of BlackRock registered open-end funds. Mr. Perlowski is also a board member of the BlackRock Equity-Bond Complex and the BlackRock Equity-Liquidity Complex, and Ms. Novick and Dr. Fabozzi are also board members of the BlackRock Equity-Liquidity Complex.

Interested Trustees5    

Barbara G. Novick

1960

  Trustee  

Since

2015

   Vice Chairman of BlackRock since 2006; Chair of BlackRock’s Government Relations Steering Committee since 2009; Head of the Global Client Group of BlackRock from 1988 to 2008.  

108 RICs consisting of

230 Portfolios

  None

John M. Perlowski

1964

  Trustee, President and Chief Executive Officer   Since 2015 (Trustee); Since 2011 (President and Chief Executive Officer)    Managing Director of BlackRock since 2009; Head of BlackRock Global Fund Services since 2009; Managing Director and Chief Operating Officer of the Global Product Group at Goldman Sachs Asset Management, L.P. from 2003 to 2009; Treasurer of Goldman Sachs Mutual Funds from 2003 to 2009 and Senior Vice President thereof from 2007 to 2009; Director of Goldman Sachs Offshore Funds from 2002 to 2009; Director of Family Resource Network (charitable foundation) since 2009.  

136 RICs consisting of

328 Portfolios

  None
 

5   Mr. Perlowski and Ms. Novick are both “interested persons,” as defined in the 1940 Act, of the Trust based on their positions with BlackRock and its affiliate. Mr. Perlowski and Ms. Novick are also board members of certain complexes of BlackRock registered open-end funds. Mr. Perlowski is also a board member of the BlackRock Equity-Bond Complex and the BlackRock Equity-Liquidity Complex, and Ms. Novick is a board member of the BlackRock Equity-Liquidity Complex. Interested Trustees serve until their resignation, removal or death, or until December 31 of the year in which they turn 72. The maximum age limitation may be waived as to any Trustee by action of a majority of the Trustees upon a finding of good cause therefor.

 

 

140    ANNUAL REPORT    DECEMBER 31, 2015     


Officers and Trustees (continued)     

 

 

Name, Address1,

and Year of Birth

 

Position(s)
Held with

the Trusts

 

Length

of Time
Served as

a Trustee

   Principal Occupation(s) During Past Five Years
Officers2             

John M. Perlowski

1964

  Trustee, President and Chief Executive Officer   Since 2015 (Trustee); Since 2011 (President and Chief Executive Officer)    Managing Director of BlackRock since 2009; Head of BlackRock Global Fund Services since 2009; Managing Director and Chief Operating Officer of the Global Product Group at Goldman Sachs Asset Management, L.P. from 2003 to 2009; Treasurer of Goldman Sachs Mutual Funds from 2003 to 2009 and Senior Vice President thereof from 2007 to 2009; Director of Goldman Sachs Offshore Funds from 2002 to 2009; Director of Family Resource Network (charitable foundation) since 2009.

Jonathan Diorio

1980

  Vice President  

Since

2015

   Managing Director of BlackRock, Inc. since 2015; Director of BlackRock, Inc. from 2011 to 2015; Director of Deutsche Asset & Wealth Management from 2009 to 2011.

Neal Andrews

1966

  Chief Financial Officer  

Since

2007

   Managing Director of BlackRock since 2006; Senior Vice President and Line of Business Head of Fund Accounting and Administration at PNC Global Investment Servicing (U.S.) Inc. from 1992 to 2006.

Jay Fife

1970

  Treasurer  

Since

2007

   Managing Director of BlackRock since 2007; Director of BlackRock in 2006; Assistant Treasurer of the MLIM and Fund Asset Management, L.P. advised funds from 2005 to 2006; Director of MLIM Fund Services Group from 2001 to 2006.

Charles Park

1967

  Chief Compliance Officer  

Since

2014

   Chief Compliance Officer of BlackRock Advisors, LLC and the BlackRock-advised Funds in the Equity-Bond Complex, the Equity-Liquidity Complex and the Closed-End Complex since 2014; Principal of and Chief Compliance Officer for iShares® Delaware Trust Sponsor LLC since 2012 and BlackRock Fund Advisors (“BFA”) since 2006; Chief Compliance Officer for the BFA-advised iShares exchange traded funds since 2006; Chief Compliance Officer for BlackRock Asset Management International Inc. since 2012.

Janey Ahn

1975

  Secretary  

Since

2012

   Director of BlackRock since 2009; Vice President of BlackRock from 2008 to 2009; Assistant Secretary of the Trusts from 2008 to 2012.
 

1   The address of each Officer is c/o BlackRock, Inc., Park Avenue Plaza, 55 East 52nd Street, New York, NY 10055.

 

2   Officers of the Trusts serve at the pleasure of the Board.

 

Effective September 18, 2015, Robert W. Crothers resigned as a Vice President of the Trusts and Jonathan Diorio became a Vice President of the Trusts.

Effective December 31, 2015, Kathleen F. Feldstein and James T. Flynn retired as Trustees of the Trusts.

 

     ANNUAL REPORT    DECEMBER 31, 2015    141


Officers and Trustees (concluded)     

 

Investment Advisor   Custodians
BlackRock Advisors, LLC   The Bank of New York Mellon
Wilmington, DE 19809   New York, NY 102862
 
Sub-Advisors  
BlackRock International LTD.1   Brown Brothers, Harriman & Co.
Edinburgh, EH3 8JB   Boston, MA 021093
United Kingdom  
 
Accounting Agent   Transfer Agent
The Bank of New York Mellon   Computershare Trust Company, N.A.
Brooklyn, NY 11217   Canton, MA 02021
 
  Independent Registered Public Accounting Firm
  Deloitte & Touche LLP
  Philadelphia, PA 19103
 
  Distributor
  BlackRock Investments, LLC4
  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

 

  1   

For BGR and BCX.

 

  2   

For all Trusts except CII.

 

  3   

For CII.

 

  4   

For BME.

 

Effective November 2, 2015, Alastair Bishop became a portfolio manager of BGR. Effective December 31, 2015, Robin Batchelor ceased being a portfolio manager of BGR. The other portfolio managers of BGR are Kyle McClements, Chris Accettella and Poppy Allonby.

Effective February 23, 2015, Peter Stournaras became a portfolio manager of CII. The other portfolio managers of CII are Kyle McClements and Christopher Accettella.

Effective December 31, 2015, Kathleen Anderson ceased being a portfolio manager of BDJ. The other portfolio managers of BDJ are Robert Shearer, Kyle McClements, Chris Accettella and Tony DeSpirito.

Effective February 5, 2015, Simon McGeough became a portfolio manager of BGY and BOE. The other portfolio managers of BGY and BOE are Thomas Callan, Kyle McClements, Christopher Accettella, Ian Jamieson and Erin Xie.

Effective December 1, 2015, Skye Macpherson became a portfolio manager and Desmond Chung ceased being a portfolio manager of BCX. The other portfolio managers of BCX are Kyle McClements, Christopher Accettella, Joshua Freedman and Thomas Holl.

Effective December 31, 2015, Tony DeSpirito became a portfolio manager and Kathleen Anderson ceased being a portfolio manager of BUI. The other portfolio managers of BUI are Robert Shearer, Kyle McClements and Christopher Accettella.

 

142    ANNUAL REPORT    DECEMBER 31, 2015     


Additional Information     

 

Proxy Results

The Annual Meeting of Shareholders was held on July 29, 2015 for shareholders of record on June 1, 2015, to elect trustee nominees for each Trust except for CII. There were no broker non-votes with regard to any of the Trusts.

Approved the Trustees as follows:

 

      Frank J. Fabozzi1      James T. Flynn1      Barbara G. Novick2  
      Votes For      Votes Withheld      Abstain      Votes For      Votes Withheld      Abstain      Votes For      Votes Withheld      Abstain  

BDJ

     166,239,726         7,989,429         0         166,028,152         8,201,003         0         166,487,738         7,741,417         0   

BGR

     25,207,234         624,455         0         25,175,307         656,382         0         25,219,069         612,620         0   

BOE

     59,904,099         2,621,445         0         59,857,124         2,668,420         0         59,894,733         2,630,811         0   

BME

     7,112,601         92,957         0         7,094,465         111,094         0         7,080,176         125,382         0   

BGY

     97,709,677         2,904,955         0         97,639,353         2,975,279         0         97,611,539         3,003,093         0   

BCX

     86,680,897         5,396,680         0         86,661,339         5,416,238         0         86,657,844         5,419,733         0   

BUI

     14,812,750         330,822         0         14,805,757         337,815         0         14,825,116         318,456         0   

BST

     20,120,489         619,868         0         20,134,231         606,126         0         20,142,565         597,792         0   

 

      John M. Perlowski3      Karen P. Robards1  
      Votes For      Votes Withheld      Abstain      Votes For      Votes Withheld      Abstain  

BDJ

     166,357,579         7,871,576         0         166,408,669         7,820,486         0   

BGR

     25,239,657         592,032         0         25,177,059         654,630         0   

BOE

     59,900,401         2,625,143         0         59,896,280         2,629,264         0   

BME

     7,108,003         97,555         0         7,103,537         102,022         0   

BGY

     97,697,840         2,916,792         0         97,657,422         2,957,210         0   

BCX

     86,696,917         5,380,660         0         86,667,414         5,410,163         0   

BUI

     14,793,444         350,128         0         14,785,832         357,740         0   

BST

     20,134,718         605,639         0         20,139,117         601,240         0   

For the Trusts listed above, Trustees whose term of office continued after the Annual Meeting of Shareholders because they were not up for election are Michael J. Castellano, Richard E. Cavanagh, Kathleen F. Feldstein, Jerrold B. Harris, R. Glenn Hubbard and W. Carl Kester.

 

1 

Class II.

2 

Class III.

3 

Class I.

The Annual Meeting of Shareholders was held on July 29, 2015 for shareholders of record on June 1, 2015, to elect trustee nominees for CII. There were no broker non-votes with regard to the Trust.

Approved the Trustees as follows for CII only:

 

        Votes For        Votes Withheld      Abstain  

Michael J. Castellano

       40,072,938         1,040,455        0   

Richard E. Cavanagh

       40,047,116         1,066,277        0   

Frank J. Fabozzi

       39,998,055         1,115,338        0   

Kathleen F. Feldstein

       39,950,440         1,162,953        0   

James T. Flynn

       39,929,155         1,184,238        0   

Jerrold B. Harris.

       40,018,016         1,095,377        0   

R. Glenn Hubbard.

       40,019,127         1,094,266        0   

W. Carl Kester

       40,077,096         1,036,297        0   

Barbara G. Novick

       40,039,178         1,074,215        0   

John M. Perlowski

       40,094,509         1,018,884        0   

Karen P. Robards

       40,034,902         1,078,491        0   

 

Trust Certification

All Trusts are listed for trading on the NYSE. All Trusts have filed with the relevant exchange their annual chief executive officer certification regarding compliance with such exchange’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.

 

     ANNUAL REPORT    DECEMBER 31, 2015    143


Additional Information (continued)     

 

 

General Information

The Trusts, except for BME, do not make available copies of their Statements of Additional Information because the Trusts’ shares are not continuously offered, which means that the Statements of Additional Information of each Trust, except for BME, have not been updated after completion of the respective Trust’s offerings and the information contained in each Trust’s Statement of Additional Information may have become outdated.

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. Other than as described on page 142, there have been no changes in the persons who are primarily responsible for the day-to-day management of the Trusts’ portfolios.

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. 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.

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 Advisors, Banks or Brokerages:

Please contact your financial advisor. Please note that not all investment advisors, banks or brokerages may offer this service.

Householding

The Trusts will mail only one copy of shareholder documents, including 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 at (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, DC. Information on 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 (1) without charge, upon request, by calling (800) 882-0052; (2) at http://www.blackrock.com; and (3) on the SEC’ 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. Investors and others are advised to periodically 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.

 

144    ANNUAL REPORT    DECEMBER 31, 2015     


Additional Information (concluded)     

 

 

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 filed a final prospectus with the SEC in connection with its Shelf Offerings, which was declared effective on August 11, 2015. This report and the prospectus are not offers to sell BME Common Shares or solicitations to buy BME Common Shares in any jurisdiction where such offers or sales are not permitted. The prospectus contains important information about BME, including its investment objectives, risks, charges and expenses. Investors are urged to read the prospectus of BME carefully and in its entirety before investing. A copy 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 dividends 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 dividend 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. Dividend 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.

 

     ANNUAL REPORT    DECEMBER 31, 2015    145


 

 

 

 

 

 

 

This report is intended for existing current holders. It is not a prospectus. Past performance results shown in this report should not be considered a representation of future performance. The Trusts have leveraged their Common Shares, which creates risks for Common Shareholders, including the likelihood of greater volatility of net asset value and market price of the Common Shares, and the risk that fluctuations in short-term interest rates may reduce the Common Shares’ yield. Statements and other information herein are as dated and are subject to change.

 

LOGO

CEF-BK9-12/15-AR

   LOGO

 


Item 2 –    Code of Ethics – The registrant (or the “Fund”) has adopted a code of ethics, as of the end of the period covered by this report, applicable to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions. During the period covered by this report, the code of ethics was amended to update certain information and to make other non-material changes. During the period covered by this report, there have been no waivers granted under the code of ethics. The registrant undertakes to provide a copy of the code of ethics to any person upon request, without charge, by calling 1-800-882-0052, option 4.
Item 3 –    Audit Committee Financial Expert – The registrant’s board of directors (the “board of directors”), has determined that (i) the registrant has the following audit committee financial experts serving on its audit committee and (ii) each audit committee financial expert is independent:
   Michael Castellano
   Frank J. Fabozzi
   James T. Flynn
   W. Carl Kester
   Karen P. Robards
   The registrant’s board of directors has determined that W. Carl Kester and Karen P. Robards qualify as financial experts pursuant to Item 3(c)(4) of Form N-CSR.
   Prof. Kester has a thorough understanding of generally accepted accounting principles, financial statements and internal control over financial reporting as well as audit committee functions. Prof. Kester has been involved in providing valuation and other financial consulting services to corporate clients since 1978. Prof. Kester’s financial consulting services present a breadth and level of complexity of accounting issues that are generally comparable to the breadth and complexity of issues that can reasonably be expected to be raised by the registrant’s financial statements.
   Ms. Robards has a thorough understanding of generally accepted accounting principles, financial statements and internal control over financial reporting as well as audit committee functions. Ms. Robards has been President of Robards & Company, a financial advisory firm, since 1987. Ms. Robards was formerly an investment banker for more than 10 years where she was responsible for evaluating and assessing the performance of companies based on their financial results. Ms. Robards has over 30 years of experience analyzing financial statements. She also is a member of the audit committee of one publicly held company and a non-profit organization.
   Under applicable securities laws, a person determined to be an audit committee financial expert will not be deemed an “expert” for any purpose, including without limitation for the purposes of Section 11 of the Securities Act of 1933, as a result of being designated or identified as an audit committee financial expert. The designation or identification as an audit committee financial expert does not impose on such person any duties, obligations, or liabilities greater than the duties, obligations, and liabilities imposed on such person as a member of the audit committee and board of directors in the absence of such designation or identification. The designation or identification of a person as an audit committee financial expert does not affect the duties, obligations, or liability of any other member of the audit committee or board of directors.

 

2


Item 4 –    Principal Accountant Fees and Services
   The following table presents fees billed by Deloitte & Touche LLP (“D&T”) in each of the last two fiscal years for the services rendered to the Fund:

 

      (a) Audit Fees    (b) Audit-Related Fees1    (c) Tax Fees2    (d) All Other Fees3
Entity Name    Current  
Fiscal Year  
End  
12/31/2015  
   Previous  
Fiscal Year  
End  
12/31/2014
4  
   Current  
Fiscal Year  
End  
12/31/2015  
   Previous  
Fiscal Year  
End  
12/31/2014
4  
   Current  
Fiscal Year  
End  
12/31/2015  
   Previous  
Fiscal Year  
End  
12/31/2014
4  
   Current  
Fiscal Year  
End  
12/31/2015  
   Previous  
Fiscal Year  
End  
12/31/2014
4  
BlackRock Health Sciences Trust    $27,288    $37,012    $0    $0    $15,147    $4,000    $0    $0

 

  The following table presents fees billed by D&T that were required to be approved by the registrant’s audit committee (the “Committee”) for services that relate directly to the operations or financial reporting of the Fund and that are rendered on behalf of BlackRock Advisors, LLC (“Investment Adviser” or “BlackRock”) and entities controlling, controlled by, or under common control with BlackRock (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) that provide ongoing services to the Fund (“Fund Service Providers”):

 

      Current Fiscal Year End 12/31/2015        Previous Fiscal Year End 12/31/20144    

(b) Audit-Related Fees1

   $0    $0

(c) Tax Fees2

   $0    $0

(d) All Other Fees3

   $2,391,000    $2,555,000

1 The nature of the services includes assurance and related services reasonably related to the performance of the audit of financial statements not included in Audit Fees.

2 The nature of the services includes tax compliance, tax advice and tax planning.

3 Aggregate fees borne by BlackRock in connection with the review of compliance procedures and attestation thereto performed by D&T with respect to all of the registered closed-end funds and some of the registered open-end funds advised by BlackRock.

4 The registrant changed its fiscal year end from October to December in 2014 so this fiscal year consists of the two months ended December 31, 2014.

(e)(1) Audit Committee Pre-Approval Policies and Procedures:

The Committee has adopted policies and procedures with regard to the pre-approval of services. Audit, audit-related and tax compliance services provided to the registrant on an annual basis require specific pre-approval by the Committee. The Committee also must approve other non-audit services provided to the registrant and those non-audit services provided to the Investment Adviser and Fund Service Providers that relate directly to the operations and the financial reporting of the registrant. Certain of these non-audit services that the Committee believes are (a) consistent with the SEC’s auditor independence rules and (b) routine and recurring services that will not impair the independence of the independent accountants may be approved by the Committee without consideration on a specific case-by-case basis (“general pre-approval”). The term of any general pre-approval is 12 months from the date of the pre-approval, unless the Committee provides for a different period. Tax or other non-audit services provided to the registrant which have a direct impact on the operations or financial reporting of the registrant will only be deemed pre-approved provided that any individual project does not exceed $10,000 attributable to the registrant or $50,000 per project. For this purpose, multiple projects will be aggregated to determine if they exceed the previously mentioned cost levels.

 

3


  

Any proposed services exceeding the pre-approved cost levels will require specific pre-approval by the Committee, as will any other services not subject to general pre-approval (e.g., unanticipated but permissible services). The Committee is informed of each service approved subject to general pre-approval at the next regularly scheduled in-person board meeting. At this meeting, an analysis of such services is presented to the Committee for ratification. The Committee may delegate to the Committee Chairman the authority to approve the provision of and fees for any specific engagement of permitted non-audit services, including services exceeding pre-approved cost levels.

   (e)(2) None of the services described in each of Items 4(b) through (d) were approved by the Committee pursuant to the de minimis exception in paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
   (f) Not Applicable
   (g) The aggregate non-audit fees paid to the accountant for services rendered by the accountant to the registrant, the Investment Adviser and the Fund Service Providers were:

 

     Entity Name        Current Fiscal Year    
     End 12/31/2015    
       Previous Fiscal Year    
    End 12/31/2014
4    
  BlackRock Health Sciences Trust    $15,147    $4,000

1 The registrant changed its fiscal year end from October to December in 2014 so this fiscal year consists of the two months ended December 31, 2014.

 

   Additionally, SSAE 16 Review (Formerly, SAS No. 70) fees for the current and previous fiscal years of $2,391,000 and $2,555,000, respectively, were billed by D&T to the Investment Adviser.
   (h) The Committee has considered and determined that the provision of non-audit services that were rendered to the Investment Adviser, and the Fund Service Providers that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.
Item 5 –    Audit Committee of Listed Registrants
   (a)   The following individuals are members of the registrant’s separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934 (15 U.S.C. 78c(a)(58)(A)):
     Michael Castellano
     Frank J. Fabozzi
     James T. Flynn
     W. Carl Kester
     Karen P. Robards
   (b)   Not Applicable

 

4


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 – The board of directors has delegated the voting of proxies for the Fund’s portfolio securities to the Investment Adviser pursuant to the Investment Adviser’s proxy voting guidelines. Under these guidelines, the Investment Adviser will vote proxies related to Fund securities in the best interests of the Fund and its stockholders. From time to time, a vote may present a conflict between the interests of the Fund’s stockholders, on the one hand, and those of the Investment Adviser, or any affiliated person of the Fund or the Investment Adviser, on the other. In such event, provided that the Investment Adviser’s Equity Investment Policy Oversight Committee, or a sub-committee thereof (the “Oversight Committee”) is aware of the real or potential conflict or material non-routine matter and if the Oversight Committee does not reasonably believe it is able to follow its general voting guidelines (or if the particular proxy matter is not addressed in the guidelines) and vote impartially, the Oversight Committee may retain an independent fiduciary to advise the Oversight Committee on how to vote or to cast votes on behalf of the Investment Adviser’s clients. If the Investment Adviser determines not to retain an independent fiduciary, or does not desire to follow the advice of such independent fiduciary, the Oversight Committee shall determine how to vote the proxy after consulting with the Investment Adviser’s Portfolio Management Group and/or the Investment Adviser’s Legal and Compliance Department and concluding that the vote cast is in its client’s best interest notwithstanding the conflict. A copy of the Fund’s Proxy Voting Policy and Procedures are attached as Exhibit 99.PROXYPOL. Information on how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, (i) at www.blackrock.com and (ii) on the SEC’s website at http://www.sec.gov.
Item 8 –    Portfolio Managers of Closed-End Management Investment Companies – as of December 31, 2015.
   (a)(1)    The registrant is managed by a team of investment professionals comprised of Thomas P. Callan, CFA, Managing Director at BlackRock, Erin Xie, PhD, MBA, Managing Director at BlackRock, Kyle G. McClements, CFA, Managing Director at BlackRock and Christopher Accettella, Director at BlackRock. Messrs. Callan and McClements and Ms. Xie are the Fund’s portfolio managers and are responsible for the day-to-day management of the Fund’s portfolio and the selection of its investments. Messrs. Callan and McClements and Ms. Xie have been members of the Fund’s portfolio management team since 2005. Mr. Accettella has been a member of the Fund’s portfolio management team since 2012.

 

     Portfolio Manager    Biography
   Thomas P. Callan, CFA    Managing Director of BlackRock since 1998; Head of BlackRock’s Global Opportunities equity team.
   Erin Xie, PhD, MBA    Managing Director of BlackRock since 2006; Director of BlackRock from 2005 to 2006; Senior Vice President of State Street Research & Management from 2001 to 2005.

 

5


   Kyle G. McClements, CFA    Managing Director of BlackRock since 2009; Director of BlackRock from 2006 to 2008; Vice President of BlackRock in 2005; Vice President of State Street Research & Management from 2004 to 2005.
   Christopher Accettella    Director of BlackRock since 2008; Vice President of BlackRock, Inc. from 2005 to 2008.

  (a)(2) As of December 31, 2015:

 

     

(ii) Number of Other Accounts Managed

and Assets by Account Type

  

(iii) Number of Other Accounts and

Assets for Which Advisory Fee is

Performance-Based

(i) Name of

Portfolio Manager

  

Other

Registered

Investment

Companies

  

Other Pooled

Investment

Vehicles

  

Other

Accounts

  

Other

Registered

Investment

Companies

  

Other Pooled

Investment

Vehicles

  

Other

Accounts

Thomas P. Callan, CFA

   11    8    3    0    0    2
      $11.82 Billion      $5.14 Billion      $1.04 Billion     $0    $0    $979.5 Million

Erin Xie, PhD, MBA

   4    2    2    0    0    2
     $8.34 Billion    $4.00 Billion     $979.5 Million     $0    $0    $979.5 Million

Kyle G. McClements, CFA

   8    10    0    0    0    0
     $6.08 Billion    $1.13 Billion    $0    $0    $0    $0

Christopher Accettella

   8    10    0    0    0    0
     $6.08 Billion    $1.13 Billion    $0    $0    $0    $0

  (iv) Portfolio Manager Potential Material Conflicts of Interest

BlackRock has built a professional working environment, firm-wide compliance culture and compliance procedures and systems designed to protect against potential incentives that may favor one account over another. BlackRock has adopted policies and procedures that address the allocation of investment opportunities, execution of portfolio transactions, personal trading by employees and other potential conflicts of interest that are designed to ensure that all client accounts are treated equitably over time. Nevertheless, BlackRock furnishes investment management and advisory services to numerous clients in addition to the Fund, and BlackRock may, consistent with applicable law, make investment recommendations to other clients or accounts (including accounts which are hedge funds or have performance or higher fees paid to BlackRock, or in which portfolio managers have a personal interest in the receipt of such fees), which may be the same as or different from those made to the Fund. In addition, BlackRock, Inc., its affiliates and significant shareholders and any officer, director, shareholder or employee may or may not have an interest in the securities whose purchase and sale BlackRock recommends to the Fund. BlackRock, Inc., or any of its affiliates or significant shareholders, or any officer, director, shareholder, employee or any member of their families may take different actions than those recommended to the Fund by BlackRock with respect to the same securities. Moreover, BlackRock may refrain from rendering any advice or services concerning securities of companies of which any of BlackRock, Inc.’s (or its affiliates’ or significant shareholders’) officers, directors or employees are directors or officers, or companies as to which BlackRock, Inc. or any of its affiliates or significant shareholders or the officers, directors and employees of any of them has any substantial economic interest or possesses material non-public information. Certain portfolio managers also may manage accounts whose investment strategies may at times be opposed to the strategy utilized for a fund. It should also be noted that Mr. Callan and Ms. Xie may be managing hedge fund and/or long only accounts, or may be

 

6


part of a team managing hedge fund and/or long only accounts, subject to incentive fees. Mr. Callan and Ms. Xie may therefore be entitled to receive a portion of any incentive fees earned on such accounts.

As a fiduciary, BlackRock owes a duty of loyalty to its clients and must treat each client fairly. When BlackRock purchases or sells securities for more than one account, the trades must be allocated in a manner consistent with its fiduciary duties. BlackRock attempts to allocate investments in a fair and equitable manner among client accounts, with no account receiving preferential treatment. To this end, BlackRock, Inc. has adopted policies that are intended to ensure reasonable efficiency in client transactions and provide BlackRock with sufficient flexibility to allocate investments in a manner that is consistent with the particular investment discipline and client base, as appropriate.

(a)(3) As of December 31, 2015:

Portfolio Manager Compensation Overview

The discussion below describes the portfolio managers’ compensation as of December 31, 2015.

BlackRock’s financial arrangements with its portfolio managers, its competitive compensation and its career path emphasis at all levels reflect the value senior management places on key resources. Compensation may include a variety of components and may vary from year to year based on a number of factors. The principal components of compensation include a base salary, a performance-based discretionary bonus, participation in various benefits programs and one or more of the incentive compensation programs established by BlackRock.

Base Compensation. Generally, portfolio managers receive base compensation based on their position with the firm.

Discretionary Incentive Compensation

Mr. Callan and Ms. Xie

Generally, discretionary incentive compensation for Active Equity portfolio managers is based on a formulaic compensation program. BlackRock’s formulaic portfolio manager compensation program is based on team revenue and pre-tax investment performance relative to appropriate competitors or benchmarks over 1-, 3- and 5-year performance periods, as applicable. In most cases, these benchmarks are the same as the benchmark or benchmarks against which the performance of the Funds or other accounts managed by the portfolio managers are measured. BlackRock’s Chief Investment Officers determine the benchmarks or rankings against which the performance of funds and other accounts managed by each portfolio management team is compared and the period of time over which performance is evaluated. With respect to these portfolio managers, such benchmarks for the Fund and other accounts are: Lipper Mid-Cap Core Fund classification; Lipper International Multi-Cap Core fund classification; Lipper Global/Health/Biotechnology Fund classification.

A smaller element of portfolio manager discretionary compensation may include consideration of: financial results, expense control, profit margins, strategic planning and

 

7


implementation, quality of client service, market share, corporate reputation, capital allocation, compliance and risk control, leadership, technology and innovation. These factors are considered collectively by BlackRock management and the relevant Chief Investment Officers.

Discretionary Incentive Compensation

Messrs. Accettella and McClements

Discretionary incentive compensation is a function of several components: the performance of BlackRock, Inc., the performance of the portfolio manager’s group within BlackRock, the investment performance, including risk-adjusted returns, of the firm’s assets or strategies under management or supervision by that portfolio manager, and/or the individual’s performance and contribution to the overall performance of these portfolios and BlackRock. Among other things, BlackRock’s Chief Investment Officers make a subjective determination with respect to each portfolio manager’s compensation based on the performance of the Funds, other accounts or strategies managed by each portfolio manager. Performance is generally measured on a pre-tax basis over various time periods including 1-, 3- and 5- year periods, as applicable. The performance of some Funds, other accounts or strategies may not be measured against a specific benchmark.

Distribution of Discretionary Incentive Compensation. Discretionary incentive compensation is distributed to portfolio managers in a combination of cash and BlackRock, Inc. restricted stock units which vest ratably over a number of years. For some portfolio managers, discretionary incentive compensation is also distributed in deferred cash awards that notionally track the returns of select BlackRock investment products they manage and that vest ratably over a number of years. The BlackRock, Inc. restricted stock units, upon vesting, will be settled in BlackRock, Inc. common stock. Typically, the cash portion of the discretionary incentive compensation, when combined with base salary, represents more than 60% of total compensation for the portfolio managers. Paying a portion of discretionary incentive compensation in BlackRock, Inc. stock puts compensation earned by a portfolio manager for a given year “at risk” based on BlackRock’s ability to sustain and improve its performance over future periods. Providing a portion of discretionary incentive compensation in deferred cash awards that notionally track the BlackRock investment products they manage provides direct alignment with investment product results.

Long-Term Incentive Plan Awards — From time to time long-term incentive equity awards are granted to certain key employees to aid in retention, align their interests with long-term shareholder interests and motivate performance. Equity awards are generally granted in the form of BlackRock, Inc. restricted stock units that, once vested, settle in BlackRock, Inc. common stock. The portfolio managers of this Fund have unvested long-term incentive awards.

Deferred Compensation Program — A portion of the compensation paid to eligible United States-based BlackRock employees may be voluntarily deferred at their election for defined periods of time into an account that tracks the performance of certain of the firm’s investment products. Any portfolio manager who is either a managing director or director at BlackRock with compensation above a specified threshold is eligible to participate in the deferred compensation program.

Other Compensation Benefits. In addition to base salary and discretionary incentive compensation, portfolio managers may be eligible to receive or participate in one or more of the following:

 

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Incentive Savings Plans — BlackRock, Inc. has created a variety of incentive savings plans in which BlackRock, Inc. employees are eligible to participate, including a 401(k) plan, the BlackRock Retirement Savings Plan (RSP), and the BlackRock Employee Stock Purchase Plan (ESPP). The employer contribution components of the RSP include a company match equal to 50% of the first 8% of eligible pay contributed to the plan capped at $5,000 per year, and a company retirement contribution equal to 3-5% of eligible compensation up to the Internal Revenue Service limit ($265,000 for 2015). The RSP offers a range of investment options, including registered investment companies and collective investment funds managed by the firm. BlackRock, Inc. contributions follow the investment direction set by participants for their own contributions or, absent participant investment direction, are invested into a target date fund that corresponds to, or is closest to, the year in which the participant attains age 65. The ESPP allows for investment in BlackRock, Inc. common stock at a 5% discount on the fair market value of the stock on the purchase date. Annual participation in the ESPP is limited to the purchase of 1,000 shares of common stock or a dollar value of $25,000 based on its fair market value on the purchase date. All of the eligible portfolio managers are eligible to participate in these plans.

(a)(4) Beneficial Ownership of Securities – As of December 31, 2015.

 

Portfolio Manager   

Dollar Range of Equity Securities

of the Fund Beneficially Owned

Thomas P. Callan, CFA    None
Erin Xie, PhD, MBA    None
Kyle G. McClements, CFA    $10,001 - $50,000
Christopher Accettella    $10,001 - $50,000

(b) Not Applicable

 

Item 9 –    Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not Applicable due to no such purchases during the period covered by this report.
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 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.

 

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Item 12 –    Exhibits attached hereto
   (a)(1) – Code of Ethics – See Item 2
   (a)(2) – Certifications – Attached hereto
   (a)(3) – Not Applicable
   (b) – Certifications – Attached hereto
12(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.

 

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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 Health Sciences Trust   
By:       /s/ John M. Perlowski                           
  John M. Perlowski   
  Chief Executive Officer (principal executive officer) of   
  BlackRock Health Sciences Trust   
Date: March 1, 2016

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 Health Sciences Trust   
Date: March 1, 2016
By:       /s/ Neal J. Andrews                           
  Neal J. Andrews   
  Chief Financial Officer (principal financial officer) of   
  BlackRock Health Sciences Trust   
Date: March 1, 2016

 

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