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: 12/31/2016

Date of reporting period: 06/30/2016

 


Item 1 – Report to Stockholders

 


JUNE 30, 2016        

 

 

SEMI-ANNUAL REPORT (UNAUDITED)

 

      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.

June 30, 2016

 

      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*

     $ 0.148537                          $ 0.381863        $ 0.530400          28 %       0 %       0 %       72 %       100 %

CII*

     $ 0.060081                          $ 0.539919        $ 0.600000          10 %       0 %       0 %       90 %       100 %

BDJ*

     $ 0.080775                          $ 0.199425        $ 0.280200          29 %       0 %       0 %       71 %       100 %

BOE*

     $ 0.046145                          $ 0.535855        $ 0.582000          8 %       0 %       0 %       92 %       100 %

BME

     $ 0.017136        $ 0.172293        $ 1.010571                 $ 1.200000          1 %       15 %       84 %       0 %       100 %

BGY*

     $ 0.052261                          $ 0.241739        $ 0.294000          18 %       0 %       0 %       82 %       100 %

BCX*

     $ 0.079040                          $ 0.230360        $ 0.309400          26 %       0 %       0 %       74 %       100 %

BST*

     $ 0.002749                          $ 0.597251        $ 0.600000          0 %       0 %       0 %       100 %       100 %

BUI*

     $ 0.244966                 $ 0.021682        $ 0.459352        $ 0.726000          34 %       0 %       3 %       63 %       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 distribute the following fixed amounts per share on a monthly basis as of June 30, 2016:

 

     Exchange Symbol        Amount Per Common Share     
    BGR     $0.0776  
    CII     $0.1000  
    BDJ     $0.0467  
    BOE     $0.0970  
    BME     $0.2000  
    BGY     $0.0490  
    BCX     $0.0446  
    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 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    SEMI-ANNUAL REPORT    JUNE 30, 2016     


Table of Contents         

 

       Page   

Section 19(a) Notices

     2   

Section 19(b) Disclosure

     2   

The Markets in Review

     4   

Semi-Annual Report:

  

The Benefits and Risks of Option Over-Writing

     5   

Trust Summaries

     6   

Derivative Financial Instruments

     24   

Financial Statements:

  

Schedules of Investments

     25   

Statements of Assets and Liabilities

     107   

Statements of Operations

     109   

Statements of Changes in Net Assets

     111   

Statements of Cash Flows

     116   

Financial Highlights

     119   

Notes to Financial Statements

     128   

Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements

     141   

Officers and Trustees

     147   

Additional Information

     148   

 

     SEMI-ANNUAL REPORT    JUNE 30, 2016    3


The Markets in Review

Dear Shareholder,

Uneven economic outlooks and divergence of monetary policies across regions have been the overarching themes driving financial markets over the past couple of years. In the latter half of 2015, as U.S. growth outpaced other developed markets, investors were focused largely on the timing of the Federal Reserve’s (the “Fed”) decision to end its near-zero interest rate policy. The Fed ultimately hiked rates in December, whereas the European Central Bank and the Bank of Japan took additional steps to stimulate growth, even introducing negative interest rates. The U.S. dollar had strengthened considerably ahead of these developments, causing profit challenges for U.S. companies that generate revenues overseas, and pressuring emerging market currencies and commodities prices.

Also during this time period, oil prices collapsed due to excess global supply. China, one of the world’s largest consumers of oil, was another notable source of stress for financial markets as the country showed signs of slowing economic growth and took measures to devalue its currency. Declining confidence in the country’s policymakers stoked investors’ worries about the potential impact of China’s weakness on the global economy. Global market volatility increased and risk assets (such as equities and high yield bonds) suffered in this environment.

The elevated market volatility spilled over into 2016, but as the first quarter wore on, fears of a global recession began to fade, allowing markets to calm and risk assets to rebound. Central bank stimulus in Europe and Japan, combined with a more tempered outlook for rate hikes in the United States, helped bolster financial markets. A softening in U.S. dollar strength brought relief to U.S. exporters and emerging market economies. Oil prices rebounded as the world’s largest producers agreed to reduce supply.

Volatility spiked again in late June when the United Kingdom shocked investors with its vote to leave the European Union. Uncertainty around how the British exit might affect the global economy and political landscape long term drove investors to high quality assets, pushing already-low global yields to even lower levels.

At BlackRock, we believe investors need to think globally, extend their scope across a broad array of asset classes and be prepared to adjust accordingly 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 June 30, 2016
         6-month            12-month    

U.S. large cap equities

(S&P 500® Index)

  3.84%     3.99%

U.S. small cap equities

(Russell 2000® Index)

  2.22      (6.73) 

International equities

(MSCI Europe, Australasia,

Far East Index)

  (4.42)      (10.16)   

Emerging market

equities (MSCI Emerging

Markets Index)

  6.41      (12.05)   

3-month Treasury

bill (BofA Merrill Lynch

3-Month Treasury

Bill Index)

  0.15      0.19  

U.S. Treasury securities

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

  7.95      9.49  

U.S. investment grade

bonds (Barclays

U.S. Aggregate

Bond Index)

  5.31      6.00  

Tax-exempt municipal

bonds (S&P

Municipal Bond Index)

  4.35      7.80  

U.S. high yield bonds

(Barclays U.S.

Corporate High Yield 2%

Issuer Capped Index)

  9.06      1.65  
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.

 

 

     SEMI-ANNUAL REPORT    JUNE 30, 2016    5


Trust Summary as of June 30, 2016      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 June 30, 2016 ($ 14.20)1

   6.56%

Current Monthly Distribution per Common Share2

   $0.0776

Current Annualized Distribution per Common Share2

   $0.9312

 

  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 six months ended June 30, 2016 were as follows:

 

     Returns Based On
        Market Price    Net Asset Value

BGR1,2

   18.02%    14.30%

Lipper Natural Resources Funds3

   22.22%    19.55%

 

  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?

 

 

After experiencing a significant downturn in 2015, natural resources stocks staged a sizable rally in the first half of this year. An improving balance of supply and demand, together with the increasingly accommodative monetary policies of the world’s central banks, led to a rebound in commodity prices and fueled strong gains across the natural resources sector.

 

 

The Trust’s position in the U.S. exploration & production (E&P) company ConocoPhillips, which lagged following its announcement of a dividend cut early in the year, was among the largest detractors from performance. The Trust’s position in U.S. E&P Devon Energy Corp. was also a key detractor. The stock underperformed after the company announced it had agreed to acquire $1.9 billion of Woodford shale assets from a private E&P company. While the investment advisor believed the deal was strategically sensible for Devon Energy, the market became concerned about the debt burden the company took on to finance the deal.

 

 

Royal Dutch Shell PLC and BG Energy Holdings Ltd. completed a merger in February, whereby the Trust’s position in the latter stock contributed positively. Natural gas stocks, particularly those with assets based in the Marcellus shale also performed well during the period. These producers,

 

which included Trust holdings such as Cabot Oil & Gas Corp. and EQT Corp., benefited from colder weather earlier in the period. In addition, a number of pipeline projects came online, leading to a narrowing of the price gap between the Henry Hub gas price (priced in Louisiana) and the Leidy Hub gas price (priced in Pennsylvania).

 

 

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

Describe recent portfolio activity.

 

 

After having maintained an underweight position in refining stocks for much of 2015, the investment advisor moved to reduce this underweight at the beginning of the period by adding positions in Valero Energy Corp. and Tesoro Corp., both of which have benefited from strong U.S. gasoline consumption.

 

 

The Trust sold out of the U.S.-based E&P Carrizo Oil & Gas Inc. and California Resources Corp. based on their relative valuations. The Fund also rotated its exposure within the oil services industry, exiting Halliburton Co. and initiating a position in Baker Hughes, Inc. In addition, the Trust reduced its position in the European integrated oil producer Total SA on the basis of its relative valuation.

Describe portfolio positioning at period end.

 

 

The Trust’s higher-quality bias translated to an emphasis on producers with low-cost assets, the ability and willingness to reduce costs, and the financial flexibility to adapt to low oil prices. This approach led the investment advisor to favor certain independent E&P stocks over integrated producers. Companies in the former group tend to have lower-cost assets, and they continued to demonstrate an ability to innovate and reduce costs. The Trust was underweight in the oil services sub-sector, reflecting the investment advisor’s view that industry remained under pressure from producers’ effort to scale back spending.

 

 

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    SEMI-ANNUAL REPORT    JUNE 30, 2016     


       BlackRock Energy and Resources Trust   

 

      Market Price and Net Asset Value Per Share Summary

 

        6/30/16      12/31/15      Change        High      Low

Market Price

     $14.20      $12.53        13.33      $14.60      $10.05

Net Asset Value

     $15.42      $14.05        9.75      $15.68      $11.84

 

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

 

 

LOGO

 

      Overview of the Trust’s Total Investments*     

 

Ten Largest Holdings    6/30/16

Exxon Mobil Corp.

     12%   

Royal Dutch Shell PLC, A Shares - ADR

     8       

Chevron Corp.

     6       

Schlumberger Ltd.

     6       

Occidental Petroleum Corp.

     5       

ConocoPhillips

     5       

BP PLC

     5       

EOG Resources, Inc.

     4       

Royal Dutch Shell PLC, A Shares

     4       

Phillips 66

     4       

 

  *   Excludes option positions and money market funds.
Industry Allocation    6/30/16    12/31/15

Oil, Gas & Consumable Fuels

       91%          93%  

Energy Equipment & Services

       9%          7%  

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

 

 

     SEMI-ANNUAL REPORT    JUNE 30, 2016    7


Trust Summary as of June 30, 2016    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 June 30, 2016 ($13.45)1

   8.92%

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 six months ended June 30, 2016 were as follows:

 

     Returns Based On
        Market Price   Net Asset Value

CII1,2

   (0.52)%   (1.44)%

S&P 500® Index

   N/A   3.84%

 

  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?

 

 

The Trust generated a negative return through its stock selection across several sectors, in particular financials, consumer discretionary and health care. An underweight to telecommunication (telecom) services and utilities also weighed on results.

 

 

Financials was the prime detractor from relative performance. Bank holdings, including Bank of America Corp. and Citigroup Inc., underperformed early in 2016 on speculation that low commodity prices would weigh further on inflation expectations and credit markets. At the same time, market volatility and uncertainty led to a sharp slowdown in mergers & acquisitions, equity & debt underwriting and trading activity, which resulted in negatively revised expectations for bank earnings reports. More recently, the group experienced weakness as the Brexit result exacerbated the concern around lower long-term rates and the perpetual Fed waiting game. Elsewhere in the sector, insurance was a drag, as was an underweight to real estate investment trusts (REITs).

 

 

Cruise operator Carnival Corp. and auto components holding Lear Corp. were the top detractors in consumer discretionary. Carnival underperformed as rising oil prices are expected to modestly pressure the company’s near-term earnings. At the same time, recent terrorist incidents have continued to weigh on US-sourced demand for European cruises. Lear underperformed on concerns around peaking domestic auto sales.

 

 

Within health care, the position in Teva Pharmaceutical Industries Ltd. weighed on results. The broader generics space has been under extreme pressure, with rival companies seeing high rates of deflation in their businesses, which has caused

   

contagion to Teva. Concerns that the acquisition of Allergan’s generics unit will be delayed also dampened sentiment for the shares, though the timing has little fundamental impact as long as the deal closes.

 

 

Finally, the Trust’s long-standing underweight to defensive stocks, especially telecom services and utilities, proved disadvantageous in the six months. The sectors significantly outperformed amid the broad flight to safety in the period, with investors’ search for yield in the ongoing low interest rate environment lending additional support.

 

 

On the positive side, select holdings within the consumer sectors added value. Media name Comcast Corp. outperformed on better than expected earnings results. The company delivered the best subscriber growth numbers (in both Video and High Speed Data) in over eight years, confirming it is gaining share despite fears that competition from over-the-top (internet-based distribution) is driving accelerated “cord cutting”. In addition, Comcast’s operations, profits and free cash flow generation were increasingly attractive to investors seeking stability and total yield. Tobacco holding Altria Group Inc. gained as the company delivered solid earnings upside and maintained 2016 earnings growth guidance of 7-9%. The stock was also a beneficiary of the broader flight to high-yielding dividend growers in the period.

 

 

Additional contributions came from managed-care holdings UnitedHealth Group Inc. and Aetna Inc. Managed-care stocks broadly performed well on continued strong fundamentals. The companies appear to be managing cost trends well, and pricing remains solid in the majority of businesses. Though the healthcare exchanges continue to struggle, UnitedHealth has almost entirely withdrawn from these markets and Aetna has made a number of changes, including significantly raising prices, which should stabilize the business and remove this headwind. Positive developments in its services arm, Optum, further supported UnitedHealth shares as the unit won several high-profile contracts from CVS, aided by its new partnership with Walgreens Boots Alliance. Meanwhile, anticipation around the closing of its proposed merger with Humana further supported Aetna shares in the period (albeit sentiment reversed in July amid renewed uncertainty of the acquisition receiving regulatory approval).

 

 

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 reporting period.

 

 

8    SEMI-ANNUAL REPORT    JUNE 30, 2016     


     BlackRock Enhanced Capital and Income Fund, Inc.

 

      Performance and Portfolio Management Commentary (concluded)

 

Describe recent portfolio activity.

 

 

Due to a combination of portfolio trading activity and market movement during the six-month period, the Trust’s exposure to the industrials and consumer staples sectors increased, largely with respect to aerospace & defense, airlines and food & staples retailing. The primary reductions were made in financials, namely banks and insurance, and consumer discretionary, in particular internet & catalog retail.

Describe portfolio positioning at period end.

 

 

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

 

 

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

 

      Market Price and Net Asset Value Per Share Summary

 

        6/30/16      12/31/15      Change          High      Low

Market Price

     $13.45      $14.14        (4.88)%         $14.14      $11.62

Net Asset Value

     $14.24      $15.11        (5.76)%         $15.11      $13.06

 

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

 

LOGO

 

      Overview of the Trust’s Total Investments*

 

Ten Largest Holdings    6/30/16

Apple, Inc.

       4 %    

Alphabet, Inc., Class A

       4  

JPMorgan Chase & Co.

       3  

Comcast Corp., Class A

       3  

Microsoft Corp.

       3  

Bank of America Corp.

       3  

CVS Health Corp.

       3  

Altria Group, Inc.

       3  

Aetna, Inc.

       3  

Pfizer, Inc.

       3  

 

  *   Excludes option positions and money market funds.
Sector Allocation    6/30/16   12/31/15

Information Technology

       24 %         23 %  

Health Care

       17         18  

Consumer Discretionary

       16         17  

Financials

       16         18  

Consumer Staples

       9         8  

Industrials

       8         7  

Energy

       6         5  

Materials

       3         3  

Utilities

       1         1  

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

 

 

     SEMI-ANNUAL REPORT    JUNE 30, 2016    9


Trust Summary as of June 30, 2016      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 June 30, 2016 ($ 7.88)1

   7.11%

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 six months ended June 30, 2016 were as follows:

 

     Returns Based On
        Market Price   Net Asset Value

BDJ1,2

   7.45%   4.01%

Russell 1000® Value Index

   N/A   6.30%

 

  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?

 

 

The largest detractor from relative performance came from a combination of stock selection and portfolio allocation decisions in the financials sector. Falling U.S. interest rates negatively impacted overweight positions in life insurers MetLife, Inc. and Prudential Financial, Inc. as well as overweights in banks, notably Citigroup, Inc., Wells Fargo & Co. and JPMorgan Chase & Co. An underweight to real estate investment trusts also weighed on relative returns within the sector. Elsewhere, stock selection in consumer staples hindered relative performance as the grocery store operator Kroger Co. lagged due in part to concerns that food price deflation could hurt the company’s same-store sales. Additionally, stock selection in the materials and information technology sectors detracted from relative returns.

 

 

The largest contribution to relative performance for the six-month period came from stock selection in the consumer discretionary sector. Notably, the

   

non-benchmark holding Dollar General Corp. outperformed its peers after exceeding consensus earnings estimates during successive quarters. The company has benefited from same-store sales gains and new store productivity. In industrials, a combination of stock selection and an overweight in the aerospace & defense industry boosted relative performance, as did the Trust’s non-benchmark holding United Parcel Service, Class B. Lastly, stock selection in the utilities sector outperformed the benchmark for the period.

 

 

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

Describe recent portfolio activity.

 

 

During the six-month period, the Trust’s exposure to the information technology and energy sectors was increased. Within technology, the Trust initiated a new position in QUALCOMM Inc., and added to holdings in Oracle Corp. and Samsung Electronics Co. Ltd. Within energy, the Trust initiated new positions in Hess Corp., Suncor Energy, Inc., Marathon Petroleum Corp. and Anadarko Petroleum Corp. Conversely, the Trust’s allocation to the financials sector was reduced through the elimination of a position in Chubb Ltd., as well as by trimming exposure to Citigroup, Inc., JPMorgan Chase & Co. and Wells Fargo & Co. The Trust reduced its consumer staples allocation by exiting positions in Kimberly-Clark Corp. and General Mills, Inc., as well as by trimming its holdings in Procter & Gamble Co.

Describe portfolio positioning at period end.

 

 

The Trust’s largest overweight positions were in the health care, consumer discretionary and industrials sectors. Conversely, the Trust’s largest underweights were in the financials, energy and telecommunication services 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    SEMI-ANNUAL REPORT    JUNE 30, 2016     


       BlackRock Enhanced Equity Dividend Trust   

 

      Market Price and Net Asset Value Per Share Summary

 

        6/30/16      12/31/15      Change          High      Low

Market Price

     $7.88      $7.61        3.55%         $7.89      $6.42

Net Asset Value

     $8.72      $8.70        0.23%         $8.80      $7.76

 

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

 

LOGO

 

      Overview of the Trust’s Total Investments*

 

Ten Largest Holdings    6/30/16

General Electric Co.

       3 %  

JPMorgan Chase & Co.

       3  

Pfizer, Inc.

       3  

Wells Fargo & Co.

       3  

Exxon Mobil Corp.

       3  

Intel Corp.

       3  

Dollar General Corp.

       2  

Merck & Co., Inc.

       2  

Occidental Petroleum Corp.

       2  

Bank of America Corp.

       2  

 

  *   Excludes option positions and money market funds.
Sector Allocation    6/30/16   12/31/15

Financials

       24 %         27 %  

Health Care

       15         14  

Industrials

       12         14  

Energy

       12         9  

Information Technology

       10         7  

Consumer Staples

       8         10  

Consumer Discretionary

       8         7  

Utilities

       6         6  

Materials

       3         4  

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

 

 

     SEMI-ANNUAL REPORT    JUNE 30, 2016    11


Trust Summary as of June 30, 2016      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 June 30, 2016 ($11.85)1

   9.82%

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 monthly distribution rate per common share, declared on July 1, 2016, was decreased to $0.078 per share. The current distribution rate on closing market price, current monthly distribution per Common Shares and current annualized distribution per Common Share do not reflect this new distribution rate. The distribution rate is not constant and is subject to change in the future. A portion of the distribution may be deemed a return of capital or net realized gain.

 

      Performance and Portfolio Management Commentary

 

Returns for the six months ended June 30, 2016 were as follows:

 

     Returns Based On
      Market Price   Net Asset Value

BOE1,2

       (2.41 )%       (1.70 )%

MSCI All Country World Index

       N/A         1.23 %

 

  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?

 

 

Stock selection decisions in the internet software & services sub-industry of the information technology (“IT”) sector led detractors. In particular, the Trust’s position in Hortonworks, Inc. weighed on returns after investors rotated out of higher growth names for what they perceived as safer relative investments during the first quarter of 2016. The Trust sold the position during the period and rotated into more attractive opportunities. Stock selection in the construction machinery & heavy trucks sub-industry of the industrials sector was the next largest detractor. In particular, global growth concerns centered around China-based manufacturing, impacted the Trust’s position in CRRC Corp. Ltd. The Trust exited its position.

 

 

The Trust’s underweight positioning within the automobile manufacturers sub-industry of the consumer discretionary sector led gains for the period

   

after the group traded broadly lower. The investment advisor believes that global growth concerns could continue to hamper demand within the automobile manufacturers sub-industry, and the Trust remains underweight there. The other notable contributor to relative returns came from stock selection decisions within the oil & gas exploration & production sub-industry of the energy sector after the Trust’s position in Encana Corp. traded higher helped by recent increases in the price of oil.

 

 

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

Describe recent portfolio activity.

 

 

The Trust trimmed positions within the industrials and health care sectors, while increasing exposure to the consumer staples and materials sectors. Regionally, these sector decisions resulted in increased exposure to Europe and the Pacific Basin, and decreased exposure to the emerging markets.

Describe portfolio positioning at period end.

 

 

Relative to the MSCI All Country World Index, the Fund ended the period with its largest overweight positions in the IT and consumer staples sectors, and underweight positions in the financials and industrials sectors. Regionally, this resulted in overweight positions in Europe, and underweights in the emerging markets, 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    SEMI-ANNUAL REPORT    JUNE 30, 2016     


       BlackRock Global Opportunities Equity Trust  

 

      Market Price and Net Asset Value Per Share Summary

 

        6/30/16      12/31/15      Change          High      Low

Market Price

     $11.85      $12.76        (7.13)%         $12.76      $10.37

Net Asset Value

     $13.33      $14.25        (6.46)%         $14.25      $12.21

 

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

 

LOGO

 

      Overview of the Trust’s Total Investments*     

 

Ten Largest Holdings    6/30/16

Anheuser-Busch InBev SA

     3 %   

McDonald’s Corp.

     2   

Alphabet, Inc., Class C

     2   

Unilever PLC

     2   

Apple, Inc.

     1   

Boston Scientific Corp.

     1   

Fairfax Financial Holdings Ltd.

     1   

Hartford Financial Services Group, Inc.

     1   

Medtronic PLC

     1   

Facebook, Inc., Class A

     1   

 

  *   Excludes option positions and money market funds.
Geographic Allocation    6/30/16   12/31/15

United States

       54 %         53 %  

United Kingdom

       11         14  

Japan

       5         5  

Belgium

       3         2  

Switzerland

       3         2  

India

       3         3  

Italy

       2         1  

Netherlands

       2         1  

China

       2         3  

Taiwan

       2         1  

Canada

       1         2  

Spain

       1         2  

France

       1         2  

Other1

       10         9  

 

  1   

Other includes a 1% holding or less in each of the following countries; Australia, Germany, Hong Kong, Indonesia, Ireland, Israel, Mexico, New Zealand, Norway, Portugal, Peru, South Africa, South Korea, Sweden and Thailand.

 

 

     SEMI-ANNUAL REPORT    JUNE 30, 2016    13


Trust Summary as of June 30, 2016      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 June 30, 2016 ($35.62)1

   6.74%

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 six months ended June 30, 2016 were as follows:

 

     Returns Based On
        Market Price   Net Asset Value

BME1,2

       (6.25 )%       (3.11 )%

Russell 3000® Healthcare Index

       N/A         (1.44 )%

 

  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?

 

 

Health care stocks posted a loss and underperformed the broader U.S. equity market during the first half of 2016. Investors’ gravitation to value stocks, together with concerns about increased government scrutiny on drug-pricing practices and tax-inversion transactions, weighed on the performance of the biotechnology and pharmaceutical industries.

 

 

The Trust’s negative return was largely driven by its positions in the biotechnology industry. General market weakness and heightened risk aversion in January and February pressured the performance of the Trust’s higher-beta, small- to medium-capitalization holdings in the industry. In addition, positions in a number of large-cap biotechnology holdings — including Celgene Corp., Alexion Pharmaceuticals, Inc., Gilead Sciences, Inc. and Biogen, Inc. — weighed on absolute performance. The Fund’s allocation to the pharmaceuticals

   

sub-sector also hampered performance due to the weak showing of several holdings in specialty pharmaceutical area, such as Allergan PLC, Teva Pharmaceutical Industries Ltd., Mylan NV and Shire PLC.

 

 

The medical devices & supplies sub-sector was the largest contributor to performance. Many of the Trust’s holdings in the health care equipment industry reported solid financial results, including Boston Scientific Corp., Medtronic PLC, Stryker Corp., Edwards Lifesciences Corp., C.R. Bard, Inc., St. Jude Medical, Inc. and Becton, Dickinson & Co. The health care providers & services sub-sector also contributed to results, led by the robust gain for UnitedHealth Group, Inc.

 

 

The Trust made use of options, principally written call options on individual stocks, in order to seek enhanced income returns while continuing to participate in the performance of the underlying equities. Given the negative absolute performance for the health care sector, written individual stock options made a positive contribution to returns.

Describe recent portfolio activity.

 

 

The Trust reduced its allocations to the biotechnology and pharmaceutical sub-sectors, while it boosted its weightings in the medical devices & supplies and health care providers & services sub-sectors. These allocations were the by-product of the Trust’s bottom-up, fundamental investment process.

Describe portfolio positioning at period end.

 

 

Believing political rhetoric will continue to fuel volatility in the healthcare sector through the U.S. elections, the investment advisor sought to build a balanced and broadly diversified portfolio.

 

 

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    SEMI-ANNUAL REPORT    JUNE 30, 2016     


     BlackRock Health Sciences Trust

 

      Market Price and Net Asset Value Per Share Summary

 

        6/30/16      12/31/15      Change          High      Low

Market Price

     $35.62      $39.35        (9.48)%         $39.98      $29.86

Net Asset Value

     $33.84      $36.17        (6.44)%         $36.17      $30.37

 

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

 

LOGO

 

      Overview of the Trust’s Total Investments*

 

Ten Largest Holdings    6/30/16

UnitedHealth Group, Inc.

       6 %  

Medtronic PLC

       6  

Boston Scientific Corp.

       5  

Amgen, Inc.

       4  

Eli Lilly & Co.

       3  

Allergan PLC

       3  

Johnson & Johnson

       3  

Pfizer, Inc.

       3  

Anthem, Inc.

       3  

Stryker Corp.

       2  

 

  *   Excludes option positions and money market funds.
Industry Allocation    6/30/16   12/31/15

Pharmaceuticals

       27 %         29 %  

Health Care Equipment & Supplies

       27         17  

Health Care Providers & Services

       23         18  

Biotechnology

       19         33  

Life Sciences Tools & Services

       2         2  

Health Care Technology

       1          

Electronic Equipment, Instruments & Components

       1         1  

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

 

 

     SEMI-ANNUAL REPORT    JUNE 30, 2016    15


Trust Summary as of June 30, 2016    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 June 30, 2016 ($5.75)1

   10.23%

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 monthly distribution rate per common share, declared on July 1,2016, was decreased to $0.038 per share. The current distribution rate on closing market price, current monthly distribution per Common Shares and current annualized distribution per Common Share do not reflect this new distribution rate. The distribution rate is not constant and is subject to change in the future. A portion of the distribution may be deemed a return of capital or net realized gain.

 

      Performance and Portfolio Management Commentary

 

Returns for the six months ended June 30, 2016 were as follows:

 

     Returns Based On
        Market Price   Net Asset Value

BGY1,2

   (3.08)%   (3.61)%3

MSCI All Country World Index ex-US

   N/A   (1.02)% 

 

  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   

Performance results do not reflect adjustments related to valuation and income recognition for financial reporting purposes in accordance with U.S. generally accepted accounting principles and therefore differ from the return reported in the Financial Highlights on page 124.

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’s underweight positioning in the gold sub-industry of the materials sector led detractors for the period. Despite a technical bounce-back in gold prices, the Trust remains structurally underweight there because of demand concerns from China, which drove the most recent downward market cycle. Stock selection in the construction machinery & heavy trucks sub-industry of the industrials sector was the next largest detractor. There, global growth worries, particularly regarding manufacturing based in China, negatively impacted the Trust’s position in CRRC Corp. Ltd. The Trust exited its position.

 

The Trust’s underweight position within the automobile manufacturers sub-industry of the consumer discretionary sector led gains for the period after the group traded broadly lower. The investment advisor believes that global growth concerns could continue to hamper demand, and the Trust remains underweight to the sub-industry. The other notable contributor was the Trust’s cash position, which served as a buffer during periods of market volatility over the six-month period.

 

 

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

Describe recent portfolio activity.

 

 

During the six-month period, the Trust trimmed positions in the industrials and consumer discretionary sectors and increased exposure in the consumer staples and energy sectors. Regionally, these sector decisions resulted in increased exposure to Europe and reduced exposure to the emerging markets.

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 consumer staples and telecommunication services sectors, and underweights in materials and industrials. Regionally, the Trust remains overweight in Europe and North America, and underweight in the Pacific Basin and emerging markets.

 

 

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    SEMI-ANNUAL REPORT    JUNE 30, 2016     


       BlackRock International Growth and Income Trust   

 

      Market Price and Net Asset Value Per Share Summary

 

        6/30/16      12/31/15      Change        High       Low  

Market Price

     $5.75      $6.24        (7.85)      $6.24      $5.23

Net Asset Value

     $6.36      $6.94        (8.36)      $6.94      $5.98

 

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

 

LOGO

 

      Overview of the Trust’s Total Investments*

 

Ten Largest Holdings    6/30/16

Anheuser-Busch InBev SA

       3%   

WisdomTree Japan Hedged Equity Fund

       3     

Nestle SA

       3     

AstraZeneca PLC

       3     

Roche Holding AG

       3     

Royal Dutch Shell PLC, B Shares

       2     

Imperial Brands PLC

       2     

Unilever PLC

       2     

BAE Systems PLC

       2     

Sumitomo Mitsui Financial Group, Inc.

       2     

 

  *   Excludes option positions and money market funds.
Geographic Allocation    6/30/16   12/31/15

United Kingdom

       22 %       25 %

Switzerland

       8         9  

Japan

       7         9  

France

       7         6  

Netherlands

       5         3  

India

       5         5  

United States

       5         4  

Canada

       5         4  

Belgium

       4         2  

China

       4         5  

Italy

       4         4  

Germany

       3         4  

Ireland

       2         4  

Other1

       19         16  

 

  1   

Other includes a 2% holding or less in each of the following countries; Australia, Taiwan, Ireland, South Korea, Norway, Hong Kong, Spain, Mexico, Sweden, Indonesia, Portugal, South Africa, Denmark, New Zealand, Israel, Thailand and Philippines.

 

 

     SEMI-ANNUAL REPORT    JUNE 30, 2016    17


Trust Summary as of June 30, 2016      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 June 30, 2016 ($7.70)1

   6.95%

Current Monthly Distribution per Common Share2

   $0.0446

Current Annualized Distribution per Common Share2

   $0.5352

 

  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 six months ended June 30, 2016 were as follows:

 

     Returns Based On
        Market Price   Net Asset  Value

BCX1,2

       13.08 %       15.67 %

Lipper Natural Resources Funds3

       22.22 %       19.55 %

 

  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?

 

 

After experiencing a significant downturn in 2015, natural resources stocks staged a sizable rally in the first half of this year. An improving balance of supply and demand, together with the increasingly accommodative monetary policies of the world’s central banks, led to a rebound in commodity prices and fueled strong gains across the natural resources sector.

 

 

The Trust’s position in the U.S. exploration & production (E&P) company ConocoPhillips, which lagged following its announcement of a dividend cut early in the year, was among the largest detractors from performance.

 

 

The fertilizer producers CF Industries Holding, Inc. and OCI NV abandoned their proposed merger speculation due to the U.S. government’s crackdown

   

on “tax inversion” transactions. The Trust’s position in CF Industries, which came under pressure on this news, detracted from performance.

 

 

The Trust’s position in the copper producer First Quantum Minerals Ltd. was also a top contributor in the semi-annual period. The company announced the sale of its Kevitsa mine for a price that exceeded the market’s expectations. The investment advisor believes the sale helps illustrate the company’s progress in improving its balance sheet.

 

 

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

Describe recent portfolio activity.

 

 

Early in the period, the investment advisor increased the Trust’s exposure to gold mining stocks on the strength of an increasingly positive outlook for the industry. In addition, it initiated a position in the food processing company Ingredion, Inc. on the basis of its positive view regarding the company’s specialty ingredients business. The Trust also exited its position in the European integrated oil producer Total SA based on its relative valuation, and it rotated the proceeds into Royal Dutch Shell PLC.

Describe portfolio positioning at period end.

 

 

The agriculture sector was the Trust’s largest allocation, followed by energy and metals & mining 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    SEMI-ANNUAL REPORT    JUNE 30, 2016     


     BlackRock Resources & Commodities Strategy Trust

 

      Market Price and Net Asset Value Per Share Summary

 

        6/30/16      12/31/15      Change          High       Low  

Market Price

     $7.70      $7.11        8.30%         $7.92      $5.57

Net Asset Value

     $9.25      $8.35        10.78%         $9.41      $7.07

 

      Market Price and Net Asset Value History Since Inception

 

 

LOGO

 

      Overview of the Trust’s Total Investments*

 

Ten Largest Holdings    6/30/16

Monsanto Co.

   7%   

Royal Dutch Shell PLC, A Shares - ADR

   6      

Exxon Mobil Corp.

   6      

Syngenta AG

   4      

Newcrest Mining Ltd.

   3      

Barrick Gold Corp.

   3      

Rio Tinto PLC - ADR

   3      

International Paper Co.

   3      

Potash Corp. of Saskatchewan, Inc.

   2      

ConocoPhillips

   2      

 

  *   Excludes option positions and money market funds.
Industry Allocation    6/30/16      12/31/15

Oil, Gas & Consumable Fuels

     31%          34%  

Metals & Mining

     29             32     

Chemicals

     17             14     

Food Products

     11             10     

Containers & Packaging

     6             2     

Energy Equipment & Services

     3             1     

Paper & Forest Products

     2             3     

Food & Staples Retailing

     1             1     

Other2

     —             3     

 

  2   

Other includes less than 1% in each of the following industries; Real Estate Investment Trusts (REITs), Water Utilities, Multi-Utilities and Independent Power and Renewable Electricity.

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

 

 

     SEMI-ANNUAL REPORT    JUNE 30, 2016    19


Trust Summary as of June 30, 2016      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 June 30, 2016 ($16.50)1

   7.27%

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 six months ended June 30, 2016 were as follows:

 

     Returns Based On
        Market Price    Net Asset Value

BST1,2

         (1.11)%     (1.15)%

MSCI World Information Technology Index

       N/A     (1.59)%

 

  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 within the real estate industry led gainers for the period, driven by the Trust’s position in Digital Realty Trust, Inc., which manages technology-based real estate, as the company reported strong financial results. The Trust trimmed the position on strength but still holds the name. Also within real estate, the Trust’s position in Equinix, Inc., a global data center company, traded higher after reporting strong earnings. The Trust added to the position during the period given positive industry trends and the company’s specific competitive advantages.

 

 

Conversely, stock selection in the semiconductor industry detracted due to the Trust’s position in Macom Technology Solutions, Inc., which sold off following the surprise outcome of the U.K.’s referendum on European Union membership. The Trust’s position in Imperva, Inc. was another

   

large detractor after the company reported a weaker-than-expected earnings forecast. Given a more challenging environment for both of these companies, the Trust reduced the positions.

 

 

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

Describe recent portfolio activity.

 

 

Over the six-month period, the Trust trimmed exposure within the software & services and telecommunication services industries and increased exposure to semiconductors & semiconductor equipment. Regionally, these transactions resulted in decreased exposure to Europe and the emerging markets and additional exposure to the Pacific Basin and North America.

Describe portfolio positioning at period end.

 

 

The Trust held its largest allocation within the software & services sector, particularly idiosyncratic opportunities in the internet software & services and data processing & outsourced services sub-industries. The Trust also held large positions in more stable cash flow businesses within the semiconductor & semiconductor equipment and technology hardware & equipment industries. Regionally, the Trust maintained most of its exposure in North America, followed by smaller weights in the emerging markets, the Pacific Basin and Europe.

 

 

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

 

20    SEMI-ANNUAL REPORT    JUNE 30, 2016     


       BlackRock Science and Technology Trust   

 

      Market Price and Net Asset Value Per Share Summary

 

        6/30/16      12/31/15      Change            High      Low

Market Price

     $16.50      $17.31        (4.68)%         $17.31      $14.01

Net Asset Value

     $18.78      $19.71        (4.72)%         $19.71      $16.52

 

      Market Price and Net Asset Value History Since Inception

 

 

LOGO

 

     1

Commencement of operations.

 

      Overview of the Trust’s Total Investments*

 

Ten Largest Holdings    6/30/16

Alphabet, Inc., Class A

       7 %    

Microsoft Corp.

       5  

Amazon.com, Inc.

       5  

Facebook, Inc., Class A

       5  

Apple, Inc.

       5  

Tencent Holdings Ltd.

       4  

Visa, Inc., A Shares

       3  

Broadcom Ltd.

       2  

Equinix, Inc.

       2  

MasterCard, Inc., Class A

       2  

 

  *   Excludes option positions and money market funds.
Industry Allocation    6/30/16   12/31/15

Internet Software & Services

       24 %         26 %  

Software

       18         20  

Semiconductors & Semiconductor Equipment

       14         11  

IT Services

       11         13  

Internet & Catalog Retail

       9         6  

Real Estate Investment Trusts (REITs)

       6         5  

Technology Hardware, Storage & Peripherals

       5         7  

Media

       4         5  

Electronic Equipment, Instruments & Components

       3         1  

Diversified Telecommunication Services

       1         2  

Other2

       5         4  

 

  2   

Other includes a 1% holding or less in each of the following industries; Hotels, Restaurants & Leisure, Household Durables, Diversified Financial Services, Automobiles, Communications Equipment, Professional Services and Wireless Telecommunication Services.

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

 

 

     SEMI-ANNUAL REPORT    JUNE 30, 2016    21


Trust Summary as of June 30, 2016      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 June 30, 2016 ($20.37)1

   7.13%

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 six months ended June 30, 2016 were as follows:

 

     Returns Based On
          Market Price   Net Asset Value

BUI1,2

       26.23 %       12.36 %

Lipper Utility Funds3

       20.89 %       17.96 %

 

  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?

 

 

The largest detractors from absolute returns were the Trust’s positions in construction & engineering and transportation infrastructure. Broadly, European construction and infrastructure companies underperformed after the U.K. vote to exit from the European Union (“Brexit”), given the political and economic uncertainty resulting from the referendum. Notable detractors from performance included Ferrovial SA, a Spanish construction operator which specializes in large infrastructure projects, and Atlantia SpA, which constructs and manages airports and highways in Italy and abroad. Lastly, infrastructure operators in France, including Groupe Eurotunnel SA and Aéroports de Paris, also negatively impacted returns for the period.

 

 

Utilities performed strongly during the semiannual period, as central bank policy decisions and historically low U.S. interest rates created a strong demand for higher-yielding equities. The Trust’s exposure to the electric utilities industry was the largest contributor to performance, led by regulated utility operators NextEra Energy, Inc., Duke Energy Corp., and Exelon Corporation. The Trust’s exposure to the multi-utilities industry also benefited performance, as CMS Energy Corporation and Dominion Resources Inc. performed strongly. Finally, the Trust’s exposure to master limited partnerships (“MLPs”) within the energy sector contributed positively, led by pipeline operators Enbridge Inc. and Enterprise Products Partners LP.

 

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

Describe recent portfolio activity.

 

 

Consistent with the Trust’s long-term investment horizon, few changes were made to the portfolio’s sector and industry allocations during the six-month period. Within the utilities sector, the Trust reduced exposure to strong performers and reallocated capital to investments viewed as more attractively priced. Notably, the Trust exited its position in utilities operator ITC Holdings Corp. and trimmed its position in WEC Energy Group Inc. on the basis of valuation. Proceeds from these transactions were used to increase exposure to CMS Energy Corporation, NextEra Energy, Inc., and Sempra Energy. Lastly, the Trust exited its position in telecommunications operator Frontier Communications Corporation, and initiated a new position in tower operator Crown Castle International Corporation during the period.

Describe portfolio positioning at period end.

 

 

At period end, the utilities sector accounted for approximately 57% of the Trust’s assets, with holdings concentrated in U.S. electric and multi-utilities. Against a backdrop of historically low interest rates, the demand for equity yield has led to valuations for U.S. utilities that are high relative to their historical levels, placing even greater importance on stock selection. As such, the Trust was focused on owning companies with strong management teams that offer the potential for above-sector growth in earnings and dividends. The Trust had a preference for regulated utilities over their non-regulated counterparts given their existing barriers to entry, strong balance sheets, and lower sensitivity to commodity prices.

 

 

Additionally, over 40% of the Trust’s assets were in global infrastructure operators and MLPs at period end, based on the healthy dividend yields and potential long-term capital growth they offer, along with diversification across geographies, economies and industries globally.

 

 

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    SEMI-ANNUAL REPORT    JUNE 30, 2016     


       BlackRock Utility and Infrastructure Trust   

 

      Market Price and Net Asset Value Per Share Summary

 

        6/30/16      12/31/15      Change           High      Low

Market Price

     $20.37      $16.78        21.39%         $20.40      $14.80

Net Asset Value

     $21.07      $19.50        8.05%         $21.07      $17.98

 

      Market Price and Net Asset Value History Since Inception

 

 

LOGO

 

     1

Commencement of operations.

 

      Overview of the Trust’s Total Investments*

 

Ten Largest Holdings    6/30/16

NextEra Energy, Inc.

       6 %    

CMS Energy Corp.

       6  

Dominion Resources, Inc.

       5  

Duke Energy Corp.

       4  

American Water Works Co., Inc.

       4  

Atlantia SpA

       3  

Public Service Enterprise Group, Inc.

       3  

Exelon Corp.

       3  

Transurban Group

       3  

Sempra Energy

       3  

 

  *   Excludes option positions and money market funds.
Industry Allocation    6/30/16   12/31/15

Electric Utilities

       25 %         23 %  

Multi-Utilities

       22         20  

Oil, Gas & Consumable Fuels

       19         21  

Transportation Infrastructure

       15         17  

Independent Power and Renewable Electricity Producers

       4         5  

Water Utilities

       4         4  

Construction & Engineering

       3         4  

Real Estate Investment Trusts (REITs)

       3         3  

Gas Utilities

       2         2  

Diversified Telecommunication Services

       2          

Other2

       1         1  

 

  2   

Other includes a 1% holding or less in each of the following industries; 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 adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.

 

 

     SEMI-ANNUAL REPORT    JUNE 30, 2016    23


Derivative Financial Instruments         

 

 

The Trusts may invest in various derivative financial instruments. These instruments are used to obtain exposure to a security, commodity, index, market, and/or other asset without owning or taking physical custody of securities, commodities and/or other referenced assets to manage market, equity, credit, interest rate, foreign currency exchange rate, commodity and/or other risks. Derivative financial instruments may give rise to a form of economic leverage and involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction

or illiquidity of the instrument. The Trusts’ successful use of a derivative financial instrument depends on the investment adviser’s ability to predict pertinent market movements accurately, which cannot be assured. The use of these instruments may result in losses greater than if they had not been used, may limit the amount of appreciation a Trust can realize on an investment and/or may result in lower distributions paid to shareholders. The Trusts’ investments in these instruments, if any, are discussed in detail in the Notes to Financial Statements.

 

 

24    SEMI-ANNUAL REPORT    JUNE 30, 2016     


Schedule of Investments June 30, 2016 (Unaudited)      BlackRock Energy and Resources Trust (BGR)   
     (Percentages shown are based on Net Assets)   

 

 

Common Stocks    Shares      Value  

Energy Equipment & Services — 8.8%

     

Baker Hughes, Inc. (a)

     290,600       $ 13,114,778   

Schlumberger Ltd. (a)

     346,924         27,434,750   
     

 

 

 
                40,549,528   

Oil, Gas & Consumable Fuels — 88.1%

     

Anadarko Petroleum Corp. (a)

     276,483         14,722,720   

BP PLC

     3,481,200         20,377,368   

Cabot Oil & Gas Corp. (a)(b)

     274,700         7,070,778   

Cairn Energy PLC (c)

     1,818,476         5,057,332   

Chevron Corp. (a)

     277,700         29,111,291   

Cimarex Energy Co. (a)

     98,550         11,758,986   

ConocoPhillips (a)

     504,650         22,002,740   

Devon Energy Corp. (a)

     231,500         8,391,875   

Enbridge, Inc. (a)

     303,100         12,840,019   

Encana Corp. (a)

     755,100         5,873,877   

Eni SpA

     533,450         8,592,408   

EOG Resources, Inc. (a)

     242,700         20,246,034   

EQT Corp. (a)

     128,300         9,934,269   

Exxon Mobil Corp. (a)(b)

     574,300         53,834,882   

Hess Corp. (a)

     207,300         12,458,730   

Kosmos Energy Ltd. (c)

     676,807         3,688,598   

Lundin Petroleum AB (c)

     240,377         4,380,419   

Marathon Oil Corp. (a)

     674,950         10,131,000   

Noble Energy, Inc. (a)

     197,892         7,098,386   

Occidental Petroleum Corp. (a)

     292,800         22,123,968   

Oil Search Ltd.

     1,648,963         8,326,561   

Phillips 66 (a)

     201,800         16,010,812   

Pioneer Natural Resources Co. (a)

     90,000         13,608,900   

Royal Dutch Shell PLC, A Shares

     717,198         19,698,061   
Common Stocks    Shares      Value  

Oil, Gas & Consumable Fuels (continued)

     

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

     619,100       $ 34,186,702   

Tesoro Corp. (a)

     46,850         3,510,002   

TOTAL SA

     4,765         228,512   

TransCanada Corp. (a)

     248,100         11,226,383   

Valero Energy Corp. (a)

     164,250         8,376,750   
     

 

 

 
                404,868,363   

Total Long-Term Investments

(Cost — $437,147,378) — 96.9%

              445,417,891   
     
Short-Term Securities                

BlackRock Liquidity Funds, TempFund, Institutional Class, 0.40% (d)(e)

     21,613,354         21,613,354   

Total Short-Term Securities

(Cost — $21,613,354) — 4.7%

              21,613,354   

Total Investments Before Options Written

(Cost — $458,760,732) — 101.6%

              467,031,245   
     
Options Written                

(Premiums Received — $4,182,881) — (1.4)%

              (6,247,202

Total Investments Net of Options Written — 100.2%

  

     460,784,043   

Liabilities in Excess of Other Assets — (0.2)%

        (938,940
     

 

 

 

Net Assets — 100.0%

      $ 459,845,103   
     

 

 

 
 

 

      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) Current yield as of period end.

 

(e) During the six months ended June 30, 2016, 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,

2015

    

Net

Activity

   

Shares

Held at
June 30,

2016

    

Value at
June 30,

2016

     Income  

BlackRock Liquidity Funds, TempFund, Institutional Class

     5,394,590         16,218,764        21,613,354         $21,613,354         $17,629   

BlackRock Liquidity Series, LLC Money Market Series

     $   944,554         $   (944,554                     $  1,031 1 

Total

                 $21,613,354         $18,660   
          

 

 

 

 

  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    REIT    Real Estate Investment Trust
AUD    Australian Dollar      JPY    Japanese Yen    SEK    Swedish Krona
CAD    Canadian Dollar      MXN    Mexican Peso    TWD    Taiwan Dollar
CHF    Swiss Franc      NOK    Norwegian Krone    USD    U.S. Dollar
EUR    Euro      NZD    New Zealand Dollar    ZAR    South African Rand
GBP    British Pound              

 

See Notes to Financial Statements.

 

     SEMI-ANNUAL REPORT    JUNE 30, 2016    25


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

 

 

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

Baker Hughes, Inc.

     Call       7/01/16      USD         49.00         77       $ (1,925

Chevron Corp.

     Call       7/01/16      USD         102.00         275         (78,100

Chevron Corp.

     Call       7/01/16      USD         103.00         19         (3,562

ConocoPhillips

     Call       7/01/16      USD         46.00         255         (1,020

Devon Energy Corp.

     Call       7/01/16      USD         40.50         185         (1,850

EOG Resources, Inc.

     Call       7/01/16      USD         81.50         117         (22,698

EOG Resources, Inc.

     Call       7/01/16      USD         82.00         21         (3,171

EOG Resources, Inc.

     Call       7/01/16      USD         83.00         21         (1,533

Hess Corp.

     Call       7/01/16      USD         58.00         383         (81,388

Phillips 66

     Call       7/01/16      USD         81.50         64         (1,920

Pioneer Natural Resources Co.

     Call       7/01/16      USD         167.50         120         (4,800

Schlumberger Ltd.

     Call       7/01/16      USD         75.00         194         (78,570

Schlumberger Ltd.

     Call       7/01/16      USD         76.50         67         (17,353

Valero Energy Corp.

     Call       7/01/16      USD         57.50         46         (414

Anadarko Petroleum Corp.

     Call       7/08/16      USD         53.50         104         (10,036

Anadarko Petroleum Corp.

     Call       7/08/16      USD         55.00         34         (1,445

Baker Hughes, Inc.

     Call       7/08/16      USD         48.00         470         (5,405

ConocoPhillips

     Call       7/08/16      USD         46.00         453         (4,530

Encana Corp.

     Call       7/08/16      CAD         10.50         710         (4,946

EOG Resources, Inc.

     Call       7/08/16      USD         85.50         209         (8,046

Exxon Mobil Corp.

     Call       7/08/16      USD         89.50         193         (78,165

Occidental Petroleum Corp.

     Call       7/08/16      USD         76.50         257         (10,408

Schlumberger Ltd.

     Call       7/08/16      USD         78.00         84         (13,860

Tesoro Corp.

     Call       7/08/16      USD         86.00         60         (2,040

Valero Energy Corp.

     Call       7/08/16      USD         56.00         118         (708

Anadarko Petroleum Corp.

     Call       7/15/16      USD         55.00         209         (16,929

Cabot Oil & Gas Corp.

     Call       7/15/16      USD         26.00         390         (23,400

Chevron Corp.

     Call       7/15/16      USD         100.00         275         (142,312

ConocoPhillips

     Call       7/15/16      USD         46.00         220         (6,160

Devon Energy Corp.

     Call       7/15/16      USD         37.50         191         (14,612

Enbridge, Inc.

     Call       7/15/16      CAD         54.00         763         (70,279

Encana Corp.

     Call       7/15/16      CAD         11.00         750         (6,094

EOG Resources, Inc.

     Call       7/15/16      USD         82.50         75         (16,838

EQT Corp.

     Call       7/15/16      USD         75.00         85         (27,625

EQT Corp.

     Call       7/15/16      USD         80.00         85         (5,738

Exxon Mobil Corp.

     Call       7/15/16      USD         90.00         194         (77,115

Hess Corp.

     Call       7/15/16      USD         62.50         56         (4,732

Marathon Oil Corp.

     Call       7/15/16      USD         15.00         1,150         (69,575

Noble Energy, Inc.

     Call       7/15/16      USD         37.50         161         (5,635

Noble Energy, Inc.

     Call       7/15/16      USD         40.00         161         (6,440

Occidental Petroleum Corp.

     Call       7/15/16      USD         77.50         257         (12,079

Phillips 66

     Call       7/15/16      USD         82.50         65         (1,788

Schlumberger Ltd.

     Call       7/15/16      USD         77.50         355         (84,845

Tesoro Corp.

     Call       7/15/16      USD         80.00         50         (2,475

Valero Energy Corp.

     Call       7/15/16      USD         57.50         23         (58

Anadarko Petroleum Corp.

     Call       7/22/16      USD         54.50         80         (11,040

Anadarko Petroleum Corp.

     Call       7/22/16      USD         56.00         88         (7,480

Chevron Corp.

     Call       7/22/16      USD         102.00         403         (147,095

ConocoPhillips

     Call       7/22/16      USD         46.00         368         (18,032

Devon Energy Corp.

     Call       7/22/16      USD         37.50         93         (9,626

Encana Corp.

     Call       7/22/16      CAD         11.00         355         (5,221

EOG Resources, Inc.

     Call       7/22/16      USD         87.00         172         (12,728

Exxon Mobil Corp.

     Call       7/22/16      USD         91.50         47         (13,630

Hess Corp.

     Call       7/22/16      USD         60.00         200         (46,300

Occidental Petroleum Corp.

     Call       7/22/16      USD         75.50         171         (27,446

Phillips 66

     Call       7/22/16      USD         82.50         64         (4,000

Valero Energy Corp.

     Call       7/22/16      USD         55.00         265         (6,360

 

See Notes to Financial Statements.

 

26    SEMI-ANNUAL REPORT    JUNE 30, 2016     


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

 

Description    Put/
Call
     Expiration
Date
    

Strike

Price

     Contracts      Value  

Anadarko Petroleum Corp.

     Call         7/29/16         USD         55.50         172       $ (23,994

Baker Hughes, Inc.

     Call         7/29/16         USD         48.50         470         (30,080

ConocoPhillips

     Call         7/29/16         USD         48.50         192         (5,088

Devon Energy Corp.

     Call         7/29/16         USD         37.00         150         (22,275

EOG Resources, Inc.

     Call         7/29/16         USD         83.00         117         (31,766

Marathon Oil Corp.

     Call         7/29/16         USD         14.50         606         (67,872

Occidental Petroleum Corp.

     Call         7/29/16         USD         78.50         170         (11,390

Phillips 66

     Call         7/29/16         USD         81.00         181         (24,888

Pioneer Natural Resources Co.

     Call         7/29/16         USD         167.50         74         (9,065

Royal Dutch Shell PLC, A Shares — ADR

     Call         7/29/16         USD         55.50         566         (82,070

Schlumberger Ltd.

     Call         7/29/16         USD         79.50         84         (17,052

Tesoro Corp.

     Call         7/29/16         USD         78.50         53         (7,924

Anadarko Petroleum Corp.

     Call         8/05/16         USD         56.00         88         (13,156

ConocoPhillips

     Call         8/05/16         USD         46.00         203         (17,966

Exxon Mobil Corp.

     Call         8/05/16         USD         90.50         143         (57,558

Hess Corp.

     Call         8/05/16         USD         58.00         86         (35,905

Marathon Oil Corp.

     Call         8/05/16         USD         15.00         302         (30,200

Marathon Oil Corp.

     Call         8/05/16         USD         15.50         303         (23,482

Occidental Petroleum Corp.

     Call         8/05/16         USD         77.00         170         (23,715

Schlumberger Ltd.

     Call         8/05/16         USD         80.00         238         (47,957

Anadarko Petroleum Corp.

     Call         8/12/16         USD         55.50         96         (18,000

Exxon Mobil Corp.

     Call         8/12/16         USD         93.50         595         (119,595

Anadarko Petroleum Corp.

     Call         8/19/16         USD         55.00         96         (21,792

ConocoPhillips

     Call         8/19/16         USD         44.00         75         (14,438

Devon Energy Corp.

     Call         8/19/16         USD         38.00         191         (33,616

Encana Corp.

     Call         8/19/16         CAD         12.00         355         (5,908

EOG Resources, Inc.

     Call         8/19/16         USD         85.00         117         (33,111

Exxon Mobil Corp.

     Call         8/19/16         USD         92.50         838         (232,126

Noble Energy, Inc.

     Call         8/19/16         USD         37.50         250         (30,000

Phillips 66

     Call         8/19/16         USD         82.50         332         (44,820

Schlumberger Ltd.

     Call         8/19/16         USD         77.50         194         (72,750

TransCanada Corp.

     Call         8/19/16         CAD         58.00         225         (26,385

Pioneer Natural Resources Co.

     Call         9/16/16         USD         165.00         121         (48,400

Total

                  $ (2,625,924
                 

 

 

 

 

OTC Options Written

 

                                                      
Description    Put/
Call
       Counterparty      Expiration
Date
    

Strike

Price

       Contracts        Value  

Cairn Energy PLC

     Call         UBS AG      7/06/16        GBP         2.08           75,000         $ (5,181

EQT Corp.

     Call         JPMorgan Chase Bank N.A.      7/06/16        USD         73.05           28,400           (127,116

Lundin Petroleum AB

     Call         Bank of America N.A.      7/06/16        SEK         155.75           40,000           (8,071

BP PLC

     Call         UBS AG      7/07/16        GBP         3.67           200,000           (195,046

Cimarex Energy Co.

     Call         Bank of America N.A.      7/07/16        USD         110.00           14,000           (132,367

Royal Dutch Shell PLC, A Shares — ADR

     Call         Citibank N.A.      7/07/16        USD         49.40           70,000           (407,400

BP PLC

     Call         Credit Suisse International      7/12/16        GBP         3.72           200,000           (180,593

Cairn Energy PLC

     Call         Morgan Stanley & Co. International PLC      7/12/16        GBP         2.35           83,500           (1,039

Oil Search Ltd.

     Call         Bank of America N.A.      7/13/16        AUD         6.77           182,000           (22,581

Cairn Energy PLC

     Call         Deutsche Bank AG      7/19/16        GBP         2.22           126,500           (6,284

Lundin Petroleum AB

     Call         Bank of America N.A.      7/19/16        SEK         153.32           44,000           (24,357

BP PLC

     Call         Morgan Stanley & Co. International PLC      7/20/16        GBP         3.67           200,000           (195,572

Oil Search Ltd.

     Call         Citibank N.A.      7/20/16        AUD         6.76           182,000           (28,128

Royal Dutch Shell PLC, A Shares — ADR

     Call         Citibank N.A.      7/21/16        USD         49.40           70,000           (407,400

Cimarex Energy Co.

     Call         Citibank N.A.      7/25/16        USD         116.28           20,500           (116,015

BP PLC

     Call         Morgan Stanley & Co. International PLC      7/26/16        GBP         3.76           200,000           (173,486

Cairn Energy PLC

     Call         Goldman Sachs International      7/27/16        GBP         2.15           65,000           (6,491

Enbridge, Inc.

     Call         Deutsche Bank AG      7/29/16        CAD         54.15           29,700           (32,423

Noble Energy, Inc.

     Call         Citibank N.A.      7/29/16        USD         38.26           12,000           (5,248

BP PLC

     Call         Credit Suisse International      8/02/16        GBP         3.88           146,500           (103,238

Cairn Energy PLC

     Call         Morgan Stanley & Co. International PLC      8/02/16        GBP         2.06           220,000           (36,595

Eni SpA

     Call         Bank of America N.A.      8/02/16        EUR         14.51           87,000           (45,774

Royal Dutch Shell PLC, A Shares

     Call         Morgan Stanley & Co. International PLC      8/04/16        GBP         18.63           110,700           (312,867

 

See Notes to Financial Statements.

 

     SEMI-ANNUAL REPORT    JUNE 30, 2016    27


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

 

Description    Put/
Call
       Counterparty      Expiration
Date
    

Strike

Price

       Contracts        Value  

Royal Dutch Shell PLC, A Shares — ADR

     Call         Citibank N.A.      8/04/16        USD         49.63           20,000         $ (111,900

Encana Corp.

     Call         Citibank N.A.      8/08/16        CAD         11.00           47,000           (14,155

Eni SpA

     Call         Credit Suisse International      8/09/16        EUR         13.72           13,000           (14,961

Cabot Oil & Gas Corp.

     Call         Citibank N.A.      8/11/16        USD         25.55           27,000           (38,573

Oil Search Ltd.

     Call         Citibank N.A.      8/12/16        AUD         6.44           213,000           (77,363

BP PLC

     Call         Credit Suisse International      8/16/16        GBP         3.70           272,000           (254,285

Cairn Energy PLC

     Call         Credit Suisse International      8/16/16        GBP         2.00           67,000           (15,897

TransCanada Corp.

     Call         Deutsche Bank AG      8/18/16        CAD         55.70           19,000           (46,261

Eni SpA

     Call         Goldman Sachs International      8/23/16        EUR         14.77           87,000           (46,135

Cabot Oil & Gas Corp.

     Call         Citibank N.A.      9/08/16        USD         26.00           30,000           (47,741

Royal Dutch Shell PLC, A Shares

     Call         Credit Suisse International      9/08/16        GBP         19.59           140,000           (256,409

TransCanada Corp.

     Call         Deutsche Bank AG      9/09/16        CAD         55.47           45,400           (124,326

Total

                               $ (3,621,278
                              

 

 

 

 

      Transactions in Options Written for the Period Ended June 30, 2016

 

       Calls            Puts   
     Contracts      Premiums
Received
            Contracts        Premiums
Received
 

 

     

 

 

 

Outstanding options at beginning of period

     3,555,178       $ 3,279,955              —             

Options written

         12,491,283         15,849,602                      

Options exercised

     (262      (35,117                   

Options expired

     (7,759,160      (5,273,402                   

Options closed

     (4,879,629      (9,638,157                   
  

 

 

     

 

 

 

Outstanding options at end of period

     3,407,410       $ 4,182,881                      
  

 

 

     

 

 

 

As of period end, the value of portfolio securities subject to covered call options written was $153,910,221.

 

      Derivative Financial Instruments Categorized by Risk Exposure

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

 

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

Liabilities — Derivative Financial Instruments

  

                                                                 

Options written

         Options written, at value                               $6,247,202                               $6,247,202   
  

 

 

 

For the six months ended June 30, 2016, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

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

Options purchased1

                   $ (406                   $ (406

Options written

                     (828,296                     (828,296
  

 

 

 

Total

                   $ (828,702                   $ (828,702
  

 

 

 
                

Net Change in Unrealized Appreciation (Depreciation) on:

                                                    

Options written

                   $ (4,407,470                   $ (4,407,470
  

 

 

 

 

  1   

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

 

See Notes to Financial Statements.

 

28    SEMI-ANNUAL REPORT    JUNE 30, 2016     


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

 

 

      Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Options:

        

Average value of option contracts purchased1

   $ 406   

Average value of option contracts written

   $ 5,462,358   

 

  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

     —             $ 6,247,202   
  

 

 

 

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

     —             $ (2,625,924
  

 

 

 

Total derivative assets and liabilities subject to an MNA.

     —             $ 3,621,278   
  

 

 

 

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.

     $ 233,150                                  $ 233,150  

Citibank N.A.

       1,253,923                 $ (1,130,598 )                123,325  

Credit Suisse International

       825,383                   (825,383 )                 

Deutsche Bank AG

       209,294                   (209,294 )                 

Goldman Sachs International

       52,626                                    52,626  

JPMorgan Chase Bank N.A.

       127,116                                    127,116  

Morgan Stanley & Co. International PLC

       719,559                   (628,058 )                91,501  

UBS AG

       200,227                   (8,623 )                191,604  

Total

     $ 3,621,278                 $ (2,801,956 )              $ 819,322  

 

  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

   $ 40,549,528                 —           $ 40,549,528   

Oil, Gas & Consumable Fuels

     338,207,702       $ 66,660,661         —             404,868,363   

Short-Term Securities

     21,613,354                 —             21,613,354   
  

 

 

 

Total

   $             400,370,584       $             66,660,661         —           $             467,031,245   
  

 

 

 

 

See Notes to Financial Statements.

 

     SEMI-ANNUAL REPORT    JUNE 30, 2016    29


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

 

                    Level 1                                  Level 2                                  Level 3                                  Total                

Derivative Financial Instruments1

       

Liabilities:

       

Equity contracts.

  $ (2,625,924   $ (3,621,278     $ (6,247,202
 

 

 

 

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

The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement 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

  $ 9,619               $ 9,619   

Liabilities:

       

Bank overdraft

         $ (4,868       (4,868
 

 

 

 

Total

  $ 9,619      $ (4,868     $ 4,751   
 

 

 

 

 

During the six months ended June 30, 2016, there were no transfers between levels.

  

 

See Notes to Financial Statements.

 

30    SEMI-ANNUAL REPORT    JUNE 30, 2016     


Schedule of Investments June 30, 2016 (Unaudited)      BlackRock Enhanced Capital and Income Fund, Inc. (CII)   
     (Percentages shown are based on Net Assets)   

 

Common Stocks    Shares      Value  

Aerospace & Defense — 2.5%

     

L-3 Communications Holdings, Inc. (a)

     34,490       $ 5,059,338   

Raytheon Co. (a)

     77,100         10,481,745   
     

 

 

 
                15,541,083   

Airlines — 2.8%

     

Delta Air Lines, Inc. (a)

     166,700         6,072,881   

Southwest Airlines Co. (a)

     246,613         9,669,696   

United Continental Holdings, Inc. (b)

     40,380         1,657,195   
     

 

 

 
                17,399,772   

Auto Components — 2.3%

     

Goodyear Tire & Rubber Co. (a)

     166,700         4,277,522   

Lear Corp.

     97,753         9,947,345   
     

 

 

 
                14,224,867   

Banks — 10.6%

     

Bank of America Corp. (a)

     1,264,348         16,777,898   

Citigroup, Inc. (a)

     163,257         6,920,464   

JPMorgan Chase & Co. (a)

     343,755         21,360,936   

SunTrust Banks, Inc. (a)

     180,770         7,426,032   

U.S. Bancorp. (a)

     352,815         14,229,029   
     

 

 

 
                66,714,359   

Beverages — 1.8%

     

Dr Pepper Snapple Group, Inc. (a)

     97,100         9,382,773   

Molson Coors Brewing Co., Class B (a)

     20,248         2,047,680   
     

 

 

 
                11,430,453   

Biotechnology — 4.0%

     

Amgen, Inc. (a)

     82,670         12,578,242   

Gilead Sciences, Inc. (a)

     146,853         12,250,477   
     

 

 

 
                24,828,719   

Building Products — 0.7%

     

Owens Corning (a)

     82,800         4,265,856   

Capital Markets — 1.6%

     

Goldman Sachs Group, Inc. (a)

     66,970         9,950,403   

Chemicals — 1.0%

     

Dow Chemical Co. (a)

     46,541         2,313,553   

Eastman Chemical Co. (a)

     54,750         3,717,525   
     

 

 

 
                6,031,078   

Communications Equipment — 2.5%

     

Cisco Systems, Inc. (a)

     554,922         15,920,712   

Construction & Engineering — 0.7%

     

AECOM (a)(b)

     91,647         2,911,625   

EMCOR Group, Inc. (a)

     27,300         1,344,798   
     

 

 

 
                4,256,423   

Consumer Finance — 0.8%

     

SLM Corp. (b)

     838,876         5,184,254   

Containers & Packaging — 1.5%

     

Avery Dennison Corp. (a)

     44,900         3,356,275   

Packaging Corp. of America (a)

     91,443         6,120,280   
     

 

 

 
                9,476,555   

Electronic Equipment, Instruments & Components — 1.1%

  

  

CDW Corp.

     96,580         3,870,926   

Flextronics International Ltd. (a)(b)

     242,100         2,856,780   
     

 

 

 
                6,727,706   

Energy Equipment & Services — 0.3%

     

Schlumberger Ltd. (a)

     25,469         2,014,089   

Food & Staples Retailing — 3.9%

     

CVS Health Corp. (a)

     169,487         16,226,685   
Common Stocks    Shares      Value  

Food & Staples Retailing (continued)

     

Walgreens Boots Alliance, Inc. (a)

     101,200       $ 8,426,924   
     

 

 

 
                24,653,609   

Food Products — 0.9%

     

Tyson Foods, Inc., Class A (a)

     85,986         5,743,005   

Health Care Providers & Services — 8.7%

     

Aetna, Inc. (a)(c)

     132,008         16,122,137   

Centene Corp. (a)(b)

     125,600         8,964,072   

Cigna Corp. (a)

     64,634         8,272,506   

Humana, Inc. (a)

     22,018         3,960,598   

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

     49,889         6,499,040   

UnitedHealth Group, Inc. (a)

     78,020         11,016,424   
     

 

 

 
                54,834,777   

Hotels, Restaurants & Leisure — 1.9%

     

Carnival Corp. (a)

     274,768         12,144,746   

Household Durables — 1.6%

     

DR Horton, Inc. (a)

     173,148         5,450,699   

Lennar Corp., Class A (a)

     60,253         2,777,663   

NVR, Inc. (b)

     1,181         2,102,582   
     

 

 

 
                10,330,944   

Insurance — 2.1%

     

American International Group, Inc. (a)

     117,462         6,212,565   

Travelers Cos., Inc. (a)

     59,148         7,040,978   
     

 

 

 
                13,253,543   

Internet Software & Services — 4.6%

     

Alphabet, Inc., Class A (a)(b)

     35,658         25,086,473   

Facebook, Inc., Class A (a)(b)

     33,550         3,834,094   
     

 

 

 
                28,920,567   

IT Services — 2.0%

     

Amdocs Ltd. (a)

     89,991         5,194,281   

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

     123,034         7,042,466   
     

 

 

 
                12,236,747   

Machinery — 0.4%

     

WABCO Holdings, Inc. (b)

     28,600         2,618,902   

Media — 4.3%

     

Comcast Corp., Class A (a)

     316,505         20,632,961   

Omnicom Group, Inc.

     79,213         6,455,067   
     

 

 

 
                27,088,028   

Metals & Mining — 0.7%

     

Rio Tinto PLC — ADR (a)

     142,851         4,471,236   

Multi-Utilities — 0.8%

     

Public Service Enterprise Group, Inc. (a)

     109,611         5,108,969   

Oil, Gas & Consumable Fuels — 5.5%

     

Anadarko Petroleum Corp. (a)

     37,490         1,996,344   

BP PLC — ADR (a)

     285,330         10,132,068   

Chevron Corp. (a)

     70,600         7,400,998   

Hess Corp. (a)

     54,589         3,280,799   

Marathon Oil Corp. (a)

     103,570         1,554,586   

Statoil ASA — ADR (a)

     123,650         2,140,382   

Suncor Energy, Inc. (a)

     235,155         6,520,848   

Valero Energy Corp. (a)

     34,800         1,774,800   
     

 

 

 
                34,800,825   

Pharmaceuticals — 4.4%

     

Johnson & Johnson (a)

     23,900         2,899,070   

Pfizer, Inc. (a)

     455,581         16,041,007   
 

 

See Notes to Financial Statements.

 

     SEMI-ANNUAL REPORT    JUNE 30, 2016    31


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

 

Common Stocks    Shares      Value  

Pharmaceuticals (continued)

     

Teva Pharmaceutical Industries Ltd. — ADR (a)

     166,579       $ 8,367,263   
     

 

 

 
                27,307,340   

Road & Rail — 0.6%

     

Norfolk Southern Corp. (a)

     42,313         3,602,106   

Semiconductors & Semiconductor Equipment — 2.5%

  

  

Intel Corp. (a)

     91,255         2,993,164   

Lam Research Corp. (a)

     128,054         10,764,219   

NVIDIA Corp. (a)

     44,110         2,073,611   
     

 

 

 
                15,830,994   

Software — 5.1%

     

Activision Blizzard, Inc. (a)

     331,680         13,144,478   

Microsoft Corp. (a)(c)

     372,384         19,054,889   
     

 

 

 
                32,199,367   

Specialty Retail — 5.5%

     

GNC Holdings, Inc., Class A (a)

     99,400         2,414,426   

Home Depot, Inc. (a)

     112,849         14,409,689   

Lowe’s Cos., Inc. (a)

     156,449         12,386,067   

Ross Stores, Inc. (a)

     91,890         5,209,244   
     

 

 

 
                34,419,426   

Technology Hardware, Storage & Peripherals — 5.8%

  

  

Apple, Inc. (a)(c)

     284,067         27,156,801   

EMC Corp. (a)

     291,972         7,932,879   

Western Digital Corp. (a)

     33,610         1,588,409   
     

 

 

 
                36,678,089   

Tobacco — 2.6%

     

Altria Group, Inc. (a)

     234,185         16,149,398   

Total Common Stocks — 98.1%

              616,358,947   

Total Long-Term Investments

(Cost — $611,148,225) — 98.1%

              616,358,947   
     
                  
Short-Term Securities    Shares      Value  
Money Market Funds                

BlackRock Liquidity Funds, TempFund, Institutional Class, 0.40% (d)(e)

     9,391,637       $ 9,391,637   
Time Deposits   

Par  

(000)

         

Brown Brothers Harriman & Co., 0.23%, 7/01/16

   $ 138         137,578   

Total Short-Term Securities

(Cost — $9,529,215) — 1.5%

              9,529,215   

Total Investments Before Options Written

(Cost — $620,677,440) — 99.6%

              625,888,162   
     
Options Written                

(Premiums Received — $6,261,237) — (1.0)%

              (6,439,419

Total Investments Net of Options Written — 98.6%

  

     619,448,743   

Other Assets Less Liabilities — 1.4%

        8,845,914   
     

 

 

 

Net Assets — 100.0%

      $ 628,294,657   
     

 

 

 
 

 

      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 six months ended June 30, 2016, investments in issuers considered to be affiliates of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate   

Shares

Held at
December 31,

2015

    

Net

Activity

   

Shares

Held at
June 30,

2016

    

Value at
June 30,

2016

     Income  

BlackRock Liquidity Funds, TempFund, Institutional Class

     15,619,710         (6,228,073     9,391,637         $9,391,637       $ 36,416   

BlackRock Liquidity Series, LLC Money Market Series

                                  $ 689 1 

Total

                 $9,391,637       $ 37,105   
          

 

 

 

 

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

 

See Notes to Financial Statements.

 

32    SEMI-ANNUAL REPORT    JUNE 30, 2016     


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

 

Derivative Financial Instruments Outstanding as of Period End

Exchange-Traded Options Written

 

Description    Put/
Call
     Expiration
Date
  

Strike

Price

     Contracts      Value  

Activision Blizzard, Inc.

     Call       7/01/16      USD         37.50         194       $ (42,098

Aetna, Inc.

     Call       7/01/16      USD         115.00         250         (176,871

Alphabet, Inc., Class A

     Call       7/01/16      USD         750.00         39         (195

American International Group, Inc.

     Call       7/01/16      USD         58.50         127         (1,524

Chevron Corp.

     Call       7/01/16      USD         104.00         62         (6,076

Citigroup, Inc.

     Call       7/01/16      USD         46.00         141         (141

Cognizant Technology Solutions Corp., Class A

     Call       7/01/16      USD         63.50         200         (5,000

Dow Chemical Co.

     Call       7/01/16      USD         52.50         143         (572

DR Horton, Inc.

     Call       7/01/16      USD         30.50         118         (11,564

Facebook, Inc., Class A

     Call       7/01/16      USD         119.00         76         (114

Gilead Sciences, Inc.

     Call       7/01/16      USD         85.50         66         (198

Goldman Sachs Group, Inc.

     Call       7/01/16      USD         162.50         76         (1,900

Hess Corp.

     Call       7/01/16      USD         58.00         124         (26,350

Norfolk Southern Corp.

     Call       7/01/16      USD         85.00         101         (5,555

Southwest Airlines Co.

     Call       7/01/16      USD         45.00         120         (5,400

U.S. Bancorp.

     Call       7/01/16      USD         43.00         220         (1,980

UnitedHealth Group, Inc.

     Call       7/01/16      USD         134.00         36         (24,930

Valero Energy Corp.

     Call       7/01/16      USD         57.50         25         (225

Eastman Chemical Co.

     Call       7/07/16      USD         74.26         99         (23

Activision Blizzard, Inc.

     Call       7/08/16      USD         40.00         290         (13,050

Aetna, Inc.

     Call       7/08/16      USD         121.00         84         (18,396

Alphabet, Inc., Class A

     Call       7/08/16      USD         750.00         33         (825

Altria Group, Inc.

     Call       7/08/16      USD         64.50         177         (70,358

American International Group, Inc.

     Call       7/08/16      USD         57.50         192         (2,496

Amgen, Inc.

     Call       7/08/16      USD         162.50         142         (994

Anadarko Petroleum Corp.

     Call       7/08/16      USD         53.50         26         (2,509

Apple, Inc.

     Call       7/08/16      USD         103.00         79         (237

Bank of America Corp.

     Call       7/08/16      USD         15.00         1,500         (1,500

BP PLC — ADR

     Call       7/08/16      USD         33.00         215         (55,363

Chevron Corp.

     Call       7/08/16      USD         104.00         59         (8,909

Cisco Systems, Inc.

     Call       7/08/16      USD         29.00         97         (630

Cisco Systems, Inc.

     Call       7/08/16      USD         29.50         200         (600

Citigroup, Inc.

     Call       7/08/16      USD         47.00         107         (1,070

Cognizant Technology Solutions Corp., Class A

     Call       7/08/16      USD         63.50         200         (5,000

Delta Air Lines, Inc.

     Call       7/08/16      USD         43.00         260         (3,120

DR Horton, Inc.

     Call       7/08/16      USD         31.00         140         (9,940

EMC Corp.

     Call       7/08/16      USD         28.00         500         (36,500

Facebook, Inc., Class A

     Call       7/08/16      USD         121.00         20         (70

Goodyear Tire & Rubber Co.

     Call       7/08/16      USD         28.00         545         (2,725

Home Depot, Inc.

     Call       7/08/16      USD         134.00         39         (975

Home Depot, Inc.

     Call       7/08/16      USD         136.00         39         (975

JPMorgan Chase & Co.

     Call       7/08/16      USD         66.00         78         (156

Marathon Oil Corp.

     Call       7/08/16      USD         14.50         25         (1,725

Microsoft Corp.

     Call       7/08/16      USD         53.50         147         (368

Southwest Airlines Co.

     Call       7/08/16      USD         43.50         85         (4,250

Suncor Energy, Inc.

     Call       7/08/16      USD         28.50         185         (2,220

Teva Pharmaceutical Industries Ltd. — ADR

     Call       7/08/16      USD         54.50         92         (1,196

U.S. Bancorp.

     Call       7/08/16      USD         42.00         125         (2,250

U.S. Bancorp.

     Call       7/08/16      USD         43.00         160         (4,000

U.S. Bancorp.

     Call       7/08/16      USD         43.50         320         (8,000

UnitedHealth Group, Inc.

     Call       7/08/16      USD         138.00         74         (25,345

UnitedHealth Group, Inc.

     Call       7/08/16      USD         139.00         62         (16,523

Valero Energy Corp.

     Call       7/08/16      USD         56.00         79         (474

Walgreens Boots Alliance, Inc.

     Call       7/08/16      USD         85.00         70         (8,470

AECOM

     Call       7/11/16      USD         33.50         100         (537

Travelers Cos., Inc.

     Call       7/11/16      USD         113.00         86         (52,394

Activision Blizzard, Inc.

     Call       7/15/16      USD         39.50         269         (24,479

AECOM

     Call       7/15/16      USD         32.50         200         (6,000

 

See Notes to Financial Statements.

 

     SEMI-ANNUAL REPORT    JUNE 30, 2016    33


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

 

Description    Put/
Call
     Expiration
Date
  

Strike

Price

     Contracts      Value  

Altria Group, Inc.

     Call       7/15/16      USD         65.00         120       $ (48,600

Amdocs Ltd.

     Call       7/15/16      USD         60.00         237         (9,480

Anadarko Petroleum Corp.

     Call       7/15/16      USD         55.00         51         (4,131

Apple, Inc.

     Call       7/15/16      USD         100.00         60         (660

Apple, Inc.

     Call       7/15/16      USD         97.50         150         (7,350

Avery Dennison Corp.

     Call       7/15/16      USD         75.00         90         (8,100

Bank of America Corp.

     Call       7/15/16      USD         14.00         459         (3,902

BP PLC — ADR

     Call       7/15/16      USD         33.00         47         (12,572

BP PLC — ADR

     Call       7/15/16      USD         34.00         94         (16,873

Carnival Corp.

     Call       7/15/16      USD         52.50         511         (2,555

Centene Corp.

     Call       7/15/16      USD         70.00         33         (7,672

Cigna Corp.

     Call       7/15/16      USD         130.00         220         (37,510

Cisco Systems, Inc.

     Call       7/15/16      USD         28.00         414         (29,808

Citigroup, Inc.

     Call       7/15/16      USD         45.50         52         (936

Citigroup, Inc.

     Call       7/15/16      USD         46.00         26         (312

Cognizant Technology Solutions Corp., Class A

     Call       7/15/16      USD         60.00         105         (2,100

Dow Chemical Co.

     Call       7/15/16      USD         52.50         35         (472

DR Horton, Inc.

     Call       7/15/16      USD         31.00         120         (10,440

Eastman Chemical Co.

     Call       7/15/16      USD         72.50         95         (2,375

EMC Corp.

     Call       7/15/16      USD         28.00         522         (5,220

Facebook, Inc., Class A

     Call       7/15/16      USD         120.00         11         (182

Flextronics International Ltd.

     Call       7/15/16      USD         13.00         390         (975

Gilead Sciences, Inc.

     Call       7/15/16      USD         87.50         66         (1,452

GNC Holdings, Inc., Class A

     Call       7/15/16      USD         27.50         179         (4,028

Goldman Sachs Group, Inc.

     Call       7/15/16      USD         165.00         45         (292

Hess Corp.

     Call       7/15/16      USD         62.50         83         (7,014

Home Depot, Inc.

     Call       7/15/16      USD         130.00         203         (12,789

JPMorgan Chase & Co.

     Call       7/15/16      USD         65.00         180         (3,420

L-3 Communications Holdings, Inc.

     Call       7/15/16      USD         140.00         106         (64,660

L-3 Communications Holdings, Inc.

     Call       7/15/16      USD         145.00         155         (42,238

Lam Research Corp.

     Call       7/15/16      USD         82.50         80         (19,800

Lam Research Corp.

     Call       7/15/16      USD         85.00         317         (32,493

Lennar Corp., Class A

     Call       7/15/16      USD         47.00         165         (7,178

Lennar Corp., Class A

     Call       7/15/16      USD         48.00         134         (2,479

Lowe’s Cos., Inc.

     Call       7/15/16      USD         80.00         178         (13,083

Marathon Oil Corp.

     Call       7/15/16      USD         15.00         310         (18,755

Molson Coors Brewing Co., Class B

     Call       7/15/16      USD         100.00         70         (16,625

Molson Coors Brewing Co., Class B

     Call       7/15/16      USD         105.00         70         (3,150

NVIDIA Corp.

     Call       7/15/16      USD         45.00         83         (20,667

Owens Corning

     Call       7/15/16      USD         50.00         30         (5,550

Packaging Corp. of America

     Call       7/15/16      USD         67.50         62         (6,200

Pfizer, Inc.

     Call       7/15/16      USD         35.00         24         (1,248

Raytheon Co.

     Call       7/15/16      USD         135.00         208         (38,584

Rio Tinto PLC — ADR

     Call       7/15/16      USD         30.00         190         (34,200

Rio Tinto PLC — ADR

     Call       7/15/16      USD         32.50         72         (3,600

Ross Stores, Inc.

     Call       7/15/16      USD         55.00         200         (39,000

Schlumberger Ltd.

     Call       7/15/16      USD         77.50         113         (27,007

Statoil ASA — ADR

     Call       7/15/16      USD         17.50         305         (9,150

Suncor Energy, Inc.

     Call       7/15/16      USD         29.00         185         (2,312

SunTrust Banks, Inc.

     Call       7/15/16      USD         44.00         155         (4,108

Teva Pharmaceutical Industries Ltd. — ADR

     Call       7/15/16      USD         55.00         220         (990

Travelers Cos., Inc.

     Call       7/15/16      USD         115.00         205         (86,100

Tyson Foods, Inc., Class A

     Call       7/15/16      USD         65.00         100         (24,250

U.S. Bancorp.

     Call       7/15/16      USD         43.00         161         (805

U.S. Bancorp.

     Call       7/15/16      USD         44.00         160         (1,920

Valero Energy Corp.

     Call       7/15/16      USD         57.50         12         (30

Activision Blizzard, Inc.

     Call       7/22/16      USD         39.00         217         (30,706

Aetna, Inc.

     Call       7/22/16      USD         122.00         92         (24,978

Alphabet, Inc., Class A

     Call       7/22/16      USD         730.00         17         (4,802

Altria Group, Inc.

     Call       7/22/16      USD         64.50         223         (91,988

Altria Group, Inc.

     Call       7/22/16      USD         66.00         202         (66,155

American International Group, Inc.

     Call       7/22/16      USD         55.00         136         (4,352

Amgen, Inc.

     Call       7/22/16      USD         162.50         112         (2,296

Anadarko Petroleum Corp.

     Call       7/22/16      USD         56.00         60         (5,100

 

See Notes to Financial Statements.

 

34    SEMI-ANNUAL REPORT    JUNE 30, 2016     


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

 

Description    Put/
Call
     Expiration
Date
  

Strike

Price

     Contracts      Value  

Bank of America Corp.

     Call       7/22/16      USD         15.50         497       $ (1,988

BP PLC — ADR

     Call       7/22/16      USD         34.00         757         (143,830

Chevron Corp.

     Call       7/22/16      USD         102.00         169         (61,685

Citigroup, Inc.

     Call       7/22/16      USD         47.00         360         (3,780

Cognizant Technology Solutions Corp., Class A

     Call       7/22/16      USD         61.50         110         (3,850

Comcast Corp., Class A

     Call       7/22/16      USD         64.00         262         (41,920

Delta Air Lines, Inc.

     Call       7/22/16      USD         44.00         185         (3,700

Dow Chemical Co.

     Call       7/22/16      USD         54.00         58         (2,494

Goodyear Tire & Rubber Co.

     Call       7/22/16      USD         28.50         145         (2,900

Humana, Inc.

     Call       7/22/16      USD         197.50         110         (32,175

Johnson & Johnson

     Call       7/22/16      USD         117.00         59         (28,762

JPMorgan Chase & Co.

     Call       7/22/16      USD         64.00         230         (12,190

JPMorgan Chase & Co.

     Call       7/22/16      USD         66.00         62         (868

Marathon Oil Corp.

     Call       7/22/16      USD         15.00         25         (1,812

Microsoft Corp.

     Call       7/22/16      USD         53.00         468         (31,590

Pfizer, Inc.

     Call       7/22/16      USD         35.50         357         (12,495

Southwest Airlines Co.

     Call       7/22/16      USD         43.50         102         (1,785

Teva Pharmaceutical Industries Ltd. — ADR

     Call       7/22/16      USD         56.50         180         (3,960

Tyson Foods, Inc., Class A

     Call       7/22/16      USD         64.00         50         (16,750

Tyson Foods, Inc., Class A

     Call       7/22/16      USD         65.00         128         (33,920

UnitedHealth Group, Inc.

     Call       7/22/16      USD         139.00         124         (50,530

Valero Energy Corp.

     Call       7/22/16      USD         55.00         109         (2,616

Activision Blizzard, Inc.

     Call       7/29/16      USD         38.50         550         (107,525

Aetna, Inc.

     Call       7/29/16      USD         121.00         84         (30,870

Aetna, Inc.

     Call       7/29/16      USD         123.00         150         (39,375

Alphabet, Inc., Class A

     Call       7/29/16      USD         745.00         41         (26,035

Altria Group, Inc.

     Call       7/29/16      USD         66.00         448         (147,840

American International Group, Inc.

     Call       7/29/16      USD         56.00         70         (1,680

Amgen, Inc.

     Call       7/29/16      USD         157.50         98         (15,631

Apple, Inc.

     Call       7/29/16      USD         99.00         99         (11,434

Bank of America Corp.

     Call       7/29/16      USD         15.00         1,167         (5,835

BP PLC — ADR

     Call       7/29/16      USD         36.50         220         (13,090

Cisco Systems, Inc.

     Call       7/29/16      USD         29.00         498         (14,442

Cisco Systems, Inc.

     Call       7/29/16      USD         29.50         97         (1,406

Citigroup, Inc.

     Call       7/29/16      USD         43.50         19         (1,814

Citigroup, Inc.

     Call       7/29/16      USD         44.50         19         (1,159

Cognizant Technology Solutions Corp., Class A

     Call       7/29/16      USD         62.50         105         (4,200

Comcast Corp., Class A

     Call       7/29/16      USD         64.00         262         (51,352

DR Horton, Inc.

     Call       7/29/16      USD         31.00         165         (22,605

DR Horton, Inc.

     Call       7/29/16      USD         31.50         120         (13,140

DR Horton, Inc.

     Call       7/29/16      USD         32.00         83         (7,055

EMC Corp.

     Call       7/29/16      USD         28.00         218         (18,530

Facebook, Inc., Class A

     Call       7/29/16      USD         118.00         22         (4,444

Gilead Sciences, Inc.

     Call       7/29/16      USD         89.00         132         (8,316

Goldman Sachs Group, Inc.

     Call       7/29/16      USD         157.50         137         (17,330

Home Depot, Inc.

     Call       7/29/16      USD         130.00         203         (24,969

Intel Corp.

     Call       7/29/16      USD         32.00         152         (21,660

JPMorgan Chase & Co.

     Call       7/29/16      USD         64.00         230         (15,295

JPMorgan Chase & Co.

     Call       7/29/16      USD         65.50         349         (10,470

Lowe’s Cos., Inc.

     Call       7/29/16      USD         79.00         235         (36,543

Marathon Oil Corp.

     Call       7/29/16      USD         14.50         198         (22,176

Microsoft Corp.

     Call       7/29/16      USD         52.50         315         (30,398

Norfolk Southern Corp.

     Call       7/29/16      USD         87.00         110         (19,250

NVIDIA Corp.

     Call       7/29/16      USD         47.50         51         (6,656

Pfizer, Inc.

     Call       7/29/16      USD         35.00         734         (52,114

Pfizer, Inc.

     Call       7/29/16      USD         35.50         358         (15,394

Southwest Airlines Co.

     Call       7/29/16      USD         45.00         487         (24,350

Teva Pharmaceutical Industries Ltd. — ADR

     Call       7/29/16      USD         54.50         140         (2,520

Tyson Foods, Inc., Class A

     Call       7/29/16      USD         63.00         100         (43,000

U.S. Bancorp.

     Call       7/29/16      USD         43.50         353         (8,825

UnitedHealth Group, Inc.

     Call       7/29/16      USD         142.00         207         (54,648

Walgreens Boots Alliance, Inc.

     Call       7/29/16      USD         85.50         218         (35,534

 

See Notes to Financial Statements.

 

     SEMI-ANNUAL REPORT    JUNE 30, 2016    35


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

 

Description    Put/
Call
     Expiration
Date
  

Strike

Price

     Contracts      Value  

Western Digital Corp.

     Call       7/29/16      USD         51.00         84       $ (11,424

Raytheon Co.

     Call       8/01/16      USD         130.22         28         (17,401

Anadarko Petroleum Corp.

     Call       8/05/16      USD         56.00         50         (7,475

Apple, Inc.

     Call       8/05/16      USD         100.00         99         (9,801

Apple, Inc.

     Call       8/05/16      USD         97.50         118         (21,358

BP PLC — ADR

     Call       8/05/16      USD         35.00         93         (13,113

Cisco Systems, Inc.

     Call       8/05/16      USD         28.50         414         (24,219

Citigroup, Inc.

     Call       8/05/16      USD         46.50         26         (728

Comcast Corp., Class A

     Call       8/05/16      USD         63.00         167         (48,430

Dow Chemical Co.

     Call       8/05/16      USD         52.50         58         (3,190

Gilead Sciences, Inc.

     Call       8/05/16      USD         85.00         180         (35,910

Goodyear Tire & Rubber Co.

     Call       8/05/16      USD         27.50         143         (4,648

Hess Corp.

     Call       8/05/16      USD         58.00         65         (27,138

Intel Corp.

     Call       8/05/16      USD         33.00         145         (12,108

Johnson & Johnson

     Call       8/05/16      USD         117.00         60         (30,150

JPMorgan Chase & Co.

     Call       8/05/16      USD         62.50         314         (43,646

Marathon Oil Corp.

     Call       8/05/16      USD         15.00         292         (29,200

Marathon Oil Corp.

     Call       8/05/16      USD         15.50         93         (7,208

Microsoft Corp.

     Call       8/05/16      USD         53.00         246         (21,156

Pfizer, Inc.

     Call       8/05/16      USD         35.50         396         (20,592

Schlumberger Ltd.

     Call       8/05/16      USD         80.00         14         (2,821

Southwest Airlines Co.

     Call       8/05/16      USD         40.00         250         (29,375

Suncor Energy, Inc.

     Call       8/05/16      USD         28.50         370         (23,310

Teva Pharmaceutical Industries Ltd. — ADR

     Call       8/05/16      USD         52.50         100         (9,900

Tyson Foods, Inc., Class A

     Call       8/05/16      USD         67.00         50         (9,125

U.S. Bancorp.

     Call       8/05/16      USD         42.50         152         (4,256

Walgreens Boots Alliance, Inc.

     Call       8/05/16      USD         85.50         218         (39,349

Apple, Inc.

     Call       8/12/16      USD         97.50         210         (40,950

Bank of America Corp.

     Call       8/12/16      USD         14.00         1,130         (29,380

Cisco Systems, Inc.

     Call       8/12/16      USD         29.00         749         (30,335

Citigroup, Inc.

     Call       8/12/16      USD         44.50         52         (4,264

Comcast Corp., Class A

     Call       8/12/16      USD         65.50         331         (44,354

Intel Corp.

     Call       8/12/16      USD         33.50         94         (5,828

Pfizer, Inc.

     Call       8/12/16      USD         35.50         396         (21,780

Teva Pharmaceutical Industries Ltd. — ADR

     Call       8/12/16      USD         52.00         100         (13,400

Packaging Corp. of America

     Call       8/18/16      USD         69.65         258         (38,060

Activision Blizzard, Inc.

     Call       8/19/16      USD         41.00         139         (19,112

AECOM

     Call       8/19/16      USD         32.50         80         (8,400

Amgen, Inc.

     Call       8/19/16      USD         155.00         61         (20,588

Apple, Inc.

     Call       8/19/16      USD         105.00         386         (14,282

Bank of America Corp.

     Call       8/19/16      USD         15.00         306         (2,907

Chevron Corp.

     Call       8/19/16      USD         105.00         63         (17,199

Cigna Corp.

     Call       8/19/16      USD         145.00         162         (24,786

Cisco Systems, Inc.

     Call       8/19/16      USD         29.00         305         (19,520

Citigroup, Inc.

     Call       8/19/16      USD         47.50         14         (392

Comcast Corp., Class A

     Call       8/19/16      USD         65.00         133         (23,474

DR Horton, Inc.

     Call       8/19/16      USD         32.00         120         (13,080

Dr Pepper Snapple Group, Inc.

     Call       8/19/16      USD         95.00         88         (33,000

EMC Corp.

     Call       8/19/16      USD         28.00         219         (4,928

EMCOR Group, Inc.

     Call       8/19/16      USD         50.00         136         (18,020

Facebook, Inc., Class A

     Call       8/19/16      USD         120.00         38         (9,405

Flextronics International Ltd.

     Call       8/19/16      USD         13.00         410         (5,125

Gilead Sciences, Inc.

     Call       8/19/16      USD         92.50         290         (15,225

Intel Corp.

     Call       8/19/16      USD         32.15         65         (8,753

JPMorgan Chase & Co.

     Call       8/19/16      USD         62.50         275         (45,238

Laboratory Corp. of America Holdings

     Call       8/19/16      USD         130.00         250         (100,000

Microsoft Corp.

     Call       8/19/16      USD         52.50         685         (80,145

NVIDIA Corp.

     Call       8/19/16      USD         48.00         86         (19,565

Owens Corning

     Call       8/19/16      USD         50.00         194         (52,380

Pfizer, Inc.

     Call       8/19/16      USD         35.00         12         (1,050

Public Service Enterprise Group, Inc.

     Call       8/19/16      USD         45.00         60         (13,500

Raytheon Co.

     Call       8/19/16      USD         135.00         103         (37,852

Rio Tinto PLC — ADR

     Call       8/19/16      USD         30.00         180         (45,450

Rio Tinto PLC — ADR

     Call       8/19/16      USD         35.00         36         (1,800

Ross Stores, Inc.

     Call       8/19/16      USD         57.50         260         (46,800

 

See Notes to Financial Statements.

 

36    SEMI-ANNUAL REPORT    JUNE 30, 2016     


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

 

Description    Put/
Call
       Expiration
Date
      

Strike

Price

       Contracts        Value  

Southwest Airlines Co.

     Call           8/19/16           USD         42.00           185         $ (13,412

Statoil ASA — ADR

     Call           8/19/16           USD         17.50           313           (21,910

Suncor Energy, Inc.

     Call           8/19/16           USD         29.00           435           (25,013

U.S. Bancorp.

     Call           8/19/16           USD         42.00           113           (6,328

Total

                          $ (4,691,655
                         

 

 

 

 

OTC Options Written

 

                                                      
Description    Put/
Call
       Counterparty      Expiration
Date
    

Strike

Price

       Contracts        Value  

GNC Holdings, Inc., Class A

     Call         Deutsche Bank AG      7/01/16        USD         26.21           15,300         $ (1

Public Service Enterprise Group, Inc.

     Call         Goldman Sachs International      7/06/16        USD         44.69           35,400           (68,164

Eastman Chemical Co.

     Call         Credit Suisse International      7/07/16        USD         76.75           19,000           (1

CDW Corp.

     Call         Citibank N.A.      7/11/16        USD         41.61           25,000           (4,060

Dr Pepper Snapple Group, Inc.

     Call         Citibank N.A.      7/11/16        USD         91.22           15,000           (81,877

Lam Research Corp.

     Call         Deutsche Bank AG      7/11/16        USD         75.01           20,300           (183,924

Centene Corp.

     Call         Deutsche Bank AG      7/12/16        USD         58.78           27,500           (346,485

Raytheon Co.

     Call         Goldman Sachs International      7/12/16        USD         129.50           4,600           (29,670

Flextronics International Ltd.

     Call         Morgan Stanley & Co. International PLC      7/14/16        USD         12.43           41,000           (1,782

Omnicom Group, Inc.

     Call         UBS AG      7/18/16        USD         83.28           10,000           (6,390

Comcast Corp., Class A

     Call         Barclays Bank PLC      7/20/16        USD         63.00           42,700           (100,563

Lam Research Corp.

     Call         Deutsche Bank AG      7/20/16        USD         75.65           4,000           (33,929

Omnicom Group, Inc.

     Call         Morgan Stanley & Co. International PLC      7/20/16        USD         82.64           29,600           (26,723

SunTrust Banks, Inc.

     Call         JPMorgan Chase Bank N.A.      7/21/16        USD         43.32           22,200           (6,109

Amdocs Ltd.

     Call         Citibank N.A.      7/25/16        USD         58.26           10,500           (8,031

Owens Corning

     Call         UBS AG      7/25/16        USD         52.06           19,000           (16,742

Packaging Corp. of America

     Call         Goldman Sachs International      7/25/16        USD         67.61           13,700           (18,058

Public Service Enterprise Group, Inc.

     Call         Deutsche Bank AG      7/26/16        USD         45.44           12,000           (16,843

CDW Corp.

     Call         Morgan Stanley & Co. International PLC      7/27/16        USD         43.45           23,200           (3,051

WABCO Holdings, Inc.

     Call         Morgan Stanley & Co. International PLC      7/27/16        USD         106.00           5,500           (1,575

Rio Tinto PLC — ADR

     Call         Deutsche Bank AG      8/01/16        USD         29.95           20,000           (44,201

SLM Corp.

     Call         Morgan Stanley & Co. International PLC      8/01/16        USD         6.45           103,000           (13,383

Lear Corp.

     Call         Credit Suisse International      8/03/16        USD         104.34           20,200           (59,753

Public Service Enterprise Group, Inc.

     Call         UBS AG      8/05/16        USD         45.49           6,000           (10,416

Carnival Corp.

     Call         Deutsche Bank AG      8/08/16        USD         48.43           35,000           (7,083

Lear Corp.

     Call         Deutsche Bank AG      8/09/16        USD         116.18           17,700           (11,420

Centene Corp.

     Call         Morgan Stanley & Co. International PLC      8/12/16        USD         64.27           32,000           (239,561

Lowe’s Cos., Inc.

     Call         Morgan Stanley & Co. International PLC      8/15/16        USD         80.35           56,000           (92,287

SLM Corp.

     Call         JPMorgan Chase Bank N.A.      8/15/16        USD         7.19           157,000           (11,632

SunTrust Banks, Inc.

     Call         Morgan Stanley & Co. International PLC      8/15/16        USD         43.90           52,600           (28,107

Avery Dennison Corp.

     Call         Barclays Bank PLC      8/17/16        USD         77.13           13,400           (17,184

WABCO Holdings, Inc.

     Call         Citibank N.A.      8/26/16        USD         107.06           5,500           (5,389

SLM Corp.

     Call         Morgan Stanley & Co. International PLC      8/29/16        USD         6.44           159,200           (41,082

Dr Pepper Snapple Group, Inc.

     Call         Citibank N.A.      9/06/16        USD         92.20           18,000           (112,236

Carnival Corp.

     Call         Morgan Stanley & Co. International PLC      9/12/16        USD         46.66           51,000           (62,011

Lear Corp.

     Call         Deutsche Bank AG      9/13/16        USD         105.00           11,000           (38,041

Total

                               $ (1,747,764
                              

 

 

 

 

See Notes to Financial Statements.

 

     SEMI-ANNUAL REPORT    JUNE 30, 2016    37


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

 

    Transactions in Options Written for the Period Ended June 30, 2016

 

       Calls        Puts   
     Contracts      Premiums
Received
        Contracts        Premiums
Received 
 

 

   

 

 

 

Outstanding options at beginning of year

     921,779       $ 6,490,809                    

Options written

     4,278,685         29,520,399                    

Options exercised

     (15,016      (114,353                 

Options expired

     (1,457,592      (8,368,229                 

Options closed

     (2,528,173      (21,267,389                 
  

 

 

   

 

 

 

Outstanding options at end of year

         1,199,683       $ 6,261,237                    
  

 

 

   

 

 

 

As of period end, the value of portfolio securities subject to covered call options written was $292,480,578.

 

    Derivative Financial Instruments Categorized by Risk Exposure

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

 

            Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
     Total      
Liabilities — Derivative Financial Instruments                                                

Options written

       Options written, at value              $6,439,419                  $6,439,419   
  

 

 

For the six months ended June 30, 2016, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

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

Options purchased1

         $ (607         $ (607

Options written

           5,303,228              5,303,228   
  

 

 

Total

         $ 5,302,621            $ 5,302,621   
  

 

 
                
Net Change in Unrealized Appreciation (Depreciation) on:                                       

Options purchased2

         $ 57            $ 57   

Options written

           (1,728,400           (1,728,400
  

 

 

Total

         $ (1,728,343         $ (1,728,343
  

 

 

 

  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 written

   $ 8,079,497   

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.

 

38    SEMI-ANNUAL REPORT    JUNE 30, 2016     


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

 

      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

           —              $ 6,439,419   
  

 

 

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

           —              $ (4,691,655
  

 

 

Total derivative assets and liabilities subject to an MNA

           —              $ 1,747,764   
  

 

 

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    
 

 

 

Barclays Bank PLC

     $   117,747                                      $   117,747                

Citibank N.A.

     211,593                      $ (211,593            —                

Credit Suisse International

     59,754                                      59,754                

Deutsche Bank AG

     681,927                             $ (420,000     261,927                

Goldman Sachs International

     115,892                                      115,892                

JPMorgan Chase Bank N.A.

     17,741                                      17,741                

Morgan Stanley & Co. International PLC

     509,562                        (509,562            —                

UBS AG

     33,548                                      33,548                
  

 

 

 

Total

     $1,747,764                      $ (721,155   $ (420,000     $606,609                
  

 

 

 

 

  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 Stocks1

     $             616,358,947                          $             616,358,947  

Short-Term Investments:

                   

Money Market Funds

       9,391,637                            9,391,637  

Time Deposits

              $                 137,578                   137,578  
    

 

 

 

Total

     $ 625,750,584        $ 137,578                 $ 625,888,162  
    

 

 

 

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

                   
                   

 

See Notes to Financial Statements.

 

     SEMI-ANNUAL REPORT    JUNE 30, 2016    39


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

 

      Level 1   Level 2           Level 3             Total

Derivative Financial Instruments2

                 

Liabilities:

                 

Equity contracts

     $             (4,574,487     $             (1,864,932              $             (6,439,419
    

 

 

 

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, such assets are categorized within the disclosure hierarchy as follows:

   

                 
      Level 1   Level 2   Level 3    Total

Assets:

                 

Foreign currency at value

     $ 1,881                        $ 1,881  

Cash pledged as collateral for OTC derivatives

       420,000                          420,000  
    

 

 

 

Total

     $ 421,881                        $ 421,881  
    

 

 

 

During the six months ended June 30, 2016, there were no transfers between levels.

 

See Notes to Financial Statements.

 

40    SEMI-ANNUAL REPORT    JUNE 30, 2016     


Schedule of Investments June 30, 2016 (Unaudited)      BlackRock Enhanced Equity Dividend Trust (BDJ)   
     (Percentages shown are based on Net Assets)   

 

Common Stocks    Shares      Value  

Aerospace & Defense — 6.1%

     

Honeywell International, Inc. (a)

     224,600       $ 26,125,472   

Lockheed Martin Corp. (a)

     84,030         20,853,725   

Northrop Grumman Corp. (a)

     113,300         25,184,324   

Raytheon Co. (a)

     212,500         28,889,375   
     

 

 

 
                101,052,896   

Air Freight & Logistics — 1.1%

     

United Parcel Service, Class B (a)

     167,300         18,021,556   

Banks — 14.2%

     

Bank of America Corp. (a)

     2,648,200         35,141,614   

Citigroup, Inc. (a)

     799,300         33,882,327   

JPMorgan Chase & Co. (a)(b)

     899,699         55,907,296   

SunTrust Banks, Inc. (a)

     689,640         28,330,411   

U.S. Bancorp. (a)

     656,900         26,492,777   

Wells Fargo & Co. (a)(b)

     1,133,800         53,662,754   
     

 

 

 
                233,417,179   

Beverages — 2.1%

     

Coca-Cola Co. (a)

     479,300         21,726,669   

Diageo PLC — ADR (a)

     114,600         12,936,048   
     

 

 

 
                34,662,717   

Capital Markets — 2.5%

     

Goldman Sachs Group, Inc. (a)

     67,800         10,073,724   

Invesco Ltd. (a)

     420,601         10,742,150   

Morgan Stanley (a)

     801,700         20,828,166   
     

 

 

 
                41,644,040   

Chemicals — 2.9%

     

Dow Chemical Co. (a)

     401,200         19,943,652   

EI du Pont de Nemours & Co. (a)

     367,400         23,807,520   

Praxair, Inc. (a)

     43,900         4,933,921   
     

 

 

 
                48,685,093   

Communications Equipment — 0.8%

     

Motorola Solutions, Inc. (a)

     190,800         12,587,076   

Consumer Finance — 0.4%

     

American Express Co. (a)

     100,600         6,112,456   

Diversified Financial Services — 1.0%

     

CME Group, Inc. (a)

     163,700         15,944,380   

Diversified Telecommunication Services — 2.0%

     

BCE, Inc. (a)

     115,700         5,473,767   

Verizon Communications, Inc. (a)

     505,500         28,227,120   
     

 

 

 
                33,700,887   

Electric Utilities — 2.4%

     

Exelon Corp. (a)

     350,500         12,744,180   

NextEra Energy, Inc.

     201,600         26,288,640   
     

 

 

 
                39,032,820   

Electrical Equipment — 0.3%

     

Rockwell Automation, Inc. (a)

     37,900         4,351,678   

Energy Equipment & Services — 0.5%

     

Schlumberger Ltd. (a)

     98,300         7,773,564   

Food & Staples Retailing — 1.4%

     

Kroger Co. (a)

     635,600         23,383,724   

Food Products — 0.7%

     

Mondelez International, Inc., Class A (a)

     249,485         11,354,062   

Health Care Equipment & Supplies — 0.7%

     

Becton Dickinson and Co. (a)

     72,800         12,346,152   

Health Care Providers & Services — 5.6%

     

Aetna, Inc. (a)

     213,785         26,109,562   

Anthem, Inc. (a)

     183,700         24,127,158   
Common Stocks    Shares      Value  

Health Care Providers & Services (continued)

     

Quest Diagnostics, Inc. (a)

     245,100       $ 19,953,591   

UnitedHealth Group, Inc. (a)

     154,800         21,857,760   
     

 

 

 
                92,048,071   

Hotels, Restaurants & Leisure — 0.8%

     

McDonald’s Corp. (a)

     107,900         12,984,686   

Household Products — 1.1%

     

Procter & Gamble Co. (a)

     212,220         17,968,667   

Industrial Conglomerates — 3.9%

     

3M Co. (a)

     43,100         7,547,671   

General Electric Co. (a)(b)

     1,793,800         56,468,824   
     

 

 

 
                64,016,495   

Insurance — 5.3%

     

Allstate Corp. (a)

     118,900         8,317,055   

American International Group, Inc. (a)

     403,100         21,319,959   

Marsh & McLennan Cos., Inc. (a)

     62,500         4,278,750   

MetLife, Inc. (a)

     418,350         16,662,882   

Prudential Financial, Inc. (a)

     282,300         20,139,282   

Travelers Cos., Inc. (a)

     145,000         17,260,800   
     

 

 

 
                87,978,728   

Media — 1.8%

     

Comcast Corp., Class A (a)

     444,400         28,970,436   

Multiline Retail — 2.3%

     

Dollar General Corp. (a)

     412,400         38,765,600   

Multi-Utilities — 3.0%

     

CMS Energy Corp. (a)

     261,300         11,983,218   

Dominion Resources, Inc. (a)

     246,600         19,217,538   

DTE Energy Co. (a)

     27,256         2,701,615   

Public Service Enterprise Group, Inc. (a)

     341,700         15,926,637   
     

 

 

 
                49,829,008   

Oil, Gas & Consumable Fuels — 11.2%

     

Anadarko Petroleum Corp. (a)

     82,400         4,387,800   

Chevron Corp. (a)(b)

     229,400         24,048,002   

ConocoPhillips (a)

     185,260         8,077,336   

Exxon Mobil Corp. (a)

     450,000         42,183,000   

Hess Corp. (a)

     193,500         11,629,350   

Marathon Oil Corp. (a)

     359,400         5,394,594   

Marathon Petroleum Corp. (a)

     292,900         11,118,484   

Occidental Petroleum Corp. (a)

     472,700         35,717,212   

Pioneer Natural Resources Co. (a)

     25,140         3,801,419   

Suncor Energy, Inc. (a)

     456,500         12,658,745   

TOTAL SA — ADR (a)

     534,700         25,719,070   
     

 

 

 
                184,735,012   

Personal Products — 0.8%

     

Unilever NV (a)

     281,400         13,208,916   

Pharmaceuticals — 8.8%

     

AstraZeneca PLC

     320,936         19,186,779   

Johnson & Johnson (a)

     281,600         34,158,080   

Merck & Co., Inc. (a)(b)

     665,300         38,327,933   

Pfizer, Inc. (a)

     1,530,290         53,881,511   
     

 

 

 
                145,554,303   

Professional Services — 0.5%

     

Nielsen Holdings PLC (a)

     145,700         7,572,029   

Real Estate Investment Trusts (REITs) — 0.4%

     

Weyerhaeuser Co. (a)

     244,500         7,278,765   

Road & Rail — 0.8%

     

Union Pacific Corp. (a)

     147,000         12,825,750   

 

 

 

See Notes to Financial Statements.

 

     SEMI-ANNUAL REPORT    JUNE 30, 2016    41


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

 

Common Stocks    Shares      Value  

Semiconductors & Semiconductor Equipment — 3.7%

     

Intel Corp. (a)

     1,248,000       $   40,934,400   

QUALCOMM, Inc. (a)

     369,200         19,778,044   
     

 

 

 
                60,712,444   

Software — 3.8%

     

Microsoft Corp. (a)

     658,700         33,705,679   

Oracle Corp. (a)

     705,100         28,859,743   
     

 

 

 
                62,565,422   

Specialty Retail — 2.8%

     

Gap, Inc. (a)

     551,200         11,696,464   

Home Depot, Inc. (a)

     267,200         34,118,768   
     

 

 

 
                45,815,232   

Technology Hardware, Storage & Peripherals — 1.7%

     

Lenovo Group Ltd.

     9,392,000         5,708,779   

Samsung Electronics Co. Ltd. — GDR

     36,600         22,728,600   
     

 

 

 
                28,437,379   

Tobacco — 2.0%

     

Altria Group, Inc. (a)

     154,900         10,681,904   

Philip Morris International, Inc. (a)

     104,200         10,599,224   

Reynolds American, Inc. (a)

     204,678         11,038,285   
     

 

 

 
                32,319,413   

Water Utilities — 0.5%

     

American Water Works Co., Inc. (a)

     89,900         7,597,449   
Common Stocks    Shares      Value  

Wireless Telecommunication Services — 0.4%

     

SK Telecom Co. Ltd. — ADR (a)

     327,000       $ 6,840,840   

Total Long-Term Investments

(Cost — $1,317,068,048) — 100.3%

  

  

     1,652,094,925   
     
Short-Term Securities                

BlackRock Liquidity Funds, TempFund, Institutional Class, 0.40% (c)(d)

     11,882,407         11,882,407   

Total Short-Term Securities

(Cost — $11,882,407) — 0.7%

  

  

     11,882,407   

Total Investments Before Options Written

(Cost — $1,328,950,455) — 101.0%

              1,663,977,332   
     
Options Written                

(Premiums Received — $15,445,785) — (1.4)%

  

     (22,729,496

Total Investments Net of Options Written — 99.6%

        1,641,247,836   

Other Assets Less Liabilities — 0.4%

        6,436,100   
     

 

 

 

Net Assets — 100.0%

      $ 1,647,683,936   
     

 

 

 
 
      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 six months ended June 30, 2016, 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,

2015

    

Net

Activity

   

Shares

Held at
June 30,
2016

    

Value at

June 30,
2016

     Income  

BlackRock Liquidity Funds, TempFund, Institutional Class

     13,770,944         (1,888,537     11,882,407         $ 11,882,407       $ 14,435   

BlackRock Liquidity Series, LLC Money Market Series

                                  $ 16 1 

Total

             $ 11,882,407       $ 14,451   
          

 

 

 
  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 adviser. 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  

3M Co.

     Call       7/01/16      USD         170.00         103       $ (52,787

Aetna, Inc.

     Call       7/01/16      USD         115.00         224         (158,480

American Express Co.

     Call       7/01/16      USD         66.00         197         (1,970

American International Group, Inc.

     Call       7/01/16      USD         58.50         370         (4,440

Chevron Corp.

     Call       7/01/16      USD         102.00         178         (50,552

Chevron Corp.

     Call       7/01/16      USD         103.00         146         (27,375

Chevron Corp.

     Call       7/01/16      USD         104.00         88         (8,624

Citigroup, Inc.

     Call       7/01/16      USD         46.00         428         (428

CME Group, Inc.

     Call       7/01/16      USD         96.00         174         (23,490

 

See Notes to Financial Statements.

 

42    SEMI-ANNUAL REPORT    JUNE 30, 2016     


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

 

Description    Put/
Call
     Expiration
Date
  

Strike

Price

     Contracts      Value  

ConocoPhillips

     Call       7/01/16      USD         46.00         85       $ (340

Dow Chemical Co.

     Call       7/01/16      USD         52.50         282         (1,128

EI du Pont de Nemours & Co.

     Call       7/01/16      USD         64.50         501         (30,310

Goldman Sachs Group, Inc.

     Call       7/01/16      USD         162.50         22         (550

Hess Corp.

     Call       7/01/16      USD         58.00         295         (62,688

Home Depot, Inc.

     Call       7/01/16      USD         132.00         394         (788

MetLife, Inc.

     Call       7/01/16      USD         46.00         626         (15,650

Morgan Stanley

     Call       7/01/16      USD         28.00         738         (1,476

Pioneer Natural Resources Co.

     Call       7/01/16      USD         167.50         80         (3,200

Procter & Gamble Co.

     Call       7/01/16      USD         80.50         910         (341,250

QUALCOMM, Inc.

     Call       7/01/16      USD         53.00         200         (12,500

QUALCOMM, Inc.

     Call       7/01/16      USD         53.50         259         (7,382

QUALCOMM, Inc.

     Call       7/01/16      USD         56.50         15         (90

QUALCOMM, Inc.

     Call       7/01/16      USD         57.50         385         (3,465

Schlumberger Ltd.

     Call       7/01/16      USD         75.00         41         (16,605

Schlumberger Ltd.

     Call       7/01/16      USD         76.50         59         (15,281

Suncor Energy, Inc.

     Call       7/01/16      USD         28.50         625         (5,000

U.S. Bancorp.

     Call       7/01/16      USD         42.00         159         (954

U.S. Bancorp.

     Call       7/01/16      USD         43.00         370         (3,330

Union Pacific Corp.

     Call       7/01/16      USD         83.00         239         (98,588

UnitedHealth Group, Inc.

     Call       7/01/16      USD         134.00         83         (57,478

Verizon Communications, Inc.

     Call       7/01/16      USD         50.50         449         (234,602

Wells Fargo & Co.

     Call       7/01/16      USD         50.00         1,073         (1,073

Nielsen Holdings PLC

     Call       7/05/16      USD         52.25         363         (7,395

SK Telecom Co. Ltd. — ADR

     Call       7/06/16      USD         19.76         600         (70,415

Aetna, Inc.

     Call       7/08/16      USD         121.00         375         (82,125

Altria Group, Inc.

     Call       7/08/16      USD         64.50         251         (99,772

American Express Co.

     Call       7/08/16      USD         66.00         94         (940

American Express Co.

     Call       7/08/16      USD         66.50         31         (279

American International Group, Inc.

     Call       7/08/16      USD         57.50         640         (8,320

Anthem, Inc.

     Call       7/08/16      USD         133.00         181         (14,208

Bank of America Corp.

     Call       7/08/16      USD         15.00         1,500         (1,500

Chevron Corp.

     Call       7/08/16      USD         104.00         88         (13,288

Citigroup, Inc.

     Call       7/08/16      USD         47.00         428         (4,280

CME Group, Inc.

     Call       7/08/16      USD         99.00         88         (2,860

Coca-Cola Co.

     Call       7/08/16      USD         45.00         776         (41,904

ConocoPhillips

     Call       7/08/16      USD         46.00         147         (1,470

Dollar General Corp.

     Call       7/08/16      USD         92.50         515         (101,712

Dow Chemical Co.

     Call       7/08/16      USD         53.50         313         (7,199

EI du Pont de Nemours & Co.

     Call       7/08/16      USD         68.00         152         (4,256

EI du Pont de Nemours & Co.

     Call       7/08/16      USD         69.00         76         (1,140

Exxon Mobil Corp.

     Call       7/08/16      USD         89.50         257         (104,085

General Electric Co.

     Call       7/08/16      USD         30.50         1,462         (152,779

Goldman Sachs Group, Inc.

     Call       7/08/16      USD         152.50         116         (7,134

Home Depot, Inc.

     Call       7/08/16      USD         134.00         142         (3,550

Home Depot, Inc.

     Call       7/08/16      USD         136.00         142         (3,550

Intel Corp.

     Call       7/08/16      USD         32.00         846         (77,832

Johnson & Johnson

     Call       7/08/16      USD         114.00         442         (286,195

Johnson & Johnson

     Call       7/08/16      USD         117.00         5         (2,175

JPMorgan Chase & Co.

     Call       7/08/16      USD         66.00         247         (494

JPMorgan Chase & Co.

     Call       7/08/16      USD         66.50         680         (2,720

Marathon Oil Corp.

     Call       7/08/16      USD         14.50         250         (17,250

Marathon Petroleum Corp.

     Call       7/08/16      USD         36.00         368         (80,040

McDonald’s Corp.

     Call       7/08/16      USD         125.00         301         (1,505

Merck & Co., Inc.

     Call       7/08/16      USD         57.00         790         (69,125

Microsoft Corp.

     Call       7/08/16      USD         53.50         440         (1,100

Occidental Petroleum Corp.

     Call       7/08/16      USD         76.50         530         (21,465

Philip Morris International, Inc.

     Call       7/08/16      USD         102.00         161         (10,868

Procter & Gamble Co.

     Call       7/08/16      USD         82.00         186         (50,127

Procter & Gamble Co.

     Call       7/08/16      USD         82.50         185         (41,810

Quest Diagnostics, Inc.

     Call       7/08/16      USD         76.54         563         (274,181

Schlumberger Ltd.

     Call       7/08/16      USD         78.00         50         (8,250

Suncor Energy, Inc.

     Call       7/08/16      USD         29.00         624         (3,120

U.S. Bancorp.

     Call       7/08/16      USD         42.00         211         (3,798

U.S. Bancorp.

     Call       7/08/16      USD         43.00         296         (7,400

 

See Notes to Financial Statements.

 

     SEMI-ANNUAL REPORT    JUNE 30, 2016    43


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

 

Description    Put/
Call
     Expiration
Date
  

Strike

Price

     Contracts      Value  

U.S. Bancorp.

     Call       7/08/16      USD         43.50         561       $ (14,025

Union Pacific Corp.

     Call       7/08/16      USD         84.50         97         (29,003

United Parcel Service, Class B

     Call       7/08/16      USD         103.00         233         (96,112

UnitedHealth Group, Inc.

     Call       7/08/16      USD         138.00         166         (56,855

UnitedHealth Group, Inc.

     Call       7/08/16      USD         139.00         139         (37,044

Verizon Communications, Inc.

     Call       7/08/16      USD         50.50         451         (235,648

Honeywell International, Inc.

     Call       7/11/16      USD         114.00         363         (99,807

Marsh & McLennan Cos., Inc.

     Call       7/11/16      USD         67.50         313         (34,526

Quest Diagnostics, Inc.

     Call       7/11/16      USD         77.01         212         (93,280

Travelers Cos., Inc.

     Call       7/11/16      USD         112.50         442         (290,896

Travelers Cos., Inc.

     Call       7/11/16      USD         113.00         145         (88,339

3M Co.

     Call       7/15/16      USD         170.00         80         (46,000

Allstate Corp.

     Call       7/15/16      USD         67.50         112         (29,624

Altria Group, Inc.

     Call       7/15/16      USD         65.00         156         (63,180

American Express Co.

     Call       7/15/16      USD         62.50         201         (8,140

Anthem, Inc.

     Call       7/15/16      USD         135.00         174         (12,267

Bank of America Corp.

     Call       7/15/16      USD         14.00         718         (6,103

Becton Dickinson and Co.

     Call       7/15/16      USD         170.00         233         (42,522

Chevron Corp.

     Call       7/15/16      USD         100.00         178         (92,115

Citigroup, Inc.

     Call       7/15/16      USD         45.50         200         (3,600

Citigroup, Inc.

     Call       7/15/16      USD         46.00         100         (1,200

CME Group, Inc.

     Call       7/15/16      USD         95.00         88         (26,400

Coca-Cola Co.

     Call       7/15/16      USD         45.00         782         (52,394

ConocoPhillips

     Call       7/15/16      USD         46.00         68         (1,904

Diageo PLC — ADR

     Call       7/15/16      USD         110.00         372         (130,200

Dollar General Corp.

     Call       7/15/16      USD         92.50         515         (122,312

Dominion Resources, Inc.

     Call       7/15/16      USD         72.50         420         (226,800

Dow Chemical Co.

     Call       7/15/16      USD         52.50         101         (1,364

EI du Pont de Nemours & Co.

     Call       7/15/16      USD         67.50         228         (3,648

Exelon Corp.

     Call       7/15/16      USD         35.00         231         (33,495

Exxon Mobil Corp.

     Call       7/15/16      USD         90.00         256         (101,760

Gap, Inc.

     Call       7/15/16      USD         20.00         278         (36,974

General Electric Co.

     Call       7/15/16      USD         30.00         1,402         (217,310

General Electric Co.

     Call       7/15/16      USD         31.00         586         (40,727

Goldman Sachs Group, Inc.

     Call       7/15/16      USD         165.00         35         (228

Hess Corp.

     Call       7/15/16      USD         62.50         325         (27,462

Home Depot, Inc.

     Call       7/15/16      USD         130.00         450         (28,350

Intel Corp.

     Call       7/15/16      USD         32.00         844         (89,464

Invesco Ltd.

     Call       7/15/16      USD         29.00         123         (1,230

Invesco Ltd.

     Call       7/15/16      USD         30.00         493         (4,930

JPMorgan Chase & Co.

     Call       7/15/16      USD         65.00         514         (9,766

Kroger Co.

     Call       7/15/16      USD         37.50         510         (14,025

Lockheed Martin Corp.

     Call       7/15/16      USD         245.00         239         (114,720

Marathon Oil Corp.

     Call       7/15/16      USD         15.00         100         (6,050

Marathon Petroleum Corp.

     Call       7/15/16      USD         40.00         346         (21,625

Merck & Co., Inc.

     Call       7/15/16      USD         57.50         371         (27,454

MetLife, Inc.

     Call       7/15/16      USD         45.00         440         (2,200

Mondelez International, Inc., Class A

     Call       7/15/16      USD         45.00         120         (16,320

Mondelez International, Inc., Class A

     Call       7/15/16      USD         46.00         190         (15,865

Motorola Solutions, Inc.

     Call       7/15/16      USD         70.00         477         (5,962

Nielsen Holdings PLC

     Call       7/15/16      USD         55.00         365         (12,775

Northrop Grumman Corp.

     Call       7/15/16      USD         210.00         155         (192,975

Occidental Petroleum Corp.

     Call       7/15/16      USD         77.50         530         (24,910

Oracle Corp.

     Call       7/15/16      USD         40.40         294         (24,347

Pfizer, Inc.

     Call       7/15/16      USD         33.00         1,110         (250,305

Pfizer, Inc.

     Call       7/15/16      USD         35.00         1,101         (57,252

Philip Morris International, Inc.

     Call       7/15/16      USD         100.00         164         (38,048

Praxair, Inc.

     Call       7/15/16      USD         115.00         285         (17,100

Public Service Enterprise Group, Inc.

     Call       7/15/16      USD         45.00         289         (48,408

QUALCOMM, Inc.

     Call       7/15/16      USD         52.50         60         (9,360

Quest Diagnostics, Inc.

     Call       7/15/16      USD         80.00         450         (74,250

Raytheon Co.

     Call       7/15/16      USD         135.00         219         (40,624

Reynolds American, Inc.

     Call       7/15/16      USD         50.00         175         (68,250

Rockwell Automation, Inc.

     Call       7/15/16      USD         115.00         95         (16,625

Rockwell Automation, Inc.

     Call       7/15/16      USD         120.00         94         (2,585

 

See Notes to Financial Statements.

 

44    SEMI-ANNUAL REPORT    JUNE 30, 2016     


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

 

Description    Put/
Call
     Expiration
Date
  

Strike

Price

     Contracts      Value  

Schlumberger Ltd.

     Call       7/15/16      USD         77.50         155       $ (37,045

Suncor Energy, Inc.

     Call       7/15/16      USD         29.00         625         (7,813

SunTrust Banks, Inc.

     Call       7/15/16      USD         44.00         1,030         (27,295

TOTAL SA — ADR

     Call       7/15/16      USD         50.00         539         (16,170

Travelers Cos., Inc.

     Call       7/15/16      USD         115.00         355         (149,100

U.S. Bancorp.

     Call       7/15/16      USD         43.00         263         (1,315

U.S. Bancorp.

     Call       7/15/16      USD         44.00         296         (3,552

Union Pacific Corp.

     Call       7/15/16      USD         85.00         160         (48,000

Wells Fargo & Co.

     Call       7/15/16      USD         50.00         1,073         (12,876

Prudential Financial, Inc.

     Call       7/19/16      USD         75.50         577         (23,188

Lockheed Martin Corp.

     Call       7/20/16      USD         239.51         92         (88,734

Northrop Grumman Corp.

     Call       7/20/16      USD         215.01         310         (255,158

3M Co.

     Call       7/22/16      USD         172.50         32         (12,880

Altria Group, Inc.

     Call       7/22/16      USD         64.50         148         (61,050

Altria Group, Inc.

     Call       7/22/16      USD         66.00         150         (49,125

American Express Co.

     Call       7/22/16      USD         63.50         130         (7,150

American International Group, Inc.

     Call       7/22/16      USD         55.00         401         (12,832

American Water Works Co., Inc.

     Call       7/22/16      USD         74.00         255         (268,586

Anthem, Inc.

     Call       7/22/16      USD         136.00         188         (17,672

Bank of America Corp.

     Call       7/22/16      USD         15.50         1,495         (5,980

Chevron Corp.

     Call       7/22/16      USD         102.00         322         (117,530

Citigroup, Inc.

     Call       7/22/16      USD         47.00         635         (6,668

CME Group, Inc.

     Call       7/22/16      USD         97.00         293         (56,402

Coca-Cola Co.

     Call       7/22/16      USD         45.00         618         (50,676

Comcast Corp., Class A

     Call       7/22/16      USD         64.00         720         (115,200

ConocoPhillips

     Call       7/22/16      USD         46.00         142         (6,958

Dow Chemical Co.

     Call       7/22/16      USD         54.00         203         (8,729

EI du Pont de Nemours & Co.

     Call       7/22/16      USD         67.50         176         (7,040

EI du Pont de Nemours & Co.

     Call       7/22/16      USD         68.00         152         (5,244

Exxon Mobil Corp.

     Call       7/22/16      USD         91.50         95         (27,550

General Electric Co.

     Call       7/22/16      USD         31.00         862         (71,115

Intel Corp.

     Call       7/22/16      USD         32.00         822         (112,203

Johnson & Johnson

     Call       7/22/16      USD         117.00         1,188         (579,150

JPMorgan Chase & Co.

     Call       7/22/16      USD         64.00         82         (4,346

JPMorgan Chase & Co.

     Call       7/22/16      USD         66.00         198         (2,772

Marathon Oil Corp.

     Call       7/22/16      USD         15.00         250         (18,125

Marathon Petroleum Corp.

     Call       7/22/16      USD         38.00         255         (40,162

McDonald’s Corp.

     Call       7/22/16      USD         125.00         100         (1,100

McDonald’s Corp.

     Call       7/22/16      USD         126.00         50         (1,100

Merck & Co., Inc.

     Call       7/22/16      USD         58.00         395         (25,675

MetLife, Inc.

     Call       7/22/16      USD         45.00         440         (9,240

MetLife, Inc.

     Call       7/22/16      USD         46.00         202         (5,050

Microsoft Corp.

     Call       7/22/16      USD         53.00         630         (42,525

Morgan Stanley

     Call       7/22/16      USD         28.50         124         (1,736

Occidental Petroleum Corp.

     Call       7/22/16      USD         75.50         416         (66,768

Pfizer, Inc.

     Call       7/22/16      USD         35.50         292         (10,220

Philip Morris International, Inc.

     Call       7/22/16      USD         102.00         190         (28,500

QUALCOMM, Inc.

     Call       7/22/16      USD         55.50         91         (7,416

Suncor Energy, Inc.

     Call       7/22/16      USD         29.50         626         (10,329

UnitedHealth Group, Inc.

     Call       7/22/16      USD         139.00         275         (112,062

Verizon Communications, Inc.

     Call       7/22/16      USD         51.00         480         (217,200

Wells Fargo & Co.

     Call       7/22/16      USD         49.00         703         (27,066

Weyerhaeuser Co.

     Call       7/22/16      USD         32.50         409         (20,450

United Parcel Service, Class B

     Call       7/25/16      USD         103.25         370         (182,215

Dominion Resources, Inc.

     Call       7/27/16      USD         71.10         421         (289,360

Mondelez International, Inc., Class A

     Call       7/27/16      USD         44.75         228         (44,329

Motorola Solutions, Inc.

     Call       7/28/16      USD         68.40         477         (18,876

Aetna, Inc.

     Call       7/29/16      USD         121.00         94         (34,545

Aetna, Inc.

     Call       7/29/16      USD         123.00         55         (14,438

Altria Group, Inc.

     Call       7/29/16      USD         66.00         301         (99,330

Anthem, Inc.

     Call       7/29/16      USD         132.00         193         (64,655

Anthem, Inc.

     Call       7/29/16      USD         136.00         47         (8,460

Bank of America Corp.

     Call       7/29/16      USD         15.00         211         (1,055

Citigroup, Inc.

     Call       7/29/16      USD         43.50         129         (12,320

 

See Notes to Financial Statements.

 

     SEMI-ANNUAL REPORT    JUNE 30, 2016    45


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

 

Description    Put/
Call
     Expiration
Date
  

Strike

Price

     Contracts      Value  

Citigroup, Inc.

     Call       7/29/16      USD         44.50         128       $ (7,808

CME Group, Inc.

     Call       7/29/16      USD         98.00         175         (33,688

Coca-Cola Co.

     Call       7/29/16      USD         46.00         465         (23,482

Comcast Corp., Class A

     Call       7/29/16      USD         64.00         719         (140,924

ConocoPhillips

     Call       7/29/16      USD         48.50         65         (1,722

Dow Chemical Co.

     Call       7/29/16      USD         54.50         201         (3,920

Exxon Mobil Corp.

     Call       7/29/16      USD         90.50         95         (38,000

Gap, Inc.

     Call       7/29/16      USD         22.00         1,114         (53,472

General Electric Co.

     Call       7/29/16      USD         31.00         2,883         (256,587

Goldman Sachs Group, Inc.

     Call       7/29/16      USD         157.50         43         (5,440

Hess Corp.

     Call       7/29/16      USD         62.00         245         (46,918

Home Depot, Inc.

     Call       7/29/16      USD         130.00         450         (55,350

Intel Corp.

     Call       7/29/16      USD         32.00         1,440         (205,200

JPMorgan Chase & Co.

     Call       7/29/16      USD         64.00         82         (5,453

JPMorgan Chase & Co.

     Call       7/29/16      USD         65.50         339         (10,170

Marathon Oil Corp.

     Call       7/29/16      USD         14.50         372         (41,664

Marathon Petroleum Corp.

     Call       7/29/16      USD         37.50         274         (56,170

Merck & Co., Inc.

     Call       7/29/16      USD         58.00         747         (68,351

Microsoft Corp.

     Call       7/29/16      USD         52.50         1,114         (107,501

Morgan Stanley

     Call       7/29/16      USD         27.00         184         (9,016

Occidental Petroleum Corp.

     Call       7/29/16      USD         78.50         355         (23,785

Oracle Corp.

     Call       7/29/16      USD         40.00         296         (37,740

Oracle Corp.

     Call       7/29/16      USD         41.00         588         (39,102

Pfizer, Inc.

     Call       7/29/16      USD         35.00         1,349         (95,779

Pfizer, Inc.

     Call       7/29/16      USD         35.50         293         (12,599

Philip Morris International, Inc.

     Call       7/29/16      USD         102.00         162         (27,054

Pioneer Natural Resources Co.

     Call       7/29/16      USD         167.50         5         (612

Procter & Gamble Co.

     Call       7/29/16      USD         84.00         371         (49,158

QUALCOMM, Inc.

     Call       7/29/16      USD         54.00         207         (31,257

Schlumberger Ltd.

     Call       7/29/16      USD         79.50         50         (10,150

U.S. Bancorp.

     Call       7/29/16      USD         43.50         680         (17,000

Union Pacific Corp.

     Call       7/29/16      USD         87.50         239         (58,914

United Parcel Service, Class B

     Call       7/29/16      USD         105.00         233         (87,375

UnitedHealth Group, Inc.

     Call       7/29/16      USD         142.00         111         (29,304

Verizon Communications, Inc.

     Call       7/29/16      USD         52.00         729         (269,730

Wells Fargo & Co.

     Call       7/29/16      USD         49.50         264         (9,108

BCE, Inc.

     Call       8/01/16      USD         47.40         254         (18,577

Exelon Corp.

     Call       8/01/16      USD         35.50         175         (10,675

Raytheon Co.

     Call       8/01/16      USD         130.22         199         (123,675

Allstate Corp.

     Call       8/02/16      USD         71.01         303         (18,180

Kroger Co.

     Call       8/02/16      USD         37.20         1,421         (91,254

Anthem, Inc.

     Call       8/05/16      USD         131.00         135         (57,375

Citigroup, Inc.

     Call       8/05/16      USD         46.50         100         (2,800

Comcast Corp., Class A

     Call       8/05/16      USD         63.00         152         (44,080

ConocoPhillips

     Call       8/05/16      USD         46.00         67         (5,930

Dow Chemical Co.

     Call       8/05/16      USD         52.50         304         (16,720

Exxon Mobil Corp.

     Call       8/05/16      USD         90.50         332         (133,630

Gap, Inc.

     Call       8/05/16      USD         21.00         767         (77,084

General Electric Co.

     Call       8/05/16      USD         31.50         1,221         (78,144

Hess Corp.

     Call       8/05/16      USD         58.00         102         (42,585

Intel Corp.

     Call       8/05/16      USD         33.00         512         (42,752

Johnson & Johnson

     Call       8/05/16      USD         117.00         195         (97,988

JPMorgan Chase & Co.

     Call       8/05/16      USD         62.50         777         (108,003

Marathon Oil Corp.

     Call       8/05/16      USD         15.00         287         (28,700

Marathon Oil Corp.

     Call       8/05/16      USD         15.50         288         (22,320

McDonald’s Corp.

     Call       8/05/16      USD         122.00         83         (15,355

McDonald’s Corp.

     Call       8/05/16      USD         123.00         84         (11,970

Microsoft Corp.

     Call       8/05/16      USD         53.00         980         (84,280

Mondelez International, Inc., Class A

     Call       8/05/16      USD         44.25         339         (51,528

Morgan Stanley

     Call       8/05/16      USD         26.00         442         (43,537

Occidental Petroleum Corp.

     Call       8/05/16      USD         77.00         415         (57,892

Oracle Corp.

     Call       8/05/16      USD         41.00         588         (44,688

Pfizer, Inc.

     Call       8/05/16      USD         35.50         550         (28,600

QUALCOMM, Inc.

     Call       8/05/16      USD         55.00         103         (12,051

 

See Notes to Financial Statements.

 

46    SEMI-ANNUAL REPORT    JUNE 30, 2016     


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

 

Description    Put/
Call
     Expiration
Date
    

Strike

Price

     Contracts      Value  

Schlumberger Ltd.

     Call         8/05/16         USD         80.00         95       $ (19,142

U.S. Bancorp.

     Call         8/05/16         USD         42.50         244         (6,832

Verizon Communications, Inc.

     Call         8/05/16         USD         55.00         418         (53,086

Exelon Corp.

     Call         8/08/16         USD         35.00         481         (80,408

Honeywell International, Inc.

     Call         8/11/16         USD         115.80         613         (194,221

Prudential Financial, Inc.

     Call         8/11/16         USD         75.50         577         (59,538

American Water Works Co., Inc.

     Call         8/12/16         USD         78.02         134         (86,966

Anadarko Petroleum Corp.

     Call         8/12/16         USD         55.50         205         (38,438

Bank of America Corp.

     Call         8/12/16         USD         14.00         1,797         (46,722

Citigroup, Inc.

     Call         8/12/16         USD         44.50         393         (32,226

CMS Energy Corp.

     Call         8/12/16         USD         43.75         134         (28,723

Comcast Corp., Class A

     Call         8/12/16         USD         65.50         44         (5,896

Exxon Mobil Corp.

     Call         8/12/16         USD         93.50         677         (136,077

Intel Corp.

     Call         8/12/16         USD         33.50         887         (54,994

Morgan Stanley

     Call         8/12/16         USD         27.50         988         (43,966

Pfizer, Inc.

     Call         8/12/16         USD         35.50         550         (30,250

Weyerhaeuser Co.

     Call         8/12/16         USD         31.00         202         (11,110

Allstate Corp.

     Call         8/19/16         USD         70.00         179         (32,399

Anadarko Petroleum Corp.

     Call         8/19/16         USD         55.00         207         (46,989

Bank of America Corp.

     Call         8/19/16         USD         15.00         567         (5,386

Becton Dickinson and Co.

     Call         8/19/16         USD         170.00         240         (103,200

Chevron Corp.

     Call         8/19/16         USD         105.00         147         (40,131

Citigroup, Inc.

     Call         8/19/16         USD         47.50         256         (7,168

Coca-Cola Co.

     Call         8/19/16         USD         46.00         474         (33,891

Comcast Corp., Class A

     Call         8/19/16         USD         65.00         65         (11,472

ConocoPhillips

     Call         8/19/16         USD         44.00         25         (4,812

Dollar General Corp.

     Call         8/19/16         USD         92.50         1,032         (376,680

DTE Energy Co.

     Call         8/19/16         USD         100.00         159         (27,825

Exelon Corp.

     Call         8/19/16         USD         35.00         429         (77,220

Exxon Mobil Corp.

     Call         8/19/16         USD         92.50         538         (149,026

General Electric Co.

     Call         8/19/16         USD         31.00         553         (58,894

Honeywell International, Inc.

     Call         8/19/16         USD         115.00         483         (184,748

Intel Corp.

     Call         8/19/16         USD         32.15         889         (119,708

JPMorgan Chase & Co.

     Call         8/19/16         USD         62.50         228         (37,506

Kroger Co.

     Call         8/19/16         USD         37.50         519         (37,628

Lockheed Martin Corp.

     Call         8/19/16         USD         240.00         215         (242,950

Marathon Oil Corp.

     Call         8/19/16         USD         17.00         250         (11,125

McDonald’s Corp.

     Call         8/19/16         USD         125.00         83         (8,756

Merck & Co., Inc.

     Call         8/19/16         USD         57.50         1,023         (156,519

Microsoft Corp.

     Call         8/19/16         USD         52.50         1,117         (130,689

Mondelez International, Inc., Class A

     Call         8/19/16         USD         43.00         331         (119,988

Mondelez International, Inc., Class A

     Call         8/19/16         USD         45.00         75         (17,400

Morgan Stanley

     Call         8/19/16         USD         27.00         329         (22,208

Northrop Grumman Corp.

     Call         8/19/16         USD         220.00         271         (196,475

Oracle Corp.

     Call         8/19/16         USD         41.00         1,759         (167,985

Pfizer, Inc.

     Call         8/19/16         USD         35.00         2,405         (210,438

Pioneer Natural Resources Co.

     Call         8/19/16         USD         165.00         40         (9,700

Public Service Enterprise Group, Inc.

     Call         8/19/16         USD         45.00         38         (8,550

QUALCOMM, Inc.

     Call         8/19/16         USD         57.50         423         (21,784

Raytheon Co.

     Call         8/19/16         USD         135.00         440         (161,700

Reynolds American, Inc.

     Call         8/19/16         USD         51.25         980         (304,702

Reynolds American, Inc.

     Call         8/19/16         USD         55.00         175         (15,312

Schlumberger Ltd.

     Call         8/19/16         USD         77.50         41         (15,375

TOTAL SA — ADR

     Call         8/19/16         USD         50.00         1,600         (160,000

U.S. Bancorp.

     Call         8/19/16         USD         42.00         204         (11,424

Unilever NV

     Call         8/19/16         USD         45.00         411         (104,805

Weyerhaeuser Co.

     Call         8/19/16         USD         30.00         410         (38,950

Kroger Co.

     Call         8/23/16         USD         36.20         523         (78,877

Prudential Financial, Inc.

     Call         9/16/16         USD         72.50         257         (73,888

Public Service Enterprise Group, Inc.

     Call         9/16/16         USD         45.00         856         (201,160

Total

                  $ (18,379,854
                 

 

 

 

 

See Notes to Financial Statements.

 

     SEMI-ANNUAL REPORT    JUNE 30, 2016    47


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

 

OTC Options Written

 

  

Description   Put/
Call
     Counterparty    Expiration
Date
    

Strike

Price

     Contracts      Value  

American Water Works Co., Inc.

    Call       Morgan Stanley & Co. International PLC      7/01/16         USD         74.19         33,000       $ (340,589

Lenovo Group Ltd.

    Call       Citibank N.A.      7/06/16         HKD         5.11         882,000         (45

Public Service Enterprise Group, Inc.

    Call       Goldman Sachs International      7/06/16         USD         44.69         40,900         (78,755

AstraZeneca PLC

    Call       Citibank N.A.      7/12/16         GBP         39.44         28,600         (208,515

CMS Energy Corp.

    Call       Bank of America N.A.      7/12/16         USD         41.00         27,100         (131,883

Raytheon Co.

    Call       Goldman Sachs International      7/12/16         USD         129.50         52,300         (337,335

Mondelez International, Inc., Class A

    Call       UBS AG      7/13/16         USD         44.75         33,800         (49,878

Comcast Corp., Class A

    Call       Barclays Bank PLC      7/20/16         USD         63.00         52,200         (122,937

Unilever NV

    Call       Goldman Sachs International      7/20/16         USD         45.64         41,000         (63,487

Dominion Resources, Inc.

    Call       Goldman Sachs International      7/21/16         USD         72.16         34,500         (200,517

SunTrust Banks, Inc.

    Call       JPMorgan Chase Bank N.A.      7/21/16         USD         43.32         102,800         (28,286

AstraZeneca PLC

    Call       Credit Suisse International      7/26/16         GBP         40.50         31,500         (193,119

Exelon Corp.

    Call       Morgan Stanley & Co. International PLC      7/26/16         USD         35.44         43,600         (53,667

NextEra Energy, Inc.

    Call       Citibank N.A.      7/26/16         USD         129.50         18,700         (47,161

Public Service Enterprise Group, Inc.

    Call       Deutsche Bank AG      7/26/16         USD         45.44         7,700         (10,808

CMS Energy Corp.

    Call       Deutsche Bank AG      7/27/16         USD         45.14         63,100         (78,375

Dominion Resources, Inc.

    Call       Credit Suisse International      7/27/16         USD         74.22         41,600         (164,191

Unilever NV

    Call       Morgan Stanley & Co. International PLC      8/01/16         USD         45.25         41,200         (91,760

AstraZeneca PLC

    Call       Morgan Stanley & Co. International PLC      8/02/16         GBP         41.13         23,500         (125,712

Diageo PLC — ADR

    Call       Morgan Stanley & Co. International PLC      8/03/16         USD         107.16         37,200         (248,819

NextEra Energy, Inc.

    Call       Deutsche Bank AG      8/03/16         USD         124.50         63,500         (387,055

TOTAL SA — ADR

    Call       Morgan Stanley & Co. International PLC      8/04/16         USD         48.72         53,400         (65,944

Public Service Enterprise Group, Inc.

    Call       UBS AG      8/05/16         USD         45.49         3,800         (6,597

AstraZeneca PLC

    Call       Citibank N.A.      8/10/16         GBP         41.35         74,400         (389,193

NextEra Energy, Inc.

    Call       Morgan Stanley & Co. International PLC      8/10/16         USD         130.01         18,600         (38,549

SunTrust Banks, Inc.

    Call       Morgan Stanley & Co. International PLC      8/15/16         USD         43.90         138,900         (74,223

Samsung Electronics Co. Ltd. — GDR

    Call       Credit Suisse International      8/25/16         USD         606.90         12,800         (428,051

BCE, Inc.

    Call       Citibank N.A.      8/29/16         USD         46.70         32,400         (46,214

CMS Energy Corp.

    Call       Deutsche Bank AG      8/29/16         USD         43.82         27,000         (60,877

Kroger Co.

    Call       JPMorgan Chase Bank N.A.      9/06/16         USD         34.92         115,800         (277,100

Total

                    $ (4,349,642
                   

 

 

 

 

      Transactions in Options Written for the Period Ended June 30, 2016

 

      Calls            Puts  
  

 

 

     

 

 

 
         Contracts     Premiums
Received
              Contracts      Premiums
Received
 

 

     

 

 

 

Outstanding options at beginning of period

     3,071,373      $ 15,748,607                    

Options written

     13,616,764        67,328,902          

Options exercised

     (1,800     (210,294                 

Options expired

     (10,173,534     (15,409,550       

Options closed

     (4,207,466     (52,011,880       
  

 

 

     

 

 

 

Outstanding options at end of period

     2,305,337      $ 15,445,785                    
  

 

 

     

 

 

 

As of period end, the value of portfolio securities subject to covered call options written was $815,370,496.

 

See Notes to Financial Statements.

 

48    SEMI-ANNUAL REPORT    JUNE 30, 2016     


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

 

      Derivative Financial Instruments Categorized by Risk Exposure

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

 

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

Liabilities — Derivative Financial Instruments

                                                                             

Options written

         Options written, at value                                $22,729,496                                  $22,729,496  
  

 

 

For the six months ended June 30, 2016, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

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

Options purchased1

         $ (11,352         $ (11,352

Options written

           (7,883,565           (7,883,565
  

 

 

Total

         $ (7,894,917         $ (7,894,917
  

 

 
                
Net Change in Unrealized Appreciation (Depreciation) on:                                       

Options purchased2

         $ 6,998            $ 6,998   

Options written

           (10,630,720           (10,630,720
  

 

 

Total

         $ (10,623,722         $ (10,623,722
  

 

 

 

  1   

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

 

  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

   $ 276   

Average value of option contracts written

   $ 22,404,807   

 

  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

     —          $ 22,729,496   
  

 

 

 

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

     —            (18,379,854
  

 

 

 

Total derivative assets and liabilities subject to an MNA

     —          $ 4,349,642   
  

 

 

 

 

See Notes to Financial Statements.

 

     SEMI-ANNUAL REPORT    JUNE 30, 2016    49


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

 

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.

     $   131,883                                      $   131,883           

Barclays Bank PLC

     122,937                                      122,937           

Citibank N.A.

     691,128                      $ (593,128     $(98,000     —           

Credit Suisse International

     785,361                        (785,361            —           

Deutsche Bank AG

     537,115                        (201,110            336,005           

Goldman Sachs International

     680,094                        (604,240            75,854           

JPMorgan Chase Bank N.A.

     305,386                                      305,386           

Morgan Stanley & Co. International PLC

     1,039,263                        (844,918            194,345           

UBS AG

     56,475                                      56,475           
  

 

 

 

Total

     $4,349,642                      $ (3,028,757     $(98,000     $1,222,885           
  

 

 

 

 

  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.

 

      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:

                       

Aerospace & Defense

     $             101,052,896                              $             101,052,896  

Air Freight & Logistics

       18,021,556                                18,021,556  

Banks

       233,417,179                                233,417,179  

Beverages

       34,662,717                                34,662,717  

Capital Markets

       41,644,040                                41,644,040  

Chemicals

       48,685,093                                48,685,093  

Communications Equipment

       12,587,076                                12,587,076  

Consumer Finance

       6,112,456                                6,112,456  

Diversified Financial Services

       15,944,380                                15,944,380  

Diversified Telecommunication Services

       33,700,887                                33,700,887  

Electric Utilities

       39,032,820                                39,032,820  

Electrical Equipment

       4,351,678                                4,351,678  

Energy Equipment & Services

       7,773,564                                7,773,564  

Food & Staples Retailing

       23,383,724                                23,383,724  

Food Products

       11,354,062                                11,354,062  

Health Care Equipment & Supplies

       12,346,152                                12,346,152  

Health Care Providers & Services

       92,048,071                                92,048,071  

Hotels, Restaurants & Leisure

       12,984,686                                12,984,686  

Household Products

       17,968,667                                17,968,667  

Industrial Conglomerates

       64,016,495                                64,016,495  

Insurance

       87,978,728                                87,978,728  

Media

       28,970,436                                28,970,436  

Multiline Retail

       38,765,600                                38,765,600  

Multi-Utilities

       49,829,008                                49,829,008  

Oil, Gas & Consumable Fuels

       184,735,012                                184,735,012  

Personal Products

       13,208,916                                13,208,916  

Pharmaceuticals

       126,367,524        $             19,186,779                       145,554,303  

Professional Services

       7,572,029                                7,572,029  

Real Estate Investment Trusts (REITs)

       7,278,765                                7,278,765  

Road & Rail

       12,825,750                                12,825,750  

Semiconductors & Semiconductor Equipment

       60,712,444                                60,712,444  

 

See Notes to Financial Statements.

 

50    SEMI-ANNUAL REPORT    JUNE 30, 2016     


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

 

 

      Level 1   Level 2      Level 3    Total

Assets: (concluded)

                    

Investments: (concluded)

                    

Long-Term Investments: (concluded)

                    

Common Stocks: (concluded)

                    

Software

     $ 62,565,422                           $ 62,565,422  

Specialty Retail

       45,815,232                             45,815,232  

Technology Hardware, Storage & Peripherals

       22,728,600       $ 5,708,779                     28,437,379  

Tobacco

       32,319,413                             32,319,413  

Water Utilities

       7,597,449                             7,597,449  

Wireless Telecommunication Services

       6,840,840                             6,840,840  

Short-Term Securities

       11,882,407                             11,882,407  
    

 

 

 

Total

     $           1,639,081,774       $             24,895,558                   $               1,663,977,332  
    

 

 

 
                    

Derivative Financial Instruments1

                                            

Liabilities:

                    

Equity contracts

     $ (14,959,190 )     $ (7,770,306 )                 $ (22,729,496 )
    

 

 

 

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

     $ 1,695                           $ 1,695  

Cash pledged as collateral for OTC derivatives

       98,000                             98,000  

Liabilities:

                    

Bank overdraft

             $ (1,790                   (1,790 )
    

 

 

 

Total

     $ 99,695       $ (1,790 )                 $ 97,905  
    

 

 

 

During the six months ended June 30, 2016, there were no transfers between levels.

 

See Notes to Financial Statements.

 

     SEMI-ANNUAL REPORT    JUNE 30, 2016    51


Schedule of Investments June 30, 2016 (Unaudited)      BlackRock Global Opportunities Equity Trust (BOE)   
     (Percentages shown are based on Net Assets)   

 

Common Stocks    Shares      Value  

Australia — 0.5%

     

Ensogo Ltd. (a)

     418,198       $ 202,597   

Newcrest Mining Ltd. (a)

     283,200         4,908,385   
     

 

 

 
                5,110,982   

Belgium — 3.5%

     

Anheuser-Busch InBev SA

     214,532         28,369,069   

Delhaize Group

     35,369         3,736,197   
     

 

 

 
                32,105,266   

Canada — 1.4%

     

Fairfax Financial Holdings Ltd.

     23,408         12,607,290   

China — 2.0%

     

Alibaba Group Holding Ltd. — ADR (a)(b)

     132,980         10,575,899   

China Construction Bank Corp., Class H

     11,291,000         7,527,011   
     

 

 

 
                18,102,910   

France — 1.1%

     

Unibail-Rodamco SE — REIT

     38,990         10,086,525   

Hong Kong — 0.7%

     

AIA Group Ltd.

     1,148,900         6,909,169   

India — 1.6%

     

Bharti Infratel Ltd.

     1,032,544         5,290,821   

HDFC Bank Ltd.

     490,682         9,946,261   
     

 

 

 
                15,237,082   

Indonesia — 0.5%

     

Matahari Department Store Tbk PT

     3,129,023         4,768,971   

Ireland — 0.8%

     

Green REIT PLC

     4,694,157         7,235,805   

Israel — 0.5%

     

Teva Pharmaceutical Industries Ltd. — ADR (b)

     89,900         4,515,677   

Italy — 2.2%

     

Atlantia SpA

     227,100         5,674,105   

Eni SpA

     445,200         7,170,944   

Snam SpA

     1,243,900         7,436,600   
     

 

 

 
                20,281,649   

Japan — 5.3%

     

Alps Electric Co. Ltd.

     228,000         4,331,614   

FANUC Corp.

     60,300         9,809,197   

Nintendo Co. Ltd.

     46,600         6,696,383   

Panasonic Corp.

     457,500         3,936,120   

SoftBank Group Corp.

     144,000         8,143,499   

Sony Corp.

     214,400         6,316,648   

Sumitomo Mitsui Financial Group, Inc.

     350,700         10,126,483   
     

 

 

 
                49,359,944   

Mexico — 0.7%

     

Fomento Economico Mexicano SAB de CV — ADR (b)

     70,600         6,529,794   

Netherlands — 2.1%

     

ASML Holding NV

     49,027         4,826,152   

InterXion Holding NV (a)(b)

     144,200         5,318,096   

Koninklijke Philips NV

     365,740         9,083,658   
     

 

 

 
                19,227,906   

New Zealand — 0.5%

     

Xero Ltd. (a)

     350,000         4,568,221   

Norway — 0.8%

     

Statoil ASA

     439,260         7,589,737   

Portugal — 1.0%

     

Galp Energia SGPS SA

     672,400         9,352,002   
Common Stocks    Shares      Value  

South Africa — 1.1%

     

Naspers Ltd., N Shares

     66,150       $ 10,100,779   

South Korea — 0.4%

     

LG Chem Ltd.

     15,100         3,448,368   

Spain — 1.3%

     

Cellnex Telecom SAU (c)

     780,578         12,249,314   

Sweden — 0.7%

     

Nordea Bank AB

     741,558         6,291,116   

Switzerland — 2.7%

     

Nestle SA

     135,934         10,531,940   

Roche Holding AG

     30,320         8,000,836   

UBS Group AG

     501,689         6,509,714   
     

 

 

 
                25,042,490   

Taiwan — 1.5%

     

Largan Precision Co. Ltd.

     74,000         6,843,761   

Taiwan Semiconductor Manufacturing Co. Ltd.

     1,416,000         7,136,211   
     

 

 

 
                13,979,972   

Thailand — 0.4%

     

True Corp Pcl

     17,636,900         3,620,726   

United Kingdom — 11.1%

     

AstraZeneca PLC

     165,700         9,906,179   

BAE Systems PLC

     1,150,970         8,057,478   

Delphi Automotive PLC (b)

     91,710         5,741,046   

Diageo PLC

     369,800         10,330,659   

GlaxoSmithKline PLC

     292,400         6,279,324   

Imperial Brands PLC

     209,060         11,337,961   

Lloyds Banking Group PLC

     9,380,140         6,793,980   

Metro Bank PLC (a)(d)

     271,008         6,522,924   

Nomad Foods Ltd. (a)

     813,129         6,488,769   

Unilever PLC

     309,520         14,830,773   

Vodafone Group PLC — ADR (b)

     286,910         8,862,650   

Worldpay Group PLC (a)(c)

     2,163,100         7,873,071   
     

 

 

 
                103,024,814   

United States — 52.9%

     

Acuity Brands, Inc. (b)

     21,650         5,368,335   

Adobe Systems, Inc. (a)(b)

     91,820         8,795,438   

Allergan PLC (a)(b)

     20,200         4,668,018   

Alphabet, Inc., Class A (a)(b)

     13,714         9,648,210   

Alphabet, Inc., Class C (a)(b)

     23,652         16,369,549   

Altria Group, Inc. (b)(e)

     178,810         12,330,738   

Amazon.com, Inc. (a)(b)

     14,060         10,061,617   

Amgen, Inc. (b)

     32,000         4,868,800   

Apple, Inc. (b)(e)

     145,500         13,909,800   

Aramark (e)

     284,920         9,522,026   

Assured Guaranty Ltd. (b)

     167,992         4,261,957   

AT&T Inc. (b)

     198,500         8,577,185   

BankUnited, Inc.

     300,263         9,224,079   

Biogen, Inc. (a)(b)

     14,100         3,409,662   

Boston Scientific Corp. (a)(b)(e)

     557,387         13,026,134   

Cerner Corp. (a)(b)

     81,700         4,787,620   

Cigna Corp. (b)

     34,000         4,351,660   

Citigroup, Inc. (b)(e)

     262,208         11,114,997   

Comcast Corp., Class A (b)

     176,200         11,486,478   

Concho Resources, Inc. (a)(b)

     77,330         9,223,149   

Crown Holdings, Inc. (a)

     100,370         5,085,748   

Duke Energy Corp. (b)

     87,000         7,463,730   

Eastman Chemical Co. (b)

     96,990         6,585,621   

Enterprise Products Partners LP (b)

     231,300         6,767,838   

EOG Resources, Inc. (b)

     105,370         8,789,965   
 

 

See Notes to Financial Statements.

 

52    SEMI-ANNUAL REPORT    JUNE 30, 2016     


Schedule of Investments (continued)      BlackRock Global Opportunities Equity Trust (BOE)   
  

 

Common Stocks    Shares      Value  

United States (continued)

     

Facebook, Inc., Class A (a)(b)

     109,100       $ 12,467,948   

FirstEnergy Corp. (b)

     195,200         6,814,432   

Hartford Financial Services Group, Inc. (b)

     283,730         12,591,937   

Hess Corp. (b)

     113,200         6,803,320   

Hortonworks, Inc. (a)(b)(e)

     448,047         4,789,622   

Humana, Inc. (b)

     29,600         5,324,448   

Intercontinental Exchange, Inc.

     29,800         7,627,608   

Kellogg Co. (b)

     116,800         9,536,720   

Kennedy-Wilson Holdings, Inc.

     274,748         5,209,222   

Lam Research Corp.

     68,100         5,724,486   

Lowe’s Cos., Inc. (b)

     109,830         8,695,241   

Macquarie Infrastructure Corp. (b)

     79,140         5,860,317   

MasterCard, Inc., Class A (b)(e)

     136,960         12,060,698   

McDonald’s Corp. (b)(e)

     147,200         17,714,048   

Medtronic PLC (b)

     144,183         12,510,759   

Merck & Co., Inc. (b)

     83,210         4,793,728   

Micron Technology, Inc. (a)(b)

     242,100         3,331,296   

Mondelez International, Inc., Class A (b)

     211,230         9,613,077   

Monsanto Co. (b)

     76,600         7,921,206   

Mosaic Co. (b)

     354,460         9,279,763   

Pioneer Natural Resources Co. (b)

     43,000         6,502,030   

Platform Specialty Products Corp. (a)

     484,673         4,303,896   

PPL Corp.

     192,700         7,274,425   

Public Service Enterprise Group, Inc. (b)

     234,730         10,940,765   

Roper Industries, Inc. (b)

     31,639         5,396,348   

Samsonite International SA

     1,632,800         4,520,998   

ServiceMaster Global Holdings, Inc. (a)(b)

     191,600         7,625,680   

Sherwin-Williams Co. (b)

     21,800         6,402,006   

Shire PLC — ADR (b)

     25,560         4,705,085   

Starbucks Corp. (b)

     211,846         12,100,644   

Strategic Growth Bancorp. (Acquired 3/10/14, Cost $5,461,692) (a)(f)

     438,690         3,290,175   

Union Pacific Corp. (b)

     77,474         6,759,608   

UnitedHealth Group, Inc. (b)

     58,187         8,216,004   

Walt Disney Co. (b)

     76,500         7,483,230   

WestRock Co.

     151,600         5,892,692   

Whirlpool Corp. (b)

     33,500         5,582,440   

WisdomTree Investments, Inc. (b)

     444,901         4,355,581   
     

 

 

 
                489,719,837   

Total Common Stocks — 97.3%

              901,066,346   
     
                  
Investment Companies    Shares      Value  

United Kingdom — 0.4%

     

Kennedy Wilson Europe Real Estate PLC

     299,275       $ 3,842,944   
     
Preferred Stocks                

India — 1.0%

     

Jasper Infotech Private Ltd., Series F (Acquired 5/7/14, Cost $1,888,464), 0.00% (a)(f)

     266         6,539,147   

Jasper Infotech Private Ltd., Series G (Acquired 10/29/14, Cost $741,913), 0.00% (a)(f)

     88         2,163,327   
     

 

 

 
                8,702,474   

United States — 1.8%

     

Palantir Technologies, Inc., Series I (Acquired 2/7/14, Cost $3,118,944), 0.00% (a)(f)

     508,800         4,879,392   

Uber Technologies, Inc., Series D (Acquired 6/6/14, Cost $3,845,800), 0.00% (a)(f)

     247,908         12,091,019   
     

 

 

 
                16,970,411   

Total Preferred Stocks — 2.8%

              25,672,885   

Total Long Term Investments

(Cost — $850,888,198) — 100.5%

              930,582,175   
     
Short-Term Securities                

BlackRock Liquidity Funds, TempFund, Institutional Class, 0.40% (g)(h)

     15,041,142         15,041,142   
      Beneficial
Interest
(000)
         

BlackRock Liquidity Series, LLC Money Market Series, 0.59% (g)(h)(i)

   $ 1,706         1,705,953   

Total Short-Term Securities

(Cost — $16,747,095) — 1.8%

              16,747,095   

Total Investments Before Options Written

(Cost — $867,635,293) — 102.3%

              947,329,270   
     
Options Written                

(Premiums Received — $10,702,576) — (1.4)%

              (12,825,445

Total Investments Net of Options Written — 100.9%

  

     934,503,825   

Liabilities in Excess of Other Assets — (0.9)%

        (8,235,193
     

 

 

 

Net Assets — 100.0%

      $ 926,268,632   
     

 

 

 
 
      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.

 

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

 

(f) Restricted securities as to resale, excluding 144A securities. As of period end, the Trust held restricted securities with a current value of $28,963,060 and an original cost of $15,056,813 which was 3.1% of its net assets.

 

(g) Current yield as of period end.

 

See Notes to Financial Statements.

 

     SEMI-ANNUAL REPORT    JUNE 30, 2016    53


Schedule of Investments (continued)      BlackRock Global Opportunities Equity Trust (BOE)   

 

 

(h) During the six months ended June 30, 2016, 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,
2015

     Net
Activity
    

Shares/
Beneficial Interest
Held at

June 30,

2016

     Value at
June 30,
2016
     Income  

BlackRock Liquidity Funds, TempFund, Institutional Class

     6,389,331         8,651,811         15,041,142         $ 15,041,142       $ 56,835   

BlackRock Liquidity Series, LLC Money Market Series

     $   427,550         $1,278,403         $  1,705,953         $   1,705,953       $ 14,337 1 

Total

              $ 16,747,095       $ 71,172   
           

 

 

 

 

  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

Forward Foreign Currency Exchange Contracts

 

Currency
Purchased
       Currency
Sold
    Counterparty   Settlement
Date
      

Unrealized
Appreciation
(Depreciation)

 
CAD        8,402,000           USD           6,394,289      Royal Bank of Scotland PLC     7/13/16                         $ 109,407   
USD        6,458,079           CAD           8,402,000      Commonwealth Bank of Australia     7/13/16                   (45,617
Total                           $ 63,790   
                         

 

 

 

 

Exchange-Traded Options Written

 

                 
Description    Put/
Call
     Expiration
Date
    

Strike

Price

     Contracts      Value  

Alibaba Group Holding Ltd. — ADR

     Call         7/01/16         USD         82.00         201       $ (402

Allergan PLC

     Call         7/01/16         USD         237.50         110         (1,100

Alphabet, Inc., Class A

     Call         7/01/16         USD         750.00         10         (50

Alphabet, Inc., Class C

     Call         7/01/16         USD         725.00         39         (975

AT&T Inc.

     Call         7/01/16         USD         39.50         138         (50,370

Citigroup, Inc.

     Call         7/01/16         USD         46.00         334         (334

Enterprise Products Partners LP

     Call         7/01/16         USD         28.50         4         (300

EOG Resources, Inc.

     Call         7/01/16         USD         81.50         83         (16,102

EOG Resources, Inc.

     Call         7/01/16         USD         82.00         23         (3,473

EOG Resources, Inc.

     Call         7/01/16         USD         83.00         23         (1,679

Facebook, Inc., Class A

     Call         7/01/16         USD         119.00         75         (112

Hartford Financial Services Group, Inc.

     Call         7/01/16         USD         44.50         245         (3,798

Medtronic PLC

     Call         7/01/16         USD         81.50         94         (44,885

Micron Technology, Inc.

     Call         7/01/16         USD         12.50         315         (41,422

Monsanto Co.

     Call         7/01/16         USD         102.00         104         (18,720

Mosaic Co.

     Call         7/01/16         USD         28.50         975         (16,575

Pioneer Natural Resources Co.

     Call         7/01/16         USD         167.50         42         (1,680

Shire PLC — ADR

     Call         7/01/16         USD         195.00         70         (2,100

Union Pacific Corp.

     Call         7/01/16         USD         83.00         106         (43,725

UnitedHealth Group, Inc.

     Call         7/01/16         USD         134.00         179         (123,958

Vodafone Group PLC — ADR

     Call         7/01/16         USD         34.00         490         (12,250

Walt Disney Co.

     Call         7/01/16         USD         101.00         115         (230

Alibaba Group Holding Ltd. — ADR

     Call         7/08/16         USD         79.50         38         (4,199

Alibaba Group Holding Ltd. — ADR

     Call         7/08/16         USD         80.50         125         (8,062

Alphabet, Inc., Class A

     Call         7/08/16         USD         750.00         6         (150

Altria Group, Inc.

     Call         7/08/16         USD         64.50         170         (67,575

Apple, Inc.

     Call         7/08/16         USD         103.00         47         (141

AT&T Inc.

     Call         7/08/16         USD         39.50         544         (197,200

Citigroup, Inc.

     Call         7/08/16         USD         47.00         298         (2,980

Enterprise Products Partners LP

     Call         7/08/16         USD         28.00         315         (41,738

Enterprise Products Partners LP

     Call         7/08/16         USD         28.50         10         (925

EOG Resources, Inc.

     Call         7/08/16         USD         85.50         132         (5,082

Facebook, Inc., Class A

     Call         7/08/16         USD         121.00         86         (301

 

See Notes to Financial Statements.

 

54    SEMI-ANNUAL REPORT    JUNE 30, 2016     


Schedule of Investments (continued)      BlackRock Global Opportunities Equity Trust (BOE)   

 

Description    Put/
Call
     Expiration
Date
  

Strike

Price

     Contracts      Value  

Hartford Financial Services Group, Inc.

     Call       7/08/16      USD         46.50         390       $ (6,630

MasterCard, Inc., Class A

     Call       7/08/16      USD         97.50         94         (1,128

McDonald’s Corp.

     Call       7/08/16      USD         125.00         216         (1,080

Medtronic PLC

     Call       7/08/16      USD         83.00         140         (48,160

Merck & Co., Inc.

     Call       7/08/16      USD         57.00         64         (5,600

Union Pacific Corp.

     Call       7/08/16      USD         84.50         143         (42,757

UnitedHealth Group, Inc.

     Call       7/08/16      USD         138.00         23         (7,878

UnitedHealth Group, Inc.

     Call       7/08/16      USD         139.00         8         (2,132

Vodafone Group PLC — ADR

     Call       7/08/16      USD         34.00         150         (3,750

Walt Disney Co.

     Call       7/08/16      USD         99.00         94         (2,209

Whirlpool Corp.

     Call       7/08/16      USD         180.00         61         (1,098

Acuity Brands, Inc.

     Call       7/15/16      USD         260.00         60         (4,349

Adobe Systems, Inc.

     Call       7/15/16      USD         100.00         92         (2,116

Alibaba Group Holding Ltd. — ADR

     Call       7/15/16      USD         82.50         201         (8,542

Alphabet, Inc., Class C

     Call       7/15/16      USD         730.00         37         (1,665

Altria Group, Inc.

     Call       7/15/16      USD         65.00         170         (68,850

Amazon.com, Inc.

     Call       7/15/16      USD         727.50         37         (27,380

Apple, Inc.

     Call       7/15/16      USD         100.00         105         (1,155

Apple, Inc.

     Call       7/15/16      USD         97.50         105         (5,145

Assured Guaranty Ltd.

     Call       7/15/16      USD         27.00         462         (6,930

AT&T Inc.

     Call       7/15/16      USD         41.00         137         (30,482

Boston Scientific Corp.

     Call       7/15/16      USD         23.00         880         (51,920

Cerner Corp.

     Call       7/15/16      USD         57.50         198         (33,660

Cigna Corp.

     Call       7/15/16      USD         130.00         85         (14,492

Citigroup, Inc.

     Call       7/15/16      USD         45.50         130         (2,340

Citigroup, Inc.

     Call       7/15/16      USD         46.00         65         (780

Concho Resources, Inc.

     Call       7/15/16      USD         120.00         160         (46,800

Duke Energy Corp.

     Call       7/15/16      USD         80.00         240         (140,400

Eastman Chemical Co.

     Call       7/15/16      USD         72.50         295         (7,375

Enterprise Products Partners LP

     Call       7/15/16      USD         28.00         314         (44,745

EOG Resources, Inc.

     Call       7/15/16      USD         82.50         38         (8,531

Facebook, Inc., Class A

     Call       7/15/16      USD         120.00         350         (5,775

FirstEnergy Corp.

     Call       7/15/16      USD         35.00         400         (23,000

Fomento Economico Mexicano SAB de CV — ADR

     Call       7/15/16      USD         95.00         97         (47,530

Hartford Financial Services Group, Inc.

     Call       7/15/16      USD         45.00         245         (10,780

Hortonworks, Inc.

     Call       7/15/16      USD         12.50         400         (6,000

InterXion Holding NV

     Call       7/15/16      USD         39.00         197         (23,640

Kellogg Co.

     Call       7/15/16      USD         77.50         320         (145,600

Lowe’s Cos., Inc.

     Call       7/15/16      USD         80.00         56         (4,116

Macquarie Infrastructure Corp.

     Call       7/15/16      USD         75.00         220         (17,600

MasterCard, Inc., Class A

     Call       7/15/16      USD         97.50         93         (279

McDonald’s Corp.

     Call       7/15/16      USD         125.00         193         (1,062

Medtronic PLC

     Call       7/15/16      USD         82.50         188         (81,310

Merck & Co., Inc.

     Call       7/15/16      USD         57.50         192         (14,208

Mondelez International, Inc., Class A

     Call       7/15/16      USD         45.00         53         (7,208

Mondelez International, Inc., Class A

     Call       7/15/16      USD         46.00         180         (15,030

Mosaic Co.

     Call       7/15/16      USD         29.00         975         (19,500

Pioneer Natural Resources Co.

     Call       7/15/16      USD         165.00         55         (1,650

Public Service Enterprise Group, Inc.

     Call       7/15/16      USD         45.00         236         (39,530

Sherwin-Williams Co.

     Call       7/15/16      USD         300.00         85         (12,962

Shire PLC — ADR

     Call       7/15/16      USD         200.00         35         (2,275

Starbucks Corp.

     Call       7/15/16      USD         55.00         162         (37,665

Union Pacific Corp.

     Call       7/15/16      USD         85.00         70         (21,000

Vodafone Group PLC — ADR

     Call       7/15/16      USD         35.00         544         (3,808

Walt Disney Co.

     Call       7/15/16      USD         100.00         115         (2,702

Whirlpool Corp.

     Call       7/15/16      USD         180.00         61         (1,159

WisdomTree Investments, Inc.

     Call       7/15/16      USD         11.00         700         (7,000

Concho Resources, Inc.

     Call       7/19/16      USD         117.00         265         (135,001

Alibaba Group Holding Ltd. — ADR

     Call       7/22/16      USD         80.00         38         (6,232

Alphabet, Inc., Class A

     Call       7/22/16      USD         730.00         11         (3,108

Alphabet, Inc., Class C

     Call       7/22/16      USD         730.00         54         (5,670

Altria Group, Inc.

     Call       7/22/16      USD         64.50         140         (57,750

Altria Group, Inc.

     Call       7/22/16      USD         66.00         181         (59,278

Amazon.com, Inc.

     Call       7/22/16      USD         720.00         4         (6,760

 

See Notes to Financial Statements.

 

     SEMI-ANNUAL REPORT    JUNE 30, 2016    55


Schedule of Investments (continued)      BlackRock Global Opportunities Equity Trust (BOE)   

 

Description    Put/
Call
     Expiration
Date
  

Strike

Price

     Contracts      Value  

Amgen, Inc.

     Call       7/22/16      USD         162.50         36       $ (738

AT&T Inc.

     Call       7/22/16      USD         42.50         274         (25,208

Citigroup, Inc.

     Call       7/22/16      USD         47.00         308         (3,234

Comcast Corp., Class A

     Call       7/22/16      USD         64.00         152         (24,320

Enterprise Products Partners LP

     Call       7/22/16      USD         28.00         314         (44,745

EOG Resources, Inc.

     Call       7/22/16      USD         87.00         113         (8,362

Facebook, Inc., Class A

     Call       7/22/16      USD         122.00         7         (136

Hartford Financial Services Group, Inc.

     Call       7/22/16      USD         44.00         196         (22,050

Hess Corp.

     Call       7/22/16      USD         62.50         165         (19,965

Humana, Inc.

     Call       7/22/16      USD         197.50         130         (38,025

MasterCard, Inc., Class A

     Call       7/22/16      USD         98.00         94         (940

McDonald’s Corp.

     Call       7/22/16      USD         125.00         100         (1,100

McDonald’s Corp.

     Call       7/22/16      USD         126.00         50         (1,100

Medtronic PLC

     Call       7/22/16      USD         86.00         76         (11,590

Micron Technology, Inc.

     Call       7/22/16      USD         12.50         350         (54,250

Teva Pharmaceutical Industries Ltd. — ADR

     Call       7/22/16      USD         54.50         247         (3,334

UnitedHealth Group, Inc.

     Call       7/22/16      USD         139.00         16         (6,520

Vodafone Group PLC — ADR

     Call       7/22/16      USD         35.00         394         (9,850

Mondelez International, Inc., Class A

     Call       7/27/16      USD         44.75         169         (32,858

Alibaba Group Holding Ltd. — ADR

     Call       7/29/16      USD         81.50         63         (8,096

Alphabet, Inc., Class A

     Call       7/29/16      USD         745.00         30         (19,050

Altria Group, Inc.

     Call       7/29/16      USD         66.00         321         (105,930

Amazon.com, Inc.

     Call       7/29/16      USD         745.00         36         (73,170

Amgen, Inc.

     Call       7/29/16      USD         157.50         104         (16,588

Apple, Inc.

     Call       7/29/16      USD         99.00         79         (9,124

Biogen, Inc.

     Call       7/29/16      USD         245.00         38         (35,910

Citigroup, Inc.

     Call       7/29/16      USD         43.50         56         (5,348

Citigroup, Inc.

     Call       7/29/16      USD         44.50         56         (3,416

Comcast Corp., Class A

     Call       7/29/16      USD         64.00         153         (29,988

Enterprise Products Partners LP

     Call       7/29/16      USD         28.50         315         (39,375

EOG Resources, Inc.

     Call       7/29/16      USD         83.00         84         (22,806

Facebook, Inc., Class A

     Call       7/29/16      USD         118.00         41         (8,282

Hartford Financial Services Group, Inc.

     Call       7/29/16      USD         45.00         300         (27,000

Hess Corp.

     Call       7/29/16      USD         62.00         258         (49,407

Humana, Inc.

     Call       7/29/16      USD         182.50         32         (33,120

Lowe’s Cos., Inc.

     Call       7/29/16      USD         79.00         57         (8,864

MasterCard, Inc., Class A

     Call       7/29/16      USD         98.00         94         (1,504

Medtronic PLC

     Call       7/29/16      USD         85.50         145         (29,580

Merck & Co., Inc.

     Call       7/29/16      USD         58.00         158         (14,457

Micron Technology, Inc.

     Call       7/29/16      USD         12.50         350         (56,175

Pioneer Natural Resources Co.

     Call       7/29/16      USD         167.50         42         (5,145

Starbucks Corp.

     Call       7/29/16      USD         58.00         373         (41,216

Teva Pharmaceutical Industries Ltd. — ADR

     Call       7/29/16      USD         54.50         247         (4,446

Union Pacific Corp.

     Call       7/29/16      USD         87.50         107         (26,376

UnitedHealth Group, Inc.

     Call       7/29/16      USD         142.00         94         (24,816

Whirlpool Corp.

     Call       7/29/16      USD         175.00         62         (16,926

Roper Industries, Inc.

     Call       8/01/16      USD         176.10         87         (18,843

Apple, Inc.

     Call       8/05/16      USD         100.00         79         (7,821

Apple, Inc.

     Call       8/05/16      USD         97.50         95         (17,195

Citigroup, Inc.

     Call       8/05/16      USD         46.50         65         (1,820

Comcast Corp., Class A

     Call       8/05/16      USD         63.00         136         (39,440

Delphi Automotive PLC

     Call       8/05/16      USD         67.00         250         (21,151

Hess Corp.

     Call       8/05/16      USD         58.00         199         (83,082

MasterCard, Inc., Class A

     Call       8/05/16      USD         93.50         191         (13,943

McDonald’s Corp.

     Call       8/05/16      USD         122.00         83         (15,355

McDonald’s Corp.

     Call       8/05/16      USD         123.00         83         (11,828

Mondelez International, Inc., Class A

     Call       8/05/16      USD         44.25         236         (35,872

Monsanto Co.

     Call       8/05/16      USD         110.00         101         (33,078

Starbucks Corp.

     Call       8/05/16      USD         58.00         255         (30,090

Apple, Inc.

     Call       8/12/16      USD         97.50         100         (19,500

Citigroup, Inc.

     Call       8/12/16      USD         44.50         130         (10,660

Comcast Corp., Class A

     Call       8/12/16      USD         65.50         272         (36,448

 

See Notes to Financial Statements.

 

56    SEMI-ANNUAL REPORT    JUNE 30, 2016     


Schedule of Investments (continued)      BlackRock Global Opportunities Equity Trust (BOE)   

 

Description    Put/
Call
     Expiration
Date
    

Strike

Price

     Contracts      Value  

Duke Energy Corp.

     Call         8/17/16         USD         82.60         238       $ (76,625

Acuity Brands, Inc.

     Call         8/19/16         USD         260.00         60         (22,200

Amgen, Inc.

     Call         8/19/16         USD         155.00         36         (12,150

Apple, Inc.

     Call         8/19/16         USD         105.00         96         (3,552

Biogen, Inc.

     Call         8/19/16         USD         250.00         38         (37,050

Cigna Corp.

     Call         8/19/16         USD         145.00         102         (15,606

Comcast Corp., Class A

     Call         8/19/16         USD         65.00         92         (16,238

EOG Resources, Inc.

     Call         8/19/16         USD         85.00         83         (23,489

Facebook, Inc., Class A

     Call         8/19/16         USD         120.00         41         (10,148

Kellogg Co.

     Call         8/19/16         USD         77.50         320         (176,000

MasterCard, Inc., Class A

     Call         8/19/16         USD         95.00         187         (12,529

McDonald’s Corp.

     Call         8/19/16         USD         125.00         84         (8,862

Medtronic PLC

     Call         8/19/16         USD         82.50         150         (70,875

Merck & Co., Inc.

     Call         8/19/16         USD         57.50         43         (6,579

Mondelez International, Inc., Class A

     Call         8/19/16         USD         43.00         229         (83,012

Mondelez International, Inc., Class A

     Call         8/19/16         USD         45.00         57         (13,224

Pioneer Natural Resources Co.

     Call         8/19/16         USD         165.00         55         (13,338

Public Service Enterprise Group, Inc.

     Call         8/19/16         USD         45.00         50         (11,250

Roper Industries, Inc.

     Call         8/19/16         USD         175.00         87         (30,450

ServiceMaster Global Holdings, Inc.

     Call         8/19/16         USD         40.00         525         (80,062

Starbucks Corp.

     Call         8/19/16         USD         57.50         373         (59,120

Pioneer Natural Resources Co.

     Call         9/16/16         USD         165.00         42         (16,800

Public Service Enterprise Group, Inc.

     Call         9/16/16         USD         45.00         428         (100,580

Sherwin-Williams Co.

     Call         9/16/16         USD         300.00         35         (28,175

Total

                  $ (4,517,340
                 

 

 

 

 

OTC Options Written

 

                      
Description    Put/
Call
     Counterparty      Expiration
Date
      

Strike

Price

       Contracts        Value  

Kennedy-Wilson Holdings, Inc.

   Call      Barclays Bank PLC        7/01/16         USD      21.63           32,000         $   

Crown Holdings, Inc.

   Call      Bank of America N.A.        7/05/16         USD      55.05           7,000             

Anheuser-Busch InBev SA

   Call      Morgan Stanley & Co. International PLC        7/06/16         EUR      114.74           10,200           (52,787)   

Delhaize Group

   Call      UBS AG        7/06/16         EUR      94.19           9,400           (20,386)   

Eni SpA

   Call      UBS AG        7/06/16         EUR      13.75           121,000           (107,536)   

Galp Energia SGPS SA

   Call      UBS AG        7/06/16         EUR      12.10           85,000           (45,645)   

Macquarie Infrastructure Corp.

   Call      Bank of America N.A.        7/06/16         USD      72.53           21,500           (37,123)   

Nestle SA

   Call      Bank of America N.A.        7/06/16         CHF      73.63           32,300           (72,058)   

Public Service Enterprise Group, Inc.

   Call      Goldman Sachs International        7/06/16         USD      44.69           42,800           (82,413)   

Roche Holding AG

   Call      UBS AG        7/06/16         CHF      247.75           8,700           (90,782)   

Samsonite International SA

   Call      JPMorgan Chase Bank N.A.        7/06/16         HKD      23.20           128,000           (154)   

SoftBank Group Corp.

   Call      Morgan Stanley & Co. International PLC        7/06/16         JPY      6,130.20           33,200           (8,969)   

Taiwan Semiconductor Manufacturing Co. Ltd.

   Call      Deutsche Bank AG        7/06/16         TWD      147.21           393,000           (186,663)   

UBS Group AG

   Call      Bank of America N.A.        7/06/16         CHF      15.45           70,500           (23)   

Unibail-Rodamco SE — REIT

   Call      Bank of America N.A.        7/06/16         EUR      234.85           11,400           (17,589)   

AIA Group Ltd.

   Call      Bank of America N.A.        7/07/16         HKD      45.29           138,000           (26,827)   

Aramark

   Call      Morgan Stanley & Co. International PLC        7/07/16         USD      33.84           47,000           (7,401)   

Delphi Automotive PLC

   Call      Deutsche Bank AG        7/07/16         USD      67.64           25,400           (1,625)   

Eastman Chemical Co.

   Call      Credit Suisse International        7/07/16         USD      76.75           24,000           (1)   

FirstEnergy Corp.

   Call      UBS AG        7/07/16         USD      32.45           2,300           (5,695)   

Fomento Economico Mexicano SAB de CV — ADR

   Call      Morgan Stanley & Co. International PLC        7/07/16         USD      97.56           9,700           (830)   

GlaxoSmithKline PLC

   Call      Bank of America N.A.        7/07/16         GBP      14.59           35,000           (71,883)   

Hortonworks, Inc.

   Call      Deutsche Bank AG        7/07/16         USD      12.43           86,000           (754)   

Koninklijke Philips NV

   Call      Morgan Stanley & Co. International PLC        7/07/16         EUR      23.79           43,000           (1,662)   

Lloyds Banking Group PLC

   Call      Morgan Stanley & Co. International PLC        7/07/16         GBP      0.67           731,000           (29)   

Nintendo Co. Ltd.

   Call      Goldman Sachs International        7/07/16         JPY      15,620.25           12,000           (14,098)   

Panasonic Corp.

   Call      Bank of America N.A.        7/07/16         JPY      971.65           95,000           (1,026)   

Boston Scientific Corp.

   Call      Goldman Sachs International        7/08/16         USD      21.78           84,000           (135,304)   

Kennedy-Wilson Holdings, Inc.

   Call      Morgan Stanley & Co. International PLC        7/08/16         USD      21.12           38,200           (183)   

Lam Research Corp.

   Call      Deutsche Bank AG        7/11/16         USD      75.01           18,400           (166,709)   

WestRock Co.

   Call      Citibank N.A.        7/11/16         USD      37.25           41,600           (83,131)   

 

See Notes to Financial Statements.

 

     SEMI-ANNUAL REPORT    JUNE 30, 2016    57


Schedule of Investments (continued)      BlackRock Global Opportunities Equity Trust (BOE)   

 

Description    Put/
Call
     Counterparty    Expiration
Date
  

Strike

Price

     Contracts      Value  

ASML Holding NV

     Call       Morgan Stanley & Co. International PLC    7/12/16    EUR      89.38         26,800         $  (44,470

BankUnited, Inc.

     Call       Citibank N.A.    7/12/16    USD      34.23         47,000         (980

Cellnex Telecom SAU

     Call       Credit Suisse International    7/12/16    EUR      14.52         64,000         (10,678

Crown Holdings, Inc.

     Call       Bank of America N.A.    7/12/16    USD      52.56         48,200         (6,821

Koninklijke Philips NV

     Call       Bank of America N.A.    7/12/16    EUR      23.09         158,000         (41,694

Largan Precision Co. Ltd.

     Call       JPMorgan Chase Bank N.A.    7/12/16    TWD      3,036.17         40,000         (65,583

Naspers Ltd., N Shares

     Call       UBS AG    7/12/16    ZAR      2,238.08         18,200         (72,227

Statoil ASA

     Call       Credit Suisse International    7/12/16    NOK      138.83         66,000         (59,504

Unilever PLC

     Call       UBS AG    7/12/16    GBP      31.51         48,100         (287,357

Worldpay Group PLC

     Call       Morgan Stanley & Co. International PLC    7/12/16    GBP      2.71         186,000         (18,890

AIA Group Ltd.

     Call       Morgan Stanley & Co. International PLC    7/13/16    HKD      44.64         247,000         (68,521

Diageo PLC

     Call       UBS AG    7/13/16    GBP      18.77         109,000         (323,982

Eni SpA

     Call       Goldman Sachs International    7/13/16    EUR      13.95         43,800         (33,634

Lloyds Banking Group PLC

     Call       Morgan Stanley & Co. International PLC    7/13/16    GBP      0.75         1,099,000         (44

Mondelez International, Inc., Class A

     Call       UBS AG    7/13/16    USD      44.75         23,700         (34,974

Nestle SA

     Call       Morgan Stanley & Co. International PLC    7/13/16    CHF      74.18         42,500         (78,421

Nordea Bank AB

     Call       Credit Suisse International    7/13/16    SEK      81.46         72,000         (418

Nordea Bank AB

     Call       Credit Suisse International    7/13/16    SEK      81.56         115,000         (635

Samsonite International SA

     Call       UBS AG    7/13/16    HKD      23.56         240,000         (611

Aramark

     Call       Wells Fargo Bank, National Association    7/14/16    USD      32.81         48,000         (39,653

BAE Systems PLC

     Call       UBS AG    7/14/16    GBP      4.99         256,000         (99,084

Delhaize Group

     Call       Bank of America N.A.    7/14/16    EUR      98.01         10,000         (10,014

Kennedy-Wilson Holdings, Inc.

     Call       Barclays Bank PLC    7/19/16    USD      21.00         32,000         (1,921

Lloyds Banking Group PLC

     Call       Goldman Sachs International    7/19/16    GBP      0.73         1,134,000         (218

Unibail-Rodamco SE — REIT

     Call       UBS AG    7/19/16    EUR      243.39         10,000         (14,241

Unilever PLC

     Call       Goldman Sachs International    7/19/16    GBP      31.96         48,100         (260,237

AstraZeneca PLC

     Call       Credit Suisse International    7/20/16    GBP      40.54         10,100         (60,362

Cellnex Telecom SAU

     Call       Morgan Stanley & Co. International PLC    7/20/16    EUR      14.33         27,000         (8,635

Comcast Corp., Class A

     Call       Barclays Bank PLC    7/20/16    USD      63.00         16,400         (38,624

Galp Energia SGPS SA

     Call       Goldman Sachs International    7/20/16    EUR      12.00         140,000         (104,163

Lam Research Corp.

     Call       Deutsche Bank AG    7/20/16    USD      75.65         19,000         (161,163

Snam SpA

     Call       Credit Suisse International    7/20/16    EUR      5.08         342,000         (126,487

Xero Ltd.

     Call       UBS AG    7/20/16    NZD      19.37         51,800         (11,024

Intercontinental Exchange, Inc.

     Call       Deutsche Bank AG    7/21/16    USD      261.50         10,000         (20,676

PPL Corp.

     Call       Morgan Stanley & Co. International PLC    7/21/16    USD      38.75         38,000         (8,011

WisdomTree Investments, Inc.

     Call       Goldman Sachs International    7/21/16    USD      11.50         65,000         (6,772

Fairfax Financial Holdings Ltd.

     Call       Morgan Stanley & Co. International PLC    7/22/16    CAD      679.38         4,800         (94,180

AstraZeneca PLC

     Call       Credit Suisse International    7/26/16    GBP      40.50         23,500         (144,073

China Construction Bank Corp., Class H

     Call       Bank of America N.A.    7/26/16    HKD      5.28         4,020,000         (47,457

Diageo PLC

     Call       UBS AG    7/26/16    GBP      19.07         47,000         (123,865

GlaxoSmithKline PLC

     Call       Morgan Stanley & Co. International PLC    7/26/16    GBP      14.84         63,000         (112,935

Imperial Brands PLC

     Call       Citibank N.A.    7/26/16    GBP      38.90         37,300         (108,263

Nordea Bank AB

     Call       Bank of America N.A.    7/26/16    SEK      80.91         74,300         (2,578

Public Service Enterprise Group, Inc.

     Call       Deutsche Bank AG    7/26/16    USD      45.44         10,000         (14,036

Samsonite International SA

     Call       UBS AG    7/26/16    HKD      24.12         156,000         (907

UBS Group AG

     Call       Morgan Stanley & Co. International PLC    7/26/16    CHF      15.80         46,786         (352

Worldpay Group PLC

     Call       Morgan Stanley & Co. International PLC    7/26/16    GBP      2.84         146,400         (9,706

Worldpay Group PLC

     Call       Morgan Stanley & Co. International PLC    7/26/16    GBP      2.88         145,000         (7,282

BAE Systems PLC

     Call       Bank of America N.A.    7/27/16    GBP      5.21         139,000         (29,958

Alps Electric Co. Ltd.

     Call       UBS AG    7/28/16    JPY      2,316.23         76,400         (19,551

Kennedy-Wilson Holdings, Inc.

     Call       Barclays Bank PLC    7/28/16    USD      20.99         32,000         (3,825

Adobe Systems, Inc.

     Call       UBS AG    7/29/16    USD      98.47         42,000         (43,779

Assured Guaranty Ltd.

     Call       Barclays Bank PLC    7/29/16    USD      26.26         23,100         (6,440

Intercontinental Exchange, Inc.

     Call       Goldman Sachs International    7/29/16    USD      268.65         6,300         (12,607

ServiceMaster Global Holdings, Inc.

     Call       Deutsche Bank AG    7/29/16    USD      39.01         52,500         (76,915

WestRock Co.

     Call       Citibank N.A.    8/01/16    USD      37.25         41,700         (107,708

Anheuser-Busch InBev SA

     Call       HSBC Bank PLC    8/02/16    EUR      116.71         67,000         (370,963

AstraZeneca PLC

     Call       Morgan Stanley & Co. International PLC    8/02/16    GBP      41.13         23,500         (125,712

Atlantia SpA

     Call       Credit Suisse International    8/02/16    EUR      24.13         41,000         (7,121

Atlantia SpA

     Call       UBS AG    8/02/16    EUR      22.22         43,000         (25,831

 

See Notes to Financial Statements.

 

58    SEMI-ANNUAL REPORT    JUNE 30, 2016     


Schedule of Investments (continued)      BlackRock Global Opportunities Equity Trust (BOE)   

 

Description    Put/
Call
     Counterparty    Expiration
Date
  

Strike

Price

     Contracts      Value  

BAE Systems PLC

     Call       Morgan Stanley & Co. International PLC    8/02/16    GBP      5.02         100,000         $  (40,029

Cellnex Telecom SAU

     Call       Credit Suisse International    8/02/16    EUR      14.43         80,000         (30,845

Diageo PLC

     Call       Morgan Stanley & Co. International PLC    8/02/16    GBP      19.09         47,000         (122,028

Eni SpA

     Call       Bank of America N.A.    8/02/16    EUR      14.51         18,000         (9,471

GlaxoSmithKline PLC

     Call       Morgan Stanley & Co. International PLC    8/02/16    GBP      14.77         63,000         (117,747

Lloyds Banking Group PLC

     Call       Morgan Stanley & Co. International PLC    8/02/16    GBP      0.72         730,000         (1,247

Metro Bank PLC

     Call       Morgan Stanley & Co. International PLC    8/02/16    GBP      21.15         37,200         (8,941

Statoil ASA

     Call       Credit Suisse International    8/02/16    NOK      142.08         56,000         (53,760

UBS Group AG

     Call       Morgan Stanley & Co. International PLC    8/02/16    CHF      14.99         159,000         (6,263

Unilever PLC

     Call       Credit Suisse International    8/02/16    GBP      34.01         74,000         (214,251

Worldpay Group PLC

     Call       Morgan Stanley & Co. International PLC    8/02/16    GBP      2.86         175,000         (12,627

Galp Energia SGPS SA

     Call       Goldman Sachs International    8/03/16    EUR      11.87         55,000         (51,982

Nintendo Co. Ltd.

     Call       Goldman Sachs International    8/03/16    JPY      16,704.47         7,000         (10,441

SoftBank Group Corp.

     Call       Bank of America N.A.    8/03/16    JPY      6,271.23         46,000         (43,711

Sony Corp.

     Call       Goldman Sachs International    8/03/16    JPY      3,192.58         59,000         (56,426

Xero Ltd.

     Call       Morgan Stanley & Co. International PLC    8/03/16    NZD      19.75         17,355         (4,581

Xero Ltd.

     Call       UBS AG    8/03/16    NZD      19.04         28,700         (11,893

Panasonic Corp.

     Call       Goldman Sachs International    8/04/16    JPY      928.14         94,700         (25,243

Worldpay Group PLC

     Call       Morgan Stanley & Co. International PLC    8/04/16    GBP      2.89         98,000         (6,174

Public Service Enterprise Group, Inc.

     Call       UBS AG    8/05/16    USD      45.49         4,900         (8,506

Roche Holding AG

     Call       Goldman Sachs International    8/05/16    CHF      250.92         8,000         (81,833

Worldpay Group PLC

     Call       Morgan Stanley & Co. International PLC    8/05/16    GBP      2.73         184,000         (26,445

BankUnited, Inc.

     Call       Barclays Bank PLC    8/08/16    USD      33.88         50,000         (14,072

Boston Scientific Corp.

     Call       Deutsche Bank AG    8/08/16    USD      23.02         67,300         (65,632

Anheuser-Busch InBev SA

     Call       Credit Suisse International    8/09/16    EUR      111.80         11,700         (115,190

Atlantia SpA

     Call       Morgan Stanley & Co. International PLC    8/09/16    EUR      22.61         41,000         (33,123

Cellnex Telecom SAU

     Call       Bank of America N.A.    8/09/16    EUR      14.40         67,500         (26,194

China Construction Bank Corp., Class H

     Call       UBS AG    8/09/16    HKD      5.23         3,320,000         (56,260

Eni SpA

     Call       Credit Suisse International    8/09/16    EUR      13.72         44,000         (50,636

FirstEnergy Corp.

     Call       Morgan Stanley & Co. International PLC    8/09/16    USD      34.66         65,000         (61,636

Nordea Bank AB

     Call       Credit Suisse International    8/09/16    SEK      75.80         72,500         (11,232

Samsonite International SA

     Call       UBS AG    8/09/16    HKD      23.08         72,000         (2,312

Snam SpA

     Call       Credit Suisse International    8/09/16    EUR      5.01         342,000         (153,758

Sony Corp.

     Call       JPMorgan Chase Bank N.A.    8/09/16    JPY      3,043.94         59,000         (98,126

Statoil ASA

     Call       Credit Suisse International    8/09/16    NOK      146.36         65,000         (48,960

Worldpay Group PLC

     Call       Morgan Stanley & Co. International PLC    8/09/16    GBP      2.87         175,000         (13,978

AstraZeneca PLC

     Call       Citibank N.A.    8/10/16    GBP      41.35         23,500         (122,931

Naspers Ltd., N Shares

     Call       UBS AG    8/10/16    ZAR      2,256.73         18,200         (115,835

Imperial Brands PLC

     Call       Citibank N.A.    8/11/16    GBP      38.20         37,000         (142,261

AIA Group Ltd.

     Call       UBS AG    8/12/16    HKD      46.25         247,000         (29,274

Panasonic Corp.

     Call       JPMorgan Chase Bank N.A.    8/12/16    JPY      909.95         31,000         (9,780

Samsonite International SA

     Call       UBS AG    8/12/16    HKD      21.97         301,800         (22,826

Worldpay Group PLC

     Call       Morgan Stanley & Co. International PLC    8/12/16    GBP      2.76         80,000         (9,776

Xero Ltd.

     Call       Morgan Stanley & Co. International PLC    8/12/16    NZD      18.58         14,400         (8,466

Aramark

     Call       Morgan Stanley & Co. International PLC    8/15/16    USD      33.69         62,000         (41,244

InterXion Holding NV

     Call       Barclays Bank PLC    8/15/16    USD      37.25         59,800         (67,712

Lowe’s Cos., Inc.

     Call       Morgan Stanley & Co. International PLC    8/15/16    USD      80.35         49,100         (80,916

BAE Systems PLC

     Call       HSBC Bank PLC    8/16/16    GBP      4.83         138,000         (86,378

Cellnex Telecom SAU

     Call       UBS AG    8/16/16    EUR      14.15         24,000         (14,851

Anheuser-Busch InBev SA

     Call       Goldman Sachs International    8/17/16    EUR      117.26         29,000         (134,043

Imperial Brands PLC

     Call       Morgan Stanley & Co. International PLC    8/17/16    GBP      40.45         40,000         (68,414

Lloyds Banking Group PLC

     Call       Goldman Sachs International    8/17/16    GBP      0.65         888,000         (11,415

Taiwan Semiconductor Manufacturing Co. Ltd.

     Call       UBS AG    8/17/16    TWD      160.93         386,000         (63,285

Xero Ltd.

     Call       Morgan Stanley & Co. International PLC    8/17/16    NZD      17.64         37,000         (37,389

PPL Corp.

     Call       Citibank N.A.    8/18/16    USD      38.10         51,000         (37,123

BankUnited, Inc.

     Call       Barclays Bank PLC    8/23/16    USD      33.30         45,000         (10,139

Cellnex Telecom SAU

     Call       Morgan Stanley & Co. International PLC    8/23/16    EUR      14.46         40,000         (20,626

Eni SpA

     Call       Goldman Sachs International    8/23/16    EUR      14.77         18,000         (9,545

Fairfax Financial Holdings Ltd.

     Call       Deutsche Bank AG    8/23/16    CAD      659.32         8,000         (288,033

Galp Energia SGPS SA

     Call       Morgan Stanley & Co. International PLC    8/23/16    EUR      12.37         90,000         (65,059

Statoil ASA

     Call       Deutsche Bank AG    8/25/16    NOK      135.78         55,000         (83,991

 

See Notes to Financial Statements.

 

     SEMI-ANNUAL REPORT    JUNE 30, 2016    59


Schedule of Investments (continued)      BlackRock Global Opportunities Equity Trust (BOE)   

 

Description    Put/
Call
     Counterparty    Expiration
Date
    

Strike

Price

     Contracts      Value  

Boston Scientific Corp.

     Call       Deutsche Bank AG      8/29/16         USD         23.02         67,300       $ (78,337

PPL Corp.

     Call       Citibank N.A.      9/01/16         USD         39.68         17,000         (6,095

BankUnited, Inc.

     Call       Deutsche Bank AG      9/08/16         USD         32.21         23,000         (13,241

Nintendo Co. Ltd.

     Call       Morgan Stanley & Co. International PLC      9/08/16         JPY         14,327.71         6,700         (77,508

Total

                     $ (8,308,105
                    

 

 

 

 

      Transactions in Options Written for the Period Ended June 30, 2016

 

     Calls            Puts
 

 

 

     

 

        Contracts     Premiums
Received
              Contracts    Premiums
Received

 

     

 

Outstanding options at beginning of period

    26,290,347      $ 11,916,657            —   

Options written

    81,542,754        44,739,889            —   

Options exercised

    (62,923     (198,769         —   

Options expired

    (42,956,977     (19,514,351         —   

Options closed

        (42,552,306     (26,240,850         —   
 

 

 

Outstanding options at end of period

    22,260,895      $ 10,702,576            —   
 

 

 

     

 

As of period end, the value of portfolio securities subject to covered call options written was $433,191,150.

 

      Derivative Financial Instruments Categorized by Risk Exposure

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

 

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

Assets — Derivative Financial Instruments

                                                     

Forward foreign currency exchange contracts

       Unrealized appreciation on     forward foreign currency exchange contracts      —                 —                       $109,407         —             $ 109,407   
  

 

 

Liabilities — Derivative Financial Instruments

                                                     

Forward foreign currency exchange contracts

       Unrealized depreciation on     forward foreign currency exchange contracts      —                 —                       $  45,617         —             $ 45,617   

Options written

       Options written, at value      —                 —             $ 12,825,445                 —               12,825,445   
  

 

 

Total

        —                 —             $ 12,825,445         $  45,617         —             $ 12,871,062   
     

 

 

 

For the six months ended June 30, 2016, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

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

Options purchased1

       —       $ (36,189              $ (36,189

Options written

       —         10,629,203                   10,629,203   
  

 

 

Total

       —       $ 10,593,014                 $ 10,593,014   
  

 

 
                

Net Change in Unrealized Appreciation (Depreciation) on:

                                        

Foreign currency translations

       —                $63,790          $ 63,790   

Options purchased2

       —       $ 29,255                   29,255   

Options written

       —         (5,915,951                (5,915,951
  

 

 

Total

       —       $ (5,886,696     $63,790          $ (5,822,906
  

 

 

 

  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.

 

60    SEMI-ANNUAL REPORT    JUNE 30, 2016     


Schedule of Investments (continued)      BlackRock Global Opportunities Equity Trust (BOE)   

 

      Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Forward foreign currency exchange contracts:

        

Average USD amounts purchased

   $ 3,229,040   

Average USD amounts sold

   $ 3,197,145   

Options:

  

Average value of option contracts written

   $ 13,212,696   

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:

       

Forward foreign currency exchange contracts

           $ 109,407         $ 45,617   

Options

               12,825,445   
  

 

 

 

Total derivative assets and liabilities in the Statements of Assets and Liabilities

           $ 109,407         $ 12,871,062   

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

               (4,517,340
  

 

 

 

Total derivative assets and liabilities subject to an MNA

           $ 109,407         $ 8,353,722   
  

 

 

 

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:

 

Counterparty    Derivative Assets
Subject to an MNA by
Counterparty
   Derivatives Available
for Offset
   Non-cash
Collateral
Received
   Cash
Collateral
Received
   Net Amount of
Derivative Assets1

Royal Bank of Scotland PLC

   $109,407             $109,407

 

Counterparty   Derivative Liabilities
Subject to an MNA by
Counterparty
   Derivatives Available
for Offset
   Non-cash
Collateral
Pledged2
  Cash
Collateral
Pledged
   Net Amount of
    Derivative Liabilities3    

Bank of America N.A.

    $ 444,427                 $ (372,102 )              $ 72,325  

Barclays Bank PLC

      142,733                                    142,733  

Citibank N.A.

      608,492                   (589,666 )                18,826  

Commonwealth Bank of Australia

      45,617                                    45,617  

Credit Suisse International

      1,087,911                   (1,081,914 )                5,997  

Deutsche Bank AG

      1,157,775                   (1,157,775 )                 

Goldman Sachs International

      1,030,374                   (1,030,374 )                 

HSBC Bank PLC

      457,341                                    457,341  

JPMorgan Chase Bank N.A.

      173,643                   (173,643 )                 

Morgan Stanley & Co. International PLC

      1,513,237                   (1,491,287 )                21,950  

UBS AG

      1,652,519                   (1,499,350 )                153,169  

Wells Fargo Bank, National Association

      39,653                                    39,653  

Total

    $ 8,353,722                 $ (7,396,111 )              $ 957,611  

 

  1   

Net amount represents the net amount receivable from the counterparty in the event of default.

 

  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

 

See Notes to Financial Statements.

 

     SEMI-ANNUAL REPORT    JUNE 30, 2016    61


Schedule of Investments (continued)      BlackRock Global Opportunities Equity Trust (BOE)   

 

      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

             $ 5,110,982                $ 5,110,982  

Belgium

               32,105,266                  32,105,266  

Canada

     $ 12,607,290                          12,607,290  

China

       10,575,899         7,527,011                  18,102,910  

France

               10,086,525                  10,086,525  

Hong Kong

               6,909,169                  6,909,169  

India

               15,237,082                  15,237,082  

Indonesia

               4,768,971                  4,768,971  

Ireland

       7,235,805                          7,235,805  

Israel

       4,515,677                          4,515,677  

Italy

               20,281,649                  20,281,649  

Japan

               49,359,944                  49,359,944  

Mexico

       6,529,794                          6,529,794  

Netherlands

       5,318,096         13,909,810                  19,227,906  

New Zealand

               4,568,221                  4,568,221  

Norway

               7,589,737                  7,589,737  

Portugal

               9,352,002                  9,352,002  

South Africa

               10,100,779                  10,100,779  

South Korea

               3,448,368                  3,448,368  

Spain

               12,249,314                  12,249,314  

Sweden

               6,291,116                  6,291,116  

Switzerland

               25,042,490                  25,042,490  

Taiwan

               13,979,972                  13,979,972  

Thailand

               3,620,726                  3,620,726  

United Kingdom

       27,615,389         75,409,425                  103,024,814  

United States

       481,908,664         4,520,998       $ 3,290,175          489,719,837  

Investment Companies

               3,842,944                  3,842,944  

Preferred Stocks

                       25,672,885          25,672,885  

Short-Term Securities

       15,041,142         1,705,953                  16,747,095  
    

 

 

 

Total

     $             571,347,756       $             347,018,454       $             28,963,060        $             947,329,270  
    

 

 

 
                 

Derivative Financial Instruments1

                                         

Assets:

                 

Forward foreign currency exchange contracts

              $ 109,407                 $ 109,407  

Liabilities:

                 

Equity contracts

      $ (4,196,990 )       (8,628,455 )                (12,825,445 )

Foreign currency exchange contracts

               (45,617 )                (45,617 )

Total

      $ (4,196,990 )      $ (8,564,665 )               $ (12,761,655 )
    

 

 

 

1    Derivative financial instruments are forward foreign currency exchange contracts and options written. Forward foreign currency exchange contracts are valued at the unrealized appreciation/depreciation on the instrument and options written are shown at value.

        

The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement 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

      $ 888,290                         $ 888,290  

Liabilities:

                 

Collateral on securities loaned at value

              $ (1,705,953 )                (1,705,953 )
    

 

 

 

Total

      $ 888,290        $ (1,705,953 )               $ (817,663 )
    

 

 

 

 

See Notes to Financial Statements.

 

62    SEMI-ANNUAL REPORT    JUNE 30, 2016     


Schedule of Investments (concluded)      BlackRock Global Opportunities Equity Trust (BOE)   

 

Transfers between Level 1 and Level 2 were as follow:

 

          Transfers into    
Level 11
         Transfers out of    
Level 12
         Transfers into    
Level 22
         Transfers out of    
Level 21
 

Assets:

           

Investments:

           

Long-Term Investments:

           

Common Stocks

     $    8,123,988         $ (45,571,349)         $  45,571,349         $  (8,123,988)   
  

 

 

 

 

  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.

A reconciliation of Level 3 investments is presented when the Trust had a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:

 

              Common
         Stocks
    Preferred
Stocks
    Total  

Assets:

      

Opening Balance, as of December 31, 2015

           $ 9,185,948      $ 26,668,421      $ 35,854,369   

Transfers into Level 3

                     

Transfers out of Level 3

     (5,237,738            (5,237,738

Accrued discounts/premiums

                     

Net realized gain (loss)

                     

Net change in unrealized appreciation/depreciation1,2

     (658,035     (995,536     (1,653,571

Purchases

                     

Sales

                     
  

 

 

 

Closing Balance, as of June 30, 2016

           $ 3,290,175      $ 25,672,885      $ 28,963,060   
  

 

 

 

Net change in unrealized appreciation/depreciation on investments still held at June 30, 20162

           $ (658,035   $ (995,536   $ (1,653,571
  

 

 

 

 

  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 June 30, 2016 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

       $ 3,290,175       Market Comparables    Tangible Book Value Multiple1      1.35x   

Preferred Stocks

     25,672,885       Market Comparables    Priced to new financing round1        
         Revenue Multiple1      12.0x   
         Revenue Growth Rate1      84.00%   
      Probability-Weighted Expected Return Model    Discount Rate2      25.00%   
         IPO Exit Probability1      70.00%   
         Merger & Acquisition Probability1      25.00%   
         Revenue Growth Rate1      80.00%   
         Revenue Multiple1      13.55x - 20.70x   
         Time to Exit2      1-2 years   
  

 

 

 

Total

       $ 28,963,060            
  

 

 

 

 

  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.

 

     SEMI-ANNUAL REPORT    JUNE 30, 2016    63


Schedule of Investments June 30, 2016 (Unaudited)      BlackRock Health Sciences Trust (BME)   
     (Percentages shown are based on Net Assets)   

 

Common Stocks    Shares      Value  

Biotechnology — 18.2%

  

AbbVie, Inc. (a)

     32,686       $ 2,023,589   

Acceleron Pharma, Inc. (b)

     29,400         999,012   

Acerta Pharma BV, Series B (Acquired 2/01/16, cost $986,402) (b)(c)

     17,146,440         1,450,589   

Actelion Ltd.

     7,600         1,279,821   

Agios Pharmaceuticals, Inc. (a)(b)

     9,500         398,004   

Alder Biopharmaceuticals, Inc. (a)(b)

     10,100         252,197   

Alexion Pharmaceuticals, Inc. (a)(b)

     4,760         555,778   

Alkermes PLC (a)(b)

     16,800         726,096   

Alnylam Pharmaceuticals, Inc. (a)(b)

     12,600         699,174   

Amgen, Inc. (a)

     71,522         10,882,072   

Aquinox Pharmaceuticals, Inc. (b)

     15,900         105,258   

Avexis, Inc. (b)

     11,226         426,813   

Axovant Sciences Ltd. (b)

     12,100         155,364   

Biogen, Inc. (a)(b)

     23,948         5,791,105   

BioMarin Pharmaceutical, Inc. (a)(b)

     9,100         707,980   

Celgene Corp. (a)(b)

     41,786         4,121,353   

Corvus Pharmaceuticals, Inc. (Acquired 3/23/16, cost $297,937) (b)(c)

     21,266         296,177   

CytomX Therapeutics, Inc. (b)

     28,059         286,623   

Genomic Health, Inc. (a)(b)

     19,300         499,774   

Gilead Sciences, Inc. (a)

     49,200         4,104,264   

Global Blood Therapeutics, Inc. (b)

     14,688         243,674   

Incyte Corp. (a)(b)

     13,800         1,103,724   

Inotek Pharmaceuticals Corp. (b)

     30,196         224,658   

Intellia Therapeutics, Inc. (Acquired 5/6/16, Cost $248,567) (b)(c)

     30,613         630,894   

Lion Biotechnologies, Inc. (Acquired 6/3/16, Cost $123,281) (b)(c)

     25,954         206,548   

Medivation, Inc. (a)(b)

     34,100         2,056,230   

Neurocrine Biosciences, Inc. (a)(b)

     41,762         1,898,083   

Otonomy, Inc. (b)

     8,400         133,392   

Prothena Corp. PLC (a)(b)

     4,344         151,866   

PTC Therapeutics, Inc. (b)

     30,300         212,706   

Regeneron Pharmaceuticals, Inc. (a)(b)

     7,358         2,569,634   

REGENXBIO, Inc. (b)

     35,850         286,800   

Sage Therapeutics, Inc. (b)

     9,342         281,474   

Sarepta Therapeutics, Inc. (b)(d)

     4,400         83,908   

Seattle Genetics, Inc. (a)(b)

     14,867         600,775   

Seres Therapeutics, Inc. (b)

     2,210         64,202   

Syndax Pharmaceuticals, Inc. (b)

     13,956         137,467   

Syndax Pharmaceuticals, Inc. (Acquired 3/02/16, cost $495,682) (b)(c)

     35,428         343,053   

Ultragenyx Pharmaceutical, Inc. (a)(b)

     13,815         675,692   

Vertex Pharmaceuticals, Inc. (a)(b)

     36,705         3,157,364   
     

 

 

 
                50,823,187   

Diversified Consumer Services — 0.2%

  

Service Corp. International

     20,600         557,024   

Electronic Equipment, Instruments & Components — 0.7%

  

FEI Co.

     18,800         2,009,344   

Health Care Equipment & Supplies — 25.9%

  

Abbott Laboratories (a)

     118,700         4,666,096   

Baxter International, Inc. (a)

     134,500         6,082,090   

Becton Dickinson and Co. (a)

     20,033         3,397,396   

Boston Scientific Corp. (b)

     518,400         12,115,008   

CONMED Corp.

     12,000         572,760   

Cooper Cos., Inc. (a)

     13,166         2,258,891   

CR Bard, Inc. (a)

     20,653         4,856,759   

DENTSPLY SIRONA, Inc. (a)

     22,500         1,395,900   

Edwards Lifesciences Corp. (a)(b)

     46,898         4,677,138   
Common Stocks    Shares      Value  

Health Care Equipment & Supplies (continued)

  

Hologic, Inc. (a)(b)

     36,600       $ 1,266,360   

Masimo Corp. (a)(b)

     19,600         1,029,294   

Medtronic PLC (a)

     192,600         16,711,902   

St. Jude Medical, Inc.

     57,200         4,461,600   

Stryker Corp. (a)

     52,200         6,255,126   

Zimmer Biomet Holdings, Inc. (a)

     20,400         2,455,752   
     

 

 

 
                72,202,072   

Health Care Providers & Services — 22.3%

  

Aetna, Inc. (a)

     44,311         5,411,701   

Amedisys, Inc. (a)(b)

     43,100         2,175,688   

American Renal Associates Holdings, Inc. (b)

     9,083         263,135   

AmerisourceBergen Corp. (a)

     14,400         1,142,208   

Anthem, Inc. (a)

     50,300         6,606,402   

Cardinal Health, Inc. (a)

     33,030         2,576,670   

Centene Corp. (a)(b)

     32,100         2,290,977   

Cigna Corp. (a)

     39,100         5,004,409   

DaVita HealthCare Partners, Inc. (a)(b)

     39,000         3,015,480   

Express Scripts Holding Co. (a)(b)

     11,076         839,561   

HCA Holdings, Inc. (a)(b)

     11,394         877,452   

HealthEquity, Inc. (a)(b)

     16,900         513,508   

Humana, Inc. (a)

     26,000         4,676,880   

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

     4,300         560,161   

McKesson Corp. (a)

     19,700         3,677,005   

Quest Diagnostics, Inc. (a)

     8,600         700,126   

Teladoc, Inc. (b)(d)

     18,800         301,176   

UnitedHealth Group, Inc. (a)(e)

     122,002         17,226,682   

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

     28,100         3,768,210   

WellCare Health Plans, Inc. (a)(b)

     7,100         761,688   
     

 

 

 
                62,389,119   

Health Care Technology — 0.8%

     

Cerner Corp. (a)(b)

     38,100         2,232,660   

Life Sciences Tools & Services — 2.1%

  

Thermo Fisher Scientific, Inc. (a)

     39,400         5,821,744   

Pharmaceuticals — 26.7%

     

Allergan PLC (a)(b)

     38,625         8,925,851   

AstraZeneca PLC

     60,400         3,610,943   

Bristol-Myers Squibb Co. (a)

     63,562         4,674,985   

Chugai Pharmaceutical Co. Ltd.

     13,500         481,116   

Dermira, Inc. (a)(b)

     18,300         535,275   

Eli Lilly & Co. (a)

     115,800         9,119,250   

GlaxoSmithKline PLC

     116,000         2,491,113   

GlaxoSmithKline PLC — ADR (a)

     37,500         1,625,250   

Intra-Cellular Therapies, Inc. (b)

     54,481         2,114,952   

Jazz Pharmaceuticals PLC (a)(b)

     13,200         1,865,292   

Johnson & Johnson (a)

     66,470         8,062,811   

Mallinckrodt PLC (a)(b)

     23,143         1,406,632   

Merck & Co., Inc. (a)

     66,500         3,831,065   

Merck KGaA

     17,900         1,819,418   

Mylan NV (a)(b)

     54,600         2,360,904   

Nektar Therapeutics (a)(b)

     23,800         338,674   

Pfizer, Inc. (a)

     205,098         7,221,501   

Phibro Animal Health Corp., Class A

     23,300         434,778   

Roche Holding AG

     10,900         2,876,290   

Shire PLC — ADR (a)

     25,929         4,773,010   

Teva Pharmaceutical Industries Ltd. — ADR (a)

     73,300         3,681,859   
 

 

See Notes to Financial Statements.

 

64    SEMI-ANNUAL REPORT    JUNE 30, 2016     


Schedule of Investments (continued)      BlackRock Health Sciences Trust (BME)   
  

 

Common Stocks    Shares      Value  

Pharmaceuticals (continued)

     

Zoetis, Inc. (a)

     45,300       $ 2,149,938   
     

 

 

 
                74,400,907   

Total Common Stocks — 96.9%

              270,436,057   
     
Preferred Stocks                

Biotechnology — 0.6%

     

Afferent Pharmaceuticals, Inc., Series C (Acquired 6/30/15, cost $466,519), 0.00% (b)(c)

     190,160         941,292   

Lion Biotechnologies, Inc., Series B (Acquired 6/3/16, Cost $144,728), 0.00% (b)(c)

     30,469         242,480   

Ovid Therapeutics, Inc. (Acquired 8/7/15, cost $503,166), 0.00% (b)(c)

     80,765         503,166   

Total Preferred Stocks — 0.6%

              1,686,938   
Rights — 0.0%                

Biotechnology — 0.0%

     

Dyax Corp. — CVR (b)

     61,727         68,517   

Total Long-Term Investments

(Cost — $194,918,126) — 97.5%

              272,191,512   
     
                  
Short-Term Securities    Shares      Value  

BlackRock Liquidity Funds, TempFund, Institutional Class, 0.40% (f)(g)

     9,585,944       $ 9,585,944   
      Beneficial
Interest
(000)
         

BlackRock Liquidity Series, LLC Money Market Series, 0.59% (f)(g)(h)

   $ 157         156,732   

Total Short-Term Securities

(Cost — $9,742,676) — 3.5%

              9,742,676   

Total Investments Before Options Written

(Cost — $204,660,802) — 101.0%

              281,934,188   
     
Options Written                

(Premiums Received — $2,147,026) — (0.9)%

              (2,593,549

Total Investments Net of Options Written — 100.1%

  

     279,340,639   

Liabilities in Excess of Other Assets — (0.1)%

        (312,707
     

 

 

 

Net Assets — 100.0%

      $ 279,027,932   
     

 

 

 
 
      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 $4,614,199 and an original cost of $3,266,282 which was 1.7% of its net assets.

 

(d) Security, or a portion of security, is on loan.

 

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

 

(f) Current yield as of period end.

 

(g) During the six months ended June 30, 2016, 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,
2015
     Net
Activity
    

Shares/
Beneficial Interest
Held at

June 30,

2016

     Value at
June 30,
2016
     Income  

BlackRock Liquidity Funds, TempFund, Institutional Class

     8,854,560         731,384         9,585,944           $ 9,585,944       $ 26,637   

BlackRock Liquidity Series, LLC Money Market Series

           $ 156,732         $   156,732           $ 156,732       $ 1,512 1 

Total

                $ 9,742,676       $ 28,149   
           

 

 

 

 

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

 

See Notes to Financial Statements.

 

     SEMI-ANNUAL REPORT    JUNE 30, 2016    65


Schedule of Investments (continued)      BlackRock Health Sciences Trust (BME)   

 

      Derivative Financial Instruments Outstanding as of Period End

Exchange-Traded Options Written

 

Description    Put/
Call
     Expiration
Date
  

Strike

Price

     Contracts      Value  

Abbott Laboratories

     Call       7/01/16    USD      39.00         176         $    (6,511

AbbVie, Inc.

     Call       7/01/16    USD      60.50         13         (1,592

Aetna, Inc.

     Call       7/01/16    USD      115.00         18         (12,735

Celgene Corp.

     Call       7/01/16    USD      109.00         7         (350

Express Scripts Holding Co.

     Call       7/01/16    USD      72.50         13         (4,030

Gilead Sciences, Inc.

     Call       7/01/16    USD      85.50         35         (105

GlaxoSmithKline PLC — ADR

     Call       7/01/16    USD      42.50         117         (9,945

Mallinckrodt PLC

     Call       7/01/16    USD      65.00         60         (3,000

Medivation, Inc.

     Call       7/01/16    USD      61.00         28         (1,148

Medtronic PLC

     Call       7/01/16    USD      81.50         92         (43,930

Mylan NV

     Call       7/01/16    USD      42.00         92         (11,408

Shire PLC — ADR

     Call       7/01/16    USD      195.00         28         (840

UnitedHealth Group, Inc.

     Call       7/01/16    USD      134.00         170         (117,725

Vertex Pharmaceuticals, Inc.

     Call       7/01/16    USD      92.00         62         (10,540

Bristol-Myers Squibb Co.

     Call       7/07/16    USD      72.01         42         (7,849

Cerner Corp.

     Call       7/07/16    USD      55.01         61         (22,069

AbbVie, Inc.

     Call       7/08/16    USD      65.00         41         (205

Aetna, Inc.

     Call       7/08/16    USD      121.00         16         (3,504

Allergan PLC

     Call       7/08/16    USD      250.00         110         (1,650

Amgen, Inc.

     Call       7/08/16    USD      162.50         24         (168

Anthem, Inc.

     Call       7/08/16    USD      133.00         7         (550

Bristol-Myers Squibb Co.

     Call       7/08/16    USD      73.00         120         (12,840

Celgene Corp.

     Call       7/08/16    USD      111.00         4         (24

Express Scripts Holding Co.

     Call       7/08/16    USD      75.50         39         (3,744

Medtronic PLC

     Call       7/08/16    USD      83.00         130         (44,720

Merck & Co., Inc.

     Call       7/08/16    USD      57.00         55         (4,813

Teva Pharmaceutical Industries Ltd. — ADR

     Call       7/08/16    USD      54.50         18         (234

UnitedHealth Group, Inc.

     Call       7/08/16    USD      138.00         25         (8,562

UnitedHealth Group, Inc.

     Call       7/08/16    USD      139.00         20         (5,330

Stryker Corp.

     Call       7/11/16    USD      110.12         50         (48,632

Cardinal Health, Inc.

     Call       7/12/16    USD      77.50         58         (7,179

AbbVie, Inc.

     Call       7/15/16    USD      62.50         41         (2,768

Alder Biopharmaceuticals, Inc.

     Call       7/15/16    USD      30.00         36         (5,040

Alnylam Pharmaceuticals, Inc.

     Call       7/15/16    USD      60.00         44         (5,280

AmerisourceBergen Corp.

     Call       7/15/16    USD      77.50         22         (4,785

Baxter International, Inc.

     Call       7/15/16    USD      45.00         52         (4,212

BioMarin Pharmaceutical, Inc.

     Call       7/15/16    USD      100.00         24         (1,620

BioMarin Pharmaceutical, Inc.

     Call       7/15/16    USD      90.00         24         (3,180

Bristol-Myers Squibb Co.

     Call       7/15/16    USD      72.50         177         (30,798

Cardinal Health, Inc.

     Call       7/15/16    USD      77.50         29         (3,915

Celgene Corp.

     Call       7/15/16    USD      110.00         4         (14

Centene Corp.

     Call       7/15/16    USD      70.00         36         (8,370

Centene Corp.

     Call       7/15/16    USD      72.50         20         (1,950

Cerner Corp.

     Call       7/15/16    USD      57.50         52         (8,840

Cigna Corp.

     Call       7/15/16    USD      130.00         75         (12,788

Cooper Cos., Inc.

     Call       7/15/16    USD      170.00         33         (9,900

CR Bard, Inc.

     Call       7/15/16    USD      230.00         36         (21,960

DaVita HealthCare Partners, Inc.

     Call       7/15/16    USD      75.00         80         (21,000

DENTSPLY SIRONA, Inc.

     Call       7/15/16    USD      65.00         39         (1,170

Dermira, Inc.

     Call       7/15/16    USD      35.00         54         (25,920

Eli Lilly & Co.

     Call       7/15/16    USD      75.00         60         (23,700

Gilead Sciences, Inc.

     Call       7/15/16    USD      87.50         35         (770

HealthEquity, Inc.

     Call       7/15/16    USD      30.00         59         (5,605

Incyte Corp.

     Call       7/15/16    USD      85.00         50         (4,750

Medtronic PLC

     Call       7/15/16    USD      82.50         10         (4,325

Merck & Co., Inc.

     Call       7/15/16    USD      57.50         87         (6,438

Neurocrine Biosciences, Inc.

     Call       7/15/16    USD      50.00         73         (2,373

Pfizer, Inc.

     Call       7/15/16    USD      35.00         70         (3,640

Prothena Corp. PLC

     Call       7/15/16    USD      50.00         15         (412

Regeneron Pharmaceuticals, Inc.

     Call       7/15/16    USD      410.00         8         (220

 

See Notes to Financial Statements.

 

66    SEMI-ANNUAL REPORT    JUNE 30, 2016     


Schedule of Investments (continued)      BlackRock Health Sciences Trust (BME)   

 

Description    Put/
Call
     Expiration
Date
  

Strike

Price

     Contracts      Value  

Seattle Genetics, Inc.

     Call       7/15/16    USD      40.00         52         $  (7,020

Shire PLC — ADR

     Call       7/15/16    USD      200.00         15         (975

Stryker Corp.

     Call       7/15/16    USD      115.00         30         (14,700

Teva Pharmaceutical Industries Ltd. — ADR

     Call       7/15/16    USD      55.00         25         (112

Thermo Fisher Scientific, Inc.

     Call       7/15/16    USD      155.00         64         (640

Ultragenyx Pharmaceutical, Inc.

     Call       7/15/16    USD      65.00         50         (625

Universal Health Services, Inc., Class B

     Call       7/15/16    USD      135.00         41         (7,892

WellCare Health Plans, Inc.

     Call       7/15/16    USD      105.00         24         (8,640

Zoetis, Inc.

     Call       7/15/16    USD      48.00         68         (3,740

Aetna, Inc.

     Call       7/22/16    USD      122.00         62         (16,833

Alexion Pharmaceuticals, Inc.

     Call       7/22/16    USD      122.00         16         (3,480

Amgen, Inc.

     Call       7/22/16    USD      162.50         92         (1,886

Baxter International, Inc.

     Call       7/22/16    USD      45.50         107         (7,116

Baxter International, Inc.

     Call       7/22/16    USD      46.00         56         (2,548

Eli Lilly & Co.

     Call       7/22/16    USD      75.00         115         (47,438

Humana, Inc.

     Call       7/22/16    USD      197.50         10         (2,925

Jazz Pharmaceuticals PLC

     Call       7/22/16    USD      160.00         21         (788

Johnson & Johnson

     Call       7/22/16    USD      117.00         144         (70,200

Medivation, Inc.

     Call       7/22/16    USD      61.50         35         (5,985

Medtronic PLC

     Call       7/22/16    USD      86.00         71         (10,828

Mylan NV

     Call       7/22/16    USD      46.00         100         (4,750

Pfizer, Inc.

     Call       7/22/16    USD      35.50         76         (2,660

Teva Pharmaceutical Industries Ltd. — ADR

     Call       7/22/16    USD      54.50         10         (135

Teva Pharmaceutical Industries Ltd. — ADR

     Call       7/22/16    USD      56.50         17         (374

UnitedHealth Group, Inc.

     Call       7/22/16    USD      139.00         41         (16,708

Vertex Pharmaceuticals, Inc.

     Call       7/22/16    USD      94.00         43         (4,085

Masimo Corp.

     Call       7/26/16    USD      53.01         36         (5,358

Abbott Laboratories

     Call       7/29/16    USD      39.50         150         (10,425

Aetna, Inc.

     Call       7/29/16    USD      121.00         43         (15,801

Aetna, Inc.

     Call       7/29/16    USD      123.00         16         (4,200

Amgen, Inc.

     Call       7/29/16    USD      157.50         3         (478

Anthem, Inc.

     Call       7/29/16    USD      132.00         88         (29,480

Biogen, Inc.

     Call       7/29/16    USD      245.00         41         (38,745

Celgene Corp.

     Call       7/29/16    USD      107.00         150         (8,175

Eli Lilly & Co.

     Call       7/29/16    USD      80.00         97         (12,853

Gilead Sciences, Inc.

     Call       7/29/16    USD      89.00         69         (4,347

HCA Holdings, Inc.

     Call       7/29/16    USD      79.50         39         (4,680

Humana, Inc.

     Call       7/29/16    USD      182.50         92         (95,220

Mallinckrodt PLC

     Call       7/29/16    USD      61.50         21         (5,828

Medtronic PLC

     Call       7/29/16    USD      85.50         141         (28,764

Merck & Co., Inc.

     Call       7/29/16    USD      58.00         90         (8,235

Pfizer, Inc.

     Call       7/29/16    USD      35.00         295         (20,945

Pfizer, Inc.

     Call       7/29/16    USD      35.50         77         (3,311

Regeneron Pharmaceuticals, Inc.

     Call       7/29/16    USD      360.00         13         (11,440

Teva Pharmaceutical Industries Ltd. — ADR

     Call       7/29/16    USD      54.50         81         (1,458

Thermo Fisher Scientific, Inc.

     Call       7/29/16    USD      149.00         60         (12,595

UnitedHealth Group, Inc.

     Call       7/29/16    USD      142.00         126         (33,264

Zoetis, Inc.

     Call       7/29/16    USD      48.00         68         (6,120

Anthem, Inc.

     Call       8/05/16    USD      131.00         81         (34,425

Eli Lilly & Co.

     Call       8/05/16    USD      77.50         133         (38,969

Johnson & Johnson

     Call       8/05/16    USD      117.00         88         (44,220

Medivation, Inc.

     Call       8/05/16    USD      61.50         42         (10,227

Pfizer, Inc.

     Call       8/05/16    USD      35.50         93         (4,836

Teva Pharmaceutical Industries Ltd. — ADR

     Call       8/05/16    USD      52.50         63         (6,237

Zimmer Biomet Holdings, Inc.

     Call       8/08/16    USD      116.75         43         (22,317

Universal Health Services, Inc., Class B

     Call       8/11/16    USD      134.00         42         (20,117

Pfizer, Inc.

     Call       8/12/16    USD      35.50         93         (5,115

Teva Pharmaceutical Industries Ltd. — ADR

     Call       8/12/16    USD      52.00         42         (5,628

Abbott Laboratories

     Call       8/19/16    USD      39.00         100         (12,000

AbbVie, Inc.

     Call       8/19/16    USD      62.50         13         (2,178

Agios Pharmaceuticals, Inc.

     Call       8/19/16    USD      60.00         30         (2,475

Alkermes PLC

     Call       8/19/16    USD      47.00         58         (8,844

Amedisys, Inc.

     Call       8/19/16    USD      55.00         135         (18,158

AmerisourceBergen Corp.

     Call       8/19/16    USD      80.00         28         (5,739

Amgen, Inc.

     Call       8/19/16    USD      155.00         126         (42,525

 

See Notes to Financial Statements.

 

     SEMI-ANNUAL REPORT    JUNE 30, 2016    67


Schedule of Investments (continued)      BlackRock Health Sciences Trust (BME)   

 

Description    Put/
Call
     Expiration
Date
    

Strike

Price

     Contracts      Value  

Baxter International, Inc.

     Call         8/19/16         USD         45.00         90       $ (13,320

Becton Dickinson and Co.

     Call         8/19/16         USD         170.00         70         (30,100

Biogen, Inc.

     Call         8/19/16         USD         250.00         41         (39,975

Cardinal Health, Inc.

     Call         8/19/16         USD         80.00         29         (4,132

Centene Corp.

     Call         8/19/16         USD         72.50         56         (15,400

Cigna Corp.

     Call         8/19/16         USD         145.00         62         (9,486

Cooper Cos., Inc.

     Call         8/19/16         USD         165.00         13         (11,180

CR Bard, Inc.

     Call         8/19/16         USD         230.00         36         (32,940

Edwards Lifesciences Corp.

     Call         8/19/16         USD         100.00         166         (77,190

Genomic Health, Inc.

     Call         8/19/16         USD         30.00         67         (8,710

Gilead Sciences, Inc.

     Call         8/19/16         USD         92.50         33         (1,732

Hologic, Inc.

     Call         8/19/16         USD         36.00         97         (7,760

Laboratory Corp. of America Holdings

     Call         8/19/16         USD         130.00         20         (8,000

McKesson Corp.

     Call         8/19/16         USD         185.00         76         (55,100

Medtronic PLC

     Call         8/19/16         USD         82.50         130         (61,425

Nektar Therapeutics

     Call         8/19/16         USD         15.00         237         (18,960

Pfizer, Inc.

     Call         8/19/16         USD         35.00         13         (1,138

Quest Diagnostics, Inc.

     Call         8/19/16         USD         83.50         30         (3,150

Shire PLC — ADR

     Call         8/19/16         USD         175.00         34         (47,770

Stryker Corp.

     Call         8/19/16         USD         120.00         102         (29,580

Masimo Corp.

     Call         8/26/16         USD         52.10         32         (8,794

Total

                  $ (1,996,332
                 

 

 

 

OTC Options Written

 

Description    Put/
Call
     Counterparty    Expiration
Date
    

Strike

Price

     Contracts      Value  

Zimmer Biomet Holdings, Inc.

     Call       Citibank N.A.      7/07/16         USD         118.75         900       $ (1,795

Baxter International, Inc.

     Call       Morgan Stanley & Co. International PLC      7/08/16         USD         45.25         11,300         (5,505

Boston Scientific Corp.

     Call       Goldman Sachs International      7/08/16         USD         21.78         60,000         (96,646

Acceleron Pharma, Inc.

     Call       Morgan Stanley & Co. International PLC      7/12/16         USD         34.17         10,200         (13,036

Intra-Cellular Therapies, Inc.

     Call       UBS AG      7/12/16         USD         35.64         19,000         (66,130

AstraZeneca PLC

     Call       Credit Suisse International      7/20/16         GBP         40.54         11,400         (68,132

Zimmer Biomet Holdings, Inc.

     Call       Citibank N.A.      7/21/16         USD         118.75         900         (2,351

AstraZeneca PLC

     Call       Credit Suisse International      7/26/16         GBP         40.50         5,000         (30,654

DENTSPLY SIRONA, Inc.

     Call       Barclays Bank PLC      7/28/16         USD         63.38         7,800         (5,147

Roche Holding AG

     Call       Goldman Sachs International      8/05/16         CHF         250.92         4,000         (40,917

Boston Scientific Corp.

     Call       Deutsche Bank AG      8/08/16         USD         23.02         66,100         (64,462

GlaxoSmithKline PLC

     Call       Bank of America N.A.      8/09/16         GBP         16.14         22,100         (9,951

AstraZeneca PLC

     Call       Citibank N.A.      8/10/16         GBP         41.35         5,000         (26,155

Neurocrine Biosciences, Inc.

     Call       Bank of America N.A.      8/15/16         USD         48.24         7,300         (16,644

GlaxoSmithKline PLC

     Call       Deutsche Bank AG      8/16/16         GBP         14.29         18,500         (45,362

Actelion Ltd.

     Call       Goldman Sachs International      8/23/16         CHF         158.30         2,600         (27,390

Boston Scientific Corp.

     Call       Deutsche Bank AG      8/29/16         USD         23.02         66,100         (76,940

Total

                     $ (597,217
                    

 

 

 

 

      Transactions in Options Written for the Period Ended June 30, 2016

 

      Calls             Puts  
  

 

 

      

 

 

 
         Contracts     Premiums
Received
               Contracts     Premiums
Received
 

 

      

 

 

 

Outstanding options at beginning of period

     287,378      $ 2,456,919                    

Options written

         1,110,875        8,956,804           169      $ 45,392   

Options exercised

     (240     (43,827        (90     (35,069

Options expired

     (539,256     (3,987,643        (79     (10,323

Options closed

     (531,656     (5,235,227            
  

 

 

      

 

 

 

Outstanding options at end of period

     327,101      $ 2,147,026                    
  

 

 

      

 

 

 

As of period end, the value of portfolio securities subject to covered call options written was $86,270,545.

 

See Notes to Financial Statements.

 

68    SEMI-ANNUAL REPORT    JUNE 30, 2016     


Schedule of Investments (continued)      BlackRock Health Sciences Trust (BME)   

 

      Derivative Financial Instruments Categorized by Risk Exposure

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

 

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

Liabilities — Derivative Financial Instruments

                                                     

Options written

   Options written, at value      —                 —             $ 2,593,549         —                —              $ 2,593,549   

For the six months ended June 30, 2016, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

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

Options purchased1

       —       $ (478         $ (478

Options written

       —         1,401,979              1,401,979   
  

 

 

Total

       —       $ 1,401,501            $ 1,401,501   
  

 

 
                

Net Change in Unrealized Appreciation (Depreciation) on:

                                    

Options written

       —       $ (291,746         $ (291,746
  

 

 

 

  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

   $ 478   

Average value of option contracts written

   $ 2,435,162   

 

  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

     —                       $ 2,593,549   
  

 

 

 

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

     —                         (1,996,332
  

 

 

 

Total derivative assets and liabilities subject to an MNA

     —                       $ 597,217   
  

 

 

 

 

See Notes to Financial Statements.

 

     SEMI-ANNUAL REPORT    JUNE 30, 2016    69


Schedule of Investments (continued)      BlackRock Health Sciences Trust (BME)   

 

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.

    $ 26,595                                  $ 26,595  

Barclays Bank PLC

      5,147                                    5,147  

Citibank N.A.

      30,301                                    30,301  

Credit Suisse International

      98,786                                    98,786  

Deutsche Bank AG

      186,764                                    186,764  

Goldman Sachs International

      164,953                                    164,953  

Morgan Stanley & Co. International PLC

      18,541                 $ (18,541 )                 

UBS AG

      66,130                                    66,130  

Total

    $ 597,217                 $ (18,541 )              $ 578,676  

 

  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

   $ 46,616,105      $ 2,756,493      $ 1,450,589       $ 50,823,187   

Diversified Consumer Services

     557,024                       557,024   

Electronic Equipment, Instruments & Components

     2,009,344                       2,009,344   

Health Care Equipment & Supplies

     72,202,072                       72,202,072   

Health Care Providers & Services

     62,389,119                       62,389,119   

Health Care Technology

     2,232,660                       2,232,660   

Life Sciences Tools & Services

     5,821,744                       5,821,744   

Pharmaceuticals

     63,122,027        11,278,880                74,400,907   

Preferred Stocks1

            242,480        1,444,458         1,686,938   

Rights1

                   68,517         68,517   

Short-Term Securities

     9,585,944        156,732                9,742,676   
  

 

 

 

Total

   $             264,536,039      $                 14,434,585      $                 2,963,564       $                 281,934,188   
  

 

 

 
         

Derivative Financial Instruments2

                                 

Liabilities:

         

Equity contracts

   $ (1,838,272   $ (755,277           $ (2,593,549
  

 

 

 

 

  1   

See above Schedule of Investments for values in each industry.

 

  2   

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

 

See Notes to Financial Statements.

 

70    SEMI-ANNUAL REPORT    JUNE 30, 2016     


Schedule of Investments (continued)      BlackRock Health Sciences Trust (BME)   

 

The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement 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

    $ 1,088                      $ 1,088   

Liabilities:

          

Collateral on securities loaned at value

                   $ (156,732             (156,732
  

 

 

 

Total

    $                     1,088               $     (156,732           $                 (155,644
  

 

 

 

During the six months ended June 30, 2016, 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
     Rights      Total  

Assets:

           

Opening Balance, as of December 31, 2015

           $ 5,907,930               $ 5,907,930   

Transfers into Level 3

             $   986,402               $ 25,848         1,012,250   

Transfers out of Level 3

             (2,497,481              (2,497,481

Accrued discounts/premiums

                               

Net realized gain

             1,287,939                 1,287,939   

Net change in unrealized appreciation/depreciation1,2

     464,187         (760,389      42,669         (253,533

Purchases

                               

Sales

             (2,493,541              (2,493,541
  

 

 

 

Closing Balance, as of June 30, 2016

             $1,450,589       $ 1,444,458       $ 68,517       $ 2,963,564   
  

 

 

 

Net change in unrealized appreciation/depreciation on investments still held at June 30, 20162

             $   464,187       $ 474,772       $ 42,669       $ 981,628   
  

 

 

 

 

  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 June 30, 2016 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

         $1,450,589         Discounted Cash Flow        Discount Rate1        1.23%   
          Time to Exit1        1-3 years   

Preferred Stocks4

     1,444,458         Merger Terms        N/A          
        Cost2        N/A          

Rights

     68,517         Acquisition Terms        Intrinsic Value3          
  

 

 

 

Total

         $2,963,564          
  

 

 

 

 

  1   

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.

 

  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.

 

  3   

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.

 

  4   

During the period ended June 30, 2016, the valuation technique for a certain investment classified as preferred stocks changed to merger terms. The investment was previously valued at acquisition cost. Merger Terms became a more relevant measure of fair value for this investment.

 

See Notes to Financial Statements.

 

     SEMI-ANNUAL REPORT    JUNE 30, 2016    71


Schedule of Investments June 30, 2016 (Unaudited)      BlackRock International Growth and Income Trust (BGY)   
     (Percentages shown are based on Net Assets)   

 

Common Stocks    Shares      Value  

Australia — 1.1%

     

Newcrest Mining Ltd. (a)

     440,365       $ 7,632,349   

Belgium — 4.1%

     

Anheuser-Busch InBev SA

     157,646         20,846,635   

Delhaize Group

     72,400         7,647,960   
     

 

 

 
                28,494,595   

Canada — 4.8%

     

Canadian Pacific Railway Ltd. (b)

     30,900         3,978,170   

Element Financial Corp. (b)

     385,600         4,088,951   

Fairfax Financial Holdings Ltd.

     18,545         9,988,132   

Gildan Activewear, Inc. (b)

     285,900         8,373,742   

Potash Corp. of Saskatchewan, Inc. (b)

     256,232         4,164,923   

PrairieSky Royalty Ltd.

     145,900         2,769,045   
     

 

 

 
                33,362,963   

China — 3.5%

     

Alibaba Group Holding Ltd. — ADR (a)(b)

     80,774         6,423,956   

China Construction Bank Corp., Class H

     18,536,000         12,356,804   

Tencent Holdings Ltd.

     254,300         5,833,559   
     

 

 

 
                24,614,319   

Denmark — 0.9%

     

Novo Nordisk A/S, Class B

     114,800         6,182,313   

France — 6.7%

     

AXA SA

     252,600         4,994,584   

BNP Paribas SA

     213,964         9,383,544   

Dassault Aviation SA

     4,363         4,323,326   

Orange SA

     723,500         11,764,528   

Sanofi

     45,000         3,738,739   

Unibail-Rodamco SE — REIT

     48,200         12,469,107   
     

 

 

 
                46,673,828   

Germany — 2.4%

     

Continental AG

     17,754         3,359,545   

SAP SE

     76,800         5,768,101   

Wacker Chemie AG

     86,678         7,590,699   
     

 

 

 
                16,718,345   

Hong Kong — 1.5%

     

AIA Group Ltd.

     1,760,552         10,587,476   

India — 3.2%

     

Bharti Infratel Ltd.

     1,031,359         5,284,749   

HDFC Bank Ltd.

     602,902         12,220,992   

Tata Motors Ltd. — ADR (a)(b)

     146,525         5,080,022   
     

 

 

 
                22,585,763   

Indonesia — 1.1%

     

Matahari Department Store Tbk PT

     4,950,580         7,545,222   

Ireland — 2.2%

     

Green REIT PLC

     4,017,426         6,192,659   

Kingspan Group PLC

     206,913         4,502,901   

Ryanair Holdings PLC — ADR (b)

     66,236         4,606,051   
     

 

 

 
                15,301,611   

Israel — 0.5%

     

Teva Pharmaceutical Industries Ltd. — ADR (b)

     66,400         3,335,272   

Italy — 3.7%

     

Atlantia SpA

     187,200         4,677,202   

Eni SpA

     543,200         8,749,454   

Snam SpA

     1,033,200         6,176,940   

Telecom Italia SpA (a)

     7,398,400         6,076,401   
     

 

 

 
                25,679,997   

Japan — 7.0%

     

FANUC Corp.

     46,300         7,531,772   

Nintendo Co. Ltd.

     40,600         5,834,188   
Common Stocks    Shares      Value  

Japan (continued)

     

ORIX Corp.

     385,800       $ 4,992,432   

Panasonic Corp.

     359,000         3,088,671   

Sony Corp.

     261,500         7,704,307   

Sumitomo Mitsui Financial Group, Inc.

     483,100         13,949,541   

Toyota Motor Corp.

     118,300         5,832,017   
     

 

 

 
                48,932,928   

Mexico — 1.1%

     

Fomento Economico Mexicano SAB de CV — ADR (b)

     81,300         7,519,437   

Netherlands — 5.2%

     

Aalberts Industries NV

     121,952         3,655,926   

ASML Holding NV

     59,900         5,896,475   

Koninklijke Philips NV

     430,000         10,679,644   

Royal Dutch Shell PLC, B Shares

     588,319         16,254,502   
     

 

 

 
                36,486,547   

New Zealand — 0.7%

     

Xero Ltd. (a)

     359,605         4,693,586   

Norway — 1.5%

     

Statoil ASA

     628,500         10,859,513   

Philippines — 0.3%

     

Cemex Holdings Philippines, Inc. (a)(c)

     10,538,000         2,407,854   

Portugal — 1.0%

     

Galp Energia SGPS SA

     528,600         7,351,975   

South Africa — 1.0%

     

Naspers Ltd., N Shares

     47,219         7,210,109   

South Korea — 2.0%

     

LG Chem Ltd.

     30,400         6,942,409   

Samsung Electronics Co. Ltd.

     5,600         6,973,967   
     

 

 

 
                13,916,376   

Spain — 1.4%

     

Cellnex Telecom SAU (c)

     604,240         9,482,109   

Sweden — 1.3%

     

Nordea Bank AB

     1,107,236         9,393,399   

Switzerland — 7.3%

     

Nestle SA

     246,200         19,075,166   

Novartis AG

     59,200         4,886,282   

Roche Holding AG

     66,523         17,554,078   

UBS Group AG

     723,800         9,391,735   
     

 

 

 
                50,907,261   

Taiwan — 2.2%

     

Hermes Microvision, Inc.

     99,437         4,123,074   

Largan Precision Co. Ltd.

     57,000         5,271,545   

Taiwan Semiconductor Manufacturing Co. Ltd.

     1,248,000         6,289,542   
     

 

 

 
                15,684,161   

Thailand — 0.4%

     

True Corp Pcl

     13,637,300         2,799,638   

United Kingdom — 20.5%

     

AstraZeneca PLC

     308,000         18,413,416   

BAE Systems PLC

     1,995,400         13,968,993   

Diageo PLC

     349,000         9,749,595   

GlaxoSmithKline PLC

     315,200         6,768,957   

Imperial Brands PLC

     274,600         14,892,395   

Liberty Global PLC LiLAC, Class A (a)

     34,511         1,113,325   

Liberty Global PLC, Class A (a)

     276,600         8,037,996   

Lloyds Banking Group PLC

     10,439,900         7,561,558   

Metro Bank PLC (a)

     259,026         6,234,527   

Nomad Foods Ltd. (a)

     448,493         3,578,974   

Reckitt Benckiser Group PLC

     80,100         8,031,800   
 

 

See Notes to Financial Statements.

 

72    SEMI-ANNUAL REPORT    JUNE 30, 2016     


Schedule of Investments (continued)      BlackRock International Growth and Income Trust (BGY)   
  

 

Common Stocks    Shares      Value  

United Kingdom (continued)

     

SABMiller PLC

     191,200       $ 11,150,672   

Sophos Group PLC (c)

     1,222,500         3,431,928   

Unilever PLC

     291,600         13,972,129   

Vodafone Group PLC

     3,085,300         9,406,692   

Worldpay Group PLC (a)(c)

     1,959,500         7,132,025   
     

 

 

 
                143,444,982   

United States — 4.8%

     

Samsonite International SA

     1,462,500         4,049,460   

Shire PLC — ADR (b)

     48,700         8,964,696   

WisdomTree Japan Hedged Equity Fund (b)

     536,100         20,789,958   
     

 

 

 
                33,804,114   

Total Common Stocks — 93.4%

              653,608,042   
     
Investment Companies                

United Kingdom — 0.9%

     

Kennedy Wilson Europe Real Estate PLC

     472,339         6,065,233   
     
Preferred Stocks                

China — 0.4%

     

Xiaoju Kuaizhi, Inc., Series A-17 (Acquired 7/28/15, Cost $2,106,332), 0.00% (a)(d)

     76,800         2,936,064   
Preferred Stocks    Shares      Value  

India — 1.9%

     

Jasper Infotech Private Ltd., Series F (Acquired 5/7/14, cost $2,825,580), 0.00% (a)(d)

     398       $ 9,784,137   

Jasper Infotech Private Ltd., Series G (Acquired 10/29/14, cost $1,112,870), 0.00% (a)(d)

     132         3,244,990   

Total Preferred Stocks — 2.3%

              15,965,191   

Total Long-Term Investments

(Cost — $671,337,710) — 96.6%

              675,638,466   
     
Short-Term Securities                

BlackRock Liquidity Funds, TempFund, Institutional Class, 0.40% (e)(f)

     21,785,695         21,785,695   

Total Short-Term Securities

(Cost — $21,785,695) — 3.1%

              21,785,695   

Total Investments Before Options Written

(Cost — $693,123,405) — 99.7%

              697,424,161   
     
Options Written                

(Premiums Received — $8,059,417) — (1.7)%

              (11,613,738

Total Investments Net of Options Written — 98.0%

        685,810,423   

Other Assets Less Liabilities — 2.0%

        14,101,773   
     

 

 

 

Net Assets — 100.0%

      $ 699,912,196   
     

 

 

 
 
      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.

 

(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 security as to resale, excluding 144A securities. As of report date, the Trust held restricted securities with a current value of $15,965,191 and an original cost of $6,044,782 which was 2.3% of its net assets.

 

(e) During the six months ended June 30, 2016, 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,
2015

    

Net

Activity

    Shares
Held at
June 30,
2016
    

Value at

June 30,

2016

     Income  

BlackRock Liquidity Funds, TempFund, Institutional Class

     37,105,203         (15,319,508     21,785,695           $ 21,785,695           $ 144,619   

BlackRock Liquidity Series, LLC, Money Market Series

     $  2,751,247       $ (2,751,247             —           $ 15,998 1 

Total

               $ 21,785,695           $ 160,617   
          

 

 

 

 

  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.

 

See Notes to Financial Statements.

 

     SEMI-ANNUAL REPORT    JUNE 30, 2016    73


Schedule of Investments (continued)      BlackRock International Growth and Income Trust (BGY)   

 

 

      Derivative Financial Instruments Outstanding as of Period End

 

Financial Futures Contracts

 

 
Contracts
Long
  Issue    Expiration     Notional Value                     Unrealized
           Appreciation
 
283   Mini MSCI Emerging Markets Index Futures    
 
September
2016
  
  
            USD        11,811,005                $279,332   
Total             $279,332   
         

 

 

 

 

Exchange-Traded Options Written

 

                                                        
Description      Put/
Call
       Expiration
Date
      

Strike

Price

       Contracts        Value  

Alibaba Group Holding Ltd. — ADR

       Call           7/01/16           USD        82.00           132         $ (264

Shire PLC — ADR

       Call           7/01/16           USD        195.00           127           (3,810

WisdomTree Japan Hedged Equity Fund

       Call           7/01/16           USD        42.00           1,000           (25,000

Alibaba Group Holding Ltd. — ADR

       Call           7/08/16           USD        79.50           23           (2,543

Alibaba Group Holding Ltd. — ADR

       Call           7/08/16           USD        80.50           74           (4,773

Tata Motors Ltd. — ADR

       Call           7/08/16           USD        35.50           200           (5,500

Alibaba Group Holding Ltd. — ADR

       Call           7/15/16           USD        82.50           132           (5,610

Canadian Pacific Railway Ltd.

       Call           7/15/16           CAD        175.00           77           (3,367

Element Financial Corp.

       Call           7/15/16           CAD        15.00           465           (1,980

Element Financial Corp.

       Call           7/15/16           CAD        16.00           595           (3,684

Fomento Economico Mexicano SAB de CV — ADR

       Call           7/15/16           USD        95.00           140           (68,600

Gildan Activewear, Inc.

       Call           7/15/16           CAD        40.00           555           (3,866

Liberty Global PLC, Class A

       Call           7/15/16           USD        37.50           581           (29,050

MSCI Emering Markets Index

       Call           7/15/16           USD        810.00           50           (159,250

Potash Corp. of Saskatchewan, Inc.

       Call           7/15/16           CAD        23.00           700           (13,276

Ryanair Holdings PLC — ADR

       Call           7/15/16           USD        80.00           80           (6,000

Ryanair Holdings PLC — ADR

       Call           7/15/16           USD        85.00           80           (6,000

Shire PLC — ADR

       Call           7/15/16           USD        200.00           70           (4,550

Tata Motors Ltd. — ADR

       Call           7/15/16           USD        33.00           200           (37,500

Teva Pharmaceutical Industries Ltd. — ADR

       Call           7/15/16           USD        55.00           200           (900

Alibaba Group Holding Ltd. — ADR

       Call           7/22/16           USD        80.00           22           (3,608

Tata Motors Ltd. — ADR

       Call           7/22/16           USD        35.50           200           (13,000

Alibaba Group Holding Ltd. — ADR

       Call           7/29/16           USD        81.50           31           (3,985

Tata Motors Ltd. — ADR

       Call           7/29/16           USD        36.50           200           (10,000

WisdomTree Japan Hedged Equity Fund

       Call           7/29/16           USD        43.00           1,000           (11,500

WisdomTree Japan Hedged Equity Fund

       Call           8/05/16           USD        43.50           500           (6,500

Teva Pharmaceutical Industries Ltd. — ADR

       Call           8/12/16           USD        52.00           165           (22,110

Canadian Pacific Railway Ltd.

       Call           8/19/16           CAD        165.00           92           (55,722

Element Financial Corp.

       Call           8/19/16           CAD        15.00           1,060           (18,460

Gildan Activewear, Inc.

       Call           8/19/16           CAD        38.00           555           (53,913

MSCI Emering Markets Index

       Call           8/19/16           USD        840.00           60           (144,900

WisdomTree Japan Hedged Equity Fund

       Call           8/19/16           USD        44.00           500           (9,000

Total

                           $ (738,221
                          

 

 

 

 

OTC Options Written

 

                                                        
Description    Put/
Call
     Counterparty      Expiration
Date
    

Strike

Price

       Contracts        Value  

Delhaize Group

     Call       UBS AG      7/06/16      EUR           94.19           2,000         $ (4,337

Eni SpA

     Call       UBS AG      7/06/16      EUR           13.75           150,000           (133,309

Galp Energia SGPS SA

     Call       UBS AG      7/06/16      EUR           12.10           67,000           (35,979

Nestle SA

     Call       Bank of America N.A.      7/06/16      CHF           73.63           31,000           (69,158

Roche Holding AG

     Call       UBS AG      7/06/16      CHF           247.75           19,500           (203,476

Samsonite International SA

     Call       JPMorgan Chase Bank N.A.      7/06/16      HKD           23.20           300,000           (360

Sanofi

     Call       Credit Suisse International      7/06/16      EUR           74.15           17,500           (26,859

Snam SpA

     Call       Credit Suisse International      7/06/16      EUR           5.21           38,500           (8,262

Sony Corp.

     Call       Morgan Stanley & Co. International PLC      7/06/16      JPY           2,961.08           44,000           (51,023

Taiwan Semiconductor Manufacturing Co. Ltd.

     Call       Deutsche Bank AG      7/06/16      TWD           147.21           336,000           (159,590

UBS Group AG

     Call       Bank of America N.A.      7/06/16      CHF           15.45           72,500           (24

Unibail-Rodamco SE — REIT

     Call       Bank of America N.A.      7/06/16      EUR           234.85           14,500           (22,372

 

See Notes to Financial Statements.

 

74    SEMI-ANNUAL REPORT    JUNE 30, 2016     


Schedule of Investments (continued)      BlackRock International Growth and Income Trust (BGY)   

 

 

Description    Put/
Call
     Counterparty      Expiration
Date
    

Strike

Price

       Contracts        Value  

Aalberts Industries NV

     Call       Morgan Stanley & Co. International PLC      7/07/16      EUR           31.18           25,000         $ (3

AIA Group Ltd.

     Call       Bank of America N.A.      7/07/16      HKD           45.29           193,000           (37,519

Fomento Economico Mexicano SAB de CV — ADR

     Call       Morgan Stanley & Co. International PLC      7/07/16      USD           97.56           14,100           (1,207

GlaxoSmithKline PLC

     Call       Bank of America N.A.      7/07/16      GBP           14.59           23,400           (48,059

Imperial Brands PLC

     Call       UBS AG      7/07/16      GBP           37.77           64,500           (255,940

Koninklijke Philips NV

     Call       Morgan Stanley & Co. International PLC      7/07/16      EUR           23.79           66,000           (2,552

Liberty Global PLC, Class A

     Call       Bank of America N.A.      7/07/16      USD           37.41           36,000             

Lloyds Banking Group PLC

     Call       Morgan Stanley & Co. International PLC      7/07/16      GBP           0.67           1,715,000           (68

Nintendo Co. Ltd.

     Call       Goldman Sachs International      7/07/16      JPY           15,620.25           15,000           (17,622

Panasonic Corp.

     Call       Bank of America N.A.      7/07/16      JPY           971.65           91,000           (983

Royal Dutch Shell PLC, B Shares

     Call       Credit Suisse International      7/07/16      GBP           16.86           62,000           (321,120

Orange SA

     Call       Credit Suisse International      7/08/16      EUR           15.40           132,000           (8,709

ASML Holding NV

     Call       Morgan Stanley & Co. International PLC      7/12/16      EUR           89.38           1,500           (2,489

AstraZeneca PLC

     Call       Citibank N.A.      7/12/16      GBP           39.44           35,000           (255,176

Cellnex Telecom SAU

     Call       Credit Suisse International      7/12/16      EUR           14.52           21,000           (3,504

Kingspan Group PLC

     Call       Goldman Sachs International      7/12/16      EUR           22.94           18,000           (924

Koninklijke Philips NV

     Call       Bank of America N.A.      7/12/16      EUR           23.09           171,000           (45,125

Largan Precision Co. Ltd.

     Call       JPMorgan Chase Bank N.A.      7/12/16      TWD           3,036.17           13,000           (21,315

Naspers Ltd., N Shares

     Call       UBS AG      7/12/16      ZAR           2,238.08           4,000           (15,874

Statoil ASA

     Call       Credit Suisse International      7/12/16      NOK           138.83           51,000           (45,980

Unilever PLC

     Call       UBS AG      7/12/16      GBP           31.51           50,500           (301,695

Worldpay Group PLC

     Call       Morgan Stanley & Co. International PLC      7/12/16      GBP           2.71           182,000           (18,484

AIA Group Ltd.

     Call       Morgan Stanley & Co. International PLC      7/13/16      HKD           44.64           354,000           (98,204

BNP Paribas SA

     Call       Morgan Stanley & Co. International PLC      7/13/16      EUR           49.59           61,500           (826

Diageo PLC

     Call       UBS AG      7/13/16      GBP           18.77           18,000           (53,502

Eni SpA

     Call       Goldman Sachs International      7/13/16      EUR           13.95           73,700           (56,594

Nestle SA

     Call       Morgan Stanley & Co. International PLC      7/13/16      CHF           74.18           22,500           (41,517

Nordea Bank AB

     Call       Credit Suisse International      7/13/16      SEK           81.46           105,000           (610

Novartis AG

     Call       Credit Suisse International      7/13/16      CHF           79.51           32,500           (61,235

Novo Nordisk A/S, Class B

     Call       Credit Suisse International      7/13/16      DKK           380.12           31,500           (5,229

Orange SA

     Call       Credit Suisse International      7/13/16      EUR           15.49           144,000           (15,015

PrairieSky Royalty Ltd.

     Call       Citibank N.A.      7/13/16      CAD           25.94           36,500           (1,333

Reckitt Benckiser Group PLC

     Call       Bank of America N.A.      7/13/16      GBP           69.09           20,500           (171,488

Samsonite International SA

     Call       UBS AG      7/13/16      HKD           23.56           316,500           (805

SAP SE

     Call       Credit Suisse International      7/13/16      EUR           73.25           22,000           (840

Sony Corp.

     Call       Bank of America N.A.      7/13/16      JPY           3,161.97           34,000           (18,459

Telecom Italia SpA

     Call       UBS AG      7/13/16      EUR           0.91           1,225,000           (553

Wacker Chemie AG

     Call       UBS AG      7/13/16      EUR           83.03           22,400           (24,312

AXA SA

     Call       Goldman Sachs International      7/14/16      EUR           22.44           69,000           (480

BAE Systems PLC

     Call       UBS AG      7/14/16      GBP           4.99           334,000           (129,274

Delhaize Group

     Call       Bank of America N.A.      7/14/16      EUR           98.01           2,000           (2,003

Hermes Microvision, Inc.

     Call       Citibank N.A.      7/14/16      TWD           938.40           50,000           (584,780

ORIX Corp.

     Call       JPMorgan Chase Bank N.A.      7/14/16      JPY           1,645.66           99,000           (66

Telecom Italia SpA

     Call       UBS AG      7/19/16      EUR           0.85           765,000           (8,144

Unibail-Rodamco SE — REIT

     Call       UBS AG      7/19/16      EUR           243.39           12,000           (17,089

Unilever PLC

     Call       Goldman Sachs International      7/19/16      GBP           31.96           50,800           (274,845

AstraZeneca PLC

     Call       Credit Suisse International      7/20/16      GBP           40.54           39,000           (233,082

BAE Systems PLC

     Call       UBS AG      7/20/16      GBP           4.85           91,400           (52,519

Cellnex Telecom SAU

     Call       Morgan Stanley & Co. International PLC      7/20/16      EUR           14.33           22,000           (7,036

Continental AG

     Call       Credit Suisse International      7/20/16      EUR           193.79           5,200           (635

Galp Energia SGPS SA

     Call       Goldman Sachs International      7/20/16      EUR           12.00           107,000           (79,610

Kingspan Group PLC

     Call       Credit Suisse International      7/20/16      EUR           24.40           8,900           (453

Kingspan Group PLC

     Call       Morgan Stanley & Co. International PLC      7/20/16      EUR           25.60           10,000           (190

Novo Nordisk A/S, Class B

     Call       Credit Suisse International      7/20/16      DKK           380.12           31,500           (9,374

Snam SpA

     Call       Credit Suisse International      7/20/16      EUR           5.08           265,000           (98,009

Xero Ltd.

     Call       UBS AG      7/20/16      NZD           19.37           51,500           (10,960

Tencent Holdings Ltd.

     Call       Citibank N.A.      7/21/16      HKD           172.16           70,000           (67,120

Fairfax Financial Holdings Ltd.

     Call       Morgan Stanley & Co. International PLC      7/22/16      CAD           679.38           4,100           (80,445

AstraZeneca PLC

     Call       Credit Suisse International      7/26/16      GBP           40.50           42,000           (257,492

China Construction Bank Corp., Class H

     Call       Bank of America N.A.      7/26/16      HKD           5.28           6,250,000           (73,782

Diageo PLC

     Call       UBS AG      7/26/16      GBP           19.07           87,000           (229,283

Imperial Brands PLC

     Call       Citibank N.A.      7/26/16      GBP           38.90           20,000           (58,050

 

See Notes to Financial Statements.

 

     SEMI-ANNUAL REPORT    JUNE 30, 2016    75


Schedule of Investments (continued)      BlackRock International Growth and Income Trust (BGY)   

 

 

Description    Put/
Call
     Counterparty      Expiration
Date
    

Strike

Price

       Contracts        Value  

Kingspan Group PLC

     Call       Morgan Stanley & Co. International PLC      7/26/16      EUR           24.01           17,000         $ (2,076

Nordea Bank AB

     Call       Bank of America N.A.      7/26/16      SEK           80.91           216,400           (7,508

Potash Corp. of Saskatchewan, Inc.

     Call       Deutsche Bank AG      7/26/16      CAD           22.56           35,000           (5,653

Sophos Group PLC

     Call       UBS AG      7/26/16      GBP           2.25           50,000           (2,267

Statoil ASA

     Call       UBS AG      7/26/16      NOK           137.51           47,000           (56,600

Taiwan Semiconductor Manufacturing Co. Ltd.

     Call       JPMorgan Chase Bank N.A.      7/26/16      TWD           165.24           46,000           (3,009

UBS Group AG

     Call       Morgan Stanley & Co. International PLC      7/26/16      CHF           15.80           73,230           (551

Worldpay Group PLC

     Call       Morgan Stanley & Co. International PLC      7/26/16      GBP           2.84           162,800           (10,793

Worldpay Group PLC

     Call       Morgan Stanley & Co. International PLC      7/26/16      GBP           2.88           161,300           (8,101

BAE Systems PLC

     Call       Bank of America N.A.      7/27/16      GBP           5.21           243,000           (52,372

Gildan Activewear, Inc.

     Call       Deutsche Bank AG      7/29/16      CAD           38.57           46,200           (29,792

Royal Dutch Shell PLC, B Shares

     Call       Credit Suisse International      8/01/16      GBP           18.26           90,000           (306,813

Ryanair Holdings PLC — ADR

     Call       Deutsche Bank AG      8/01/16      USD           85.95           20,400           (1,651

Aalberts Industries NV

     Call       Morgan Stanley & Co. International PLC      8/02/16      EUR           32.38           22,000           (161

Anheuser-Busch InBev SA

     Call       HSBC Bank PLC      8/02/16      EUR           116.71           40,000           (221,470

AstraZeneca PLC

     Call       Morgan Stanley & Co. International PLC      8/02/16      GBP           41.13           42,000           (224,677

Atlantia SpA

     Call       Credit Suisse International      8/02/16      EUR           24.13           30,000           (5,210

Atlantia SpA

     Call       UBS AG      8/02/16      EUR           22.22           66,000           (39,647

AXA SA

     Call       UBS AG      8/02/16      EUR           18.47           70,000           (28,044

BAE Systems PLC

     Call       Morgan Stanley & Co. International PLC      8/02/16      GBP           5.02           186,000           (74,453

BNP Paribas SA

     Call       Morgan Stanley & Co. International PLC      8/02/16      EUR           47.57           56,000           (11,022

Cellnex Telecom SAU

     Call       Credit Suisse International      8/02/16      EUR           14.43           65,000           (25,062

Dassault Aviation SA

     Call       Morgan Stanley & Co. International PLC      8/02/16      EUR           998.78           700           (1,042

Delhaize Group

     Call       Morgan Stanley & Co. International PLC      8/02/16      EUR           91.48           17,000           (96,890

Diageo PLC

     Call       Morgan Stanley & Co. International PLC      8/02/16      GBP           19.09           87,000           (225,881

Kingspan Group PLC

     Call       Morgan Stanley & Co. International PLC      8/02/16      EUR           25.70           7,500           (609

LG Chem Ltd.

     Call       Goldman Sachs International      8/02/16      KRW           278,932.50           7,500           (24,275

Lloyds Banking Group PLC

     Call       Morgan Stanley & Co. International PLC      8/02/16      GBP           0.72           1,225,000           (2,092

Metro Bank PLC

     Call       Morgan Stanley & Co. International PLC      8/02/16      GBP           21.15           35,600           (8,556

Naspers Ltd., N Shares

     Call       UBS AG      8/02/16      ZAR           2,364.97           16,500           (49,123

Orange SA

     Call       Goldman Sachs International      8/02/16      EUR           15.67           122,000           (26,907

PrairieSky Royalty Ltd.

     Call       Citibank N.A.      8/02/16      CAD           25.94           36,500           (5,170

Reckitt Benckiser Group PLC

     Call       Morgan Stanley & Co. International PLC      8/02/16      GBP           71.26           6,000           (36,363

SAP SE

     Call       Morgan Stanley & Co. International PLC      8/02/16      EUR           73.47           38,100           (10,122

Statoil ASA

     Call       Credit Suisse International      8/02/16      NOK           142.08           17,000           (16,320

UBS Group AG

     Call       Morgan Stanley & Co. International PLC      8/02/16      CHF           14.99           252,000           (9,926

Unilever PLC

     Call       Credit Suisse International      8/02/16      GBP           34.01           59,000           (170,821

Wacker Chemie AG

     Call       Morgan Stanley & Co. International PLC      8/02/16      EUR           86.54           25,000           (25,182

Worldpay Group PLC

     Call       Morgan Stanley & Co. International PLC      8/02/16      GBP           2.86           171,000           (12,338

Galp Energia SGPS SA

     Call       Goldman Sachs International      8/03/16      EUR           11.87           45,000           (42,530

Kingspan Group PLC

     Call       Credit Suisse International      8/03/16      EUR           24.40           8,900           (1,543

Nintendo Co. Ltd.

     Call       Goldman Sachs International      8/03/16      JPY           16,704.47           6,000           (8,950

Sony Corp.

     Call       Goldman Sachs International      8/03/16      JPY           3,192.58           35,000           (33,473

Sony Corp.

     Call       JPMorgan Chase Bank N.A.      8/03/16      JPY           3,103.03           25,300           (31,789

Vodafone Group PLC

     Call       Morgan Stanley & Co. International PLC      8/03/16      GBP           2.34           542,000           (36,273

Xero Ltd.

     Call       Morgan Stanley & Co. International PLC      8/03/16      NZD           19.75           17,289           (4,563

Xero Ltd.

     Call       UBS AG      8/03/16      NZD           19.04           28,600           (11,851

ASML Holding NV

     Call       Morgan Stanley & Co. International PLC      8/04/16      EUR           91.11           31,400           (72,031

Panasonic Corp.

     Call       Goldman Sachs International      8/04/16      JPY           928.14           91,000           (24,256

Worldpay Group PLC

     Call       Morgan Stanley & Co. International PLC      8/04/16      GBP           2.89           109,000           (6,867

Roche Holding AG

     Call       Goldman Sachs International      8/05/16      CHF           250.92           17,000           (173,895

Worldpay Group PLC

     Call       Morgan Stanley & Co. International PLC      8/05/16      GBP           2.73           169,000           (24,289

Liberty Global PLC

     Call       Citibank N.A.      8/08/16      USD           39.33           36,000           (946

Aalberts Industries NV

     Call       Morgan Stanley & Co. International PLC      8/09/16      EUR           32.02           20,000           (410

Anheuser-Busch InBev SA

     Call       Credit Suisse International      8/09/16      EUR           111.80           9,300           (91,561

Atlantia SpA

     Call       Morgan Stanley & Co. International PLC      8/09/16      EUR           22.61           7,000           (5,655

Cellnex Telecom SAU

     Call       Bank of America N.A.      8/09/16      EUR           14.40           40,400           (15,678

China Construction Bank Corp., Class H

     Call       UBS AG      8/09/16      HKD           5.23           3,900,000           (66,089

Eni SpA

     Call       Credit Suisse International      8/09/16      EUR           13.72           75,000           (86,311

GlaxoSmithKline PLC

     Call       Bank of America N.A.      8/09/16      GBP           16.14           75,000           (33,769

Kingspan Group PLC

     Call       Morgan Stanley & Co. International PLC      8/09/16      EUR           20.78           17,000           (6,114

 

See Notes to Financial Statements.

 

76    SEMI-ANNUAL REPORT    JUNE 30, 2016     


Schedule of Investments (continued)      BlackRock International Growth and Income Trust (BGY)   

 

Description   

Put/

Call

     Counterparty       

Expiration

Date

      

Strike

Price

       Contracts        Value  

Nordea Bank AB

     Call         Credit Suisse International           8/09/16           SEK              75.80           71,500         $ (11,077

Reckitt Benckiser Group PLC

     Call         Deutsche Bank AG           8/09/16           GBP              67.57           17,500           (186,840

Samsonite International SA

     Call         UBS AG           8/09/16           HKD              23.08           180,000           (5,780

Sanofi

     Call         Credit Suisse International           8/09/16           EUR              76.53           7,200           (13,314

Snam SpA

     Call         Credit Suisse International           8/09/16           EUR              5.01           264,500           (118,915

Sony Corp.

     Call         JPMorgan Chase Bank N.A.           8/09/16           JPY              3,043.94           5,500           (9,147

Statoil ASA

     Call         Credit Suisse International           8/09/16           NOK              146.36           111,000           (83,608

Telecom Italia SpA

     Call         UBS AG           8/09/16           EUR              0.88           750,000           (8,896

Tencent Holdings Ltd.

     Call         Citibank N.A.           8/09/16           HKD              172.51           30,800           (33,503

Tencent Holdings Ltd.

     Call         Citibank N.A.           8/09/16           HKD              176.30           39,000           (32,182

Worldpay Group PLC

     Call         Morgan Stanley & Co. International PLC           8/09/16           GBP              2.87           171,000           (13,659

AstraZeneca PLC

     Call         Citibank N.A.           8/10/16           GBP              41.35           42,000           (219,706

Kingspan Group PLC

     Call         Credit Suisse International           8/10/16           EUR              24.40           8,900           (2,165

Naspers Ltd., N Shares

     Call         UBS AG           8/10/16           ZAR              2,256.73           5,400           (34,369

Imperial Brands PLC

     Call         Citibank N.A.           8/11/16           GBP              38.20           20,000           (76,898

AIA Group Ltd.

     Call         UBS AG           8/12/16           HKD              46.25           422,000           (50,015

Largan Precision Co. Ltd.

     Call         Morgan Stanley & Co. International PLC           8/12/16           TWD              3,156.95           18,000           (49,985

Nestle SA

     Call         UBS AG           8/12/16           CHF              71.57           82,000           (396,979

ORIX Corp.

     Call         Goldman Sachs International           8/12/16           JPY              1,430.89           113,000           (36,872

Panasonic Corp.

     Call         JPMorgan Chase Bank N.A.           8/12/16           JPY              909.95           7,700           (2,429

Samsung Electronics Co. Ltd.

     Call         UBS AG           8/12/16           KRW              1,458,315.00           2,300           (56,580

Xero Ltd.

     Call         Morgan Stanley & Co. International PLC           8/12/16           NZD              18.58           14,300           (8,407

BAE Systems PLC

     Call         HSBC Bank PLC           8/16/16           GBP              4.83           243,000           (152,101

Cellnex Telecom SAU

     Call         UBS AG           8/16/16           EUR              14.15           38,000           (23,514

GlaxoSmithKline PLC

     Call         Deutsche Bank AG           8/16/16           GBP              14.29           75,000           (183,901

Statoil ASA

     Call         Deutsche Bank AG           8/16/16           NOK              135.78           119,000           (173,232

Anheuser-Busch InBev SA

     Call         Goldman Sachs International           8/17/16           EUR              117.26           35,900           (165,936

Imperial Brands PLC

     Call         Morgan Stanley & Co. International PLC           8/17/16           GBP              40.45           11,000           (18,814

Kingspan Group PLC

     Call         Morgan Stanley & Co. International PLC           8/17/16           EUR              25.48           10,000           (2,070

Lloyds Banking Group PLC

     Call         Goldman Sachs International           8/17/16           GBP              0.65           1,607,000           (20,658

Taiwan Semiconductor Manufacturing Co. Ltd.

     Call         UBS AG           8/17/16           TWD              160.93           304,000           (49,841

Xero Ltd.

     Call         Morgan Stanley & Co. International PLC           8/17/16           NZD              17.64           43,000           (43,453

Continental AG

     Call         Goldman Sachs International           8/18/16           EUR              184.40           4,500           (11,270

Cellnex Telecom SAU

     Call         Morgan Stanley & Co. International PLC           8/23/16           EUR              14.46           50,000           (25,783

Fairfax Financial Holdings Ltd.

     Call         Deutsche Bank AG           8/23/16           CAD              659.32           6,000           (216,025

Galp Energia SGPS SA

     Call         Morgan Stanley & Co. International PLC           8/23/16           EUR              12.37           72,000           (52,047

Liberty Global PLC

     Call         Citibank N.A.           8/23/16           USD              36.12           22,000           (5,479

Kingspan Group PLC

     Call         Credit Suisse International           8/24/16           EUR              24.18           7,500           (3,178

Telecom Italia SpA

     Call         Bank of America N.A.           8/24/16           EUR              0.74           1,329,000           (81,714

Royal Dutch Shell PLC, B Shares

     Call         Credit Suisse International           8/26/16           GBP              17.56           89,000           (378,444

Vodafone Group PLC

     Call         Morgan Stanley & Co. International PLC           9/01/16           GBP              2.17           662,000           (147,490

Nintendo Co. Ltd.

     Call         Morgan Stanley & Co. International PLC           9/08/16           JPY              14,327.71           1,300           (15,039

Vodafone Group PLC

     Call         Morgan Stanley & Co. International PLC           9/15/16           GBP              2.22           492,500           (92,470

Total

                            $ (10,875,517
                           

 

 

 

 

      Transactions in Options Written for the Period Ended June 30, 2016

 

      Calls     Puts  
  

 

 

   

 

 

 
         Contracts     Premiums
Received
        Contracts      Premiums
Received
 

 

   

 

 

 

BGY

         

Outstanding options at beginning of period

     37,604,404      $ 8,979,694                  

Options written

         113,913,553        29,836,338                  

Options exercised

     (11,900     (75,089               

Options expired

     (65,524,091     (18,337,234               

Options closed

     (54,070,381     (12,344,292               
  

 

 

   

 

 

 

Outstanding options at end of period

     31,911,585      $ 8,059,417                  
  

 

 

   

 

 

 

As of period end, the value of portfolio securities subject to covered call options written was $290,938,568.

 

See Notes to Financial Statements.

 

     SEMI-ANNUAL REPORT    JUNE 30, 2016    77


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 located in the Statements of Assets and Liabilities were as follows:

 

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

Assets — Derivative Financial Instruments

                                                    

Futures contracts

       Net unrealized appreciation1                   $ 279,332                       $ 279,332   
  

 

 

Liabilities — Derivative Financial Instruments

                                                    

Options written

       Options written, at value                   $ 11,613,738                       $ 11,613,738   
  

 

 

 

  1   

Includes cumulative appreciation (depreciation) on futures contracts, if any, as reported in the Schedules of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.

For the six months ended June 30, 2016, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

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

Futures

         $ 6,314,451            $ 6,314,451   

Options purchased1

           (76,864           (76,864

Options Written

           12,722,468              12,722,468   
  

 

 

Total

         $ 18,960,055            $ 18,960,055   
  

 

 
                
Net Change in Unrealized Appreciation (Depreciation) on:                                       

Futures

         $ 279,332            $ 279,332   

Options purchased2

           53,917              53,917   

Options Written

           (6,070,479           (6,070,479
  

 

 

Total

         $ (5,737,230         $ (5,737,230
  

 

 

 

  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 - purchased

   $ 24,094,035   

Options:

  

Average value of option contracts written

   $ 10,331,542   

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:

       

Futures contracts

             $ 127,350             

Options

             $ 11,613,738   
  

 

 

 

Total derivative assets and liabilities in the Statements of Assets and Liabilities

             $ 127,350         $ 11,613,738   

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

     (127,350        (738,221
  

 

 

 

Total derivative assets and liabilities subject to an MNA

             $ 10,875,517   
  

 

 

 

 

See Notes to Financial Statements.

 

78    SEMI-ANNUAL REPORT    JUNE 30, 2016     


Schedule of Investments (continued)      BlackRock International Growth and Income Trust (BGY)   

 

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 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
Pledged
   Cash
Collateral
Pledged
  

Net Amount of    

Derivative Liabilities2    

Bank of America N.A.

   $    680,013          $   (152,000)    $  528,013  

Citibank N.A.

       1,340,343               (770,000)       570,343

Credit Suisse International

       2,410,750            (1,340,000)    1,070,750

Deutsche Bank AG

          956,684               (444,000)       512,684

Goldman Sachs International

          999,097               (520,000)       479,097

HSBC Bank PLC

          373,571                        —       373,571

JPMorgan Chase Bank N.A.

           68,115                (30,000)        38,115

Morgan Stanley & Co. International PLC

       1,690,298              (946,619)       743,679

UBS AG

       2,356,646              (960,000)    1,396,646
  

 

Total

   $10,875,517           (5,162,619)    $5,712,898
  

 

 

  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   

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

           $ 7,632,349               $ 7,632,349   

Belgium

                             28,494,595                                 28,494,595   

Canada

   $                 33,362,963                         33,362,963   

China

     6,423,956         18,190,363                 24,614,319   

Denmark

             6,182,313                 6,182,313   

France

             46,673,828                 46,673,828   

Germany

             16,718,345                 16,718,345   

Hong Kong

             10,587,476                 10,587,476   

India

     5,080,022         17,505,741                 22,585,763   

Indonesia

             7,545,222                 7,545,222   

Ireland

     15,301,611                         15,301,611   

Israel

     3,335,272                         3,335,272   

Italy

             25,679,997                 25,679,997   

Japan

             48,932,928                 48,932,928   

Mexico

     7,519,437                         7,519,437   

Netherlands

             36,486,547                 36,486,547   

New Zealand

             4,693,586                 4,693,586   

Norway

             10,859,513                 10,859,513   

Philippines

     2,407,854                         2,407,854   

Portugal

             7,351,975                 7,351,975   

South Africa

             7,210,109                 7,210,109   

South Korea

             13,916,376                 13,916,376   

Spain

             9,482,109                 9,482,109   

Sweden

             9,393,399                 9,393,399   

Switzerland

             50,907,261                 50,907,261   

Taiwan

             15,684,161                 15,684,161   

Thailand

             2,799,638                 2,799,638   

United Kingdom

     18,964,822         124,480,160                 143,444,982   

United States

     29,754,654         4,049,460                 33,804,114   

 

See Notes to Financial Statements.

 

     SEMI-ANNUAL REPORT    JUNE 30, 2016    79


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)

                 

Investment Companies

             $ 6,065,233                $ 6,065,233  

Preferred Stocks

                     $ 15,965,191          15,965,191  

Short-Term Securities

     $ 21,785,695                          21,785,695  
    

 

 

 

Total

     $             143,936,286       $             537,522,684       $             15,965,191        $             697,424,161  
    

 

 

 
                 
      Level 1   Level 2   Level 3    Total

Derivative Financial Instruments1

                 

Assets:

                 

Equity contracts

     $ 279,332                        $ 279,332  

Liabilities:

                 

Equity contracts

       (738,221 )     $ (10,875,517 )                (11,613,738 )
    

 

 

 

Total

     $ (458,889 )     $ (10,875,517 )              $ (11,334,406 )
    

 

 

 

1    Derivative financial instruments are futures contracts and options written. Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument and options written are shown at value.

        

The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement 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:

                 

Cash

     $ 773,605                        $ 773,605  

Cash pledged:

                 

Collateral — exchange traded options written

       6,219,000                          6,219,000  

Collateral — OTC derivatives

       5,162,619                          5,162,619  

Futures Contracts

       639,000                          639,000  

Foreign currency at value

       1,035,172                          1,035,172  
    

 

 

 

Total

     $ 13,829,396                        $ 13,829,396  
    

 

 

 
                 
     

Transfers into

Level 1 1

 

Transfers out of

Level 1 2

 

Transfers into

Level 2 2

  

Transfers out of

Level 2 1

Assets:

                 

Long-Term Investments:

                 

Common Stocks

       $  12,209,330         $ (49,829,768)          $  49,829,768          $ (12,209,330)   
    

 

 

 

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.

       

       

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, 2015

             $ 4,465,011       $ 15,504,609       $ 19,969,620  

Transfers into Level 3

                        

Transfers out of Level 3

       (4,465,011 )               (4,465,011 )

Accrued discounts/premiums

                        

Net realized gain (loss)

               206,788         206,788  

Net change in unrealized appreciation/depreciation1,2

               253,794         253,794  

Purchases

               2,618,793         2,618,793  

Sales

               (2,618,793 )       (2,618,793 )
    

 

 

 

Closing Balance, as of June 30, 2016

             $ 15,965,191       $ 15,965,191  
    

 

 

 

Net change in unrealized appreciation/depreciation on investments still held at June 30, 20162

             $ 555,905       $ 555,905  
    

 

 

 

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 June 30, 2016 is generally due to investments no longer held or categorized as Level 3 at period end.

       

        

 

See Notes to Financial Statements.

 

80    SEMI-ANNUAL REPORT    JUNE 30, 2016     


Schedule of Investments (concluded)      BlackRock International Growth and Income Trust (BGY)   

 

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

       $ 15,965,191         Market Comparables         Revenue Multiple1        4.33x   
           Revenue Growth Rate1        99.00%   
        Probability-Weighted Expected Return Model         Discount Rate2        25.00%   
           IPO Exit Probability1        70.00%   
           Merger and Acquisition Probability1       25.00%   
           Revenue Growth Rate1        80.00%   
           Revenue Multiple1        13.55x-20.70x   
           Time to Exit2        1-2 years   
  

 

 

 

Total

       $ 15,965,191           
  

 

 

 

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.

 

     SEMI-ANNUAL REPORT    JUNE 30, 2016    81


Consolidated Schedule of Investments June 30, 2016  (Unaudited)      BlackRock Resources & Commodities Strategy Trust (BCX)   
     (Percentages shown are based on Net Assets)   

 

Common Stocks    Shares      Value  

Chemicals — 16.9%

     

Albemarle Corp. (a)

     196,188       $ 15,559,670   

CF Industries Holdings, Inc. (a)

     368,319         8,876,488   

Monsanto Co. (a)(b)

     573,191         59,273,681   

Mosaic Co. (a)

     526,233         13,776,780   

Potash Corp. of Saskatchewan, Inc. (a)

     1,281,890         20,817,894   

Syngenta AG

     94,620         36,319,754   
     

 

 

 
                154,624,267   

Containers & Packaging — 5.6%

     

International Paper Co. (a)

     559,075         23,693,600   

Packaging Corp. of America (a)

     244,348         16,354,212   

Smurfit Kappa Group PLC

     511,889         11,271,007   
     

 

 

 
                51,318,819   

Energy Equipment & Services — 2.9%

     

Baker Hughes, Inc. (a)

     196,827         8,882,803   

Schlumberger Ltd. (a)

     223,252         17,654,768   
     

 

 

 
                26,537,571   

Food & Staples Retailing — 1.8%

     

Fyffes PLC

     10,547,711         16,153,414   

Food Products — 9.9%

     

AGT Food & Ingredients, Inc.

     433,833         11,917,432   

Elders Ltd. (c)

     997,356         2,773,566   

First Resources Ltd.

     8,361,900         9,756,787   

Glanbia PLC

     468,746         8,806,869   

Golden Agri-Resources Ltd.

     31,419,900         8,221,047   

Kerry Group PLC, Class A

     120,042         10,646,424   

Leroy Seafood Group ASA

     54,935         2,591,950   

Mead Johnson Nutrition Co. (a)

     120,398         10,926,120   

Select Harvests Ltd.

     196,984         1,008,034   

Tyson Foods, Inc., Class A (a)

     260,690         17,411,485   

Wilmar International Ltd.

     2,594,400         6,315,557   
     

 

 

 
                90,375,271   

Independent Power and Renewable Electricity Producers — 0.0%

  

Greenko Group PLC (c)

     59,000         793   

Metals & Mining — 28.4%

     

Alcoa, Inc. (a)

     957,871         8,879,464   

ArcelorMittal (c)

     1,774,432         8,090,028   

Barrick Gold Corp. (a)

     1,257,054         26,838,103   

Boliden AB

     527,583         10,311,133   

Detour Gold Corp. (a)(c)

     493,711         12,350,896   

Eldorado Gold Corp.

     3,572,003         16,063,576   

First Quantum Minerals Ltd.

     2,280,390         16,009,240   

Glencore PLC

     9,116,520         18,790,345   

Grupo Mexico SAB de CV, Series B

     4,503,263         10,552,127   

Lundin Mining Corp. (c)

     4,193,910         14,153,371   

MMC Norilsk Nickel PJSC — ADR

     907,245         12,151,036   

Nevsun Resources Ltd.

     2,662,497         7,810,568   

Newcrest Mining Ltd. (c)

     1,750,000         30,330,772   

Rio Tinto PLC — ADR (a)

     763,366         23,893,356   

Silver Wheaton Corp.

     757,718         17,829,105   

Tahoe Resources, Inc. (a)

     1,086,180         16,268,109   

Teck Resources Ltd., Class B

     768,501         10,121,158   
     

 

 

 
                260,442,387   

Oil, Gas & Consumable Fuels — 30.4%

     

Anadarko Petroleum Corp. (a)

     254,375         13,545,469   

BP PLC — ADR (a)

     416,252         14,781,109   

Cairn Energy PLC (c)

     3,188,680         8,867,983   

Chevron Corp. (a)(b)

     156,552         16,411,346   

Cimarex Energy Co. (a)

     90,017         10,740,828   

ConocoPhillips (a)

     472,360         20,594,896   

Enbridge, Inc. (a)

     436,960         18,510,640   
Common Stocks    Shares      Value  

Oil, Gas & Consumable Fuels (continued)

  

  

Eni SpA — ADR

     382,170       $ 12,363,200   

EOG Resources, Inc. (a)

     198,118         16,527,004   

Exxon Mobil Corp. (a)(b)

     590,204         55,325,723   

Hess Corp. (a)

     181,772         10,924,497   

Occidental Petroleum Corp. (a)

     225,800         17,061,448   

Royal Dutch Shell PLC, A Shares

     215,918         5,930,253   

Royal Dutch Shell PLC, A Shares — ADR

     1,036,474         57,234,094   
     

 

 

 
                278,818,490   

Paper & Forest Products — 2.4%

     

Interfor Corp. (c)

     585,385         5,015,838   

Louisiana-Pacific Corp. (a)(c)

     520,900         9,037,615   

Precious Woods Holding AG (c)

     20,000         112,647   

TFS Corp. Ltd. (d)

     7,903,565         8,348,434   
     

 

 

 
                22,514,534   

Real Estate Investment Trusts (REITs) — 0.3%

  

  

Weyerhaeuser Co. (a)

     91,871         2,735,000   

Total Common Stocks — 98.6%

              903,520,546   
     
Rights                

Food Products — 0.0%

     

Elders Ltd. (Expires 6/22/16, Strike Price 3.40 AUD) (c)

     249,339         59,507   

Paper & Forest Products — 0.0%

     

Precious Woods Holding Chf (Expires 7/5/16, Strike Price 5.30 CHF) (c)

     20,000         1,365   

Total Rights — 0.0%

              60,872   
     
Preferred Stocks                

Food Products — 0.8%

     

Tyson Foods, Inc. (c)

     99,842         7,376,327   

Total Long-Term Investments

(Cost — $814,954,441) — 99.4%

              910,957,745   
     
Short-Term Securities                

BlackRock Liquidity Funds, TempFund, Institutional Class, 0.40% (e)(f)

     15,411,219         15,411,219   
      Beneficial
Interest
(000)
         

BlackRock Liquidity Series, LLC Money Market Series, 0.59% (e)(f)(g)

   $ 1,338         1,337,693   

Total Short-Term Securities

(Cost — $16,748,912) — 1.8%

              16,748,912   
     
                  
 

 

See Notes to Financial Statements.

 

82    SEMI-ANNUAL REPORT    JUNE 30, 2016     


Consolidated Schedule of Investments (continued)      BlackRock Resources & Commodities Strategy Trust (BCX)   
  

 

Options Purchased    Value  

(Cost — $ 9,011) — 0.0%

   $ 9,011   

Total Investments Before Options Written

(Cost — $ 831,712,364) — 101.2%

     927,715,668   
  
          
Options Written    Value  

(Premiums Received — $8,605,466) — (1.2)%

   $ (10,733,252

Total Investments Net of Options Written — 100.0%

     916,982,416   

Liabilities in Excess of Other Assets — 0.0%

     (289,407
  

 

 

 

Net Assets — 100.0%

   $ 916,693,009   
  

 

 

 
 
      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) During the six months ended June 30, 2016, 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,
2015

    

Net

Activity

    

Shares/
Beneficial Interest

Held at

June 30,

2016

    

Value at

June 30,

2016

     Income  

BlackRock Liquidity Funds, TempFund, Institutional Class

     6,170,241         9,240,978         15,411,219         $15,411,219         $31,123   

BlackRock Liquidity Series, LLC Money Market Series

     $     35,689         $1,302,004         $  1,337,693         $  1,337,693         $33,277 1 

Total

                  $16,748,912         $64,400   
           

 

 

 

 

  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 adviser. 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

 

OTC Options Purchased

 

                                                                 
Description    Counterparty        Put/
Call
      

Strike

Price

       Expiration
Date
       Contracts        Market
Value
 

Leroy Seafood Group ASA

     Credit Suisse International           Call           NOK         421.16           7/12/16           10,600         $ 1,912   

Leroy Seafood Group ASA

     Credit Suisse International           Call           NOK         421.16           7/19/16           10,600           3,762   

Leroy Seafood Group ASA

     Credit Suisse International           Call           NOK         434.72           8/02/16           8,700           3,337   

Total

                               $ 9,011   
                              

 

 

 

 

Exchange-Traded Options Written

 

                                                   
Description    Put/
Call
     Expiration
Date
    

Strike

Price

       Contracts        Value  

Alcoa, Inc.

   Call      7/01/16        USD         9.50           1,250         $ (1,875

Baker Hughes, Inc.

   Call      7/01/16        USD         49.00           57           (1,425

Chevron Corp.

   Call      7/01/16        USD         102.00           141           (40,044

ConocoPhillips

   Call      7/01/16        USD         46.00           300           (1,200

International Paper Co.

   Call      7/01/16        USD         42.00           230           (10,235

International Paper Co.

   Call      7/01/16        USD         43.50           314           (3,454

Monsanto Co.

   Call      7/01/16        USD         102.00           546           (98,280

Schlumberger Ltd.

   Call      7/01/16        USD         75.00           361           (146,205

Anadarko Petroleum Corp.

   Call      7/08/16        USD         53.50           104           (10,036

Anadarko Petroleum Corp.

   Call      7/08/16        USD         55.00           28           (1,190

Baker Hughes, Inc.

   Call      7/08/16        USD         48.00           365           (4,198

ConocoPhillips

   Call      7/08/16        USD         46.00           350           (3,500

 

See Notes to Financial Statements.

 

     SEMI-ANNUAL REPORT    JUNE 30, 2016    83


Consolidated Schedule of Investments (continued)      BlackRock Resources & Commodities Strategy Trust (BCX)   

 

Description    Put/
Call
     Expiration
Date
    

Strike

Price

       Contracts        Value  

EOG Resources, Inc.

   Call      7/08/16      USD      85.50           330         $ (12,705

Exxon Mobil Corp.

   Call      7/08/16      USD      89.50           255           (103,275

Hess Corp.

   Call      7/08/16      USD      60.00           100           (12,300

International Paper Co.

   Call      7/08/16      USD      43.00           907           (17,687

Occidental Petroleum Corp.

   Call      7/08/16      USD      76.50           395           (15,998

Schlumberger Ltd.

   Call      7/08/16      USD      78.00           27           (4,455

Albemarle Corp.

   Call      7/15/16      USD      80.00           190           (29,925

Alcoa, Inc.

   Call      7/15/16      USD      10.50           1,000           (6,500

Anadarko Petroleum Corp.

   Call      7/15/16      USD      55.00           209           (16,929

Barrick Gold Corp.

   Call      7/15/16      USD      18.00           1,640           (553,500

BP PLC — ADR

   Call      7/15/16      USD      33.00           197           (52,698

Chevron Corp.

   Call      7/15/16      USD      100.00           486           (251,505

Cimarex Energy Co.

   Call      7/15/16      USD      115.00           185           (105,450

ConocoPhillips

   Call      7/15/16      USD      46.00           378           (10,584

Detour Gold Corp.

   Call      7/15/16      CAD      29.00           265           (73,329

Detour Gold Corp.

   Call      7/15/16      CAD      30.00           510           (108,754

Enbridge, Inc.

   Call      7/15/16      CAD      54.00           1,442           (132,821

EOG Resources, Inc.

   Call      7/15/16      USD      82.50           210           (47,145

Exxon Mobil Corp.

   Call      7/15/16      USD      90.00           255           (101,362

Hess Corp.

   Call      7/15/16      USD      62.50           555           (46,898

International Paper Co.

   Call      7/15/16      USD      43.00           240           (9,360

Louisiana-Pacific Corp.

   Call      7/15/16      USD      19.00           300           (6,000

Lundin Mining Corp.

   Call      7/15/16      CAD      4.50           3,500           (28,445

Mead Johnson Nutrition Co.

   Call      7/15/16      USD      85.00           210           (129,150

Occidental Petroleum Corp.

   Call      7/15/16      USD      77.50           395           (18,565

Packaging Corp. of America

   Call      7/15/16      USD      67.50           188           (18,800

Packaging Corp. of America

   Call      7/15/16      USD      70.00           300           (9,000

Rio Tinto PLC — ADR

   Call      7/15/16      USD      30.00           610           (109,800

Rio Tinto PLC — ADR

   Call      7/15/16      USD      32.50           512           (25,600

Schlumberger Ltd.

   Call      7/15/16      USD      77.50           55           (13,145

Tahoe Resources, Inc.

   Call      7/15/16      CAD      16.00           590           (154,127

Tahoe Resources, Inc.

   Call      7/15/16      CAD      17.00           600           (113,085

Tyson Foods, Inc., Class A

   Call      7/15/16      USD      65.00           102           (24,735

Anadarko Petroleum Corp.

   Call      7/22/16      USD      54.50           67           (9,246

Anadarko Petroleum Corp.

   Call      7/22/16      USD      56.00           51           (4,335

Barrick Gold Corp.

   Call      7/22/16      USD      22.50           1,250           (75,000

BP PLC — ADR

   Call      7/22/16      USD      34.00           196           (37,240

CF Industries Holdings, Inc.

   Call      7/22/16      USD      26.00           490           (22,540

ConocoPhillips

   Call      7/22/16      USD      46.00           165           (8,085

Exxon Mobil Corp.

   Call      7/22/16      USD      91.50           75           (21,750

Hess Corp.

   Call      7/22/16      USD      62.50           77           (9,317

Mosaic Co.

   Call      7/22/16      USD      27.50           526           (34,979

Potash Corp. of Saskatchewan, Inc.

   Call      7/22/16      USD      17.50           679           (35,987

Tyson Foods, Inc., Class A

   Call      7/22/16      USD      64.00           200           (67,000

Weyerhaeuser Co.

   Call      7/22/16      USD      32.50           109           (5,450

Alcoa, Inc.

   Call      7/29/16      USD      10.50           1,600           (16,800

Anadarko Petroleum Corp.

   Call      7/29/16      USD      55.50           103           (14,368

Baker Hughes, Inc.

   Call      7/29/16      USD      48.50           365           (23,360

Barrick Gold Corp.

   Call      7/29/16      USD      24.00           378           (15,498

BP PLC — ADR

   Call      7/29/16      USD      36.50           880           (52,360

CF Industries Holdings, Inc.

   Call      7/29/16      USD      26.50           490           (24,990

ConocoPhillips

   Call      7/29/16      USD      48.50           438           (11,607

EOG Resources, Inc.

   Call      7/29/16      USD      83.00           210           (57,015

Exxon Mobil Corp.

   Call      7/29/16      USD      90.50           75           (30,000

International Paper Co.

   Call      7/29/16      USD      43.50           545           (35,425

Mosaic Co.

   Call      7/29/16      USD      28.00           525           (37,538

Occidental Petroleum Corp.

   Call      7/29/16      USD      78.50           113           (7,571

Potash Corp. of Saskatchewan, Inc.

   Call      7/29/16      USD      16.50           1,600           (126,400

Schlumberger Ltd.

   Call      7/29/16      USD      79.50           27           (5,481

Tyson Foods, Inc., Class A

   Call      7/29/16      USD      63.00           200           (86,000

Anadarko Petroleum Corp.

   Call      8/05/16      USD      56.00           69           (10,316

BP PLC — ADR

   Call      8/05/16      USD      35.00           392           (55,272

CF Industries Holdings, Inc.

   Call      8/05/16      USD      27.50           490           (24,010

ConocoPhillips

   Call      8/05/16      USD      46.00           211           (18,674

Exxon Mobil Corp.

   Call      8/05/16      USD      90.50           573           (230,632

 

See Notes to Financial Statements.

 

84    SEMI-ANNUAL REPORT    JUNE 30, 2016     


Consolidated Schedule of Investments (continued)      BlackRock Resources & Commodities Strategy Trust (BCX)   

 

Description    Put/
Call
       Expiration
Date
      

Strike

Price

       Contracts        Value  

Monsanto Co.

     Call           8/05/16           USD         110.00           415         $ (135,912

Mosaic Co.

     Call           8/05/16           USD         28.50           524           (52,400

Potash Corp. of Saskatchewan, Inc.

     Call           8/05/16           USD         16.50           1,600           (171,200

Potash Corp. of Saskatchewan, Inc.

     Call           8/05/16           USD         17.50           620           (58,280

Schlumberger Ltd.

     Call           8/05/16           USD         80.00           61           (12,292

Tyson Foods, Inc., Class A

     Call           8/05/16           USD         67.00           400           (73,000

Anadarko Petroleum Corp.

     Call           8/12/16           USD         55.50           193           (36,188

Exxon Mobil Corp.

     Call           8/12/16           USD         93.50           624           (125,424

Weyerhaeuser Co.

     Call           8/12/16           USD         31.00           53           (2,915

Packaging Corp. of America

     Call           8/18/16           USD         69.65           189           (27,881

Anadarko Petroleum Corp.

     Call           8/19/16           USD         55.00           193           (43,811

Barrick Gold Corp.

     Call           8/19/16           USD         20.00           1,760           (418,880

ConocoPhillips

     Call           8/19/16           USD         44.00           47           (9,048

Detour Gold Corp.

     Call           8/19/16           CAD         32.00           670           (138,724

Enbridge, Inc.

     Call           8/19/16           CAD         56.00           305           (19,830

EOG Resources, Inc.

     Call           8/19/16           USD         85.00           42           (11,886

Exxon Mobil Corp.

     Call           8/19/16           USD         92.50           503           (139,331

Louisiana-Pacific Corp.

     Call           8/19/16           USD         18.00           430           (23,650

Mead Johnson Nutrition Co.

     Call           8/19/16           USD         90.00           271           (112,465

Mosaic Co.

     Call           8/19/16           USD         28.00           263           (28,010

Mosaic Co.

     Call           8/19/16           USD         29.00           262           (22,532

Potash Corp. of Saskatchewan, Inc.

     Call           8/19/16           USD         18.00           620           (32,240

Rio Tinto PLC — ADR

     Call           8/19/16           USD         30.00           420           (106,050

Rio Tinto PLC — ADR

     Call           8/19/16           USD         35.00           256           (12,800

Schlumberger Ltd.

     Call           8/19/16           USD         77.50           362           (135,750

Tahoe Resources, Inc.

     Call           8/19/16           CAD         18.00           590           (90,421

Tyson Foods, Inc., Class A

     Call           8/19/16           USD         67.50           140           (35,350

Weyerhaeuser Co.

     Call           8/19/16           USD         30.00           152           (14,440

Total

                          $ (5,990,230
                         

 

 

 

 

OTC Options Written

 

                                                       
Description    Put/
Call
     Counterparty    Expiration
Date
    

Strike

Price

       Contracts        Value  

Interfor Corp.

   Call      Credit Suisse International    7/05/16      CAD      11.30           85,000         $ (7,683

Detour Gold Corp.

   Call      Morgan Stanley & Co. International PLC    7/06/16      CAD      29.91           53,000           (103,841

Glanbia PLC

   Call      UBS AG    7/06/16      EUR      16.35           23,500           (16,825

Newcrest Mining Ltd.

   Call      Citibank N.A.    7/06/16      AUD      22.41           306,000           (263,415

ArcelorMittal

   Call      Deutsche Bank AG    7/07/16      EUR      4.96           355,000           (125

Cimarex Energy Co.

   Call      Morgan Stanley & Co. International PLC    7/07/16      USD      115.42           15,000           (68,685

Glencore PLC

   Call      Credit Suisse International    7/07/16      GBP      1.38           1,450,000           (335,337

Syngenta AG

   Call      Morgan Stanley & Co. International PLC    7/07/16      CHF      397.19           37,800           (70

Glanbia PLC

   Call      UBS AG    7/12/16      EUR      16.35           23,500           (18,973

Glencore PLC

   Call      Credit Suisse International    7/12/16      GBP      1.35           60,000           (16,532

Grupo Mexico SAB de CV, Series B

   Call      Citibank N.A.    7/12/16      MXN      41.97           500,000           (37,048

Leroy Seafood Group ASA

   Call      UBS AG    7/12/16      NOK      421.17           10,600           (1,793

Lundin Mining Corp.

   Call      Morgan Stanley & Co. International PLC    7/12/16      CAD      4.30           350,000           (48,455

ArcelorMittal

   Call      Deutsche Bank AG    7/13/16      EUR      4.96           355,000           (4,862

First Quantum Minerals Ltd.

   Call      Credit Suisse International    7/13/16      CAD      8.62           250,000           (148,409

Interfor Corp.

   Call      Citibank N.A.    7/13/16      CAD      13.89           65,000           (2,549

Smurfit Kappa Group PLC

   Call      Morgan Stanley & Co. International PLC    7/13/16      EUR      23.72           30,000           (5

Teck Resources Ltd., Class B

   Call      Credit Suisse International    7/13/16      USD      12.34           108,000           (126,454

Kerry Group PLC, Class A

   Call      Bank of America N.A.    7/19/16      EUR      81.73           30,000           (19,420

Leroy Seafood Group ASA

   Call      UBS AG    7/19/16      NOK      421.17           10,600           (3,363

MMC Norilsk Nickel PJSC — ADR

   Call      Bank of America N.A.    7/19/16      USD      13.78           60,000           (18,011

MMC Norilsk Nickel PJSC — ADR

   Call      UBS AG    7/19/16      USD      14.36           60,000           (8,068

Glencore PLC

   Call      Morgan Stanley & Co. International PLC    7/20/16      GBP      1.35           950,000           (280,909

Newcrest Mining Ltd.

   Call      Citibank N.A.    7/20/16      AUD      20.09           306,000           (764,419

Smurfit Kappa Group PLC

   Call      Goldman Sachs International    7/20/16      EUR      24.70           59,000           (913

Boliden AB

   Call      Citibank N.A.    7/26/16      SEK      151.41           80,000           (138,644

MMC Norilsk Nickel PJSC — ADR

   Call      UBS AG    7/26/16      USD      13.56           70,000           (31,718

Grupo Mexico SAB de CV, Series B

   Call      UBS AG    7/28/16      MXN      42.82           500,000           (36,075

Louisiana-Pacific Corp.

   Call      Barclays Bank PLC    7/29/16      USD      18.06           43,000           (14,218

Tahoe Resources, Inc.

   Call      Credit Suisse International    7/29/16      CAD      17.01           59,000           (117,395

Rio Tinto PLC — ADR

   Call      Deutsche Bank AG    8/01/16      USD      29.95           100,000           (221,005

 

See Notes to Financial Statements.

 

     SEMI-ANNUAL REPORT    JUNE 30, 2016    85


Consolidated Schedule of Investments (continued)      BlackRock Resources & Commodities Strategy Trust (BCX)   

 

Description    Put/
Call
       Counterparty      Expiration
Date
      

Strike

Price

       Contracts        Value  

Boliden AB

     Call           UBS AG         8/02/16           SEK         160.86           28,500         $ (28,889

Interfor Corp.

     Call           Citibank N.A.         8/02/16           CAD         12.51           75,000           (8,465

Kerry Group PLC, Class A

     Call           Morgan Stanley & Co. International PLC         8/02/16           EUR         82.43           18,000           (13,857

Leroy Seafood Group ASA

     Call           UBS AG         8/02/16           NOK         434.73           8,700           (2,933

Lundin Mining Corp.

     Call           Credit Suisse International         8/02/16           CAD         4.41           350,000           (60,329

MMC Norilsk Nickel PJSC — ADR

     Call           UBS AG         8/02/16           USD         14.44           70,000           (13,921

Teck Resources Ltd., Class B

     Call           Morgan Stanley & Co. International PLC         8/03/16           USD         11.37           92,000           (206,494

Rio Tinto PLC — ADR

     Call           Credit Suisse International         8/05/16           USD         32.66           25,500           (23,788

First Quantum Minerals Ltd.

     Call           Citibank N.A.         8/08/16           CAD         8.80           250,000           (183,328

Boliden AB

     Call           Credit Suisse International         8/09/16           SEK         148.86           52,500           (111,952

Glanbia PLC

     Call           Morgan Stanley & Co. International PLC         8/09/16           EUR         17.70           47,000           (19,927

Tahoe Resources, Inc.

     Call           Citibank N.A.         8/10/16           CAD         20.15           99,000           (58,668

Boliden AB

     Call           Credit Suisse International         8/11/16           SEK         158.52           50,000           (63,943

Newcrest Mining Ltd.

     Call           Citibank N.A.         8/11/16           AUD         24.02           88,000           (77,873

Smurfit Kappa Group PLC

     Call           Goldman Sachs International         8/11/16           EUR         22.20           57,000           (7,394

Grupo Mexico SAB de CV, Series B

     Call           Morgan Stanley & Co. International PLC         8/16/16           MXN         43.93           500,000           (32,211

Interfor Corp.

     Call           Citibank N.A.         8/16/16           CAD         11.90           80,000           (23,328

MMC Norilsk Nickel PJSC — ADR

     Call           Bank of America N.A.         8/16/16           USD         13.47           103,000           (63,223

Albemarle Corp.

     Call           Goldman Sachs International         8/17/16           USD         83.01           59,400           (131,927

Teck Resources Ltd., Class B

     Call           Credit Suisse International         8/17/16           USD         13.00           108,000           (155,471

Smurfit Kappa Group PLC

     Call           UBS AG         8/25/16           EUR         23.25           57,000           (5,038

First Quantum Minerals Ltd.

     Call           Citibank N.A.         8/29/16           CAD         8.80           250,000           (217,923

Tahoe Resources, Inc.

     Call           Citibank N.A.         8/30/16           CAD         17.35           98,000           (196,929

Packaging Corp. of America

     Call           Goldman Sachs International         9/07/16           USD         68.50           30,000           (80,925

Louisiana-Pacific Corp.

     Call           JPMorgan Chase Bank N.A.         9/09/16           USD         17.25           92,000           (99,067

Total

                             $ (4,743,022
                            

 

 

 

 

      Transactions in Options Written for the Period Ended June 30, 2016

 

      Calls     Puts  
  

 

 

   

 

 

 
         Contracts     Premiums
Received
        Contracts      Premiums
Received
 

 

   

 

 

 

Outstanding options at beginning of period

     16,708,177      $ 7,049,614                  

Options written

         56,012,288        34,494,102                  

Options exercised

     (15,831     (62,902               

Options expired

     (27,665,060     (10,530,693               

Options closed

     (35,899,656     (22,344,655               
  

 

 

   

 

 

 

Outstanding options at end of period

     9,139,918      $ 8,605,466                  
  

 

 

   

 

 

 

As of period end, the value of portfolio securities subject to covered call options written was $263,623,883.

 

      Derivative Financial Instruments Categorized by Risk Exposure

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

 

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

Assets — Derivative Financial Instruments

                                                    

Options purchased

       Investments at value —  unaffiliated1     —           —         $ 9,011         —           —         $ 9,011   
  

 

 

Liabilities — Derivative Financial Instruments

                                                    

Options written

       Options written, at value     —           —         $ 10,733,252         —           —         $ 10,733,252   
  

 

 

 

  1   

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

 

See Notes to Financial Statements.

 

86    SEMI-ANNUAL REPORT    JUNE 30, 2016     


Consolidated Schedule of Investments (continued)      BlackRock Resources & Commodities Strategy Trust (BCX)   

 

For the six months ended June 30, 2016, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

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

Options purchased1

         $ (4,715         $ (4,715

Options written

           (17,366,330           (17,366,330
  

 

 

Total

         $ (17,371,045         $ (17,371,045
  

 

 
                                         
Net Change in Unrealized Appreciation (Depreciation) on:                                       

Options purchased2

         $ 2,849            $ 2,849   

Options written

           (3,800,650           (3,800,650
  

 

 

Total

         $ (3,797,801         $ (3,797,801
  

 

 

 

  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

   $ 9,011   

Average value of option contracts written

   $ 11,863,062   

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

       $ 9,011 1    $ 10,733,252   
  

 

 

 

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

          $ (5,990,230
  

 

 

 

Total derivative assets and liabilities subject to an MNA

       $ 9,011      $ 4,743,022   
  

 

 

 

 

  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.

 

     SEMI-ANNUAL REPORT    JUNE 30, 2016    87


Consolidated Schedule of Investments (continued)      BlackRock Resources & Commodities Strategy Trust (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 Statements of Assets and Liabilities
and Subject to an MNA
Counterparty    Derivative Assets
Subject to an MNA by
Counterparty
             Derivatives Available
for Offset
              Non-cash
             Collateral
            Received
                   Cash
Collateral
Received
            Net Amount of
Derivative Assets

Credit Suisse International

   $          9,011              $(9,011)         —                               —               

 

 

    

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.

     $   100,654                     —                    $ (100,654                 —

Barclays Bank PLC

     14,218                     —                              $  14,218

Citibank N.A.

     1,972,589                     —                      (1,972,589                 —

Credit Suisse International

     1,167,293                     $(9,011)                     (1,158,282                 —

Deutsche Bank AG

     225,992                     —                      (225,992                 —

Goldman Sachs International

     221,159                     —                      (221,159                 —

JPMorgan Chase Bank N.A.

     99,067                     —                                99,067

Morgan Stanley & Co. International PLC

     774,454                     —                      (774,454                —

UBS AG

     167,596                     —                      (167,596                —
  

 

 

Total

         $4,743,022                     $(9,011)                   $ (4,620,726      $113,285
  

 

 

 

  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:

                 

Chemicals

     $ 118,304,513       $ 36,319,754                $ 154,624,267  

Containers & Packaging

       40,047,812         11,271,007                  51,318,819  

Energy Equipment & Services

       26,537,571                          26,537,571  

Food & Staples Retailing

       16,153,414                          16,153,414  

Food Products

       49,061,906         41,313,365                  90,375,271  

Independent Power and Renewable Electricity Producers

                     $ 793          793  

Metals & Mining

       180,769,073         79,673,314                  260,442,387  

Oil, Gas & Consumable Fuels

       264,020,254         14,798,236                  278,818,490  

Paper & Forest Products

       14,053,453         8,461,081                  22,514,534  

Real Estate Investment Trusts (REITs)

       2,735,000                          2,735,000  

Rights

               60,872                  60,872  

Preferred Stocks

       7,376,327                          7,376,327  

Short-Term Securities

       15,411,219         1,337,693                  16,748,912  

Options Purchased

               9,011                  9,011  
    

 

 

 

Total

     $             734,470,542       $             193,244,333       $                         793        $             927,715,668  
    

 

 

 
                 
      Level 1   Level 2   Level 3    Total

Derivative Financial Instruments1

                 

Liabilities:

                 

Equity contracts

     $ (5,962,349 )     $ (4,770,903 )              $ (10,733,252 )
    

 

 

 

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

       

 

See Notes to Financial Statements.

 

88    SEMI-ANNUAL REPORT    JUNE 30, 2016     


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 statement purposes. As of period end, such liabilities are categorized within the disclosure hierarchy as follows:

 

      Level 1    Level 2   Level 3    Total

Assets:

                  

Cash

     $ 12,011                                 $ 12,011  

Foreign currency at value

       40,658                                   40,658  

Liabilities:

                  

Collateral on securities loaned at value

       —                $ (1,337,693 )                (1,337,693 )
    

 

 

 

Total

     $             40,658                $             (1,337,693 )              $             (1,297,035 )
    

 

 

 
                  
     

Transfers into

Level 1

   Transfers out of
Level 1 1
  Transfers into
Level 2 1
   Transfers out of
Level 2

Assets:

                  

Long-Term Investments:

                  

Common Stocks

              $     (41,370,578 )     $             41,370,578           
    

 

 

 

1    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.

 

     SEMI-ANNUAL REPORT    JUNE 30, 2016    89


Schedule of Investments June 30, 2016 (Unaudited)      BlackRock Science and Technology Trust (BST)   
     (Percentages shown are based on Net Assets)   

 

Common Stocks    Shares      Value  

Automobiles — 0.5%

     

Tesla Motors, Inc. (a)(b)(c)

     9,200       $ 1,952,976   

Communications Equipment — 0.4%

     

Lumentum Holdings, Inc. (a)

     67,800         1,640,760   

Diversified Financial Services — 0.5%

     

Intercontinental Exchange, Inc. (b)

     8,700         2,226,852   

Diversified Telecommunication Services — 1.1%

  

  

Cogent Communications Holdings, Inc. (b)

     72,300         2,896,338   

Zayo Group Holdings, Inc. (a)

     69,000         1,927,170   
     

 

 

 
                4,823,508   

Electronic Equipment, Instruments & Components — 3.0%

  

  

CDW Corp.

     56,500         2,264,520   

Coherent, Inc. (a)(b)

     23,800         2,184,364   

Flextronics International Ltd. (a)(b)

     176,100         2,077,980   

Largan Precision Co. Ltd.

     33,000         3,051,947   

Universal Display Corp. (a)

     49,100         3,328,980   
     

 

 

 
                12,907,791   

Hotels, Restaurants & Leisure — 1.0%

     

Six Flags Entertainment Corp.

     69,800         4,044,910   

Household Durables — 0.9%

     

Sony Corp.

     133,400         3,930,228   

Internet & Catalog Retail — 7.9%

     

Amazon.com, Inc. (a)(b)

     29,200         20,896,104   

Ctrip.com International Ltd. — ADR (a)(b)

     28,300         1,165,960   

Ensogo Ltd. (a)

     173,282         83,947   

Expedia, Inc. (b)

     20,600         2,189,780   

Netflix, Inc. (a)(b)

     39,320         3,596,994   

Priceline Group, Inc. (a)(b)

     2,400         2,996,184   

TripAdvisor, Inc. (a)(b)

     39,700         2,552,710   
     

 

 

 
                33,481,679   

Internet Software & Services — 21.4%

     

58.com, Inc. — ADR (a)(b)

     36,900         1,693,341   

Alibaba Group Holding Ltd. — ADR (a)(b)

     109,100         8,676,723   

Alphabet, Inc., Class A (a)(b)(d)

     37,800         26,593,434   

Auto Trader Group PLC (e)

     573,100         2,709,219   

comScore, Inc. (a)(b)

     81,650         1,949,802   

DeNA Co. Ltd.

     80,400         1,880,838   

Facebook, Inc., Class A (a)(b)

     170,600         19,496,168   

MercadoLibre, Inc. (b)

     26,500         3,727,755   

New Relic, Inc. (a)(b)

     44,300         1,301,534   

Scout24 AG (a)(e)

     92,122         3,424,248   

Shopify, Inc., Class A (a)

     65,900         2,027,084   

Tencent Holdings Ltd.

     680,700         15,615,036   

Yahoo!, Inc. (a)(b)

     33,900         1,273,284   
     

 

 

 
                90,368,466   

IT Services — 11.0%

     

Euronet Worldwide, Inc. (a)(b)

     39,600         2,739,924   

Fidelity National Information Services, Inc. (b)

     59,100         4,354,488   

Global Payments, Inc. (b)

     60,100         4,289,938   

InterXion Holding NV (a)(b)

     73,400         2,706,992   

Luxoft Holding, Inc. (a)

     48,400         2,517,768   

MasterCard, Inc., Class A (b)

     99,300         8,744,358   

PayPal Holdings, Inc. (a)(b)

     79,700         2,909,847   

Sabre Corp.

     177,300         4,749,867   

Visa, Inc., A Shares (b)

     156,800         11,629,856   

WNS Holdings Ltd. — ADR (a)

     61,610         1,663,470   
     

 

 

 
                46,306,508   
Common Stocks    Shares      Value  

Media — 3.9%

     

Comcast Corp., Class A (b)

     44,200       $ 2,881,398   

Eros International PLC (a)(b)(c)

     154,305         2,510,542   

Naspers Ltd., N Shares

     40,100         6,123,072   

REA Group Ltd.

     66,800         2,997,841   

Stroeer SE & Co. KGaA

     46,800         2,152,772   
     

 

 

 
                16,665,625   

Professional Services — 1.3%

     

TechnoPro Holdings, Inc.

     92,900         2,892,755   

TransUnion (a)

     78,100         2,611,664   
     

 

 

 
                5,504,419   

Real Estate Investment Trusts (REITs) — 6.4%

  

  

Crown Castle International Corp. (b)

     84,600         8,580,978   

Digital Realty Trust, Inc. (b)

     79,000         8,610,210   

Equinix, Inc. (b)

     25,151         9,751,797   
     

 

 

 
                26,942,985   

Semiconductors & Semiconductor Equipment — 14.5%

  

  

Acacia Communications, Inc. (a)(b)

     54,177         2,163,829   

Applied Materials, Inc. (b)

     178,800         4,285,836   

ASML Holding NV

     74,100         7,294,304   

BE Semiconductor Industries NV

     85,100         2,302,559   

Broadcom Ltd. (b)

     64,196         9,976,058   

Lam Research Corp. (b)

     56,500         4,749,390   

MACOM Technology Solutions Holdings, Inc. (a)(b)

     73,700         2,430,626   

Micron Technology, Inc. (a)(b)

     92,300         1,270,048   

Microsemi Corp. (a)(b)

     50,300         1,643,804   

Monolithic Power Systems, Inc. (b)

     28,500         1,947,120   

NVIDIA Corp. (b)

     87,200         4,099,272   

NXP Semiconductors NV (a)(b)

     47,400         3,713,316   

Qorvo, Inc. (a)(b)

     29,500         1,630,170   

Silergy Corp.

     190,000         2,247,429   

Silicon Motion Technology Corp. — ADR (b)

     49,900         2,385,220   

Taiwan Semiconductor Manufacturing Co. Ltd.

     1,454,000         7,327,720   

Win Semiconductors Corp.

     849,000         1,737,607   
     

 

 

 
                61,204,308   

Software — 17.2%

     

Activision Blizzard, Inc. (b)

     179,700         7,121,511   

Adobe Systems, Inc. (a)(b)

     66,100         6,331,719   

Altium Ltd.

     320,500         1,557,495   

Atlassian Corp. PLC, Class A (a)(b)

     72,000         1,864,800   

Autodesk, Inc. (a)(b)

     33,800         1,829,932   

Blackbaud, Inc.

     29,300         1,989,470   

Callidus Software, Inc. (a)(b)

     104,000         2,077,920   

Electronic Arts, Inc. (a)(b)

     73,500         5,568,360   

Microsoft Corp. (b)

     411,300         21,046,221   

Nintendo Co. Ltd.

     41,400         5,949,147   

Proofpoint, Inc. (a)(b)

     50,800         3,204,972   

salesforce.com, Inc. (a)(b)

     60,100         4,772,541   

ServiceNow, Inc. (a)(b)

     37,200         2,470,080   

Take-Two Interactive Software, Inc. (a)(b)

     83,300         3,158,736   

Xero Ltd. (a)

     111,500         1,455,305   

Zendesk, Inc. (a)(b)

     93,000         2,453,340   
     

 

 

 
                72,851,549   

Technology Hardware, Storage & Peripherals — 5.4%

  

  

Apple, Inc. (b)

     195,500         18,689,801   
 

 

See Notes to Financial Statements.

 

90    SEMI-ANNUAL REPORT    JUNE 30, 2016     


Schedule of Investments (continued)      BlackRock Science and Technology Trust (BST)   
  

 

Common Stocks    Shares      Value  

Technology Hardware, Storage & Peripherals (continued)

  

  

Samsung Electronics Co. Ltd.

     3,400       $ 4,234,194   
     

 

 

 
                22,923,995   

Total Common Stocks — 96.4%

              407,776,559   
     
Preferred Stocks                

Internet & Catalog Retail — 0.6%

     

Jasper Infotech Private Ltd., Series I (Acquired 8/18/15, Cost 1,998,435) (a)(f)

     1,054         2,577,030   

Internet Software & Services — 2.8%

     

Uber Technologies, Inc., Series E (Acquired 12/4/14, Cost $3,000,048), 0.00% (a)(f)

     90,044         4,391,644   

Xiaoju Kuaizhi, Inc., Series A-17 (Acquired 7/28/15, Cost $3,016,964) (a)(f)

     110,003         4,205,414   

Zuora, Inc. (Acquired 1/16/15, Cost $3,894,522), 0.00% (a)(f)

     1,025,063         3,148,994   
     

 

 

 
                11,746,052   

Software — 0.3%

     

Illumio, Inc., Series C (Acquired 3/11/15, Cost $1,500,001), 0.00% (a)(f)

     466,730         1,201,830   

Total Preferred Stocks — 3.7%

              15,524,912   

Total Long-Term Investments

(Cost — $355,837,192) — 100.1%

              423,301,471   
     
                  
Short-Term Securities    Shares      Value  

BlackRock Liquidity Funds, TempFund, Institutional Class, 0.40% (g)(h)

     1,959,043       $ 1,959,043   
     

Beneficial
Interest

(000)

         

BlackRock Liquidity Series, LLC Money Market Series, 0.59% (g)(h)(i)

   $ 1,764         1,763,760   

Total Short-Term Securities

(Cost — $3,722,803) — 0.9%

              3,722,803   

Total Investments Before Options Written

(Cost — $359,559,995) — 101.0%

              427,024,274   
     
Options Written                

(Premiums Received — $4,290,822) — (1.0)%

              (4,379,867

Total Investments Net of Options Written — 100.0%

  

     422,644,407   

Other Assets Less Liabilities — 0.0%

        97,582   
     

 

 

 

Net Assets — 100.0%

      $ 422,741,989   
     

 

 

 
 
    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.

 

(c) Security, or a portion of security, is on loan.

 

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

 

(e) 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.

 

(f) Restricted security as to resale, excluding 144A securities. As of report date, the Trust held restricted securities with a current value of $15,524,912 and an original cost of $13,409,970 which was 3.7% of its net assets.

 

(g) Current yield as of period end.

 

(h) During the six months ended June 30, 2016, 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,
2015
    

Net

Activity

    

Shares/
Beneficial Interest
Held at

June 30,

2016

     Value at
June 30,
2016
     Income  

BlackRock Liquidity Funds, TempFund, Institutional Class

     604,146         1,354,897         1,959,043             $1,959,043         $  4,807   

BlackRock Liquidity Series, LLC, Money Market Series

     $119,000         $1,644,760         $1,763,760             $1,763,760         $18,214 1 

Total

                  $3,722,803         $23,021   
           

 

 

 
  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.

 

 

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

 

See Notes to Financial Statements.

 

     SEMI-ANNUAL REPORT    JUNE 30, 2016    91


Schedule of Investments (continued)      BlackRock Science and Technology Trust (BST)   

 

 

      Derivative Financial Instruments Outstanding as of Period End

 

Exchange-Traded Options Written

 

 
Description    Put/
Call
     Expiration
Date
  

Strike

Price

     Contracts      Value  

Activision Blizzard, Inc.

     Call       7/01/16      USD         37.50         366       $ (79,422

Alibaba Group Holding Ltd. — ADR

     Call       7/01/16      USD         82.00         195         (390

Alphabet, Inc., Class A

     Call       7/01/16      USD         750.00         20         (100

Electronic Arts, Inc.

     Call       7/01/16      USD         77.00         107         (2,889

Expedia, Inc.

     Call       7/01/16      USD         111.00         21         (105

Facebook, Inc., Class A

     Call       7/01/16      USD         119.00         127         (190

Netflix, Inc.

     Call       7/01/16      USD         103.00         11         (33

TripAdvisor, Inc.

     Call       7/01/16      USD         67.00         70         (2,800

Visa, Inc., A Shares

     Call       7/01/16      USD         79.50         86         (344

Yahoo!, Inc.

     Call       7/01/16      USD         39.00         51         (51

Alibaba Group Holding Ltd. — ADR

     Call       7/08/16      USD         79.50         39         (4,310

Alibaba Group Holding Ltd. — ADR

     Call       7/08/16      USD         80.50         132         (8,514

Alphabet, Inc., Class A

     Call       7/08/16      USD         750.00         10         (250

Applied Materials, Inc.

     Call       7/08/16      USD         25.00         362         (3,077

Ctrip.com International Ltd. — ADR

     Call       7/08/16      USD         48.00         55         (550

Expedia, Inc.

     Call       7/08/16      USD         116.00         31         (310

Facebook, Inc., Class A

     Call       7/08/16      USD         121.00         194         (679

MasterCard, Inc., Class A

     Call       7/08/16      USD         97.50         13         (156

Microsoft Corp.

     Call       7/08/16      USD         53.50         381         (952

Netflix, Inc.

     Call       7/08/16      USD         99.00         126         (1,260

NXP Semiconductors NV

     Call       7/08/16      USD         95.00         17         (170

PayPal Holdings, Inc.

     Call       7/08/16      USD         38.50         31         (1,550

salesforce.com, Inc.

     Call       7/08/16      USD         85.00         60         (390

Visa, Inc., A Shares

     Call       7/08/16      USD         81.00         248         (1,364

Global Payments, Inc.

     Call       7/12/16      USD         75.01         87         (2,492

58.com, Inc. — ADR

     Call       7/15/16      USD         55.00         65         (975

Acacia Communications, Inc.

     Call       7/15/16      USD         40.00         95         (17,812

Adobe Systems, Inc.

     Call       7/15/16      USD         100.00         43         (989

Alibaba Group Holding Ltd. — ADR

     Call       7/15/16      USD         82.50         195         (8,288

Amazon.com, Inc.

     Call       7/15/16      USD         727.50         8         (5,920

Apple, Inc.

     Call       7/15/16      USD         100.00         134         (1,474

Applied Materials, Inc.

     Call       7/15/16      USD         23.00         213         (23,856

Atlassian Corp. PLC, Class A

     Call       7/15/16      USD         25.00         108         (13,500

Autodesk, Inc.

     Call       7/15/16      USD         60.00         120         (720

Broadcom Ltd.

     Call       7/15/16      USD         150.00         100         (69,000

Callidus Software, Inc.

     Call       7/15/16      USD         20.00         183         (10,980

Cogent Communications Holdings, Inc.

     Call       7/15/16      USD         40.00         216         (17,820

comScore, Inc.

     Call       7/15/16      USD         35.00         220         (1,650

Crown Castle International Corp.

     Call       7/15/16      USD         90.00         114         (129,390

Digital Realty Trust, Inc.

     Call       7/15/16      USD         105.00         114         (48,450

Equinix, Inc.

     Call       7/15/16      USD         380.00         90         (100,350

Eros International PLC

     Call       7/15/16      USD         15.00         845         (139,425

Fidelity National Information Services, Inc.

     Call       7/15/16      USD         75.00         86         (3,354

Flextronics International Ltd.

     Call       7/15/16      USD         13.00         230         (575

Intercontinental Exchange, Inc.

     Call       7/15/16      USD         270.00         17         (510

InterXion Holding NV

     Call       7/15/16      USD         35.00         215         (36,550

Lam Research Corp.

     Call       7/15/16      USD         85.00         84         (8,610

MACOM Technology Solutions Holdings, Inc.

     Call       7/15/16      USD         35.00         70         (2,975

MasterCard, Inc., Class A

     Call       7/15/16      USD         97.50         13         (39

MercadoLibre, Inc.

     Call       7/15/16      USD         140.00         20         (7,800

Monolithic Power Systems, Inc.

     Call       7/15/16      USD         70.00         90         (5,625

NVIDIA Corp.

     Call       7/15/16      USD         45.00         159         (39,591

NXP Semiconductors NV

     Call       7/15/16      USD         95.00         64         (640

Qorvo, Inc.

     Call       7/15/16      USD         55.00         52         (8,580

salesforce.com, Inc.

     Call       7/15/16      USD         82.50         90         (4,950

Take-Two Interactive Software, Inc.

     Call       7/15/16      USD         40.00         250         (6,250

Tesla Motors, Inc.

     Call       7/15/16      USD         230.00         32         (3,728

Visa, Inc., A Shares

     Call       7/15/16      USD         80.00         107         (696

Zendesk, Inc.

     Call       7/15/16      USD         25.00         170         (28,900

Proofpoint, Inc.

     Call       7/19/16      USD         63.50         120         (24,250

 

See Notes to Financial Statements.

 

92    SEMI-ANNUAL REPORT    JUNE 30, 2016     


Schedule of Investments (continued)      BlackRock Science and Technology Trust (BST)   

 

Description    Put/
Call
     Expiration
Date
  

Strike

Price

     Contracts      Value  

Alibaba Group Holding Ltd. — ADR

     Call       7/22/16      USD         80.00         39       $ (6,396

Alphabet, Inc., Class A

     Call       7/22/16      USD         730.00         21         (5,932

Amazon.com, Inc.

     Call       7/22/16      USD         720.00         85         (143,650

Electronic Arts, Inc.

     Call       7/22/16      USD         77.00         40         (4,700

Facebook, Inc., Class A

     Call       7/22/16      USD         122.00         37         (722

MasterCard, Inc., Class A

     Call       7/22/16      USD         98.00         71         (710

Microsoft Corp.

     Call       7/22/16      USD         53.00         450         (30,375

PayPal Holdings, Inc.

     Call       7/22/16      USD         40.00         85         (4,250

New Relic, Inc.

     Call       7/25/16      USD         26.40         155         (50,012

MercadoLibre, Inc.

     Call       7/27/16      USD         135.00         72         (59,716

Activision Blizzard, Inc.

     Call       7/29/16      USD         38.50         10         (1,955

Alphabet, Inc., Class A

     Call       7/29/16      USD         745.00         48         (30,480

Amazon.com, Inc.

     Call       7/29/16      USD         745.00         8         (16,260

Apple, Inc.

     Call       7/29/16      USD         99.00         43         (4,966

Applied Materials, Inc.

     Call       7/29/16      USD         24.50         195         (7,995

Broadcom Ltd.

     Call       7/29/16      USD         160.00         125         (34,062

Facebook, Inc., Class A

     Call       7/29/16      USD         118.00         119         (24,038

MasterCard, Inc., Class A

     Call       7/29/16      USD         98.00         72         (1,152

Microsoft Corp.

     Call       7/29/16      USD         52.50         401         (38,696

NVIDIA Corp.

     Call       7/29/16      USD         47.50         161         (21,010

PayPal Holdings, Inc.

     Call       7/29/16      USD         38.50         70         (3,850

Priceline Group, Inc.

     Call       7/29/16      USD         1,340.00         7         (5,775

salesforce.com, Inc.

     Call       7/29/16      USD         82.50         60         (6,060

Visa, Inc., A Shares

     Call       7/29/16      USD         79.50         107         (4,976

Apple, Inc.

     Call       8/05/16      USD         100.00         43         (4,257

Apple, Inc.

     Call       8/05/16      USD         97.50         88         (15,928

Applied Materials, Inc.

     Call       8/05/16      USD         24.00         213         (15,975

Comcast Corp., Class A

     Call       8/05/16      USD         63.00         7         (2,030

Comcast Corp., Class A

     Call       8/05/16      USD         65.50         133         (16,426

Ctrip.com International Ltd. — ADR

     Call       8/05/16      USD         41.00         44         (8,910

Electronic Arts, Inc.

     Call       8/05/16      USD         74.00         110         (46,750

MasterCard, Inc., Class A

     Call       8/05/16      USD         93.50         153         (11,169

PayPal Holdings, Inc.

     Call       8/05/16      USD         37.00         62         (7,750

TripAdvisor, Inc.

     Call       8/05/16      USD         66.00         68         (22,610

58.com, Inc. — ADR

     Call       8/09/16      USD         47.00         65         (14,361

Activision Blizzard, Inc.

     Call       8/12/16      USD         40.00         250         (42,125

Apple, Inc.

     Call       8/12/16      USD         97.50         2         (390

Comcast Corp., Class A

     Call       8/12/16      USD         65.50         103         (13,802

Universal Display Corp.

     Call       8/16/16      USD         68.80         190         (65,734

Acacia Communications, Inc.

     Call       8/19/16      USD         45.00         95         (19,000

Apple, Inc.

     Call       8/19/16      USD         105.00         81         (2,997

Callidus Software, Inc.

     Call       8/19/16      USD         22.50         182         (10,010

Coherent, Inc.

     Call       8/19/16      USD         95.00         83         (26,352

comScore, Inc.

     Call       8/19/16      USD         30.00         230         (20,125

Euronet Worldwide, Inc.

     Call       8/19/16      USD         70.00         69         (20,528

Euronet Worldwide, Inc.

     Call       8/19/16      USD         75.00         69         (8,452

Facebook, Inc., Class A

     Call       8/19/16      USD         120.00         117         (28,958

Flextronics International Ltd.

     Call       8/19/16      USD         13.00         130         (1,625

Global Payments, Inc.

     Call       8/19/16      USD         70.00         123         (50,430

MACOM Technology Solutions Holdings, Inc.

     Call       8/19/16      USD         40.00         123         (6,150

MasterCard, Inc., Class A

     Call       8/19/16      USD         95.00         25         (1,675

Micron Technology, Inc.

     Call       8/19/16      USD         14.15         320         (26,239

Microsoft Corp.

     Call       8/19/16      USD         52.50         91         (10,647

NVIDIA Corp.

     Call       8/19/16      USD         48.00         159         (36,172

NXP Semiconductors NV

     Call       8/19/16      USD         87.50         84         (10,500

Proofpoint, Inc.

     Call       8/19/16      USD         65.00         60         (20,400

Qorvo, Inc.

     Call       8/19/16      USD         55.00         51         (19,635

ServiceNow, Inc.

     Call       8/19/16      USD         75.00         120         (17,100

Silicon Motion Technology Corp. — ADR

     Call       8/19/16      USD         50.00         84         (14,280

Yahoo!, Inc.

     Call       8/19/16      USD         39.00         51         (6,222

Microsemi Corp.

     Call       9/16/16      USD         35.00         96         (9,840

Alphabet, Inc., Class A

     Put       7/01/16      USD         687.50         11         (248

 

See Notes to Financial Statements.

 

     SEMI-ANNUAL REPORT    JUNE 30, 2016    93


Schedule of Investments (continued)      BlackRock Science and Technology Trust (BST)   

 

Description    Put/
Call
     Expiration
Date
    

Strike

Price

     Contracts      Value  

Amazon.com, Inc.

     Put         7/15/16         USD         690.00         6       $ (2,790

Apple, Inc.

     Put         7/15/16         USD         95.00         84         (8,316

Total

                  $ (2,061,216
                 

 

 

 

 

OTC Options Written

 

                                          
Description    Put/
Call
     Counterparty    Expiration
Date
  

Strike

Price

     Contracts      Value  

CDW Corp.

     Call       UBS AG    7/05/16    USD      43.44         12,300       $ (9

Flextronics International Ltd.

     Call       Goldman Sachs International    7/05/16    USD      12.56         12,600         (26

Sabre Corp.

     Call       Morgan Stanley & Co. International PLC    7/06/16    USD      28.51         23,000         (50

Sony Corp.

     Call       Morgan Stanley & Co. International PLC    7/06/16    JPY      2,961.08         24,400         (28,295

Stroeer SE & Co. KGaA

     Call       Deutsche Bank AG    7/06/16    EUR      49.72         9,400         (66

TechnoPro Holdings, Inc.

     Call       JPMorgan Chase Bank N.A.    7/06/16    JPY      3,422.10         30,000         (2,122

TechnoPro Holdings, Inc.

     Call       UBS AG    7/06/16    JPY      3,362.00         8,200         (1,129

Cogent Communications Holdings, Inc.

     Call       Citibank N.A.    7/07/16    USD      41.31         1,900         (271

Nintendo Co. Ltd.

     Call       Goldman Sachs International    7/07/16    JPY      15,620.25         9,000         (10,573

Sabre Corp.

     Call       Barclays Bank PLC    7/07/16    USD      29.20         23,000         (5

Six Flags Entertainment Corp.

     Call       Morgan Stanley & Co. International PLC    7/07/16    USD      58.50         25,300         (10,544

Win Semiconductors Corp.

     Call       Citibank N.A.    7/07/16    TWD      61.67         150,000         (18,051

Zayo Group Holdings, Inc.

     Call       UBS AG    7/08/16    USD      28.28         24,100         (6,696

CDW Corp.

     Call       Citibank N.A.    7/11/16    USD      41.61         9,000         (1,462

Digital Realty Trust, Inc.

     Call       Morgan Stanley & Co. International PLC    7/11/16    USD      92.20         15,000         (252,054

Lam Research Corp.

     Call       Deutsche Bank AG    7/11/16    USD      75.01         11,300         (102,381

Lumentum Holdings, Inc.

     Call       Barclays Bank PLC    7/11/16    USD      24.98         28,000         (9,940

TransUnion

     Call       Citibank N.A.    7/11/16    USD      32.04         9,000         (14,076

ASML Holding NV

     Call       Morgan Stanley & Co. International PLC    7/12/16    EUR      89.38         1,700         (2,821

Largan Precision Co. Ltd.

     Call       JPMorgan Chase Bank N.A.    7/12/16    TWD      2,363.85         4,000         (72,193

Largan Precision Co. Ltd.

     Call       JPMorgan Chase Bank N.A.    7/12/16    TWD      3,036.17         7,000         (11,477

Naspers Ltd., N Shares

     Call       UBS AG    7/12/16    ZAR      2,238.08         2,800         (11,112

Win Semiconductors Corp.

     Call       UBS AG    7/12/16    TWD      66.01         150,000         (7,022

REA Group Ltd.

     Call       UBS AG    7/13/16    AUD      56.36         6,800         (19,721

Scout24 AG

     Call       Morgan Stanley & Co. International PLC    7/13/16    EUR      35.84         2,800         (645

Taiwan Semiconductor Manufacturing Co. Ltd.

     Call       Morgan Stanley & Co. International PLC    7/13/16    TWD      154.75         291,000         (72,325

Auto Trader Group PLC

     Call       Morgan Stanley & Co. International PLC    7/14/16    GBP      4.05         65,000         (717

Flextronics International Ltd.

     Call       Morgan Stanley & Co. International PLC    7/14/16    USD      12.43         13,000         (565

Silicon Motion Technology Corp. — ADR

     Call       Morgan Stanley & Co. International PLC    7/14/16    USD      41.30         9,000         (58,349

Crown Castle International Corp.

     Call       Citibank N.A.    7/19/16    USD      91.57         18,100         (178,448

Luxoft Holding, Inc.

     Call       Deutsche Bank AG    7/19/16    USD      60.00         16,000         (2,146

TransUnion

     Call       UBS AG    7/19/16    USD      33.02         7,800         (8,338

Scout24 AG

     Call       Morgan Stanley & Co. International PLC    7/20/16    EUR      35.84         2,900         (1,841

TechnoPro Holdings, Inc.

     Call       JPMorgan Chase Bank N.A.    7/20/16    JPY      3,533.29         12,800         (2,050

Win Semiconductors Corp.

     Call       Morgan Stanley & Co. International PLC    7/20/16    TWD      67.31         170,000         (8,065

Xero Ltd.

     Call       UBS AG    7/20/16    NZD      19.37         13,000         (2,767

Intercontinental Exchange, Inc.

     Call       Deutsche Bank AG    7/21/16    USD      261.50         300         (620

Tencent Holdings Ltd.

     Call       Citibank N.A.    7/21/16    HKD      172.16         183,000         (175,471

Silergy Corp.

     Call       Morgan Stanley & Co. International PLC    7/22/16    TWD      370.67         30,000         (18,493

Microsemi Corp.

     Call       Goldman Sachs International    7/25/16    USD      33.63         8,000         (6,213

TransUnion

     Call       Société Générale    7/25/16    USD      33.38         10,500         (10,392

ASML Holding NV

     Call       Morgan Stanley & Co. International PLC    7/26/16    EUR      90.28         10,000         (21,034

ASML Holding NV

     Call       Morgan Stanley & Co. International PLC    7/26/16    EUR      92.14         2,300         (2,992

REA Group Ltd.

     Call       UBS AG    7/26/16    AUD      54.15         27,000         (122,798

Shopify, Inc., Class A

     Call       Morgan Stanley & Co. International PLC    7/26/16    USD      29.98         23,000         (42,414

Taiwan Semiconductor Manufacturing Co. Ltd.

     Call       JPMorgan Chase Bank N.A.    7/26/16    TWD      165.24         122,000         (7,980

CDW Corp.

     Call       Morgan Stanley & Co. International PLC    7/27/16    USD      43.45         12,800         (1,683

Scout24 AG

     Call       Morgan Stanley & Co. International PLC    7/27/16    EUR      35.60         6,500         (6,541

Adobe Systems, Inc.

     Call       UBS AG    7/29/16    USD      98.47         19,000         (19,805

Atlassian Corp. PLC, Class A

     Call       Deutsche Bank AG    7/29/16    USD      26.00         14,400         (13,676

Cogent Communications Holdings, Inc.

     Call       Citibank N.A.    7/29/16    USD      41.79         13,000         (6,365

 

See Notes to Financial Statements.

 

94    SEMI-ANNUAL REPORT    JUNE 30, 2016     


Schedule of Investments (continued)      BlackRock Science and Technology Trust (BST)   

 

Description    Put/
Call
     Counterparty      Expiration
Date
    

Strike

Price

     Contracts      Value  

Intercontinental Exchange, Inc.

     Call         Goldman Sachs International         7/29/16         USD         268.65         2,700       $ (5,403

Auto Trader Group PLC

     Call         Morgan Stanley & Co. International PLC         8/02/16         GBP         4.15         62,000         (2,418

BE Semiconductor Industries NV

     Call         Credit Suisse International         8/02/16         EUR         25.77         30,000         (18,947

Crown Castle International Corp.

     Call         Bank of America N.A.         8/02/16         USD         101.37         17,000         (26,445

Digital Realty Trust, Inc.

     Call         Morgan Stanley & Co. International PLC         8/02/16         USD         93.75         17,000         (259,848

Naspers Ltd., N Shares

     Call         UBS AG         8/02/16         ZAR         2,364.97         8,500         (25,306

Altium Ltd.

     Call         Deutsche Bank AG         8/03/16         AUD         6.23         56,000         (16,890

Altium Ltd.

     Call         Deutsche Bank AG         8/03/16         AUD         6.29         56,000         (15,254

Cogent Communications Holdings, Inc.

     Call         Citibank N.A.         8/03/16         USD         40.57         3,200         (3,702

DeNA Co. Ltd.

     Call         JPMorgan Chase Bank N.A.         8/03/16         JPY         2,343.90         28,000         (45,384

Nintendo Co. Ltd.

     Call         Goldman Sachs International         8/03/16         JPY         16,704.47         1,700         (2,536

Xero Ltd.

     Call         Morgan Stanley & Co. International PLC         8/03/16         NZD         19.75         4,356         (1,150

Xero Ltd.

     Call         UBS AG         8/03/16         NZD         19.04         7,200         (2,984

ASML Holding NV

     Call         Morgan Stanley & Co. International PLC         8/04/16         EUR         91.11         11,100         (25,463

Atlassian Corp. PLC, Class A

     Call         Bank of America N.A.         8/05/16         USD         26.05         14,400         (17,064

Stroeer SE & Co. KGaA

     Call         Goldman Sachs International         8/05/16         EUR         47.78         10,000         (8,382

Sabre Corp.

     Call         Morgan Stanley & Co. International PLC         8/08/16         USD         27.82         16,000         (10,549

Blackbaud, Inc.

     Call         Morgan Stanley & Co. International PLC         8/09/16         USD         67.88         10,000         (27,493

Fidelity National Information Services, Inc.

     Call         Citibank N.A.         8/09/16         USD         75.45         12,000         (16,159

Scout24 AG

     Call         Credit Suisse International         8/09/16         EUR         34.67         5,000         (6,254

Six Flags Entertainment Corp.

     Call         Morgan Stanley & Co. International PLC         8/09/16         USD         57.64         13,000         (28,176

Sony Corp.

     Call         JPMorgan Chase Bank N.A.         8/09/16         JPY         3,043.94         40,500         (67,358

Tencent Holdings Ltd.

     Call         Citibank N.A.         8/09/16         HKD         172.51         55,000         (59,827

Naspers Ltd., N Shares

     Call         UBS AG         8/10/16         ZAR         2,256.73         2,700         (17,184

Xero Ltd.

     Call         Morgan Stanley & Co. International PLC         8/12/16         NZD         18.58         3,600         (2,116

InterXion Holding NV

     Call         Barclays Bank PLC         8/15/16         USD         37.25         4,200         (4,756

Zendesk, Inc.

     Call         Deutsche Bank AG         8/16/16         USD         27.30         15,500         (26,994

Taiwan Semiconductor Manufacturing Co. Ltd.

     Call         UBS AG         8/17/16         TWD         160.93         96,000         (15,739

Auto Trader Group PLC

     Call         Morgan Stanley & Co. International PLC         8/23/16         GBP         4.31         65,000         (3,547

Silergy Corp.

     Call         Morgan Stanley & Co. International PLC         8/23/16         TWD         369.20         32,000         (29,357

Nintendo Co. Ltd.

     Call         Morgan Stanley & Co. International PLC         9/08/16         JPY         14,327.71         3,300         (38,176

Universal Display Corp.

     Call         Citibank N.A.         9/13/16         USD         65.55         8,000         (54,380

Flextronics International Ltd.

     Put         Morgan Stanley & Co. International PLC         7/14/16         USD         11.75         34,300         (6,670

ASML Holding NV

     Put         Morgan Stanley & Co. International PLC         7/26/16         EUR         84.99         6,400         (8,993

Auto Trader Group PLC

     Put         Citibank N.A.         7/26/16         GBP         3.76         109,000         (42,918

Total

                     $ (2,318,651
                    

 

 

 

 

      Transactions in Options Written for the Period Ended June 30, 2016

 

      Calls     Puts  
  

 

 

   

 

 

 
         Contracts     Premiums
Received
        Contracts     Premiums
Received
 

 

   

 

 

 

Outstanding options at beginning of period

     5,291,725      $ 4,168,452                 

Options written

         18,196,277        18,641,764        193,681      $ 347,375   

Options exercised

     (90     (6,568     (7,285     (95,000

Options expired

     (9,591,202     (6,603,458     (36,441     (140,936

Options closed

     (11,470,727     (11,958,746     (154     (62,061
  

 

 

   

 

 

 

Outstanding options at end of period

     2,425,983      $ 4,241,444        149,801      $ 49,378   
  

 

 

   

 

 

 

As of period end, the value of portfolio securities subject to covered call options written was $146,543,851.

 

See Notes to Financial Statements.

 

     SEMI-ANNUAL REPORT    JUNE 30, 2016    95


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 located in the Statements of Assets and Liabilities 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        —             —             $4,379,867           —             —           $ 4,379,867   
  

 

 

For the six months ended June 30, 2016, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

Net Realized Gain (Loss) from:   

    Commodity

    Contracts

  

Credit

Contracts

  

Equity

Contracts

    

Foreign

Currency

Exchange

Contracts

  

Interest

Rate

Contracts

   Total  

Options purchased1

       —       $ (5,993          $ (5,993

Options written

       —         2,488,920               2,488,920   
  

 

 

Total

       —       $ 2,482,927             $ 2,482,927   
  

 

 
                 
Net Change in Unrealized Appreciation (Depreciation) on:                                      

Options written

       —       $ (1,558,348          $ (1,558,348
  

 

 

 

  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 purchased2

   $ 5,993   

Average value of option contracts written

   $ 5,018,401   

 

  2   

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

                      —            $ 4,379,867   
  

 

 

 

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

        —                                (2,061,216
  

 

 

 

Total derivative assets and liabilities subject to an MNA

        —            $ 2,318,651   
  

 

 

 

 

See Notes to Financial Statements.

 

96    SEMI-ANNUAL REPORT    JUNE 30, 2016     


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

Pledged1

 

Cash

Collateral

Pledged1

 

Net Amount of      

Derivative Liabilities2      

Bank of America N.A.

    $ 43,509                                 $ 43,509  

Barclays Bank PLC

      14,701                                   14,701  

Citibank N.A.

      571,130                                   571,130  

Credit Suisse International

      25,201                                   25,201  

Deutsche Bank AG

      178,027                         $ (10,000 )       168,027  

Goldman Sachs International

      33,133                 $ (33,133 )                

JPMorgan Chase Bank N.A.

      208,564                                   208,564  

Morgan Stanley & Co. International PLC

      973,384                           (930,000 )       43,384  

Société Générale

      10,392                                   10,392  

UBS AG

      260,610                           (260,610 )        

Total

    $ 2,318,651                 $ (33,133 )     $ (1,200,610 )     $ 1,084,908  

 

  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:

                 

Automobiles

   $ 1,952,976                             $ 1,952,976   

Communications Equipment

     1,640,760                               1,640,760   

Diversified Financial Services

     2,226,852                               2,226,852   

Diversified Telecommunication Services

     4,823,508                               4,823,508   

Electronic Equipment, Instruments & Components

     9,855,844         $ 3,051,947                     12,907,791   

Hotels, Restaurants & Leisure

     4,044,910                               4,044,910   

Household Durables

               3,930,228                     3,930,228   

Internet & Catalog Retail

     33,397,732           83,947                     33,481,679   

Internet Software & Services

     66,739,125           23,629,341                     90,368,466   

IT Services

     46,306,508                               46,306,508   

Media

     5,391,940           11,273,685                     16,665,625   

Professional Services

     2,611,664           2,892,755                     5,504,419   

Real Estate Investment Trusts (REITs)

     26,942,985                               26,942,985   

Semiconductors & Semiconductor Equipment

     40,294,689           20,909,619                     61,204,308   

Software

     63,889,602           8,961,947                     72,851,549   

Technology Hardware, Storage & Peripherals

     18,689,801           4,234,194                     22,923,995   

Preferred Stocks

                       $ 15,524,912           15,524,912   

Short-Term Securities

     1,959,043           1,763,760                     3,722,803   
  

 

 

 

Total

   $             330,767,939         $             80,731,423         $     15,524,912         $             427,024,274   
  

 

 

 
                 
      Level 1        Level 2        Level 3        Total  

Derivative Financial Instruments1

                 

Liabilities:

                 

Equity contracts

   $ (1,818,412      $ (2,561,455                $ (4,379,867
  

 

 

 

 

  1  

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

 

See Notes to Financial Statements.

 

     SEMI-ANNUAL REPORT    JUNE 30, 2016    97


Schedule of Investments (continued)      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 statement 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

   $ 54,490                      $ 54,490   

Cash pledged as collateral for exchange-traded options written

     2,066,662                        2,066,662   

Cash pledged as collateral for OTC derivatives

     1,550,000                        1,550,000   

Liabilities:

          

Collateral on securities loaned at value

           $ (1,763,760             (1,763,760
  

 

 

 

Total

   $             3,671,152       $             (1,763,760           $             1,907,392   
  

 

 

 
          
     

    Transfers into

    Level 1

    

Transfers out of

Level 11

   

Transfers into

Level 21

    

Transfers out of

Level 2

 

Assets:

          

Long-Term Investments:

          

Common Stocks

             $                (24,886,725     $                24,886,725           
  

 

 

 

 

  1   

External pricing service used to reflect any significant market movements between the time the Trust valued such foreign securities and the earlier closing of foreign markets.

A reconciliation of Level 3 investments 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, 2015

     $15,696,540   

Transfers into Level 3

       

Transfers out of Level 3

       

Accrued discounts/premiums

       

Net realized gain (loss)

       

Net change in unrealized appreciation/depreciation1,2

     (171,628

Purchases

       

Sales

       
  

 

 

 

Closing Balance, as of June 30, 2016

     $15,524,912   
  

 

 

 

Net change in unrealized appreciation/depreciation on investments still held at June 30, 20162

             $    (171,628
  

 

 

 

 

  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 June 30, 2016 is generally due to investments no longer held or categorized as Level 3 at period end.

 

See Notes to Financial Statements.

 

98    SEMI-ANNUAL REPORT    JUNE 30, 2016     


Schedule of Investments (concluded)      BlackRock Science and Technology Trust (BST)   

 

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

    $15,524,912       Market Comparables    Priced to new financing round1                
        Revenue Multiple1      4.33x           
        Revenue Growth Rate1      99.00%           
     Probability-Weighted Expected Return Model    Discount Rate2      25.00%           
        IPO Exit Probability1      70.00% - 80.00%         71.73%   
        Merger and Acquisition Probability1      15.00% - 25.00%         23.27%   
        Revenue Growth Rate1      28.00% - 80.00%         51.40%   
        Revenue Growth Rate1      253.00%           
        Revenue Multiple1      5.00x - 20.70x         11.28x   
        Revenue Multiple1      10.50x - 62.50x           
        Time to Exit2      1-3 years           
 

 

 

 

Total

        $15,524,912               
 

 

 

 

 

  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.

 

     SEMI-ANNUAL REPORT    JUNE 30, 2016    99


Schedule of Investments June 30, 2016 (Unaudited)      BlackRock Utility and Infrastructure Trust (BUI)   
     (Percentages shown are based on Net Assets)   

 

Common Stocks    Shares      Value  

Construction & Engineering — 3.2%

     

Ferrovial SA

     432,700       $ 8,471,423   

Vinci SA

     41,100         2,900,311   
     

 

 

 
                11,371,734   

Diversified Telecommunication Services — 1.9%

     

SBA Communications Corp., Class A (a)(b)

     22,500         2,428,650   

Verizon Communications, Inc. (c)

     79,500         4,439,280   
     

 

 

 
                6,867,930   

Electric Utilities — 24.7%

     

American Electric Power Co., Inc.

     96,800         6,784,712   

Duke Energy Corp. (c)

     177,168         15,199,243   

Edison International (c)

     109,400         8,497,098   

El Paso Electric Co.

     36,900         1,744,263   

Enel SpA

     923,947         4,101,834   

Eversource Energy (c)

     80,900         4,845,910   

Exelon Corp. (c)

     306,600         11,147,976   

Iberdrola SA

     198,600         1,354,769   

NextEra Energy, Inc. (b)

     168,900         22,024,560   

Pinnacle West Capital Corp. (c)

     47,000         3,809,820   

PPL Corp.

     115,400         4,356,350   

Xcel Energy, Inc.

     91,700         4,106,326   
     

 

 

 
                87,972,861   

Gas Utilities — 2.4%

     

New Jersey Resources Corp.

     57,000         2,197,350   

Snam SpA

     743,800         4,446,775   

Spire, Inc. (c)

     27,400         1,941,016   
     

 

 

 
                8,585,141   

Independent Power and Renewable Electricity Producers — 4.0%

  

  

EDP Renovaveis SA

     342,100         2,574,984   

NextEra Energy Partners LP

     130,100         3,952,438   

NRG Yield, Inc., Class A

     173,400         2,639,148   

NRG Yield, Inc., Class C

     173,400         2,703,306   

Pattern Energy Group, Inc. (c)

     103,500         2,377,395   
     

 

 

 
                14,247,271   

Multi-Utilities — 22.0%

     

CMS Energy Corp. (b)(c)

     446,300         20,467,318   

Dominion Resources, Inc. (c)

     215,100         16,762,741   

DTE Energy Co. (c)

     44,214         4,382,492   

National Grid PLC

     184,900         2,719,029   

NiSource, Inc. (c)

     133,900         3,551,028   

NorthWestern Corp. (c)

     45,792         2,888,101   

Public Service Enterprise Group, Inc. (c)

     241,056         11,235,620   

Sempra Energy (c)

     83,800         9,554,876   

Veolia Environnement SA

     101,800         2,198,342   

WEC Energy Group, Inc. (c)

     70,600         4,610,180   
     

 

 

 
                78,369,727   

Oil, Gas & Consumable Fuels — 18.9%

     

Antero Midstream Partners LP

     78,200         2,179,434   

Columbia Pipeline Group, Inc. (a)

     123,900         3,158,211   

Columbia Pipeline Partners LP (c)

     76,300         1,144,500   

Delek Logistics Partners LP (c)

     29,700         793,287   

Dominion Midstream Partners LP

     289,900         8,154,887   

Enbridge, Inc. (c)

     96,200         4,075,032   

Energy Transfer Partners LP (c)

     42,296         1,610,209   

Enterprise Products Partners LP (c)

     177,354         5,189,378   

EQT Midstream Partners LP (c)

     28,600         2,296,580   

GasLog Partners LP

     5,100         96,798   

Genesis Energy LP

     114,869         4,407,524   

Magellan Midstream Partners LP (c)

     59,300         4,506,800   

MPLX LP (c)

     108,119         3,636,042   

ONEOK Partners LP (c)

     62,545         2,505,553   
Common Stocks    Shares      Value  

Oil, Gas & Consumable Fuels (continued)

     

ONEOK, Inc.

     8,300       $ 393,835   

Phillips 66 Partners LP

     42,300         2,363,301   

Plains All American Pipeline LP (c)

     87,570         2,407,299   

Rose Rock Midstream LP

     20,800         548,912   

Shell Midstream Partners LP (c)

     270,810         9,150,670   

Sunoco Logistics Partners LP (c)

     78,800         2,265,500   

Targa Resources Corp. (c)

     15,800         665,812   

Tesoro Logistics LP (c)

     33,658         1,667,081   

Valero Energy Partners LP (c)

     36,300         1,706,463   

Western Gas Partners LP (c)

     18,814         948,226   

Williams Partners LP (c)

     39,815         1,379,192   
     

 

 

 
                67,250,526   

Real Estate Investment Trusts (REITs) — 3.1%

     

American Tower Corp. (b)(c)

     53,300         6,055,413   

Crown Castle International Corp. (c)

     51,100         5,183,073   
     

 

 

 
                11,238,486   

Road & Rail — 0.3%

     

East Japan Railway Co.

     9,900         917,466   

Transportation Infrastructure — 15.2%

     

Abertis Infraestructuras SA

     401,400         5,931,750   

Aeroports de Paris

     38,400         4,207,529   

Atlantia SpA

     489,884         12,239,778   

China Merchants Holdings International Co. Ltd.

     250,000         669,250   

Flughafen Zuerich AG

     32,500         5,751,557   

Fraport AG Frankfurt Airport Services Worldwide

     29,100         1,558,047   

Groupe Eurotunnel SE

     358,200         3,783,575   

Japan Airport Terminal Co. Ltd. (d)

     63,500         2,303,860   

Sydney Airport (e)

     1,491,766         7,789,486   

Transurban Group (e)

     1,119,600         10,083,992   
     

 

 

 
                54,318,824   

Water Utilities — 3.8%

     

American Water Works Co., Inc. (c)

     158,900         13,428,639   

Total Long-Term Investments

     

(Cost — $271,981,923) — 99.5%

              354,568,605   
     
Short-Term Securities                

BlackRock Liquidity Funds, TempFund, Institutional Class, 0.40% (f)(g)

     5,911,111         5,911,111   
     

Beneficial

Interest

(000)

         

BlackRock Liquidity Series, LLC Money Market Series, 0.59% (f)(g)(h)

   $ 887         887,226   

Total Short-Term Securities

     

(Cost — $6,798,337) — 1.9%

              6,798,337   

Total Investments Before Options Written

     

(Cost — $278,780,260) — 101.4%

              361,366,942   
     
Options Written                

(Premiums Received — $2,623,021) — (1.4)%

              (5,036,675

Total Investments Net of Options Written — 100.0%

  

     356,330,267   

Liabilities in Excess of Other Assets — 0.0%

        (129,143
     

 

 

 

Net Assets — 100.0%

      $ 356,201,124   
     

 

 

 
 

 

See Notes to Financial Statements.

 

100    SEMI-ANNUAL REPORT    JUNE 30, 2016     


Schedule of Investments (continued)      BlackRock Utility and Infrastructure Trust (BUI)   

 

 

      Notes to Schedule of Investments

 

(a) Non-income producing security.

 

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

 

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

 

(d) Security, or a portion of security, is on loan.

 

(e) A security contractually bound to one or more other securities to form a single saleable unit which cannot be sold separately.

 

(f) During the six months ended June 30, 2016, 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,

2015

    

Net

Activity

   

Shares/

Beneficial Interest

Held at

June 30,

2016

    

    Value at

    June 30,

    2016

     Income  

BlackRock Liquidity Funds, TempFund, Institutional Class

     8,391,615         (2,480,504     5,911,111         $5,911,111         $17,285   

BlackRock Liquidity Series, LLC Money Market Series

                    $   887,226         $   887,226         $  9,759 1 

Total

                 $6,798,337         $27,044   
          

 

 

 

 

  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.

 

(g) Current yield as of period end.

 

(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 adviser. 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  

American Tower Corp.

     Call         7/01/16      USD      107.00           56         $ (34,720

Enterprise Products Partners LP

     Call         7/01/16      USD      28.50           54           (4,050

Eversource Energy

     Call         7/01/16      USD      57.60           142           (32,672

Verizon Communications, Inc.

     Call         7/01/16      USD      50.50           33           (17,242

Delek Logistics Partners LP

     Call         7/06/16      USD      27.01           51           (3,131

American Tower Corp.

     Call         7/08/16      USD      107.00           56           (33,320

Enterprise Products Partners LP

     Call         7/08/16      USD      28.00           94           (12,455

Enterprise Products Partners LP

     Call         7/08/16      USD      28.50           162           (14,985

Verizon Communications, Inc.

     Call         7/08/16      USD      50.50           32           (16,720

Crown Castle International Corp.

     Call         7/15/16      USD      95.00           38           (24,320

Dominion Resources, Inc.

     Call         7/15/16      USD      72.50           282           (152,280

DTE Energy Co.

     Call         7/15/16      USD      95.00           100           (43,500

Duke Energy Corp.

     Call         7/15/16      USD      80.00           311           (181,935

Enbridge, Inc.

     Call         7/15/16      USD      42.50           168           (11,340

Energy Transfer Partners LP

     Call         7/15/16      USD      39.00           66           (4,785

Enterprise Products Partners LP

     Call         7/15/16      USD      28.00           94           (13,395

EQT Midstream Partners LP

     Call         7/15/16      USD      75.00           50           (28,000

Exelon Corp.

     Call         7/15/16      USD      35.00           268           (38,860

Magellan Midstream Partners LP

     Call         7/15/16      USD      72.50           103           (40,685

MPLX LP

     Call         7/15/16      USD      35.00           126           (5,040

NiSource, Inc.

     Call         7/15/16      USD      25.00           233           (34,950

ONEOK Partners LP

     Call         7/15/16      USD      40.00           146           (14,600

Pinnacle West Capital Corp.

     Call         7/15/16      USD      72.90           164           (134,067

Plains All American Pipeline LP

     Call         7/15/16      USD      27.00           77           (7,892

Sempra Energy

     Call         7/15/16      USD      110.00           117           (47,970

Shell Midstream Partners LP

     Call         7/15/16      USD      35.00           423           (14,805

Targa Resources Corp.

     Call         7/15/16      USD      44.00           55           (3,850

Tesoro Logistics LP

     Call         7/15/16      USD      50.00           59           (5,458

Valero Energy Partners LP

     Call         7/15/16      USD      45.00           64           (15,520

Williams Partners LP

     Call         7/15/16      USD      32.50           70           (18,375

American Tower Corp.

     Call         7/22/16      USD      109.00           74           (36,630

American Water Works Co., Inc.

     Call         7/22/16      USD      74.00           145           (152,725

 

See Notes to Financial Statements.

 

     SEMI-ANNUAL REPORT    JUNE 30, 2016    101


Schedule of Investments (continued)      BlackRock Utility and Infrastructure Trust (BUI)   

 

Description    Put/
Call
      

Expiration

Date

      

Strike

Price

       Contracts        Value  

Enterprise Products Partners LP

     Call           7/22/16           USD         28.00           108         $ (15,390

Verizon Communications, Inc.

     Call           7/22/16           USD         51.00           33           (14,932

Dominion Resources, Inc.

     Call           7/27/16           USD         71.10           283           (194,510

Edison International

     Call           7/29/16           USD         74.00           187           (73,906

Enterprise Products Partners LP

     Call           7/29/16           USD         28.50           108           (13,500

Verizon Communications, Inc.

     Call           7/29/16           USD         52.00           147           (54,390

Exelon Corp.

     Call           8/01/16           USD         35.50           150           (9,150

Sempra Energy

     Call           8/01/16           USD         112.01           116           (39,381

NorthWestern Corp.

     Call           8/02/16           USD         63.76           80           (4,240

Verizon Communications, Inc.

     Call           8/05/16           USD         55.00           33           (4,191

Eversource Energy

     Call           8/08/16           USD         55.50           141           (67,818

Exelon Corp.

     Call           8/08/16           USD         35.00           299           (49,984

NorthWestern Corp.

     Call           8/10/16           USD         63.76           80           (5,200

American Water Works Co., Inc.

     Call           8/12/16           USD         78.02           148           (96,052

CMS Energy Corp.

     Call           8/12/16           USD         43.75           693           (148,544

Delek Logistics Partners LP

     Call           8/15/16           USD         27.00           52           (8,658

Duke Energy Corp.

     Call           8/17/16           USD         82.60           309           (99,483

Columbia Pipeline Partners LP

     Call           8/19/16           USD         15.00           90           (8,100

DTE Energy Co.

     Call           8/19/16           USD         100.00           64           (11,200

Edison International

     Call           8/19/16           USD         77.50           195           (41,925

Enbridge, Inc.

     Call           8/19/16           USD         42.50           168           (23,100

EQT Midstream Partners LP

     Call           8/19/16           USD         80.00           50           (16,500

MPLX LP

     Call           8/19/16           USD         35.00           252           (27,090

Pattern Energy Group, Inc.

     Call           8/19/16           USD         22.50           226           (32,205

Plains All American Pipeline LP

     Call           8/19/16           USD         27.50           76           (10,450

Public Service Enterprise Group, Inc.

     Call           8/19/16           USD         45.00           161           (36,225

Sunoco Logistics Partners LP

     Call           8/19/16           USD         29.00           75           (9,562

WEC Energy Group, Inc.

     Call           8/19/16           USD         65.00           275           (41,250

Western Gas Partners LP

     Call           8/19/16           USD         55.00           65           (5,525

Public Service Enterprise Group, Inc.

     Call           9/16/16           USD         45.00           100           (23,500

Spire, Inc.

     Call           9/16/16           USD         70.00           95           (13,300

Total

                          $ (2,399,538
                         

 

 

 

 

OTC Options Written

 

 
Description   

Put/

Call

     Counterparty     

Expiration

Date

    

Strike

Price

       Contracts        Value  

El Paso Electric Co.

     Call       Goldman Sachs International      7/05/16      USD      45.48           12,900         $ (23,269

East Japan Railway Co.

     Call       Morgan Stanley & Co. International PLC      7/06/16      JPY      10,079.97           3,500           (729

EDP Renovaveis SA

     Call       UBS AG      7/06/16      EUR      6.72           13,200           (1,657

NextEra Energy Partners LP

     Call       Goldman Sachs International      7/06/16      USD      28.40           22,500           (44,676

Public Service Enterprise Group, Inc.

     Call       Goldman Sachs International      7/06/16      USD      44.69           9,900           (19,063

Snam SpA

     Call       Credit Suisse International      7/06/16      EUR      5.21           140,000           (30,043

Sydney Airport

     Call       UBS AG      7/06/16      AUD      6.67           303,000           (79,103

Ferrovial SA

     Call       Bank of America N.A.      7/07/16      EUR      19.31           75,900           (68

New Jersey Resources Corp.

     Call       Citibank N.A.      7/07/16      USD      36.15           10,000           (24,067

NiSource, Inc.

     Call       Morgan Stanley & Co. International PLC      7/07/16      USD      24.27           23,500           (52,868

Xcel Energy, Inc.

     Call       Barclays Bank PLC      7/07/16      USD      40.44           16,000           (69,538

ONEOK Partners LP

     Call       UBS AG      7/11/16      USD      36.47           7,200           (26,958

CMS Energy Corp.

     Call       Bank of America N.A.      7/12/16      USD      41.00           32,400           (157,676

EDP Renovaveis SA

     Call       Bank of America N.A.      7/12/16      EUR      6.69           23,500           (4,127

Snam SpA

     Call       Goldman Sachs International      7/12/16      EUR      5.21           60,300           (13,565

Transurban Group

     Call       Bank of America N.A.      7/12/16      AUD      12.16           95,000           (10,958

Valero Energy Partners LP

     Call       Bank of America N.A.      7/12/16      USD      48.78           6,300           (2,680

American Water Works Co., Inc.

     Call       UBS AG      7/13/16      USD      77.24           26,300           (191,675

Dominion Midstream Partners LP

     Call       Credit Suisse International      7/13/16      USD      29.08           14,100           (6,052

Enel SpA

     Call       UBS AG      7/13/16      EUR      4.12           73,000           (3,285

Ferrovial SA

     Call       UBS AG      7/13/16      EUR      19.19           75,900           (1,089

Groupe Eurotunnel SE

     Call       Morgan Stanley & Co. International PLC      7/13/16      EUR      11.83           89,500           (2,286

Abertis Infraestructuras SA

     Call       UBS AG      7/14/16      EUR      13.89           113,400           (16,862

Aeroports de Paris

     Call       Credit Suisse International      7/14/16      EUR      109.51           5,200           (274

Fraport AG Frankfurt Airport Services Worldwide

     Call       UBS AG      7/14/16      EUR      52.89           10,200           (936

 

See Notes to Financial Statements.

 

102    SEMI-ANNUAL REPORT    JUNE 30, 2016     


Schedule of Investments (continued)      BlackRock Utility and Infrastructure Trust (BUI)   

 

Description   

Put/

Call

     Counterparty     

Expiration

Date

    

Strike

Price

       Contracts        Value  

National Grid PLC

     Call       UBS AG      7/14/16        GBP         10.15           64,800         $ (78,093

Crown Castle International Corp.

     Call       Citibank N.A.      7/19/16        USD         91.57           4,000           (39,436

EDP Renovaveis SA

     Call       Bank of America N.A.      7/19/16        EUR         6.69           23,500           (4,666

Phillips 66 Partners LP

     Call       Bank of America N.A.      7/19/16        USD         53.98           7,400           (20,834

American Electric Power Co., Inc.

     Call       Barclays Bank PLC      7/20/16        USD         67.53           11,000           (28,867

New Jersey Resources Corp.

     Call       Citibank N.A.      7/20/16        USD         37.50           10,000           (13,854

Snam SpA

     Call       Credit Suisse International      7/20/16        EUR         5.08           60,000           (22,191

Sydney Airport

     Call       UBS AG      7/20/16        AUD         7.25           109,700           (5,079

Transurban Group

     Call       UBS AG      7/20/16        AUD         12.12           95,000           (16,062

Dominion Resources, Inc.

     Call       Goldman Sachs International      7/21/16        USD         72.16           18,700           (108,686

PPL Corp.

     Call       Morgan Stanley & Co. International PLC      7/21/16        USD         38.75           40,400           (8,517

SBA Communications Corp., Class A

     Call       Barclays Bank PLC      7/21/16        USD         101.23           8,000           (56,723

Vinci SA

     Call       UBS AG      7/21/16        EUR         64.58           6,500           (7,515

China Merchants Holdings International Co. Ltd.

     Call       JPMorgan Chase Bank N.A.      7/22/16        HKD         22.15           44,000           (962

Genesis Energy LP

     Call       Bank of America N.A.      7/25/16        USD         38.00           20,000           (28,988

Sunoco Logistics Partners LP

     Call       UBS AG      7/25/16        USD         27.45           20,000           (35,951

Antero Midstream Partners LP

     Call       UBS AG      7/26/16        USD         26.47           13,600           (30,876

EDP Renovaveis SA

     Call       Morgan Stanley & Co. International PLC      7/26/16        EUR         6.93           18,000           (1,790

Exelon Corp.

     Call       Morgan Stanley & Co. International PLC      7/26/16        USD         35.44           35,600           (43,820

NextEra Energy Partners LP

     Call       UBS AG      7/26/16        USD         29.17           23,000           (33,656

NextEra Energy, Inc.

     Call       Citibank N.A.      7/26/16        USD         129.50           18,500           (46,657

Public Service Enterprise Group, Inc.

     Call       Deutsche Bank AG      7/26/16        USD         45.44           32,100           (45,055

Veolia Environnement SA

     Call       Morgan Stanley & Co. International PLC      7/26/16        EUR         20.84           25,700           (3,077

CMS Energy Corp.

     Call       Deutsche Bank AG      7/27/16        USD         45.14           21,500           (26,705

American Electric Power Co., Inc.

     Call       Deutsche Bank AG      7/28/16        USD         64.64           22,800           (125,775

Dominion Midstream Partners LP

     Call       Bank of America N.A.      7/28/16        USD         30.10           16,900           (8,075

Pattern Energy Group, Inc.

     Call       Deutsche Bank AG      7/29/16        USD         21.68           13,600           (21,908

Abertis Infraestructuras SA

     Call       Morgan Stanley & Co. International PLC      8/02/16        EUR         13.86           34,000           (7,410

Aeroports de Paris

     Call       Morgan Stanley & Co. International PLC      8/02/16        EUR         109.35           3,700           (695

Atlantia SpA

     Call       Credit Suisse International      8/02/16        EUR         24.13           50,000           (8,684

Atlantia SpA

     Call       UBS AG      8/02/16        EUR         22.22           71,200           (42,771

Crown Castle International Corp.

     Call       Bank of America N.A.      8/02/16        USD         101.37           10,000           (15,556

Dominion Midstream Partners LP

     Call       Deutsche Bank AG      8/02/16        USD         27.51           15,000           (21,893

EDP Renovaveis SA

     Call       Credit Suisse International      8/02/16        EUR         7.12           13,300           (822

Enel SpA

     Call       Credit Suisse International      8/02/16        EUR         4.25           91,600           (4,412

NextEra Energy, Inc.

     Call       Deutsche Bank AG      8/03/16        USD         124.50           19,000           (115,812

Sydney Airport

     Call       JPMorgan Chase Bank N.A.      8/03/16        AUD         7.39           109,700           (4,286

Public Service Enterprise Group, Inc.

     Call       UBS AG      8/05/16        USD         45.49           16,200           (28,123

Xcel Energy, Inc.

     Call       Citibank N.A.      8/08/16        USD         42.35           16,000           (42,063

Atlantia SpA

     Call       Morgan Stanley & Co. International PLC      8/09/16        EUR         22.61           50,000           (40,393

EDP Renovaveis SA

     Call       Morgan Stanley & Co. International PLC      8/09/16        EUR         6.72           14,100           (3,498

Enel SpA

     Call       Credit Suisse International      8/09/16        EUR         3.95           78,700           (15,443

Iberdrola SA

     Call       Credit Suisse International      8/09/16        EUR         6.11           33,000           (5,178

Transurban Group

     Call       UBS AG      8/09/16        AUD         12.14           106,100           (25,690

NextEra Energy, Inc.

     Call       Morgan Stanley & Co. International PLC      8/10/16        USD         130.01           21,600           (44,762

Dominion Midstream Partners LP

     Call       Bank of America N.A.      8/11/16        USD         30.18           19,500           (17,598

Enel SpA

     Call       Goldman Sachs International      8/11/16        EUR         4.03           40,000           (5,381

Magellan Midstream Partners LP

     Call       Morgan Stanley & Co. International PLC      8/11/16        USD         73.80           10,400           (35,732

Williams Partners LP

     Call       Bank of America N.A.      8/12/16        USD         33.50           6,900           (17,409

EDP Renovaveis SA

     Call       Credit Suisse International      8/16/16        EUR         6.79           14,000           (3,135

Energy Transfer Partners LP

     Call       Citibank N.A.      8/16/16        USD         38.50           8,200           (11,676

Sempra Energy

     Call       Bank of America N.A.      8/16/16        USD         109.40           6,000           (30,153

Tesoro Logistics LP

     Call       Deutsche Bank AG      8/16/16        USD         48.00           5,800           (16,559

Antero Midstream Partners LP

     Call       Bank of America N.A.      8/17/16        USD         26.70           13,700           (31,399

Iberdrola SA

     Call       Deutsche Bank AG      8/17/16        EUR         5.89           36,500           (13,762

Shell Midstream Partners LP

     Call       Citibank N.A.      8/18/16        USD         34.35           10,700           (16,521

Phillips 66 Partners LP

     Call       Credit Suisse International      8/22/16        USD         55.34           7,400           (13,225

 

See Notes to Financial Statements.

 

     SEMI-ANNUAL REPORT    JUNE 30, 2016    103


Schedule of Investments (continued)      BlackRock Utility and Infrastructure Trust (BUI)   

 

Description   

Put/

Call

     Counterparty     

Expiration

Date

      

Strike

Price

       Contracts        Value  

China Merchants Holdings International Co. Ltd.

     Call       JPMorgan Chase Bank N.A.        8/23/16           HKD         21.17           44,000         $ (4,447

Flughafen Zuerich AG

     Call       Morgan Stanley & Co. International PLC        8/23/16           CHF         174.42           6,000           (26,910

Vinci SA

     Call       Goldman Sachs International        8/23/16           EUR         66.03           7,800           (10,754

Transurban Group

     Call       Citibank N.A.        8/24/16           AUD         12.03           95,700           (31,344

Dominion Midstream Partners LP

     Call       Bank of America N.A.        8/25/16           USD         29.50           15,000           (20,419

Genesis Energy LP

     Call       UBS AG        8/25/16           USD         37.70           20,000           (39,585

Veolia Environnement SA

     Call       Morgan Stanley & Co. International PLC        8/25/16           EUR         19.80           10,000           (7,023

CMS Energy Corp.

     Call       Deutsche Bank AG        8/29/16           USD         43.82           33,000           (74,406

Dominion Midstream Partners LP

     Call       Bank of America N.A.        9/08/16           USD         29.60           20,900           (32,725

Shell Midstream Partners LP

     Call       Deutsche Bank AG        9/12/16           USD         33.26           41,700           (102,161

Total

                             $ (2,637,137
                            

 

 

 

 

      Transactions in Options Written for the Period Ended June 30, 2016

 

      Calls          Puts  
     Contracts    

Premiums    

Received    

        Contracts     

Premiums

Received

 

 

     

 

 

 

Outstanding options at beginning of year

     3,321,328      $ 2,174,098                       

Options written

       12,544,469        9,965,123                       

Options exercised

     (133     (13,502)                      

Options expired

     (5,273,624     (2,886,552)                      

Options closed

     (7,309,868     (6,616,146)                      
  

 

 

     

 

 

 

Outstanding options at end of year

     3,282,172      $ 2,623,021                       
  

 

 

     

 

 

 

As of period end, the value of portfolio securities subject to covered call options written was $117,540,814.

 

      Derivative Financial Instruments Categorized by Risk Exposure

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

 

               

Commodity

Contracts

    

Credit

Contracts

    

Equity

Contracts

      

Foreign

Currency

Exchange

Contracts

    

Interest

Rate

Contracts

     Total  
Liabilities — Derivative Financial Instruments                                                    

Options written

     Options written, at value      —        —        $ 5,036,675         —        —        $ 5,036,675   
    

 

 

For the six months ended June 30, 2016, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

Net Realized Gain (Loss) from:   

Commodity

Contracts

  

Credit

Contracts

  

Equity

Contracts

   

Foreign

Currency

Exchange

Contracts

  

Interest

Rate

Contracts

   Total  

Options written

   —      —      $ (3,154,907   —      —      $ (3,154,907
  

 

 
                
Net Change in Unrealized Appreciation (Depreciation) on:                                       

Options written

   —      —      $ (1,695,678   —      —      $ (1,695,678
  

 

 

 

      Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Options:

        

Average value of option contracts written

     $4,711,363   

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.

 

104    SEMI-ANNUAL REPORT    JUNE 30, 2016     


Schedule of Investments (continued)      BlackRock Utility and Infrastructure Trust (BUI)   

 

 

      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

        —            $ 5,036,675   
  

 

 

 

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

        —              (2,399,538
  

 

 

 

Total derivative assets and liabilities subject to an MNA

        —            $ 2,637,137   
  

 

 

 

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.

    $ 403,331                                  $ 403,331        

Barclays Bank PLC

      155,128                                    155,128        

Citibank N.A.

      225,618                 $ (225,618 )                —        

Credit Suisse International

      109,459                   (109,459 )                —        

Deutsche Bank AG

      564,036                   (342,784 )                221,252        

Goldman Sachs International

      225,394                   (225,394 )                —        

JPMorgan Chase Bank N.A.

      9,695                                    9,695        

Morgan Stanley & Co. International PLC

      279,510                   (279,510 )                —        

UBS AG

      664,966                   (563,846 )                101,120        

Total

    $ 2,637,137                 $ (1,746,611 )              $ 890,526        

 

  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

              $ 11,371,734                   $ 11,371,734  

Diversified Telecommunication Services

     $ 6,867,930                              6,867,930  

Electric Utilities

       82,516,258          5,456,603                     87,972,861  

Gas Utilities

       4,138,366          4,446,775                     8,585,141  

Independent Power and Renewable Electricity Producers

       11,672,287          2,574,984                     14,247,271  

Multi-Utilities

       73,452,356          4,917,371                     78,369,727  

Oil, Gas & Consumable Fuels

       67,250,526                              67,250,526  

Real Estate Investment Trusts (REITs)

       11,238,486                              11,238,486  

Road & Rail

                917,466                     917,466  

Transportation Infrastructure

                54,318,824                     54,318,824  

Water Utilities

       13,428,639                              13,428,639  

Short-Term Securities

       5,911,111          887,226                     6,798,337  
    

 

 

 

Total

     $                 276,475,959        $                 84,890,983                   $                 361,366,942  
    

 

 

 

 

See Notes to Financial Statements.

 

     SEMI-ANNUAL REPORT    JUNE 30, 2016    105


Schedule of Investments (concluded)      BlackRock Utility and Infrastructure Trust (BUI)   

 

 

      Level 1   Level 2              Level 3                  Total

Derivative Financial Instruments1

                      

Liabilities:

                      

Equity contracts

     $                 (1,280,017 )     $                 (3,756,658 )                   $                 (5,036,675 )
    

 

 

 

 

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

    

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:

                      

Cash

     $ 35,532                             $ 35,532  

Foreign currency at value

       11,895                               11,895  

Liabilities:

                      

Collateral on securities loaned at value

             $ (887,226 )                     (887,226 )
    

 

 

 

Total

     $           47,427       $        (887,226 )                   $        (839,799 )
    

 

 

 

During the six months ended June 30, 2016, there were no transfers between levels.

 

See Notes to Financial Statements.

 

106    SEMI-ANNUAL REPORT    JUNE 30, 2016     


Statements of Assets and Liabilities         

 

June 30, 2016 (Unaudited)   

      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

           $ 445,417,891          $ 616,496,525          $ 1,652,094,925          $ 930,582,175          $ 272,191,512      

Investments at value — affiliated3

       21,613,354            9,391,637            11,882,407            16,747,095            9,742,676      

Cash pledged as collateral for OTC derivatives

                  420,000            98,000                       —      

Foreign currency at value4

       9,619            1,881            1,695            888,290            1,088      

Receivables:

                                

Investments sold

                  12,729,293            11,020,356            2,444,017            2,191,011      

Options written

       301,697            475,769            1,282,420            777,830            210,161      

Dividends — unaffiliated

       485,287            509,668            2,976,605            2,093,397            287,199      

Dividends — affiliated

       3,142            4,877            1,867            4,146            4,718      

Securities lending income — affiliated

                                        4,316            142      

Unrealized appreciation on forward foreign currency exchange contracts

                                        109,407            —      

Prepaid offering costs

                                                   32,130      

Other assets

       15,668            23,385            52,201            48,040            13,272      
    

 

 

 

Total assets

       467,846,658            640,053,035            1,679,410,476            953,698,713            284,673,909      
    

 

 

 
                                
        Liabilities                                                               

Bank overdraft

       4,868                       1,790                       —      

Options written at value5

       6,247,202            6,439,419            22,729,496            12,825,445            2,593,549      

Collateral on securities loaned at value

                                        1,705,953            156,732      

Payables:

                                

Investments purchased

                  3,806,474            4,192,076            10,489,821            2,357,618      

Options written

       529,957            385,543            2,338,085            548,759            192,702      

Income dividends

       204,118            311,510            323,759            241,022            —      

Investment advisory fees

       426,194            437,965            1,036,552            725,262            226,734      

Officer’s and Trustees’ fees

       425,150            137,421            779,228            602,311            26,292      

Unrealized depreciation on forward foreign currency exchange contracts

                                        45,617            —      

Other accrued expenses payable

       164,066            240,046            325,554            245,891            92,350      
    

 

 

 

Total liabilities

       8,001,555            11,758,378            31,726,540            27,430,081            5,645,977      
    

 

 

 

Net Assets

           $ 459,845,103          $ 628,294,657          $ 1,647,683,936          $ 926,268,632          $ 279,027,932      
    

 

 

 
                                
        Net Assets Consist of                                                               

Paid-in capital

           $ 636,945,433          $ 689,310,753          $ 1,468,888,354          $ 943,069,418          $ 198,059,735      

Distributions in excess of net investment income

       (11,948,206 )          (23,863,063 )          (37,650,903 )          (40,931,857 )          (10,361,612)      

Accumulated net realized gain (loss)

       (171,359,122 )          (42,178,311 )          (111,293,238 )          (53,473,150 )          14,508,331      

Net unrealized appreciation (depreciation)

       6,206,998            5,025,278            327,739,723            77,604,221            76,821,478      
    

 

 

 

Net Assets

           $ 459,845,103          $ 628,294,657          $ 1,647,683,936          $ 926,268,632          $ 279,027,932      
    

 

 

 

Net asset value6,7

           $ 15.42          $    14.24          $         8.72          $    13.33          $      33.84      
    

 

 

 

1       Investments at cost — unaffiliated

           $ 437,147,378          $ 611,285,803          $ 1,317,068,048          $ 850,888,198          $ 194,918,126      

2       Securities loaned at value

                                      $   1,582,304          $  153,156      

3       Investments at cost — affiliated

           $ 21,613,354          $   9,391,637          $  11,882,407          $ 16,747,095          $ 9,742,676      

4       Foreign currency at cost

           $      9,623          $    9,142          $       1,756          $      890,478          $    1,157      

5       Premiums received

           $ 4,182,881          $     6,261,237          $ 15,445,785          $ 10,702,576          $ 2,147,026      

6       Shares outstanding, unlimited number of shares authorized, $0.001 par value

       29,825,326                       188,978,322            69,483,161            8,246,580      

7       Shares outstanding, 200 million shares authorized, $0.10 par value

                  44,121,400                                  —      

 

See Notes to Financial Statements.

 

     SEMI-ANNUAL REPORT    JUNE 30, 2016    107


Statements of Assets and Liabilities         

 

June 30, 2016 (Unaudited)   

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

   $ 675,638,466         $ 910,966,756         $ 423,301,471         $ 354,568,605   

Investments at value — affiliated4

     21,785,695           16,748,912           3,722,803           6,798,337   

Cash

     773,605           12,011                     35,532   

Cash pledged:

                 

Collateral — exchange traded options written

     6,219,000                     2,066,662             

Collateral — OTC derivatives

     5,162,619                     1,550,000             

Futures contracts

     639,000                                 

Foreign currency at value5

     1,035,172           40,658           54,490           11,895   

Receivables:

                 

Investments sold

     24,065,470           33,662,865           1,943,344           1,281,360   

Options written

     619,482           620,323           333,283           323,013   

Dividends — unaffiliated

     2,565,884           1,833,082           283,099           877,047   

Dividends — affiliated

     10,251           5,450           476           2,163   

Variation margin on futures contracts

     127,350                                 

Securities lending income — affiliated

               528           5,026           1,612   

Other assets

     39,192           46,462           14,459           12,013   
  

 

 

 

Total assets

     738,681,186           963,937,047           433,275,113           363,911,577   
  

 

 

 
                 
        Liabilities                                          

Options written at value6

     11,613,738           10,733,252           4,379,867           5,036,675   

Collateral on securities loaned at value

               1,337,693           1,763,760           887,226   

Payables:

                 

Investments purchased

     25,100,645           32,447,632           3,414,956           556,511   

Options written

     451,133           994,220           378,302           664,941   

Income dividends

     324,027           307,770           106,821           143,593   

Investment advisory fees

     523,573           739,502           277,832           284,726   

Officer’s and Trustees’ fees

     533,659           314,015           11,888           8,057   

Other accrued expenses payable

     222,215           369,954           199,698           128,724   
  

 

 

 

Total liabilities

     38,768,990           47,244,038           10,533,124           7,710,453   
  

 

 

 

Net Assets

   $ 699,912,196         $ 916,693,009         $ 422,741,989         $ 356,201,124   
  

 

 

 
                 
        Net Assets Consist of                                          

Paid-in capital

   $     1,290,672,026         $     1,386,290,465         $     400,387,105         $     288,195,604   

Distributions in excess of net investment income

     (30,589,796        (22,879,600        (13,145,322        (5,595,269

Accumulated net realized loss

     (561,065,110        (540,591,159        (31,876,447        (6,560,715

Net unrealized appreciation (depreciation)

     895,076           93,873,303           67,376,653           80,161,504   
  

 

 

 

Net Assets

   $ 699,912,196         $ 916,693,009         $ 422,741,989         $ 356,201,124   
  

 

 

 

Net asset value7

   $ 6.36         $ 9.25         $ 18.78         $ 21.07   
  

 

 

 

1       Consolidated Statement of Assets and Liabilities.

                 

2       Investments at cost — unaffiliated

   $ 671,337,710         $ 814,963,452         $ 355,837,192         $ 271,981,923   

3       Securities loaned at value

             $ 1,236,801         $ 1,772,033         $ 856,238   

4       Investments at cost — affiliated

   $ 21,785,695         $ 16,748,912         $ 3,722,803         $ 6,798,337   

5       Foreign currency at cost

   $ 1,034,873         $ 43,325         $ 54,479         $ 11,993   

6       Premiums received

   $ 8,059,417         $ 8,605,466         $ 4,290,822         $ 2,623,021   

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.

 

108    SEMI-ANNUAL REPORT    JUNE 30, 2016     


Statements of Operations         

 

Six Months Ended June 30, 2016 (Unaudited)    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

   $ 7,179,374      $ 5,670,641      $ 22,870,485      $ 12,008,825      $ 1,711,934   

Foreign taxes withheld

     (270,385     (33,574     (182,183     (1,049,144     (24,437

Dividends — affiliated

     17,629        36,416        14,435        56,835        26,637   

Securities lending — affiliated — net

     1,031        689        16        14,337        1,512   
  

 

 

 

Total income

     6,927,649        5,674,172        22,702,753        11,030,853        1,715,646   
  

 

 

 
          
        Expenses                                         

Investment advisory

     2,523,366        2,650,794        6,352,932        4,588,333        1,349,929   

Transfer agent

     56,806        44,552        112,980        72,803        25,065   

Custodian

     54,484        89,245        110,126        125,226        57,856   

Offering costs

                                 48,043   

Professional

     47,742        101,267        86,026        75,239        45,326   

Officer and Trustees

     46,875        37,891        124,712        85,418        15,172   

Printing

     11,108        14,241        30,892        20,326        8,759   

Registration

     5,620        8,281        35,580        13,041        5,444   

Insurance

     1,465        3,255        21,857        3,353        1,043   

Miscellaneous

     18,781        9,069        7,516        54,365        15,457   
  

 

 

 

Total expenses

     2,766,247        2,958,595        6,882,621        5,038,104        1,572,094   

Less fees waived by the Manager

     (108,436     (6,779     (201,322     (239,935     (4,978
  

 

 

 

Total expenses after fees waived

     2,657,811        2,951,816        6,681,299        4,798,169        1,567,116   
  

 

 

 

Net investment income

     4,269,838        2,722,356        16,021,454        6,232,684        148,530   
  

 

 

 
          
        Realized and Unrealized Gain (Loss)                                         

Net realized gain (loss) from:

          

Investments — unaffiliated

     (57,099,138     (38,016,188     31,686,546        (15,302,419          10,692,572   

Options written

     (828,296     5,303,228        (7,883,565     10,629,203        1,401,979   

Foreign currency transactions

     (277,969     1,021        (68,490     (59,004     7,173   
  

 

 

 
     (58,205,403     (32,711,939     23,734,491        (4,732,220     12,101,724   
  

 

 

 

Net change in unrealized appreciation (depreciation) on:

          

Investments — unaffiliated

     115,023,888             19,993,708        28,001,424        (19,293,624     (21,451,770

Options written

     (4,407,470     (1,728,400     (10,630,720     (5,915,951     (291,746

Foreign currency translations

     2,105        (309     926        98,955        (2,292
  

 

 

 
         110,618,523        18,264,999        17,371,630        (25,110,620     (21,745,808
  

 

 

 

Net realized and unrealized gain (loss)

     52,413,120        (14,446,940     41,106,121        (29,842,840     (9,644,084
  

 

 

 

Net Increase (Decrease) in Net Assets Resulting from Operations

   $ 56,682,958      $ (11,724,584   $     57,127,575      $     (23,610,156   $ (9,495,554
  

 

 

 

 

See Notes to Financial Statements.

 

     SEMI-ANNUAL REPORT    JUNE 30, 2016    109


Statements of Operations         

 

Six Months Ended June 30, 2016 (Unaudited)   

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

   $      12,369,763         $       13,299,521         $      2,277,146         $       6,812,591   

Foreign taxes withheld

     (1,526,449        (681,852        (90,939        (227,666

Dividends — affiliated

     144,619           31,123           4,807           17,285   

Securities lending — affiliated — net

     15,998           33,277           18,214           9,759   

Total income

     11,003,931           12,682,069           2,209,228           6,611,969   
  

 

 

 
                 
        Expenses                                          

Investment advisory

     3,538,607           4,211,006           2,054,281           1,668,942   

Custodian

     110,112           113,051           73,593           63,096   

Professional

     66,443           73,775           56,026           48,299   

Transfer agent

     70,198           62,200           25,978           29,564   

Officer and Trustees

     78,286           57,361           20,001           15,278   

Printing

     16,874           17,582           5,128           9,072   

Insurance

     2,594           10,838           1,462           1,111   

Registration

     20,644           19,569           4,504           4,642   

Miscellaneous

     63,019           37,057           20,888           30,391   
  

 

 

 

Total expenses

     3,966,777           4,602,439           2,261,861           1,870,395   

Less fees waived by the Manager

     (380,651        (5,825        (411,718        (3,216
  

 

 

 

Total expenses after fees waived

     3,586,126           4,596,614           1,850,143           1,867,179   
  

 

 

 

Net investment income

     7,417,805           8,085,455           359,085           4,744,790   
  

 

 

 
                 
        Realized and Unrealized Gain (Loss)                                          

Net realized gain (loss) from:

                 

Investments — unaffiliated

     (34,846,316        (115,077,280        (7,407,373        4,747,338   

Options written

     12,722,468           (17,366,330        2,488,920           (3,154,907

Financial futures contracts

     6,314,451                                 

Foreign currency transactions

     (133,476        34,230           (92,646        (16,892
  

 

 

 
     (15,942,873        (132,409,380        (5,011,099        1,575,539   
  

 

 

 

Net change in unrealized appreciation (depreciation) on:

                 

Investments — unaffiliated

     (17,568,269 )2         248,404,571           (1,019,198        34,104,808   

Options written

     (6,070,479        (3,800,650        (1,558,348        (1,695,678

Futures contracts

     279,332                                 

Foreign currency translations

     (20,962        22,216           (741        (1,091
  

 

 

 
     (23,380,378        244,626,137           (2,578,287        32,408,039   
  

 

 

 

Net realized and unrealized gain (loss)

     (39,323,251        112,216,757           (7,589,386        33,983,578   
  

 

 

 

Net Increase (Decrease) in Net Assets Resulting from Operations

   $ (31,905,446      $ 120,302,212         $ (7,230,301      $ 38,728,368   
  

 

 

 

1       Consolidated Statement of Operations.

                 

2       Net of $143,706 foreign capital gain tax.

                 

 

See Notes to Financial Statements.

 

110    SEMI-ANNUAL REPORT    JUNE 30, 2016     


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:    Six Months Ended
June 30, 2016
(Unaudited)
    Year Ended
December 31, 2015
     Six Months Ended
June 30, 2016
(Unaudited)
    Year Ended
December 31, 2015
 
         
        Operations                                  

Net investment income

   $ 4,269,838      $ 8,686,290       $ 2,722,356      $ 4,876,418   

Net realized gain (loss)

     (58,205,403     (105,484,599      (32,711,939     155,685,181   

Net change in unrealized appreciation/depreciation

     110,618,523        (70,456,190      18,264,999        (132,503,358
  

 

 

    

 

 

 

Net increase (decrease) in net assets resulting from operations

     56,682,958        (167,254,499      (11,724,584     28,058,241   
  

 

 

    

 

 

 
         
        Distributions to Shareholders                                  

From net investment income

     (15,819,353 )1      (8,567,540 )2       (26,472,840 )1      (6,318,821 )2 

From net realized gains

                           (46,626,859 )2 

From return of capital

            (36,005,387 )2                
  

 

 

    

 

 

 

Decrease in net assets resulting from distributions to shareholders

     (15,819,353     (44,572,927      (26,472,840     (52,945,680
  

 

 

    

 

 

 
         
        Capital Share Transactions                                  

Reinvestment of dividends

            1,205,970                  
  

 

 

    

 

 

 
         
        Net Assets                                  

Total increase (decrease) in net assets

     40,863,605        (210,621,456      (38,197,424     (24,887,439

Beginning of period

     418,981,498        629,602,954         666,492,081        691,379,520   
  

 

 

    

 

 

 

End of period

   $     459,845,103      $     418,981,498       $     628,294,657      $     666,492,081   
  

 

 

    

 

 

 

Distributions in excess of net investment income, end of period

   $ (11,948,206   $ (398,691    $ (23,863,063   $ (112,579
  

 

 

    

 

 

 

 

  1   

A portion of the distributions from net investment income maybe deemed a return of capital or net realized gain at fiscal year end.

 

  2   

Distributions for annual periods determined in accordance with federal income tax regulations.

 

See Notes to Financial Statements.

 

     SEMI-ANNUAL REPORT    JUNE 30, 2016    111


Statements of Changes in Net Assets         

 

     BlackRock
Enhanced Equity
Dividend Trust (BDJ)
     BlackRock
Global Opportunities
Equity Trust (BOE)
 
Increase (Decrease) in Net Assets:    Six Months Ended
June 30, 2016
(Unaudited)
    Year Ended
December 31, 2015
     Six Months Ended
June 30, 2016
(Unaudited)
    Year Ended
December 31, 2015
 
         
        Operations                                  

Net investment income

   $ 16,021,454      $ 31,195,998       $ 6,232,684      $ 7,638,770   

Net realized gain (loss)

     23,734,491        31,480,464         (4,732,220     29,095,008   

Net change in unrealized appreciation/depreciation

     17,371,630        (60,335,311      (25,110,620     (26,224,116
  

 

 

    

 

 

 

Net increase (decrease) in net assets resulting from operations

     57,127,575        2,341,151         (23,610,156     10,509,662   
  

 

 

    

 

 

 
         
        Distributions to Shareholders                                  

From net investment income

     (52,951,726 )1      (31,248,083 )2       (40,439,200 )1      (11,517,508 )2 

Distributions in excess of net investment income

                           (7,284,361 )2 

From return of capital

            (74,655,369 )2              (62,076,530 )2 
  

 

 

    

 

 

 

Decrease in net assets resulting from distributions to shareholders

     (52,951,726     (105,903,452      (40,439,200     (80,878,399
  

 

 

    

 

 

 
         
        Net Assets                                  

Total increase (decrease) in net assets

     4,175,849        (103,562,301      (64,049,356     (70,368,737

Beginning of period

     1,643,508,087        1,747,070,388         990,317,988            1,060,686,725   
  

 

 

    

 

 

 

End of period

   $     1,647,683,936      $     1,643,508,087       $     926,268,632      $ 990,317,988   
  

 

 

    

 

 

 

Distributions in excess of net investment income, end of period

   $ (37,650,903   $ (720,631    $ (40,931,857   $ (6,725,341
  

 

 

    

 

 

 

 

  1   

A portion of the distributions from net investment income maybe deemed a return of capital or net realized gain at fiscal year end.

 

  2   

Distributions for annual periods determined in accordance with federal income tax regulations.

 

See Notes to Financial Statements.

 

112    SEMI-ANNUAL REPORT    JUNE 30, 2016     


Statements of Changes in Net Assets         

 

     BlackRock
Health Sciences
Trust (BME)
     BlackRock
International Growth
and Income Trust (BGY)
 
Increase (Decrease) in Net Assets:    Six Months Ended
June 30, 2016
(Unaudited)
    Year Ended
December 31, 2015
     Six Months Ended
June 30, 2016
(Unaudited)
    Year Ended
December 31, 2015
 
         
        Operations                                  

Net investment income (loss)

   $ 148,530      $ (443,773    $ 7,417,805      $ 9,034,062   

Net realized gain (loss)

     12,101,724        51,654,340         (15,942,873     (7,249,095

Net change in unrealized appreciation/depreciation

     (21,745,808     (17,934,847      (23,380,378     (9,508,537
  

 

 

    

 

 

 

Net increase (decrease) in net assets resulting from operations

     (9,495,554     33,275,720         (31,905,446     (7,723,570
  

 

 

    

 

 

 
         
        Distributions to Shareholders                                  

From net investment income

     (9,878,346 )1      (5,039,768 )2       (32,336,847 )1      (12,357,754 )2 

From net realized gains

            (48,696,568 )2                

From return of capital

                           (52,315,941 )2 
  

 

 

    

 

 

 

Decrease in net assets resulting from distributions to shareholders

     (9,878,346     (53,736,336      (32,336,847     (64,673,695
  

 

 

    

 

 

 
         
        Capital Share Transactions                                  

Net proceeds from the issuance of shares

            10,367,053                  

Reinvestment of distributions

     871,872        4,520,259                  
  

 

 

    

 

 

 

Net increase in net assets derived from shares transactions

     871,872        14,887,312                  
  

 

 

    

 

 

 
         
        Net Assets                                  

Total decrease in net assets

     (18,502,028     (5,573,304      (64,242,293     (72,397,265

Beginning of period

     297,529,960        303,103,264         764,154,489        836,551,754   
  

 

 

    

 

 

 

End of period

   $     279,027,932      $     297,529,960       $     699,912,196      $     764,154,489   
  

 

 

    

 

 

 

Distributions in excess of net investment income, end of period

   $ (10,361,612   $ (631,796    $ (30,589,796   $ (5,670,754
  

 

 

    

 

 

 

 

  1   

A portion of the distributions from net investment income maybe deemed a return of capital or net realized gain at fiscal year end.

 

  2   

Distributions for annual periods determined in accordance with federal income tax regulations.

 

See Notes to Financial Statements.

 

     SEMI-ANNUAL REPORT    JUNE 30, 2016    113


Statements of Changes in Net Assets         

 

     BlackRock Resources
& Commodities
Strategy Trust (BCX)1
     BlackRock
Science and
Technology Trust (BST)
 
Increase (Decrease) in Net Assets:    Six Months Ended
June 30, 2016
(Unaudited)
    Year Ended
December 31, 2015
     Six Months Ended
June 30, 2016
(Unaudited)
    Year Ended
December 31, 2015
 
         
        Operations                                  

Net investment income

   $ 8,085,455      $ 24,601,192       $ 359,085      $ 676,774   

Net realized loss

     (132,409,380     (101,358,837      (5,011,099     (25,812,735

Net change in unrealized appreciation/depreciation

     244,626,137        (172,541,820      (2,578,287     58,241,453   
  

 

 

    

 

 

 

Net increase (decrease) in net assets resulting from operations

     120,302,212        (249,299,465      (7,230,301     33,105,492   
  

 

 

    

 

 

 
         
        Distributions to Shareholders                                  

From net investment income

     (30,649,097 )2      (24,837,338 )3       (13,504,555 )2      (603,909 )3 

In excess of net investment income

                           (144,770 )3 

From return of capital

            (55,321,839 )3              (26,260,431 )3 
  

 

 

    

 

 

 

Decrease in net assets resulting from distributions to shareholders

     (30,649,097     (80,159,177      (13,504,555     (27,009,110
  

 

 

    

 

 

 
         
        Net Assets                                  

Total increase (decrease) in net assets

     89,653,115        (329,458,642      (20,734,856     6,096,382   

Beginning of period

     827,039,894            1,156,498,536         443,476,845        437,380,463   
  

 

 

    

 

 

 

End of period

   $      916,693,009      $ 827,039,894       $     422,741,989      $     443,476,845   
  

 

 

    

 

 

 

Undistributed (distributions in excess of) net investment income, end of period

   $ (22,879,600   $ (315,958    $ (13,145,322   $ 148   
  

 

 

    

 

 

 

 

  1   

Consolidated Statements of Changes in Net Assets.

 

  2   

A portion of the distributions from net investment income maybe deemed a return of capital or net realized gain at fiscal year end.

 

  3   

Distributions for annual periods determined in accordance with federal income tax regulations.

 

See Notes to Financial Statements.

 

114    SEMI-ANNUAL REPORT    JUNE 30, 2016     


Statements of Changes in Net Assets         

 

     BlackRock Utility and
Infrastructure
Trust (BUI)
 
Increase (Decrease) in Net Assets:    Six Months Ended
June 30, 2016
(Unaudited)
    Year Ended
December 31, 2015
 
    
        Operations                 

Net investment income

   $ 4,744,790      $ 7,916,511   

Net realized gain

     1,575,539        7,100,028   

Net change in unrealized appreciation/depreciation

     32,408,039        (40,550,712
  

 

 

 

Net increase (decrease) in net assets resulting from operations

     38,728,368        (25,534,173
  

 

 

 
    
        Distributions to Shareholders                 

From net investment income

     (12,274,456 )1      (7,096,542 )2 

From net realized gains

            (9,103,053 )2 

From return of capital

            (8,349,317 )2 
  

 

 

 

Decrease in net assets resulting from distributions to shareholders

     (12,274,456     (24,548,912
  

 

 

 
    
        Net Assets                 

Total increase (decrease) in net assets

     26,453,912        (50,083,085

Beginning of period

     329,747,212        379,830,297   
  

 

 

 

End of period

   $     356,201,124      $     329,747,212   
  

 

 

 

Undistributed (distributions in excess of) net investment income, end of period

   $ (5,595,269   $ 1,934,397   
  

 

 

 

 

  1   

A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year end.

 

  2   

Distributions for annual periods determined in accordance with federal income tax regulations.

 

See Notes to Financial Statements.

 

     SEMI-ANNUAL REPORT    JUNE 30, 2016    115


Statements of Cash Flows         

 

Six Months Ended June 30, 2016 (Unaudited)    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

   $ 56,682,958      $ (11,724,584   $ 57,127,575   

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

     137,297,135        200,812,180        337,590,128   

Purchases of long-term investments

     (109,685,937         (188,890,175         (295,832,186

Net (purchases) sales of short-term securities

     (15,274,210     6,410,833        1,888,537   

Premiums paid on closing options written

     (15,209,898     (23,958,287     (72,968,012

Premiums received from options written

     15,547,905        29,126,196        66,239,932   

Net realized (gain) loss on investments and options written

     57,927,434        32,712,960        (23,802,981

Net unrealized gain on investments, options written and foreign currency translations

         (110,615,978     (18,265,616     (17,370,641

(Increase) decrease in assets:

      

Receivables:

      

Dividends receivable — unaffiliated

     95,954        234,710        116,671   

Dividends receivable — affiliated

     (1,340     (1,553     2,495   

Securities lending income receivable — affiliated

     6,204        195          

Other assets

     (3,976     (5,543     (11,384

Increase (decrease) in liabilities:

      

Collateral on securities loaned at value

     (944,554              

Payables:

      

Investment advisory fees

     3,470        (44,664     (46,412

Officer’s and Trustees’ fees

     16,624        11,963        31,759   

Other accrued expenses

     22,957        56,781        50,508   
  

 

 

 

Net cash provided by operating activities

     15,864,748        26,475,396        53,015,989   
  

 

 

 
      
        Cash Used for Financing Activities                         

Cash dividends paid to shareholders

     (15,908,879     (26,476,012     (53,017,857

Increase in bank overdraft

     4,868               1,790   
  

 

 

 

Net cash used for financing activities

     (15,904,011     (26,476,012     (53,016,067
  

 

 

 
      
        Cash Impact from Foreign Exchange Fluctuations                         

Cash impact from foreign exchange fluctuations

     (440     308        (63
  

 

 

 
      
        Cash and Foreign Currency                         

Net decrease in cash and foreign currency

     (39,703     (308     (141

Cash and foreign currency at beginning of period

     49,322        2,189        1,836   
  

 

 

 

Cash and foreign currency at end of period

   $ 9,619      $ 1,881      $ 1,695   
  

 

 

 

 

See Notes to Financial Statements.

 

116    SEMI-ANNUAL REPORT    JUNE 30, 2016     


Statements of Cash Flows (continued)         

 

Six Months Ended June 30, 2016 (Unaudited)    BlackRock
Global
Opportunities
Equity
Trust (BOE)
    BlackRock
Health
Sciences
Trust (BME)
    BlackRock
International
Growth and
Income
Trust (BGY)
 
      
        Cash Provided by Operating Activities                         

Net decrease in net assets resulting from operations

   $ (23,610,156   $ (9,495,554   $ (31,905,446

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

     270,946,177        81,081,051        182,262,868   

Purchases of long-term investments

         (236,120,503     (73,674,206         (182,545,718

Net (purchases) sales of short-term securities

     (9,930,214     (888,116     18,070,755   

Premiums paid on closing options written

     (34,705,227     (7,640,681     (17,507,925

Premiums received from options written

     44,058,628        8,820,156        29,216,856   

Net realized (gain) loss on investments, options written and financial futures contracts

     4,673,216            (12,094,551     22,123,848   

Net unrealized loss on investments, options written and foreign currency translations

     25,152,180        21,743,462        23,790,566   

(Increase) decrease in assets:

      

Cash Pledged:

      

Collateral — exchange traded options written

                   (4,105,000

Collateral — OTC derivatives

                   (1,106,000

Futures contracts

                   (639,000

Receivables:

      

Dividends receivable — unaffiliated

     (759,010     71,722        (1,033,338

Dividends receivable — affiliated

     (2,757     (478     (3,185

Securities lending income receivable — affiliated

     (3,970     (142     6,690   

Variation margin on futures contracts

                   (127,350

Prepaid offering costs

            48,042          

Other assets

     (8,909     (1,948     (16,731

Increase (decrease) in liabilities:

      

Collateral on securities loaned at value

     1,278,403        156,732        (2,751,247

Payables:

      

Investment advisory fees

     (74,710     (32,091     (57,802

Officer’s and Trustees’ fees

     25,957        1,289        32,122   

Foreign taxes

                   (147,618

Other accrued expenses

     37,025        (23,247     39,802   
  

 

 

 

Net cash provided by operating activities

     40,956,130        8,071,440        33,597,147   
  

 

 

 
      
        Cash Used for Financing Activities                         

Cash dividends paid to shareholders

     (40,463,844     (9,007,390     (32,347,088

Net proceeds from issuance of shares

            935,772          
  

 

 

 

Net cash used for financing activities

     (40,463,844     (8,071,618     (32,347,088
  

 

 

 
      
        Cash Impact from Foreign Exchange Fluctuations                         

Cash impact from foreign exchange fluctuations

     (6,395     54        (8,112
  

 

 

 
      
        Cash and Foreign Currency                         

Net increase (decrease) in cash and foreign currency

     485,891        (124     1,241,947   

Cash and foreign currency at beginning of period

     402,399        1,212        566,830   
  

 

 

 

Cash and foreign currency at end of period

   $ 888,290      $ 1,088      $ 1,808,777   
  

 

 

 
      
        Non-Cash Financing Activities                         

Capital shares issued in reinvestment of dividends paid to shareholders

          $ 871,872          
  

 

 

 

 

See Notes to Financial Statements.

 

     SEMI-ANNUAL REPORT    JUNE 30, 2016    117


Statements of Cash Flows (concluded)         

 

Six Months Ended June 30, 2016 (Unaudited)    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

   $ 120,302,212      $ (7,230,301   $ 38,728,368   

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

     494,845,005        185,274,088        15,919,230   

Purchases of long-term investments

         (447,139,992         (170,755,952     (8,348,259

Net (purchases) sales of short-term securities

     (10,542,982     (2,999,657     1,593,278   

Premiums paid on closing options written

     (49,349,345     (15,899,749     (11,992,664

Premiums received from options written

     34,296,723        18,693,924        9,663,455   

Net realized (gain) loss on investments and options written

     132,443,610        4,918,453        (1,592,431

Net unrealized (gain) loss on investments, options written and foreign currency translations

     (244,603,951     2,575,465        (32,409,187

(Increase) decrease in assets:

      

Cash Pledged:

      

Collateral — exchange traded options written

            (2,066,662       

Collateral — OTC derivatives

            (450,000       

Receivables:

      

Dividends receivable — unaffiliated

     (688,913     (124,601     (147,051

Dividends receivable — affiliated

     (3,122     (148     948   

Securities lending income receivable — affiliated

     (457     (3,585     (1,612

Other assets

     (5,668     (2,917     (3,131

Increase (decrease) in liabilities:

      

Collateral on securities loaned at value

     1,302,004        1,644,760        887,226   

Payables:

      

Investment advisory fees

     39,591        (24,102     12,589   

Officer’s and Trustees’ fees

     3,016        (1,575     (1,677

Other accrued expenses

     16,453        (16,150     (3,815
  

 

 

 

Net cash provided by operating activities

     30,914,184        13,531,291        12,305,267   
  

 

 

 
      
        Cash Used for Financing Activities                         

Cash dividends paid to shareholders

     (30,613,799     (13,567,484         (12,281,650

Decrease in bank overdraft on foreign currency at value

     (247,746              
  

 

 

 

Net cash used for financing activities

     (30,861,545     (13,567,484     (12,281,650
  

 

 

 
      
        Cash Impact from Foreign Exchange Fluctuations                         

Cash impact from foreign exchange fluctuations

     30        2,081        57   
  

 

 

 
      
        Cash and Foreign Currency                         

Net increase (decrease) in cash and foreign currency

     52,669        (34,112     23,674   

Cash and foreign currency at beginning of period

            88,602        23,753   
  

 

 

 

Cash and foreign currency at end of period

   $ 52,669      $ 54,490      $ 47,427   
  

 

 

 

 

  1   

Consolidated Statement of Cash Flows.

 

See Notes to Financial Statements.

 

118    SEMI-ANNUAL REPORT    JUNE 30, 2016     


Financial Highlights      BlackRock Energy and Resources Trust (BGR)   

 

    

Six Months

Ended

June 30, 2016

(Unaudited)

   

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

   $ 14.05      $ 21.15      $ 24.90      $ 30.12      $ 25.95      $ 28.33      $ 25.87   
  

 

 

 

Net investment income1

     0.14        0.29        0.07        0.25        0.12        0.13        0.06   

Net realized and unrealized gain (loss)

     1.76        (5.89     (2.41     (1.21     5.67        (0.74     4.02   
  

 

 

 

Net increase (decrease) from investment operations

     1.90        (5.60     (2.34     (0.96     5.79        (0.61     4.08   
  

 

 

 

Distributions:2

              

From net investment income

     (0.53 )3      (0.29     (0.47     (0.44            (0.03     (0.24

From net realized gain

                   (0.94     (3.82     (1.62     (1.44     (1.38

From return of capital

            (1.21                          (0.30       
  

 

 

 

Total distributions

     (0.53     (1.50     (1.41     (4.26     (1.62     (1.77     (1.62
  

 

 

 

Net asset value, end of period

   $ 15.42      $ 14.05      $ 21.15      $ 24.90      $ 30.12      $ 25.95      $ 28.33   
  

 

 

 

Market price, end of period

   $ 14.20      $ 12.53      $ 19.95      $ 23.78      $ 26.82      $ 24.28      $ 26.54   
  

 

 

 
              
        Total Return4                                                         

Based on net asset value

     14.30 %5      (27.47 )%      (9.06 )%5      (2.36 )%      23.68     (1.76 )%      16.09
  

 

 

 

Based on market price

     18.02 %5      (31.42 )%      (10.18 )%5      4.73     17.70     (1.88 )%      10.95
  

 

 

 
              
        Ratios to Average Net Assets                                                         

Total expenses

     1.32 %6      1.29     1.30 %6      1.26     1.26     1.28     1.26
  

 

 

 

Total expenses after fees waived and/or reimbursed

     1.26 %6      1.26     1.26 %6      1.26     1.25     1.22     1.15
  

 

 

 

Net investment income

     2.03 %6      1.60     1.82 %6      0.89     0.42     0.50     0.19
  

 

 

 
              
        Supplemental Data                                                         

Net assets, end of period (000)

   $     459,845      $     418,981      $     629,603      $     741,109      $     896,635      $     772,457      $     843,328   
  

 

 

 

Portfolio turnover rate

     26     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   

A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year end.

 

  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.

 

     SEMI-ANNUAL REPORT    JUNE 30, 2016    119


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

 

    

Six Months

Ended

June 30, 2016

(Unaudited)

   

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

   $ 15.11      $ 15.67      $ 15.47      $ 15.31      $ 14.11      $ 13.87      $ 14.53   
  

 

 

 

Net investment income1

     0.06        0.11        0.04        0.55        0.31        0.33        0.35   

Net realized and unrealized gain (loss)

     (0.33     0.53        0.36        0.91        2.09        1.29        0.68   
  

 

 

 

Net increase (decrease) from investment operations

     (0.27     0.64        0.40        1.46        2.40        1.62        1.03   
  

 

 

 

Distributions:2

              

From net investment income

     (0.60 )3      (0.14     (0.10     (0.65     (0.32     (0.33 )4      (0.35 )4 

In excess of net investment income5

                                        (0.20 )4      (0.23 )4 

From net realized gain

            (1.06                          (0.13     (1.11

From return of capital

                   (0.10     (0.65     (0.88     (0.72       
  

 

 

 

Total distributions

     (0.60     (1.20     (0.20     (1.30     (1.20     (1.38     (1.69
  

 

 

 

Net asset value, end of period

   $ 14.24      $ 15.11      $ 15.67      $ 15.47      $ 15.31      $ 14.11      $ 13.87   
  

 

 

 

Market price, end of period

   $ 13.45      $ 14.14      $ 13.97      $ 14.89      $ 13.52      $ 12.99      $ 12.39   
  

 

 

 
              
        Total Return6                                                         

Based on net asset value

     (1.44 )%7      4.66     2.69 %7      10.49     18.97     12.94     7.56
  

 

 

 

Based on market price

     (0.52 )%7      9.86     (4.88 )%7      20.43     14.11     16.39     (7.11 )% 
  

 

 

 
              
        Ratios to Average Net Assets                                                         

Total expenses

     0.95 %8,9      0.94     0.99 %8      0.93     0.93     0.94     0.94
  

 

 

 

Total expenses after fees waived and/or reimbursed

     0.95 %8      0.94     0.95 %8      0.93     0.93     0.94     0.93
  

 

 

 

Net investment income

     0.87 %8      0.71     1.42 %8      3.56     2.15     2.34     2.40
  

 

 

 
              
        Supplemental Data                                                         

Net assets, end of period (000)

   $     628,295      $     666,492      $     691,380      $     682,485      $     675,472      $     622,657      $     612,145   
  

 

 

 

Portfolio turnover rate

     31     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   

A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year end.

 

  4   

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.

 

  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   

Annualized.

 

  9   

Excludes expenses incurred indirectly as a result of investments in underlying funds of 0.01%.

 

See Notes to Financial Statements.

 

120    SEMI-ANNUAL REPORT    JUNE 30, 2016     


Financial Highlights      BlackRock Enhanced Equity Dividend Trust (BDJ)   

 

    

Six Months

Ended

June 30, 2016

(Unaudited)

   

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

   $ 8.70      $ 9.24      $ 9.19      $ 8.88      $ 8.30      $ 8.03      $ 8.32   
  

 

 

 

Net investment income1

     0.08        0.17        0.04        0.16        0.18        0.18        0.16   

Net realized and unrealized gain (loss)

     0.22        (0.15     0.10        0.76        0.96        0.77        0.38   
  

 

 

 

Net increase from investment operations

     0.30        0.02        0.14        0.92        1.14        0.95        0.54   
  

 

 

 

Distributions:2

              

From net investment income

     (0.28 )3      (0.17     (0.03     (0.17     (0.18     (0.18 )4      (0.16 )4 

In excess of net investment income5

                                 (0.20     (0.22 )4      (0.35 )4 

From net realized gain

                                 (0.18              

From return of capital

            (0.39     (0.06     (0.44            (0.28     (0.32
  

 

 

 

Total distributions

     (0.28     (0.56     (0.09     (0.61     (0.56     (0.68     (0.83
  

 

 

 

Net asset value, end of period

   $ 8.72      $ 8.70      $ 9.24      $ 9.19      $ 8.88      $ 8.30      $ 8.03   
  

 

 

 

Market price, end of period

   $ 7.88      $ 7.61      $ 8.12      $ 8.35      $ 7.72      $ 7.41      $ 7.29   
  

 

 

 
              
        Total Return6                                                         

Based on net asset value

     4.01 %7      1.10     1.69 %7      11.40     15.11     13.22     6.88
  

 

 

 

Based on market price

     7.45 %7      0.63     (1.65 )%7      16.42     12.09     11.34     (10.20 )% 
  

 

 

 
              
        Ratios to Average Net Assets                                                         

Total expenses

     0.87 %8      0.86     0.87 %8      0.87 %9      0.87     0.95     1.15
  

 

 

 

Total expenses after fees waived and/or reimbursed

     0.84 %8      0.85     0.84 %8      0.86 %9      0.87     0.95     1.14
  

 

 

 

Net investment income

     2.02 %8      1.85     2.30 %8      1.81     2.13     2.16     1.92
  

 

 

 
              
        Supplemental Data                                                         

Net assets, end of period (000)

   $     1,647,684      $     1,643,508      $     1,747,070      $     1,648,683      $     1,594,223      $     1,490,096      $     575,712   
  

 

 

 

Portfolio turnover rate

     18     26     0 %10      63     180     185     231
  

 

 

 

 

  1   

Based on average shares outstanding.

 

  2   

Distributions for annual periods determined in accordance with federal income tax regulations.

 

  3   

A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year end.

 

  4   

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.

 

  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   

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 0.86% and 0.86%, respectively

 

  10   

Amount is less than 0.5%.

 

See Notes to Financial Statements.

 

     SEMI-ANNUAL REPORT    JUNE 30, 2016    121


Financial Highlights      BlackRock Global Opportunities Equity Trust (BOE)   

 

    

Six Months

Ended

June 30, 2016

(Unaudited)

   

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

   $ 14.25      $ 15.27      $ 15.54      $ 16.68      $ 14.99      $ 16.03      $ 18.68   
  

 

 

 

Net investment income1

     0.09        0.11        0.00 2      0.14        0.12        0.20        0.17   

Net realized and unrealized gain (loss)

     (0.43     0.03        (0.07     0.07        2.82        0.72        (0.54
  

 

 

 

Net increase (decrease) from investment operations

     (0.34     0.14        (0.07     0.21        2.94        0.92        (0.37
  

 

 

 

Distributions:3

              

From net investment income

     (0.58 )4      (0.17            (0.17     (0.17     (0.22     (0.17 )5 

In excess of net investment income6

            (0.10            (0.28     (0.91            (0.68 )5 

From net realized gain

                                               (0.61

From return of capital

            (0.89     (0.20     (0.90     (0.17     (1.74     (0.82
  

 

 

 

Total distributions

     (0.58     (1.16     (0.20     (1.35     (1.25     (1.96     (2.28
  

 

 

 

Net asset value, end of period

   $ 13.33      $ 14.25      $ 15.27      $ 15.54      $ 16.68      $ 14.99      $ 16.03   
  

 

 

 

Market price, end of period

   $ 11.85      $ 12.76      $ 13.13      $ 14.00      $ 14.74      $ 13.24      $ 14.95   
  

 

 

 
              
        Total Return7                                                         

Based on net asset value

     (1.70 )%8      1.81     (0.27 )%8      2.10     21.93     7.36     (2.55 )% 
  

 

 

 

Based on market price

     (2.41 )%8      6.03     (4.82 )%8      4.09     21.99     1.68     (10.93 )% 
  

 

 

 
              
        Ratios to Average Net Assets                                                         

Total expenses9

     1.10 %10      1.08     1.10 %10      1.08     1.08     1.10     1.10
  

 

 

 

Total expenses after fees waived and/or reimbursed9

     1.05 %10      1.05     1.07 %10      1.08     1.08     1.10     1.09
  

 

 

 

Net investment income9

     1.36 %10      0.73     0.00 %10,11      0.83     0.77     1.34     0.96
  

 

 

 
              
        Supplemental Data                                                         

Net assets, end of period (000)

   $     926,269      $     990,318      $     1,060,687      $     1,079,862      $     1,159,072      $     1,041,210      $     1,113,920   
  

 

 

 

Portfolio turnover rate

     27     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   

A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year end.

 

  5   

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.

 

  6   

Taxable distribution.

 

  7   

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.

 

  8   

Aggregate total return.

 

  9   

Excludes expenses incurred indirectly as a result of investments in underlying funds as follows:

 

    

Six Months

Ended

June 30, 2016

(Unaudited)

      

Year Ended

December
31, 2015

      

Period

November 1,

2014 to

December
31, 2015

 

          

                                   
                       Year Ended October 31,
                                                       2014                   2013                       2012                       2011            

Investments in underlying funds

   0.01%        0.01%                                        —            

 

  10   

Annualized.

 

  11   

Amount is less than 0.005%.

 

See Notes to Financial Statements.

 

122    SEMI-ANNUAL REPORT    JUNE 30, 2016     


Financial Highlights      BlackRock Health Sciences Trust (BME)   

 

    

Six Months

Ended

June 30, 2016

(Unaudited)

   

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

   $ 36.19      $ 38.61      $ 40.22      $ 34.92      $ 28.34      $ 26.65      $ 27.19   
  

 

 

 

Net investment income (loss)1

     0.02        (0.06     (0.01     (0.00 )2      0.12        0.08        (0.01

Net realized and unrealized gain (loss)

     (1.17     4.34        1.10        9.14        8.85        4.11        1.71   
  

 

 

 

Net increase (decrease) from investment operations

     (1.15     4.28        1.09        9.14        8.97        4.19        1.70   
  

 

 

 

Distributions:3

              

From net investment income

     (1.20 )4      (0.63     (0.01     (0.10     (0.06     (0.09       

From net realized gain

            (6.07     (2.69     (3.74     (2.33     (2.41     (2.24
  

 

 

 

Total distributions

     (1.20     (6.70     (2.70     (3.84     (2.39     (2.50     (2.24
  

 

 

 

Net asset value, end of period

   $ 33.84      $ 36.19      $ 38.61      $ 40.22      $ 34.92      $ 28.34      $ 26.65   
  

 

 

 

Market price, end of period

   $ 35.62      $ 39.35      $ 42.70      $ 41.37      $ 33.56      $ 27.86      $ 25.81   
  

 

 

 
              
        Total Return5                                                         

Based on net asset value

     (3.11 )%6      10.70     2.38 %6      28.00     33.37     16.42     6.43
  

 

 

 

Based on market price

     (6.25 )%6      8.87     10.07 %6      36.99     30.38     18.17     3.26
  

 

 

 
              
        Ratios to Average Net Assets                                                         

Total expenses

     1.15 %7,8,9      1.13     1.16 %7      1.11     1.12     1.13     1.14
  

 

 

 

Total expenses after fees waived and/or reimbursed and excluding amortization of offering costs

     1.13 %7      1.12     1.11 %7      1.11     1.12     1.13     1.13
  

 

 

 

Net investment income (loss)

     0.11 %7      (0.14 )%      (0.10 )%7      (0.01 )%      0.38     0.29     (0.02 )% 
  

 

 

 
              
        Supplemental Data                                                         

Net assets, end of period (000)

   $     279,028      $     297,530      $     303,103      $     313,933      $     270,161      $     218,377      $     202,675   
  

 

 

 

Portfolio turnover rate

     29     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   

A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year end.

 

  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   

Offering costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses would have been 1.16%.

 

  9   

Excludes expenses incurred indirectly as a result of investments in underlying funds of 0.01%.

 

See Notes to Financial Statements.

 

     SEMI-ANNUAL REPORT    JUNE 30, 2016    123


Financial Highlights      BlackRock International Growth and Income Trust (BGY)   

 

    

Six Months

Ended

June 30, 2016

(Unaudited)

   

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

   $ 6.95      $ 7.61      $ 7.89      $ 9.05      $ 8.28      $ 8.72      $ 10.52   
  

 

 

 

Net investment income (loss)1

     0.07        0.08        (0.00 )2      0.10        0.13        0.16        0.14   

Net realized and unrealized gain (loss)

     (0.37     (0.15     (0.17     (0.53     1.31        0.35        (0.58
  

 

 

 

Net increase (decrease) from investment operations

     (0.30     (0.07     (0.17     (0.43     1.44        0.51        (0.44
  

 

 

 

Distributions:3

              

From net investment income

     (0.29 )4      (0.11            (0.13     (0.17     (0.18     (0.14 )5 

In excess of net investment income6

                          (0.08                   (0.53 )5 

From return of capital

            (0.48     (0.11     (0.52     (0.50     (0.77     (0.69
  

 

 

 

Total distributions

     (0.29     (0.59     (0.11     (0.73     (0.67     (0.95     (1.36
  

 

 

 

Net asset value, end of period

   $ 6.36      $ 6.95      $ 7.61      $ 7.89      $ 9.05      $ 8.28      $ 8.72   
  

 

 

 

Market price, end of period

   $ 5.75      $ 6.24      $ 6.74      $ 7.26      $ 8.14      $ 7.41      $ 7.88   
  

 

 

 
              
        Total Return7                                                         

Based on net asset value

     (3.75 )%8      (0.47 )%      (2.10 )%8      (4.49 )%      19.25     7.65     (4.55 )% 
  

 

 

 

Based on market price

     (3.08 )%8      0.90     (5.77 )%8      (2.29 )%      19.86     6.61     (14.07 )% 
  

 

 

 
              
        Ratios to Average Net Assets                                                         

Total expenses9

     1.12 %10      1.09     1.12 %10      1.10     1.09     1.11     1.10
  

 

 

 

Total expenses after fees waived and/or reimbursed9

     1.01 %10      1.01     1.03 %10      1.05     1.07     1.11     1.10
  

 

 

 

Net investment income (loss)9

     2.10 %10      1.09     (0.13 )%10      1.17     1.49     1.97     1.37
  

 

 

 
              
        Supplemental Data                                                         

Net assets, end of period (000)

   $     699,912      $     763,986      $     836,552      $     867,986      $     995,736      $     910,481      $     959,153   
  

 

 

 

Portfolio turnover rate

     32     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   

A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year end.

 

  5   

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.

 

  6   

Taxable distribution.

 

  7   

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.

 

  8   

Aggregate total return.

 

  9   

Excludes expenses incurred indirectly as a result of investments in underlying funds as follows:

 

    

Six Months

Ended

June 30, 2016

(Unaudited)

      

Year Ended

December
31, 2015

      

Period

November 1,

2014 to

December
31, 2015

 

          

                                   
                       Year Ended October 31,
                                                       2014                   2013                   2012                   2011            

Investments in underlying funds

   0.01%        0.01%                                        —            

 

  10   

Annualized.

 

See Notes to Financial Statements.

 

124    SEMI-ANNUAL REPORT    JUNE 30, 2016     


Consolidated Financial Highlights      BlackRock Resources & Commodities Strategy Trust (BCX)   

 

    

Six Months

Ended

June 30, 2016

(Unaudited)

   

Year Ended

December
31, 2015

   

Period

November 1,

2014 to

December
31, 2014

                     

Period

March 30,

20111

through

October 31,

2011

 
           Year Ended October 31    
           2014     2013     2012    
              
        Per Share Operating Performance                                                         

Net asset value, beginning of period

   $ 8.35      $ 11.67      $ 12.50      $ 13.54      $ 15.42      $ 16.83      $ 19.10 2 
  

 

 

 

Net investment income3

     0.08        0.25        0.04        0.23        0.25        0.18        0.03   

Net realized and unrealized gain (loss)

     1.13        (2.76     (0.72     (0.27     (0.97     (0.19     (1.57
  

 

 

 

Net increase (decrease) from investment operations

     1.21        (2.51     (0.68     (0.04     (0.72     (0.01     (1.54
  

 

 

 

Distributions:4

              

From net investment income

     (0.31 )5      (0.25     (0.02     (0.31     (0.14     (0.26       

From net realized gain

                                        (0.01     (0.24

From return of capital

            (0.56     (0.13     (0.69     (1.02     (1.13     (0.46
  

 

 

 

Total distributions

     (0.31     (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

   $ 9.25      $ 8.35      $ 11.67      $ 12.50      $ 13.54      $ 15.42      $ 16.83   
  

 

 

 

Market price, end of period

   $ 7.70      $ 7.11      $ 9.71      $ 10.78      $ 11.68      $ 14.12      $ 14.95   
  

 

 

 
              
        Total Return6                                                         

Based on net asset value

     15.67 %7      (21.31 )%      (5.20 )%7      0.61     (3.61 )%8      0.90     (7.80 )%7 
  

 

 

 

Based on market price

     13.08 %7      (19.47 )%      (8.53 )%7      0.58     (9.19 )%      4.02     (21.79 )%7 
  

 

 

 
              
        Ratios to Average Net Assets                                                         

Total expenses

     1.09 %9      1.07     1.15 %9      1.35 %10      1.27     1.25     1.35 %9 
  

 

 

 

Total expenses after fees waived and/or reimbursed

     1.09 %9      1.07     1.04 %9      1.06 %10      1.07     1.05     1.13 %9 
  

 

 

 

Net investment income

     1.92 %9      2.43     2.01 %9      1.70     1.76     1.14     0.27 %9 
  

 

 

 
              
        Supplemental Data                                                         

Net assets, end of period (000)

   $     916,693      $     827,040      $     1,156,499      $     582,220      $     630,617      $     718,016      $     783,792   
  

 

 

 

Portfolio turnover rate

     56     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   

A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year end.

 

  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   

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)%.

 

  9   

Annualized.

 

  10   

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.

 

     SEMI-ANNUAL REPORT    JUNE 30, 2016    125


Financial Highlights      BlackRock Science and Technology Trust (BST)   

 

     Six Months Ended
June 30, 2016
(Unaudited)
    Year Ended
December 31, 2015
   

Period

October 30, 20141
to
December 31, 2014

 
      
        Per Share Operating Performance                         

Net asset value, beginning of period

   $ 19.70      $ 19.43      $ 19.10 2 
  

 

 

 

Net investment income (loss)3

     0.02        0.03        (0.01

Net realized and unrealized gain (loss)

     (0.34     1.44        0.48   
  

 

 

 

Net increase (decrease) from investment operations

     (0.32     1.47        0.47   
  

 

 

 

Distributions:4

      

From net investment income

     (0.60 )5      (0.03     (0.00 )6 

In excess of net investment income

            (0.01       

From return of capital

            (1.16     (0.10
  

 

 

 

Total distributions

     (0.60     (1.20     (0.10
  

 

 

 

Capital Charges with respect to the issuance of Shares

                   (0.04
  

 

 

 

Net asset value, end of period

   $ 18.78      $ 19.70      $ 19.43   
  

 

 

 

Market price, end of period

   $ 16.50      $ 17.31      $ 17.59   
  

 

 

 
      
        Total Return7                         

Based on net asset value

     (1.15 )%8      8.61     2.31 %8 
  

 

 

 

Based on market price

     (1.11 )%8      5.36     (11.55 )%8 
  

 

 

 
      
        Ratios to Average Net Assets                         

Total expenses

     1.10 %9      1.12     1.19 %9 
  

 

 

 

Total expenses after fees waived and paid indirectly

     0.90 %9      0.92     0.97 %9 
  

 

 

 

Net investment income (loss)

     0.17 %9      0.15     (0.24 )%9 
  

 

 

 
      
        Supplemental Data                         

Net assets, end of period (000)

   $     422,742      $     443,477      $     437,380   
  

 

 

 

Portfolio turnover rate

     41     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   

A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year end.

 

  6   

Amount is greater than $(0.005) per share.

 

  7   

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.

 

  8   

Aggregate total return.

 

  9   

Annualized.

 

See Notes to Financial Statements.

 

126    SEMI-ANNUAL REPORT    JUNE 30, 2016     


Financial Highlights      BlackRock Utility and Infrastructure Trust (BUI)   

 

    

Six Months

Ended

June 30, 2016

(Unaudited)

   

Year Ended

December 31,

2015

   

Period

November 1,

2014 to

December
31, 2014

               

Period

November 25,

20111

through

October 31,

2012

 
           Year Ended October 31,    
           2014     2013    
            
        Per Share Operating Performance                                                 

Net asset value, beginning of period

   $ 19.50      $ 22.47      $ 22.40      $ 20.78      $ 20.22      $ 19.10 2 
  

 

 

 

Net investment income3

     0.28        0.47        0.11        0.51        0.57        0.54   

Net realized and unrealized gain (loss)

     2.02        (1.99     0.20        2.68        1.44        1.71   
  

 

 

 

Net increase (decrease) from investment operations

     2.30        (1.52     0.31        3.19        2.01        2.25   
  

 

 

 

Distributions:4

            

From net investment income

     (0.73 )5      (0.42     (0.10     (0.51     (0.52     (0.49

From net realized gain

            (0.54            (0.37     (0.42     (0.41

From return of capital

            (0.49     (0.14     (0.69     (0.51     (0.19
  

 

 

 

Total distributions

     (0.73     (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

   $ 21.07      $ 19.50      $ 22.47      $ 22.40      $ 20.78      $ 20.22   
  

 

 

 

Market price, end of period

   $ 20.37      $ 16.78      $ 20.74      $ 20.02      $ 18.36      $ 19.03   
  

 

 

 
            
        Total Return6                                                 

Based on net asset value

     12.36 %7      (6.09 )%      1.50 %7      16.94     11.18     12.05 %7 
  

 

 

 

Based on market price

     26.23 %7      (12.45 )%      4.82 %7      18.29     4.37     0.71 %7 
  

 

 

 
            
        Ratios to Average Net Assets                                                 

Total expenses

     1.12 %8      1.11     1.17 %8      1.10     1.11     1.12 %8 
  

 

 

 

Total expenses after fees waived and/or reimbursed

     1.12 %8      1.11     1.11 %8      1.10     1.10     1.11 %8 
  

 

 

 

Total expenses after fees waived and/or reimbursed and excluding excise tax

     1.12 %8      1.11     1.11 %8      1.10     1.10     1.10 %8 
  

 

 

 

Net investment income

     2.84 %8      2.24     2.83 %8      2.36     2.83     2.94 %8 
  

 

 

 
            
        Supplemental Data                                                 

Net assets, end of period (000)

   $     356,201      $     329,747      $     379,830      $     378,762      $     351,325      $     341,939   
  

 

 

 

Portfolio turnover rate

     3     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   

A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year end.

 

  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.

 

     SEMI-ANNUAL REPORT    JUNE 30, 2016    127


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.

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 six months ended June 30, 2016, 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.

Each Trust does not isolate the portion of the results of operations arising as a result of changes in the exchange rates from the changes in the market prices of investments held or sold for financial reporting purposes. Accordingly, the effects of changes in exchange rates on investments are not segregated in the Statements of Operations from the effects of changes in market prices of those investments but are included as a component of net realized and unrealized gain (loss) from investments. Each Trust reports realized currency gains (losses) on foreign currency related transactions as components of net realized gain (loss) for financial reporting purposes, whereas such components are generally treated as ordinary income for federal income tax purposes.

Segregation and Collateralization: In cases where a Trust enters into certain investments (e.g., 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.

 

 

128    SEMI-ANNUAL REPORT    JUNE 30, 2016     


Notes to Financial Statements (continued)         

 

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 the 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 cash 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 carryforwards from pre-2012 tax years that offset realized net capital gains but do not offset current 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 taxable to shareholders at ordinary income rates. Under certain circumstances, taxable excess distributions could be significant.

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 Trusts’ 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 Trusts’ 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 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.

Correction of Previously Issued Financial Statements: For the year ended December 31, 2015, the Distributions in excess of net investment income was overstated by $168,242 within the section “Net Assets Consist of” on the Statements of Assets and Liabilities for BGY. As a result, there was a corresponding understatement of Net Assets within this section. In addition, the Statements of Changes in Net Assets and the Financial Highlights reflected the immaterial error in the Distributions in excess of net investment income and Net Assets amounts, respectively. The affiliated income disclosed in the Notes to the Schedule of Investments was overstated by $168,242 as well. Management elected to revise the financial statements to correct these errors. The corrections have no impact on the amounts previously reported for net investment income, performance or net asset value per share. In addition, there is no impact to reports previously filed for other interim or annual periods.

 

 

     SEMI-ANNUAL REPORT    JUNE 30, 2016    129


Notes to Financial Statements (continued)         

 

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 various 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 oversee of the pricing function 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 closing 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.

 

 

Each 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.

 

 

Futures contracts traded on exchanges are valued at their last sale price.

 

 

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

 

 

130    SEMI-ANNUAL REPORT    JUNE 30, 2016     


Notes to Financial Statements (continued)         

 

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 and derivative financial instruments have been included in the Schedules of Investments.

Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. In accordance with each Trust’s policy, transfers between different levels of the fair value hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investments and derivative financial instruments and is not necessarily an indication of the risks associated with investing in those securities.

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

 

 

     SEMI-ANNUAL REPORT    JUNE 30, 2016    131


Notes to Financial Statements (continued)         

 

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:

 

BOE                        
Counterparty   

Securities Loaned   

at Value   

    

Cash Collateral

Received1

    

                Net

                Amount

 

Goldman Sachs & Co.

     $1,582,304                                  $(1,582,304)                     —       
        
BME                        
Counterparty   

Securities Loaned   

at Value   

    

Cash Collateral

Received1

    

                Net

                Amount

 

Citigroup Global Markets, Inc.

     $  32,686                                 $  (32,686)                     —       

Credit Suisse Securities (USA) LLC

     120,470                                  (120,470)                     —       

Total

     $153,156                                 $(153,156)                     —       
  

 

 

 
        
BCX                        
Counterparty   

Securities Loaned   

at Value   

    

Cash Collateral

Received1

    

                Net

                Amount

 

Goldman Sachs & Co.

     $1,003,473                                 $(1,003,473)                     —       

Morgan Stanley & Co. LLC

     233,328                                  (233,328)                     —       

Total

     $1,236,801                                 $(1,236,801)                     —       
  

 

 

 
        
BST                        
Counterparty   

Securities Loaned   

at Value   

    

Cash Collateral

Received1

    

                Net

                Amount

 

Deutsche Bank Securities, Inc.

     $     30,913                                  $     (30,400)                     $     513   

JP Morgan Securities LLC

     781,190                                 (781,190)                       

Merrill Lynch, Pierce, Fenner & Smith, Inc.

     959,930                                  (944,000)                     15,930   

Total

     $1,772,033                                 $(1,755,590)                     $16,443   
  

 

 

 
        
BUI                        
Counterparty                    Securities  Loaned                   
at Value   
               Cash Collateral           
Received1
                     Net
                 Amount
 

JP Morgan Securities LLC

     $370,069                                 $(370,069)                     —       

Merrill Lynch, Pierce, Fenner & Smith, Inc.

     486,169                                  (486,169)                     —       

Total

     $856,238                                 $(856,238)                     —       
  

 

 

 

 

  1   

Collateral with a value of $1,705,953, $156,732, $1,337,693, $1,763,760 and $887,226 has been received in connection with securities lending agreements for BOE, BME, BCX, BST and BUI, 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.

 

 

132    SEMI-ANNUAL REPORT    JUNE 30, 2016     


Notes to Financial Statements (continued)         

 

5. Derivative Financial Instruments:

The Trusts engage in various portfolio investment strategies using derivative contracts both to increase the returns of the Trusts and/or to manage their exposure to certain risks such as equity risk. Derivative financial instruments categorized by risk exposure are included in the Schedule of Investments. These contracts may be transacted on an exchange or OTC.

Futures Contracts: Certain Trusts invest in long and/or short positions in futures and options on futures contracts to gain exposure to, or manage exposure to, changes in the value of equity securities (equity risk).

Futures contracts are agreements between the Trusts and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and on a specified date. Depending on the terms of a contract, it is settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash amount on the settlement date. Upon entering into a futures contract, the Trusts are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on a contract’s size and risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract.

Securities deposited as initial margin are designated in the Schedules of Investments and cash deposited, if any, is shown as cash pledged for futures contracts in the Statements of Assets and Liabilities. Pursuant to the contract, the Trusts agree to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation) and, if any, shown as variation margin receivable or payable on futures contracts in the Statements of Assets and Liabilities. When the contract is closed, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The use of futures contracts involves the risk of an imperfect correlation in the movements in the price of futures contracts and interest foreign currency exchange rates or underlying assets.

Forward Foreign Currency Exchange Contracts: Certain Trusts enter into forward foreign currency exchange contracts to gain or deduce exposure, to foreign currencies (foreign currency exchange rate risk).

A forward foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a specified date. These contracts help to manage the overall exposure to the currencies in which some of the investments held by the Trusts are denominated and in some cases, may be used to obtain exposure to a particular market.

The contract is marked to market daily and the change in market value is recorded as unrealized appreciation (depreciation) in the Statements of Assets and Liabilities. When a contract is closed, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the value at the time it was opened and the value at the time it was closed. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The use of forward foreign currency exchange contracts involves the risk that the value of a forward foreign currency exchange contract changes unfavorably due to movements in the value of the referenced foreign currencies.

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 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.

Premium paid on option purchased (and premium received on options written) as well as the daily fluctuation in market value, are included in investments at value — unaffiliated and options written at value, respectively, in the Statements of Assets and Liabilities. When an instrument is purchased or sold through the exercise of an option, the premium is offset against the cost or proceeds of the underlying instrument. When an option expires a realize a gain or loss is recorded in the Statements of Operations to the extent of the premiums received or paid. When an option is closed or sold, a gain or loss is recorded in the Statements of Operations to the extent the cost of the closing transaction exceeds the premiums received or paid). When the Trusts write a call option, such option is typically “covered,” meaning that the they hold the underlying instrument subject to being called by the option counterparty. When the Trusts write a put option, such option is covered by cash in an amount sufficient to cover the obligation.

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.

 

 

     SEMI-ANNUAL REPORT    JUNE 30, 2016    133


Notes to Financial Statements (continued)         

 

Master Netting Arrangements: In order to define their contractual rights and to secure rights that will help them mitigate their counterparty risk, the Trusts may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with their counterparties. An ISDA Master Agreement is a bilateral agreement between each Trust and a counterparty that governs certain OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, each Trust may, under certain circumstances, 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 counterparty is subject to a certain minimum transfer amount threshold before a transfer is required, which is determined at the close of business of the Trusts. Any additional required collateral is delivered to/pledged by the Trusts on the next business day. Typically, 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, interest may be paid pursuant to the collateral arrangement with the counterparty. To the extent amounts due to the Trusts from their counterparties are not fully collateralized, they bear the risk of loss from counterparty non-performance. Likewise, to the extent the Trusts have delivered collateral to a counterparty and stand ready to perform under the terms of their agreement with such counterparty, they bear the risk of loss from a counterparty in the amount of the value of the collateral in the event the counterparty fails to return such collateral. Based on the terms of agreements, collateral may not be required for all derivative contracts.

For financial reporting purposes, the Trusts do not offset derivative assets and derivative liabilities that are subject to netting arrangements, if any, in the Statements of Assets and Liabilities.

6. Investment Advisory Agreement and Other Transactions with Affiliates:

The PNC Financial Services Group, Inc. is the largest stockholder and an affiliate of BlackRock for 1940 Act purposes.

Investment Advisory

Each Trust entered into an Investment Advisory Agreement with BlackRock Advisors, LLC (the “Manager”), the Trusts’ investment adviser, an indirect, wholly owned subsidiary of BlackRock, to provide investment advisory and administration services. The Manager is responsible for the management of 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, except BCX and BST, pays the Manager a monthly fee at the following annual rates:

 

Average weekly value of each Trust’s net assets:

BGR

   1.20%                        

BDJ

   0.80%                        

BOE

   1.00%                        

BME

   1.00%                         

Average daily value of each Trust’s net assets:

CII

   0.85%    

BGY

   1.00%    

BUI

   1.00%    

    

    
 

BCX pays the Manager a monthly fee of 1.00% of the sum of the average daily value of the net assets of the Fund (excluding the value of the Fund’s interest in its subsidiary) and the average daily value of the net assets of its subsidiary, which fee is allocated pro rata between the Fund and its subsidiary based on the average daily value of their respective net assets (excluding, in the case of the Fund, the value of the Fund’s interest in its subsidiary).

 

134    SEMI-ANNUAL REPORT    JUNE 30, 2016     


Notes to Financial Statements (continued)         

 

BST pays the Manager a monthly fee of 1.00% of its average daily managed assets. “Managed Assets” mean 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).

Expense Limitations/Waivers/Reimbursements/Recoupments

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   

The Manager has voluntarily agreed to waive a portion of its investment advisory fees on the following Trusts as a percentage of average weekly net assets as follows:

 

BGR

   0.050%  

BDJ

   0.025%  

BOE

   0.050%  

The Manager has voluntarily agreed to waive 0.10% of BGY’s investment advisory fees as a percentage of its average daily net assets.

These voluntary waivers may be reduced or discontinued at any time without notice.

For the six months ended June 30, 2016, investment advisory fees waived which is included in fees waived by the Manager in the Statements of Operations were as follows:

 

BGR

   $ 105,139   

BDJ

   $ 198,537   

BOE

   $ 229,414   

BGY

   $ 353,859   

BST

   $ 410,856   

The Manager provides investment management and other services to BCX’s Subsidiary. The Manager does not receive separate compensation from the Subsidiary for providing investment management or administrative services. However, BCX pays the Manager based on the Trust’s net assets which includes the assets of the Subsidiary.

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. For the six months ended June 30, 2016, the amounts waived pursuant to this arrangement were as follows:

 

BGR

   $ 3,297     

CII

   $ 6,779     

BDJ

   $ 2,785     

BOE

   $ 10,521     

BME

   $ 4,978     

BGY

   $ 26,792     

BCX

   $ 5,825     

BST

   $ 862     

BUI

   $ 3,216     

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

 

     SEMI-ANNUAL REPORT    JUNE 30, 2016    135


Notes to Financial Statements (continued)         

 

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 re-allowed to broker-dealers engaged by BRIL.

Securities Lending

The U.S. Securities and Exchange Commission (“SEC”) has issued an exemptive order which permits BIM, an affiliate of the Manager, to serve as securities lending agent for the Trusts, subject to applicable conditions. As securities lending agent, BIM bears all operational costs directly related to securities lending. The Trusts are responsible for expenses in connection with the investment of cash collateral received for securities on loan (the “collateral investment expenses”). The cash collateral is invested in a private investment company managed by the Manager or its affiliates. However, BIM has agreed to cap the collateral investment expenses of the private investment company to an annual rate of 0.04%. The investment adviser to the private investment company will not charge any advisory fees with respect to shares purchased by the Trusts.

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 six months ended June 30, 2016, each Trust paid BIM the following amounts for securities lending agent services:

 

BGR

   $ 225     

CII

   $ 172     

BDJ

   $ 4     

BOE

   $ 3,796     

BME

   $ 387     

BGY

   $ 3,956     

BCX

   $ 8,323     

BST

   $ 4,813     

BUI

   $ 2,537     

Officers and Trustees

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.

Other Transactions

The Trusts may purchase securities from, or sell securities to, an affiliated fund provided the affiliation is due solely to having a common investment adviser, common officers, or common trustees. For the six months ended June 30, 2016, the purchase and sale transactions which resulted in net realized gains (losses) with an affiliated fund in compliance with Rule 17a-7 under the 1940 Act were as follows:

 

      Purchases                         Sales          

BCX

   $435,002                        —          

BGY

   $751,734                         —          

 

136    SEMI-ANNUAL REPORT    JUNE 30, 2016     


Notes to Financial Statements (continued)         

 

7. Purchases and Sales:

For the six months ended June 30, 2016, purchases and sales of investments, excluding short-term securities, were as follows:

 

      Purchases        Sales          

BGR

   $ 109,685,531         $ 137,297,122      

CII

   $ 192,696,649         $ 213,538,909      

BDJ

   $ 297,676,279         $ 345,917,774      

BOE

   $ 246,610,325         $ 272,384,539      

BME

   $ 75,619,580         $ 82,363,759      

BGY

   $ 207,646,362         $ 206,327,971      

BCX

   $ 479,578,427         $ 528,496,996      

BST

   $ 174,164,915         $ 187,217,640      

BUI

   $ 8,904,770         $ 17,199,697            

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 generally 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 June 30, 2016, 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.

As of December 31, 2015, 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.

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

       $ 465,644,055           $ 623,449,376           $ 1,373,837,925           $ 873,969,583           $ 206,745,144   
 

 

 

 

Gross unrealized appreciation

       $ 32,103,727           $ 34,080,057           $ 322,116,420           $ 121,767,415           $ 77,952,774   

Gross unrealized depreciation

    (30,716,537     (31,641,271     (31,977,013     (48,407,728     (2,763,730
 

 

 

 

Net unrealized appreciation

       $ 1,387,190           $ 2,438,786           $ 290,139,407           $ 73,359,687           $ 75,189,044   
 

 

 

 

 

                  BGY             BCX             BST             BUI  

Tax cost

              $ 697,394,190              $ 872,694,219              $ 360,627,995              $ 272,308,247   
  

 

 

 

Gross unrealized appreciation

              $ 49,812,541              $ 82,934,549              $ 75,890,072              $ 98,493,576   

Gross unrealized depreciation

     (49,782,570     (27,913,100     (9,493,793     (9,434,881
  

 

 

 

Net unrealized appreciation

              $ 29,971              $ 55,021,449              $ 66,396,279              $ 89,058,695   
  

 

 

 

 

     SEMI-ANNUAL REPORT    JUNE 30, 2016    137


Notes to Financial Statements (continued)         

 

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.

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       

Utilities

   BUI       

Materials

   BCX         

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.

 

138    SEMI-ANNUAL REPORT    JUNE 30, 2016     


Notes to Financial Statements (continued)         

 

BOE, BGY and BCX invests a significant portion of their assets in securities of issuers located in Europe or with significant exposure to European issuers or countries. The European financial markets have recently experienced volatility and adverse trends due to concerns about economic downturns in, or rising government debt levels of, several European countries. These events may spread to other countries in Europe and may affect the value and liquidity of certain of the Funds’ investments.

The United Kingdom has voted to withdraw from the European Union on June 23, 2016, which may introduce significant new uncertainties and instability in the financial markets across Europe.

As of period end, BOE’s and BGY’s investments had the following industry classifications:

 

Industry    BOE      BGY    

Banks

   7%      11%    

Internet Software & Services

   7%      2%    

Oil, Gas & Consumable Fuels

   7%      7%    

Beverages

   5%      7%    

Pharmaceuticals

   5%      10%    

Diversified Telecommunication Services

   3%      5%    

 

  *   All other industries held were each less than 5%.

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.

For the periods shown, shares issued and outstanding increased by the following amounts as a result of shares issued through the Shelf Offering:

 

      Six Months
Ended
June 30,
2016
        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:

 

      Six Months
Ended
June 30,
2016
       

Year Ended
December

31, 2015

BGR

   —         59,109   

BME

   25,472           117,681   

For the six months ended June 30, 2016, BGR, CII, BDJ, BOE, BGY, BCX, BST and BUI and for the year ended December 31, 2015, CII, BDJ, BOE, BGY, BCX, BST and BUI, shares issued and outstanding remained constant.

On June 9, 2016, BME filed a final prospectus with the U.S. Securities and Exchange Commission (“SEC”) allowing it to issue an additional

2,500,000 Common Shares through a Shelf Offering. Under the Shelf Offering, BME, subject to market conditions, may raise additional equity capital from time to time in varying amounts and utilizing various offering methods at a net price at or above BME’s net asset value (“NAV”) per Common Share (calculated within 48 hours of pricing). As of period end, 2,500,000 Common Shares remain available for issuance under the Shelf Offering. From August 12, 2015 to June 9, 2016, BME was authorized to issue 453,000 Common Shares under a previous Shelf Offering. See Additional Information — Shelf Offering Program for additional information about the Shelf Offering.

Costs incurred by BME in connection with the Shelf Offering are recorded as a deferred charge and amortized over 12 months.

 

     SEMI-ANNUAL REPORT    JUNE 30, 2016    139


Notes to Financial Statements (concluded)         

 

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 July 29, 2016 to shareholders of record on July 15, 2016 as follows:

 

     

Common Dividend    

Per Share    

BGR

   $0.0776    

CII

   $0.1000    

BDJ

   $0.0467    

BOE

   $0.0780    

BME

   $0.2000    

BGY

   $0.0380    

BCX

   $0.0446    

BST

   $0.1000    

BUI

   $0.1210    

Additionally, certain Trusts declared a distribution in the following amounts per share on August 31, 2016 payable to shareholders of record on August 15, 2016 as follows:

 

     

Common Dividend    

Per Share    

BGR

   $0.0776    

CII

   $0.1000    

BDJ

   $0.0467    

BOE

   $0.0780    

BME

   $0.2000    

BGY

   $0.0380    

BCX

   $0.0446    

BST

   $0.1000    

BUI

   $0.1210    

 

140    SEMI-ANNUAL REPORT    JUNE 30, 2016     


Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements         

 

The Board of Directors or Trustees, as applicable (each, a “Board,” collectively, the “Boards,” and the members of which are referred to as “Board Members”), of BlackRock Energy and Resources Trust (“BGR”), BlackRock Enhanced Capital and Income Fund, Inc. (“CII”), BlackRock Enhanced Equity Dividend Trust (“BDJ”), BlackRock Global Opportunities Equity Trust (“BOE”), BlackRock Health Sciences Trust (“BME”), BlackRock International Growth and Income Trust (“BGY”), BlackRock Resources & Commodities Strategy Trust (“BCX”), BlackRock Utility and Infrastructure Trust (“BUI”) and BlackRock Science and Technology Trust (“BST” and together with BGR, CII, BDJ, BOE, BME, BGY, BCX and BUI, each a “Trust,” and, collectively, the “Trusts”) met in person on April 28, 2016 (the “April Meeting”) and June 9-10, 2016 (the “June Meeting”) to consider the approval of each Trust’s investment advisory agreement (the “Advisory Agreement”) with BlackRock Advisors, LLC (the “Manager”), each Trust’s investment advisor. The Board of each of BGR and BCX also considered the approval of the sub-advisory agreement (the “Sub-Advisory Agreement”) among the Manager, BlackRock International Limited (the “Sub-Advisor”), and the Trust. The Manager and the Sub-Advisor are referred to herein as “BlackRock”. The Advisory Agreements and the Sub-Advisory Agreements are referred to herein as the “Agreements.”

Activities and Composition of the Board

On the date of the June Meeting, the Board of each Trust consisted of eleven individuals, nine of whom were not “interested persons” of the Trust as defined in the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Board Members”). The Board Members are responsible for the oversight of the operations of its Trust and perform the various duties imposed on the directors of investment companies by the 1940 Act. The Independent Board Members have retained independent legal counsel to assist them in connection with their duties. The Chair of each Board is an Independent Board Member. Each Board has established five standing committees: an Audit Committee, a Governance and Nominating Committee, a Compliance Committee, a Performance Oversight Committee, and an Executive Committee, each of which is chaired by an Independent Board Member and composed of Independent Board Members (except for the Executive Committee, which also has one interested Board Member).

The Agreements

Pursuant to the 1940 Act, each Board is required to consider the continuation of the Advisory Agreement for its Trust, and with respect to BGR and BCX, the Sub-Advisory Agreement, on an annual basis. Each Board has four quarterly meetings per year, each extending over two days, a fifth one-day meeting to consider specific information surrounding the consideration of renewing the Agreement(s) for its Trust and additional in-person and telephonic meetings as needed. In connection with this year-long deliberative process, each Board assessed, among other things, the nature, extent and quality of the services provided to its Trust by BlackRock, BlackRock’s personnel and affiliates, including, as applicable; investment management, administrative, and shareholder services; the oversight of fund service providers; marketing; risk oversight; compliance; and ability to meet applicable legal and regulatory requirements.

Each Board, acting directly and through its committees, considers at each of its meetings, and from time to time as appropriate, factors that are relevant to its annual consideration of the renewal of the Agreement(s) for its Trust, including the services and support provided by BlackRock to the Trust and its shareholders. BlackRock also furnished additional information to each Board in response to specific questions from the Board. This additional information is discussed further below in the section titled “Board Considerations in Approving the Agreements.” Among the matters each Board considered were: (a) investment performance for one-year, three-year, five-year, ten-year, and/or since inception periods, as applicable, against peer funds, applicable benchmarks, and performance metrics, as applicable, as well as senior management’s and portfolio managers’ analysis of the reasons for any over-performance or underperformance relative to its peers, benchmarks, and other performance metrics, as applicable; (b) fees, including advisory, administration, if applicable, paid to BlackRock and its affiliates by the Trust for services; (c) Trust operating expenses and how BlackRock allocates expenses to the Trust; (d) the resources devoted to, risk oversight of, and compliance reports relating to, implementation of the Trust’s investment objective(s), policies and restrictions, and meeting regulatory requirements; (e) the Trust’s compliance with its compliance policies and procedures; (f) the nature, cost and character of non-investment management services provided by BlackRock and its affiliates; (g) BlackRock’s and other service providers’ internal controls and risk and compliance oversight mechanisms; (h) BlackRock’s implementation of the proxy voting policies approved by the Board; (i) the use of brokerage commissions and execution quality of portfolio transactions; (j) BlackRock’s implementation of the Trust’s valuation and liquidity procedures; (k) an analysis of management fees for products with similar investment mandates across the open-end fund, closed-end fund and institutional account product channels, as applicable, and the similarities and differences between these products and the services provided as compared to the Trust; (l) BlackRock’s compensation methodology for its investment professionals and the incentives and accountability it creates, along with investment professionals’ investments in the fund(s) they manage; and (m) periodic updates on BlackRock’s business.

Board Considerations in Approving the Agreements

The Approval Process: Prior to the April Meeting, each Board requested and received materials specifically relating to the Agreement(s) for its Trust. Each Board is continuously engaged in a process with its independent legal counsel and BlackRock to review the nature and scope of the information provided to better assist its deliberations. The materials provided to the Board of each Trust in connection with the April Meeting included (a) information independently compiled and prepared by Broadridge Financial Solutions, Inc. (“Broadridge”) on Trust fees and expenses as compared with a peer group of funds as determined by Broadridge (“Expense Peers”) and the investment performance of the Trust as compared with a peer

 

     SEMI-ANNUAL REPORT    JUNE 30, 2016    141


Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements (continued)         

 

group of funds as determined by Broadridge,1 as well as the performance of the Trust as compared with its custom benchmark; (b) information on the profits realized by BlackRock and its affiliates pursuant to the Trust’s Agreement(s) and a discussion of fall-out benefits to BlackRock and its affiliates; (c) a general analysis provided by BlackRock concerning investment management fees charged to other clients, such as institutional clients, sub-advised mutual funds, and open-end funds, under similar investment mandates, as applicable; (d) review of non-management fees; (e) the existence, impact and sharing of potential economies of scale; and (f) a summary of aggregate amounts paid by the Trust to BlackRock.

At the April Meeting, each Board reviewed materials relating to its consideration of the Agreement(s) for its Trust. As a result of the discussions that occurred during the April Meeting, and as a culmination of each Board’s year-long deliberative process, each Board presented BlackRock with questions and requests for additional information. BlackRock responded to these requests with additional written information in advance of the June Meeting.

At the June Meeting, each Board, including the Independent Board Members, unanimously approved the continuation of the Advisory Agreement between the Manager and its Trust for a one-year term ending June 30, 2017. The Board of each of BGR and BCX, including the Independent Board Members, also unanimously approved the continuation of the Sub-Advisory Agreement between the Manager and the Sub-Advisor, with respect to its Trust, for a one-year term ending June 30, 2017. In approving the continuation of the Agreement(s) for its Trust, each Board considered: (a) the nature, extent and quality of the services provided by BlackRock; (b) the investment performance of the Trust; (c) the advisory fee and the cost of the services and profits to be realized by BlackRock and its affiliates from their relationship with the Trust; (d) the Trust’s costs to investors compared to the costs of Expense Peers and performance compared to the relevant performance metrics as previously discussed; (e) the sharing of potential economies of scale; (f) fall-out benefits to BlackRock and its affiliates as a result of its relationship with the Trust; and (g) other factors deemed relevant by the Board Members.

Each Board also considered other matters it deemed important to the approval process, such as other payments made to BlackRock or its affiliates relating to securities lending and cash management, services related to the valuation and pricing of Trust portfolio holdings, and advice from independent legal counsel with respect to the review process and materials submitted for the Board’s review. Each Board noted the willingness of BlackRock personnel to engage in open, candid discussions with the Board. Each Board did not identify any particular information as determinative, and each Board Member may have attributed different weights to the various items considered.

A. Nature, Extent and Quality of the Services Provided by BlackRock: Each Board, including the Independent Board Members, reviewed the nature, extent and quality of services provided by BlackRock, including the investment advisory services and the resulting performance of its Trust. Throughout the year, each Board compared its Trust’s performance to the performance of a comparable group of closed-end funds, relevant benchmark, and performance metrics, as applicable. Each Board met with BlackRock’s senior management personnel responsible for investment activities, including the senior investment officers. Each Board also reviewed the materials provided by its Trust’s portfolio management team discussing the Trust’s performance and the Trust’s investment objective(s), strategies and outlook.

Each Board considered, among other factors, with respect to BlackRock: the number, education and experience of investment personnel generally and its Trust’s portfolio management team; BlackRock’s research capabilities; investments by portfolio managers in the funds they manage; portfolio trading capabilities; use of technology; commitment to compliance; credit analysis capabilities; risk analysis and oversight capabilities; and the approach to training and retaining portfolio managers and other research, advisory and management personnel. Each Board engaged in a review of BlackRock’s compensation structure with respect to the Trust’s portfolio management team and BlackRock’s ability to attract and retain high-quality talent and create performance incentives.

In addition to investment advisory services, each Board considered the quality of the administrative and other non-investment advisory services provided to its Trust. BlackRock and its affiliates provide each Trust with certain administrative, shareholder, and other services (in addition to any such services provided to the Trust by third parties) and officers and other personnel as are necessary for the operations of the Trust. In particular, BlackRock and its affiliates provide each Trust with administrative services including, among others: (i) preparing disclosure documents, such as the prospectus and the statement of additional information in connection with the initial public offering, and with respect to BME, registration statements in connection with BME’s equity shelf program, and periodic shareholder reports; (ii) preparing communications with analysts to support secondary market trading of the Trust; (iii) preparing periodic filings with regulators; (iv) oversight of daily accounting and pricing; (v) preparing periodic filings with regulators and stock exchanges; (vi) overseeing and coordinating the activities of other service providers; (vii) organizing Board meetings and preparing the materials for such Board meetings; (viii) providing legal and compliance support; (ix) furnishing analytical and other support to assist the Board in its consideration of strategic issues such as the merger, consolidation or repurposing of certain closed-end funds; and (x) performing other administrative

 

  1    Funds are ranked by Broadridge in quartiles, ranging from first to fourth, where first is the most desirable quartile position and fourth is the least desirable.

 

142    SEMI-ANNUAL REPORT    JUNE 30, 2016     


Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements (continued)         

 

functions necessary for the operation of the Trust, such as tax reporting, fulfilling regulatory filing requirements and call center services. Each Board reviewed the structure and duties of BlackRock’s fund administration, shareholder services, and legal & compliance departments and considered BlackRock’s policies and procedures for assuring compliance with applicable laws and regulations.

B. The Investment Performance of the Trusts and BlackRock: Each Board, including the Independent Board Members, also reviewed and considered the performance history of its Trust. In preparation for the April Meeting, the Board of each Trust was provided with reports independently prepared by Broadridge, which included a comprehensive analysis of the Trust’s performance. Each Board also reviewed a narrative and statistical analysis of the Broadridge data that was prepared by BlackRock. In connection with its review, the Board of each Trust received and reviewed information regarding the investment performance, based on net asset value (NAV), of the Trust as compared to other funds in its applicable Broadridge category and the performance of the Trust as compared with its custom benchmark. Each Board was provided with a description of the methodology used by Broadridge to select peer funds and periodically meets with Broadridge representatives to review its methodology. Each Board was provided with information on the composition of the Broadridge performance universes and expense universes. Each Board and its Performance Oversight Committee regularly review, and meet with Trust management to discuss, the performance of its Trust throughout the year.

In evaluating performance, each Board recognized that the performance data reflects a snapshot of a period as of a particular date and that selecting a different performance period could produce significantly different results. Further, each Board recognized that it is possible that long-term performance can be adversely affected by even one period of significant underperformance so that a single investment decision or theme has the ability to affect long-term performance disproportionately.

The Board of BST noted that for each of the one-year and since-inception periods reported, BST exceeded its customized benchmark. BlackRock believes that performance relative to the customized benchmark is an appropriate performance metric for BST.

The Board of each of BCX and BUI noted that for each of the one-year, three-year and since-inception periods reported, its Trust exceeded its customized benchmark. The since inception period for BCX and BUI is as of the customized benchmark creation date. BlackRock believes that performance relative to the customized benchmark is an appropriate performance metric for BCX and BUI.

The Board of BME noted that for the one-year, three-year and since-inception periods reported, BME exceeded, exceeded and underperformed its customized benchmark. The since inception period for BME is as of the customized benchmark creation date. BlackRock believes that performance relative to the customized benchmark is an appropriate performance metric for BME.

The Board of BGR noted that for each of the one-year, three-year and since-inception periods reported, BGR underperformed its customized benchmark. The since inception period for BGR is as of the customized benchmark creation date. BlackRock believes that performance relative to the customized benchmark is an appropriate performance metric for BGR. The Board and BlackRock reviewed and discussed the reasons for BGR’s underperformance during these periods. The Board was informed that, among other things, poor sub-sector allocation decisions was a primary detractor, coupled with the portfolio management team’s decision to increase BGR’s oil price sensitivity.

The Board of CII noted that for the one-year, three-year and since-inception periods reported, CII exceeded, underperformed and underperformed, respectively, its customized benchmark. The since inception period for CII is as of the customized benchmark creation date. BlackRock believes that performance relative to the customized benchmark is an appropriate performance metric for CII. The Board also noted CII’s improved performance during the one-year period. The Board and BlackRock reviewed and discussed the reasons for CII’s underperformance during the three-year and since-inception periods. The Board was informed that, among other things, poor stock selection was the key driver of underperformance relative to the customized benchmark.

The Board of BDJ noted that for the one-year, three-year and since-inception periods reported, BDJ exceeded, underperformed and underperformed its customized benchmark. The since inception period for BDJ is as of the customized benchmark creation date. BlackRock believes that performance relative to the customized benchmark is an appropriate performance metric for BDJ. The Board also noted BDJ’s improved performance during the one-year period. The Board and BlackRock reviewed and discussed the reasons for BDJ’s underperformance during the three-year and since-inception periods. The Board was informed that, among other things, the largest detractor from relative performance was BDJ’s underweight and stock selection in healthcare and information technology sectors.

The Board of BOE noted that for the one-year, three-year and since-inception periods reported, BOE exceeded, underperformed and underperformed its customized benchmark. The since inception period for BOE is as of the customized benchmark creation date. BlackRock believes that performance relative to the customized benchmark is an appropriate performance metric for BOE. The Board also noted BOE’s improved performance during the one-year period. The Board and BlackRock reviewed and discussed the reasons for BOE’s underperformance during the three-year and since-inception

 

     SEMI-ANNUAL REPORT    JUNE 30, 2016    143


Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements (continued)         

 

periods. The Board was informed that, among other things, BOE’s overweight positions in developed markets and volatility stocks coupled with underweight positions in emerging markets and value stocks hindered performance during the three-year and since-inception periods.

The Board of BGY noted that for the one-year, three-year and since-inception periods reported, BGY exceeded, underperformed, and underperformed its customized benchmark. The since inception period for BGY is as of the customized benchmark creation date. BlackRock believes that performance relative to the customized benchmark is an appropriate performance metric for BGY. The Board also noted BGY’s improved performance during the one-year period. The Board and BlackRock reviewed and discussed the reasons for BGY’s underperformance during the three-year and since-inception periods. The Board was informed that, among other things, BGY’s overweight positions in developed markets and volatility stocks coupled with underweight positions in emerging markets and value stocks hindered performance during the three-year and since-inception periods.

The Board of each of BGR, CII, BDJ, BOE and BGY and BlackRock discussed BlackRock’s strategy for improving its Trust’s investment performance. Discussions covered topics such as: investment risks undertaken by the Trust; performance attribution; the Trust’s investment personnel; and the resources appropriate to support the Trust’s investment processes. Each such Board and BlackRock also discussed BlackRock’s active equity platform, and it was noted that BlackRock has recruited a Head of Global Active Equity, and has appointed a Chief Performance Officer to provide analysis of investment performance to senior management and the Board.

BlackRock and the Board of each of CII and BDJ previously had concurred, given each Trust’s poor historical performance, in making changes within the portfolio management team. Both BlackRock and the Board of each of CII and BDJ are hopeful that these changes will result in improved performance going forward, although there can be no assurance that will be the case. The Board of each of CII and BDJ will continue to monitor its Trust’s performance.

C. Consideration of the Advisory/Management Fees and the Cost of the Services and Profits to be Realized by BlackRock and its Affiliates from their Relationship with the Trusts: Each Board, including the Independent Board Members, reviewed its Trust’s contractual management fee rate compared with the other funds in its Broadridge category. The contractual management fee rate represents a combination of the advisory fee and any administrative fees, before taking into account any reimbursements or fee waivers. Each Board also compared its Trust’s total expense ratio, as well as its actual management fee rate as a percentage of total assets, to those of other funds in its Broadridge category. The total expense ratio represents a fund’s total net operating expenses, excluding any investment related expenses. The total expense ratio gives effect to any expense reimbursements or fee waivers that benefit a fund, and the actual management fee rate gives effect to any management fee reimbursements or waivers that benefit a fund. Each Board considered the services provided and the fees charged by BlackRock and its affiliates to other types of clients with similar investment mandates, as applicable, including institutional accounts and sub-advised mutual funds (including mutual funds sponsored by third parties).

Each Board received and reviewed statements relating to BlackRock’s financial condition. Each Board reviewed BlackRock’s profitability methodology and was also provided with a profitability analysis that detailed the revenues earned and the expenses incurred by BlackRock for services provided to its Trust. Each Board reviewed BlackRock’s profitability with respect to its Trust and other funds the Board currently oversees for the year ended December 31, 2015 compared to available aggregate profitability data provided for the prior two years. Each Board reviewed BlackRock’s profitability with respect to certain other U.S. fund complexes managed by the Manager and/or its affiliates. Each Board reviewed BlackRock’s assumptions and methodology of allocating expenses in the profitability analysis, noting the inherent limitations in allocating costs among various advisory products. Each Board recognized that profitability may be affected by numerous factors including, among other things, fee waivers and expense reimbursements by the Manager, the types of funds managed, precision of expense allocations and business mix. As a result, calculating and comparing profitability at individual fund level is difficult.

Each Board noted that, in general, individual fund or product line profitability of other advisors is not publicly available. Each Board reviewed BlackRock’s overall operating margin, in general, compared to that of certain other publicly-traded asset management firms. Each Board considered the differences between BlackRock and these other firms, including the contribution of technology at BlackRock, BlackRock’s expense management, and the relative product mix.

In addition, each Board considered the cost of the services provided to its Trust by BlackRock, and BlackRock’s and its affiliates’ profits relating to the management of its Trust and the other funds advised by BlackRock and its affiliates. As part of its analysis, each Board reviewed BlackRock’s methodology in allocating its costs of managing its Trust, to the Trust. Each Board may receive and review information from independent third parties as part of its annual evaluation. Each Board considered whether BlackRock has the financial resources necessary to attract and retain high quality investment management personnel to perform its obligations under the Trust’s Agreement(s) and to continue to provide the high quality of services that is expected by the Board. Each Board further considered factors including but not limited to BlackRock’s commitment of time, assumption of risk, and liability profile in servicing its Trust in contrast to what is required of BlackRock with respect to other products with similar investment mandates across the open-end fund, ETF, closed-end fund, sub-advised mutual fund and institutional account product channels, as applicable.

 

144    SEMI-ANNUAL REPORT    JUNE 30, 2016     


Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements (continued)         

 

The Board of each of CII and BUI noted that its Trust’s contractual management fee rate ranked in the first quartile, and that the actual management fee rate and total expense ratio each ranked in the first quartile, relative to the Expense Peers.

The Board of BCX noted that BCX’s contractual management fee rate ranked first out of four funds, and that the actual management fee rate and total expense ratio each ranked in the first quartile, relative to the Expense Peers.

The Board of each of BME and BST noted that its Trust’s contractual management fee rate ranked second out of four funds, and that the actual management fee rate and total expense ratio ranked in the second and first quartiles, respectively, relative to the Expense Peers.

The Board of BGR noted that BGR’s contractual management fee rate ranked in the third quartile, and that the actual management fee rate and total expense ratio each ranked in the first quartile, relative to the Expense Peers. In addition, the Board noted that BlackRock had voluntarily agreed to waive a portion of the advisory fee payable by BGR. This waiver was implemented on July 1, 2015. After discussions between the Board, including the Independent Board Members, and BlackRock, the Board and BlackRock agreed to an increase to the voluntary advisory fee waiver. This increase was implemented on July 1, 2016.

The Board of BDJ noted that BDJ’s contractual management fee rate ranked in the first quartile, and that the actual management fee rate and total expense ratio each ranked in the first quartile, relative to the Expense Peers. In addition, the Board noted that BlackRock had voluntarily agreed to waive a portion of the advisory fee payable by BDJ. This waiver was implemented on July 1, 2015. After discussions between the Board, including the Independent Board Members, and BlackRock, the Board and BlackRock agreed to remove the voluntary advisory fee waiver. This adjustment was implemented on July 1, 2016.

The Board of BOE noted that BOE’s contractual management fee rate ranked in the second quartile, and that the actual management fee rate and total expense ratio each ranked in the second quartile relative to the Expense Peers. In addition, the Board noted that BlackRock had voluntarily agreed to waive a portion of the advisory fee payable by BOE. This waiver was implemented on July 1, 2015. After discussions between the Board, including the Independent Board Members, and BlackRock, the Board and BlackRock agreed to a continuation of the voluntary advisory fee waiver.

The Board of BGY noted that BGY’s contractual management fee rate ranked in the first quartile, and that the actual management fee rate and total expense ratio each ranked in the first quartile, relative to the Expense Peers. The Board also noted that BlackRock had voluntarily agreed to waive a portion of the advisory fee payable by BGY. The Board further noted that BlackRock had agreed to an increase to the voluntary advisory fee waiver. This waiver increase was implemented on July 1, 2015. After discussions between the Board, including Independent Board Members, and BlackRock, the Board and BlackRock agreed to a continuation of the voluntary advisory fee waiver.

D. Economies of Scale: Each Board, including the Independent Board Members, considered the extent to which economies of scale might be realized as the assets of its Trust increase. Each Board also considered the extent to which its Trust benefits from such economies in a variety of ways, and whether there should be changes in the advisory fee rate or breakpoint structure in order to enable the Trust to more fully participate in these economies of scale. Each Board considered its Trust’s asset levels and whether the current fee was appropriate.

Based on each Board’s review and consideration of the issue, each Board concluded that most closed-end funds do not have fund level breakpoints because closed-end funds generally do not experience substantial growth after the initial public offering. They are typically priced at scale at a fund’s inception. The Board of BME noted that although BME may from time-to-time make additional share offerings pursuant to its equity shelf program, the growth of BME’s assets will occur primarily through the appreciation of its investment portfolio.

E. Other Factors Deemed Relevant by the Board Members: Each Board, including the Independent Board Members, also took into account other ancillary or “fall-out” benefits that BlackRock or its affiliates may derive from their respective relationships with its Trust, both tangible and intangible, such as BlackRock’s ability to leverage its investment professionals who manage other portfolios and risk management personnel, an increase in BlackRock’s profile in the investment advisory community, and the engagement of BlackRock’s affiliates as service providers to the Trust, including for administrative, securities lending and cash management services. Each Board also considered BlackRock’s overall operations and its efforts to expand the scale of, and improve the quality of, its operations. Each Board also noted that BlackRock may use and benefit from third party research obtained by soft dollars generated by certain registered fund transactions to assist in managing all or a number of its other client accounts. Each Board further noted that it had considered the investment by BlackRock’s funds in affiliated exchange traded funds (i.e., ETFs) without any offset against the management fees payable by the funds to BlackRock.

In connection with its consideration of the Agreement(s) for its Trust, each Board also received information regarding BlackRock’s brokerage and soft dollar practices. Each Board received reports from BlackRock which included information on brokerage commissions and trade execution practices throughout the year.

 

     SEMI-ANNUAL REPORT    JUNE 30, 2016    145


Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements (concluded)         

 

Each Board noted the competitive nature of the closed-end fund marketplace, and that shareholders are able to sell their Trust shares in the secondary market if they believe that the Trust’s fees and expenses are too high or if they are dissatisfied with the performance of the Trust.

Each Board also considered the various notable initiatives and projects BlackRock performed in connection with its closed-end fund product line. These initiatives included the redemption of AMPS for the BlackRock closed-end funds with AMPS outstanding; developing equity shelf programs; efforts to eliminate product overlap with fund mergers; ongoing services to manage leverage that has become increasingly complex; periodic evaluation of share repurchases and other support initiatives for certain BlackRock funds; and continued communications efforts with shareholders, fund analysts and financial advisers. With respect to the latter, the Independent Board Members noted BlackRock’s continued commitment to supporting the secondary market for the common shares of its closed-end funds through a comprehensive secondary market communication program designed to raise investor and analyst awareness and understanding of closed-end funds. BlackRock’s support services included, among other things: continuing communications concerning the redemption efforts related to AMPS; sponsoring and participating in conferences; communicating with closed-end fund analysts covering the BlackRock funds throughout the year; providing marketing and product updates for the closed-end funds; and maintaining and enhancing its closed-end fund website.

Conclusion

Each Board, including the Independent Board Members, unanimously approved the continuation of the Advisory Agreement between the Manager and its Trust for a one-year term ending June 30, 2017. The Board of each of BGR and BCX, including the Independent Board Members, also unanimously approved the continuation of the Sub-Advisory Agreement between the Manager and the Sub-Advisor, with respect to its Trust, for a one-year term ending June 30, 2017. Based upon its evaluation of all of the aforementioned factors in their totality, as well as other information, each Board, including the Independent Board Members, was satisfied that the terms of Agreement(s) for its Trust were fair and reasonable and in the best interest of the Trust and its shareholders. In arriving at its decision to approve the Agreement(s) for its Trust, each Board did not identify any single factor or group of factors as, all-important or controlling, but considered all factors together, and different Board Members may have attributed different weights to the various factors considered. The Independent Board Members were also assisted by the advice of independent legal counsel in making this determination. The contractual fee arrangements for each Trust reflect the results of several years of review by the Trust’s Board Members and predecessor Board Members, and discussions between such Board Members (and predecessor Board Members) and BlackRock. As a result, the Board Members’ conclusions may be based in part on their consideration of these arrangements in prior years.

 

146    SEMI-ANNUAL REPORT    JUNE 30, 2016     


Officers and Trustees         

 

Richard E. Cavanagh, Chair of the Board and Trustee

Karen P. Robards, Vice Chairperson of the Board and Trustee

Michael J. Castellano, Trustee

Cynthia L. Egan, Trustee

Frank J. Fabozzi, Trustee

Jerrold B. Harris, Trustee

R. Glenn Hubbard, Trustee

Catherine A. Lynch, Trustee

W. Carl Kester, Trustee

Barbara Novick , Trustee

John M. Perlowski, Trustee, President and Chief Executive Officer

Jonathan Diorio, Vice President

Neal Andrews, Chief Financial Officer

Jay Fife, Treasurer

Charles Park, Chief Compliance Officer

Janey Ahn, Secretary

 

Effective March 1, 2016, Catherine A. Lynch was appointed to serve as a Trustee of the Trusts.

Effective March 31, 2016, Alastair Bishop became a portfolio manager of BCX. The other portfolio managers are Kyle McClements, Christopher Accettella, Thomas Holl and Skye Macpherson.

Effective April 1, 2016, Cynthia L. Egan was appointed to serve as a Trustee of the Trusts.

 

       

Investment Advisor

BlackRock Advisors, LLC

Wilmington, DE 19809

 

Sub-Advisors

BlackRock International Ltd.1

Edinburgh, EH3 8BL

United Kingdom

 

Accounting Agent

The Bank of New York Mellon

Wilmington, DE 19809

 

Custodians

The Bank of New York Mellon2

New York, NY 10286

 

Brown Brothers Harriman & Co.3

Boston, MA 02109

     

Transfer Agent

Computershare Trust Company, N.A.

Canton, MA 02021

 

Independent Registered Public

Accounting Firm

Deloitte & Touche LLP

Philadelphia, PA 19103

 

Legal Counsel

Skadden, Arps, Slate, Meagher &

Flom LLP

Boston, MA 02116

 

Address of the Funds

100 Bellevue Parkway

Wilmington, DE 19809

 

1   

For BGR and BCX.

 

2   

For all Trusts except CII.

 

3   

For CII.

 

     SEMI-ANNUAL REPORT    JUNE 30, 2016    147


Additional Information         

 

 

      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.

 

      General Information

The Trusts do not make available copies of their Statements of Additional Information because the Trusts’ shares, except for BME, are not continuously offered, which means that the Statements of Additional Information of each Trust 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.

The prospectus for BME includes additional information about the Trustees of the Trusts and is available, without charge, upon request, by calling 1-800-882-0052.

During the period, there were no material changes in the Trusts’ investment objectives or policies or to the Trusts’ charters or by-laws that would delay or prevent a change of control of the Trusts that were not approved by the shareholders or in the principal risk factors associated with investment in the Trusts. 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.

 

148    SEMI-ANNUAL REPORT    JUNE 30, 2016     


Additional Information (concluded)         

 

      General Information (concluded)

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.

 

      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.

On August 12, 2015 and June 9, 2016, BME filed a final prospectus with the SEC in connection with its Shelf Offering. This report and the prospectus of BME are not offers to sell BME Common Shares or solicitations of an offer to buy BME Common Shares in any jurisdiction where such offers or sales are not permitted. The prospectus of BME contains important information about the Fund, including its investment objective, risks, charges and expenses. Investors are urged to read the prospectus of BME carefully and in its entirety before investing. Copies of the final prospectus for BME can be obtained from BlackRock at http://www.blackrock.com.

 

      Dividend Policy

Each Trust’s dividend policy is to distribute all or a portion of its net investment income to its shareholders on a monthly basis. In order to provide shareholders with a more stable level of dividend distributions, the 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.

 

     SEMI-ANNUAL REPORT    JUNE 30, 2016    149


 

 

 

 

 

 

 

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. Statements and other information herein are as dated and are subject to change.

 

 

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 CEF-BK9-6/16-SAR

 

  

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Item 2 –   Code of Ethics – Not Applicable to this semi-annual report
Item 3 –   Audit Committee Financial Expert – Not Applicable to this semi-annual report
Item 4 –   Principal Accountant Fees and Services – Not Applicable to this semi-annual report
Item 5 –   Audit Committee of Listed Registrants – Not Applicable to this semi-annual report
Item 6 –   Investments
  (a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1 of this Form.
  (b) Not Applicable due to no such divestments during the semi-annual period covered since the previous Form N-CSR filing.
Item 7 –   Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – Not Applicable to this semi-annual report
Item 8 –   Portfolio Managers of Closed-End Management Investment Companies
  (a) Not Applicable to this semi-annual report
  (b) As of the date of this filing, there have been no changes in any of the portfolio managers identified in the most recent annual report on Form N-CSR.
Item 9 –   Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not Applicable
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.
Item 12 –   Exhibits attached hereto
  (a)(1) – Code of Ethics – Not Applicable to this semi-annual report
  (a)(2) – Certifications – Attached hereto
  (a)(3) – Not Applicable
  (b) – Certifications – Attached hereto

 

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   (c) – Notices to the registrant’s common shareholders in accordance with the order under Section 6(c) of the 1940 Act granting an exemption from Section 19(b) of the 1940 Act and Rule 19b-1 under the 1940 Act, dated May 9, 20091

 

 

 

  

 

1 The Fund has received exemptive relief from the Securities and Exchange Commission permitting it to make periodic distributions of long-term capital gains with respect to its outstanding common stock as frequently as twelve times each year, and as frequently as distributions are specified by or in accordance with the terms of its outstanding preferred stock. This relief is conditioned, in part, on an undertaking by the Fund to make the disclosures to the holders of the Fund’s common shares, in addition to the information required by Section 19(a) of the 1940 Act and Rule 19a-1 thereunder. The Fund is likewise obligated to file with the SEC the information contained in any such notice to shareholders and, in that regard, has attached hereto copies of each such notice made during the period.

 

3


Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

BlackRock Health Sciences Trust

 

By:   

/s/ John M. Perlowski

  
   John M. Perlowski   
   Chief Executive Officer (principal executive officer) of
   BlackRock Health Sciences Trust

Date: September 2, 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: September 2, 2016

 

By:   

/s/ Neal J. Andrews

  
   Neal J. Andrews   
   Chief Financial Officer (principal financial officer) of
   BlackRock Health Sciences Trust

Date: September 2, 2016

 

 

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