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: 12/31/2017

Date of reporting period: 12/31/2017


Item 1 – Report to Stockholders


DECEMBER 31, 2017

 

ANNUAL REPORT

  LOGO

 

BlackRock Energy and Resources Trust (BGR)

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

BlackRock Enhanced Equity Dividend Trust (BDJ)

BlackRock Enhanced Global Dividend Trust (BOE)

BlackRock Enhanced International Dividend Trust (BGY)

BlackRock Health Sciences Trust (BME)

BlackRock Resources & Commodities Strategy Trust (BCX)

BlackRock Science and Technology Trust (BST)

BlackRock Utilities, Infrastructure & Power Opportunities Trust (BUI)

 

Not FDIC Insured • May Lose Value • No Bank Guarantee


The Markets in Review

Dear Shareholder,

In the 12 months ended December 31, 2017, risk assets, such as stocks and high-yield bonds, continued to deliver strong performance. The equity market advanced, month after month, despite geopolitical uncertainty and relatively high valuations, while bond returns were constrained by higher interest rates.

Rising interest rates worked against high-quality assets with more interest rate sensitivity. Consequently, longer-term U.S. Treasuries posted modest returns, as rising energy prices, modest wage increases, and steady job growth led to expectations of higher inflation and interest rate increases by the U.S. Federal Reserve (the “Fed”).

The market’s performance reflected reflationary expectations early in the reporting period, as investors began to sense that a global recovery was afoot. Thereafter, many countries throughout the world experienced sustained and synchronized growth for the first time since the financial crisis. Growth rates and inflation are still relatively low, but they are finally rising together.

The Fed responded to these positive developments by increasing short-term interest rates three times and setting expectations for additional interest rate increases. The Fed also began reducing the vast balance sheet reserves that had accumulated in the wake of the financial crisis. In October 2017, the Fed reduced its $4.5 trillion balance sheet by only $10 billion, while setting expectations for additional modest reductions and rate hikes in 2018.

By contrast, the European Central Bank (“ECB”) and the Bank of Japan (“BoJ”) both continued to expand their balance sheets despite nascent signs of sustained economic growth. The Eurozone and Japan are both approaching the limits of central banks’ ownership share of national debt, which is a structural pressure point that limits their capacity to deliver additional monetary stimulus. In October 2017, the ECB announced plans to cut the amount of its bond purchases in half for 2018, while the BoJ reiterated its commitment to economic stimulus until the inflation rate rises to its target of 2%.

Emerging market growth also stabilized, as accelerating growth in China, the second largest economy in the world and the most influential of all developing economies, improved the outlook for corporate profits and economic growth across most developing nations. Chinese demand for commodities and other raw materials allayed concerns about the country’s banking system, leading to rising equity prices and foreign investment flows.

While escalating tensions between the United States and North Korea and our nation’s divided politics are concerning, benign credit conditions, modest inflation, solid corporate earnings, and the positive outlook for growth in the world’s largest economies have kept markets relatively tranquil.

Rising consumer confidence and improving business sentiment are driving momentum for the U.S. economy. If the Fed maintains a measured pace of stimulus reduction, to the extent that inflation rises, it’s likely to be accompanied by rising real growth and higher wages. That could lead to a favorable combination of moderately higher inflation, steadily rising interest rates, and improving growth in 2018.

Further fueling optimism, Congress passed a sweeping tax reform bill in December 2017. The U.S. tax overhaul is likely to accentuate the reflationary themes already in place, including faster growth and rising interest rates. Changing the corporate tax rate to a flat 21% will create many winners and losers among high-and-low tax companies, while the windfall from lower taxes could boost business and consumer spending.

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

Sincerely,

 

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

 

Total Returns as of December 31, 2017
     6-month   12-month

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

  11.42%   21.83%

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

  9.20   14.65

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

  9.86   25.03

Emerging market equities
(MSCI Emerging Markets Index)

  15.92   37.28

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

  0.55   0.86

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

  (0.01)   2.07

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

  1.24   3.54

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

  1.64   4.95

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

  2.46   7.50
Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.
 

 

 

2    THIS PAGE IS NOT PART OF YOUR FUND REPORT


Supplemental Information  (unaudited)

 

Section 19(a) Notices

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

December 31, 2017

 

     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*

  $ 0.404129     $     $     $ 0.527071     $ 0.931200       43             57     100

CII*

    0.148793                   0.844807       0.993600       15                   85       100  

BDJ

    0.163613             0.396787             0.560400       29             71             100  

BOE

    0.144688       0.649691       1.491621             2.286000       6       29       65             100  

BME*

    0.025870             1.468233       0.905897       2.400000       1             61       38       100  

BGY*

    0.077022                   0.378978       0.456000       17                   83       100  

BCX*

    0.197497                   0.407703       0.605200       33                   67       100  

BST*

                0.195212       1.084788       1.280000                   15       85       100  

BUI

    0.543259             0.908741             1.452000       37             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 at http://www.blackrock.com.

Section 19(b) Disclosure

The Trusts, acting pursuant to a U.S. Securities and Exchange Commission (“SEC”) exemptive order and with the approval of each Trust’s Board of Trustees/Directors (the “Board”), each have adopted a plan, consistent with its investment objectives and policies to support a level distribution of income, capital gains and/or return of capital (the “Plan”). In accordance with the Plans, the Trusts distribute the following fixed amounts per share on a monthly basis as of December 31, 2017:

 

Exchange Symbol   Amount Per
Common Share
 

BGR

  $ 0.0776  

CII

    0.0828  

BDJ

    0.0467  

BOE

    0.0780  

BME

    0.2000  

BGY

    0.0380  

BCX

    0.0516  

BST

    0.1300  

BUI

    0.1210  

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

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

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

 

 

SUPPLEMENTAL INFORMATION      3  


Table of Contents

 

      Page   

The Markets in Review

     2  

Section 19(a) Notices

     3  

Section 19(b) Disclosure

     3  

Annual Report:

  

The Benefits and Risks of Option Over-Writing

     5  

Trust Information

     6  

Derivative Financial Instruments

     24  

Financial Statements:

  

Schedules of Investments

     25  

Statements of Assets and Liabilities

     89  

Statements of Operations

     91  

Statements of Changes in Net Assets

     93  

Statements of Cash Flows

     98  

Financial Highlights

     100  

Notes to Financial Statements

     109  

Report of Independent Registered Public Accounting Firm

     122  

Important Tax Information

     123  

Automatic Dividend Reinvestment Plans

     124  

Trustee and Officer Information

     125  

Additional Information

     128  

Glossary of Terms Used in this Report

     131  

 

 

4   


The Benefits and Risks of Option Over-Writing

 

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

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

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

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

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

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

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

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

 

 

THE BENEFITS AND RISKS OF OPTION OVER-WRITING      5  


Trust Information  as of December 31, 2017    BlackRock Energy and Resources Trust

 

Investment Objective

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

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

Trust Information

 

Symbol on New York Stock Exchange (“NYSE”)

  BGR

Initial Offering Date

  December 29, 2004

Current Distribution Rate on Closing Market Price as of December 31, 2017 ($14.18)(a)

  6.57%

Current Monthly Distribution per Common Share(b)

  $0.0776

Current Annualized Distribution per Common Share(b)

  $0.9312

 

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

Performance and Portfolio Management Commentary

Returns for the 12 months ended December 31, 2017 were as follows:

 

    Returns Based On  
     Market Price      Net Asset Value  

BGR(a)(b)

    5.11      3.49

Lipper Natural Resources Funds(c)

    7.33        1.06  

 

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

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

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

What factors influenced performance?

Oil prices, after declining in the first half of the year, staged a strong recovery once signs emerged that the oil market was tighter than many believed. Global inventories declined at a time of the year when they typically rise, suggesting limited availability of near-term supply. However, energy stocks — after falling sharply when oil prices were weak in the first half — did not stage a rebound of equal magnitude in oil’s subsequent rally. In this environment, the Trust’s positions in more leveraged exploration and production (E&P) stocks, such as Anadarko Petroleum Corp. and Hess Corp., detracted from absolute performance.

There was a distinct performance differential between integrated energy companies and E&Ps during the year, with the former outperforming. In addition, international integrated companies outpaced their U.S. counterparts. With this as the backdrop, the Trust’s holdings in Royal Dutch Shell PLC and BP PLC were the largest contributors to absolute performance.

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 positive impact on results.

Describe recent portfolio activity.

Early in the period, the investment adviser increased the Trust’s exposure to U.S. onshore energy services companies and funded the purchases by taking profits in certain E&P holdings. Later in the period, the investment adviser increased the Trust’s exposure to the integrated energy industry while reducing its allocation to certain U.S.-based E&P stocks. The latter shift included exiting the Trust’s position in Hess Corp. and reducing its weighting in EOG Resources, Inc.

Describe portfolio positioning at period end.

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

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

 

 

6    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Trust Information  as of December 31, 2017 (continued)    BlackRock Energy and Resources Trust

 

Market Price and Net Asset Value Per Share Summary

 

    

12/31/17

    

12/31/16

     Change      High      Low  

Market Price

  $ 14.18      $ 14.44        (1.80 )%     $ 14.87      $ 12.32  

Net Asset Value

    15.79        16.33        (3.31      16.57        13.61  

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

 

LOGO

Overview of the Trust’s Total Investments *

 

TEN LARGEST HOLDINGS

 

Security   12/31/17  

Chevron Corp.

    10

Royal Dutch Shell PLC — ADR, Class A

    10  

Exxon Mobil Corp.

    9  

BP PLC

    7  

ConocoPhillips

    5  

EOG Resources, Inc.

    4  

Halliburton Co.

    4  

Pioneer Natural Resources Co.

    4  

TransCanada Corp.

    3  

Devon Energy Corp.

    3  

 

  * Excludes option positions and money market funds.  

INDUSTRY ALLOCATION

 

Industry  

12/31/17

   

12/31/16

 

Oil, Gas & Consumable Fuels

    90     91

Energy Equipment & Services

    10       9  

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

 

 

 

TRUST INFORMATION      7  


Trust Information  as of December 31, 2017    BlackRock Enhanced Capital and Income Fund, Inc.

 

Investment Objective

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

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

Trust Information

 

Symbol on NYSE

  CII

Initial Offering Date

  April 30, 2004

Current Distribution Rate on Closing Market Price as of December 31, 2017 ($16.38)(a)

  6.07%

Current Monthly Distribution per Common Share(b)

  $0.0828

Current Annualized Distribution per Common Share(b)

  $0.9936

 

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

Performance and Portfolio Management Commentary

Returns for the 12 months ended December 31, 2017 were as follows:

 

    Returns Based On  
     Market Price      Net Asset Value  

CII(a)(b)

    27.54      21.69

S&P 500® Index

    N/A        21.83  

 

  (a)  All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices.  
  (b)  The Trust’s discount to NAV narrowed during the period, which accounts for the difference between performance based on market price and performance based on NAV.  

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

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

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

What factors influenced performance?

In sector terms, consumer discretionary was the prime contributor to relative performance, led by household durables and specialty retail holdings. Stock selection in energy and materials also added considerable value, as did holdings within the information technology (“IT”) sector. Conversely, utilities and financials detracted from performance.

In stock specifics, Lam Research Corp. and D.R. Horton, Inc. were top individual contributors. Lam performed very well, notably in the first half of the year, on the back of strong execution and growing demand for its products, driven by the build-out of 3D NAND capacity, for which the company is a key supplier. The stock was sold by the end of the reporting period as, in the investment adviser’s view, semiconductor capital expenditures are nearing peak levels and Lam’s valuation reflected the sustainability of above-normal demand trends. Homebuilders, including D.R. Horton, outperformed during the year on continued strength in single family housing demand, particularly among first-time, entry-level homebuyers. The investment adviser thinks that cyclical and secular drivers (particularly the return of the entry-level homebuyer) should support continued growth in housing markets for the foreseeable future and, hence, sustainable earnings per share growth that is not reflected in current homebuilder share prices.

Additional contributions came from an underweight to General Electric Co., as well as the position in Activision Blizzard, Inc.

Among the largest individual detractors in the period was Walgreens Boots Alliance. Early in the reporting period, sentiment for Walgreens’ shares was negatively affected by delays in the closing of its highly anticipated merger with peer Rite-Aid. Later, the stock underperformed on press reports that Amazon is evaluating entering the retail pharmacy market. The investment adviser ultimately sold the position on the view that the company’s over-reliance on front-of-the-store sales exposes it to potential ongoing sales and margin pressure.

Elsewhere, zero exposure to Amazon.com, Inc. and Facebook, Inc. proved disadvantageous.

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 performance during the reporting period.

 

 

8    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Trust Information  as of December 31, 2017 (continued)    BlackRock Enhanced Capital and Income Fund, Inc.

 

Describe recent portfolio activity.

Due to a combination of portfolio trading activity and market movement during the 12-month period, the Trust’s exposure to the health care sector increased, with additions in utilities and materials as well. The largest reductions were in consumer staples and energy.

Describe portfolio positioning at period end.

From a positioning standpoint, as of period end, the investment adviser continues to favor financials, particularly banks, and is also focusing on stock-specific opportunities to capture growth tied to healthy U.S. consumers. These cyclical positions are balanced with strategic allocations to more stable growers in the health care and IT sectors. The investment adviser continues to underweight defensive stocks, as well as 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

 

    

12/31/17

    

12/31/16

     Change      High      Low  

Market Price

  $ 16.38      $ 13.71        19.47    $ 16.46      $ 13.63  

Net Asset Value

    17.19        15.08        13.99        17.26        15.08  

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

 

LOGO

Overview of the Trust’s Total Investments *

 

TEN LARGEST HOLDINGS

 

Security   12/31/17  

Apple, Inc.

    5

Alphabet, Inc., Class A

    4  

Microsoft Corp.

    4  

JPMorgan Chase & Co.

    4  

Bank of America Corp.

    3  

Comcast Corp., Class A

    3  

Pfizer, Inc.

    3  

Altria Group, Inc.

    2  

Home Depot, Inc.

    2  

Wal-Mart Stores, Inc.

    2  

 

  * Excludes option positions and money market funds.  

SECTOR ALLOCATION

 

Sector  

12/31/17

   

12/31/16

 

Information Technology

    26     26

Financials

    17       17  

Health Care

    16       14  

Consumer Discretionary

    14       15  

Industrials

    7       6  

Consumer Staples

    6       9  

Energy

    6       8  

Materials

    5       4  

Utilities

    3       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.

 

 

 

TRUST INFORMATION      9  


Trust Information  as of December 31, 2017    BlackRock Enhanced Equity Dividend Trust

 

Investment Objective

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

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

Trust Information

 

Symbol on NYSE

  BDJ

Initial Offering Date

  August 31, 2005

Current Distribution Rate on Closing Market Price as of December 31, 2017 ($9.23)(a)

  6.07%

Current Monthly Distribution per Common Share(b)

  $0.0467

Current Annualized Distribution per Common Share(b)

  $0.5604

 

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

Performance and Portfolio Management Commentary

Returns for the 12 months ended December 31, 2017 were as follows:

 

    Returns Based On  
     Market Price      Net Asset Value  

BDJ(a)(b)

    20.63      15.06

Russell 1000® Value Index

    N/A        13.66  

 

  (a)  All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices.  
  (b) The Trust’s discount to NAV narrowed during the period, which accounts for the difference between performance based on market price and performance based on NAV.  

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

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

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

What factors influenced performance?

The largest contribution to performance for the 12-month period came from a combination of stock selection and allocation decisions within the health care sector. Notably, stock selection and an overweight to the health care providers & services industry and stock selection in pharmaceuticals added to relative performance. In energy, an underweight to U.S. integrated oil & gas operators and an overweight to their non-U.S.-domiciled peers proved beneficial within the oil, gas & consumable fuels industry. An underweight to the energy equipment & services industry also contributed. Lastly, a combination of stock selection within and an underweight to telecommunication services (“telecom”) contributed to relative performance, as did an underweight to the real estate sector.

The largest detractor from relative return derived from the portfolio’s cash position, as the period saw rising U.S. stock prices. Within utilities, a combination of stock selection within and an underweight to the electric utilities industry negatively impacted returns. In financials, stock selection in the insurance segment and an underweight to the diversified financial services industry detracted. At the industry level, stock selection within food & staples retailing was unfavorable.

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 12-month period, the Trust significantly boosted exposure to the health care sector. Holdings within telecom and utilities also were increased. Conversely, the Trust significantly reduced its holdings in the industrials sector. The Trust also reduced exposure to information technology (“IT”) and consumer discretionary.

Describe portfolio positioning at period end.

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

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    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Trust Information  as of December 31, 2017 (continued)    BlackRock Enhanced Equity Dividend Trust

 

Market Price and Net Asset Value Per Share Summary

 

    

12/31/17

    

12/31/16

     Change      High      Low  

Market Price

  $ 9.23      $ 8.15        13.25    $ 9.31      $ 8.13  

Net Asset Value

    9.96        9.22        8.03        10.02        9.16  

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

 

LOGO

Overview of the Trust’s Total Investments *

 

TEN LARGEST HOLDINGS

 

Security  

12/31/17

 

JPMorgan Chase & Co.

    4

Bank of America Corp.

    4  

Citigroup, Inc.

    4  

Pfizer, Inc.

    4  

Wells Fargo & Co.

    3  

Oracle Corp.

    3  

Anthem, Inc.

    3  

Royal Dutch Shell PLC — ADR

    3  

Microsoft Corp.

    2  

Suncor Energy, Inc.

    2  

 

  * Excludes option positions and money market funds.  

SECTOR ALLOCATION

 

Sector  

12/31/17

   

12/31/16

 

Financials

    29     30

Health Care

    19       14  

Energy

    12       12  

Information Technology

    10       9  

Industrials

    8       12  

Consumer Staples

    7       7  

Utilities

    5       5  

Consumer Discretionary

    4       6  

Materials

    3       3  

Telecommunication Services

    3       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.

 

 

 

TRUST INFORMATION      11  


Trust Information  as of December 31, 2017    BlackRock Enhanced Global Dividend Trust

 

Investment Objective

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

On March 22, 2017, the Trust’s Board approved a change to the Trust’s name from “BlackRock Global Opportunities Equity Trust” to “BlackRock Enhanced Global Dividend Trust.” The Board also approved changes to certain of the Trust’s non-fundamental investment policies. Please refer to the Additional Information section. These changes became effective on June 12, 2017.

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

Trust Information

 

Symbol on NYSE

  BOE

Initial Offering Date

  May 31, 2005

Current Distribution Rate on Closing Market Price as of December 31, 2017 ($12.51)(a)

  7.48%

Current Monthly Distribution per Common Share(b)

  $0.0780

Current Annualized Distribution per Common Share(b)

  $0.9360

 

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

Performance and Portfolio Management Commentary

Returns for the 12 months ended December 31, 2017 were as follows:

 

    Returns Based On  
     Market Price      Net Asset Value  

BOE(a)(b).

    28.28      17.22

MSCI All Country World Index

    N/A        23.97  

 

  (a) All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices.  
  (b) The Trust’s discount to NAV narrowed during the period, which accounts for the difference between performance based on market price and performance based on NAV.  

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

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

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

What factors influenced performance?

The Trust’s overweight to consumer staples detracted from returns, as did stock selection in the sector. In particular, exposure to tobacco stocks Imperial Brands PLC, Altria Group, Inc. and Philip Morris International, Inc. held back performance. Stock selection within materials and consumer discretionary also weighed on returns.

The leading contributor to relative performance during the period was stock selection in telecommunication services (“telecom”), notably within the diversified telecom services sub-industry, where a lack of exposure to AT&T, Inc. added to results. Positive stock selection within the financials sector contributed to returns, notably bank holdings Federal Bank Ltd. and Unicredit SpA. An underweight to utilities also boosted performance.

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

Describe recent portfolio activity.

The Trust significantly increased exposure to consumer staples, with a focus on the tobacco industry, as well as to health care, where pharmaceuticals were favored. In contrast, the Trust eliminated exposure to energy and significantly reduced its holdings in financials, mainly banks.

 

 

12    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Trust Information  as of December 31, 2017 (continued)    BlackRock Enhanced Global Dividend Trust

 

Describe portfolio positioning at period end.

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

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

Market Price and Net Asset Value Per Share Summary

 

    

12/31/17

    

12/31/16

     Change      High      Low  

Market Price

  $ 12.51      $ 11.57        8.12    $ 13.94      $ 11.57  

Net Asset Value

    13.22        13.38        (1.20      14.61        13.10  

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

 

LOGO

Overview of the Trust’s Total Investments *

 

TEN LARGEST HOLDINGS

 

Security  

12/31/17

 

British American Tobacco PLC

    4

Altria Group, Inc.

    4  

Imperial Brands PLC

    4  

Johnson & Johnson

    3  

Sanofi

    3  

Cisco Systems, Inc.

    3  

Novartis AG, Registered Shares

    3  

Philip Morris International, Inc.

    3  

Rogers Communications, Inc., Class B

    3  

Genuine Parts Co.

    3  

 

  * Excludes option positions and money market funds.  

GEOGRAPHIC ALLOCATION

 

Country   12/31/17    

12/31/16

 

United States

    42     59

United Kingdom

    16       6  

Switzerland

    10       2  

Canada

    6       1  

Australia

    4        

France

    3       2  

Taiwan

    3        

Germany

    3       2  

Belgium

    2       2  

Japan

    2       6  

Finland

    2        

Sweden

    2       (a) 

China

    (a)      3  

India

    (a)      3  

Italy

    (a)      2  

Spain

    (a)      1  

Other

    5 (b)      11 (c) 

 

  (a)  Representing less than 1% of the Trust’s total investments.  
  (b)  Other includes a 1% holding or less in each of the following countries: Denmark, Hong Kong, India and Netherlands.  
  (c)  Other includes a 1% holding or less in each of the following countries: Australia, Denmark, Hong Kong, Indonesia, Ireland, Israel, Mexico, Netherlands, New Zealand, Norway, Peru, Philippines, Portugal, South Africa, South Korea, Sweden, Taiwan and Thailand.  
 

 

 

TRUST INFORMATION      13  


Trust Information  as of December 31, 2017    BlackRock Enhanced International Dividend Trust

 

Investment Objective

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

On March 22, 2017, the Trust’s Board approved a change to the Trust’s name from “BlackRock International Growth & Income Trust” to “BlackRock Enhanced International Dividend Trust.” The Board also approved changes to certain of the Trust’s non-fundamental investment policies. Please refer to the Additional Information section. These changes became effective on June 12, 2017.

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

Trust Information

 

Symbol on NYSE

  BGY

Initial Offering Date

  May 30, 2007

Current Distribution Rate on Closing Market Price as of December 31, 2017 ($6.52)(a)

  6.99%

Current Monthly Distribution per Common Share(b)

  $0.0380

Current Annualized Distribution per Common Share(b)

  $0.4560

 

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

Performance and Portfolio Management Commentary

Returns for the 12 months ended December 31, 2017 were as follows:

 

    Returns Based On  
     Market Price      Net Asset Value  

BGY(a)(b).

    27.23      20.88

MSCI All Country World Index ex-USA

    N/A        27.19  

 

  (a) All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices.  
  (b) The Trust’s discount to NAV narrowed during the period, which accounts for the difference between performance based on market price and performance based on NAV.  

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

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

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

What factors influenced performance?

An overweight to and stock selection in health care detracted from relative performance, mainly driven by pharmaceuticals exposure. In addition, stock selection in consumer discretionary weighed on relative return, due largely to holdings within the internet and direct retail marketing industry. An overweight and stock selection in consumer staples also detracted, with tobacco holdings lagging the most. Lastly, an overweight to the materials sector constrained returns.

The leading contributor to relative performance during the period was positive stock selection within the financials sector, largely due to the Trust’s position in HDFC Bank Ltd., India’s second largest private bank. Favorable stock selection in information technology, notably within the software sector, also contributed to returns. Finally, stock selection in industrials and telecommunication services was additive.

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

Describe recent portfolio activity.

The Trust significantly increased exposure to consumer staples, with a focus on the tobacco industry, as well as to health care, where pharmaceuticals were favored. In contrast, the Trust eliminated exposure to energy and significantly reduced its holdings in financials, mainly banks.

Describe portfolio positioning at period end.

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

 

 

14    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Trust Information  as of December 31, 2017 (continued)    BlackRock Enhanced International Dividend Trust

 

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

 

    

12/31/17

    

12/31/16

     Change      High      Low  

Market Price

  $ 6.52      $ 5.51        18.33    $ 6.71      $ 5.45  

Net Asset Value

    7.06        6.28        12.42        7.10        6.28  

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

 

LOGO

Overview of the Trust’s Total Investments *

 

TEN LARGEST HOLDINGS

 

Security   12/31/17  

British American Tobacco PLC

    5

Imperial Brands PLC

    4  

Sanofi

    4  

Novartis AG, Registered Shares

    3  

Rogers Communications, Inc., Class B

    3  

TELUS Corp.

    3  

Nestle SA

    3  

WisdomTree Japan Hedged Equity Fund

    3  

Deutsche Post AG, Registered Shares

    3  

Japan Tobacco, Inc.

    3  

 

  * Excludes option positions and money market funds.  

GEOGRAPHIC ALLOCATION

 

Country   12/31/17    

12/31/16

 

United Kingdom

    19     16

Switzerland

    12       5  

Canada

    7       5  

United States

    6       8  

France

    6       9  

Netherlands

    6       6  

China

    6       5  

Australia

    5        

Japan

    5       8  

Germany

    5       6  

Taiwan

    3        

Belgium

    3       2  

Sweden

    3       1  

Finland

    2        

Hong Kong

    2       2  

India

    2       4  

South Korea

    2       3  

South Africa

    2        

Denmark

    2        

Ireland

    (a)      2  

Italy

          6  

Spain

          1  

Mexico

          1  

Other

    2 (b)      10 (c) 

 

  (a)  Representing less than 1% of the Trust’s total investments.  
  (b)  Other includes a 1% holding or less in each of the following countries: Ireland and Portugal.  
  (c)  Other includes a 1% holding or less in each of the following countries: Australia, Denmark, Indonesia, Israel, New Zealand, Norway, Peru, Philippines, Portugal, South Africa, Taiwan and Thailand.  
 

 

 

TRUST INFORMATION      15  


Trust Information  as of December 31, 2017    BlackRock Health Sciences Trust

 

Investment Objective

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

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

Trust Information

 

Symbol on NYSE

  BME

Initial Offering Date

  March 31, 2005

Current Distribution Rate on Closing Market Price as of December 31, 2017 ($36.50)(a)

  6.58%

Current Monthly Distribution per Common Share(b)

  $0.2000

Current Annualized Distribution per Common Share(b)

  $2.4000

 

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

Performance and Portfolio Management Commentary

Returns for the 12 months ended December 31, 2017 were as follows:

 

    Returns Based On  
     Market Price      Net Asset Value  

BME(a)(b)

    23.17      22.17

Russell 3000® Healthcare Index

    N/A        23.13  

 

  (a)  All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices.  
  (b)  The Trust’s premium to NAV widened during the period, which accounts for the difference between performance based on market price and performance based on NAV.  

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

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

What factors influenced performance?

Health care stocks produced strong absolute returns in 2017 amid the steady rally in the broader market. However, the sector lagged the headline indices somewhat due to investors’ preference for economically sensitive stocks.

The medical devices & supplies subsector was the sole detractor from relative performance due to underweights in the life sciences tools and health care supplies industries. However, positions in the health care equipment industry, including C.R. Bard, Inc. (which was acquired), Baxter International, Inc., Intuitive Surgical, Inc. and Stryker Corp., aided results.

The Trust generated outperformance in three out of four subsectors (health care providers & services, biotechnology and pharmaceuticals). The health care providers & services subsector had the largest positive effect on performance, largely due to the Trust’s overweight allocation to the managed care industry. Some of the key contributors in this area were UnitedHealth Group, Inc., Cigna Corp., Centene Corp., Aetna, Inc. and Anthem, Inc., all of which were bolstered by their of solid business results.

The biotechnology subsector also was a meaningful contributor to relative performance due to the investment adviser’s effective stock selection. Vertex Pharmaceuticals, Inc., which reported favorable results in its cystic fibrosis franchise earlier in the year, was a key contributor. Similarly, positions in Sarepta Therapeutics, Inc., AveXis, Inc. and Alnylam Pharmaceuticals, Inc., were notable contributors due to positive clinical developments. The Trust also benefited from an overweight position in Celgene Corp. for most of the year and then scaling back to an underweight stance before the company reported disappointing financial results in October.

In pharmaceuticals, underweight positions in Merck & Co., Inc. and Pfizer, Inc., combined with an out-of-benchmark position in AstraZeneca PLC, were the key drivers of the Trust’s positive performance.

The Trust made use of options, principally written call options on individual stocks, in order to seek enhanced income returns while continuing to participate in the performance of the underlying equities. This strategy detracted from performance given the double-digit absolute return for health care stocks in 2017.

 

 

16    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Trust Information  as of December 31, 2017 (continued)    BlackRock Health Sciences Trust

 

Describe recent portfolio activity.

The Trust increased its allocation to the medical devices & supplies subsector and reduced its weightings in the health care providers & services area. The Trust’s allocations in biotechnology and pharmaceuticals were largely unchanged.

Describe portfolio positioning at period end.

The Trust continued to employ a bottom-up, fundamental investment process in an effort to construct a balanced, diversified portfolio of health care stocks. The investment adviser continued to look for companies that can benefit from the aging demographics in both developed and developing countries, as well as those participating in the innovation occurring in the medical technology.

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

 

    

12/31/17

    

12/31/16

     Change      High      Low  

Market Price

  $ 36.50      $ 31.75        14.96    $ 38.00      $ 31.75  

Net Asset Value

    35.69        31.30        14.03        36.12        31.30  

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

 

 

LOGO

Overview of the Trust’s Total Investments *

 

TEN LARGEST HOLDINGS

 

Security  

12/31/17

 

UnitedHealth Group, Inc.

    9

Pfizer, Inc.

    4  

Medtronic PLC

    4  

Stryker Corp.

    4  

Abbott Laboratories

    4  

Amgen, Inc.

    3  

Cigna Corp.

    3  

Johnson & Johnson

    3  

Biogen, Inc.

    2  

Quest Diagnostics, Inc.

    2  

 

  * Excludes option positions and money market funds.  

INDUSTRY ALLOCATION

 

Industry   12/31/17    

12/31/16

 

Health Care Providers & Services

    25     30

Biotechnology

    25       24  

Pharmaceuticals

    24       23  

Health Care Equipment & Supplies

    23       21  

Life Sciences Tools & Services

    2       1  

Diversified Consumer Services

    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.

 

 

 

TRUST INFORMATION      17  


Trust Information  as of December 31, 2017    BlackRock Resources & Commodities Strategy Trust

 

Investment Objective

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

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

Trust Information

 

Symbol on NYSE

  BCX

Initial Offering Date

  March 30, 2011

Current Distribution Rate on Closing Market Price as of December 31, 2017 ($9.77)(a)

  6.34%

Current Monthly Distribution per Common Share(b)

  $0.0516

Current Annualized Distribution per Common Share(b)

  $0.6192

 

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

Performance and Portfolio Management Commentary

Returns for the 12 months ended December 31, 2017 were as follows:

 

    Returns Based On  
     Market Price      Net Asset Value  

BCX(a)(b)

    26.55      15.60

Lipper Natural Resources Funds(c)

    7.33        1.06  

 

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

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

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

What factors influenced performance?

The Trust’s allocation to the mining sector made a positive contribution to absolute returns in 2017. Economic data from China was better than expected, and the country’s measures to remove excess capacity in a number of industries was supportive for commodity prices such as zinc, where Chinese production fell year-over-year. Capacity rationalization, combined with solid demand and supply constraints stemming from the underinvestment in new mines in recent years, provided a highly favorable backdrop for the market. Base metals experienced the best performance, with copper and zinc moving to four- and ten-year highs, respectively. Precious metals prices also posted positive returns amid U.S. dollar weakness. While the price of iron ore declined, it remained meaningfully above analysts’ consensus and considerably higher than the lows of December 2015. The iron ore price, at these levels, supported healthy profit margins for mining companies. In this environment, the Trust’s holdings in Glencore PLC, Rio Tinto PLC and Vale SA all contributed to absolute returns.

The sandalwood producer Quintis Ltd. was the largest detractor from absolute performance. The company was the focus of a short seller report in March 2017, and in May it announced that it had lost a contract. While the contract was for a relatively small amount of product, the loss highlighted an internal control issue and raised concerns about the company’s management practices. Quintis later entered a voluntary trading halt and announced it was in discussions with multiple parties regarding debt and equity options.

The exploration & production company (“E&P”) Anadarko Petroleum Corp., which was negatively affected by the broader sell-off in energy stocks during the first half of the period, also detracted from returns. In addition, the company was linked to two operational incidents with fatalities. The Trust exited the position in November.

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 an adverse effect on results at a time of positive performance for the overall sector.

Describe recent portfolio activity.

The investment adviser increased the Trust’s weighting in the mining industry while taking profits in certain agriculture stocks that had performed well earlier in the year. It also rotated its energy holdings by exiting the E&P stocks Anadarko Petroleum Corp. and Hess Corp. and adding to positions in the integrated energy companies Chevron Corp. and Exxon Corp.

 

 

18    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Trust Information  as of December 31, 2017 (continued)    BlackRock Resources & Commodities Strategy Trust

 

The battery-materials space (lithium and cobalt, and to a lesser extent, nickel and copper) grew in prominence in 2017. Investors’ excitement about the transition to electric vehicles mounted as countries stepped up their regulatory support efforts. China, for example, announced plans to introduce a ban on vehicles powered by fossil fuels. The shift toward electric vehicles led to an improving demand outlook for the related commodities. Accordingly, the investment adviser continued to seek opportunities in this area.

Describe portfolio positioning at period end.

The energy sector represented the Trust’s largest allocation, followed by mining and agriculture, respectively.

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

Market Price and Net Asset Value Per Share Summary

 

    

12/31/17

    

12/31/16

     Change      High      Low  

Market Price

  $ 9.77      $ 8.27        18.14    $ 9.82      $ 7.76  

Net Asset Value

    10.64        9.86        7.91        10.65        9.00  

Market Price and Net Asset Value History For Past Five Years

 

LOGO

Overview of the Trust’s Total Investments *

 

TEN LARGEST HOLDINGS

 

Security   12/31/17  

Royal Dutch Shell PLC — ADR, Class A

    6

BP PLC — ADR

    6  

Chevron Corp.

    6  

Glencore PLC

    5  

Agrium, Inc.

    4  

Vale SA — ADR

    4  

Rio Tinto PLC — ADR

    3  

First Quantum Minerals Ltd.

    3  

Teck Resources Ltd.

    3  

Packaging Corp. of America

    3  

 

  * Excludes option positions and money market funds.  

INDUSTRY ALLOCATION

 

Industry   12/31/17    

12/31/16

 

Oil, Gas & Consumable Fuels

    34     34

Metals & Mining

    34       30  

Chemicals

    13       18  

Food Products

    11       5  

Energy Equipment & Services

    3       3  

Containers & Packaging

    3       6  

Paper & Forest Products

    1       1  

Machinery

    1        

Food & Staples Retailing

          2  

Other

    (a)      1 (b) 

 

  (a)  Other includes less than 1% in each of the following industries: Advertising Agencies.  
  (b)  Other includes less than 1% in each of the following industries: Building Products, Electric Utilities, Electrical Equipment, Electronic Equipment, Independent Power and Renewable Electricity Producers, Instruments & Components, Machinery, Multi-Utilities, Real Estate Investment Trusts (REITs), Semiconductors & Semiconductor Equipment and Water Utilities.  

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

 

 

 

TRUST INFORMATION      19  


Trust Information  as of December 31, 2017    BlackRock Science and Technology Trust

 

Investment Objective

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

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

Trust Information

 

Symbol on NYSE

  BST

Initial Offering Date

  October 30, 2014

Current Distribution Rate on Closing Market Price as of December 31, 2017 ($26.69)(a)

  5.84%

Current Monthly Distribution per Common Share(b)

  $0.1300

Current Annualized Distribution per Common Share(b)

  $1.5600

 

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

Performance and Portfolio Management Commentary

Returns for the 12 months ended December 31, 2017 were as follows:

 

    Returns Based On  
     Market Price      Net Asset Value  

BST(a)(b).

    57.15      45.73

MSCI World Information Technology Index

    N/A        38.23  

 

  (a) All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices.  
  (b) The Trust’s discount to NAV narrowed during the period, which accounts for the difference between performance based on market price and performance based on NAV.  

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

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

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

What factors influenced performance?

Positive contributions to the Trust’s relative performance were led by positions within the software & services group. These included mobile payment company Square Inc., video game publishers Take-Two Interactive Software, Inc., Activision Blizzard, Inc. and Nintendo Co. Ltd., and software engineering firm Altair Engineering. E-commerce holdings within the internet software & services industry also added to performance, including Chinese ecommerce giants Tencent Holdings Ltd. and Alibaba Group Holding Ltd., as well as Shopify, Inc. (Canada) and MercadoLibre, Inc. (Argentina). Positioning within semiconductor & semiconductor equipment boosted performance as well, led by SOITEC, STMicroelectronics NV, Ulvac, Inc. and LAM Research Corp.

Conversely, within the technology hardware & equipment industry group, the Trust’s underweights to consumer product firms Apple, Inc. and Samsung Electronics Co. Ltd., combined with overweight positions in handset component provider Sunny Optical Technology Co. Ltd. and chipmaker Advanced Micro Devices, Inc., detracted from performance. Other detractors included Tesla, Inc. in the automobile industry, RYB Education within consumer services and Jainpu Technology, Inc. in diversified financials.

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

Describe recent portfolio activity.

The Trust added to positions in software & services, largely within the internet software & services sub-industry, while holdings in semiconductor & semiconductor equipment and technology hardware & equipment were slightly decreased.

Describe portfolio positioning at period end.

The Trust held its largest allocation within the software & services industry group, particularly idiosyncratic opportunities within the internet software & services and application software sub-industries. The portfolio also held large allocations in more stable cash flow businesses within the semiconductor & semiconductor equipment and technology hardware & equipment industries segments. Regionally, the Trust maintained most of its exposure in North America, followed by notable weights to the emerging markets and Europe.

 

 

20    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Trust Information  as of December 31, 2017 (continued)    BlackRock Science and Technology Trust

 

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

 

    

12/31/17

    

12/31/16

     Change      High      Low  

Market Price

  $ 26.69      $ 17.94        48.77    $ 27.45      $ 17.94  

Net Asset Value

    27.73        20.10        37.96        28.93        20.10  

Market Price and Net Asset Value History Since Inception

 

LOGO

 

(a)  Commencement of operations.

Overview of the Trust’s Total Investments *

 

TEN LARGEST HOLDINGS

 

Security   12/31/17  

Tencent Holdings Ltd.

    6

Alphabet, Inc.

    6  

Apple, Inc.

    6  

Microsoft Corp.

    5  

Amazon.com, Inc.

    5  

Alibaba Group Holding Ltd. — ADR

    4  

Facebook, Inc.

    3  

Visa, Inc.

    2  

Broadcom Ltd.

    2  

Mastercard, Inc.

    2  

 

  * Excludes option positions and money market funds.  

INDUSTRY ALLOCATION

 

Industry

  12/31/17    

12/31/16

 

Internet Software & Services

    28     23

Software

    22       21  

Semiconductors & Semiconductor Equipment

    18       19  

IT Services

    10       11  

Technology Hardware, Storage & Peripherals

    7       7  

Internet & Direct Marketing Retail

    6       7  

Electronic Equipment, Instruments & Components

    2       2  

Media

    1       2  

Equity Real Estate Investment Trusts (REITs)

          4  

Diversified Telecommunication Services

          1  

Other

    6 (a)      3 (b) 

 

  (a)  Other includes a 1% holding or less in each of the following industries: Automobiles, Chemicals, Consumer Finance, Electrical Equipment, Household Durables and Real Estate Investment Trusts (REITs).  
  (b)  Other includes a 1% holding or less in each of the following industries; Communications Equipment, Hotels, Restaurants & Leisure, Professional Services, Household Durables 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.

 

 

 

TRUST INFORMATION      21  


Trust Information  as of December 31, 2017   

BlackRock Utilities, Infrastructure & Power Opportunities Trust

 

Investment Objective

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

On September 6, 2017, the Trust’s Board approved a proposal to change the name of BlackRock Utility and Infrastructure Trust to BlackRock Utilities, Infrastructure & Power Opportunities Trust. The Board also approved changes to certain of the Trust’s non-fundamental investment policies. Please refer to the Additional Information section. These changes became effective on November 27, 2017.

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

Trust Information

 

Symbol on NYSE

  BUI

Initial Offering Date

  November 25, 2011

Current Distribution Rate on Closing Market Price as of December 31, 2017 ($21.62)(a)

  6.72%

Current Monthly Distribution per Common Share(b)

  $0.1210

Current Annualized Distribution per Common Share(b)

  $1.4520

 

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

Performance and Portfolio Management Commentary

Returns for the 12 months ended December 31, 2017 were as follows:

 

    Returns Based On  
     Market Price      Net Asset Value  

BUI(a)(b)

    25.93      16.62

Lipper Utility Funds(c)

    21.54        14.34  

 

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

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

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

What factors influenced performance?

The largest contributor to performance was the Trust’s exposure to utilities. Utilities performed strongly during the period, as investors continued to seek higher-yielding equities. From an industry standpoint, stock selection in electric utilities and independent power & renewable electricity producers were the most noteworthy contributors to performance. Within the electric utilities industry, the Trust’s performance benefited from positions in Florida-based NextEra Energy, Inc. and Italian utility operator Enel SpA.

The largest detractor from performance was the Trust’s position in the energy sector, which has been negatively impacted by weak investor sentiment toward the sector. Specifically, the Trust’s position in the oil, gas, & consumable fuels industry notably detracted from performance, especially among midstream master limited partnerships Plains All American Pipeline, LP, Energy Transfer Partners, LP and Genesis Energy, LP.

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 detracted from performance during the period.

Describe recent portfolio activity.

During the period, the Trust targeted companies that will benefit from the transition to a low carbon economy, both in the utilities sector and in other industries. The investment adviser believes that we have entered a period of significant disruption during which those companies that have embraced the transition to a lower carbon

 

 

22    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Trust Information  as of December 31, 2017 (continued)   

BlackRock Utilities, Infrastructure & Power Opportunities Trust

 

world and begun to integrate renewable energy will outperform, while those that have been slow to make that transition will suffer from pressure on their business models. This has already begun in Europe, where renewable energy adoption is more advanced, but the trend is likely to affect the sector globally. The Trust’s evolution in its portfolio positioning addressed these structural shifts.

Describe portfolio positioning at period end.

The utilities sector accounted for approximately 62% of the Trust’s assets. The Trust had approximately 21% and 12% of its assets invested in the industrials and energy sectors, respectively, while the remainder was invested in other infrastructure- and power-related 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.

Market Price and Net Asset Value Per Share Summary

 

    

12/31/17

    

12/31/16

     Change      High      Low  

Market Price

  $ 21.62      $ 18.41        17.44    $ 21.72      $ 18.36  

Net Asset Value

    21.12        19.42        8.75        21.73        19.42  

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

 

LOGO

Overview of the Trust’s Total Investments *

 

TEN LARGEST HOLDINGS

 

Security   12/31/17  

NextEra Energy, Inc.

    10

Enel SpA

    5  

EDP Renovaveis SA

    4  

Dominion Energy, Inc.

    4  

National Grid PLC

    4  

Atlantia SpA

    4  

Public Service Enterprise Group, Inc.

    3  

Duke Energy Corp.

    3  

Transurban Group

    3  

Exelon Corp.

    3  

 

  * Excludes option positions and money market funds.  

INDUSTRY ALLOCATION

 

Industry  

12/31/17

   

12/31/16

 

Electric Utilities

    33     28

Multi-Utilities

    20       22  

Transportation Infrastructure

    15       14  

Oil, Gas & Consumable Fuels

    12       20  

Independent Power and Renewable Electricity Producers

    8       4  

Construction & Engineering

    3       3  

Electrical Equipment

    3    

Chemicals

    3    

Gas Utilities

    1       1  

Water Utilities

    1       2  

Real Estate Investment Trusts (REITs)

          3  

Diversified Telecommunication Services

          2  

Other

    1 (a)      1 (b) 

 

  (a)  Other includes a 1% holding or less in each of the following industries: Auto Components.  
  (b)  Other includes a 1% holding or less in each of the following industries: Road & Rail 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.

 

 

 

TRUST INFORMATION      23  


Derivative Financial Instruments

 

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

 

 

24    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  

December 31, 2017

  

BlackRock Energy and Resources Trust (BGR)

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  

Common Stocks — 101.0%

 

Energy Equipment & Services — 9.7%  

Baker Hughes(a)

    254,900     $ 8,065,036  

Halliburton Co.(a)

    403,500       19,719,045  

Patterson-UTI Energy, Inc.(a)

    219,557       5,052,007  

Precision Drilling Corp.(b)

    821,480       2,489,927  

Schlumberger Ltd.(a)

    156,724       10,561,630  
   

 

 

 
      45,887,645  
Oil, Gas & Consumable Fuels — 91.3%  

Anadarko Petroleum Corp.(a)

    234,233       12,564,258  

Andeavor(a)

    82,550       9,438,767  

BP PLC

    4,681,100       32,839,270  

Cabot Oil & Gas Corp.(a)

    295,800       8,459,880  

Cairn Energy PLC(b)

    1,581,945       4,558,586  

Canadian Natural Resources Ltd.

    400,140       14,299,355  

Chevron Corp.(a)

    396,935       49,692,293  

Cimarex Energy Co.(a)

    114,050       13,915,240  

Concho Resources, Inc.(a)(b)

    33,600       5,047,392  

ConocoPhillips(a)

    442,050       24,264,124  

Devon Energy Corp.(a)

    348,200       14,415,480  

Enbridge, Inc.

    199,200       7,790,511  

Encana Corp.

    1,067,300       14,239,158  

Eni SpA

    272,839       4,514,922  

EOG Resources, Inc.(a)

    185,700       20,038,887  

EQT Corp.(a)

    138,500       7,883,420  

Exxon Mobil Corp.(a)(c)

    491,202       41,084,135  

Kosmos Energy Ltd.(b)

    554,713       3,799,784  

Marathon Oil Corp.(a)

    598,224       10,127,932  

Noble Energy, Inc.(a)(c)

    288,992       8,421,227  

Oil Search Ltd.

    1,063,613       6,439,761  

Phillips 66(a)

    50,150       5,072,672  

Pioneer Natural Resources Co.(a)

    99,976       17,280,852  
Security   Shares     Value  
Oil, Gas & Consumable Fuels (continued)  

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

    698,200     $ 46,576,922  

Royal Dutch Shell PLC, Class A

    353,298       11,794,213  

TOTAL SA

    119,603       6,602,071  

TransCanada Corp.

    296,200       14,416,481  

Valero Energy Corp.(a)

    155,900       14,328,769  
   

 

 

 
      429,906,362  
   

 

 

 

Total Long-Term Investments — 101.0%
(Cost — $426,013,729)

 

    475,794,007  
   

 

 

 

Short-Term Securities — 0.8%

 

BlackRock Liquidity Funds, T-Fund, Institutional Class,

   

1.18%(d)(e)

    3,870,844       3,870,844  
   

 

 

 

Total Short-Term Securities — 0.8%
(Cost — $3,870,844)

 

    3,870,844  
   

 

 

 

Total Investments Before Options Written — 101.8%
(Cost — $429,884,573)

 

    479,664,851  
   

 

 

 

Options Written — (1.7)%
(Premiums Received — $3,469,397)

 

    (7,819,321
   

 

 

 

Total Investments, Net of Options Written — 100.1%
(Cost — $426,415,176)

 

    471,845,530  

Liabilities in Excess of Other Assets — (0.1)%

 

    (783,604
   

 

 

 

Net Assets — 100.0%

 

  $ 471,061,926  
   

 

 

 

 

(a) All or a portion of security has been pledged and/or segregated as collateral in connection with outstanding exchange-traded options written.
(b) Non-income producing security.
(c)  All or a portion of the security has been pledged as collateral in connection with outstanding OTC derivatives.
(d) Annualized 7-day yield as of period end.
 
(e) During the year ended December 31, 2017, investments in issuers considered to be affiliates of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate    Shares
Held at
12/ 31/16
     Net
Activity
     Shares
Held at
12/31/17
     Value at
12/31/17
     Income      Net
Realized
Gain (Loss)
 (a)
     Change in
Unrealized
Appreciation
(Depreciation)
 

BlackRock Liquidity Funds, T-Fund, Institutional Class

     3,936,617        (65,773      3,870,844      $ 3,870,844      $ 47,600      $ 20      $  

SL Liquidity Series, LLC, Money Market Series

                                 22,641 (b)               
               

 

 

    

 

 

    

 

 

    

 

 

 
   $ 3,870,844      $ 70,241      $ 20      $  
  

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a)  Includes net capital gain distributions, if applicable.  
  (b)  Represents securities lending income earned from the reinvestments of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities.  

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

Derivative Financial Instruments Outstanding as of Period End

Exchange-Traded Options Written

 

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

Call

                          

Anadarko Petroleum Corp.

     136          01/05/18        USD     50.00        USD     730        $ (48,620

Andeavor

     90          01/05/18        USD     109.00        USD     1,029          (51,750

Cabot Oil & Gas Corp.

     255          01/05/18        USD     30.00        USD     729          (2,550

 

 

SCHEDULES OF INVESTMENTS      25  


Schedule of Investments  (continued)

December 31, 2017

  

BlackRock Energy and Resources Trust (BGR)

 

Exchange-Traded Options Written (continued)

 

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

Call (continued)

                          

Devon Energy Corp.

     274          01/05/18        USD     38.00        USD     1,134        $ (91,105

Exxon Mobil Corp.

     273          01/05/18        USD     81.50        USD     2,283          (64,155

Exxon Mobil Corp.

     166          01/05/18        USD     83.50        USD     1,388          (10,209

Halliburton Co.

     326          01/05/18        USD     42.00        USD     1,593          (235,535

Royal Dutch Shell PLC — ADR, Class A

     85          01/05/18        USD     65.01        USD     567          (14,747

Royal Dutch Shell PLC — ADR, Class A

     171          01/10/18        USD     63.80        USD     1,141          (48,852

Exxon Mobil Corp.

     242          01/11/18        USD     83.00        USD     2,024          (28,168

Anadarko Petroleum Corp.

     177          01/12/18        USD     50.50        USD     949          (58,852

Chevron Corp.

     204          01/12/18        USD     121.00        USD     2,554          (95,880

ConocoPhillips

     328          01/12/18        USD     53.00        USD     1,800          (72,816

Devon Energy Corp.

     212          01/12/18        USD     38.00        USD     878          (75,260

EOG Resources, Inc.

     525          01/12/18        USD     104.00        USD     5,665          (233,625

Exxon Mobil Corp.

     121          01/12/18        USD     84.00        USD     1,012          (7,139

Exxon Mobil Corp.

     165          01/12/18        USD     83.50        USD     1,380          (14,272

Halliburton Co.

     380          01/12/18        USD     44.50        USD     1,857          (171,950

Royal Dutch Shell PLC — ADR, Class A

     514          01/12/18        USD     64.00        USD     3,429          (146,490

Schlumberger Ltd.

     206          01/12/18        USD     65.50        USD     1,388          (48,307

Anadarko Petroleum Corp.

     361          01/19/18        USD     50.00        USD     1,936          (139,888

Andeavor

     85          01/19/18        USD     113.00        USD     972          (25,287

Baker Hughes

     209          01/19/18        USD     35.00        USD     661          (1,567

Cabot Oil & Gas Corp.

     250          01/19/18        USD     29.00        USD     715          (13,750

Chevron Corp.

     201          01/19/18        USD     115.00        USD     2,516          (214,065

Cimarex Energy Co.

     162          01/19/18        USD     115.00        USD     1,977          (126,360

Concho Resources, Inc.

     58          01/19/18        USD     145.00        USD     871          (38,570

ConocoPhillips

     307          01/19/18        USD     52.50        USD     1,685          (84,579

Devon Energy Corp.

     273          01/19/18        USD     39.00        USD     1,130          (75,894

EQT Corp.

     241          01/19/18        USD     62.50        USD     1,372          (4,217

Enbridge, Inc.

     85          01/19/18        CAD     48.00        CAD     418          (9,873

Enbridge, Inc.

     220          01/19/18        CAD     50.00        CAD     1,082          (5,688

Encana Corp.

     242          01/19/18        CAD     17.00        CAD     406          (6,931

Encana Corp.

     259          01/19/18        CAD     16.00        CAD     434          (20,089

Exxon Mobil Corp.

     176          01/19/18        USD     82.50        USD     1,472          (30,712

Halliburton Co.

     380          01/19/18        USD     45.00        USD     1,857          (154,850

Halliburton Co.

     327          01/19/18        USD     42.80        USD     1,598          (204,482

Marathon Oil Corp.

     603          01/19/18        USD     15.00        USD     1,021          (120,902

Noble Energy, Inc.

     506          01/19/18        USD     27.50        USD     1,474          (98,670

Patterson — UTI Energy, Inc.

     400          01/19/18        USD     21.00        USD     920          (88,000

Pioneer Natural Resources Co.

     230          01/19/18        USD     160.00        USD     3,976          (315,100

Schlumberger Ltd.

     206          01/19/18        USD     65.00        USD     1,388          (63,757

TransCanada Corp.

     759          01/19/18        CAD     64.00        CAD     4,644          (2,415

Valero Energy Corp.

     230          01/19/18        USD     77.50        USD     2,114          (337,525

Valero Energy Corp.

     195          01/19/18        USD     82.50        USD     1,792          (188,663

Chevron Corp.

     114          01/23/18        USD     118.00        USD     1,427          (84,417

Royal Dutch Shell PLC — ADR, Class A

     172          01/25/18        USD     62.51        USD     1,147          (69,863

Anadarko Petroleum Corp.

     145          01/26/18        USD     48.50        USD     778          (79,025

Andeavor

     113          01/26/18        USD     113.00        USD     1,292          (38,137

Cabot Oil & Gas Corp.

     280          01/26/18        USD     28.00        USD     801          (34,300

Chevron Corp.

     361          01/26/18        USD     120.00        USD     4,519          (212,990

ConocoPhillips

     371          01/26/18        USD     53.00        USD     2,036          (117,236

ConocoPhillips

     104          01/26/18        USD     54.00        USD     571          (18,616

Devon Energy Corp.

     407          01/26/18        USD     39.00        USD     1,685          (118,234

EOG Resources, Inc.

     62          01/26/18        USD     104.00        USD     669          (31,000

Exxon Mobil Corp.

     576          01/26/18        USD     83.50        USD     4,818          (73,152

Marathon Oil Corp.

     698          01/26/18        USD     15.00        USD     1,182          (142,043

Phillips 66

     175          01/26/18        USD     101.00        USD     1,770          (33,250

Pioneer Natural Resources Co.

     29          01/26/18        USD     155.00        USD     501          (53,215

Pioneer Natural Resources Co.

     91          01/26/18        USD     162.50        USD     1,573          (108,745

Royal Dutch Shell PLC — ADR, Class A

     86          01/31/18        USD     64.97        USD     574          (18,244

Marathon Oil Corp.

     81          02/02/18        USD     17.50        USD     137          (3,726

Concho Resources, Inc.

     59          02/05/18        USD     141.00        USD     886          (60,813

Cabot Oil & Gas Corp.

     250          02/16/18        USD     29.00        USD     715          (25,000

Canadian Natural Resources Ltd.

     89          02/16/18        CAD     46.00        CAD     400          (5,912

 

 

26    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (continued)

December 31, 2017

  

BlackRock Energy and Resources Trust (BGR)

 

Exchange-Traded Options Written (continued)

 

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

Call (continued)

                          

Chevron Corp.

     309          02/16/18        USD     125.00        USD     3,868        $ (96,563

ConocoPhillips

     437          02/16/18        USD     55.00        USD     2,399          (77,786

Noble Energy, Inc.

     505          02/16/18        USD     27.50        USD     1,472          (116,150

Patterson — UTI Energy, Inc.

     184          02/16/18        USD     23.00        USD     423          (24,840

Precision Drilling Corp.

     700          02/16/18        CAD     4.00        CAD     267          (11,973

TransCanada Corp.

     277          02/16/18        CAD     64.00        CAD     1,695          (5,950

Valero Energy Corp.

     120          02/16/18        USD     92.50        USD     1,103          (32,400
                          

 

 

 
                           $ (5,585,696
                          

 

 

 

OTC Options Written

 

Description    Counterparty    Number of
Contracts
    

Expiration

Date

    

Exercise

Price

     Notional
Amount (000)
     Value  

Call

                     

Canadian Natural Resources Ltd.

   Deutsche Bank AG      95,700        01/03/18        CAD       44.40        CAD       4,299      $ (54,471

Chevron Corp.

   Bank of America N.A.      20,000        01/04/18        USD       116.22        USD       2,504        (180,012

Marathon Oil Corp.

   Bank of America N.A.      13,700        01/08/18        USD       16.00        USD       232        (13,704

Encana Corp.

   Royal Bank of Canada      43,500        01/09/18        CAD       13.70        CAD       729        (106,409

BP PLC

   Goldman Sachs International      494,200        01/10/18        GBP       5.00        GBP       2,570        (136,445

Royal Dutch Shell PLC — ADR, Class A

   Goldman Sachs International      7,000        01/10/18        GBP       24.26        GBP       173        (5,318

Total SA

   Goldman Sachs International      42,000        01/10/18        EUR       47.78        EUR       1,932        (944

Enbridge, Inc.

   Morgan Stanley & Co. International PLC      39,200        01/11/18        CAD       49.78        CAD       1,927        (8,269

Encana Corp.

   Deutsche Bank AG      26,000        01/11/18        CAD       15.82        CAD       436        (21,471

Oil Search Ltd.

   Morgan Stanley & Co. International PLC      207,000        01/12/18        AUD       7.58        AUD       1,606        (39,810

Cimarex Energy Co.

   Morgan Stanley & Co. International PLC      9,400        01/16/18        USD       116.60        USD       1,147        (57,328

Eni SpA

   UBS AG      65,500        01/23/18        EUR       13.89        EUR       903        (12,770

BP PLC

   Morgan Stanley & Co. International PLC      384,000        01/25/18        GBP       5.08        GBP       1,997        (82,829

Royal Dutch Shell PLC — ADR, Class A

   Goldman Sachs International      116,700        01/25/18        GBP       24.17        GBP       2,886        (114,652

Baker Hughes

   UBS AG      31,000        01/29/18        USD       32.37        USD       981        (21,616

Devon Energy Corp.

   UBS AG      5,200        01/29/18        USD       38.25        USD       215        (18,125

Cimarex Energy Co.

   Deutsche Bank AG      14,300        01/30/18        USD       114.82        USD       1,745        (116,238

BP PLC

   Goldman Sachs International      301,000        01/31/18        GBP       4.96        GBP       1,565        (106,724

Marathon Oil Corp.

   UBS AG      57,400        01/31/18        USD       15.62        USD       972        (86,042

Patterson-UTI Energy, Inc.

   UBS AG      18,400        01/31/18        USD       21.49        USD       423        (36,586

Oil Search Ltd.

   Citibank N.A.      165,200        02/01/18        AUD       7.44        AUD       1,282        (53,638

Encana Corp.

   Deutsche Bank AG      101,000        02/05/18        CAD       15.25        CAD       1,694        (138,546

BP PLC

   Goldman Sachs International      230,000        02/09/18        GBP       5.13        GBP       1,196        (49,691

Royal Dutch Shell PLC — ADR, Class A

   UBS AG      141,500        02/09/18        USD       64.85        USD       9,439        (338,793

EQT Corp.

   Citibank N.A.      24,300        02/12/18        USD       57.89        USD       1,383        (42,009

Baker Hughes

   Credit Suisse International      37,300        02/13/18        USD       31.66        USD       1,180        (48,767

Encana Corp.

   Deutsche Bank AG      153,000        02/21/18        CAD       14.65        CAD       2,566        (291,851

Eni SpA

   Goldman Sachs International      30,000        02/21/18        EUR       14.23        EUR       414        (4,639

BP PLC

   Goldman Sachs International      230,000        02/27/18        GBP       5.13        GBP       1,196        (45,928
                     

 

 

 
   $ (2,233,625
  

 

 

 

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 as follows:

 

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

Liabilities — Derivative Financial Instruments

                    

Options written

                    

Options written at value

   $      $      $ 7,819,321      $ –—      $ –—      $ –—      $ 7,819,321  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

 

SCHEDULES OF INVESTMENTS      27  


Schedule of Investments  (continued)

December 31, 2017

  

BlackRock Energy and Resources Trust (BGR)

 

For the year ended December 31, 2017, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

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

Net Realized Gain (Loss) from:

                    

Options purchased(a)

   $      $      $ (1,574    $      $      $      $ (1,574

Options written

                   4,664,828                             4,664,828  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $      $      $ 4,663,254      $      $      $      $ 4,663,254  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

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

  

Net Change in Unrealized Appreciation (Depreciation) on:                                                 

Options written

   $      $      $ (3,002,178    $      $      $      $ (3,002,178
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Options:

 

Average value of option contracts purchased

   $ 2,583 (a) 

Average value of option contracts written

   $ 5,242,482  

 

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

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

Derivative Financial Instruments — Offsetting as of Period End

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

 

      Assets        Liabilities  

Derivative Financial Instruments:

       

Options

   $        $ 7,819,321  
  

 

 

      

 

 

 

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

              (5,585,696
  

 

 

      

 

 

 

Total derivative assets and liabilities subject to an MNA

   $        $ 2,233,625  
  

 

 

      

 

 

 

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

 

Counterparty   

Derivative
Liabilities
Subject to

an MNA by
Counterparty

       Derivatives
Available
for Offset
       Non-cash
Collateral
Pledged 
(a)
       Cash
Collateral
Pledged
       Net Amount
of Derivative
Liabilities
 (b)
 

Bank of America N.A.

   $ 193,716        $        $        $        $ 193,716  

Citibank N.A.

     95,647                                     95,647  

Credit Suisse International

     48,767                                     48,767  

Deutsche Bank AG

     622,577                   (622,577                  

Goldman Sachs International

     464,341                   (464,341                  

Morgan Stanley & Co. International PLC

     188,236                   (188,236                  

Royal Bank of Canada

     106,409                                     106,409  

UBS AG

     513,932                   (513,932                  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 
   $ 2,233,625        $        $ (1,789,086      $        $ 444,539  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a)  Excess of collateral received from the individual counterparty is not shown for financial reporting purposes  
  (b)  Net amount represents the net amount payable due to counterparty in the event of default. Net amount may be offset further by the options written receivable/payable on the Statements of Assets and Liabilities.  

 

 

28    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (continued)

December 31, 2017

  

BlackRock Energy and Resources Trust (BGR)

 

Fair Value Hierarchy as of Period End

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

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

 

      Level 1        Level 2        Level 3        Total  

Assets:

                 

Investments:

                 

Common Stocks:

                 

Energy Equipment & Services

   $ 45,887,645        $        $        $ 45,887,645  

Oil, Gas & Consumable Fuels

     363,157,539          66,748,823                   429,906,362  

Short-Term Securities

     3,870,844                            3,870,844  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 412,916,028        $ 66,748,823        $        $ 479,664,851  
  

 

 

      

 

 

      

 

 

      

 

 

 

Derivative Financial Instruments(a)

                 

Liabilities:

                 

Equity contracts

   $ (5,056,110      $ (2,763,211      $        $ (7,819,321
  

 

 

      

 

 

      

 

 

      

 

 

 

 

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

During the year ended December 31, 2017, there were no transfers between levels.

See notes to financial statements.

 

 

SCHEDULES OF INVESTMENTS      29  


Schedule of Investments  

December 31, 2017

  

BlackRock Enhanced Capital and Income Fund (CII)

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  

Common Stocks — 101.0%

 

Airlines — 1.6%  

Delta Air Lines, Inc.(a)

    214,585     $ 12,016,760  
   

 

 

 
Auto Components — 1.1%  

Goodyear Tire & Rubber Co.(a)

    248,901       8,041,991  
   

 

 

 
Banks — 12.8%  

Bank of America Corp.(a)(b)

    776,321       22,916,996  

Citigroup, Inc.(a)

    152,613       11,355,933  

JPMorgan Chase & Co.(a)(b)

    265,036       28,342,950  

Regions Financial Corp.(a)

    340,055       5,876,150  

SunTrust Banks, Inc.(a)

    216,915       14,010,540  

U.S. Bancorp(a)

    275,802       14,777,471  
   

 

 

 
      97,280,040  
Biotechnology — 3.9%  

Biogen, Inc.(a)(c)

    49,466       15,758,384  

Gilead Sciences, Inc.(a)

    195,253       13,987,925  
   

 

 

 
      29,746,309  
Capital Markets — 2.5%  

E*Trade Financial Corp.(a)(c)

    162,426       8,051,457  

Goldman Sachs Group, Inc.(a)

    41,642       10,608,716  
   

 

 

 
      18,660,173  
Chemicals — 2.4%  

DowDuPont, Inc.(a)

    256,230       18,248,701  
   

 

 

 
Communications Equipment — 2.1%  

Cisco Systems, Inc.(a)

    423,773       16,230,506  
   

 

 

 
Consumer Finance — 1.0%  

SLM Corp.(a)(c)

    674,907       7,626,449  
   

 

 

 
Containers & Packaging — 1.8%  

Avery Dennison Corp.

    45,452       5,220,617  

Packaging Corp. of America(a)

    72,448       8,733,606  
   

 

 

 
      13,954,223  
Electric Utilities — 2.4%  

FirstEnergy Corp.(a)

    319,060       9,769,617  

PG&E Corp.

    195,063       8,744,674  
   

 

 

 
      18,514,291  
Electronic Equipment, Instruments & Components — 2.5%  

CDW Corp.(a)

    165,537       11,503,166  

Flex Ltd.(a)(c)

    419,525       7,547,255  
   

 

 

 
      19,050,421  
Food & Staples Retailing — 3.7%  

CVS Health Corp.(a)

    131,135       9,507,288  

Wal-Mart Stores, Inc.(a)

    184,954       18,264,207  
   

 

 

 
      27,771,495  
Health Care Equipment & Supplies — 1.4%  

Baxter International, Inc.(a)

    159,748       10,326,111  
   

 

 

 
Health Care Providers & Services — 6.9%  

Centene Corp.(a)(c)

    84,167       8,490,767  

DaVita, Inc.(a)(c)

    32,140       2,322,115  

Humana, Inc.(a)

    60,029       14,891,394  

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

    54,736       8,730,939  

UnitedHealth Group, Inc.(a)

    80,945       17,845,135  
   

 

 

 
      52,280,350  
Hotels, Restaurants & Leisure — 1.4%  

Carnival Corp.(a)

    156,949       10,416,705  
   

 

 

 
Household Durables — 3.0%  

D.R. Horton, Inc.(a)

    293,732       15,000,893  

Lennar Corp., Class A(a)

    56,198       3,553,962  
Security   Shares     Value  
Household Durables (continued)  

NVR, Inc.(c)

    1,191     $ 4,178,290  
   

 

 

 
      22,733,145  
Household Products — 0.2%  

Energizer Holdings, Inc.

    36,579       1,755,060  
   

 

 

 
Industrial Conglomerates — 0.8%  

General Electric Co.(a)

    346,750       6,050,788  
   

 

 

 
Insurance — 1.2%  

Assured Guaranty Ltd.

    22,075       747,680  

Hartford Financial Services Group, Inc.(a)

    143,480       8,075,055  
   

 

 

 
      8,822,735  
Internet Software & Services — 4.5%  

Alphabet, Inc., Class A(a)(c)

    32,477       34,211,272  
   

 

 

 
IT Services — 2.4%  

Amdocs Ltd.(a)

    87,430       5,724,916  

Cognizant Technology Solutions Corp., Class A(a)

    175,242       12,445,687  
   

 

 

 
      18,170,603  
Machinery — 1.4%  

Fortive Corp.(a)

    112,008       8,103,779  

WABCO Holdings, Inc.(a)(c)

    18,276       2,622,606  
   

 

 

 
      10,726,385  
Media — 2.8%  

Comcast Corp., Class A(a)

    520,970       20,864,848  
   

 

 

 
Metals & Mining — 1.0%  

Rio Tinto PLC — ADR(a)

    144,836       7,666,169  
   

 

 

 
Multi-Utilities — 0.6%  

Public Service Enterprise Group, Inc.

    84,331       4,343,047  
   

 

 

 
Oil, Gas & Consumable Fuels — 5.7%  

BP PLC — ADR(a)

    193,710       8,141,631  

Chevron Corp.(a)

    126,467       15,832,404  

Marathon Oil Corp.(a)

    123,939       2,098,287  

Suncor Energy, Inc.(a)

    344,958       12,666,858  

TOTAL SA — ADR(a)

    82,804       4,577,405  
   

 

 

 
      43,316,585  
Pharmaceuticals — 3.8%  

Novo Nordisk A/S — ADR(a)

    148,045       7,945,575  

Pfizer, Inc.(a)

    573,486       20,771,663  
   

 

 

 
      28,717,238  
Professional Services — 0.7%            

Robert Half International, Inc.(a)

    99,881       5,547,391  
   

 

 

 
Road & Rail — 2.1%            

Norfolk Southern Corp.(a)

    107,869       15,630,218  
   

 

 

 
Software — 9.3%            

Activision Blizzard, Inc.(a)

    182,800       11,574,896  

Dell Technologies, Inc., Class V(a)(c)

    111,063       9,027,201  

Microsoft Corp.(a)

    388,649       33,245,035  

Oracle Corp.(a)

    356,269       16,844,398  
   

 

 

 
      70,691,530  
Specialty Retail — 6.0%            

Home Depot, Inc.(a)

    98,936       18,751,340  

Lowe’s Cos., Inc.(a)

    176,344       16,389,411  

Urban Outfitters, Inc.(a)(c)

    303,473       10,639,764  
 

 

 

 
    45,780,515  
Technology Hardware, Storage & Peripherals — 5.5%        

Apple, Inc.(a)(b)

    243,966       41,286,366  
   

 

 

 
Tobacco — 2.5%        

Altria Group, Inc.(a)

    267,235       19,083,251  
 

 

 

 

Total Long-Term Investments — 101.0%
(Cost — $580,255,041)

 

    765,561,671  
 

 

 

 
 

 

 

30    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (continued)

December 31, 2017

  

BlackRock Enhanced Capital and Income Fund (CII)

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  

Short-Term Securities — 0.4%

 

 

BlackRock Liquidity Funds, T-Fund, Institutional Class,
1.18%(d)(e)

    3,142,974     $ 3,142,974  
   

 

 

 

Total Short-Term Securities — 0.4%
(Cost — $3,142,974)

 

    3,142,974  
 

 

 

 

Total Investments Before Options Written — 101.4%
(Cost — $583,398,015)

 

    768,704,645  
 

 

 

 

Options Written — (1.3)%
(Premiums Received — $7,775,720)

 

    (9,801,813
 

 

 

 

Total Investments, Net of Options Written — 100.1%
(Cost — $575,622,295)

 

    758,902,832  

Liabilities in Excess of Other Assets — (0.1)%

 

    (502,563
 

 

 

 

Net Assets — 100.0%

 

  $ 758,400,269  
 

 

 

 

 

(a) All or a portion of security has been pledged and/or segregated as collateral in connection with outstanding exchange-traded options written.
(b)  All or a portion of the security has been pledged as collateral in connection with outstanding OTC derivatives.
(c) Non-income producing security.
(d) Annualized 7-day yield as of period end.
 
(e) During the year ended December 31, 2017, investments in issuers considered to be affiliates of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate    Shares
Held at
12/31/16
     Net
Activity
     Shares
Held at
12/31/17
     Value at
12/31/17
     Income      Net
Realized

Gain (Loss) (a)
     Change in
Unrealized

Appreciation
(Depreciation)
 

BlackRock Liquidity Funds, T-Fund, Institutional Class

     24,715,046        (21,572,072      3,142,974      $ 3,142,974      $ 70,831      $ 15      $  

SL Liquidity Series, LLC, Money Market Series

     695,518        (695,518                    1,191 (b)              (54
              

 

 

    

 

 

    

 

 

    

 

 

 
   $ 3,142,974      $ 72,022      $ 15      $ (54
              

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) Includes net capital gain distributions, if applicable.  
  (b) Represents securities lending income earned from the reinvestments of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities.  

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

Derivative Financial Instruments Outstanding as of Period End

Exchange-Traded Options Written

 

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

Call

                          

SunTrust Banks, Inc.

     419          01/03/18        USD     60.51        USD     2,706        $ (172,238

Comcast Corp., Class A

     118          01/04/18        USD     37.00        USD     473          (34,271

Activision Blizzard, Inc.

     150          01/05/18        USD     65.50        USD     950          (1,050

Apple, Inc.

     68          01/05/18        USD     175.00        USD     1,151          (850

Apple, Inc.

     69          01/05/18        USD     177.50        USD     1,168          (586

Bank of America Corp.

     585          01/05/18        USD     28.50        USD     1,727          (62,595

Baxter International, Inc.

     104          01/05/18        USD     66.00        USD     672          (624

Cognizant Technology Solutions Corp., Class A

     302          01/05/18        USD     74.00        USD     2,145          (1,510

Comcast Corp., Class A

     114          01/05/18        USD     39.50        USD     457          (8,037

Delta Air Lines, Inc.

     291          01/05/18        USD     55.00        USD     1,630          (38,412

E*Trade Financial Corp.

     507          01/05/18        USD     48.50        USD     2,513          (76,304

General Electric Co.

     72          01/05/18        USD     19.00        USD     126          (144

General Electric Co.

     124          01/05/18        USD     18.50        USD     216          (186

Goodyear Tire & Rubber Co.

     372          01/05/18        USD     32.50        USD     1,202          (8,370

Home Depot, Inc.

     360          01/05/18        USD     177.50        USD     6,823          (440,100

Microsoft Corp.

     121          01/05/18        USD     84.00        USD     1,035          (20,993

Oracle Corp.

     518          01/05/18        USD     50.00        USD     2,449          (518

Suncor Energy, Inc.

     56          01/05/18        USD     35.50        USD     206          (7,224

Suncor Energy, Inc.

     216          01/05/18        USD     35.00        USD     793          (38,232

U.S. Bancorp

     206          01/05/18        USD     56.00        USD     1,104          (618

 

 

SCHEDULES OF INVESTMENTS      31  


Schedule of Investments  (continued)

December 31, 2017

  

BlackRock Enhanced Capital and Income Fund (CII)

 

Exchange-Traded Options Written (continued)

 

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

Call (continued)

                          

U.S. Bancorp

     206          01/05/18        USD     55.00        USD     1,104        $ (927

UnitedHealth Group, Inc.

     70          01/05/18        USD     227.50        USD     1,543          (525

Urban Outfitters, Inc.

     334          01/05/18        USD     32.50        USD     1,171          (90,180

Pfizer, Inc.

     350          01/09/18        USD     35.51        USD     1,268          (30,046

Bank of America Corp.

     485          01/11/18        USD     27.82        USD     1,432          (86,243

CDW Corp.

     128          01/11/18        USD     67.25        USD     889          (35,675

JPMorgan Chase & Co.

     123          01/11/18        USD     99.51        USD     1,315          (85,340

Oracle Corp.

     72          01/11/18        USD     50.51        USD     340          (30

Activision Blizzard, Inc.

     82          01/12/18        USD     64.00        USD     519          (7,339

Activision Blizzard, Inc.

     150          01/12/18        USD     66.50        USD     950          (3,300

Alphabet, Inc., Class A

     18          01/12/18        USD     1,045.00        USD     1,896          (32,130

Apple, Inc.

     91          01/12/18        USD     180.00        USD     1,540          (955

BP PLC — ADR

     76          01/12/18        USD     40.00        USD     319          (16,036

Bank of America Corp.

     490          01/12/18        USD     29.00        USD     1,446          (38,955

Baxter International, Inc.

     142          01/12/18        USD     64.50        USD     918          (12,851

Biogen, Inc.

     56          01/12/18        USD     325.00        USD     1,784          (17,360

Chevron Corp.

     114          01/12/18        USD     121.00        USD     1,427          (53,580

Cisco Systems, Inc.

     361          01/12/18        USD     38.00        USD     1,383          (18,050

Citigroup, Inc.

     31          01/12/18        USD     77.00        USD     231          (589

Citigroup, Inc.

     315          01/12/18        USD     76.50        USD     2,344          (8,347

Comcast Corp., Class A

     114          01/12/18        USD     39.50        USD     457          (11,343

DowDuPont, Inc.

     369          01/12/18        USD     71.50        USD     2,628          (27,491

Flex Ltd.

     343          01/12/18        USD     18.50        USD     617          (3,601

Flex Ltd.

     343          01/12/18        USD     18.00        USD     617          (10,804

General Electric Co.

     87          01/12/18        USD     18.50        USD     152          (348

Gilead Sciences, Inc.

     63          01/12/18        USD     77.00        USD     451          (819

Gilead Sciences, Inc.

     248          01/12/18        USD     75.50        USD     1,777          (4,464

Hartford Financial Services Group

     142          01/12/18        USD     56.00        USD     799          (13,632

Humana, Inc.

     76          01/12/18        USD     260.00        USD     1,885          (4,560

Microsoft Corp.

     242          01/12/18        USD     84.50        USD     2,070          (41,866

Suncor Energy, Inc.

     56          01/12/18        USD     35.50        USD     206          (7,644

Suncor Energy, Inc.

     216          01/12/18        USD     35.00        USD     793          (40,068

U.S. Bancorp

     428          01/12/18        USD     56.00        USD     2,293          (2,996

Urban Outfitters, Inc.

     82          01/12/18        USD     32.50        USD     287          (24,190

Microsoft Corp.

     492          01/16/18        USD     83.95        USD     4,209          (113,127

Novo Nordisk A/S — ADR

     83          01/17/18        USD     52.01        USD     445          (16,126

Activision Blizzard, Inc.

     210          01/19/18        USD     65.00        USD     1,330          (15,750

Activision Blizzard, Inc.

     125          01/19/18        USD     67.50        USD     792          (2,937

Alphabet, Inc., Class A

     73          01/19/18        USD     1,060.00        USD     7,690          (91,250

Altria Group, Inc.

     478          01/19/18        USD     72.50        USD     3,413          (33,699

Amdocs Ltd.

     270          01/19/18        USD     65.00        USD     1,768          (32,400

Apple, Inc.

     46          01/19/18        USD     180.00        USD     778          (1,104

Apple, Inc.

     426          01/19/18        USD     175.00        USD     7,209          (34,080

BP PLC — ADR

     89          01/19/18        USD     41.00        USD     374          (11,214

Bank of America Corp.

     447          01/19/18        USD     28.00        USD     1,320          (76,661

Bank of America Corp.

     585          01/19/18        USD     29.00        USD     1,727          (55,283

Baxter International, Inc.

     122          01/19/18        USD     65.00        USD     789          (9,333

Biogen, Inc.

     119          01/19/18        USD     320.00        USD     3,791          (74,970

CDW Corp.

     231          01/19/18        USD     70.00        USD     1,605          (25,410

CVS Health Corp.

     351          01/19/18        USD     75.00        USD     2,545          (18,252

Carnival Corp.

     220          01/19/18        USD     67.00        USD     1,460          (17,050

Centene Corp.

     231          01/19/18        USD     110.00        USD     2,330          (5,775

Chevron Corp.

     157          01/19/18        USD     115.00        USD     1,965          (167,205

Cisco Systems, Inc.

     309          01/19/18        USD     37.00        USD     1,183          (42,488

Cisco Systems, Inc.

     343          01/19/18        USD     39.00        USD     1,314          (4,973

Citigroup, Inc.

     143          01/19/18        USD     80.00        USD     1,064          (1,859

Citigroup, Inc.

     131          01/19/18        USD     72.50        USD     975          (34,977

Cognizant Technology Solutions Corp., Class A

     182          01/19/18        USD     77.50        USD     1,293          (910

Comcast Corp., Class A

     114          01/19/18        USD     40.00        USD     457          (9,234

Comcast Corp., Class A

     382          01/19/18        USD     38.75        USD     1,530          (60,547

D.R. Horton, Inc.

     461          01/19/18        USD     50.60        USD     2,354          (65,060

 

 

32    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (continued)

December 31, 2017

  

BlackRock Enhanced Capital and Income Fund (CII)

 

Exchange-Traded Options Written (continued)

 

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

Call (continued)

                          

D.R. Horton, Inc.

     110          01/19/18        USD     48.00        USD     562        $ (37,400

DaVita, Inc.

     177          01/19/18        USD     65.00        USD     1,279          (134,520

Dell Technologies, Inc., Class V

     388          01/19/18        USD     81.25        USD     3,154          (70,109

Delta Air Lines, Inc.

     407          01/19/18        USD     57.50        USD     2,279          (30,118

DowDuPont, Inc.

     386          01/19/18        USD     73.35        USD     2,749          (11,454

DowDuPont, Inc.

     151          01/19/18        USD     72.50        USD     1,075          (7,776

DowDuPont, Inc.

     155          01/19/18        USD     70.00        USD     1,104          (30,070

E*Trade Financial Corp.

     163          01/19/18        USD     51.00        USD     808          (7,987

FirstEnergy Corp.

     943          01/19/18        USD     35.00        USD     2,887          (4,715

Flex Ltd.

     1,257          01/19/18        USD     18.27        USD     2,261          (28,937

Flex Ltd.

     113          01/19/18        USD     19.00        USD     203          (565

Fortive Corp.

     504          01/19/18        USD     75.00        USD     3,646          (10,080

General Electric Co.

     202          01/19/18        USD     19.00        USD     352          (909

Gilead Sciences, Inc.

     539          01/19/18        USD     77.50        USD     3,861          (9,163

Goldman Sachs Group, Inc.

     83          01/19/18        USD     250.00        USD     2,115          (68,060

Goodyear Tire & Rubber Co.

     422          01/19/18        USD     30.00        USD     1,363          (104,445

Hartford Financial Services Group

     322          01/19/18        USD     57.85        USD     1,812          (14,923

Home Depot, Inc.

     185          01/19/18        USD     180.00        USD     3,506          (189,163

Humana, Inc.

     48          01/19/18        USD     250.00        USD     1,191          (16,800

JPMorgan Chase & Co.

     101          01/19/18        USD     100.95        USD     1,080          (56,876

JPMorgan Chase & Co.

     228          01/19/18        USD     110.00        USD     2,438          (14,934

Laboratory Corp. of America Holdings

     123          01/19/18        USD     160.00        USD     1,962          (30,750

Lennar Corp., Class A

     154          01/19/18        USD     60.00        USD     974          (58,520

Lowe’s Cos., Inc.

     561          01/19/18        USD     80.00        USD     5,214          (729,300

Marathon Oil Corp.

     166          01/19/18        USD     15.00        USD     281          (33,283

Microsoft Corp.

     308          01/19/18        USD     85.00        USD     2,635          (47,278

Norfolk Southern Corp.

     148          01/19/18        USD     145.00        USD     2,145          (40,700

Oracle Corp.

     620          01/19/18        USD     50.00        USD     2,931          (2,790

Packaging Corp. of America

     119          01/19/18        USD     115.00        USD     1,435          (74,375

Pfizer, Inc.

     350          01/19/18        USD     36.00        USD     1,268          (19,775

Regions Financial Corp.

     368          01/19/18        USD     16.00        USD     636          (51,704

Regions Financial Corp.

     400          01/19/18        USD     17.00        USD     691          (23,800

Rio Tinto PLC — ADR

     48          01/19/18        USD     50.00        USD     254          (15,600

Robert Half International, Inc.

     281          01/19/18        USD     55.00        USD     1,561          (41,448

SLM Corp.

     360          01/19/18        USD     11.00        USD     407          (20,340

SLM Corp.

     469          01/19/18        USD     12.00        USD     530          (7,035

SunTrust Banks, Inc.

     376          01/19/18        USD     60.00        USD     2,429          (185,180

SunTrust Banks, Inc.

     398          01/19/18        USD     65.00        USD     2,571          (49,352

Suncor Energy, Inc.

     158          01/19/18        USD     36.00        USD     580          (16,669

TOTAL SA — ADR

     312          01/19/18        USD     55.00        USD     1,725          (28,080

U.S. Bancorp

     155          01/19/18        USD     52.50        USD     830          (25,343

UnitedHealth Group, Inc.

     62          01/19/18        USD     220.00        USD     1,367          (33,170

Urban Outfitters, Inc.

     300          01/19/18        USD     26.00        USD     1,052          (283,500

Urban Outfitters, Inc.

     317          01/19/18        USD     31.00        USD     1,111          (141,065

WABCO Holdings, Inc.

     100          01/19/18        USD     145.00        USD     1,435          (18,250

Wal-Mart Stores, Inc.

     152          01/19/18        USD     97.50        USD     1,501          (37,088

Wal-Mart Stores, Inc.

     302          01/19/18        USD     100.00        USD     2,982          (32,012

Chevron Corp.

     54          01/23/18        USD     118.00        USD     676          (39,987

Activision Blizzard, Inc.

     143          01/26/18        USD     65.00        USD     905          (14,300

Altria Group, Inc.

     542          01/26/18        USD     72.50        USD     3,870          (50,677

Apple, Inc.

     228          01/26/18        USD     177.50        USD     3,858          (17,670

Apple, Inc.

     154          01/26/18        USD     180.00        USD     2,606          (7,084

Bank of America Corp.

     125          01/26/18        USD     29.50        USD     369          (9,625

Baxter International, Inc.

     95          01/26/18        USD     65.50        USD     614          (7,220

Carnival Corp.

     424          01/26/18        USD     66.50        USD     2,814          (55,120

Chevron Corp.

     154          01/26/18        USD     120.00        USD     1,928          (90,860

Cisco Systems, Inc.

     343          01/26/18        USD     38.50        USD     1,314          (12,862

Citigroup, Inc.

     219          01/26/18        USD     75.00        USD     1,630          (31,317

Cognizant Technology Solutions Corp., Class A

     255          01/26/18        USD     72.50        USD     1,811          (15,937

Delta Air Lines, Inc.

     500          01/26/18        USD     55.00        USD     2,800          (108,500

DowDuPont, Inc.

     70          01/26/18        USD     72.00        USD     499          (6,475

 

 

SCHEDULES OF INVESTMENTS      33  


Schedule of Investments  (continued)

December 31, 2017

  

BlackRock Enhanced Capital and Income Fund (CII)

 

Exchange-Traded Options Written (continued)

 

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

Call (continued)

                          

DowDuPont, Inc.

     15          01/26/18        USD     71.50        USD     107        $ (1,702

E*Trade Financial Corp.

     81          01/26/18        USD     50.00        USD     402          (10,368

E*Trade Financial Corp.

     142          01/26/18        USD     49.00        USD     704          (24,566

General Electric Co.

     238          01/26/18        USD     18.50        USD     415          (4,403

General Electric Co.

     592          01/26/18        USD     18.00        USD     1,033          (18,648

Goldman Sachs Group, Inc.

     8          01/26/18        USD     260.00        USD     204          (3,060

Goodyear Tire & Rubber Co.

     600          01/26/18        USD     32.50        USD     1,939          (42,000

Hartford Financial Services Group

     183          01/26/18        USD     56.00        USD     1,030          (22,966

JPMorgan Chase & Co.

     91          01/26/18        USD     105.00        USD     973          (28,529

JPMorgan Chase & Co.

     228          01/26/18        USD     107.00        USD     2,438          (46,398

Lowe’s Cos., Inc.

     112          01/26/18        USD     84.00        USD     1,041          (104,720

Lowe’s Cos., Inc.

     296          01/26/18        USD     87.00        USD     2,751          (191,660

Marathon Oil Corp.

     181          01/26/18        USD     15.00        USD     306          (36,834

Norfolk Southern Corp.

     137          01/26/18        USD     142.00        USD     1,985          (78,775

Oracle Corp.

     157          01/26/18        USD     51.00        USD     742          (628

Oracle Corp.

     132          01/26/18        USD     48.00        USD     624          (4,752

Pfizer, Inc.

     114          01/26/18        USD     36.50        USD     413          (4,389

U.S. Bancorp

     372          01/26/18        USD     56.00        USD     1,993          (8,370

U.S. Bancorp

     72          01/26/18        USD     55.00        USD     386          (3,240

Urban Outfitters, Inc.

     330          01/26/18        USD     35.00        USD     1,157          (47,850

Urban Outfitters, Inc.

     329          01/26/18        USD     34.00        USD     1,153          (66,623

Microsoft Corp.

     492          01/29/18        USD     83.95        USD     4,209          (131,908

UnitedHealth Group, Inc.

     157          01/29/18        USD     222.00        USD     3,461          (57,158

Activision Blizzard, Inc.

     79          02/02/18        USD     65.50        USD     500          (7,307

Apple, Inc.

     52          02/02/18        USD     182.50        USD     880          (5,902

Comcast Corp., Class A

     1,000          02/02/18        USD     41.50        USD     4,005          (58,500

Marathon Oil Corp.

     77          02/02/18        USD     17.50        USD     130          (3,542

Norfolk Southern Corp.

     92          02/02/18        USD     145.00        USD     1,333          (39,100

Oracle Corp.

     230          02/02/18        USD     48.00        USD     1,087          (11,155

UnitedHealth Group, Inc.

     157          02/12/18        USD     222.00        USD     3,461          (107,938

Activision Blizzard, Inc.

     82          02/16/18        USD     67.50        USD     519          (11,275

Alphabet, Inc., Class A

     23          02/16/18        USD     1,080.00        USD     2,423          (50,370

Altria Group, Inc.

     449          02/16/18        USD     74.10        USD     3,206          (44,966

Apple, Inc.

     155          02/16/18        USD     185.00        USD     2,623          (17,592

Baxter International, Inc.

     96          02/16/18        USD     67.50        USD     621          (5,424

CVS Health Corp.

     370          02/16/18        USD     72.50        USD     2,683          (90,835

Carnival Corp.

     220          02/16/18        USD     67.50        USD     1,460          (28,600

Chevron Corp.

     60          02/16/18        USD     125.00        USD     751          (18,750

Cisco Systems, Inc.

     461          02/16/18        USD     38.00        USD     1,766          (52,324

Cognizant Technology Solutions Corp., Class A

     224          02/16/18        USD     72.50        USD     1,591          (34,160

Comcast Corp., Class A

     462          02/16/18        USD     40.00        USD     1,850          (66,297

D.R. Horton, Inc.

     473          02/16/18        USD     50.00        USD     2,416          (116,595

DowDuPont, Inc.

     263          02/16/18        USD     72.50        USD     1,873          (38,793

Fortive Corp.

     112          02/16/18        USD     75.00        USD     810          (8,960

Goldman Sachs Group, Inc.

     138          02/16/18        USD     260.00        USD     3,516          (78,660

Humana, Inc.

     88          02/16/18        USD     260.00        USD     2,183          (38,720

JPMorgan Chase & Co.

     156          02/16/18        USD     107.85        USD     1,668          (38,837

Laboratory Corp. of America Holdings

     123          02/16/18        USD     160.00        USD     1,962          (57,810

Lennar Corp., Class A

     155          02/16/18        USD     62.50        USD     980          (42,858

Oracle Corp.

     230          02/16/18        USD     49.00        USD     1,087          (8,050

Pfizer, Inc.

     632          02/16/18        USD     38.00        USD     2,289          (9,480

Regions Financial Corp.

     713          02/16/18        USD     17.00        USD     1,232          (57,397

Rio Tinto PLC — ADR

     96          02/16/18        USD     50.00        USD     508          (36,480

U.S. Bancorp

     77          02/16/18        USD     54.01        USD     413          (9,018

Wal-Mart Stores, Inc.

     563          02/16/18        USD     97.50        USD     5,560          (191,420

Comcast Corp., Class A

     69          02/26/18        USD     39.54        USD     276          (12,604

Cisco Systems, Inc.

     513          03/16/18        USD     39.00        USD     1,965          (45,657

Comcast Corp., Class A

     493          03/16/18        USD     40.00        USD     1,974          (88,247
                          

 

 

 
                           $ (8,503,035
                          

 

 

 

 

 

34    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (continued)

December 31, 2017

  

BlackRock Enhanced Capital and Income Fund (CII)

 

OTC Options Written

 

Description    Counterparty    Number of
Contracts
    

Expiration

Date

     Exercise
Price
    

Notional

Amount (000)

     Value  

Call

 

BP PLC — ADR

   UBS AG      30,500        01/02/18        USD       41.48        USD       1,282      $ (19,064

Avery Dennison Corp.

   Citibank N.A.      11,700        01/04/18        USD       111.11        USD       1,344        (44,975

Chevron Corp.

   Bank of America N.A.      15,600        01/04/18        USD       116.22        USD       1,953        (140,409

Flex Ltd.

   Barclays Bank PLC      30,400        01/04/18        USD       18.25        USD       547        (2,233

Novo Nordisk A/S — ADR

   Bank of America N.A.      18,300        01/04/18        USD       51.56        USD       982        (39,073

Pfizer, Inc.

   UBS AG      31,600        01/04/18        USD       35.93        USD       1,145        (14,715

Rio Tinto PLC — ADR

   Morgan Stanley & Co. International PLC      4,800        01/04/18        USD       49.88        USD       254        (14,796

Robert Half International, Inc.

   Deutsche Bank AG      26,800        01/04/18        USD       57.24        USD       1,488        (2,934

Marathon Oil Corp.

   Bank of America N.A.      10,600        01/08/18        USD       16.00        USD       179        (10,603

Novo Nordisk A/S — ADR

   Credit Suisse International      32,200        01/09/18        USD       52.04        USD       1,728        (57,268

Public Service Enterprise Group, Inc.

   Deutsche Bank AG      32,900        01/09/18        USD       51.65        USD       1,694        (14,948

BP PLC

   UBS AG      30,500        01/16/18        USD       41.48        USD       1,282        (26,798

CDW Corp.

   Bank of America N.A.      38,500        01/17/18        USD       67.55        USD       2,675        (109,087

Energizer Holdings, Inc.

   Barclays Bank PLC      20,100        01/18/18        USD       48.49        USD       964        (24,200

Packaging Corp. of America

   Deutsche Bank AG      13,500        01/23/18        USD       119.91        USD       1,627        (36,142

TOTAL SA — ADR

   Citibank N.A.      7,500        01/26/18        USD       56.88        USD       415        (2,141

Rio Tinto PLC — ADR

   Morgan Stanley & Co. International PLC      30,200        01/29/18        USD       48.63        USD       1,598        (145,584

SLM Corp.

   Barclays Bank PLC      88,000        01/29/18        USD       10.82        USD       994        (66,891

BP PLC

   UBS AG      30,500        01/30/18        USD       41.48        USD       1,282        (32,468

FirstEnergy Corp.

   Citibank N.A.      40,500        01/31/18        USD       32.63        USD       1,240        (3,854

Marathon Oil Corp.

   UBS AG      15,100        01/31/18        USD       15.62        USD       256        (22,635

Novo Nordisk A/S — ADR

   UBS AG      5,100        01/31/18        USD       52.59        USD       274        (9,007

Pfizer, Inc.

   UBS AG      3,800        01/31/18        USD       36.96        USD       138        (892

Regions Financial Corp.

   Deutsche Bank AG      43,300        01/31/18        USD       17.17        USD       748        (26,406

SLM Corp.

   Barclays Bank PLC      200,200        01/31/18        USD       11.74        USD       2,262        (63,748

Suncor Energy, Inc.

   Citibank N.A.      25,300        01/31/18        USD       35.24        USD       929        (41,898

Suncor Energy, Inc.

   UBS AG      12,600        01/31/18        USD       34.79        USD       463        (25,778

TOTAL SA — ADR

   Citibank N.A.      7,500        01/31/18        USD       57.16        USD       415        (2,482

Suncor Energy, Inc.

   UBS AG      12,600        02/02/18        USD       34.88        USD       463        (27,675

Avery Dennison Corp.

   Barclays Bank PLC      13,200        02/06/18        USD       116.50        USD       1,516        (34,959

Rio Tinto PLC — ADR

   Morgan Stanley & Co. International PLC      30,200        02/06/18        USD       48.63        USD       1,598        (150,520

Novo Nordisk A/S — ADR

   UBS AG      5,200        02/07/18        USD       52.59        USD       279        (9,756

FirstEnergy Corp.

   Citibank N.A.      40,600        02/09/18        USD       32.63        USD       1,243        (3,987

Amdocs Ltd.

   UBS AG      21,000        02/12/18        USD       65.65        USD       1,375        (34,152

Public Service Enterprise Group, Inc.

   Bank of America N.A.      13,400        02/12/18        USD       52.10        USD       690        (10,909

Novo Nordisk A/S — ADR

   Barclays Bank PLC      8,200        02/14/18        USD       52.80        USD       440        (20,749

Novo Nordisk A/S — ADR

   Credit Suisse International      4,100        02/14/18        USD       53.99        USD       220        (5,042
                     

 

 

 
   $ (1,298,778
                     

 

 

 

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 as follows:

 

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

Liabilities — Derivative Financial Instruments

                    

Options written

                    

Options written at value

   $      $      $ 9,801,813      $      $      $      $ 9,801,813  
     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

 

SCHEDULES OF INVESTMENTS      35  


Schedule of Investments  (continued)

December 31, 2017

  

BlackRock Enhanced Capital and Income Fund (CII)

 

For the year ended December 31, 2017, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

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

Net Realized Gain (Loss) from:

                    

Futures contracts

   $      $      $ 529,712      $      $      $      $ 529,712  

Options purchased(a)

                   680                             680  

Options written

                   (29,050,406                           (29,050,406
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $      $      $ (28,520,014    $      $      $      $ (28,520,014
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
Net Change in Unrealized Appreciation (Depreciation) on:  

Futures contracts

   $      $      $ 128,627      $      $      $      $ 128,627  

Options written

                   64,186                             64,186  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $      $      $ 192,813      $      $      $      $ 192,813  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

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

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Futures contracts:

 

Average notional value of contracts — long

   $ 3,096,516  

Options:

 

Average value of option contracts purchased

   $ 2,174 (a) 

Average value of option contracts written

   $ 8,813,911  

 

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

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

Derivative Financial Instruments — Offsetting as of Period End

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

 

      Assets        Liabilities  

Options

   $        $ 9,801,813  
  

 

 

      

 

 

 

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

              (8,503,035
  

 

 

      

 

 

 

Total derivative assets and liabilities subject to an MNA

   $        $ 1,298,778  
  

 

 

      

 

 

 

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

 

Counterparty    Derivative
Liabilities

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

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

Bank of America N.A.

   $ 310,081        $        $        $        $ 310,081  

Barclays Bank PLC

     212,780                            (5,000        207,780  

Citibank N.A.

     99,337                   (99,337                  

Credit Suisse International

     62,310                                     62,310  

Deutsche Bank AG

     80,430                            (70,000        10,430  

Morgan Stanley & Co. International PLC

     310,900                                     310,900  

UBS AG

     222,940                   (222,940                  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 
   $ 1,298,778        $        $ (322,277      $ (75,000      $ 901,501  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a)  Excess of collateral received from the individual counterparty is not shown for financial reporting purposes  
  (b)  Net amount represents the net amount payable due to counterparty in the event of default. Net amount may be offset further by the options written receivable/payable on the Statements of Assets and Liabilities.  

 

 

36    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (continued)

December 31, 2017

  

BlackRock Enhanced Capital and Income Fund (CII)

 

Fair Value Hierarchy as of Period End

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

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

 

      Level 1        Level 2        Level 3        Total  

Assets:

                 

Investments:

                 

Long-Term Investments:

 

Common Stocks(a)

   $ 765,561,671        $        $        $ 765,561,671  

Short-Term Securities

     3,142,974                            3,142,974  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 768,704,645        $        $        $ 768,704,645  
  

 

 

      

 

 

      

 

 

      

 

 

 

Derivative Financial Instruments(b)

 

Liabilities:

 

Equity contracts

   $ (7,240,164      $ (2,561,649      $        $ (9,801,813
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a)  See above Schedule of Investments for values in each industry.  
  (b)  Derivative financial instruments are options written, which are shown at value.  

During the year ended December 31, 2017, there were no transfers between levels.

See notes to financial statements.

 

 

SCHEDULES OF INVESTMENTS      37  


Schedule of Investments  

December 31, 2017

  

BlackRock Enhanced Equity Dividend Trust (BDJ)

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  

Common Stocks — 101.0%

 

Aerospace & Defense — 2.2%  

Lockheed Martin Corp.(a)

    47,072     $ 15,111,824  

Northrop Grumman Corp.(a)

    82,813       25,415,217  
   

 

 

 
      40,527,041  
Air Freight & Logistics — 0.4%  

United Parcel Service, Inc., Class B(a)

    63,570       7,573,770  
   

 

 

 
Banks — 19.0%  

Bank of America Corp.(a)(b)

    2,629,581       77,625,202  

Citigroup, Inc.(a)(b)

    983,480       73,180,672  

JPMorgan Chase & Co.(a)(b)

    762,329       81,523,356  

KeyCorp(a)

    585,861       11,816,796  

Regions Financial Corp.

    108,020       1,866,586  

SunTrust Banks, Inc.(a)

    337,240       21,782,332  

U.S. Bancorp(a)

    479,744       25,704,630  

Wells Fargo & Co.(a)

    1,018,322       61,781,535  
   

 

 

 
      355,281,109  
Beverages — 2.4%  

Diageo PLC

    697,582       25,569,323  

Dr. Pepper Snapple Group, Inc.(a)

    204,322       19,831,299  
   

 

 

 
      45,400,622  
Capital Markets — 4.2%  

Charles Schwab Corp.(a)

    203,801       10,469,206  

Goldman Sachs Group, Inc.(a)

    107,121       27,289,891  

Invesco Ltd.(a)

    176,175       6,437,398  

Morgan Stanley(a)

    638,842       33,519,935  
   

 

 

 
      77,716,430  
Chemicals — 2.1%  

DowDuPont, Inc.(a)

    470,728       33,525,034  

Praxair, Inc.(a)

    41,902       6,481,092  
   

 

 

 
      40,006,126  
Communications Equipment — 0.8%  

Motorola Solutions, Inc.(a)

    171,605       15,502,344  
   

 

 

 
Construction Materials — 0.5%  

CRH PLC

    283,225       10,164,768  
   

 

 

 
Diversified Telecommunication Services — 2.4%  

BCE, Inc.(a)

    122,502       5,881,225  

Verizon Communications, Inc.(a)

    746,503       39,512,245  
   

 

 

 
      45,393,470  
Electric Utilities — 4.1%  

Edison International

    67,841       4,290,202  

Exelon Corp.(a)

    253,462       9,988,859  

FirstEnergy Corp.(a)

    673,532       20,623,488  

NextEra Energy, Inc.(a)

    132,898       20,757,182  

PG&E Corp.(a)

    481,293       21,576,231  
   

 

 

 
      77,235,962  
Electronic Equipment, Instruments & Components — 0.4%  

CDW Corp.(a)

    100,025       6,950,390  
   

 

 

 
Energy Equipment & Services — 0.4%  

Halliburton Co.(a)

    164,305       8,029,341  
   

 

 

 
Food & Staples Retailing — 0.9%  

Kroger Co.(a)

    595,795       16,354,435  
   

 

 

 
Food Products — 1.2%  

General Mills, Inc.(a)

    193,763       11,488,031  

Kellogg Co.(a)

    165,542       11,253,409  
   

 

 

 
      22,741,440  
Health Care Equipment & Supplies — 3.0%  

Koninklijke Philips NV

    716,442       27,051,792  
Security   Shares     Value  
Health Care Equipment & Supplies (continued)  

Medtronic PLC(a)

    290,302     $ 23,441,725  

Smith & Nephew PLC

    407,742       7,055,154  
   

 

 

 
      57,548,671  
Health Care Providers & Services — 7.7%  

Aetna, Inc.(a)

    202,157       36,466,921  

Anthem, Inc.(a)

    217,451       48,928,424  

Cardinal Health, Inc.(a)

    156,081       9,563,022  

McKesson Corp.(a)

    114,951       17,926,452  

Quest Diagnostics, Inc.(a)

    101,741       10,020,373  

UnitedHealth Group, Inc.(a)

    90,460       19,942,812  
   

 

 

 
      142,848,004  
Household Products — 1.0%  

Procter & Gamble Co.(a)

    209,325       19,232,322  
   

 

 

 
Industrial Conglomerates — 3.3%  

3M Co.(a)

    51,361       12,088,603  

General Electric Co.(a)

    1,330,372       23,214,957  

Honeywell International, Inc.(a)

    170,601       26,163,216  
   

 

 

 
      61,466,776  
Insurance — 6.1%  

American International Group, Inc.(a)

    665,681       39,661,214  

Brighthouse Financial, Inc.(a)(c)

    44,512       2,610,125  

Marsh & McLennan Cos., Inc.(a)

    183,801       14,959,482  

MetLife, Inc.(a)

    583,924       29,523,147  

Prudential Financial, Inc.(a)

    66,771       7,677,215  

Travelers Cos., Inc.(a)

    137,201       18,609,808  
   

 

 

 
      113,040,991  
Leisure Products — 0.5%  

Mattel, Inc.(a)

    586,961       9,027,383  
   

 

 

 
Machinery — 0.4%  

Pentair PLC(a)

    115,405       8,149,548  
   

 

 

 
Media — 2.4%  

Comcast Corp., Class A(a)

    787,432       31,536,572  

Interpublic Group of Cos., Inc.(a)

    276,242       5,568,998  

Publicis Groupe SA

    103,282       7,001,061  
   

 

 

 
      44,106,631  
Multi-Utilities — 1.3%  

Public Service Enterprise Group, Inc.(a)

    456,502       23,509,750  
   

 

 

 
Multiline Retail — 0.6%  

Dollar General Corp.(a)

    111,112       10,334,062  
   

 

 

 
Oil, Gas & Consumable Fuels — 11.7%  

Chevron Corp.(a)

    298,701       37,394,253  

Enbridge, Inc.(a)

    189,699       7,419,128  

Hess Corp.(a)

    411,111       19,515,392  

Marathon Oil Corp.(a)

    991,561       16,787,111  

Marathon Petroleum Corp.(a)

    201,459       13,292,265  

Pioneer Natural Resources Co.(a)

    45,998       7,950,754  

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

    668,921       44,623,653  

Suncor Energy, Inc.(a)

    1,102,011       40,465,807  

TOTAL SA — ADR(a)

    564,501       31,205,560  
   

 

 

 
      218,653,923  
Paper & Forest Products — 0.4%  

International Paper Co.(a)

    135,705       7,862,458  
   

 

 

 
Personal Products — 0.8%  

Unilever NV(a)

    255,595       14,394,829  
   

 

 

 
Pharmaceuticals — 8.3%  

AstraZeneca PLC

    506,357       34,941,418  

Merck & Co., Inc.(a)

    559,202       31,466,184  

Novo Nordisk A/S — ADR(a)

    298,911       16,042,500  
 

 

 

38    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (continued)

December 31, 2017

  

BlackRock Enhanced Equity Dividend Trust (BDJ)

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  
Pharmaceuticals (continued)  

Pfizer, Inc.(a)(b)

    2,013,802     $ 72,939,836  
   

 

 

 
      155,389,938  
Professional Services — 1.4%  

Equifax, Inc.(a)

    22,641       2,669,709  

Experian PLC

    487,502       10,745,816  

Nielsen Holdings PLC(a)

    343,022       12,485,928  
   

 

 

 
      25,901,453  
Road & Rail — 0.7%  

Union Pacific Corp.(a)

    96,005       12,873,600  
   

 

 

 
Semiconductors & Semiconductor Equipment — 1.6%  

QUALCOMM, Inc.(a)

    329,402       21,088,188  

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

    237,562       9,419,254  
   

 

 

 
      30,507,442  
Software — 5.8%  

Constellation Software, Inc.

    15,402       9,335,806  

Microsoft Corp.(a)

    508,572       43,503,078  

Oracle Corp.(a)

    1,176,552       55,627,284  
   

 

 

 
      108,466,168  
Specialty Retail — 0.6%  

Lowe’s Cos., Inc.(a)

    115,505       10,734,570  
   

 

 

 
Technology Hardware, Storage & Peripherals — 0.9%  

Lenovo Group Ltd.

    13,220,006       7,444,346  

Samsung Electronics Co. Ltd. — GDR

    7,820       9,259,290  
   

 

 

 
      16,703,636  
Tobacco — 1.1%  

Altria Group, Inc.(a)

    188,963       13,493,634  

Philip Morris International, Inc.(a)

    62,072       6,557,695  
   

 

 

 
      20,051,329  
   

 

 

 
Security   Shares     Value  
Wireless Telecommunication Services — 0.4%  

SK Telecom Co. Ltd. — ADR(a)

    293,645     $ 8,195,492  
   

 

 

 

Total Long-Term Investments — 101.0%
(Cost — $1,381,304,314)

 

    1,887,876,224  
   

 

 

 

Short-Term Securities — 0.3%

 

BlackRock Liquidity Funds, T-Fund, Institutional Class, 1.18%,(d)(e)

    4,967,189       4,967,189  
   

 

 

 

Total Short-Term Securities — 0.3%
(Cost — $4,967,189)

 

    4,967,189  
   

 

 

 

Total Investments Before Options Written — 101.3%
(Cost — $1,386,271,503)

 

    1,892,843,413  
   

 

 

 

Options Written — (1.2)%
(Premiums Received — $19,146,013)

 

    (23,250,161
   

 

 

 

Total Investments, Net of Options Written — 100.1%
(Cost — $1,367,125,490)

 

    1,869,593,252  

Liabilities in Excess of Other Assets — (0.1)%

 

    (1,136,147
   

 

 

 

Net Assets — 100.0%

 

  $ 1,868,457,105  
   

 

 

 

 

(a)  All or a portion of security has been pledged and/or segregated as collateral in connection with outstanding exchange-traded options written.
(b)  All or a portion of the security has been pledged as collateral in connection with outstanding OTC derivatives.
(c)  Non-income producing security.
(d)  Annualized 7-day yield as of period end.
 
(e)  During the year ended December 31, 2017, investments in issuers considered to be affiliates of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate    Shares
Held at
12/31/16
     Net
Activity
     Shares
Held at
12/31/17
     Value at
12/31/17
     Income     

Net

Realized
Gain
 (a)

     Change in
Unrealized
Appreciation
(Depreciation)
 

BlackRock Liquidity Funds, T-Fund, Institutional Class

     3,630,472        1,336,717        4,967,189      $ 4,967,189      $ 62,478      $ 5      $  

SL Liquidity Series, LLC, Money Market Series

                                 1,511 (b)               
           

 

 

    

 

 

    

 

 

    

 

 

 
   $ 4,967,189      $ 63,989      $ 5      $  
           

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a)  Includes net capital gain distributions, if applicable.  
  (b)  Represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities.  

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

Derivative Financial Instruments Outstanding as of Period End

Exchange-Traded Options Written

 

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

Call

                          

SunTrust Banks, Inc.

     630          01/03/18        USD     60.51        USD     4,069        $ (258,973

Comcast Corp., Class A

     263          01/04/18        USD     37.00        USD     1,053          (76,385

Exelon Corp.

     530          01/04/18        USD     42.51        USD     2,089           

Aetna, Inc.

     417          01/05/18        USD     185.00        USD     7,522          (24,603

 

 

SCHEDULES OF INVESTMENTS      39  


Schedule of Investments  (continued)

December 31, 2017

  

BlackRock Enhanced Equity Dividend Trust (BDJ)

 

Exchange-Traded Options Written (continued)

 

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

Call (continued)

                          

Anthem, Inc.

     244          01/05/18        USD     230.00        USD     5,490        $ (8,906

Anthem, Inc.

     188          01/05/18        USD     232.50        USD     4,230          (2,350

Bank of America Corp.

     1,283          01/05/18        USD     27.70        USD     3,787          (234,629

Bank of America Corp.

     688          01/05/18        USD     28.50        USD     2,031          (73,616

Comcast Corp., Class A

     232          01/05/18        USD     39.50        USD     929          (16,356

General Electric Co.

     305          01/05/18        USD     19.00        USD     532          (610

General Electric Co.

     350          01/05/18        USD     18.50        USD     611          (525

Hess Corp.

     458          01/05/18        USD     44.50        USD     2,174          (138,087

Honeywell International, Inc.

     224          01/05/18        USD     155.00        USD     3,435          (6,720

International Paper Co.

     94          01/05/18        USD     57.00        USD     545          (10,716

KeyCorp

     682          01/05/18        USD     18.50        USD     1,376          (119,009

KeyCorp

     398          01/05/18        USD     19.50        USD     803          (30,248

Kroger Co.

     728          01/05/18        USD     26.50        USD     1,998          (78,260

Lockheed Martin Corp.

     138          01/05/18        USD     320.00        USD     4,430          (34,845

Lockheed Martin Corp.

     86          01/05/18        USD     322.50        USD     2,761          (9,890

Mattel, Inc.

     24          01/05/18        USD     17.50        USD     37          (720

Medtronic PLC

     274          01/05/18        USD     83.50        USD     2,213          (1,096

Merck & Co., Inc.

     174          01/05/18        USD     56.00        USD     979          (9,657

Microsoft Corp.

     117          01/05/18        USD     84.00        USD     1,001          (20,299

Northrop Grumman Corp.

     255          01/05/18        USD     307.50        USD     7,826          (45,900

Oracle Corp.

     925          01/05/18        USD     50.00        USD     4,373          (925

PG&E Corp.

     644          01/05/18        USD     57.50        USD     2,887          (3,220

Pfizer, Inc.

     1,001          01/05/18        USD     36.50        USD     3,626          (10,010

Procter & Gamble Co.

     220          01/05/18        USD     90.00        USD     2,021          (46,640

QUALCOMM, Inc.

     735          01/05/18        USD     72.00        USD     4,705          (16,905

Royal Dutch Shell PLC — ADR, Class A

     256          01/05/18        USD     65.01        USD     1,708          (44,414

Suncor Energy, Inc.

     367          01/05/18        USD     35.50        USD     1,348          (47,343

Suncor Energy, Inc.

     216          01/05/18        USD     35.00        USD     793          (38,232

U.S. Bancorp

     111          01/05/18        USD     56.00        USD     595          (333

U.S. Bancorp

     111          01/05/18        USD     55.00        USD     595          (499

Union Pacific Corp.

     116          01/05/18        USD     119.00        USD     1,556          (178,930

United Parcel Service, Class B

     12          01/05/18        USD     122.00        USD     143          (132

UnitedHealth Group, Inc.

     106          01/05/18        USD     227.50        USD     2,337          (795

BCE, Inc.

     251          01/08/18        USD     48.31        USD     1,205          (4,695

Pfizer, Inc.

     916          01/09/18        USD     35.51        USD     3,318          (78,634

Taiwan Semiconductor Manufacturing Co. Ltd. — ADR

     526          01/09/18        USD     42.01        USD     2,086          (2,719

Dr. Pepper Snapple Group, Inc.

     340          01/10/18        USD     90.01        USD     3,300          (243,101

Royal Dutch Shell PLC — ADR, Class A

     335          01/10/18        USD     63.80        USD     2,235          (95,704

Bank of America Corp.

     2,724          01/11/18        USD     27.82        USD     8,041          (484,384

CDW Corp.

     260          01/11/18        USD     67.25        USD     1,807          (72,465

JPMorgan Chase & Co.

     386          01/11/18        USD     99.51        USD     4,128          (267,815

Oracle Corp.

     1,103          01/11/18        USD     50.51        USD     5,215          (458

Aetna, Inc.

     362          01/12/18        USD     182.50        USD     6,530          (28,960

American International Group, Inc.

     53          01/12/18        USD     60.00        USD     316          (2,623

Bank of America Corp.

     1,040          01/12/18        USD     29.00        USD     3,070          (82,680

Charles Schwab Corp.

     197          01/12/18        USD     49.00        USD     1,012          (53,190

Charles Schwab Corp.

     236          01/12/18        USD     52.50        USD     1,212          (9,440

Chevron Corp.

     425          01/12/18        USD     121.00        USD     5,321          (199,750

Citigroup, Inc.

     542          01/12/18        USD     77.00        USD     4,033          (10,298

Citigroup, Inc.

     1,123          01/12/18        USD     76.50        USD     8,356          (29,759

Comcast Corp., Class A

     232          01/12/18        USD     39.50        USD     929          (23,084

DowDuPont, Inc.

     219          01/12/18        USD     71.50        USD     1,560          (16,315

Equifax, Inc.

     55          01/12/18        USD     115.00        USD     649          (20,350

General Electric Co.

     388          01/12/18        USD     18.50        USD     677          (1,552

Halliburton Co.

     206          01/12/18        USD     44.50        USD     1,007          (93,215

Hess Corp.

     427          01/12/18        USD     45.00        USD     2,027          (122,122

KeyCorp

     855          01/12/18        USD     20.00        USD     1,725          (39,330

Kroger Co.

     728          01/12/18        USD     26.50        USD     1,998          (85,540

Lowe’s Cos., Inc.

     289          01/12/18        USD     84.50        USD     2,686          (257,210

McKesson Corp.

     154          01/12/18        USD     149.00        USD     2,402          (120,890

Merck & Co., Inc.

     785          01/12/18        USD     56.00        USD     4,417          (62,800

 

 

40    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (continued)

December 31, 2017

  

BlackRock Enhanced Equity Dividend Trust (BDJ)

 

Exchange-Traded Options Written (continued)

 

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

Call (continued)

                          

MetLife, Inc.

     404          01/12/18        USD     54.00        USD     2,043        $ (2,424

Microsoft Corp.

     232          01/12/18        USD     84.50        USD     1,985          (40,136

Morgan Stanley

     693          01/12/18        USD     52.00        USD     3,636          (72,765

Pfizer, Inc.

     1,001          01/12/18        USD     36.50        USD     3,626          (21,521

Procter & Gamble Co.

     221          01/12/18        USD     90.00        USD     2,031          (49,062

QUALCOMM, Inc.

     177          01/12/18        USD     68.00        USD     1,133          (1,681

Royal Dutch Shell PLC — ADR, Class A

     587          01/12/18        USD     64.00        USD     3,916          (167,295

Suncor Energy, Inc.

     367          01/12/18        USD     35.50        USD     1,348          (50,095

Suncor Energy, Inc.

     216          01/12/18        USD     35.00        USD     793          (40,068

Travelers Cos., Inc.

     446          01/12/18        USD     134.00        USD     6,050          (111,000

U.S. Bancorp

     789          01/12/18        USD     56.00        USD     4,227          (5,523

United Parcel Service, Class B

     190          01/12/18        USD     121.00        USD     2,264          (13,870

Verizon Communications, Inc.

     868          01/12/18        USD     51.00        USD     4,594          (183,582

Dollar General Corp.

     72          01/12/18        USD     88.50        USD     670          (36,360

Microsoft Corp.

     563          01/16/18        USD     83.95        USD     4,816          (129,452

Novo Nordisk A/S — ADR

     369          01/17/18        USD     52.01        USD     1,980          (71,694

Quest Diagnostics, Inc.

     298          01/18/18        USD     95.60        USD     2,935          (102,477

SK Telecom Co. Ltd. — ADR

     177          01/18/18        USD     26.35        USD     494          (29,608

Aetna, Inc.

     268          01/19/18        USD     180.00        USD     4,834          (56,280

Altria Group, Inc.

     226          01/19/18        USD     72.50        USD     1,614          (15,933

American International Group, Inc.

     620          01/19/18        USD     62.50        USD     3,694          (4,340

Anthem, Inc.

     150          01/19/18        USD     220.00        USD     3,375          (105,000

Anthem, Inc.

     188          01/19/18        USD     230.00        USD     4,230          (31,960

Anthem, Inc.

     188          01/19/18        USD     240.00        USD     4,230          (4,512

Bank of America Corp.

     1,808          01/19/18        USD     28.00        USD     5,337          (310,072

Bank of America Corp.

     688          01/19/18        USD     29.00        USD     2,031          (65,016

Brighthouse Financials, Inc.

     112          01/19/18        USD     60.00        USD     657          (9,800

CDW Corp.

     240          01/19/18        USD     70.00        USD     1,668          (26,400

Cardinal Health, Inc.

     216          01/19/18        USD     62.50        USD     1,323          (18,900

Charles Schwab Corp.

     195          01/19/18        USD     47.00        USD     1,002          (91,650

Chevron Corp.

     155          01/19/18        USD     115.00        USD     1,940          (165,075

Citigroup, Inc.

     1,124          01/19/18        USD     72.50        USD     8,364          (300,108

Comcast Corp., Class A

     232          01/19/18        USD     40.00        USD     929          (18,792

Comcast Corp., Class A

     816          01/19/18        USD     38.75        USD     3,268          (129,336

Dow DuPont, Inc.

     301          01/19/18        USD     73.35        USD     2,144          (8,932

DowDuPont, Inc.

     345          01/19/18        USD     72.50        USD     2,457          (17,767

DowDuPont, Inc.

     954          01/19/18        USD     70.00        USD     6,794          (185,076

Dr. Pepper Snapple Group, Inc.

     203          01/19/18        USD     95.00        USD     1,970          (57,348

Enbridge, Inc.

     513          01/19/18        USD     37.50        USD     2,006          (91,058

Equifax, Inc.

     24          01/19/18        USD     120.00        USD     283          (3,000

Exelon Corp.

     438          01/19/18        USD     41.00        USD     1,726          (4,380

FirstEnergy Corp.

     279          01/19/18        USD     33.00        USD     854          (1,395

FirstEnergy Corp.

     1,142          01/19/18        USD     35.00        USD     3,497          (5,710

General Electric Co.

     1,036          01/19/18        USD     19.00        USD     1,808          (4,662

General Mills, Inc.

     362          01/19/18        USD     55.00        USD     2,146          (158,375

General Mills, Inc.

     444          01/19/18        USD     60.00        USD     2,632          (22,200

Goldman Sachs Group, Inc.

     94          01/19/18        USD     250.00        USD     2,395          (77,080

Halliburton Co.

     206          01/19/18        USD     45.00        USD     1,007          (83,945

Halliburton Co.

     410          01/19/18        USD     42.80        USD     2,004          (256,384

Hess Corp.

     297          01/19/18        USD     45.00        USD     1,410          (91,922

Honeywell International, Inc.

     310          01/19/18        USD     150.00        USD     4,754          (139,500

International Paper Co.

     166          01/19/18        USD     55.00        USD     962          (52,290

International Paper Co.

     94          01/19/18        USD     57.50        USD     545          (10,998

Interpublic Group of Cos., Inc.

     1,152          01/19/18        USD     21.00        USD     2,322          (20,160

Invesco Ltd.

     629          01/19/18        USD     37.00        USD     2,298          (28,305

Invesco Ltd.

     506          01/19/18        USD     38.00        USD     1,849          (7,590

JPMorgan Chase & Co.

     507          01/19/18        USD     100.95        USD     5,422          (285,505

JPMorgan Chase & Co.

     297          01/19/18        USD     105.00        USD     3,176          (84,645

JPMorgan Chase & Co.

     597          01/19/18        USD     110.00        USD     6,384          (39,103

Kellogg Co.

     482          01/19/18        USD     67.50        USD     3,277          (66,275

Kroger Co.

     459          01/19/18        USD     27.50        USD     1,260          (27,540

Lockheed Martin Corp.

     157          01/19/18        USD     315.00        USD     5,040          (123,245

 

 

SCHEDULES OF INVESTMENTS      41  


Schedule of Investments  (continued)

December 31, 2017

  

BlackRock Enhanced Equity Dividend Trust (BDJ)

 

Exchange-Traded Options Written (continued)

 

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

Call (continued)

                          

Lowe’s Cos., Inc.

     288          01/19/18        USD     82.50        USD     2,677        $ (303,120

Marathon Oil Corp.

     1,322          01/19/18        USD     15.00        USD     2,238          (265,061

Marathon Petroleum Corp.

     867          01/19/18        USD     62.50        USD     5,720          (331,628

Marsh & McLennan Cos., Inc.

     967          01/19/18        USD     85.00        USD     7,870          (12,087

Mattel, Inc.

     1,455          01/19/18        USD     19.00        USD     2,238          (40,012

McKesson Corp.

     210          01/19/18        USD     145.00        USD     3,275          (245,700

McKesson Corp.

     38          01/19/18        USD     162.50        USD     593          (3,135

Medtronic PLC

     496          01/19/18        USD     82.50        USD     4,005          (24,552

Merck & Co., Inc.

     683          01/19/18        USD     57.50        USD     3,843          (19,465

Microsoft Corp.

     875          01/19/18        USD     85.00        USD     7,485          (134,313

Morgan Stanley

     809          01/19/18        USD     55.00        USD     4,245          (21,438

Motorola Solutions, Inc.

     429          01/19/18        USD     92.50        USD     3,876          (25,525

NextEra Energy, Inc.

     731          01/19/18        USD     160.00        USD     11,417          (45,687

Nielsen Holdings PLC

     322          01/19/18        USD     38.00        USD     1,172          (7,245

Nielsen Holdings PLC

     323          01/19/18        USD     37.00        USD     1,176          (16,150

Nielsen Holdings PLC

     127          01/19/18        USD     39.00        USD     462          (952

Oracle Corp.

     1,636          01/19/18        USD     50.00        USD     7,735          (7,362

PG&E Corp.

     385          01/19/18        USD     60.00        USD     1,726          (1,925

PG&E Corp.

     644          01/19/18        USD     57.50        USD     2,887          (3,220

Pentair PLC

     252          01/19/18        USD     70.00        USD     1,780          (36,540

Pfizer, Inc.

     917          01/19/18        USD     36.00        USD     3,321          (51,810

Pioneer Natural Resources Co.

     77          01/19/18        USD     160.00        USD     1,331          (105,490

Praxair, Inc.

     272          01/19/18        USD     155.00        USD     4,207          (69,360

Procter & Gamble Co.

     226          01/19/18        USD     90.00        USD     2,076          (50,398

Prudential Financial, Inc.

     333          01/19/18        USD     115.00        USD     3,829          (62,937

Public Service Enterprise Group, Inc.

     475          01/19/18        USD     50.27        USD     2,446          (71,644

QUALCOMM, Inc.

     735          01/19/18        USD     72.50        USD     4,705          (5,512

Royal Dutch Shell PLC — ADR, Class A

     1,253          01/19/18        USD     65.00        USD     8,359          (247,468

SunTrust Banks, Inc.

     426          01/19/18        USD     60.00        USD     2,752          (209,805

SunTrust Banks, Inc.

     630          01/19/18        USD     65.00        USD     4,069          (78,120

Suncor Energy, Inc.

     1,329          01/19/18        USD     36.00        USD     4,880          (140,210

TOTAL SA — ADR

     1,756          01/19/18        USD     55.00        USD     9,707          (158,040

Taiwan Semiconductor Manufacturing Co. Ltd. — ADR

     526          01/19/18        USD     42.00        USD     2,086          (9,205

Taiwan Semiconductor Manufacturing Co. Ltd. — ADR

     547          01/19/18        USD     40.00        USD     2,169          (39,657

Travelers Cos., Inc.

     445          01/19/18        USD     135.00        USD     6,036          (99,013

U.S. Bancorp

     241          01/19/18        USD     52.50        USD     1,291          (39,403

Unilever NV

     679          01/19/18        USD     57.00        USD     3,824          (35,176

Unilever NV

     598          01/19/18        USD     57.50        USD     3,368          (14,950

Union Pacific Corp.

     117          01/19/18        USD     120.00        USD     1,569          (172,283

United Parcel Service, Class B

     199          01/19/18        USD     115.00        USD     2,371          (97,013

UnitedHealth Group, Inc.

     135          01/19/18        USD     220.00        USD     2,976          (72,225

Verizon Communications, Inc.

     821          01/19/18        USD     46.00        USD     4,346          (582,910

Dollar General Corp.

     11          01/19/18        USD     87.50        USD     102          (6,600

Wells Fargo & Co.

     1,945          01/19/18        USD     57.50        USD     11,800          (705,063

Chevron Corp.

     124          01/23/18        USD     118.00        USD     1,552          (91,822

3M Co.

     123          01/24/18        USD     232.50        USD     2,895          (69,630

Royal Dutch Shell PLC — ADR, Class A

     335          01/25/18        USD     62.51        USD     2,235          (136,070

Aetna, Inc.

     267          01/26/18        USD     180.00        USD     4,816          (73,559

Altria Group, Inc.

     455          01/26/18        USD     72.50        USD     3,249          (42,542

American International Group, Inc.

     664          01/26/18        USD     60.00        USD     3,956          (55,776

Bank of America Corp.

     1,343          01/26/18        USD     29.50        USD     3,965          (103,411

Cardinal Health, Inc.

     123          01/26/18        USD     60.50        USD     754          (25,830

Charles Schwab Corp.

     195          01/26/18        USD     51.50        USD     1,002          (27,300

Chevron Corp.

     335          01/26/18        USD     120.00        USD     4,194          (197,650

Citigroup, Inc.

     653          01/26/18        USD     75.00        USD     4,859          (93,379

Dollar General Corp.

     72          01/26/18        USD     92.50        USD     670          (17,640

DowDuPont, Inc.

     188          01/26/18        USD     72.00        USD     1,339          (17,390

DowDuPont, Inc.

     25          01/26/18        USD     71.50        USD     178          (2,837

General Electric Co.

     520          01/26/18        USD     18.50        USD     907          (9,620

General Electric Co.

     1,029          01/26/18        USD     18.00        USD     1,796          (32,413

Goldman Sachs Group, Inc.

     162          01/26/18        USD     260.00        USD     4,127          (61,965

Hess Corp.

     427          01/26/18        USD     47.00        USD     2,027          (87,962

 

 

42    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (continued)

December 31, 2017

  

BlackRock Enhanced Equity Dividend Trust (BDJ)

 

Exchange-Traded Options Written (continued)

 

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

Call (continued)

                          

Honeywell International, Inc.

     319          01/26/18        USD     157.50        USD     4,892        $ (33,814

JPMorgan Chase & Co.

     1,177          01/26/18        USD     105.00        USD     12,587          (368,990

JPMorgan Chase & Co.

     603          01/26/18        USD     107.00        USD     6,448          (122,711

KeyCorp

     994          01/26/18        USD     20.50        USD     2,005          (41,251

Kroger Co.

     468          01/26/18        USD     27.50        USD     1,285          (33,930

Marathon Oil Corp.

     1,370          01/26/18        USD     15.00        USD     2,319          (278,795

Marathon Petroleum Corp.

     283          01/26/18        USD     65.00        USD     1,867          (61,411

Medtronic PLC

     186          01/26/18        USD     82.00        USD     1,502          (15,996

Merck & Co., Inc.

     682          01/26/18        USD     58.00        USD     3,838          (18,755

MetLife, Inc.

     1,067          01/26/18        USD     53.00        USD     5,395          (18,139

Microsoft Corp.

     96          01/26/18        USD     85.50        USD     821          (13,536

Microsoft Corp.

     96          01/26/18        USD     88.50        USD     821          (3,120

Morgan Stanley

     405          01/26/18        USD     52.50        USD     2,125          (50,625

Northrop Grumman Corp.

     362          01/26/18        USD     312.50        USD     11,110          (161,090

Oracle Corp.

     137          01/26/18        USD     51.00        USD     648          (548

Oracle Corp.

     315          01/26/18        USD     48.00        USD     1,489          (11,340

PG&E Corp.

     269          01/26/18        USD     54.00        USD     1,206          (4,035

Pfizer, Inc.

     950          01/26/18        USD     36.50        USD     3,441          (36,575

Pioneer Natural Resources Co.

     76          01/26/18        USD     155.00        USD     1,314          (139,460

Pioneer Natural Resources Co.

     77          01/26/18        USD     162.50        USD     1,331          (92,015

Procter & Gamble Co.

     190          01/26/18        USD     92.00        USD     1,746          (22,800

Suncor Energy, Inc.

     1,212          01/26/18        USD     35.00        USD     4,450          (232,098

U.S. Bancorp

     678          01/26/18        USD     56.00        USD     3,633          (15,255

U.S. Bancorp

     347          01/26/18        USD     55.00        USD     1,859          (15,615

Union Pacific Corp.

     144          01/26/18        USD     128.00        USD     1,931          (115,920

United Parcel Service, Class B

     12          01/26/18        USD     120.00        USD     143          (2,190

Verizon Communications, Inc.

     1,042          01/26/18        USD     52.00        USD     5,515          (154,737

Verizon Communications, Inc.

     913          01/26/18        USD     54.00        USD     4,833          (51,128

Wells Fargo & Co.

     1,111          01/26/18        USD     60.00        USD     6,740          (204,980

Enbridge, Inc.

     487          01/29/18        USD     39.10        USD     1,905          (35,019

Microsoft Corp.

     563          01/29/18        USD     83.95        USD     4,816          (150,943

Motorola Solutions, Inc.

     429          01/29/18        USD     94.00        USD     3,876          (21,520

Taiwan Semiconductor Manufacturing Co. Ltd. — ADR

     776          01/29/18        USD     39.75        USD     3,077          (82,593

UnitedHealth Group, Inc.

     173          01/29/18        USD     222.00        USD     3,814          (62,983

Royal Dutch Shell PLC — ADR, Class A

     256          01/31/18        USD     64.97        USD     1,708          (54,309

Comcast Corp., Class A

     700          02/02/18        USD     41.50        USD     2,804          (40,950

Marathon Oil Corp.

     705          02/02/18        USD     17.50        USD     1,194          (32,430

Oracle Corp.

     883          02/02/18        USD     48.00        USD     4,175          (42,825

Enbridge, Inc.

     233          02/06/18        USD     39.26        USD     911          (17,230

Kellogg Co.

     203          02/06/18        USD     67.00        USD     1,380          (42,166

Morgan Stanley

     590          02/09/18        USD     53.00        USD     3,096          (72,865

UnitedHealth Group, Inc.

     173          02/12/18        USD     222.00        USD     3,814          (118,939

3M Co.

     71          02/16/18        USD     250.00        USD     1,671          (7,561

3M Co.

     139          02/16/18        USD     240.00        USD     3,272          (52,125

Altria Group, Inc.

     263          02/16/18        USD     74.10        USD     1,878          (26,339

American International Group, Inc.

     109          02/16/18        USD     62.50        USD     649          (6,322

American International Group, Inc.

     663          02/16/18        USD     60.00        USD     3,950          (101,108

Anthem, Inc.

     129          02/16/18        USD     230.00        USD     2,903          (65,790

Brighthouse Financials, Inc.

     111          02/16/18        USD     60.00        USD     651          (23,865

Charles Schwab Corp.

     196          02/16/18        USD     51.81        USD     1,007          (33,535

Chevron Corp.

     299          02/16/18        USD     125.00        USD     3,743          (93,438

Comcast Corp., Class A

     1,013          02/16/18        USD     40.00        USD     4,057          (145,366

Dollar General Corp.

     400          02/16/18        USD     92.50        USD     3,720          (136,000

DowDuPont, Inc.

     453          02/16/18        USD     72.50        USD     3,226          (66,818

Dr. Pepper Snapple Group, Inc.

     279          02/16/18        USD     95.00        USD     2,708          (112,995

Exelon Corp.

     299          02/16/18        USD     40.00        USD     1,178          (20,930

Goldman Sachs Group, Inc.

     279          02/16/18        USD     260.00        USD     7,108          (159,030

Hess Corp.

     446          02/16/18        USD     45.00        USD     2,117          (171,710

International Paper Co.

     528          02/16/18        USD     57.50        USD     3,059          (98,208

JPMorgan Chase & Co.

     244          02/16/18        USD     107.85        USD     2,609          (60,745

Kroger Co.

     595          02/16/18        USD     27.00        USD     1,633          (77,350

Medtronic PLC

     495          02/16/18        USD     82.50        USD     3,997          (55,935

 

 

SCHEDULES OF INVESTMENTS      43  


Schedule of Investments  (continued)

December 31, 2017

  

BlackRock Enhanced Equity Dividend Trust (BDJ)

 

Exchange-Traded Options Written (continued)

 

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

Call (continued)

                          

Merck & Co., Inc.

     472          02/16/18        USD     57.50        USD     2,656        $ (46,020

MetLife, Inc.

     1,448          02/16/18        USD     52.50        USD     7,321          (89,776

Morgan Stanley

     198          02/16/18        USD     55.00        USD     1,039          (12,672

Nielsen Holdings PLC

     943          02/16/18        USD     38.00        USD     3,433          (82,513

Oracle Corp.

     883          02/16/18        USD     49.00        USD     4,175          (30,905

PG&E Corp.

     464          02/16/18        USD     55.00        USD     2,080          (5,800

Pentair PLC

     325          02/16/18        USD     70.00        USD     2,295          (73,125

Pfizer, Inc.

     1,480          02/16/18        USD     38.00        USD     5,361          (22,200

Philip Morris International, Inc.

     149          02/16/18        USD     108.55        USD     1,574          (25,432

Procter & Gamble Co.

     189          02/16/18        USD     92.50        USD     1,737          (24,570

Quest Diagnostics, Inc.

     363          02/16/18        USD     100.00        USD     3,575          (74,415

US Bancorp

     121          02/16/18        USD     54.01        USD     648          (14,172

Union Pacific Corp.

     124          02/16/18        USD     135.00        USD     1,663          (55,180

Wells Fargo & Co.

     769          02/16/18        USD     62.50        USD     4,666          (80,361

Wells Fargo & Co.

     1,111          02/16/18        USD     60.00        USD     6,740          (241,087

Public Service Enterprise Group, Inc.

     1,001          02/20/18        USD     52.05        USD     5,155          (117,156

Comcast Corp., Class A

     184          02/26/18        USD     39.54        USD     737          (33,610

Comcast Corp., Class A

     265          03/16/18        USD     40.00        USD     1,061          (47,435

Philip Morris International, Inc.

     149          03/16/18        USD     108.55        USD     1,574          (32,407

Union Pacific Corp.

     123          03/16/18        USD     135.00        USD     1,649          (65,498
                          

 

 

 
     $ (20,137,378
                          

 

 

 

OTC Options Written

 

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

Call

                     

Morgan Stanley

   UBS AG      49,900        01/03/18        USD       49.40        USD       2,618      $ (154,759

Chevron Corp.

   Bank of America N.A.      15,500        01/04/18        USD       116.22        USD       1,940        (139,509

Pfizer, Inc.

   UBS AG      56,600        01/04/18        USD       35.93        USD       2,050        (26,356

Koninklijke Philips NV

   Morgan Stanley & Co. International PLC      115,000        01/05/18        EUR       35.45        EUR       3,619        (27

Mattel, Inc.

   Credit Suisse Securities (USA) LLC      1,455        01/05/18        USD       19.00        USD       2,238        (43,650

Constellation Software, Inc.

   Citibank N.A.      10,000        01/08/18        CAD       732.60        CAD       6,062        (239,493

Marathon Oil Corp.

   Bank of America N.A.      32,400        01/08/18        USD       16.00        USD       549        (32,410

Marsh & McLennan Cos. Inc.

   UBS AG      22,700        01/08/18        USD       83.52        USD       1,848        (4,173

SK Telecom Co. Ltd. — ADR

   Bank of America N.A.      18,100        01/08/18        USD       25.94        USD       505        (35,949

AstraZeneca PLC

   Goldman Sachs International      161,100        01/09/18        GBP       50.74        GBP       8,234        (174,342

Public Service Enterprise Group, Inc.

   Deutsche Bank AG      50,000        01/09/18        USD       51.65        USD       2,575        (22,718

Koninklijke Philips NV

   Bank of America N.A.      88,200        01/10/18        EUR       33.36        EUR       2,776        (1,276

Smith & Nephew PLC

   Morgan Stanley & Co. International PLC      128,400        01/10/18        GBP       13.54        GBP       1,646        (2,665

Diageo PLC

   Morgan Stanley & Co. International PLC      71,000        01/11/18        GBP       26.02        GBP       1,928        (111,264

CRH PLC

   Morgan Stanley & Co. International PLC      36,000        01/12/18        GBP       27.91        GBP       957        (1,389

Samsung Electronics Co. Ltd. — GDR

   Goldman Sachs International      4,900        01/12/18        USD       1,288.76        USD       5,803        (14,787

AstraZeneca PLC

   Goldman Sachs International      35,500        01/16/18        GBP       50.74        GBP       1,814        (45,392

Diageo PLC

   UBS AG      123,000        01/16/18        GBP       25.87        GBP       3,339        (221,082

Diageo PLC

   UBS AG      68,500        01/16/18        GBP       25.96        GBP       1,860        (116,803

Lenovo Group Ltd.

   Morgan Stanley & Co. International PLC      3,310,000        01/17/18        HKD       4.64        HKD       14,564        (12,662

Publicis Groupe SA

   UBS AG      19,000        01/17/18        EUR       54.75        EUR       1,074        (48,914

Diageo PLC

   Credit Suisse International      112,700        01/23/18        GBP       26.54        GBP       3,060        (117,766

Experian PLC

   Goldman Sachs International      108,000        01/23/18        GBP       15.62        GBP       1,764        (107,213

Pfizer, Inc.

   UBS AG      143,600        01/24/18        USD       35.99        USD       5,201        (89,723

Samsung Electronics Co. Ltd. — GDR

   Credit Suisse International      2,900        01/24/18        USD       1,212.99        USD       3,434        (86,576

CRH PLC

   Credit Suisse International      33,100        01/25/18        GBP       26.11        GBP       880        (36,639

SK Telecom Co. Ltd. — ADR

   UBS AG      73,100        01/26/18        USD       28.53        USD       2,040        (31,816

TOTAL SA

   Citibank N.A.      53,300        01/26/18        USD       56.88        USD       2,946        (15,217

CRH PLC

   UBS AG      72,500        01/31/18        GBP       27.08        GBP       1,927        (35,409

FirstEnergy Corp.

   Citibank N.A.      46,800        01/31/18        USD       32.63        USD       1,433        (4,453

Koninklijke Philips NV

   Morgan Stanley & Co. International PLC      47,600        01/31/18        EUR       33.96        EUR       1,498        (4,643

Marathon Oil Corp.

   UBS AG      123,600        01/31/18        USD       15.62        USD       2,093        (185,275

Novo Nordisk A/S

   UBS AG      35,200        01/31/18        USD       52.59        USD       1,889        (62,169

Pfizer, Inc.

   UBS AG      31,700        01/31/18        USD       36.96        USD       1,148        (7,441

 

 

44    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (continued)

December 31, 2017

  

BlackRock Enhanced Equity Dividend Trust (BDJ)

 

OTC Options Written (continued)

 

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

Call (continued)

                     

SK Telecom Co. Ltd. — ADR

   Bank of America N.A.      56,000        01/31/18        USD       27.94        USD       1,563      $ (41,783

Suncor Energy, Inc.

   Citibank N.A.      90,100        01/31/18        USD       35.24        USD       3,308        (149,208

Suncor Energy, Inc.

   UBS AG      45,100        01/31/18        USD       34.79        USD       1,656        (92,268

TOTAL SA

   Citibank N.A.      53,400        01/31/18        USD       57.16        USD       2,952        (17,673

Publicis Groupe SA

   Morgan Stanley & Co. International PLC      33,000        02/02/18        EUR       55.80        EUR       1,865        (79,974

Smith & Nephew PLC

   Morgan Stanley & Co. International PLC      75,500        02/02/18        GBP       13.25        GBP       968        (19,455

Suncor Energy, Inc.

   UBS AG      45,100        02/02/18        USD       34.88        USD       1,656        (99,059

Novo Nordisk A/S

   UBS AG      35,200        02/07/18        USD       52.59        USD       1,889        (66,042

Publicis Groupe SA

   Goldman Sachs International      6,700        02/07/18        EUR       57.93        EUR       379        (7,076

BCE, Inc.

   Barclays Bank PLC      36,100        02/08/18        USD       47.54        USD       1,733        (54,757

FirstEnergy Corp.

   Citibank N.A.      46,800        02/09/18        USD       32.63        USD       1,433        (4,596

Royal Dutch Shell PLC — ADR, Class A

   UBS AG      32,200        02/09/18        USD       64.85        USD       2,148        (77,096

Public Service Enterprise Group, Inc.

   Bank of America N.A.      30,600        02/12/18        USD       52.10        USD       1,576        (24,911

Experian PLC

   UBS AG      135,800        02/22/18        GBP       16.25        GBP       2,218        (72,007

Lenovo Group Ltd.

   UBS AG      3,300,000        02/22/18        HKD       4.39        HKD       14,520        (72,918
                     

 

 

 
   $ (3,112,783
                     

 

 

 

Derivative Financial Instruments Categorized by Risk Exposure

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

 

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

Liabilities — Derivative Financial Instruments

                                

Options written

                                

Options written, at value

   $        $        $ 23,250,161        $        $        $        $ 23,250,161  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

For the year ended December 31, 2017, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

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

Net Realized Gain (Loss) from:

                                

Options purchased(a)

   $        $        $ 1,515        $        $        $        $ 1,515  

Options written

                       (48,982,857                                   (48,982,857
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 
   $        $        $ (48,981,342      $        $        $        $ (48,981,342
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 
(a) Options purchased are included in net realized gain (loss) from investments.  
Net Change in Unrealized Appreciation on:                                                             

Options written

   $        $        $ 4,437,837        $        $        $        $ 4,437,837  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Options:

 

Average value of option contracts purchased

   $ 13,298 (a) 

Average value of option contracts written

   $ 21,088,115  

 

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

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

 

 

SCHEDULES OF INVESTMENTS      45  


Schedule of Investments  (continued)

December 31, 2017

  

BlackRock Enhanced Equity Dividend Trust (BDJ)

 

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

   $        $ 23,250,161  
  

 

 

      

 

 

 

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

              (20,137,378
  

 

 

      

 

 

 

Total derivative assets and liabilities subject to an MNA

   $        $ 3,112,783  
  

 

 

      

 

 

 

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

 

Counterparty   

Derivative
Liabilities

Subject to

an MNA by
Counterparty

      

Derivatives

Available
for Offset

      

Non-cash
Collateral

Pledged (a)

      

Cash
Collateral

Pledged

      

Net Amount
of
 Derivative

Liabilities (b)

 

Bank of America N.A.

   $ 275,838        $        $        $        $ 275,838  

Barclays Bank PLC

     54,757                                     54,757  

Citibank N.A.

     430,640                   (430,640                  

Credit Suisse International

     240,981                   (240,981                  

Credit Suisse Securities (USA) LLC

     43,650                                     43,650  

Deutsche Bank AG

     22,718                                     22,718  

Goldman Sachs International

     348,810                   (221,920                 126,890  

Morgan Stanley & Co. International PLC

     232,079                   (232,079                  

UBS AG

     1,463,310                   (1,463,310                  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 
   $ 3,112,783        $        $ (2,588,930      $        $ 523,853  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a)  Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes.  
  (b)  Net amount represents the net amount payable due to 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:

 

Common Stocks:

                 

Aerospace & Defense

   $ 40,527,041        $        $        $ 40,527,041  

Air Freight & Logistics

     7,573,770                            7,573,770  

Banks

     355,281,109                            355,281,109  

Beverages

     19,831,299          25,569,323                   45,400,622  

Capital Markets

     77,716,430                            77,716,430  

Chemicals

     40,006,126                            40,006,126  

Communications Equipment

     15,502,344                            15,502,344  

Construction Materials

              10,164,768                   10,164,768  

Diversified Telecommunication Services

     45,393,470                            45,393,470  

Electric Utilities

     77,235,962                            77,235,962  

Electronic Equipment, Instruments & Components

     6,950,390                            6,950,390  

Energy Equipment & Services

     8,029,341                            8,029,341  

Food & Staples Retailing

     16,354,435                            16,354,435  

Food Products

     22,741,440                            22,741,440  

Health Care Equipment & Supplies

     23,441,725          34,106,946                   57,548,671  

Health Care Providers & Services

     142,848,004                            142,848,004  

Household Products

     19,232,322                            19,232,322  

Industrial Conglomerates

     61,466,776                            61,466,776  

Insurance

     113,040,991                            113,040,991  

Leisure Products

     9,027,383                            9,027,383  

Machinery

     8,149,548                            8,149,548  

Media

     37,105,570          7,001,061                   44,106,631  

 

 

46    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (continued)

December 31, 2017

  

BlackRock Enhanced Equity Dividend Trust (BDJ)

 

      Level 1        Level 2        Level 3        Total  

Assets: (continued)

 

Investments: (continued)

 

Common Stocks: (continued)

                 

Multi-Utilities

   $ 23,509,750        $        $        $ 23,509,750  

Multiline Retail

     10,334,062                            10,334,062  

Oil, Gas & Consumable Fuels

     218,653,923                            218,653,923  

Paper & Forest Products

     7,862,458                            7,862,458  

Personal Products

     14,394,829                            14,394,829  

Pharmaceuticals

     120,448,520          34,941,418                   155,389,938  

Professional Services

     15,155,637          10,745,816                   25,901,453  

Road & Rail

     12,873,600                            12,873,600  

Semiconductors & Semiconductor Equipment

     30,507,442                            30,507,442  

Software

     108,466,168                            108,466,168  

Specialty Retail

     10,734,570                            10,734,570  

Technology Hardware, Storage & Peripherals

              16,703,636                   16,703,636  

Tobacco

     20,051,329                            20,051,329  

Wireless Telecommunication Services

     8,195,492                            8,195,492  

Short-Term Securities

     4,967,189                            4,967,189  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 1,753,610,445        $ 139,232,968        $        $ 1,892,843,413  
  

 

 

      

 

 

      

 

 

      

 

 

 

Derivative Financial Instruments(a)

 

Liabilities:

 

Equity contracts

   $ (15,944,512      $ (7,305,649      $        $ (23,250,161
  

 

 

      

 

 

      

 

 

      

 

 

 

 

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

During the year ended December 31, 2017, there were no transfers between levels.

See notes to financial statements.

 

 

SCHEDULES OF INVESTMENTS      47  


Schedule of Investments  

December 31, 2017

  

BlackRock Enhanced Global Dividend Trust (BOE)

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  

Common Stocks — 97.9%

 

Australia — 4.3%  

Amcor Ltd.

    1,535,069     $ 18,393,700  

Ansell Ltd.

    476,285       8,994,019  

Ensogo Ltd.(b)(c)

    418,198        

Sonic Healthcare Ltd.

    666,385       11,850,609  
   

 

 

 
      39,238,328  
Belgium — 2.3%  

Anheuser-Busch InBev SA

    89,916       10,038,338  

bpost SA

    373,254       11,359,710  
   

 

 

 
      21,398,048  
Canada — 5.6%  

Rogers Communications, Inc., Class B

    499,621       25,458,015  

TELUS Corp.

    663,845       25,149,005  
   

 

 

 
      50,607,020  
China — 1.2%  

ANTA Sports Products Ltd.

    2,405,000       10,912,439  
   

 

 

 
Denmark — 1.1%  

Novo Nordisk A/S, Class B

    186,453       10,019,142  
   

 

 

 
Finland — 2.1%  

Kone OYJ, Class B

    349,654       18,777,367  
   

 

 

 
France — 3.1%  

Sanofi

    332,240       28,603,182  
   

 

 

 
Germany — 2.5%  

Deutsche Post AG, Registered Shares

    475,135       22,584,839  
   

 

 

 
Hong Kong — 1.0%  

Sands China Ltd.

    1,736,400       8,937,670  
   

 

 

 
India — 0.6%  

Hero MotoCorp Ltd.

    89,093       5,277,114  
   

 

 

 
Japan — 2.3%  

Japan Tobacco, Inc.

    642,700       20,696,929  
   

 

 

 
Netherlands — 1.3%  

Heineken NV

    111,338       11,606,675  
   

 

 

 
Sweden — 1.4%  

Svenska Handelsbanken AB, Class A

    937,035       12,805,552  
   

 

 

 
Switzerland — 10.1%  

Givaudan SA, Registered Shares

    5,999       13,857,248  

Nestle SA, Registered Shares

    273,146       23,484,067  

Novartis AG, Registered Shares

    319,491       26,885,945  

Roche Holding AG

    66,502       16,815,376  

SGS SA, Registered Shares

    4,338       11,309,320  
   

 

 

 
      92,351,956  
Taiwan — 2.7%  

Far EasTone Telecommunications Co. Ltd.

    3,304,000       8,160,492  

Taiwan Semiconductor Manufacturing Co. Ltd.

    2,113,000       16,179,393  
   

 

 

 
      24,339,885  
United Kingdom — 16.0%  

AstraZeneca PLC

    275,099       18,983,382  

British American Tobacco PLC

    545,729       36,890,628  

Diageo PLC

    382,900       14,034,961  

GlaxoSmithKline PLC

    989,179       17,517,571  

Imperial Brands PLC

    770,988       32,886,215  

Lloyds Banking Group PLC

    8,612,304       7,897,327  

Unilever PLC

    324,571       18,002,700  
   

 

 

 
      146,212,784  
United States — 40.3%  

3M Co.(a)

    49,247       11,591,266  
Security   Shares     Value  
United States (continued)  

AbbVie, Inc.(a)

    196,677     $ 19,020,633  

Altria Group, Inc.(a)(d)

    502,525       35,885,310  

Cisco Systems, Inc.(a)(d)

    713,910       27,342,753  

Citizens Financial Group, Inc.(a)

    220,677       9,264,020  

Coca-Cola Co.(a)

    470,253       21,575,208  

Genuine Parts Co.(a)

    266,194       25,291,092  

H&R Block, Inc.(a)

    503,109       13,191,518  

International Paper Co.(a)

    310,551       17,993,325  

Johnson & Johnson(a)(d)

    222,850       31,136,602  

M&T Bank Corp.(a)

    80,032       13,684,672  

Microsoft Corp.(a)

    159,743       13,664,416  

PepsiCo, Inc.(a)

    152,840       18,328,573  

Pfizer, Inc.(a)(d)

    137,809       4,991,442  

Philip Morris International, Inc.(a)(d)

    242,898       25,662,174  

Procter & Gamble Co.(a)

    198,221       18,212,545  

FirstSun Capital Bancorp, (Acquired 3/10/14, cost $5,461,692)(b)(e)

    120,312       4,411,841  

U.S. Bancorp(a)

    249,836       13,386,213  

United Parcel Service, Inc., Class B(a)

    84,911       10,117,146  

United Technologies Corp.(a)

    145,751       18,593,455  

Wells Fargo & Co.(a)

    228,446       13,859,819  
   

 

 

 
      367,204,023  
   

 

 

 

Total Common Stocks — 97.9%
(Cost — $844,455,573)

 

    891,572,953  
   

 

 

 

Preferred Stocks — 1.3%

 

India — 0.1%  

Jasper Infotech Private Ltd., Series F, (Acquired 5/7/14, cost 1,888,464), 0.00%(b)(c)(e)

    266       419,236  

Jasper Infotech Private Ltd., Series G, (Acquired 10/29/14, cost 741,913), 0.00%(b)(c)(e)

    88       168,832  
   

 

 

 
      588,068  
United States — 1.2%  

Palantir Technologies, Inc., Series I (Acquired 3/27/14, cost $3,118,944), 0.00%(b)(c)(e)

    508,800       2,884,896  

Uber Technologies, Inc., Series D (Acquired 6/01014, cost $3,845,800), 0.00%(b)(c)(e)

    247,908       8,173,527  
   

 

 

 
      11,058,423  
   

 

 

 

Total Preferred Stocks — 1.3%
(Cost — $9,601,887)

 

    11,646,491  
   

 

 

 

Total Long-Term Investments — 99.2%
(Cost — $854,057,460)

 

    903,219,444  
   

 

 

 

Short-Term Securities — 1.4%

 

BlackRock Liquidity Funds, T-Fund, Institutional Class,
1.18%(f)(g)

    13,118,524       13,118,524  
   

 

 

 

Total Short-Term Securities — 1.4%
(Cost — $13,118,524)

 

    13,118,524  
   

 

 

 

Total Investments Before Options Written — 100.6%
(Cost — $867,175,984)

 

    916,337,968  
   

 

 

 

Options Written — (0.8)%
(Premiums Received — $7,137,230)

 

    (7,060,260
   

 

 

 

Total Investments, Net of Options Written — 99.8%
(Cost — $860,038,754)

 

    909,277,708  

Other Assets Less Liabilities — 0.2%

 

    1,949,149  
   

 

 

 

Net Assets Applicable to Common
Shares — 100.0%

 

  $ 911,226,857  
   

 

 

 
 

 

 

48    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (continued)

December 31, 2017

   BlackRock Enhanced Global Dividend Trust (BOE)

 

 

(a)  All or a portion of security has been pledged and/or segregated as collateral in connection with outstanding exchange-traded options written.
(b)  Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.
(c)  Non-income producing security.
(d)  All or a portion of the security has been pledged as collateral in connection with outstanding OTC derivatives.
(e)  Restricted security as to resale, excluding 144A securities. As of year end, the Trust held restricted securities with a current value of $16,058,332 and an original cost of $15,056,813, which was 1.8% of its net assets.
(f)  Annualized 7-day yield as of period end.
 
(g)  During the year ended December 31, 2017, investments in issuers considered to be affiliates of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate    Shares
Held at
12/31/16
     Shares
Purchased
    Shares
Sold
     Shares
Held at
12/31/17
     Value at
12/31/17
     Income     Net
Realized
Gain
 (a)
     Change in
Unrealized
Appreciation
(Depreciation)
 

BlackRock Liquidity Funds, T-Fund, Institutional Class

     11,863,116        1,255,408 (b)             13,118,524      $ 13,118,524      $ 183,205     $ 40      $  

iShare MSCI ACWI ETF

            757,600       757,600                            (435,777       

SL Liquidity Series, LLC, Money Market Series

                                       32,561 (c)              
             

 

 

    

 

 

   

 

 

    

 

 

 
   $ 13,118,524      $ 215,766     $ (435,737    $  
             

 

 

    

 

 

   

 

 

    

 

 

 

 

  (a)  Includes net capital gain distributions, if applicable.  
  (b) Represents net shares purchased.  
  (c)  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.  

Derivative Financial Instruments Outstanding as of Period End

Exchange-Traded Options Written

 

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

Call

                          

Coca-Cola Co.

     266          01/04/18        USD     45.75        USD     1,220        $ (9,898

Coca-Cola Co.

     370          01/05/18        USD     46.50        USD     1,698          (1,480

International Paper Co.

     352          01/05/18        USD     57.00        USD     2,039          (40,128

Johnson & Johnson

     331          01/05/18        USD     139.90        USD     4,625          (28,020

Microsoft Corp.

     68          01/05/18        USD     84.00        USD     582          (11,798

PepsiCo, Inc.

     303          01/05/18        USD     118.00        USD     3,634          (63,327

Pfizer, Inc.

     85          01/05/18        USD     36.50        USD     308          (850

Procter & Gamble Co.

     57          01/05/18        USD     90.00        USD     524          (12,084

U.S. Bancorp

     37          01/05/18        USD     56.00        USD     198          (111

U.S. Bancorp

     37          01/05/18        USD     55.00        USD     198          (166

United Parcel Service, Class B

     227          01/05/18        USD     122.00        USD     2,705          (2,497

United Technologies Corp.

     123          01/05/18        USD     123.00        USD     1,569          (58,425

Pfizer, Inc.

     138          01/09/18        USD     35.51        USD     500          (11,847

AbbVie, Inc.

     438          01/12/18        USD     98.50        USD     4,236          (25,185

Cisco Systems, Inc.

     560          01/12/18        USD     38.00        USD     2,145          (28,000

Coca-Cola Co.

     393          01/12/18        USD     46.50        USD     1,803          (5,305

Genuine Parts Co.

     734          01/12/18        USD     87.70        USD     6,974          (545,753

Johnson & Johnson

     114          01/12/18        USD     140.00        USD     1,593          (12,996

Microsoft Corp.

     137          01/12/18        USD     84.50        USD     1,172          (23,701

Pfizer, Inc.

     85          01/12/18        USD     36.50        USD     308          (1,827

Procter & Gamble Co.

     57          01/12/18        USD     90.00        USD     524          (12,654

Microsoft Corp.

     59          01/16/18        USD     83.95        USD     505          (13,566

3M Co.

     126          01/19/18        USD     230.95        USD     2,966          (79,719

AbbVie, Inc.

     200          01/19/18        USD     92.50        USD     1,934          (93,000

AbbVie, Inc.

     155          01/19/18        USD     97.50        USD     1,499          (19,065

Altria Group, Inc.

     740          01/19/18        USD     72.50        USD     5,284          (52,170

Cisco Systems, Inc.

     626          01/19/18        USD     37.00        USD     2,398          (86,075

Cisco Systems, Inc.

     480          01/19/18        USD     39.00        USD     1,838          (6,960

Citizens Financial Group, Inc.

     595          01/19/18        USD     38.10        USD     2,498          (233,725

Coca-Cola Co.

     371          01/19/18        USD     47.00        USD     1,702          (3,339

Genuine Parts Co.

     633          01/19/18        USD     95.00        USD     6,014          (96,533

H&R Block, Inc.

     752          01/19/18        USD     28.00        USD     1,972          (7,520

 

 

SCHEDULES OF INVESTMENTS      49  


Schedule of Investments  (continued)

December 31, 2017

  

BlackRock Enhanced Global Dividend Trust (BOE)

 

Exchange-Traded Options Written (continued)

 

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

Call (continued)

                          

H&R Block, Inc.

     376          01/19/18        USD     27.00        USD     986        $ (13,160

International Paper Co.

     352          01/19/18        USD     57.50        USD     2,039          (41,184

Johnson & Johnson

     397          01/19/18        USD     140.00        USD     5,547          (53,992

M&T Bank Corp.

     426          01/19/18        USD     175.00        USD     7,284          (78,810

Microsoft Corp.

     273          01/19/18        USD     85.00        USD     2,335          (41,906

PepsiCo, Inc.

     158          01/19/18        USD     120.00        USD     1,895          (25,754

PepsiCo, Inc.

     171          01/19/18        USD     115.00        USD     2,051          (91,485

Pfizer, Inc.

     138          01/19/18        USD     36.00        USD     500          (7,797

Procter & Gamble Co.

     307          01/19/18        USD     90.00        USD     2,821          (68,461

Rogers Communications, Inc., Class B

     1,040          01/19/18        CAD     70.00        CAD     6,661          (5,792

TELUS Corp.

     1,422          01/19/18        CAD     49.00        CAD     6,772          (6,222

U.S. Bancorp

     183          01/19/18        USD     52.50        USD     981          (29,921

United Technologies Corp.

     250          01/19/18        USD     120.00        USD     3,189          (200,625

Wells Fargo & Co.

     85          01/19/18        USD     57.50        USD     516          (30,813

Altria Group, Inc.

     1,132          01/26/18        USD     72.50        USD     8,084          (105,842

Cisco Systems, Inc.

     480          01/26/18        USD     38.50        USD     1,838          (18,000

Coca-Cola Co.

     457          01/26/18        USD     46.00        USD     2,097          (23,992

International Paper Co.

     574          01/26/18        USD     57.00        USD     3,326          (95,571

Johnson & Johnson

     213          01/26/18        USD     142.00        USD     2,976          (28,222

Johnson & Johnson

     32          01/26/18        USD     144.00        USD     447          (2,304

Microsoft Corp.

     90          01/26/18        USD     85.50        USD     770          (12,690

Microsoft Corp.

     90          01/26/18        USD     88.50        USD     770          (2,925

PepsiCo, Inc.

     40          01/26/18        USD     120.00        USD     480          (7,620

Procter & Gamble Co.

     282          01/26/18        USD     92.00        USD     2,591          (33,840

U.S. Bancorp

     134          01/26/18        USD     56.00        USD     718          (3,015

U.S. Bancorp

     616          01/26/18        USD     55.00        USD     3,301          (27,720

United Parcel Service, Class B

     226          01/26/18        USD     120.00        USD     2,693          (41,245

United Technologies Corp.

     245          01/26/18        USD     125.00        USD     3,125          (96,775

Wells Fargo & Co.

     313          01/26/18        USD     60.00        USD     1,899          (57,749

Microsoft Corp.

     59          01/29/18        USD     83.95        USD     505          (15,818

3M Co.

     59          02/16/18        USD     250.00        USD     1,389          (6,283

3M Co.

     59          02/16/18        USD     240.00        USD     1,389          (22,125

AbbVie, Inc.

     175          02/16/18        USD     100.00        USD     1,692          (28,788

Altria Group, Inc.

     339          02/16/18        USD     74.10        USD     2,421          (33,950

Cisco Systems, Inc.

     638          02/16/18        USD     38.00        USD     2,444          (72,413

Coca-Cola Co.

     456          02/16/18        USD     47.00        USD     2,092          (18,468

International Paper Co.

     88          02/16/18        USD     57.50        USD     510          (16,368

Philip Morris International, Inc.

     534          02/16/18        USD     108.55        USD     5,642          (91,147

Procter & Gamble Co.

     169          02/16/18        USD     92.50        USD     1,553          (21,970

U.S. Bancorp

     92          02/16/18        USD     54.01        USD     493          (10,775

United Technologies Corp.

     123          02/16/18        USD     125.00        USD     1,569          (56,580

Wells Fargo & Co.

     533          02/16/18        USD     62.50        USD     3,234          (55,699

Wells Fargo & Co.

     313          02/16/18        USD     60.00        USD     1,899          (67,921

Cisco Systems, Inc.

     355          03/16/18        USD     39.00        USD     1,360          (31,595

Philip Morris International, Inc.

     534          03/16/18        USD     108.55        USD     5,642          (116,142
                          

 

 

 
     $ (3,507,198
                          

 

 

 

OTC Options Written

 

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

Call

 

Deutsche Post AG, Registered Shares

   Goldman Sachs International      147,200        01/02/18      EUR     40.73      EUR     5,832      $ (3,437

Givaudan SA, Registered Shares

   Goldman Sachs International      1,700        01/04/18      CHF     2,301.79      CHF     3,827        (2,402

GlaxoSmithKline PLC

   Goldman Sachs International      78,200        01/04/18      GBP     13.39      GBP     1,026        (2,217

Nestle SA, Registered Shares

   UBS AG      60,000        01/04/18      CHF     85.09      CHF     5,027        (5,027

Sonic Healthcare Ltd.

   Deutsche Bank AG      71,300        01/04/18      AUD     22.20      AUD     1,625        (33,591

ANTA Sports Products Ltd.

   Citibank N.A.      206,369        01/05/18      HKD     37.04      HKD     7,316        (4,688

Svenska Handelsbanken AB

   UBS AG      178,000        01/05/18      SEK     121.10      SEK     19,954        (4

Sanofi

   Goldman Sachs International      53,000        01/09/18      EUR     82.30      EUR     3,803        (63

Imperial Brands PLC

   Goldman Sachs International      129,300        01/09/18      GBP     31.46      GBP     4,085        (85,774

 

 

50    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (continued)

December 31, 2017

  

BlackRock Enhanced Global Dividend Trust (BOE)

 

OTC Options Written (continued)

 

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

Call (continued)

                     

bpost SA

   UBS AG      20,800        01/09/18        EUR       24.40        EUR       528      $ (24,394

AMC Entertainment Holdings, Inc.

   Morgan Stanley & Co. International PLC      240,000        01/10/18        AUD       15.31        AUD       3,686        (37,063

Anheuser-Busch InBev SA

   Morgan Stanley & Co. International PLC      33,300        01/10/18        EUR       101.40        EUR       3,099        (13

British American Tobacco PLC

   Goldman Sachs International      145,200        01/10/18        GBP       50.25        GBP       7,270        (110,388

AMC Entertainment Holdings, Inc.

   UBS AG      140,000        01/11/18        AUD       15.62        AUD       2,150        (8,020

Diageo PLC

   Morgan Stanley & Co. International PLC      103,600        01/11/18        GBP       26.02        GBP       2,813        (162,351

Kone OYJ, Class B

   UBS AG      35,500        01/11/18        EUR       46.94        EUR       1,589        (1,226

Rogers Communications, Inc., Class B

   Morgan Stanley & Co. International PLC      80,000        01/11/18        CAD       69.00        CAD       5,124        (122

Sands China Ltd.

   Goldman Sachs International      456,400        01/11/18        HKD       37.70        HKD       18,352        (147,747

Sonic Healthcare Ltd.

   UBS AG      68,800        01/11/18        AUD       22.42        AUD       1,568        (24,225

Ansell Ltd.

   Citibank N.A.      31,000        01/12/18        AUD       24.23        AUD       750        (9,609

Far EasTone Telecommunications Co. Ltd.

   Goldman Sachs International      200,000        01/12/18        TWD       71.51        TWD       14,700        (13,036

Rogers Communications, Inc., Class B

   Morgan Stanley & Co. International PLC      20,000        01/12/18        CHF       231.11        CHF       4,928        (315,994

SGS SA, Registered Shares

   UBS AG      1,000        01/12/18        CHF       2,449.25        CHF       2,540        (96,330

British American Tobacco PLC

   UBS AG      121,900        01/16/18        GBP       49.15        GBP       6,104        (222,119

Diageo PLC

   UBS AG      99,300        01/16/18        GBP       25.87        GBP       2,696        (178,483

ANTA Sports Products Ltd.

   Goldman Sachs International      289,000        01/17/18        HKD       37.82        HKD       10,245        (12,878

Ansell Ltd.

   Deutsche Bank AG      33,500        01/17/18        AUD       24.67        AUD       811        (6,948

Far EasTone Telecommunications Co. Ltd.

   JPMorgan Chase Bank N.A.      224,000        01/17/18        TWD       72.40        TWD       16,464        (282,361

Heico Corp.

   Morgan Stanley & Co. International PLC      32,100        01/17/18        EUR       87.68        EUR       2,789        (30,055

Japan Tobacco, Inc.

   Morgan Stanley & Co. International PLC      112,200        01/17/18        JPY       3,778.13        JPY       407,115        (8,225

Nestle SA, Registered Shares

   Morgan Stanley & Co. International PLC      73,100        01/17/18        CHF       86.66        CHF       6,124        (4,905

Novartis AG, Registered Shares

   Morgan Stanley & Co. International PLC      157,900        01/17/18        CHF       83.51        CHF       12,948        (60,331

Novo Nordisk A/S

   UBS AG      61,600        01/17/18        DKK       336.92        DKK       20,538        (39,592

Sonic Healthcare Ltd.

   Goldman Sachs International      114,800        01/17/18        AUD       22.86        AUD       2,616        (20,582

Taiwan Semiconductor Manufacturing Co. Ltd.

   Morgan Stanley & Co. International PLC      972,000        01/17/18        TWD       235.10        USD       221,480        (46,870

bpost SA

   Credit Suisse International      30,000        01/17/18        EUR       25.68        EUR       761        (4,159

ANTA Sports Products Ltd.

   Morgan Stanley & Co. International PLC      274,000        01/24/18        HKD       36.45        HKD       9,713        (31,924

Ansell Ltd.

   Deutsche Bank AG      33,500        01/24/18        AUD       24.67        AUD       811        (8,664

Pfizer, Inc.

   UBS AG      16,000        01/24/18        USD       35.99        USD       580        (9,997

AMC Entertainment Holdings, Inc.

   Morgan Stanley & Co. International PLC      90,500        01/25/18        AUD       15.82        AUD       1,390        (6,065

AMC Entertainment Holdings, Inc.

   UBS AG      205,000        01/25/18        AUD       15.85        AUD       3,149        (13,367

Givaudan SA, Registered Shares

   UBS AG      1,500        01/25/18        CHF       2,262.40        CHF       3,376        (38,753

Roche Holding AG

   Morgan Stanley & Co. International PLC      10,800        01/25/18        CHF       242.91        CHF       2,661        (59,849

Sonic Healthcare Ltd.

   Morgan Stanley & Co. International PLC      68,800        01/25/18        AUD       21.62        AUD       1,568        (64,763

Unilever PLC

   Goldman Sachs International      154,300        01/25/18        GBP       42.33        GBP       6,339        (39,468

bpost SA

   UBS AG      22,000        01/26/18        EUR       25.60        EUR       558        (4,811

Imperial Brands PLC

   Goldman Sachs International      129,300        01/30/18        GBP       32.48        GBP       4,085        (60,273

Kone OYJ, Class B

   Credit Suisse International      40,000        01/30/18        EUR       45.39        EUR       1,790        (30,611

Sanofi

   UBS AG      63,500        01/30/18        EUR       76.78        EUR       4,556        (5,663

Ansell Ltd.

   Goldman Sachs International      31,200        01/31/18        AUD       24.65        AUD       755        (10,563

bpost SA

   UBS AG      22,000        01/31/18        EUR       25.60        EUR       558        (5,366

TELUS Corp.

   Morgan Stanley & Co. International PLC      40,500        01/31/18        CAD       48.31        CAD       1,929        (7,361

Far EasTone Telecommunications Co. Ltd.

   Morgan Stanley & Co. International PLC      257,000        02/01/18        TWD       72.13        TWD       18,890        (13,462

GlaxoSmithKline PLC

   Goldman Sachs International      383,800        02/01/18        GBP       13.32        GBP       5,035        (100,514

Heico Corp.

   Goldman Sachs International      20,700        02/01/18        EUR       86.28        EUR       1,798        (48,699

Lloyds Banking Group PLC

   Goldman Sachs International      2,312,500        02/01/18        GBP       0.68        GBP       1,573        (47,630

SGS SA, Registered Shares

   Morgan Stanley & Co. International PLC      1,200        02/01/18        CHF       2,484.09        CHF       3,049        (97,143

Svenska Handelsbanken AB

   Morgan Stanley & Co. International PLC      234,300        02/02/18        SEK       113.23        SEK       26,265        (53,407

ANTA Sports Products Ltd.

   UBS AG      289,000        02/06/18        HKD       34.66        HKD       10,245        (76,226

Anheuser-Busch InBev SA

   UBS AG      7,900        02/06/18        EUR       98.56        EUR       735        (2,055

Sands China Ltd.

   Goldman Sachs International      547,600        02/06/18        HKD       39.98        HKD       22,019        (76,652

Ansell Ltd.

   Citibank N.A.      31,200        02/07/18        AUD       24.65        AUD       755        (11,990

Imperial Brands PLC

   Goldman Sachs International      101,300        02/07/18        GBP       31.08        GBP       3,200        (149,997

Kone OYJ, Class B

   Credit Suisse International      50,300        02/07/18        EUR       44.49        EUR       2,251        (86,323

Rogers Communications, Inc., Class B

   Deutsche Bank AG      35,800        02/07/18        CAD       65.31        CAD       2,293        (21,868

Sanofi

   Credit Suisse International      36,800        02/07/18        EUR       75.09        EUR       2,640        (17,673

Citizens Financial Group, Inc.

   Barclays Bank PLC      37,500        02/08/18        USD       42.20        USD       1,574        (52,122

Deutsche Post AG, Registered Shares

   Goldman Sachs International      61,800        02/09/18        EUR       41.21        EUR       2,449        (21,910

Ansell Ltd.

   UBS AG      35,500        02/13/18        AUD       25.08        AUD       859        (10,606

H&R Block, Inc.

   UBS AG      108,000        02/13/18        USD       28.60        USD       2,832        (31,908

Japan Tobacco, Inc.

   Citibank N.A.      71,700        02/13/18        JPY       3,770.35        JPY       260,162        (17,940

 

 

SCHEDULES OF INVESTMENTS      51  


Schedule of Investments  (continued)

December 31, 2017

  

BlackRock Enhanced Global Dividend Trust (BOE)

 

OTC Options Written (continued)

 

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

Call (continued

                     

TELUS Corp.

   UBS AG      109,300        02/14/18        CAD       48.20        CAD       5,205      $ (36,689

Llyods Banking Group PLC

   Goldman Sachs International      1,477,000        02/15/18        GBP       0.68        GBP       1,004        (35,416

Ansell Ltd.

   Citibank N.A.      27,000        02/21/18        AUD       25.26        AUD       653        (6,130

Novo Nordisk A/S

   Goldman Sachs International      20,500        02/21/18        DKK       335.62        DKK       6,835        (38,323

Kone OYJ, Class B

   Credit Suisse International      28,100        02/22/18        EUR       45.09        EUR       1,258        (47,085

Japan Tobacco, Inc.

   Morgan Stanley & Co. International PLC      99,000        02/27/18        JPY       3,735.45        JPY       359,220        (41,295

Ansell Ltd.

   Citibank N.A.      27,000        02/28/18        AUD       25.26        AUD       653        (7,272
                     

 

 

 
   $ (3,553,062
                     

 

 

 

Derivative Financial Instruments Categorized by Risk Exposure

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

 

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

Liabilities — Derivative Financial Instruments

 

                    

Options written

 

                    

Options written, at value

      $      $      $ 7,060,260      $      $      $      $ 7,060,260  
     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

For the year ended December 31, 2017, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

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

Net Realized Gain (Loss) from:

                    

Futures contract

   $      $      $ 39,453      $      $      $      $ 39,453  

Options purchased(a)

                   37,699                             37,699  

Options written

                   (16,217,732                           (16,217,732
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $      $      $ (16,140,580    $      $      $      $ (16,140,580
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

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

  

Net Change in Unrealized Appreciation on:

                    

Options written

   $      $      $ (320,630    $      $      $      $ (320,630
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Financial Futures Contracts:

        

Average notional value of contracts — long

   $ 100,175,625 (a) 

Options:

 

Average value of option contracts purchased

   $ 570,769 (a) 

Average value of option contracts written

   $ 8,427,687  

 

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

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

   $        $ 7,060,260  
  

 

 

      

 

 

 

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

              (3,507,198
  

 

 

      

 

 

 

Total derivative assets and liabilities subject to an MNA

   $        $ 3,553,062  
  

 

 

      

 

 

 

 

 

52    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (continued)

December 31, 2017

  

BlackRock Enhanced Global Dividend Trust (BOE)

 

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

 

Counterparty    Derivative
Liabilities
Subject to
an MNA by
Counterparty
       Derivatives
Available
for Offset
       Non-cash
Collateral
Pledged
 (a)
       Cash
Collateral
Pledged
       Net Amount
of Derivative
Liabilities
 (b)
 

Barclays Bank PLC

   $ 52,122        $        $ (52,122      $        $  

Citibank N.A.

     57,629                   (57,629                  

Credit Suisse International

     185,851                   (185,851                  

Deutsche Bank AG

     71,071                   (71,071                  

Goldman Sachs International

     1,027,969                   (1,027,969                  

JPMorgan Chase Bank N.A.

     282,361                   (71,397                 210,964  

Morgan Stanley & Co. International PLC

     1,041,198                   (1,041,198                  

UBS AG

     834,861                   (834,861                  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 
   $ 3,553,062        $        $ (3,342,098      $        $ 210,964  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a)  Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes.  
  (b)  Net amount represents the net amount payable due to 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:

                 

Common Stocks:

                 

Australia

   $        $ 39,238,328        $        $ 39,238,328  

Belgium

              21,398,048                   21,398,048  

Canada

     50,607,020                            50,607,020  

China

     10,912,439                            10,912,439  

Denmark

              10,019,142                   10,019,142  

Finland

              18,777,367                   18,777,367  

France

              28,603,182                   28,603,182  

Germany

              22,584,839                   22,584,839  

Hong Kong

              8,937,670                   8,937,670  

India

              5,277,114                   5,277,114  

Japan

              20,696,929                   20,696,929  

Netherlands

              11,606,675                   11,606,675  

Sweden

              12,805,552                   12,805,552  

Switzerland

              92,351,956                   92,351,956  

Taiwan

     8,160,492          16,179,393                   24,339,885  

United Kingdom

              146,212,784                   146,212,784  

United States

     362,792,182                   4,411,841          367,204,023  

Preferred Stocks

                       11,646,491          11,646,491  

Short-Term Securities

     13,118,524                            13,118,524  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 445,590,657        $ 454,688,979        $ 16,058,332        $ 916,337,968  
  

 

 

      

 

 

      

 

 

      

 

 

 

Derivative Financial Instruments(a)

                 

Liabilities:

                 

Equity contracts

   $ (2,316,838      $ (4,743,422      $        $ (7,060,260
  

 

 

      

 

 

      

 

 

      

 

 

 

 

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

Transfers between Level 1 and Level 2 were as follow:

 

     

Transfers into

Level 1

      

Transfers out of

Level 1 (a)

      

Transfers into

Level 2 (a)

      

Transfers out of

Level 2

 

Assets:

 

Long-Term Investments:

 

Common Stocks

   $        $ (16,689,746      $ 16,689,746        $  
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a)  External pricing service used to reflect any significant market movements between the time the Trust valued such foreign securities and the earlier closing of foreign markets.  

 

 

SCHEDULES OF INVESTMENTS      53  


Schedule of Investments  (continued)

December 31, 2017

  

BlackRock Enhanced Global Dividend Trust (BOE)

 

A reconciliation of Level 3 investments is presented when the Trust had a significant amount of Level 3 investments at the beginning and/or end of the 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, 2016

   $ 4,421,995        $ 24,994,450        $ 29,416,445  

Transfers into Level 3

                        

Transfers out of Level 3

                        

Accrued discounts/premiums

                        

Net realized gain (loss)

                        

Net change in unrealized appreciation (depreciation)(a)(b)

     (10,154        (13,347,959        (13,358,113

Purchases

                        

Sales

                        
  

 

 

      

 

 

      

 

 

 

Closing Balance, as of December 31, 2017

   $ 4,411,841        $ 11,646,491        $ 16,058,332  
  

 

 

      

 

 

      

 

 

 

Net change in unrealized appreciation (depreciation) on investments still held at December 31, 2017(b)

   $ (10,154      $ (13,347,959      $ (13,358,113
  

 

 

      

 

 

      

 

 

 

 

  (a)  Included in the related net change in unrealized appreciation (depreciation) in the Statements of Operations.  
  (b)  Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at December 31, 2017 is generally due to investments no longer held or categorized as Level 3 at period end.  

The following table summarizes the valuation approaches used and unobservable inputs utilized by the BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) to determine the value of certain of the Trust’s Level 3 investments as of year end.

 

      Value        Valuation Approach        Unobservable Inputs      Range of
unobservable
Inputs Utilized
     Weighted
Average of
Unobservable
Inputs
 

Assets:

                    

Common Stocks

   $ 4,411,841          Market        Tangible Book Value Multiple(a)        1.90x         

Preferred Stocks(c)

     11,646,491          Market        Revenue Multiple(a)        7.75x – 11.50x        10.87x  
             Time to Exit(b)        3 years         
             Volatility(b)        41       
             Recent Transactions(a)                
  

 

 

                   
   $ 16,058,332                    
  

 

 

                   

 

  (a)  Increase in unobservable input may result in a significant increase to value, while a decrease in the unobservable input may result in a significant decrease to value.  
  (b)  Decrease in unobservable input may result in a significant increase to value, while an increase in the unobservable input may result in a significant decrease to value.  
  (c)  For the year ended December 31, 2017, the valuation technique for investments classified as preferred stocks with a total value of $588,068 changed to an Option Pricing Model (“OPM”). The investments were previously valued utilizing Probability-Weighted Expected Return Model (“PWERM”). The change was due to consideration of liquidation preferences and exit strategy.  

See notes to financial statements.

 

 

54    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  

December 31, 2017

  

BlackRock Enhanced International Dividend Trust (BGY)

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  

Common Stocks — 95.5%

 

Australia — 5.3%  

Amcor Ltd.

    1,525,713     $ 18,281,592  

Ansell Ltd.

    538,229       10,163,769  

Sonic Healthcare Ltd.

    670,911       11,931,129  
   

 

 

 
      40,376,490  
Belgium — 2.8%  

Anheuser-Busch InBev SA

    84,567       9,441,392  

bpost SA

    395,391       12,033,525  
   

 

 

 
      21,474,917  
Canada — 6.4%            

Rogers Communications, Inc., Class B

    497,990       25,375,010  

TELUS Corp.

    637,998       24,169,935  
   

 

 

 
      49,544,945  
China — 5.0%            

Alibaba Group Holding Ltd. — ADR(a)(b)

    77,577       13,376,774  

ANTA Sports Products Ltd.

    2,232,598       10,130,192  

Tencent Holdings Ltd.

    290,398       15,030,498  
   

 

 

 
      38,537,464  
Denmark — 1.5%            

Novo Nordisk A/S, Class B

    211,938       11,388,805  
   

 

 

 
Finland — 2.3%            

Kone OYJ, Class B

    333,519       17,911,142  
   

 

 

 
France — 5.8%            

AXA SA

    10,399       308,186  

BNP Paribas SA

    79,063       5,881,458  

Dassault Aviation SA

    5,062       7,872,302  

Sanofi

    324,798       27,962,572  

Societe Generale SA

    54,569       2,813,382  
   

 

 

 
      44,837,900  
Germany — 4.6%            

Continental AG

    1,399       376,432  

Deutsche Post AG, Registered Shares

    480,050       22,818,513  

Innogy SE(c)

    22,899       896,230  

SAP SE

    96,899       10,840,707  

Wacker Chemie AG

    4,099       794,403  
   

 

 

 
      35,726,285  
Hong Kong — 2.3%            

AIA Group Ltd.

    998,398       8,492,034  

Melco Resorts & Entertainment Ltd. — ADR(a)

    19,162       556,494  

Sands China Ltd.

    1,655,598       8,521,773  
   

 

 

 
      17,570,301  
India — 2.2%            

Federal Bank, Ltd.

    1,063,498       1,804,082  

HDFC Bank Ltd.

    338,300       10,010,307  

Hero MotoCorp Ltd.

    80,235       4,752,501  
   

 

 

 
      16,566,890  
Ireland — 0.9%            

Ryanair Holdings PLC, ADR(b)

    64,432       6,713,587  
   

 

 

 
Japan — 5.1%            

FANUC Corp.

    22,899       5,493,625  

Japan Tobacco, Inc.

    634,098       20,419,983  

Nintendo Co. Ltd.

    21,299       7,670,057  

SMC Corp.

    12,799       5,252,916  
   

 

 

 
      38,836,581  
Netherlands — 5.8%            

Aalberts Industries NV

    114,251       5,804,648  

ASML Holding NV

    64,679       11,245,150  

CNH Industrial NV

    55,267       739,391  
Security   Shares     Value  
Netherlands (continued)            

Heineken NV

    106,795     $ 11,133,184  

Koninklijke Philips NV

    186,399       7,038,208  

Royal Dutch Shell PLC, Class B

    261,583       8,808,586  
   

 

 

 
      44,769,167  
Portugal — 1.2%            

Galp Energia SGPS SA

    486,599       8,940,249  
   

 

 

 
South Africa — 1.9%            

Naspers Ltd., Class N

    53,615       14,855,314  
   

 

 

 
South Korea — 2.2%            

LG Chem Ltd.(b)

    7,643       2,892,182  

Samsung Electronics Co. Ltd.

    5,998       14,255,462  
   

 

 

 
      17,147,644  
Sweden — 2.8%            

Hexagon AB, Class B

    188,264       9,444,185  

Svenska Handelsbanken AB, Class A

    870,943       11,902,378  
   

 

 

 
      21,346,563  
Switzerland — 12.1%            

Givaudan SA, Registered Shares

    5,744       13,270,527  

Nestle SA, Registered Shares

    274,801       23,626,444  

Novartis AG, Registered Shares

    314,658       26,479,320  

Roche Holding AG

    69,631       17,606,813  

SGS SA, Registered Shares

    4,716       12,297,387  
   

 

 

 
      93,280,491  
Taiwan — 3.0%            

Far EasTone Telecommunications Co. Ltd.

    2,970,997       7,338,021  

Taiwan Semiconductor Manufacturing Co. Ltd.

    2,087,998       15,987,966  
   

 

 

 
      23,325,987  
United Kingdom — 19.0%  

AstraZeneca PLC

    266,883       18,416,431  

British American Tobacco PLC

    534,866       36,156,370  

Diageo PLC

    404,368       14,821,893  

GlaxoSmithKline PLC

    948,077       16,789,705  

Imperial Brands PLC

    756,221       32,256,377  

Lloyds Banking Group PLC

    8,924,898       8,183,971  

Metro Bank PLC(b)

    53,870       2,600,541  

Unilever PLC

    312,187       17,315,808  
   

 

 

 
      146,541,096  
United States — 3.3%  

3M Co.(a)(d)

    50,124       11,798,157  

Microsoft Corp.(a)(d)

    158,182       13,531,059  
   

 

 

 
      25,329,216  
   

 

 

 

Total Common Stocks — 95.5%
(Cost — $613,240,673)

 

    735,021,034  
   

 

 

 

Investment Companies — 3.1%

 

United States — 3.1%  

WisdomTree Japan Hedged Equity Fund(a)

    397,710       23,602,067  
   

 

 

 

Total Investment Companies — 3.1%
(Cost — $16,184,748)

 

    23,602,067  
   

 

 

 

Preferred Stocks — 0.6%

 

China — 0.5%  

Xiaoju Kuaizhi, Inc., Series A-17 (Acquired 7/28/15, cost $2,106,332), 0.00%(b)(e)(f)

    76,800       3,911,424  
   

 

 

 
 

 

 

SCHEDULES OF INVESTMENTS      55  


Schedule of Investments  (continued)

December 31, 2017

  

BlackRock Enhanced International Dividend Trust (BGY)

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  
India — 0.1%  

Jasper Infotech Private Ltd., Series F, (Acquired 5/7/14, cost 2,825,580), 0.00%(b)(e)(f)

    398     $ 627,278  

Jasper Infotech Private Ltd., Series G, (Acquired 10/29/14, cost 1,112,870), 0.00%(b)(e)(f)

    132       253,248  
   

 

 

 
      880,526  
   

 

 

 

Total Preferred Stocks — 0.6%
(Cost — $6,054,932)

 

    4,791,950  
   

 

 

 

Total Long-Term Investments — 99.2%
(Cost — $635,480,353)

 

    763,415,051  
   

 

 

 

Short-Term Securities — 0.7%

 

BlackRock Liquidity Funds, T-Fund, Institutional Class, 1.18%(g)(h)

    5,073,700       5,073,700  
   

 

 

 

Total Short-Term Securities — 0.7%
(Cost — $5,073,700)

 

    5,073,700  
   

 

 

 

Total Investments Before Options Written — 99.9%
(Cost — $640,554,053)

 

    768,488,751  
   

 

 

 

Options Written — (0.6)%
(Premiums Received — $6,131,916)

 

    (4,547,581
   

 

 

 

Total Investments, Net of Options Written — 99.3%
(Cost — $634,422,137)

 

    763,941,170  

Other Assets Less Liabilities — 0.7%

 

    5,736,916  
   

 

 

 

Net Assets — 100.0%

 

  $ 769,678,086  
   

 

 

 

 

(a)  All or a portion of security has been pledged and/or segregated as collateral in connection with outstanding exchange-traded options written.
(b)  Non-income producing security.
(c)  Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.
(d)  All or a portion of the security has been pledged as collateral in connection with outstanding OTC derivatives.
(e)  Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.
(f)  Restricted security as to resale, excluding 144A securities. As of year end, the Trust held restricted securities with a current value of $4,791,950 and an original cost of $6,044,782, which was 0.6% of its net assets.
(g)  Annualized 7-day yield as of period end.
 
(h)  During the year ended December 31, 2017, investments in issuers considered to be affiliates of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate    Shares
Held at
12/31/16
     Net
Activity
     Shares
Held at

12/31/17
     Value at
12/31/17
     Income      Net
Realized
Gain
 (a)
     Change in
Unrealized
Appreciation
(Depreciation)
 

BlackRock Liquidity Funds, T-Fund, Institutional Class

     22,641,400        (17,567,700      5,073,700      $ 5,073,700      $ 151,805      $ 8      $  

SL Liquidity Series, LLC, Money Market Series

                                 501 (b)               
           

 

 

    

 

 

    

 

 

    

 

 

 
            $ 5,073,700      $ 152,306      $ 8      $  
           

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) Includes net capital gain distributions, if applicable.  
  (b) Represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities.  

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

Derivative Financial Instruments Outstanding as of Period End

Exchange-Traded Options Written

 

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

Call

 

Alibaba Group Holding Ltd. — ADR

     53          01/05/18        USD     180.00        USD     914        $ (1,033

Microsoft Corp.

     36          01/05/18        USD     84.00        USD     308          (6,246

WisdomTree Japan Hedged Equity Fund

     215          01/05/18        USD     59.50        USD     1,276          (7,310

Alibaba Group Holding Ltd. — ADR

     185          01/12/18        USD     182.50        USD     3,190          (9,528

Alibaba Group Holding Ltd. — ADR

     52          01/12/18        USD     177.50        USD     897          (7,852

Microsoft Corp.

     73          01/12/18        USD     84.50        USD     624          (12,629

Microsoft Corp.

     49          01/16/18        USD     83.95        USD     419          (11,267

3M Co.

     68          01/19/18        USD     230.95        USD     1,601          (43,023

 

 

56    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (continued)

December 31, 2017

  

BlackRock Enhanced International Dividend Trust (BGY)

 

Exchange-Traded Options Written (continued)

 

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

Call (continued)

 

TELUS Corp.

     973          01/19/18        CAD     49.00        CAD     4,633        $ (4,257

Alibaba Group Holding Ltd. — ADR

     51          01/19/18        USD     180.00        USD     879          (7,242

Melco Resorts & Entertainment Ltd. — ADR

     84          01/19/18        USD     27.00        USD     244          (19,110

Microsoft Corp.

     228          01/19/18        USD     85.00        USD     1,950          (34,998

Rogers Communications, Inc.

     940          01/19/18        CAD     70.00        CAD     6,021          (5,235

WisdomTree Japan Hedged Equity Fund

     767          01/19/18        USD     57.78        USD     4,551          (147,264

Microsoft Corp.

     130          01/26/18        USD     85.50        USD     1,112          (18,330

Microsoft Corp.

     131          01/26/18        USD     88.50        USD     1,121          (4,257

WisdomTree Japan Hedged Equity Fund

     300          01/26/18        USD     59.00        USD     1,780          (35,100

WisdomTree Japan Hedged Equity Fund

     410          01/26/18        USD     59.50        USD     2,433          (36,490

Microsoft Corp.

     49          01/29/18        USD     83.95        USD     419          (13,137

3M Co.

     76          02/16/18        USD     250.00        USD     1,789          (8,094

3M Co.

     76          02/16/18        USD     240.00        USD     1,789          (28,500
                          

 

 

 
                           $ (460,902
                          

 

 

 

 

OTC Options Written

 

 

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

Call

 

Aalberts Industries NV

   Bank of America N.A.     50,000       01/02/18     EUR     43.68     EUR     2,117     $ (588

Deutsche Post AG, Registered Shares

   Goldman Sachs International     147,300       01/02/18     EUR     40.73     EUR     5,836       (3,440

Innogy SE

   Goldman Sachs International     20,000       01/02/18     EUR     40.37     EUR     652        

Metro Bank PLC

   Morgan Stanley & Co. International PLC     10,400       01/02/18     GBP     36.58     GBP     372       (872

AIA Group Ltd.

   UBS AG     240,200       01/03/18     HKD     63.04     HKD     15,961       (107,353

Dassault Aviation SA

   Goldman Sachs International     1,600       01/03/18     EUR     1,340.52     EUR     2,073       (257

Hexagon AB, Class B

   UBS AG     37,500       01/03/18     SEK     417.67     SEK     15,431       (14,126

Tencent Holdings Ltd.

   Morgan Stanley & Co. International PLC     37,000       01/03/18     HKD     391.68     HKD     14,962       (60,600

Givaudan SA

   Goldman Sachs International     1,600       01/04/18     CHF     2,301.79     CHF     3,601       (2,260

GlaxoSmithKline PLC

   Bank of America N.A.     156,000       01/04/18     GBP     13.92     GBP     2,047       (93

GlaxoSmithKline PLC

   Goldman Sachs International     201,100       01/04/18     GBP     13.39     GBP     2,638       (5,702

Hexagon AB, Class B

   Credit Suisse International     45,300       01/04/18     SEK     416.50     SEK     18,641       (21,017

Nestle SA, Registered Shares

   UBS AG     57,900       01/04/18     CHF     85.09     CHF     4,851       (4,851

Royal Dutch Shell PLC, Class B

   Morgan Stanley & Co. International PLC     65,000       01/04/18     GBP     24.85     GBP     1,621       (19,277

Sonic Healthcare Ltd.

   Deutsche Bank AG     68,300       01/04/18     AUD     22.20     AUD     1,557       (32,178

ANTA Sports Products Ltd.

   Citibank N.A.     198,631       01/05/18     HKD     37.04     HKD     7,041       (4,513

Galp Energia SGPS SA

   Goldman Sachs International     94,600       01/05/18     EUR     15.93     EUR     1,448       (717

Galp Energia SGPS SA

   Morgan Stanley & Co. International PLC     69,500       01/05/18     EUR     16.04     EUR     1,064       (248

LG Chem Ltd.

   Goldman Sachs International     3,300       01/05/18     KRW     411,582.50     KRW     1,336,500       (10,816

Metro Bank PLC

   Morgan Stanley & Co. International PLC     13,300       01/05/18     GBP     34.85     GBP     475       (18,169

Societe Generale SA

   Morgan Stanley & Co. International PLC     24,000       01/05/18     EUR     44.40     EUR     1,031       (1,888

Svenska Handelsbanken AB, Class A

   UBS AG     181,000       01/05/18     SEK     121.10     SEK     20,290       (4

AIA Group Ltd.

   Morgan Stanley & Co. International PLC     199,000       01/09/18     HKD     59.97     HKD     13,224       (166,531

Aalberts Industries NV

   UBS AG     24,500       01/09/18     EUR     43.05     EUR     1,037       (4,479

Sanofi

   Goldman Sachs International     42,300       01/09/18     EUR     82.30     EUR     3,035       (50

Imperial Brands PLC

   Goldman Sachs International     102,700       01/09/18     GBP     31.46     GBP     3,244       (68,128

bpost SA

   UBS AG     23,300       01/09/18     EUR     24.40     EUR     591       (27,326

Amcor Ltd.

   Morgan Stanley & Co. International PLC     109,000       01/10/18     AUD     15.31     AUD     1,674       (16,833

ASML Holding NV

   Goldman Sachs International     28,400       01/10/18     EUR     155.09     EUR     4,115       (7,675

Anheuser-Busch InBev SA

   Morgan Stanley & Co. International PLC     5,700       01/10/18     EUR     101.40     EUR     530       (2

British American Tobacco PLC

   Goldman Sachs International     129,200       01/10/18     GBP     50.25     GBP     6,469       (98,224

CNH Industrial NV

   Goldman Sachs International     24,300       01/10/18     EUR     10.77     EUR     271       (12,623

Dassault Aviation SA

   UBS AG     600       01/10/18     EUR     1,303.09     EUR     778       (6,751

Koninklijke Philips NV

   Bank of America N.A.     82,000       01/10/18     EUR     33.36     EUR     2,581       (1,187

SMC Corp.

   Goldman Sachs International     5,600       01/10/18     JPY     48,059.10     JPY     258,944       (10,335

Tencent Holdings Ltd.

   UBS AG     90,700       01/10/18     HKD     388.75     HKD     36,677       (204,596

Amcor Ltd.

   UBS AG     188,000       01/11/18     AUD     15.62     AUD     2,888       (10,770

Kone OYJ, Class B

   UBS AG     40,500       01/11/18     EUR     46.94     EUR     1,813       (1,399

Rogers Communications, Inc., Class B

   Morgan Stanley & Co. International PLC     46,500       01/11/18     CAD     69.00     CAD     2,978       (71

Sands China Ltd.

   Goldman Sachs International     436,800       01/11/18     HKD     37.70     HKD     17,564       (141,402

Sonic Healthcare Ltd.

   UBS AG     61,800       01/11/18     AUD     22.42     AUD     1,408       (21,760

 

 

SCHEDULES OF INVESTMENTS      57  


Schedule of Investments  (continued)

December 31, 2017

  

BlackRock Enhanced International Dividend Trust (BGY)

 

OTC Options Written (continued)

 

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

Call (continued)

 

Ansell Ltd.

  Citibank N.A.     32,000       01/12/18     AUD     24.23     AUD     774     $ (9,919

Far EasTone Telecommunications Co. Ltd.

  Goldman Sachs International     200,000       01/12/18     USD     71.51     USD     14,700       (13,036

Rogers Communications, Inc., Class B

  Morgan Stanley & Co. International PLC     8,400       01/12/18     CHF     231.11     CHF     2,070       (132,717

SGS SA, Registered Shares

  UBS AG     900       01/12/18     CHF     2,449.25     CHF     2,286       (86,697

British American Tobacco PLC

  UBS AG     122,200       01/16/18     GBP     49.15     GBP     6,119       (222,666

SAP SE

  UBS AG     38,700       01/16/18     EUR     94.77     EUR     3,608       (35,967

ANTA Sports Products Ltd.

  Goldman Sachs International     260,000       01/17/18     HKD     37.82     HKD     9,217       (11,586

Ansell Ltd.

  Deutsche Bank AG     32,000       01/17/18     AUD     24.67     AUD     774       (6,637

Far EasTone Telecommunications Co. Ltd.

  JPMorgan Chase Bank N.A.     196,000       01/17/18     TWD     72.40     TWD     14,406       (247,066

Heineken NV

  Morgan Stanley & Co. International PLC     24,500       01/17/18     EUR     87.68     EUR     2,129       (22,939

Japan Tobacco, Inc.

  Morgan Stanley & Co. International PLC     89,400       01/17/18     JPY     3,778.13     JPY     324,386       (6,553

Nestle SA, Registered Shares

  Morgan Stanley & Co. International PLC     63,000       01/17/18     CHF     86.66     CHF     5,278       (4,227

Novartis AG, Registered Shares

  Morgan Stanley & Co. International PLC     85,000       01/17/18     CHF     83.51     CHF     6,970       (32,477

Novo Nordisk A/S, Class B

  UBS AG     44,700       01/17/18     DKK     336.92     DKK     14,903       (28,730

Sonic Healthcare Ltd.

  Goldman Sachs International     103,200       01/17/18     AUD     22.86     AUD     2,352       (18,503

Taiwan Semiconductor Manufacturing Co. Ltd.

  Morgan Stanley & Co. International PLC     988,000       01/17/18     TWD     235.10     TWD     225,126       (47,641

bpost SA

  Credit Suisse International     27,000       01/17/18     EUR     25.68     EUR     685       (3,743

Diageo PLC

  Credit Suisse International     177,900       01/23/18     GBP     26.54     GBP     4,830       (185,897

Samsung Electronics Co. Ltd.

  Goldman Sachs International     2,600       01/23/18     KRW     2,628,489.09     KRW     6,613,180       (106,447

ANTA Sports Products Ltd.

  Morgan Stanley & Co. International PLC     264,000       01/24/18     HKD     36.45     HKD     9,359       (30,759

Ansell Ltd.

  Deutsche Bank AG     32,000       01/24/18     AUD     24.67     AUD     774       (8,277

Amcor Ltd.

  Morgan Stanley & Co. International PLC     158,300       01/25/18     AUD     15.82     AUD     2,431       (10,610

Amcor Ltd.

  UBS AG     216,000       01/25/18     AUD     15.85     AUD     3,318       (14,084

BNP Paribas SA

  Credit Suisse International     34,700       01/25/18     EUR     64.80     EUR     2,151       (10,590

FANUC Corp.

  UBS AG     10,000       01/25/18     JPY     26,704.40     JPY     270,303       (70,161

Givaudan SA, Registered Shares

  UBS AG     1,300       01/25/18     CHF     2,262.40     CHF     2,926       (33,586

Nintendo Co. Ltd.

  Goldman Sachs International     9,300       01/25/18     JPY     45,003.24     JPY     377,337       (12,070

Rogers Communications, Inc., Class B

  Morgan Stanley & Co. International PLC     22,200       01/25/18     CHF     242.91     CHF     5,470       (123,024

Sonic Healthcare Ltd.

  Morgan Stanley & Co. International PLC     61,900       01/25/18     AUD     21.62     AUD     1,411       (58,268

Unilever PLC

  Goldman Sachs International     137,300       01/25/18     GBP     42.33     GBP     5,640       (35,120

bpost SA

  UBS AG     18,000       01/26/18     EUR     25.60     EUR     457       (3,936

Sanofi

  UBS AG     56,800       01/30/18     EUR     76.78     EUR     4,075       (5,065

Imperial Brands PLC

  Goldman Sachs International     93,300       01/30/18     GBP     32.48     GBP     2,947       (43,491

Kone OYJ, Class B

  Credit Suisse International     36,600       01/30/18     EUR     45.39     EUR     1,638       (28,009

TELUS Corp.

  Morgan Stanley & Co. International PLC     84,700       01/31/18     CAD     48.31     CAD     4,033       (15,394

Ansell Ltd.

  Goldman Sachs International     28,800       01/31/18     AUD     24.65     AUD     697       (9,750

bpost SA

  UBS AG     18,000       01/31/18     EUR     25.60     EUR     457       (4,390

Far EasTone Telecommunications Co. Ltd.

  Morgan Stanley & Co. International PLC     227,000       02/01/18     TWD     72.13     TWD     16,685       (11,890

GlaxoSmithKline PLC

  Goldman Sachs International     60,000       02/01/18     GBP     13.32     GBP     787       (15,713

Heineken NV

  Goldman Sachs International     22,400       02/01/18     EUR     86.28     EUR     1,946       (52,698

Lloyds Banking Group PLC

  Goldman Sachs International     2,191,900       02/01/18     GBP     0.68     GBP     1,490       (45,146

Naspers Ltd. Class N

  Goldman Sachs International     23,500       02/01/18     ZAR     3,653.36     ZAR     80,554       (91,191

SGS SA, Registered Shares

  Morgan Stanley & Co. International PLC     1,100       02/01/18     CHF     2,484.09     CHF     2,794       (89,047

Svenska Handelsbanken AB, Class A

  Morgan Stanley & Co. International PLC     202,300       02/02/18     SEK     113.23     SEK     22,678       (46,113

ANTA Sports Products Ltd.

  UBS AG     260,000       02/06/18     HKD     34.66     HKD     9,217       (68,577

Anheuser-Busch InBev SA

  UBS AG     31,500       02/06/18     EUR     98.56     EUR     2,931       (8,196

Sands China Ltd.

  Goldman Sachs International     492,400       02/06/18     HKD     39.98     HKD     19,799       (68,925

Ansell Ltd.

  Citibank N.A.     28,800       02/07/18     AUD     24.65     AUD     697       (11,068

Imperial Brands PLC

  Goldman Sachs International     136,700       02/07/18     GBP     31.08     GBP     4,318       (202,415

Kone OYJ, Class B

  Credit Suisse International     36,500       02/07/18     EUR     44.49     EUR     1,634       (62,640

Rogers Communications, Inc., Class B

  Deutsche Bank AG     78,600       02/07/18     CAD     65.31     CAD     5,034       (48,013

Sanofi

  Credit Suisse International     43,800       02/07/18     EUR     75.09     EUR     3,143       (21,035

Deutsche Post AG, Registered Shares

  Goldman Sachs International     63,900       02/09/18     EUR     41.21     EUR     2,532       (22,654

Ansell Ltd.

  UBS AG     31,300       02/13/18     AUD     25.08     AUD     757       (9,351

Japan Tobacco, Inc.

  Citibank N.A.     64,700       02/13/18     JPY     3,770.35     JPY     234,763       (16,188

TELUS Corp.

  UBS AG     98,700       02/14/18     CAD     48.20     CAD     4,700       (33,131

Lloyds Banking Group PLC

  Goldman Sachs International     1,735,000       02/15/18     GBP     0.68     GBP     1,180       (41,603

Ansell Ltd.

  Citibank N.A.     26,000       02/21/18     AUD     25.26     AUD     629       (5,903

Novo Nordisk A/S, Class B

  Goldman Sachs International     48,500       02/21/18     DKK     335.62     DKK     16,170       (90,667

Kone OYJ, Class B

  Credit Suisse International     33,100       02/22/18     EUR     45.09     EUR     1,482       (55,463

Novan, Inc.

  HSBC Bank PLC     53,500       02/22/18     CHF     83.55     CHF     4,387       (60,766

Japan Tobacco, Inc.

  Morgan Stanley & Co. International PLC     125,000       02/27/18     JPY     3,735.45     JPY     453,560       (52,140

Ansell Ltd.

  Citibank N.A.     26,000       02/28/18     AUD     25.26     AUD     629       (7,003
               

 

 

 
  $ (4,086,679
               

 

 

 

 

 

58    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (continued)

December 31, 2017

  

BlackRock Enhanced International Dividend 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
    Other
Contracts
    Total  

Liabilities — Derivative Financial Instruments

 

             

Options written

 

             

Options written, at value

     $     $     $ 4,547,581     $     $     $     $ 4,547,581  
    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

For the year ended December 31, 2017, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

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

Net Realized Gain (Loss) from:

                                

Forward foreign currency exchange contracts

   $        $        $        $ (2      $        $        $ (2

Futures contract

                       344,941                                     344,941  

Options purchased(a)

                       (21,204                                   (21,204

Options written

                       (18,296,413                                   (18,296,413
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 
   $        $        $ (17,972,676      $ (2      $        $        $ (17,972,678
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

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

  

Net Change in Unrealized Appreciation on:

                                

Options written

   $        $        $ 3,203,425        $        $        $        $ 3,203,425  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Financial Futures contracts:

 

Average notional value of contracts — long

   $ 28,250,695 (a) 

Forward foreign currency exchange contracts:

 

Average amounts sold — in USD

   $ 4,828 (a) 

Options:

 

Average value of option contracts purchased

   $ 464,884 (a) 

Average value of option contracts written

   $ 6,299,557  

 

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

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

   $        $ 4,547,581  
  

 

 

      

 

 

 

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

              (460,902
  

 

 

      

 

 

 

Total derivative assets and liabilities subject to an MNA

   $        $ 4,086,679  
  

 

 

      

 

 

 

 

 

SCHEDULES OF INVESTMENTS      59  


Schedule of Investments  (continued)

December 31, 2017

  

BlackRock Enhanced International Dividend Trust (BGY)

 

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

 

Counterparty    Derivative
Liabilities
Subject to
an MNA by
Counterparty
       Derivatives
Available
for Offset
       Non-cash
Collateral
Pledged
  (a)
       Cash
Collateral
Pledged
 (a)
       Net Amount
of Derivative
Liabilities
 (b)
 

Bank of America N.A.

   $ 1,868        $        $ (1,868      $        $  

Citibank N.A.

     54,594                            (54,594         

Credit Suisse International

     388,394                   (388,394                  

Deutsche Bank AG

     95,105                   (95,105                  

Goldman Sachs International

     1,242,644                   (1,242,644                  

HSBC Bank PLC

     60,766                                 60,766  

JPMorgan Chase Bank N.A.

     247,066                            (247,066         

Morgan Stanley & Co. International PLC

     968,290                   (935,426        (32,864         

UBS AG

     1,027,952                   (364,588        (663,364         
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 
   $ 4,086,679        $        $ (3,028,025      $ (997,888      $ 60,766  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes.  
  (b) Net amount represents the net amount payable due to 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:

 

Common Stocks:

 

Australia

   $        $ 40,376,490        $        $ 40,376,490  

Belgium

              21,474,917                   21,474,917  

Canada

     49,544,945                            49,544,945  

China

     23,506,996          15,030,468                   38,537,464  

Denmark

              11,388,805                   11,388,805  

Finland

              17,911,142                   17,911,142  

France

              44,837,900                   44,837,900  

Germany

              35,726,285                   35,726,285  

Hong Kong

     556,494          17,013,807                   17,570,301  

India

              16,566,890                   16,566,890  

Ireland

     6,713,587                            6,713,587  

Japan

              38,836,581                   38,836,581  

Netherlands

              44,769,167                   44,769,167  

Portugal

              8,940,249                   8,940,249  

South Africa

              14,855,314                   14,855,314  

South Korea

     2,892,182          14,255,462                   17,147,644  

Sweden

              21,346,563                   21,346,563  

Switzerland

              93,280,491                   93,280,491  

Taiwan

     7,338,021          15,987,966                   23,325,987  

United Kingdom

              146,541,096                   146,541,096  

United States

     25,329,216                            25,329,216  

Investment Companies

     23,602,067                            23,602,067  

Preferred Stocks

                       4,791,950          4,791,950  

Short-Term Securities

     5,073,700                            5,073,700  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 144,557,208        $ 619,139,593        $ 4,791,950        $ 768,488,751  
  

 

 

      

 

 

      

 

 

      

 

 

 

Derivative Financial Instruments(a)

                 

Liabilities:

                 

Equity contracts

   $ (393,475      $ (4,154,106      $        $ (4,547,581
  

 

 

      

 

 

      

 

 

      

 

 

 

 

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

 

 

60    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (continued)

December 31, 2017

  

BlackRock Enhanced International Dividend Trust (BGY)

 

Transfers between Level 1 and Level 2 were as follow:

 

     

Transfers into

Level 1

      

Transfers out of

Level 1 (a)

      

Transfers into

Level 2 (a)

      

Transfers out of

Level 2

 

Assets:

 

Long-Term Investments:

 

Common Stocks

   $        $ (18,063,836      $ 18,063,836        $  
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) External pricing service used to reflect any significant market movements between the time the Trust valued such foreign securities and the earlier closing of foreign markets.  

A reconciliation of Level 3 investments is presented when the Trust had a significant amount of Level 3 investments at the beginning and/or end of the 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, 2016

   $ 15,855,374  

Transfers into Level 3

      

Transfers out of Level 3

      

Accrued discounts/premiums

      

Net realized gain (loss)

      

Net change in unrealized appreciation (depreciation)(a)(b)

     (11,063,424

Purchases

      

Sales

      
  

 

 

 

Closing Balance, as of December 31, 2017

   $ 4,791,950  
  

 

 

 

Net change in unrealized appreciation (depreciation) on investments still held at December 31, 2017(b)

   $ (11,063,424
  

 

 

 

 

  (a) Included in the related net change in unrealized appreciation (depreciation) in the Statements of Operations.  
  (b) Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at December 31, 2017 is generally due to investments no longer held or categorized as Level 3 at period end.  

See notes to financial statements.

 

 

SCHEDULES OF INVESTMENTS      61  


Schedule of Investments  

December 31, 2017

  

BlackRock Health Sciences Trust (BME)

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  

Common Stocks — 96.2%

   
Biotechnology — 23.6%            

AbbVie, Inc.(a)

    62,087     $ 6,004,337  

ACADIA Pharmaceuticals, Inc.(a)(b)

    36,701       1,105,037  

Acceleron Pharma, Inc.(a)(b)

    52,201       2,215,368  

Acerta Pharma BV, Series B, (Acquired 2/01/16, cost $986,402)(c)(d)

    17,146,441       1,916,972  

Agios Pharmaceuticals, Inc.(a)(b)

    15,400       880,418  

Alexion Pharmaceuticals, Inc.(a)(b)

    12,600       1,506,834  

Alkermes PLC(a)(b)

    26,700       1,461,291  

Alnylam Pharmaceuticals, Inc.(a)(b)

    46,401       5,895,120  

Amgen, Inc.(a)

    60,423       10,507,386  

Apellis Pharmaceuticals, Inc.(b)

    14,547       315,670  

Aquinox Pharmaceuticals, Inc.(b)

    17,531       206,164  

Argenx SE, ADR(b)

    4,436       280,089  

Avexis, Inc.(a)(b)

    16,652       1,842,877  

Biogen, Inc.(a)(b)

    22,748       7,246,830  

Biohaven Pharmaceutical Holding Co. Ltd.(b)

    13,650       368,277  

BioMarin Pharmaceutical, Inc.(a)(b)

    30,800       2,746,436  

Bluebird Bio, Inc.(a)(b)

    2,200       391,820  

Celgene Corp.(a)(b)

    31,686       3,306,751  

Clementia Pharmaceuticals, Inc.(b)

    10,235       194,260  

Cytokinetics, Inc.(a)(b)

    11,300       92,095  

FibroGen, Inc.(a)(b)

    9,300       440,820  

Galapagos NV, ADR(a)(b)

    5,700       534,432  

Gilead Sciences, Inc.(a)

    40,001       2,865,600  

Global Blood Therapeutics, Inc.(a)(b)

    10,988       432,378  

Halozyme Therapeutics, Inc.(a)(b)

    46,301       938,038  

Incyte Corp.(a)(b)

    15,400       1,458,534  

InflaRx NV (Acquired 11/08/17, Cost $253,349)(d)

    19,488       393,644  

InflaRx NV(b)

    32,008       670,568  

Insmed, Inc.(a)(b)

    67,287       2,097,977  

Myovant Sciences, Ltd.(b)(e)

    29,453       372,286  

Ovid therapeutics, Inc.(b)

    42,054       415,063  

Prothena Corp. PLC(a)(b)

    2,244       84,128  

Regeneron Pharmaceuticals, Inc.(a)(b)

    4,858       1,826,414  

Sage Therapeutics, Inc.(a)(b)

    15,452       2,545,099  

Sarepta Therapeutics, Inc.(a)(b)

    44,651       2,484,326  

Seattle Genetics, Inc.(a)(b)

    34,568       1,849,334  

Spark Therapeutics, Inc.(a)(b)

    9,010       463,294  

Spectrum Pharmaceuticals, Inc.(a)(b)

    76,201       1,443,990  

Syndax Pharmaceuticals, Inc.(b)

    15,784       138,268  

TESARO, Inc.(a)(b)

    17,831       1,477,655  

Ultragenyx Pharmaceutical, Inc.(a)(b)

    21,300       987,894  

Vertex Pharmaceuticals, Inc.(a)(b)

    39,706       5,950,191  
   

 

 

 
      78,353,965  
Diversified Consumer Services — 0.5%            

Service Corp. International

    43,313       1,615,956  
   

 

 

 
Health Care Equipment & Supplies — 22.6%            

Abbott Laboratories(a)

    201,101       11,476,777  

Align Technology, Inc.(a)(b)

    3,500       777,665  

Baxter International, Inc.(a)

    109,501       7,078,080  

Becton Dickinson & Co.(a)

    15,634       3,346,400  

Boston Scientific Corp.(a)(b)

    180,785       4,481,636  

Cooper Cos., Inc.(a)

    4,815       1,049,092  

Edwards Lifesciences Corp.(a)(b)

    19,901       2,242,929  

Hologic, Inc.(a)(b)

    78,701       3,364,425  

Intuitive Surgical, Inc.(a)(b)

    11,401       4,160,316  

iRhythm Technologies, Inc.(a)(b)

    15,184       851,007  

Masimo Corp.(a)(b)

    33,901       2,874,720  

Medtronic PLC(a)

    162,101       13,089,575  

Nevro Corp.(a)(b)

    24,601       1,698,384  

ResMed, Inc.(a)

    35,501       3,006,495  
Security   Shares/Par
(000)
    Value  
Health Care Equipment & Supplies (continued)            

Stryker Corp.(a)

    76,101     $ 11,783,324  

Teleflex, Inc.(a)

    7,100       1,766,622  

Varian Medical Systems, Inc.(a)(b)

    16,201       1,800,630  
   

 

 

 
      74,848,077  
Health Care Providers & Services — 24.1%            

Amedisys, Inc.(a)(b)

    43,861       2,311,861  

AmerisourceBergen Corp.(a)

    12,700       1,166,114  

Anthem, Inc.

    26,901       6,052,769  

Cardinal Health, Inc.(a)

    29,401       1,801,338  

Centene Corp.(b)

    36,601       3,692,208  

Cigna Corp.(a)

    47,901       9,728,011  

DaVita, Inc.(b)

    54,695       3,951,641  

HCA Healthcare, Inc.(a)(b)

    23,795       2,090,065  

HealthEquity, Inc.(a)(b)

    12,300       573,918  

Humana, Inc.(a)

    28,101       6,970,767  

McKesson Corp.(a)

    16,201       2,526,390  

Quest Diagnostics, Inc.(a)

    72,101       7,101,129  

Teladoc, Inc.(a)(b)

    41,301       1,439,305  

UnitedHealth Group, Inc.(a)

    124,303       27,403,619  

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

    18,201       2,062,970  

WellCare Health Plans, Inc.(a)(b)

    6,300       1,266,993  
   

 

 

 
      80,139,098  
Life Sciences Tools & Services — 2.3%            

Agilent Technologies, Inc.(a)

    43,204       2,893,104  

Thermo Fisher Scientific, Inc.(a)

    22,804       4,329,264  

Wuxi Biologics Cayman, Inc.(b)(f)

    98,005       548,148  
   

 

 

 
      7,770,516  
Pharmaceuticals — 23.1%            

Allergan PLC(a)

    34,386       5,624,698  

Assembly Biosciences, Inc.(b)

    1,600       72,400  

AstraZeneca PLC

    59,077       4,076,577  

AstraZeneca PLC — ADR(a)

    56,301       1,953,610  

Bristol-Myers Squibb Co.(a)

    107,063       6,560,759  

Chugai Pharmaceutical Co. Ltd.

    13,700       700,189  

Daiichi Sankyo Co. Ltd.

    36,401       946,475  

Dermira, Inc.(a)(b)

    19,800       550,638  

Eisai Co. Ltd.

    13,200       749,886  

Eli Lilly & Co.(a)

    64,601       5,456,116  

Johnson & Johnson(a)

    64,271       8,979,804  

Merck & Co., Inc.(a)

    62,301       3,505,621  

Merck KGaA

    30,401       3,263,036  

Novartis AG, ADR(a)

    50,501       4,239,980  

Novo Nordisk A/S — ADR

    95,001       5,098,650  

Pfizer, Inc.(a)

    389,099       14,093,130  

Reata Pharmaceuticals, Inc., Class A(a)(b)

    5,860       165,955  

Roche Holding AG

    7,400       1,871,129  

Sanofi

    20,000       1,721,839  

Sanofi — ADR(a)

    49,301       2,119,900  

Takeda Pharmaceutical Co. Ltd.

    15,600       883,236  

Theravance Biopharma, Inc.(a)(b)

    4,700       131,083  

Zoetis, Inc.(a)

    52,401       3,774,896  
   

 

 

 
      76,539,607  
   

 

 

 

Total Common Stocks — 96.2%
(Cost — $216,477,613)

 

    319,267,219  
   

 

 

 

Other Interest(g)

   
Pharmaceuticals — 0.1%            

Afferent Pharmaceuticals, Inc., Series C (Acquired 09/30/15, Cost $0)(c)(d)

    190       387,926  
   

 

 

 

Total Other Interest — 0.1%
(Cost — $0)

 

    387,926  
   

 

 

 
 

 

 

62    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (continued)

December 31, 2017

  

BlackRock Health Sciences Trust (BME)

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  

Rights — 0.0%

   
Biotechnology — 0.0%            

Dyax Corp. (Expires 12/31/19)(c)

    61,727     $ 141,355  
   

 

 

 

Total Rights — 0.1%
(Cost — $25,848)

 

    141,355  
   

 

 

 

Total Long-Term Investments — 96.3%
(Cost — $216,503,461)

 

    319,796,500  
   

 

 

 

Short-Term Securities — 4.4%

   

BlackRock Liquidity Funds, T-Fund, Institutional Class,
1.18%(h)(j)

    14,301,421       14,301,421  

SL Liquidity Series, LLC Money Market Series,
1.21%(h)(i)(j)

    120,903       120,891  
   

 

 

 

Total Short-Term Securities — 4.4%
(Cost — $14,422,319)

 

    14,422,312  
   

 

 

 

Total Investments Before Options Written — 100.7%
(Cost — $230,925,780)

 

    334,218,812  
   

 

 

 

Options Written (Premiums Received — $2,360,513) — (0.6)%

 

    (2,156,226
   

 

 

 

Total Investments, Net of Options Written — 100.1%
(Cost — $228,565,267)

 

    332,062,586  

Liabilities in Excess of Other Assets — (0.1)%

 

    (204,189
   

 

 

 

Net Assets — 100.0%

 

  $ 331,858,397  
   

 

 

 

 

(a)  All or a portion of security has been pledged and/or segregated as collateral in connection with outstanding exchange-traded options written.
(b)  Non-income producing security.
(c)  Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.
(d)  Restricted security as to resale, excluding 144A securities. As of period end, the Trust held restricted securities with a current value of $2,698,542 and an original cost of $1,239,751, which was 0.8% of its net assets.
(e)  Security, or portion of the security, is on loan.
(f)  Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.
(g)  Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities.
(h)  Annualized 7-day yield as of period end.
(i)  Security was purchased with the cash collateral from loaned securities.
 
(j)  During the year ended December 31, 2017, investments in issuers considered to be affiliates of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate    Shares
Held at
12/31/16
     Net
Activity
     Shares
Held at
12/31/17
     Value at
12/31/17
     Income      Net
Realized
Gain(Loss)
 (a)
     Change in
Unrealized
Appreciation
(Depreciation)
 

BlackRock Liquidity Funds, T-Fund, Institutional Class

     8,611,967        5,689,454        14,301,421      $ 14,301,421      $ 78,743      $ 63      $  

SL Liquidity Series, LLC, Money Market Series

     126,889        (5,986      120,903        120,891        2,206 (b)       (1      (7
          

 

 

    

 

 

    

 

 

    

 

 

 
   $ 14,422,312      $ 80,949      $ 62      $ (7
             

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a)  Includes net capital gain distributions, if applicable.  
  (b)  Represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral    investment expenses, and other payments to and from borrowers of securities.  

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

Derivative Financial Instruments Outstanding as of Period End

Exchange-Traded Options Written

 

Description    Number of
Contracts
       Expiration
Date
       Exercise
Price
      

Notional
Amount
 (000)

       Value  

Call

                          

Amgen, Inc.

     72          01/05/18        USD     180.00        USD     1,252        $ (540

AstraZeneca PLC — ADR

     189          01/05/18        USD     34.00        USD     656          (15,593

Baxter International, Inc.

     116          01/05/18        USD     66.00        USD     750          (696

Bristol-Myers Squibb Co.

     94          01/05/18        USD     64.00        USD     576          (940

Cigna Corp.

     60          01/05/18        USD     210.00        USD     1,219          (900

Johnson & Johnson

     107          01/05/18        USD     139.90        USD     1,495          (9,058

Merck & Co., Inc.

     9          01/05/18        USD     56.00        USD     51          (499

Pfizer, Inc.

     82          01/05/18        USD     36.50        USD     297          (820

Regeneron Pharmaceuticals, Inc.

     9          01/05/18        USD     375.00        USD     338          (4,770

 

 

SCHEDULES OF INVESTMENTS      63  


Schedule of Investments  (continued)

December 31, 2017

  

BlackRock Health Sciences Trust (BME)

 

Exchange-Traded Options Written (continued)

 

Description    Number of
Contracts
       Expiration
Date
       Exercise
Price
      

Notional
Amount
 (000)

       Value  

Call (continued)

                          

Pfizer, Inc.

     47          01/09/18        USD     35.51        USD     170        $ (4,035

AbbVie, Inc.

     68          01/12/18        USD     98.50        USD     658          (3,910

Abbott Laboratories

     78          01/12/18        USD     56.00        USD     445          (11,271

Allergan PLC

     52          01/12/18        USD     175.00        USD     851          (4,238

Amgen, Inc.

     75          01/12/18        USD     177.50        USD     1,304          (8,888

Baxter International, Inc.

     42          01/12/18        USD     64.50        USD     271          (3,801

Biogen, Inc.

     34          01/12/18        USD     325.00        USD     1,083          (10,540

Boston Scientific Corp.

     346          01/12/18        USD     26.50        USD     858          (6,574

Celgene Corp.

     77          01/12/18        USD     105.00        USD     804          (13,591

Gilead Sciences, Inc.

     4          01/12/18        USD     77.00        USD     29          (52

Gilead Sciences, Inc.

     16          01/12/18        USD     75.50        USD     115          (288

Humana, Inc.

     4          01/12/18        USD     260.00        USD     99          (240

Merck & Co., Inc.

     45          01/12/18        USD     56.00        USD     253          (3,600

Pfizer, Inc.

     83          01/12/18        USD     36.50        USD     301          (1,784

Vertex Pharmaceuticals, Inc.

     127          01/12/18        USD     147.00        USD     1,903          (73,025

National Grid PLC

     34          01/17/18        USD     52.01        USD     182          (6,606

Abbott Laboratories

     251          01/18/18        USD     55.60        USD     1,432          (44,503

Quest Diagnostics, Inc.

     141          01/18/18        USD     95.60        USD     1,389          (48,487

ACADIA Pharmaceuticals, Inc.

     128          01/19/18        USD     31.00        USD     385          (10,240

AbbVie, Inc.

     39          01/19/18        USD     92.50        USD     377          (18,135

Abbott Laboratories

     21          01/19/18        USD     57.50        USD     120          (1,249

Acceleron Pharma, Inc.

     182          01/19/18        USD     40.00        USD     772          (62,790

Agios Pharmaceuticals, Inc.

     53          01/19/18        USD     55.00        USD     303          (19,875

Aligent Technologies, Inc.

     150          01/19/18        USD     67.50        USD     1,005          (12,000

Align Technology, Inc.

     9          01/19/18        USD     270.00        USD     200          (90

Alnylam Pharmaceuticals, Inc.

     20          01/19/18        USD     140.00        USD     254          (1,450

Alnylam Pharmaceuticals, Inc.

     77          01/19/18        USD     135.00        USD     978          (12,705

Amedisys, Inc.

     153          01/19/18        USD     55.00        USD     806          (10,940

AmerisourceBergen Corp.

     11          01/19/18        USD     90.00        USD     101          (3,575

Amgen, Inc.

     57          01/19/18        USD     180.00        USD     991          (5,073

Amgen, Inc.

     7          01/19/18        USD     185.00        USD     122          (196

Avexis, Inc.

     60          01/19/18        USD     105.00        USD     664          (62,700

Baxter International, Inc.

     119          01/19/18        USD     65.00        USD     769          (9,104

Becton Dickinson and Co.

     26          01/19/18        USD     220.00        USD     557          (3,055

Becton Dickinson and Co.

     28          01/19/18        USD     230.00        USD     599          (420

BioMarin Pharmaceutical, Inc.

     102          01/19/18        USD     90.00        USD     910          (24,225

Biogen, Inc.

     42          01/19/18        USD     320.00        USD     1,338          (26,460

Bristol-Myers Squibb Co.

     83          01/19/18        USD     62.50        USD     509          (6,682

Celgene Corp.

     6          01/19/18        USD     115.00        USD     63          (111

Cigna Corp.

     51          01/19/18        USD     210.00        USD     1,036          (5,457

Cytokinetics, Inc.

     39          01/19/18        USD     9.00        USD     32          (1,072

Dermira, Inc.

     70          01/19/18        USD     26.65        USD     195          (14,258

Edwards Lifesciences Corp.

     27          01/19/18        USD     115.00        USD     304          (4,253

Eli Lilly & Co.

     144          01/19/18        USD     85.00        USD     1,216          (13,680

FibroGen, Inc.

     32          01/19/18        USD     50.00        USD     152          (6,160

Galapagos NV

     14          01/19/18        USD     95.00        USD     131          (4,200

Gilead Sciences, Inc.

     70          01/19/18        USD     77.50        USD     501          (1,190

Global Blood Therapeutics, Inc.

     38          01/19/18        USD     45.00        USD     150          (3,325

HCA Holdings, Inc.

     39          01/19/18        USD     90.00        USD     343          (3,803

Halozyme Therapeutics, Inc.

     162          01/19/18        USD     22.00        USD     328          (6,480

HealthEquity, Inc.

     43          01/19/18        USD     50.00        USD     201          (1,935

Hologic, Inc.

     275          01/19/18        USD     45.00        USD     1,176          (2,750

Humana, Inc.

     72          01/19/18        USD     250.00        USD     1,786          (25,200

Incyte Corp.

     53          01/19/18        USD     97.50        USD     502          (12,058

Intuitive Surgical, Inc.

     51          01/19/18        USD     395.00        USD     1,861          (7,778

Johnson & Johnson

     58          01/19/18        USD     140.00        USD     810          (7,888

McKesson Corp.

     28          01/19/18        USD     145.00        USD     437          (32,760

McKesson Corp.

     28          01/19/18        USD     162.50        USD     437          (2,310

Medtronic PLC

     97          01/19/18        USD     82.50        USD     783          (4,802

Merck & Co., Inc.

     49          01/19/18        USD     57.50        USD     276          (1,396

Novartis AG

     175          01/19/18        USD     85.00        USD     1,469          (9,188

 

 

64    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (continued)

December 31, 2017

  

BlackRock Health Sciences Trust (BME)

 

Exchange-Traded Options Written (continued)

 

Description    Number of
Contracts
       Expiration
Date
       Exercise
Price
      

Notional
Amount
 (000)

       Value  

Call (continued)

                          

Pfizer, Inc.

     292          01/19/18        USD     36.00        USD     1,058        $ (16,498

Pfizer, Inc.

     53          01/19/18        USD     37.00        USD     192          (715

Prothena Corporation PLC

     7          01/19/18        USD     50.00        USD     26          (70

Regeneron Pharmaceuticals, Inc.

     8          01/19/18        USD     385.00        USD     301          (4,360

ResMed, Inc.

     120          01/19/18        USD     85.00        USD     1,016          (17,400

Sage Therapeutics, Inc.

     54          01/19/18        USD     180.00        USD     889          (38,880

Sanofi

     171          01/19/18        USD     44.00        USD     735          (4,275

Sarepta Therapeutics, Inc.

     156          01/19/18        USD     55.00        USD     868          (49,140

Seattle Genetics, Inc.

     19          01/19/18        USD     65.00        USD     102          (190

Seattle Genetics, Inc.

     99          01/19/18        USD     55.00        USD     530          (12,375

Spark Therapeutics, Inc.

     15          01/19/18        USD     55.00        USD     77          (2,400

Spectrum Pharmaceuticals, Inc.

     130          01/19/18        USD     20.00        USD     246          (11,700

Stryker Corp.

     136          01/19/18        USD     155.00        USD     2,106          (31,280

TESARO, Inc.

     62          01/19/18        USD     90.00        USD     514          (10,850

Teladoc, Inc.

     73          01/19/18        USD     30.00        USD     254          (40,150

Teladoc, Inc.

     71          01/19/18        USD     35.00        USD     247          (13,135

Teleflex, Inc.

     25          01/19/18        USD     260.00        USD     622          (3,500

Thermo Fisher Scientific, Inc.

     80          01/19/18        USD     195.00        USD     1,519          (6,800

Ultragenyx Pharmaceutical, Inc.

     74          01/19/18        USD     50.00        USD     343          (8,140

Universal Health Services, Inc., Class B

     8          01/19/18        USD     105.00        USD     91          (7,440

Universal Health Services, Inc., Class B

     68          01/19/18        USD     115.00        USD     771          (12,240

Varian Medical System, Inc.

     56          01/19/18        USD     115.00        USD     622          (2,380

Vertex Pharmaceuticals, Inc.

     27          01/19/18        USD     155.00        USD     405          (6,885

Zoetis, Inc.

     66          01/19/18        USD     70.00        USD     475          (16,830

Bluebird Bio, Inc.

     7          01/19/18        USD     190.00        USD     125          (2,117

Abbott Laboratories

     188          01/26/18        USD     56.00        USD     1,073          (34,592

Allergan PLC

     63          01/26/18        USD     175.00        USD     1,031          (8,127

AmerisourceBergen Corp.

     33          01/26/18        USD     90.50        USD     303          (10,890

Baxter International, Inc.

     30          01/26/18        USD     65.50        USD     194          (2,280

Boston Scientific Corp.

     286          01/26/18        USD     26.50        USD     709          (2,288

Bristol-Myers Squibb Co.

     195          01/26/18        USD     63.00        USD     1,195          (15,893

Cardinal Health, Inc.

     48          01/26/18        USD     62.00        USD     294          (6,480

Cardinal Health, Inc.

     44          01/26/18        USD     64.00        USD     270          (2,090

Cigna Corp.

     55          01/26/18        USD     205.00        USD     1,117          (18,755

Edwards Lifesciences Corp.

     42          01/26/18        USD     118.00        USD     473          (3,675

Eli Lilly & Co.

     80          01/26/18        USD     88.50        USD     676          (1,440

Johnson & Johnson

     58          01/26/18        USD     142.00        USD     810          (7,685

Medtronic PLC

     369          01/26/18        USD     82.00        USD     2,980          (31,734

Merck & Co., Inc.

     50          01/26/18        USD     58.00        USD     281          (1,375

Pfizer, Inc.

     214          01/26/18        USD     36.50        USD     775          (8,239

Alnylam Pharmaceuticals, Inc.

     65          01/29/18        USD     126.00        USD     826          (40,656

AbbVie, Inc.

     108          02/16/18        USD     100.00        USD     1,044          (17,766

Abbott Laboratories

     165          02/16/18        USD     57.50        USD     942          (21,368

Alexion Pharmaceuticals, Inc.

     44          02/16/18        USD     125.00        USD     526          (20,460

Alkermes PLC

     93          02/16/18        USD     55.00        USD     509          (31,388

Baxter International, Inc.

     76          02/16/18        USD     67.50        USD     491          (4,294

Celgene Corp.

     27          02/16/18        USD     110.00        USD     282          (6,197

Cooper Companies, Inc.

     16          02/16/18        USD     230.00        USD     349          (4,440

HCA Healthcare, Inc.

     44          02/16/18        USD     90.00        USD     386          (10,010

Humana, Inc.

     22          02/16/18        USD     260.00        USD     546          (9,680

Insmed, Inc.

     235          02/16/18        USD     32.00        USD     733          (46,413

Medtronic PLC

     97          02/16/18        USD     82.50        USD     783          (10,961

Merck & Co., Inc.

     65          02/16/18        USD     57.50        USD     366          (6,338

Pfizer, Inc.

     73          02/16/18        USD     38.00        USD     264          (1,095

Quest Diagnostics, Inc.

     104          02/16/18        USD     100.00        USD     1,024          (21,320

Spectrum Pharmaceuticals, Inc.

     130          02/16/18        USD     24.00        USD     246          (7,475

WellCare Health Plans, Inc.

     22          02/16/18        USD     210.00        USD     442          (10,230

Zoetis, Inc.

     117          02/16/18        USD     75.00        USD     843          (10,530

iRhythm Technologies, Inc.

     53          02/16/18        USD     55.00        USD     297          (17,219
                          

 

 

 
                           $ (1,515,400
                          

 

 

 

 

 

SCHEDULES OF INVESTMENTS      65  


Schedule of Investments  (continued)

December 31, 2017

  

BlackRock Health Sciences Trust (BME)

 

Exchange-Traded Options Written (continued)

 

Description    Number of
Contracts
       Expiration
Date
       Exercise
Price
      

Notional
Amount
 (000)

       Value  

Put

 

AstraZeneca PLC — ADR

     24          01/05/18        USD     32.00        USD     83        $ (1,560

Cigna Corp.

     20          01/05/18        USD     200.00        USD     406          (1,240

AbbVie, Inc.

     26          01/12/18        USD     90.00        USD     251          (377

Allergan PLC

     15          01/12/18        USD     157.50        USD     245          (1,642

Baxter International, Inc.

     52          01/12/18        USD     62.50        USD     336          (910

Biogen, Inc.

     10          01/12/18        USD     300.00        USD     319          (950

Celgene Corp.

     10          01/12/18        USD     98.00        USD     104          (395

Edwards Lifesciences Corp.

     8          01/12/18        USD     110.00        USD     90          (760

Eli Lilly & Co.

     27          01/12/18        USD     82.50        USD     228          (837

Gilead Sciences, Inc.

     17          01/12/18        USD     71.00        USD     122          (1,351

HCA Holdings, Inc.

     10          01/12/18        USD     80.00        USD     88          (200

Humana, Inc.

     12          01/12/18        USD     242.50        USD     298          (1,860

Intuitive Surgical, Inc.

     6          01/12/18        USD     367.50        USD     219          (5,730

Johnson & Johnson

     27          01/12/18        USD     137.00        USD     377          (837

McKesson Corp.

     7          01/12/18        USD     146.00        USD     109          (245

Medtronic PLC

     69          01/12/18        USD     79.00        USD     557          (2,794

Merck & Co., Inc.

     27          01/12/18        USD     52.50        USD     152          (81

Pfizer, Inc.

     157          01/12/18        USD     35.00        USD     569          (549

Regeneron Pharmaceuticals, Inc.

     2          01/12/18        USD     355.00        USD     75          (345

Sarepta Therapeutics, Inc.

     19          01/12/18        USD     52.00        USD     106          (1,425

TESARO, Inc.

     8          01/12/18        USD     75.00        USD     66          (760

UnitedHealth Group, Inc.

     53          01/12/18        USD     220.00        USD     1,168          (9,381

Zoetis, Inc.

     22          01/12/18        USD     70.00        USD     158          (495

Acceleron Pharma, Inc.

     22          01/18/18        USD     34.01        USD     93          (412

Service Corporation International

     18          01/18/18        USD     36.01        USD     67          (559

ACADIA Pharmaceuticals, Inc.

     16          01/19/18        USD     28.00        USD     48          (600

Abbott Laboratories

     85          01/19/18        USD     52.50        USD     485          (637

Agios Pharmaceuticals, Inc.

     7          01/19/18        USD     50.00        USD     40          (297

Aligent Technologies, Inc.

     18          01/19/18        USD     65.00        USD     121          (702

Align Technology, Inc.

     1          01/19/18        USD     220.00        USD     22          (570

Alkermes PLC

     11          01/19/18        USD     49.00        USD     60          (550

Alnylam Pharmaceuticals, Inc.

     20          01/19/18        USD     115.00        USD     254          (1,900

AmerisourceBergen Corp.

     5          01/19/18        USD     80.00        USD     46          (100

Amgen, Inc.

     26          01/19/18        USD     170.00        USD     452          (3,575

Avexis, Inc.

     7          01/19/18        USD     85.00        USD     77          (735

Becton Dickinson and Co.

     7          01/19/18        USD     210.00        USD     150          (1,172

BioMarin Pharmaceutical, Inc.

     13          01/19/18        USD     75.00        USD     116          (260

Bluebird Bio, Inc.

     1          01/19/18        USD     175.00        USD     18          (535

Boston Scientific Corp.

     77          01/19/18        USD     24.00        USD     191          (1,501

Bristol-Myers Squibb Co.

     45          01/19/18        USD     57.50        USD     276          (1,575

Cooper Companies, Inc.

     2          01/19/18        USD     220.00        USD     44          (950

Cytokinetics, Inc.

     5          01/19/18        USD     8.00        USD     4          (262

Dermira, Inc.

     8          01/19/18        USD     22.50        USD     22          (960

FibroGen, Inc.

     4          01/19/18        USD     43.00        USD     19          (460

Global Blood Therapeutics, Inc.

     5          01/19/18        USD     35.00        USD     20          (475

Halozyme Therapeutics, Inc.

     20          01/19/18        USD     17.00        USD     41          (250

HealthEquity, Inc.

     5          01/19/18        USD     40.00        USD     23          (50

Hologic, Inc.

     33          01/19/18        USD     40.00        USD     141          (330

Incyte Corp.

     7          01/19/18        USD     90.00        USD     66          (945

Insmed, Inc.

     29          01/19/18        USD     27.00        USD     90          (1,232

iRhythm Technologies, Inc.

     6          01/19/18        USD     50.00        USD     34          (111

Masimo Corp.

     14          01/19/18        USD     85.00        USD     119          (2,205

National Grid PLC

     33          01/19/18        USD     50.00        USD     177          (495

Nevro Corp.

     10          01/19/18        USD     65.00        USD     69          (1,100

Novartis AG

     21          01/19/18        USD     80.00        USD     176          (315

Prothena Corporation PLC

     1          01/19/18        USD     35.00        USD     4          (95

Quest Diagnostics, Inc.

     30          01/19/18        USD     95.00        USD     295          (1,800

Reata Pharmaceuticals, Inc.

     2          01/19/18        USD     20.00        USD     6          (170

ResMed, Inc.

     15          01/19/18        USD     80.00        USD     127          (525

Sanofi

     21          01/19/18        USD     43.00        USD     90          (1,260

Seattle Genetics, Inc.

     14          01/19/18        USD     50.00        USD     75          (805

 

 

66    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (continued)

December 31, 2017

  

BlackRock Health Sciences Trust (BME)

 

Exchange-Traded Options Written (continued)

 

Description    Number of
Contracts
       Expiration
Date
       Exercise
Price
      

Notional
Amount
 (000)

       Value  

Put (continued)

 

Spark Therapeutics, Inc.

     4          01/19/18        USD     65.00        USD     21        $ (5,360

Spectrum Pharmaceuticals, Inc.

     31          01/19/18        USD     16.00        USD     59          (930

Stryker Corp.

     32          01/19/18        USD     150.00        USD     495          (2,400

Teladoc, Inc.

     18          01/19/18        USD     25.00        USD     63          (405

Teleflex, Inc.

     3          01/19/18        USD     240.00        USD     75          (540

Theravance Biopharma, Inc.

     2          01/19/18        USD     22.50        USD     6          (20

Thermo Fisher Scientific, Inc.

     5          01/19/18        USD     180.00        USD     95          (250

Thermo Fisher Scientific, Inc.

     5          01/19/18        USD     185.00        USD     95          (537

Ultragenyx Pharmaceutical, Inc.

     9          01/19/18        USD     45.00        USD     42          (1,327

Varian Medical System, Inc.

     7          01/19/18        USD     110.00        USD     78          (787

Vertex Pharmaceuticals, Inc.

     17          01/19/18        USD     130.00        USD     255          (850

WellCare Health Plans, Inc.

     3          01/19/18        USD     195.00        USD     60          (555
                          

 

 

 
                             (79,160
                          

 

 

 
     $ (1,594,560
    

 

 

 

OTC Options Written

 

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

Call

 

DaVita, Inc.

   Morgan Stanley & Co. International PLC      22,700        01/04/18      USD     57.93      USD     1,640      $ (325,304

Novo Nordisk A/S — ADR

   Bank of America N.A.      2,400        01/04/18      USD     51.56      USD     129        (5,124

Pfizer, Inc.

   UBS AG      28,300        01/04/18      USD     35.93      USD     1,025        (13,178

Masimo Corp.

   Barclays Bank PLC      11,800        01/08/18      USD     89.65      USD     1,001        (545

Service Corp. International

   Barclays Bank PLC      15,100        01/08/18      USD     36.35      USD     564        (23,633

Daiichi Sankyo Co. Ltd.

   UBS AG      12,700        01/11/18      JPY     2,697.39      JPY     37,208        (26,578

Eisai Co. Ltd.

   UBS AG      5,100        01/11/18      JPY     6,427.64      JPY     32,645        (5,379

Takeda Pharmaceutical Co. Ltd.

   Morgan Stanley & Co. International PLC      5,400        01/11/18      JPY     6,197.24      JPY     34,449        (9,360

WuXi Biologics Cayman, Inc.

   Goldman Sachs International      34,000        01/11/18      HKD     48.51      HKD     1,486        (1,113

Chugai Pharmaceutical Co. Ltd.

   Morgan Stanley & Co. International PLC      5,900        01/12/18      JPY     5,767.10      JPY     33,976        (5,746

AstraZeneca PLC

   Goldman Sachs International      19,900        01/16/18      GBP     50.74      GBP     1,017        (25,445

Stryker Corp.

   Citibank N.A.      12,000        01/16/18      USD     153.40      USD     1,858        (41,213

Pfizer, Inc.

   UBS AG      11,200        01/24/18      USD     35.99      USD     406        (6,998

Roche Holding AG

   Morgan Stanley & Co. International PLC      2,500        01/25/18      CHF     242.91      CHF     616        (13,854

Novo Nordisk A/S

   UBS AG      4,800        01/31/18      USD     52.59      USD     258        (8,478

Pfizer, Inc.

   UBS AG      9,000        01/31/18      USD     36.96      USD     326        (2,112

Novo Nordisk A/S

   UBS AG      4,800        02/07/18      USD     52.59      USD     258        (9,006

Sanofi SA — ADR

   Credit Suisse International      6,900        02/07/18      EUR     75.09      EUR     495        (3,314

Novo Nordisk A/S

   Barclays Bank PLC      10,300        02/14/18      USD     52.80      USD     553        (26,063

Novo Nordisk A/S

   Credit Suisse International      7,500        02/14/18      USD     53.99      USD     403        (9,223
                     

 

 

 
   $ (561,666
  

 

 

 

Derivative Financial Instruments Categorized by Risk Exposure

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

 

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

Liabilities — Derivative Financial Instruments

                    

Options written

                    

Options written, at value

   $      $      $ 2,156,226      $      $      $      $ 2,156,226  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

 

 

SCHEDULES OF INVESTMENTS      67  


Schedule of Investments  (continued)

December 31, 2017

  

BlackRock Health Sciences Trust (BME)

 

For the year ended December 31, 2017, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

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

Net Realized Gain (Loss) from:

                    

Options purchased(a)

   $      $      $ 914      $      $      $      $ 914  

Options written

                   (6,195,446                           (6,195,446
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $      $      $ (6,194,532    $      $      $      $ (6,194,532
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

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

  

Net Change in Unrealized Appreciation on:

                    

Options written

   $      $      $ (296,943    $      $      $      $ (296,943
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Options:

 

Average value of option contracts purchased

      $ 2,035 (a) 

Average value of option contracts written

            $ 2,654,148  

 

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

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

   $        $ 2,156,226  
  

 

 

      

 

 

 

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

              (1,594,560
  

 

 

      

 

 

 

Total derivative assets and liabilities subject to an MNA

   $        $ 561,666  
  

 

 

      

 

 

 

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

 

Counterparty    Derivative
Liabilities
Subject to
an MNA by
Counterparty
       Derivatives
Available
for Offset
       Non-cash
Collateral
Pledged
       Cash
Collateral
Pledged
       Net Amount
of Derivative
Liabilities
  (a)
 

Bank of America N.A.

   $ 5,124        $        $        $        $ 5,124  

Barclays Bank PLC

     50,241                                     50,241  

Citibank N.A.

     41,213                                     41,213  

Credit Suisse International

     12,537                                     12,537  

Goldman Sachs International

     26,558                                     26,558  

Morgan Stanley & Co. International PLC

     354,264                                     354,264  

UBS AG

     71,729                                     71,729  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 
   $ 561,666        $        $        $        $ 561,666  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a)  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.  

 

 

68    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (continued)

December 31, 2017

  

BlackRock Health Sciences Trust (BME)

 

Fair Value Hierarchy as of Period End

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

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

 

      Level 1        Level 2        Level 3        Total  

Assets:

                 

Investments:

                 

Common Stocks:

 

Biotechnology

   $ 76,043,349        $ 393,644        $ 1,916,972        $ 78,353,965  

Diversified Consumer Services

     1,615,956                            1,615,956  

Health Care Equipment & Supplies

     74,848,077                            74,848,077  

Health Care Providers & Services

     80,139,098                            80,139,098  

Life Sciences Tools & Services

     7,770,516                            7,770,516  

Pharmaceuticals

     62,327,240          14,212,367                   76,539,607  

Other Interests

                       387,926          387,926  

Rights

                       141,355          141,355  

Short-Term Securities

     14,301,421                            14,301,421  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 317,045,657        $ 14,606,011        $ 2,446,253        $ 334,097,921  
  

 

 

      

 

 

      

 

 

      

 

 

 

Investments Valued at NAV(a)

                    120,891  
                  $ 334,218,812  
                 

 

 

 

Derivative Financial Instruments(b)

 

Liabilities:

 

Equity contracts

   $ (1,425,987      $ (730,239      $        $ (2,156,226
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a)  As of December 31, 2017, certain of the Trust’s investments were fair valued using NAV per share as no quoted market value is available and therefore have been excluded from the fair value hierarchy.  
  (b)  Derivative financial instruments are options written, which are shown at value.  

During the year ended December 31, 2017, there were no transfers between Level 1 and Level 2.

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
     Other
Interests
     Rights      Total  

Assets:

              

Opening Balance, as of December 31, 2016

   $ 1,452,303      $ 503,166     

$

 

   $ 68,517      $ 2,023,986  

Transfers into Level 3

                   104,588               104,588  

Transfers out of Level 3

                                  

Accrued discounts/premiums

                                  

Net realized gain (loss)

            (1                    (1

Net change in unrealized appreciation (depreciation)(a)(b)

     464,669               283,338        72,838        820,845  

Purchases

                                  

Sales

            (503,165                    (503,165
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Closing Balance, as of December 31, 2017

   $ 1,916,972      $      $ 387,926      $ 141,355      $ 2,446,253  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net change in unrealized appreciation (depreciation) on investments still held at December 31, 2017(b)

   $ 464,669      $      $ 283,338      $ 72,838      $ 820,845  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a)  Included in the related net change in unrealized appreciation (depreciation) in the Statements of Operations.  
  (b)  Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at December 31, 2017 is generally due to investments no longer held or categorized as Level 3 at period end.  

See notes to financial statements.

 

 

SCHEDULES OF INVESTMENTS      69  


Consolidated Schedule of Investments

December 31, 2017

  

BlackRock Resources & Commodities Strategy Trust (BCX)

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  

Common Stocks — 98.6%

   
Chemicals — 13.2%            

Agrium, Inc.(a)

    389,791     $ 44,833,726  

CF Industries Holdings, Inc.(a)(b)

    374,298       15,922,637  

FMC Corp.(a)

    185,128       17,524,216  

Monsanto Co.(a)(b)

    63,075       7,365,899  

Nufarm, Ltd.

    2,148,507       14,600,674  

Potash Corp. of Saskatchewan, Inc.(a)

    1,104,515       22,808,235  

Yara International ASA

    266,000       12,213,219  
   

 

 

 
      135,268,606  
Containers & Packaging — 2.6%            

Packaging Corp. of America(a)(b)

    221,537       26,706,285  
   

 

 

 
Energy Equipment & Services — 3.2%            

Baker Hughes a GE Co.(a)

    213,777       6,763,904  

Halliburton Co.(a)(b)

    432,510       21,136,764  

Patterson-UTI Energy, Inc.(a)

    225,352       5,185,349  
   

 

 

 
      33,086,017  
Food Products — 10.8%            

BRF SA — ADR(c)

    1,592,536       17,931,955  

Bunge Ltd.(a)

    84,836       5,690,799  

Elders Ltd.

    1,246,695       7,947,238  

Glanbia PLC

    766,354       13,700,689  

Hormel Foods Corp.(a)

    518,622       18,872,655  

Origin Enterprises PLC

    586,425       4,460,961  

Tyson Foods, Inc., Class A(a)

    325,992       26,428,171  

Wilmar International Ltd.

    6,902,000       15,905,471  
   

 

 

 
      110,937,939  
Machinery — 0.9%            

AGCO Corp.(a)

    136,396       9,742,766  
   

 

 

 
Metals & Mining — 32.9%            

ArcelorMittal(c)

    427,113       13,856,930  

BHP Billiton PLC

    775,756       15,686,054  

First Quantum Minerals Ltd.

    2,041,371       28,598,682  

Franco-Nevada Corp.(a)

    130,878       10,459,828  

Fresnillo PLC

    470,404       9,038,320  

Glencore PLC

    9,111,156       47,687,447  

Lundin Mining Corp.(a)

    631,026       4,196,800  

Neo Lithium Corp.(c)

    3,000,000       5,489,260  

Nevsun Resources Ltd.

    3,527,285       8,586,708  

Newcrest Mining Ltd.

    1,394,772       24,829,706  

Newmont Mining Corp.(a)

    313,341       11,756,554  

Public Joint Stock Company Polyus

    144,076       5,523,874  

Rio Tinto PLC — ADR(a)

    650,680       34,440,492  

South32 Ltd.

    6,059,415       16,424,346  

Stelco Holdings, Inc.(c)

    801,603       14,597,210  

Teck Resources Ltd., Class B

    1,072,824       28,075,804  

Vale SA — ADR(a)

    3,501,165       42,819,248  

Wheaton Precious Metals Corp.

    708,246       15,673,484  
   

 

 

 
      337,740,747  
Oil, Gas & Consumable Fuels — 33.9%            

BP PLC — ADR(a)

    1,507,605       63,364,638  

Cairn Energy PLC(c)

    2,502,992       7,212,706  

Canadian Natural Resources Ltd.(a)

    468,500       16,742,259  

Chevron Corp.(a)(b)

    450,610       56,411,866  

Cimarex Energy Co.(a)

    88,967       10,854,864  

ConocoPhillips(a)(b)

    358,027       19,652,102  

Devon Energy Corp.(a)

    334,120       13,832,568  

Encana Corp.(a)

    862,250       11,503,526  

Eni SpA, ADR(a)

    240,020       7,966,264  

EOG Resources, Inc.(a)

    155,930       16,826,406  

EQT Corp.(a)

    116,400       6,625,488  
Security   Shares     Value  
Oil, Gas & Consumable Fuels (continued)            

Exxon Mobil Corp.(a)(b)

    248,046     $ 20,746,567  

Kosmos Energy Ltd.(c)(d)

    867,850       5,944,773  

Pioneer Natural Resources Co.(a)

    88,880       15,362,908  

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

    987,979       65,908,079  

TOTAL SA

    176,150       9,723,459  
   

 

 

 
      348,678,473  
Paper & Forest Products — 1.1%            

International Paper Co.(a)

    187,940       10,889,244  

Precious Woods Holding AG(c)

    20,000       133,408  

Quintis Ltd.(c)(d)(e)

    7,903,565       62  
   

 

 

 
      11,022,714  

Total Common Stocks — 98.6%
(Cost — $796,579,137)

 

    1,013,183,547  
   

 

 

 

Corporate Bonds — 1.4%

   
Advertising Agencies — 0.4%            

Osisko Gold Royalties, Ltd.,
4.00%, 12/31/22

    5,652       4,653,795  
   

 

 

 
Metals & Mining — 1.0%            

Pilgangoora Operations Pty Ltd,
12.00%, 06/21/22

    9,000       9,902,502  
   

 

 

 

Total Corporate Bonds — 1.4%
(Cost — $13,511,494)

 

    14,556,297  
   

 

 

 

Total Long-Term Investments — 100.0%
(Cost — $810,090,631)

 

    1,027,739,844  
   

 

 

 

Short-Term Securities — 1.7%

   

BlackRock Liquidity Funds, T-Fund, Institutional Class,
1.18%(f)(h)

    16,156,750       16,156,750  

SL Liquidity Series, LLC, Money Market Series,
1.21%(f)(g)(h)

    488,032       487,983  
   

 

 

 
      16,644,733  
   

 

 

 

Total Short-Term Securities — 1.7%
(Cost — $16,644,772)

 

    16,644,733  
   

 

 

 

Total Investments Before Options Written — 101.7%
(Cost — $826,735,403)

 

    1,044,384,577  
   

 

 

 

Options Written — (1.6)%
(Premiums Received — $7,955,422)

 

    (16,165,273
   

 

 

 

Total Investments, Net of Options Written — 100.1%
(Cost —
$818,779,981)

 

    1,028,219,304  

Liabilities in Excess of Other Assets — (0.1)%

 

    (747,239
   

 

 

 

Net Assets Applicable to Common Shares — 100.0%

 

  $ 1,027,472,065  
   

 

 

 

 

(a)  All or a portion of security has been pledged and/or segregated as collateral in connection with outstanding exchange-traded options written.
(b)  All or a portion of the security has been pledged as collateral in connection with outstanding OTC derivatives.
(c)  Non-income producing security.
(d)  Security, or a portion of the security, is on loan.
(e)  Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.
(f)  Annualized 7-day yield as of period end.
(g)  Security was purchased with the cash collateral from loaned securities.
 

 

 

70    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Consolidated Schedule of Investments  (continued)

December 31, 2017

  

BlackRock Resources & Commodities Strategy Trust (BCX)

 

 

(h)  During the year ended December 31, 2017, investments in issuers considered to be affiliates of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate    Shares
Held at
12/31/16
     Net
Activity
     Shares
Held at
12/31/17
     Value at
12/31/17
     Income      Net
Realized
Gain
 (a)
     Change in
Unrealized
Appreciation
(Depreciation)
 

BlackRock Liquidity Funds, T-Fund, Institutional Class

     12,603,929        3,552,821        16,156,750      $ 16,156,750      $ 110,231      $ 70      $  

SL Liquidity Series, LLC, Money Market Series

     3,936,869        (3,448,837      488,032        487,983        119,242 (b)       2,679        (243
           

 

 

    

 

 

    

 

 

    

 

 

 
            $ 16,644,733      $ 229,473      $ 2,749      $ (243
           

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a)  Includes net capital gain distributions, if applicable.  
  (b)  Represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities.  

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

Derivative Financial Instruments Outstanding as of Period End

Exchange-Traded Options Written

 

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

Call

                          

Devon Energy Corp.

     113          01/05/18        USD     38.00        USD     468        $ (37,572

Exxon Mobil Corp.

     104          01/05/18        USD     83.50        USD     870          (6,396

Halliburton Co.

     278          01/05/18        USD     42.00        USD     1,359          (200,855

International Paper Co.

     126          01/05/18        USD     57.00        USD     730          (14,364

Newmont Mining Corp.

     193          01/05/18        USD     38.00        USD     724          (3,763

Royal Dutch Shell PLC, A Shares

     404          01/05/18        USD     65.01        USD     2,695          (70,090

Royal Dutch Shell PLC, A Shares

     808          01/10/18        USD     63.80        USD     5,390          (230,832

Exxon Mobil Corp.

     184          01/11/18        USD     83.00        USD     1,539          (21,417

BP PLC — ADR

     374          01/12/18        USD     40.00        USD     1,572          (78,914

CF Industries Holdings, Inc.

     740          01/12/18        USD     38.00        USD     3,148          (353,720

Chevron Corp.

     390          01/12/18        USD     121.00        USD     4,882          (183,300

ConocoPhillips

     472          01/12/18        USD     53.00        USD     2,591          (104,784

Devon Energy Corp.

     462          01/12/18        USD     38.00        USD     1,913          (164,010

EOG Resources, Inc.

     399          01/12/18        USD     104.00        USD     4,306          (177,555

Exxon Mobil Corp.

     92          01/12/18        USD     84.00        USD     769          (5,428

Exxon Mobil Corp.

     104          01/12/18        USD     83.50        USD     870          (8,996

Halliburton Co.

     521          01/12/18        USD     44.50        USD     2,546          (235,753

Royal Dutch Shell PLC

     262          01/12/18        USD     64.00        USD     1,748          (74,670

Royal Dutch Shell PLC

     241          01/12/18        USD     64.50        USD     1,608          (58,442

AGCO Corp.

     550          01/19/18        USD     75.00        USD     3,929          (15,125

BP PLC — ADR

     463          01/19/18        USD     41.00        USD     1,946          (58,338

Baker Hughes

     124          01/19/18        USD     35.00        USD     392          (930

Bunge Ltd.

     340          01/19/18        USD     67.50        USD     2,281          (51,000

CF Industries Holdings, Inc.

     315          01/19/18        USD     37.50        USD     1,340          (164,588

Chevron Corp.

     222          01/19/18        USD     115.00        USD     2,779          (236,430

Cimarex Energy Co.

     112          01/19/18        USD     115.00        USD     1,367          (87,360

ConocoPhillips

     334          01/19/18        USD     52.50        USD     1,833          (92,017

Devon Energy Corp.

     114          01/19/18        USD     39.00        USD     472          (31,692

EQT Corp.

     239          01/19/18        USD     62.50        USD     1,360          (4,182

Encana Corp.

     215          01/19/18        CAD     17.00        CAD     361          (6,158

Encana Corp.

     246          01/19/18        CAD     16.00        CAD     413          (19,081

Exxon Mobil Corp.

     169          01/19/18        USD     82.50        USD     1,414          (29,490

FMC Corp.

     185          01/19/18        USD     92.50        USD     1,751          (62,900

FMC Corp.

     185          01/19/18        USD     95.00        USD     1,751          (33,300

Franco-Nevada Corp.

     144          01/19/18        CAD     115.00        CAD     1,447          (1,088

Halliburton Co.

     519          01/19/18        USD     45.00        USD     2,536          (211,493

Halliburton Corp.

     412          01/19/18        USD     42.80        USD     2,013          (257,635

Hormel Food Corp.

     744          01/19/18        USD     35.00        USD     2,707          (119,040

International Paper Co.

     126          01/19/18        USD     57.50        USD     730          (14,742

Lundin Mining Corp.

     1,260          01/19/18        CAD     8.00        CAD     1,053          (48,115

 

 

SCHEDULES OF INVESTMENTS      71  


Consolidated Schedule of Investments  (continued)

December 31, 2017

  

BlackRock Resources & Commodities Strategy Trust (BCX)

 

Exchange-Traded Options Written (continued)

 

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

Call (continued)

                          

Newmont Mining Corp.

     300          01/19/18        USD     38.00        USD     1,126        $ (15,450

Packaging Corp. of America

     611          01/19/18        USD     115.00        USD     7,366          (381,875

Patterson — UTI Energy, Inc.

     500          01/19/18        USD     21.00        USD     1,151          (110,000

Pioneer Natural Resources Co.

     207          01/19/18        USD     160.00        USD     3,578          (283,590

Potash Corp. of Saskatchewan, Inc.

     813          01/19/18        USD     20.00        USD     1,679          (75,203

Rio Tinto PLC — ADR

     319          01/19/18        USD     50.00        USD     1,688          (103,675

Royal Dutch Shell PLC

     270          01/19/18        USD     65.00        USD     1,801          (53,325

Tyson Foods, Inc.

     411          01/19/18        USD     77.50        USD     3,332          (162,345

Tyson Foods, Inc.

     4          01/19/18        USD     85.00        USD     32          (70

Vale SA — ADR

     1,751          01/19/18        USD     12.00        USD     2,141          (84,924

Chevron Corp.

     77          01/23/18        USD     118.00        USD     964          (57,018

Royal Dutch Shell PLC, A Shares

     807          01/25/18        USD     62.51        USD     5,383          (327,787

CF Industries Holdings, Inc.

     115          01/26/18        USD     39.00        USD     489          (49,450

Chevron Corp.

     394          01/26/18        USD     120.00        USD     4,932          (232,460

ConocoPhillips

     172          01/26/18        USD     53.00        USD     944          (54,352

ConocoPhillips

     98          01/26/18        USD     54.00        USD     538          (17,542

Devon Energy Corp.

     229          01/26/18        USD     39.00        USD     948          (66,524

EOG Resources, Inc.

     112          01/26/18        USD     104.00        USD     1,209          (56,000

Exxon Mobil Corp.

     339          01/26/18        USD     83.50        USD     2,835          (43,053

International Paper Co.

     499          01/26/18        USD     57.00        USD     2,891          (83,084

Newmont Mining Corp.

     150          01/26/18        USD     37.00        USD     563          (17,625

Pioneer Natural Resources Co.

     74          01/26/18        USD     155.00        USD     1,279          (135,790

Pioneer Natural Resources Co.

     75          01/26/18        USD     162.50        USD     1,296          (89,625

Potash Corp. of Saskatchewan, Inc.

     1,900          01/26/18        USD     20.00        USD     3,924          (208,050

Vale SA — ADR

     3,807          01/26/18        USD     11.50        USD     4,656          (348,341

Eni S.p.A.

     280          01/31/18        USD     33.00        USD     929          (24,658

Royal Dutch Shell PLC, A Shares

     403          01/31/18        USD     64.97        USD     2,688          (85,494

Newmont Mining Corp.

     150          02/02/18        USD     37.50        USD     563          (15,600

Potash Corp. of Saskatchewan, Inc.

     447          02/02/18        USD     20.50        USD     923          (34,195

Vale SA — ADR

     2,530          02/02/18        USD     12.00        USD     3,094          (155,595

Agrium, Inc.

     903          02/16/18        CAD     145.00        CAD     13,056          (285,555

CF Industries Holdings, Inc.

     404          02/16/18        USD     37.50        USD     1,719          (218,160

Canadian Natural Resources Ltd.

     317          02/16/18        CAD     46.00        CAD     1,424          (21,058

Chevron Corp.

     496          02/16/18        USD     125.00        USD     6,209          (155,000

ConocoPhillips

     356          02/16/18        USD     55.00        USD     1,954          (63,368

EOG Resources, Inc.

     112          02/16/18        USD     105.00        USD     1,209          (58,520

FMC Corp.

     185          02/16/18        USD     95.00        USD     1,751          (66,600

Franco-Nevada Corp.

     235          02/16/18        CAD     100.00        CAD     2,361          (66,368

Lundin Mining Corp.

     1,260          02/16/18        CAD     8.00        CAD     1,053          (64,153

Newmont Mining Corp.

     460          02/16/18        USD     37.00        USD     1,726          (70,380

Patterson — UTI Energy, Inc.

     201          02/16/18        USD     23.00        USD     463          (27,135

Rio Tinto PLC — ADR

     638          02/16/18        USD     50.00        USD     3,377          (242,440

Vale SA — ADR

     1,704          02/16/18        USD     12.00        USD     2,084          (119,280

Vale SA — ADR

     2,530          03/16/18        USD     12.00        USD     3,094          (222,640
                          

 

 

 
                           $ (8,628,922
                          

 

 

 

OTC Options Written

 

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

Call

 

BP PLC — ADR

   UBS AG      173,100        01/02/18      USD     41.48      USD     7,275      $ (108,196

ArcelorMittal

   UBS AG      100,000        01/03/18      EUR     26.41      EUR     2,704        (93,453

Canadian Natural Resources Ltd.

   Deutsche Bank AG      92,300        01/03/18      CAD     44.40      CAD     4,146        (52,536

Agrium, Inc.

   Morgan Stanley & Co. International PLC      65,600        01/04/18      CAD     139.14      CAD     9,484        (288,614

Chevron Corp.

   Bank of America N.A.      22,300        01/04/18      USD     116.22      USD     2,792        (200,713

Elders Ltd.

   Deutsche Bank AG      45,000        01/04/18      AUD     5.25      AUD     368        (102,699

Nufarm Ltd.

   Morgan Stanley & Co. International PLC      215,000        01/04/18      AUD     9.05      AUD     1,873        (4,440

Potash Corp. of Saskatchewan, Inc.

   Credit Suisse International      81,200        01/04/18      USD     19.45      USD     1,677        (97,769

Rio Tinto PLC — ADR

   Morgan Stanley & Co. International PLC      32,000        01/04/18      USD     49.88      USD     1,694        (98,639

Vale SA — ADR

   UBS AG      43,200        01/04/18      USD     10.38      USD     528        (79,989

 

 

72    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Consolidated Schedule of Investments  (continued)

December 31, 2017

  

BlackRock Resources & Commodities Strategy Trust (BCX)

 

OTC Options Written (continued)

 

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

Call (continued)

 

Wilmar International Ltd.

   JPMorgan Chase Bank N.A.      828,000        01/04/18      SGD     3.37      SGD     2,550      $  

Eni SpA, ADR

   JPMorgan Chase Bank N.A.      21,200        01/05/18      USD     34.15      USD     704        (313

Glanbia PLC

   Goldman Sachs International      62,000        01/05/18      EUR     15.64      EUR     924        (336

Encana Corp.

   Royal Bank of Canada      126,800        01/09/18      CAD     13.70      CAD     2,126        (310,176

BHP Billiton PLC

   Credit Suisse International      159,000        01/10/18      GBP     14.07      GBP     2,382        (199,019

South32 Ltd.

   Deutsche Bank AG      1,012,000        01/10/18      AUD     3.37      AUD     3,512        (108,495

Nufarm Ltd.

   Morgan Stanley & Co. International PLC      215,000        01/10/18      AUD     9.05      AUD     1,873        (10,229

TOTAL SA

   Goldman Sachs International      78,000        01/10/18      EUR     47.78      EUR     3,589        (1,753

Wilmar International Ltd.

   UBS AG      515,000        01/10/18      SGD     3.22      SGD     1,586        (368

Newcrest Mining Ltd.

   Deutsche Bank AG      258,000        01/11/18      AUD     23.00      AUD     5,888        (53,334

Origin Enterprises PLC

   Goldman Sachs International      24,000        01/11/18      EUR     6.84      EUR     152        (73

Public Joint Stock Company Polyus

   UBS AG      28,000        01/11/18      USD     43.70      USD     1,074        (25

Eni SpA, ADR

   Deutsche Bank AG      10,000        01/12/18      USD     33.09      USD     332        (5,569

Fresnillo PLC

   Morgan Stanley & Co. International PLC      124,400        01/12/18      GBP     13.41      GBP     1,770        (142,849

Potash Corp. of Saskatchewan, Inc.

   Citibank N.A.      44,600        01/12/18      USD     19.54      USD     921        (46,528

BP PLC — ADR

   UBS AG      173,100        01/16/18      USD     41.48      USD     7,275        (152,091

Cimarex Energy Co.

   Morgan Stanley & Co. International PLC      11,000        01/16/18      USD     116.60      USD     1,342        (67,086

Elders Ltd.

   Deutsche Bank AG      40,000        01/17/18      AUD     7.16      AUD     327        (31,762

Elders Ltd.

   Goldman Sachs International      185,600        01/17/18      AUD     7.27      AUD     1,516        (131,516

Fresnillo PLC

   UBS AG      63,800        01/17/18      GBP     13.08      GBP     908        (101,453

Glanbia PLC

   Morgan Stanley & Co. International PLC      80,000        01/17/18      EUR     15.81      EUR     1,192        (2,345

Glencore PLC

   Goldman Sachs International      448,000        01/17/18      GBP     3.49      GBP     1,738        (235,932

Glencore PLC

   UBS AG      375,200        01/17/18      GBP     3.45      GBP     1,456        (218,423

Nufarm Ltd.

   Morgan Stanley & Co. International PLC      215,000        01/17/18      AUD     9.05      AUD     1,873        (16,548

Wilmar International Ltd.

   UBS AG      515,000        01/17/18      SGD     3.22      SGD     1,586        (1,002

Yara International ASA

   Morgan Stanley & Co. International PLC      35,400        01/17/18      NOK     384.13      NOK     13,345        (21,187

Yara International ASA

   Morgan Stanley & Co. International PLC      35,500        01/17/18      NOK     371.57      NOK     13,383        (47,769

Eni SpA, ADR

   Credit Suisse International      30,000        01/18/18      USD     32.93      USD     996        (22,427

Packaging Corp. of America

   Deutsche Bank AG      27,500        01/23/18      USD     119.91      USD     3,315        (73,622

Elders Ltd.

   Deutsche Bank AG      40,000        01/24/18      AUD     7.16      AUD     327        (31,984

Nufarm Ltd.

   Citibank N.A.      215,000        01/24/18      AUD     9.06      AUD     1,873        (21,290

Yara International ASA

   Morgan Stanley & Co. International PLC      35,500        01/24/18      NOK     367.43      NOK     13,383        (67,628

Newcrest Mining Ltd.

   Deutsche Bank AG      117,000        01/25/18      AUD     23.36      AUD     2,670        (23,832

Baker Hughes a GE Co.

   UBS AG      39,000        01/29/18      USD     32.37      USD     1,234        (27,194

Devon Energy Corp.

   UBS AG      41,800        01/29/18      USD     38.25      USD     1,731        (145,695

Hormel Foods Corp.

   Barclays Bank PLC      75,000        01/29/18      USD     37.27      USD     2,729        (27,675

Rio Tinto PLC — ADR

   Morgan Stanley & Co. International PLC      66,300        01/29/18      USD     48.63      USD     3,509        (319,610

BHP Billiton PLC

   Credit Suisse International      159,000        01/30/18      GBP     14.07      GBP     2,382        (215,474

BP PLC — ADR

   UBS AG      173,100        01/30/18      USD     41.48      USD     7,275        (184,270

Cimarex Energy Co.

   Deutsche Bank AG      13,300        01/30/18      USD     114.82      USD     1,623        (108,109

Glanbia PLC

   Morgan Stanley & Co. International PLC      30,000        01/30/18      EUR     15.79      EUR     447        (2,344

South32 Ltd.

   Deutsche Bank AG      1,012,000        01/31/18      AUD     3.37      AUD     3,512        (137,206

FMC Corp.

   Deutsche Bank AG      18,500        01/31/18      USD     93.46      USD     1,751        (62,486

Patterson-UTI Energy, Inc.

   UBS AG      20,000        01/31/18      USD     21.49      USD     460        (39,768

Vale SA — ADR

   Morgan Stanley & Co. International PLC      125,500        01/31/18      USD     11.29      USD     1,535        (133,978

ArcelorMittal

   Deutsche Bank AG      70,900        02/01/18      EUR     27.24      EUR     1,917        (70,154

Elders Ltd.

   Deutsche Bank AG      66,000        02/01/18      AUD     7.67      AUD     539        (30,823

Glencore PLC

   Morgan Stanley & Co. International PLC      2,905,200        02/01/18      GBP     3.56      GBP     11,272        (1,333,177

Newcrest Mining Ltd.

   UBS AG      183,000        02/02/18      AUD     22.21      AUD     4,176        (137,072

Encana Corp.

   Deutsche Bank AG      86,000        02/05/18      CAD     15.25      CAD     1,442        (117,970

Tyson Foods, Inc. Class A

   Bank of America N.A.      37,300        02/05/18      USD     82.00      USD     3,024        (46,951

Rio Tinto PLC — ADR

   Morgan Stanley & Co. International PLC      66,200        02/06/18      USD     48.63      USD     3,504        (329,947

South32 Ltd.

   Citibank N.A.      483,700        02/07/18      AUD     3.29      AUD     1,678        (97,980

Elders Ltd.

   Deutsche Bank AG      66,000        02/07/18      AUD     7.67      AUD     539        (31,821

Glanbia PLC

   Morgan Stanley & Co. International PLC      93,500        02/07/18      EUR     15.69      EUR     1,393        (12,186

Wilmar International Ltd.

   Morgan Stanley & Co. International PLC      903,000        02/07/18      SGD     3.14      SGD     2,781        (23,081

Royal Dutch Shell PLC — ADR, Class A

   UBS AG      75,600        02/09/18      USD     64.85      USD     5,043        (181,009

EQT Corp.

   Citibank N.A.      22,700        02/12/18      USD     57.89      USD     1,292        (39,243

Baker Hughes a GE Co.

   Credit Suisse International      34,100        02/13/18      USD     31.66      USD     1,079        (44,583

Tyson Foods, Inc. Class A

   Bank of America N.A.      30,000        02/15/18      USD     82.40      USD     2,432        (39,057

Elders Ltd.

   Morgan Stanley & Co. International PLC      56,000        02/21/18      AUD     7.84      AUD     458        (24,101

Encana Corp.

   Deutsche Bank AG      86,000        02/21/18      CAD     14.65      CAD     1,442        (164,047

 

 

SCHEDULES OF INVESTMENTS      73  


Consolidated Schedule of Investments  (continued)

December 31, 2017

  

BlackRock Resources & Commodities Strategy Trust (BCX)

 

OTC Options Written (continued)

 

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

Call (continued)

 

Tyson Foods, Inc. Class A

   Bank of America N.A.      30,000        02/22/18      USD     82.40      USD     2,432      $ (43,223

Glanbia PLC

   Goldman Sachs International      41,000        02/23/18      EUR     15.32      EUR     611        (12,805

Hormel Foods Corp.

   Barclays Bank PLC      58,000        02/26/18      USD     37.07      USD     2,111        (46,033

Franco-Nevada Corp.

   Morgan Stanley & Co. International PLC      14,400        03/02/18      CAD     102.48      CAD     1,447        (33,267
                     

 

 

 
   $ (7,536,351
  

 

 

 

Derivative Financial Instruments Categorized by Risk Exposure

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

 

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

Liabilities — Derivative Financial Instruments

                    

Options written

                    

Options written, at value

   $      $      $ 16,165,273      $      $      $      $ 16,165,273  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

For the year ended December 31, 2017, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

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

Net Realized Gain (Loss) from:

                    

Options purchased(a)

   $      $      $ (16,944    $      $      $      $ (16,944

Options written

                   (4,875,332                           (4,875,332
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $      $      $ (4,892,276    $      $      $      $ (4,892,276
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
(a) Options purchased are included in net realized gain (loss) from investments.                              
Net Change in Unrealized Appreciation on:                                                 

Options written

   $      $      $ (8,239,922    $      $      $      $ (8,239,922
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Options:

 

Average value of option contracts purchased

   $ 14,732 (a) 

Average value of option contracts written

   $ 10,050,808  

 

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

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

     $        $ 16,165,273  
    

 

 

      

 

 

 

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

     $        $ (8,628,922
    

 

 

      

 

 

 

Total derivative assets and liabilities subject to an MNA

     $        $ 7,536,351  
    

 

 

      

 

 

 

 

 

74    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Consolidated Schedule of Investments  (continued)

December 31, 2017

  

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 MNA and net of the related collateral received by the Trust:

 

Counterparty    Derivative
Liabilities
Subject to
an MNA
by
Counterparty
       Derivatives
Available
for
Offset
       Non-cash
Collateral
Pledged
  (a)
       Cash
Collateral
Pledged
       Net
Amount
of
Derivative
Liabilities
   (b)
 

Bank of America N.A.

   $ 329,944        $        $ (329,944      $        $  

Barclays Bank PLC

     73,708                   (73,708                  

Citibank N.A.

     205,041                   (184,045                 20,996  

Credit Suisse International

     579,272                   (545,202                 34,070  

Deutsche Bank AG

     1,206,449                   (1,206,449                  

Goldman Sachs International

     382,415                   (382,415                  

JPMorgan Chase Bank N.A.

     313                                     313  

Morgan Stanley & Co. International PLC

     2,979,025                   (2,979,025                  

Royal Bank of Canada

     310,176                                     310,176  

UBS AG

     1,470,008                   (1,470,008                  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 
   $ 7,536,351        $        $ (7,170,796      $        $ 365,555  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes.  
  (b) Net amount represents the net amount payable due to 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:

 

Common Stocks:

 

Chemicals

   $ 108,454,713        $ 26,813,893        $        $ 135,268,606  

Containers & Packaging

     26,706,285                            26,706,285  

Energy Equipment & Services

     33,086,017                            33,086,017  

Food Products

     95,032,468          15,905,471                   110,937,939  

Machinery

     9,742,766                            9,742,766  

Metals & Mining

     210,217,944          127,522,803                   337,740,747  

Oil, Gas & Consumable Fuels

     331,742,308          16,936,165                   348,678,473  

Paper & Forest Products

     10,889,244          133,408          62          11,022,714  

Corporate Bonds

              14,556,297                   14,556,297  

Short-Term Securities

     16,156,750                            16,156,750  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 842,028,495        $ 201,868,037        $ 62        $ 1,043,896,594  
  

 

 

      

 

 

      

 

 

      

 

 

 

Investments Valued at NAV(a)

                    487,983  
                  $ 1,044,384,577  
                 

 

 

 

Derivative Financial Instruments(b)

 

Liabilities:

 

Equity contracts

   $ (7,553,990      $ (8,611,283      $        $ (16,165,273
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a)  As of December 31, 2017, certain of the Trust’s investments were fair valued using NAV per share as no quoted market value is available and therefore have been excluded from the fair value hierarchy.  
  (b)  Derivative financial instruments are options written, which are shown at value.  

During the year ended December 31, 2017, there were no transfers between levels.

See notes to financial statements.

 

 

SCHEDULES OF INVESTMENTS      75  


Schedule of Investments  

December 31, 2017

  

BlackRock Science and Technology Trust (BST)

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  

Common Stocks — 97.2%

 

Automobiles — 0.5%  

Tesla, Inc.(a)(b)

    10,701     $ 3,331,445  
   

 

 

 
Chemicals — 0.5%  

Tokai Carbon Co., Ltd.

    275,101       3,394,460  
   

 

 

 
Consumer Finance — 0.5%  

Jianpu Technology, Inc., ADR(a)(c)

    520,583       3,373,371  
   

 

 

 
Electrical Equipment — 0.7%  

Fuji Electric Co. Ltd.

    552,001       4,146,820  
   

 

 

 
Electronic Equipment, Instruments & Components — 2.1%  

Flex Ltd.(a)(b)

    203,700       3,664,563  

Isra Vision AG

    6,845       1,741,893  

Samsung SDI Co. Ltd.(a)

    23,700       4,518,307  

Sunny Optical Technology Group Co. Ltd.

    248,001       3,148,918  
   

 

 

 
      13,073,681  
Household Durables — 0.9%  

Roku, Inc.(a)(b)(c)

    109,998       5,695,645  
   

 

 

 
Internet & Direct Marketing Retail — 6.0%  

Amazon.com, Inc.(a)(b)

    25,100       29,353,697  

Ensogo Ltd.(a)(d)

    173,283        

Netflix, Inc.(a)(b)

    39,420       7,567,065  
   

 

 

 
      36,920,762  
Internet Software & Services — 26.5%  

58.com, Inc. — ADR(a)(b)

    58,000       4,151,060  

Alphabet, Inc., Class A(a)(b)

    32,900       34,656,860  

Alibaba Group Holding Ltd. — ADR(a)(b)

    129,500       22,329,685  

Baidu, Inc. — ADR(a)(b)

    40,000       9,368,400  

Bandwidth, Inc., Class A(a)

    113,750       2,629,900  

Delivery Hero AG(a)(e)

    87,437       3,462,070  

Facebook, Inc., Class A(a)(b)

    123,500       21,792,810  

LogMeIn, Inc.(b)

    25,400       2,908,300  

MercadoLibre, Inc.(b)

    15,300       4,814,298  

MongoDB, Inc.(a)

    33,811       1,003,511  

NetEase, Inc. — ADR(b)

    5,200       1,794,364  

Okta, Inc.(a)

    99,850       2,557,159  

SendGrid, Inc.(a)

    115,575       2,770,333  

Shopify, Inc., Class A(a)(b)

    34,300       3,464,300  

Sogou, Inc., ADR(a)

    238,026       2,753,949  

Takeaway.com Holding BV(a)(e)

    47,800       2,918,110  

Tencent Holdings Ltd.

    735,401       38,062,769  

Yandex NV, Class A(a)(b)

    94,300       3,088,325  
   

 

 

 
      164,526,203  
IT Services — 9.7%  

Cielo SA

    310,901       2,204,446  

DXC Technology Co.(b)

    42,100       3,995,290  

GMO Payment Gateway, Inc.

    38,300       3,162,451  

InterXion Holding NV(a)

    82,100       4,838,153  

Mastercard, Inc., Class A(b)

    93,700       14,182,432  

PayPal Holdings, Inc.(a)(b)

    92,600       6,817,212  

Square, Inc., Class A(a)(b)

    292,601       10,144,442  

Visa, Inc., Class A(b)

    129,700       14,788,394  
   

 

 

 
      60,132,820  
Media — 1.5%            

Naspers Ltd., Class N

    33,101       9,170,460  
   

 

 

 
Real Estate Investment Trusts (REITs) — 1.4%            

Equinix, Inc.(b)

    19,252       8,724,938  
   

 

 

 
Semiconductors & Semiconductor Equipment — 18.2%  

Advanced Micro Devices, Inc.(a)(b)

    283,000       2,909,240  

Aixtron SE(a)

    218,600       3,021,551  
Security   Shares     Value  
Semiconductors & Semiconductor Equipment (continued)  

ams AG

    41,200     $ 3,732,382  

Applied Materials, Inc.(b)

    116,300       5,945,256  

ASML Holding NV

    70,400       12,239,619  

ASPEED Technology, Inc.

    93,000       2,243,863  

Broadcom Ltd.(b)

    57,196       14,693,652  

Cree, Inc.(a)(b)

    68,400       2,540,376  

IQE PLC(a)

    1,281,101       2,369,659  

Lam Research Corp.(b)

    47,900       8,816,953  

MACOM Technology Solutions Holdings, Inc.(a)(b)

    76,300       2,482,802  

MagnaChip Semiconductor Corp.(a)(b)

    228,500       2,273,575  

Megachips Corp.

    89,600       2,674,841  

Microchip Technology, Inc.(b)

    26,700       2,346,396  

Micron Technology, Inc.(a)(b)

    102,400       4,210,688  

NVIDIA Corp.(b)

    38,200       7,391,700  

ON Semiconductor Corp.(a)(b)

    205,300       4,298,982  

Silicon Laboratories, Inc.(a)(b)

    33,400       2,949,220  

SOITEC(a)

    95,675       6,824,597  

STMicroelectronics NV

    243,000       5,300,809  

Taiwan Semiconductor Manufacturing Co. Ltd.

    1,232,001       9,433,513  

Tower Semiconductor Ltd.(a)(b)

    120,400       4,103,232  
   

 

 

 
      112,802,906  
Software — 22.0%  

Activision Blizzard, Inc.(b)

    142,400       9,016,768  

Adobe Systems, Inc.(a)(b)

    58,000       10,163,920  

Altair Engineering, Inc.(a)

    168,913       4,040,399  

Altium Ltd.

    271,501       2,806,307  

Autodesk, Inc.(a)(b)

    62,400       6,541,392  

BlackBerry Ltd.(a)(b)

    220,401       2,461,868  

Electronic Arts, Inc.(a)(b)

    39,600       4,160,376  

ForeScout Technologies, Inc.(a)

    92,655       2,954,768  

Guidewire Software, Inc.(a)(b)

    41,200       3,059,512  

HubSpot, Inc.(a)(b)

    27,500       2,431,000  

Microsoft Corp.(b)

    383,501       32,804,590  

Nintendo Co. Ltd.

    26,500       9,542,559  

Proofpoint, Inc.(a)(b)

    44,500       3,952,045  

PTC, Inc.(a)(b)

    59,000       3,585,430  

RIB Software SE

    118,300       3,509,716  

SailPoint Technologies Holding, Inc.(a)

    206,822       2,998,919  

salesforce.com, Inc.(a)(b)

    122,300       12,502,729  

Take-Two Interactive Software, Inc.(a)(b)

    80,200       8,804,356  

UbiSoft Entertainment SA(a)

    70,400       5,408,949  

Xero Ltd.(a)

    117,600       2,619,588  

Zendesk, Inc.(a)(b)

    90,300       3,055,752  
   

 

 

 
      136,420,943  
Technology Hardware, Storage & Peripherals — 6.7%  

Apple, Inc.(b)

    202,300       34,235,229  

Samsung Electronics Co. Ltd.

    3,100       7,365,322  
   

 

 

 
      41,600,551  

Total Common Stocks — 97.2%
(Cost — $328,126,584)

 

    603,315,005  
   

 

 

 

Preferred Securities

 

Preferred Stocks — 2.3%  
Internet & Direct Marketing Retail — 0.1%  

Jasper Infotech Private Ltd., Series I, (Acquired 8/8/15, cost 1,998,435),
0.00%(a)(d)(f)

    1,054       462,706  
   

 

 

 
Internet Software & Services — 2.2%            

Uber Technologies, Inc., Series E, (Acquired 12/04/14, cost $3,000,048),
0.00%(a)(d)(f)

    90,044       2,968,751  
 

 

 

76    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (continued)

December 31, 2017

  

BlackRock Science and Technology Trust (BST)

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  
Internet Software & Services (continued)            

Xiaoju Kuaizhi, Inc., Series A-17 (Acquired 7/28/15, cost $3,016,964),
0.00%(a)(d)(f)

    110,003     $ 5,602,453  

Zuora, Inc., (Acquired 1/16/15, cost $3,894,522),
0.00%(a)(d)(f)

    1,025,063       4,971,555  
   

 

 

 
      13,542,759  
   

 

 

 

Total Preferred Stocks — 2.3%
(Cost — $11,909,969)

 

    14,005,465  
   

 

 

 

Total Long-Term Investments — 99.5%
(Cost — $340,036,553)

 

    617,320,470  
   

 

 

 

Short-Term Securities — 1.3%

 

BlackRock Liquidity Funds, T-Fund, Institutional Class, 1.18%(g)(i)

    4,696,297       4,696,297  

SL Liquidity Series, LLC, Money Market Series,
1.21%(g)(h)(i)

    3,497,053       3,496,704  
   

 

 

 

Total Short-Term Securities — 1.3%

(Cost — $8,193,170)

 

    8,193,001  
   

 

 

 

Total Investments Before Options Written — 100.8%
(Cost — $348,229,723)

 

    625,513,471  
   

 

 

 

Options Written — (0.6)%
(Premiums Received —
$5,905,408)

 

    (3,658,483
   

 

 

 

Total Investments, Net of Options Written — 100.2%
(Cost — $342,324,315)

 

    621,854,988  

Liabilities in Excess of Other Assets — (0.2)%

 

    (1,554,519
   

 

 

 

Net Assets — 100.0%

 

  $ 620,300,469  
   

 

 

 

 

(a)  Non-income producing security.
(b)  All or a portion of security has been pledged and/or segregated as collateral in connection with outstanding exchange-traded options written.
(c)  Security, or a portion of the security, is on loan.
(d)  Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.
(e)  Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.
(f)  Restricted security as to resale, excluding 144A securities. As of year end, the Trust held restricted securities with a current value of $14,005,465 and an original cost of $11,909,969, which was 2.3% of its net assets.
(g)  Annualized 7-day yield as of period end.
(h)  Security was purchased with the cash collateral from loaned securities.
 
(i)  During the year ended December 31, 2017, investments in issuers considered to be affiliates of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate    Shares
Held at
12/31/16
     Net
Activity
     Shares
Held at
12/31/17
     Value at
12/31/17
     Income      Net
Realized
Gain(Loss)
 (a)
     Change in
Unrealized
Appreciation
(Depreciation)
 

BlackRock Liquidity Funds, T-Fund, Institutional Class

     2,902,077        1,794,220        4,696,297      $ 4,696,297      $ 20,324      $ 15      $  

SL Liquidity Series, LLC, Money Market Series

     128,952        3,368,101        3,497,053        3,496,704        106,473  (b)       (463      (181
           

 

 

    

 

 

    

 

 

    

 

 

 
   $ 8,193,001      $ 126,797      $ (448    $ (181
           

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a)  Includes net capital gain distributions, if applicable.  
  (b)  Represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities.  

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

Derivative Financial Instruments Outstanding as of Period End

Exchange-Traded Options Written

 

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

Call

                          

Activision Blizzard, Inc.

     70          01/05/18        USD     65.50        USD     443        $ (490

Amazon.com, Inc.

     51          01/05/18        USD     1,170.00        USD     5,964          (51,638

Apple, Inc.

     38          01/05/18        USD     175.00        USD     643          (475

Apple, Inc.

     38          01/05/18        USD     177.50        USD     643          (323

Applied Materials, Inc.

     117          01/05/18        USD     54.00        USD     598          (585

Facebook, Inc., Class A

     167          01/05/18        USD     177.50        USD     2,947          (19,873

PayPal Holdings, Inc.

     171          01/05/18        USD     78.00        USD     1,259          (1,111

 

 

SCHEDULES OF INVESTMENTS      77  


Schedule of Investments  (continued)

December 31, 2017

  

BlackRock Science and Technology Trust (BST)

 

Exchange-Traded Options Written (continued)

 

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

Call (continued)

                          

Roku, Inc.

     102          01/05/18        USD     47.00        USD     528        $ (51,510

salesforce.com, Inc.

     101          01/05/18        USD     105.00        USD     1,033          (1,262

Tesla, Inc.

     12          01/05/18        USD     320.00        USD     374          (4,890

Visa, Inc.

     124          01/05/18        USD     112.00        USD     1,414          (31,186

Activision Blizzard, Inc.

     23          01/12/18        USD     64.00        USD     146          (2,058

Activision Blizzard, Inc.

     70          01/12/18        USD     66.50        USD     443          (1,540

Adobe Systems, Inc.

     50          01/12/18        USD     187.50        USD     876          (600

Advanced Micro Devices, Inc.

     476          01/12/18        USD     10.50        USD     489          (10,710

Alibaba Group Holding Ltd. — ADR

     44          01/12/18        USD     182.50        USD     759          (2,266

Alibaba Group Holding Ltd. — ADR

     163          01/12/18        USD     177.50        USD     2,811          (24,613

Apple, Inc.

     51          01/12/18        USD     180.00        USD     863          (535

Autodesk, Inc.

     114          01/12/18        USD     113.00        USD     1,195          (912

BlackBerry Ltd.

     333          01/12/18        USD     11.00        USD     372          (11,489

Broadcom Ltd.

     38          01/12/18        USD     265.00        USD     976          (7,030

Cree, Inc.

     160          01/12/18        USD     38.00        USD     594          (9,600

Facebook, Inc., Class A

     103          01/12/18        USD     185.00        USD     1,818          (2,575

Alphabet, Inc., Class A

     37          01/12/18        USD     1,045.00        USD     3,898          (66,045

Flex Ltd.

     149          01/12/18        USD     18.50        USD     268          (1,564

Flex Ltd.

     149          01/12/18        USD     18.00        USD     268          (4,693

Netflix, Inc.

     38          01/12/18        USD     195.00        USD     729          (9,576

Shopify, Inc., Class A

     188          01/12/18        USD     105.00        USD     1,899          (27,260

Take-Two Interactive Software, Inc.

     90          01/12/18        USD     112.00        USD     988          (11,700

Tesla, Inc.

     5          01/12/18        USD     330.00        USD     156          (1,682

Microsoft Corp.

     301          01/16/18        USD     83.95        USD     2,575          (69,210

Activision Blizzard, Inc.

     126          01/19/18        USD     65.00        USD     798          (9,450

Activision Blizzard, Inc.

     82          01/19/18        USD     67.50        USD     519          (1,927

Adobe Systems, Inc.

     77          01/19/18        USD     185.00        USD     1,349          (4,004

Alphabet, Inc., Class A

     46          01/19/18        USD     1,060.00        USD     4,846          (57,500

Alibaba Group Holding Ltd. — ADR

     164          01/19/18        USD     180.00        USD     2,828          (23,288

Amazon.com, Inc.

     21          01/19/18        USD     1,200.00        USD     2,456          (17,903

Apple, Inc.

     25          01/19/18        USD     180.00        USD     423          (600

Apple, Inc.

     204          01/19/18        USD     175.00        USD     3,452          (16,320

Applied Materials, Inc.

     290          01/19/18        USD     55.00        USD     1,482          (6,380

Autodesk, Inc.

     104          01/19/18        USD     115.00        USD     1,090          (936

Baidu, Inc. — ADR

     80          01/19/18        USD     250.00        USD     1,874          (7,560

BlackBerry Ltd.

     208          01/19/18        USD     11.00        USD     232          (8,424

Broadcom Ltd.

     71          01/19/18        USD     270.00        USD     1,824          (11,893

Broadcom Ltd.

     53          01/19/18        USD     280.00        USD     1,362          (3,180

Cree, Inc.

     79          01/19/18        USD     41.00        USD     293          (1,185

DXC Technology Co.

     149          01/19/18        USD     100.00        USD     1,414          (2,980

Electronic Arts, Inc.

     123          01/19/18        USD     115.00        USD     1,292          (2,890

Electronic Arts, Inc.

     47          01/19/18        USD     110.00        USD     494          (3,243

Equinix, Inc.

     39          01/19/18        USD     484.50        USD     1,768          (3,225

Equinix, Inc.

     28          01/19/18        USD     470.00        USD     1,269          (4,130

Facebook, Inc., Class A

     92          01/19/18        USD     180.00        USD     1,623          (15,410

Flex Ltd.

     216          01/19/18        USD     18.27        USD     389          (4,973

Flex Ltd.

     109          01/19/18        USD     19.00        USD     196          (545

Guidewire Software, Inc.

     144          01/19/18        USD     75.00        USD     1,069          (18,720

Hub Spot, Inc.

     100          01/19/18        USD     90.00        USD     884          (22,750

Lam Research Corp.

     85          01/19/18        USD     195.00        USD     1,565          (12,113

LogMein, Inc.

     100          01/19/18        USD     125.00        USD     1,145          (2,250

MACOM Technology Solutions

     265          01/19/18        USD     35.00        USD     862          (13,250

MagnaChip Semiconductor Corp.

     240          01/19/18        USD     13.15        USD     239          (32

Mastercard, Inc., Class A

     151          01/19/18        USD     150.00        USD     2,286          (48,094

Mercadolibre, Inc.

     42          01/19/18        USD     340.00        USD     1,322          (10,185

Mercadolibre, Inc.

     42          01/19/18        USD     330.00        USD     1,322          (17,850

Microchip Technology Incorp.

     93          01/19/18        USD     87.50        USD     817          (17,670

Micron Technology, Inc.

     142          01/19/18        USD     45.00        USD     584          (5,822

Microsoft Corp.

     177          01/19/18        USD     85.00        USD     1,514          (27,170

NVIDIA Corp.

     4          01/19/18        USD     215.00        USD     77          (134

NVIDIA Corp.

     65          01/19/18        USD     190.00        USD     1,258          (46,800

NetEase, Inc. — ADR

     18          01/19/18        USD     390.00        USD     621          (2,250

Netflix, Inc.

     50          01/19/18        USD     195.00        USD     960          (17,000

ON Semiconductor Corp.

     265          01/19/18        USD     20.00        USD     555          (31,800

 

 

78    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (continued)

December 31, 2017

  

BlackRock Science and Technology Trust (BST)

 

Exchange-Traded Options Written (continued)

 

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

Call (continued)

                          

PTC, Inc.

     110          01/19/18        USD     65.00        USD     668        $ (6,050

PayPal Holdings, Inc.

     153          01/19/18        USD     75.00        USD     1,126          (16,448

Proofpoint, Inc.

     77          01/19/18        USD     95.00        USD     684          (4,042

Roku, Inc.

     90          01/19/18        USD     44.00        USD     466          (72,900

Silicon Laboratories, Inc.

     116          01/19/18        USD     95.00        USD     1,024          (5,220

Take-Two Interactive Software, Inc.

     95          01/19/18        USD     115.00        USD     1,043          (8,075

Tesla, Inc.

     18          01/19/18        USD     315.00        USD     560          (17,235

Tower Semiconductor Ltd.

     211          01/19/18        USD     34.00        USD     719          (23,210

Visa, Inc.

     124          01/19/18        USD     113.00        USD     1,414          (29,450

Yandex NV, Class A

     165          01/19/18        USD     35.00        USD     540          (3,300

Zendesk, Inc.

     41          01/19/18        USD     35.00        USD     139          (2,255

salesforce.com, Inc.

     86          01/19/18        USD     105.00        USD     879          (4,902

Activision Blizzard, Inc.

     71          01/26/18        USD     65.00        USD     450          (7,100

Adobe Systems, Inc.

     76          01/26/18        USD     185.00        USD     1,332          (6,156

Amazon.com, Inc.

     15          01/26/18        USD     1,215.00        USD     1,754          (12,150

Apple, Inc.

     126          01/26/18        USD     177.50        USD     2,132          (9,765

Apple, Inc.

     85          01/26/18        USD     180.00        USD     1,438          (3,910

Broadcom Ltd.

     38          01/26/18        USD     270.00        USD     976          (9,785

Electronic Arts, Inc.

     47          01/26/18        USD     111.00        USD     494          (3,736

Facebook, Inc., Class A

     70          01/26/18        USD     180.00        USD     1,235          (19,985

Lam Research Corp.

     82          01/26/18        USD     187.50        USD     1,509          (45,100

Mastercard, Inc., Class A

     176          01/26/18        USD     155.00        USD     2,664          (21,736

Micron Technology, Inc.

     73          01/26/18        USD     42.50        USD     300          (9,344

NVIDIA Corp.

     64          01/26/18        USD     200.00        USD     1,238          (21,440

Netflix, Inc.

     49          01/26/18        USD     195.00        USD     941          (39,078

Square, Inc., Class A

     512          01/26/18        USD     40.50        USD     1,775          (8,960

Take-Two Interactive Software, Inc.

     95          01/26/18        USD     115.00        USD     1,043          (12,113

Tesla, Inc.

     7          01/26/18        USD     325.00        USD     218          (5,022

Visa, Inc.

     205          01/26/18        USD     115.00        USD     2,337          (32,595

Yandex NV, Class A

     165          01/26/18        USD     35.00        USD     540          (4,950

Microsoft Corp.

     301          01/29/18        USD     83.95        USD     2,575          (80,700

Activision Blizzard, Inc.

     34          02/02/18        USD     65.50        USD     215          (3,145

Apple, Inc.

     28          02/02/18        USD     182.50        USD     474          (3,178

Micron Technology, Inc.

     70          02/02/18        USD     46.00        USD     288          (3,885

salesforce.com, Inc.

     57          02/02/18        USD     106.85        USD     583          (4,703

58.com, Inc.

     203          02/16/18        USD     80.00        USD     1,453          (21,315

Activision Blizzard, Inc.

     23          02/16/18        USD     67.50        USD     146          (3,162

Alibaba Group Holding Ltd. — ADR

     82          02/16/18        USD     180.00        USD     1,414          (40,180

Alphabet, Inc., Class A

     33          02/16/18        USD     1,080.00        USD     3,476          (72,270

Apple, Inc.

     85          02/16/18        USD     185.00        USD     1,438          (9,647

BlackBerry Ltd.

     230          02/16/18        USD     12.50        USD     257          (3,220

Micron Technology, Inc.

     73          02/16/18        USD     43.00        USD     300          (12,739

Proofpoint, Inc.

     78          02/16/18        USD     100.00        USD     693          (9,165

Roku, Inc.

     192          02/16/18        USD     60.00        USD     994          (57,120

Square, Inc., Class A

     512          02/16/18        USD     36.00        USD     1,775          (81,920

Tesla, Inc.

     16          02/16/18        USD     355.00        USD     498          (7,360
                          

 

 

 
                           $ (1,810,558
                          

 

 

 

OTC Options Written

 

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

Call

 

Tencent Holdings Ltd.

  Morgan Stanley & Co. International PLC     50,000       01/03/18     HKD     391.68     HKD     20,219     $ (81,892

Flex Ltd.

  Barclays Bank PLC     8,900       01/04/18     USD     18.25     USD     160       (654

InterXion Holding N.V.

  Barclays Bank PLC     5,400       01/04/18     USD     55.88     USD     318       (16,701

InterXion Holding N.V.

  Barclays Bank PLC     23,300       01/04/18     USD     58.14     USD     1,373       (27,594

Sunny Optical Technology Group Co. Ltd.

  Morgan Stanley & Co. International PLC     86,000       01/04/18     HKD     140.91     HKD     8,531        

Takeaway.com Holding BV

  Credit Suisse International     4,200       01/04/18     EUR     43.87     EUR     214       (35,360

Okta, Inc.

  Morgan Stanley & Co. International PLC     17,500       01/05/18     USD     29.25     USD     448       (9

Taiwan Semiconductor Manufacturing Co. Ltd.

  Goldman Sachs International     337,000       01/05/18     TWD     243.41     TWD     76,789       (219

 

 

SCHEDULES OF INVESTMENTS      79  


Schedule of Investments  (continued)

December 31, 2017

  

BlackRock Science and Technology Trust (BST)

 

OTC Options Written (continued)

 

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

Call (continued)

 

ams AG

  Goldman Sachs International     14,400       01/10/18     CHF     97.46     CHF     1,271     $ (8,842

ASML Holding NV

  Goldman Sachs International     5,400       01/10/18     EUR     155.09     EUR     782       (1,459

ASML Holding NV

  Goldman Sachs International     19,400       01/10/18     EUR     154.98     EUR     2,811       (6,228

Altium Ltd.

  Morgan Stanley & Co. International PLC     17,000       01/10/18     TWD     733.95     TWD     12,206       (7,700

Tencent Holdings Ltd.

  UBS AG     14,500       01/10/18     HKD     388.75     HKD     5,864       (32,708

Tokai Carbon Co., Ltd.

  UBS AG     38,000       01/10/18     JPY     1,236.28     JPY     52,831       (54,871

Aixtron SE

  Goldman Sachs International     31,500       01/11/18     EUR     13.63     EUR     363       (823

Delivery Hero AG

  UBS AG     7,500       01/11/18     EUR     40.11     EUR     248       (133

Samsung Electronics Co. Ltd.

  Goldman Sachs International     8,600       01/11/18     KRW     218,732.50     KRW     1,755,225       (15,684

SOITEC

  Morgan Stanley & Co. International PLC     17,800       01/11/18     EUR     68.87     EUR     1,058       (555

Megachips Corp.

  UBS AG     13,200       01/12/18     JPY     3,449.63     JPY     44,401       (7,038

STMicroelectronics NV

  Goldman Sachs International     58,800       01/12/18     EUR     20.68     EUR     1,069       (539

UbiSoft Entertainment SA

  Goldman Sachs International     11,100       01/12/18     EUR     70.29     EUR     711       (496

Altium Ltd.

  Deutsche Bank AG     47,000       01/17/18     AUD     12.86     AUD     623       (20,197

Altium Ltd.

  Goldman Sachs International     48,000       01/17/18     AUD     12.93     AUD     636       (19,106

RIB Software SE

  Goldman Sachs International     20,000       01/17/18     EUR     19.30     EUR     495       (130,764

Taiwan Semiconductor Manufacturing Co. Ltd.

  Morgan Stanley & Co. International PLC     94,000       01/17/18     TWD     235.10     TWD     21,419       (4,533

Zendesk, Inc.

  UBS AG     14,000       01/17/18     USD     36.75     USD     474       (2,082

Tokai Carbon Co., Ltd.

  UBS AG     38,000       01/18/18     JPY     1,248.17     JPY     52,831       (54,847

Okta, Inc.

  Morgan Stanley & Co. International PLC     17,500       01/23/18     USD     29.25     USD     448       (1,131

Samsung Electronics Co. Ltd.

  Goldman Sachs International     1,100       01/23/18     KRW     2,628,489.09     KRW     2,797,884       (45,035

Takeaway.com Holding BV

  Morgan Stanley & Co. International PLC     2,700       01/24/18     EUR     43.00     EUR     137       (26,629

Xero Ltd.

  Deutsche Bank AG     11,600       01/24/18     NZD     33.99     NZD     365       (2,390

GMO Payment Gateway, Inc.

  JPMorgan Chase Bank N.A.     13,400       01/25/18     JPY     8,837.40     JPY     124,669       (68,301

Megachips Corp.

  Goldman Sachs International     18,200       01/25/18     JPY     3,329.37     JPY     61,219       (23,830

Nintendo Co. Ltd.

  Goldman Sachs International     9,200       01/25/18     JPY     45,003.24     JPY     373,280       (11,940

Delivery Hero AG

  UBS AG     15,500       01/26/18     EUR     40.01     EUR     512       (2,584

RIB Software SE

  Goldman Sachs International     21,000       01/26/18     EUR     21.28     EUR     519       (90,923

UbiSoft Entertainment SA

  Goldman Sachs International     13,500       01/26/18     EUR     65.33     EUR     864       (17,509

MagnaChip Semiconductor Corp.

  Barclays Bank PLC     27,000       01/29/18     USD     11.68     USD     269       (1,172

ON Semiconductor Corp.

  Morgan Stanley & Co. International PLC     45,300       01/29/18     USD     20.10     USD     949       (56,561

Takeaway.com Holding BV

  Credit Suisse International     5,600       01/31/18     EUR     45.22     EUR     285       (43,122

Tower Semiconductor Ltd.

  Citibank N.A.     21,000       01/31/18     USD     33.86     USD     716       (30,410

Xero Ltd.

  Deutsche Bank AG     21,500       01/31/18     NZD     31.89     NZD     676       (15,982

Aixtron SE

  Goldman Sachs International     45,000       02/01/18     EUR     12.41     EUR     518       (17,853

Fuji Electric Co., Ltd.

  Goldman Sachs International     97,000       02/01/18     JPY     831.60     JPY     82,106       (37,494

IQE PLC

  Goldman Sachs International     248,300       02/01/18     GBP     1.75     GBP     340       (4,636

Naspers Ltd. Class N

  Goldman Sachs International     6,600       02/01/18     ZAR     3,653.36     ZAR     22,624       (25,611

STMicroelectronics NV

  Goldman Sachs International     26,300       02/01/18     EUR     19.56     EUR     478       (9,722

SOITEC

  Goldman Sachs International     15,700       02/01/18     EUR     61.31     EUR     933       (34,807

Tencent Holdings Ltd.

  UBS AG     197,100       02/06/18     HKD     388.85     HKD     79,703       (610,928

ASPEED Technology, Inc.

  Goldman Sachs International     16,000       02/12/18     TWD     711.96     TWD     11,488       (22,491

PTC, Inc.

  Barclays Bank PLC     10,000       02/15/18     USD     61.46     USD     608       (23,337

Takeaway.com Holding BV

  Goldman Sachs International     4,200       02/21/18     EUR     50.39     EUR     214       (16,879

Fuji Electric Co., Ltd.

  JPMorgan Chase Bank N.A.     96,000       02/22/18     JPY     838.30     JPY     81,259       (41,697

IQE PLC

  Goldman Sachs International     200,000       02/22/18     GBP     1.59     GBP     274       (15,907

MagnaChip Semiconductor Corp.

  Morgan Stanley & Co. International PLC     29,000       02/22/18     USD     10.45     USD     289       (18,010
               

 

 

 
  $ (1,847,925
               

 

 

 

Derivative Financial Instruments Categorized by Risk Exposure

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

 

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

Liabilities — Derivative Financial Instruments

                    

Options written

                    

Options written, at value

   $      $      $ 3,658,483      $      $      $      $ 3,658,483  
  

 

  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

 

80    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (continued)

December 31, 2017

  

BlackRock Science and Technology Trust (BST)

 

For the year ended December 31, 2017, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

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

Net Realized Gain (Loss) from:

                                

Options purchased(a)

   $        $        $ 28,663        $        $        $        $ 28,663  

Options written

                       (34,519,295                                   (34,519,295
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 
   $        $        $ (34,490,632      $        $        $        $ (34,490,632
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

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

  

Net Change in Unrealized Appreciation on:

                                

Options written

   $        $        $ 1,560,649        $        $        $        $ 1,560,649  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Options:

 

Average value of option contracts purchased

   $ 51,317 (a) 

Average value of option contracts written

   $ 5,467,094  

 

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

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

Derivative Financial Instruments — Offsetting as of Period End

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

 

      Assets        Liabilities  

Derivative Financial Instruments:

       

Options

   $        $ 3,658,483  
  

 

 

      

 

 

 

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

              (1,810,558
  

 

 

      

 

 

 

Total derivative assets and liabilities subject to an MNA

   $        $ 1,847,925  
  

 

 

      

 

 

 

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

 

Counterparty    Derivative
Liabilities
Subject to
an MNA by
Counterparty
       Derivatives
Available
for Offset
       Non-cash
Collateral
Pledged
       Cash
Collateral
Pledged
 (a)
       Net Amount
of Derivative
Liabilities
  (b)
 

Barclays Bank PLC

   $ 69,458        $        $        $ (69,458      $  

Citibank N.A.

     30,410                                     30,410  

Credit Suisse International

     78,482                            (20,000        58,482  

Deutsche Bank AG

     38,569                            (10,000        28,569  

Goldman Sachs International

     558,797                            (558,797         

JPMorgan Chase Bank N.A.

     109,998                            (90,000        19,998  

Morgan Stanley & Co. International PLC

     197,020                            (197,020         

UBS AG

     765,191                            (700,000        65,191  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 
   $ 1,847,925        $        $        $ (1,645,275      $ 202,650  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) Excess collateral received from the individual counterparty is not shown for financial reporting purposes.  
  (b) Net amount represents the net amount payable due to counterparty in the event of default. Net amount may be offset further by the options written receivable/payable on the Statements of Assets and Liabilities.  

 

 

SCHEDULES OF INVESTMENTS      81  


Schedule of Investments  (continued)

December 31, 2017

  

BlackRock Science and Technology Trust (BST)

 

Fair Value Hierarchy as of Period End

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

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

 

      Level 1        Level 2        Level 3        Total  

Assets:

 

Investments:

 

Common Stocks:

 

Automobiles

   $ 3,331,445        $        $        $ 3,331,445  

Chemicals

              3,394,460                   3,394,460  

Consumer Finance

     3,373,371                            3,373,371  

Electrical Equipment

              4,146,820                   4,146,820  

Electronic Equipment, Instruments & Components

     3,664,563          9,409,118                   13,073,681  

Household Durables

     5,695,645                            5,695,645  

Internet & Direct Marketing Retail

     36,920,762                        36,920,762  

Internet Software & Services

     126,463,434          38,062,769                   164,526,203  

IT Services

     56,970,369          3,162,451                   60,132,820  

Media

              9,170,460                   9,170,460  

Real Estate Investment Trusts (REITs)

     8,724,938                            8,724,938  

Semiconductors & Semiconductor Equipment

     76,400,192          36,402,714                   112,802,906  

Software

     112,533,824          23,887,119                   136,420,943  

Technology Hardware, Storage & Peripherals

     34,235,229          7,365,322                   41,600,551  

Preferred Stocks

                       14,005,465          14,005,465  

Short-Term Investment Fund

     4,696,297                            4,696,297  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 473,010,069        $ 135,001,233        $ 14,005,465        $ 622,016,767  
  

 

 

      

 

 

      

 

 

      

 

 

 

Investments Valued at NAV(a)

                    3,496,704  
                  $ 625,513,471  
                 

 

 

 

Derivative Financial Instruments(b)

                 

Liabilities:

 

Equity contracts

   $ (1,647,716      $ (2,010,767      $        $ (3,658,483
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a)  As of December 31, 2017, certain of the Trust’s investments were fair valued using NAV per share as no quoted market value is available and therefore have been excluded from the fair value hierachy.  
  (b)  Derivative financial instruments are options written, which are shown at value.  

During the year ended December 31, 2017, there were no transfers between Level 1 and Level 2.

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:

 

        Preferred
Stocks
 

Assets:

    

Opening balance, as of December 31, 2016

     $ 15,957,843  

Transfers into Level 3

        

Transfers out of Level 3

        

Accrued discounts/premiums

        

Net realized gain (loss)

        

Net change in unrealized appreciation (depreciation)(a)(b)

       (452,375

Purchases

        

Sales

       (1,500,003
    

 

 

 

Closing Balance, as of December 31, 2017

     $ 14,005,465  
    

 

 

 

Net change in unrealized appreciation (depreciation) on investments still held at December 31, 2017(b)

     $ (510,182
    

 

 

 

 

  (a) Included in the related net change in unrealized appreciation (depreciation) in the Statements of Operations.  
  (b) Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at December 31, 2017 is generally due to investments no longer held or categorized as Level 3 at period end.  

 

 

82    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (continued)

December 31, 2017

  

BlackRock Science and Technology Trust (BST)

 

The following table summarizes the valuation approaches used and unobservable inputs utilized by the BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) to determine the value of certain of the Trust’s Level 3 investments as of period end.

 

      Value        Valuation
Approach
       Unobservable Inputs      Range of
Unobservable
Inputs Utilized
    

Weighted

Average of
Unobservable
Inputs

 

Assets:

                  

Preferred Stocks(a)

   $ 14,005,465          Market          Discount Rate(b)        25       
               Revenue Multiple(c)        6.25x-7.75x        6.95x  
               Time to Exit(b)        0.5 –3.0 years         
               Volatility(b)        41       
               Recent Transactions(c)                
  

 

 

                 
   $ 14,005,465                  
  

 

 

                 

 

  (a)  For the year ended December 31, 2017, the valuation technique for investments classified as preferred stocks with a total value of $462,706 changed to an Option Pricing Model (“OPM”). The investments were previously valued utilizing Probability-Weighted Expected Return Model (“PWERM”). The change was due to consideration of liquidation preferences and exit strategy.  
  (b)  Decrease in unobservable input may result in a significant increase to value, while an increase in unobservable input may result in a significant decrease to value.  
  (c)  Increase in unobservable input may result in a significant increase to value, while a decrease in unobservable input may result in a significant decrease to value  

See notes to financial statements.

 

 

SCHEDULES OF INVESTMENTS      83  


Schedule of Investments  

December 31, 2017

  

BlackRock Utilities, Infrastructure & Power Opportunities Trust (BUI)

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  

Common Stocks — 98.4%

 

Auto Components — 1.1%  

Valeo SA

    51,850     $ 3,862,347  
   

 

 

 
Chemicals — 2.6%  

Air Liquide SA

    73,400       9,227,421  
   

 

 

 
Construction & Engineering — 3.1%  

Ferrovial SA

    172,502       3,914,612  

Vinci SA

    70,400       7,187,246  
   

 

 

 
      11,101,858  
Electric Utilities — 32.6%  

American Electric Power Co., Inc.(a)

    96,220       7,078,905  

Duke Energy Corp.(a)

    133,268       11,209,171  

Edison International

    91,290       5,773,180  

Enel SpA

    2,947,617       18,125,688  

Eversource Energy(a)

    80,420       5,080,936  

Exelon Corp.(a)(b)

    269,310       10,613,507  

FirstEnergy Corp.(a)

    202,980       6,215,248  

Fortis, Inc.(a)

    144,250       5,289,647  

Iberdrola SA

    201,610       1,560,720  

NextEra Energy, Inc.(a)(b)

    222,950       34,822,560  

Pinnacle West Capital Corp.(a)

    46,720       3,979,610  

PPL Corp.(a)

    114,710       3,550,275  

Xcel Energy, Inc.

    71,400       3,435,054  
   

 

 

 
      116,734,501  
Electrical Equipment — 2.8%  

Schneider Electric SE

    43,200       3,662,515  

Vestas Wind Systems A/S

    94,150       6,505,790  
   

 

 

 
      10,168,305  
Gas Utilities — 1.0%  

Italgas SpA

    594,550       3,627,805  
   

 

 

 
Independent Power and Renewable Electricity Producers — 7.9%  

China Longyuan Power Group Corp. Ltd., Class H

    10,218,000       7,255,564  

EDP Renovaveis SA

    1,874,050       15,665,840  

NRG Yield, Inc., Class C(a)

    172,160       3,253,824  

Pattern Energy Group, Inc.(a)

    102,880       2,210,891  
   

 

 

 
      28,386,119  
Multi-Utilities — 19.6%  

CMS Energy Corp.(b)

    127,700       6,040,210  

Dominion Energy, Inc.(a)

    180,060       14,595,664  

DTE Energy Co.(a)

    46,620       5,103,025  

National Grid PLC

    1,160,424       13,679,688  

NiSource, Inc.(a)

    133,100       3,416,677  

NorthWestern Corp.

    45,522       2,717,663  

Public Service Enterprise Group, Inc.(a)

    239,616       12,340,224  

Sempra Energy(a)

    70,350       7,521,822  

WEC Energy Group, Inc.(a)

    70,180       4,662,058  
   

 

 

 
      70,077,031  
Oil, Gas & Consumable Fuels — 12.0%  

Antero Midstream Partners LP(a)

    75,740       2,199,490  

Enbridge, Inc.(a)

    93,240       3,646,616  

Energy Transfer Partners LP(a)

    276,869       4,961,492  

Enterprise Products Partners LP(a)

    171,714       4,552,138  

EQT Midstream Partners LP(a)

    27,730       2,027,063  

Genesis Energy LP(a)

    111,299       2,487,533  

MPLX LP(a)

    104,589       3,709,772  

ONEOK, Inc.(a)

    69,851       3,733,536  

Plains All American Pipeline LP(a)

    195,890       4,043,169  

Shell Midstream Partners LP(a)

    192,551       5,741,871  

Targa Resources Corp.(a)

    44,430       2,151,301  
Security   Shares     Value  
Oil, Gas & Consumable Fuels (continued)  

TransCanada Corp.

    73,700     $ 3,587,085  
   

 

 

 
      42,841,066  
Transportation Infrastructure — 14.9%  

Abertis Infraestructuras SA

    399,000       8,877,614  

Aeroports de Paris

    20,870       3,968,404  

Atlantia SpA

    410,724       12,948,640  

Flughafen Zuerich AG

    12,110       2,767,943  

Fraport AG Frankfurt Airport Services Worldwide

    23,430       2,573,520  

Groupe Eurotunnel SE, Registered Shares

    299,950       3,858,072  

Sydney Airport

    1,342,976       7,369,066  

Transurban Group

    1,112,890       10,770,602  
   

 

 

 
      53,133,861  
Water Utilities — 0.8%  

American Water Works Co., Inc.

    32,220       2,947,808  
   

 

 

 

Total Long-Term Investments — 98.4%
(Cost — $277,406,771)

 

    352,108,122  
   

 

 

 

Short-Term Securities — 1.8%

 

BlackRock Liquidity Funds, T-Fund, Institutional Class, 1.18%(c)(d)

    6,376,831       6,376,831  
   

 

 

 

Total Short-Term Securities — 1.8%
(Cost — $6,376,831)

 

    6,376,831  
   

 

 

 

Options Purchased — 0.0%
(Cost — $713)

 

    1,260  
   

 

 

 

Total Investments Before Options Written — 100.2%
(Cost — $283,784,315)

 

    358,486,213  
   

 

 

 

Options Written — (0.3)%
(Premiums Received — $1,899,469)

 

    (1,167,241
   

 

 

 

Total Investments, Net of Options Written — 99.9%
(Cost — $281,884,846)

 

    357,318,972  

Other Assets Less Liabilities — 0.1%

 

    457,485  
   

 

 

 

Net Assets — 100.0%

 

  $ 357,776,457  
   

 

 

 

 

(a)  All or a portion of security has been pledged and/or segregated as collateral in connection with outstanding exchange-traded options written.
(b)  All or a portion of the security has been pledged as collateral in connection with outstanding OTC derivatives.
(c)  Annualized 7-day yield as of period end.
 

 

 

84    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (continued)

December 31, 2017

  

BlackRock Utilities, Infrastructure & Power Opportunities Trust (BUI)

 

(d)  During the year ended December 31, 2017, investments in issuers considered to be affiliates of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate    Shares
Held at
12/31/16
     Net
Activity
     Shares
Held at

12/31/17
     Value at
12/31/17
     Income      Net
Realized
Gain 
(a)
     Change in
Unrealized
Appreciation
(Depreciation)
 

BlackRock Liquidity Funds, T-Fund, Institutional Class

     4,151,064        2,225,767        6,376,831      $ 6,376,831      $ 40,734      $ 14      $  

SL Liquidity Series, LLC, Money Market Series

     456,105        (456,105                    4,125 (b)              (45
           

 

 

    

 

 

    

 

 

    

 

 

 
   $ 6,376,831      $ 44,859      $ 14      $ (45
           

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a)  Includes net capital gain distributions, if applicable.  
  (b)  Represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities.  

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

Derivative Financial Instruments Outstanding as of Period End

Exchange-Traded Options Purchased

 

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

Call

                          

PPL Corp.

     168          01/19/18        USD     36.00        USD     520        $ 1,260  
                          

 

 

 

Exchange-Traded Options Written

 

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

Call

                          

Exelon Corp.

     387          01/04/18        USD     42.51        USD     1,525        $  

Enterprise Products Partners LP

     444          01/12/18        USD     26.35        USD     1,177          (19,944

American Electric Power Co., Inc.

     336          01/19/18        USD     77.50        USD     2,472          (2,520

Antero Midstream Partners LP

     132          01/19/18        USD     30.00        USD     383          (3,300

DTE Energy Co.

     63          01/19/18        USD     115.00        USD     690          (945

Dominion Energy, Inc.

     374          01/19/18        USD     85.00        USD     3,032          (2,805

Duke Energy Corp.

     308          01/19/18        USD     92.50        USD     2,591          (1,540

Duke Energy Corp.

     158          01/19/18        USD     90.00        USD     1,329          (790

EQT Midstream Partners LP

     97          01/19/18        USD     70.00        USD     709          (32,495

Enbridge, Inc.

     100          01/19/18        USD     37.50        USD     391          (17,750

Energy Transfer Partners LP

     370          01/19/18        USD     17.00        USD     663          (39,775

Energy Transfer Partners LP

     600          01/19/18        USD     18.00        USD     1,075          (24,000

Eversource Energy

     157          01/19/18        USD     65.00        USD     992          (2,355

Exelon Corp.

     168          01/19/18        USD     41.00        USD     662          (1,680

FirstEnergy Corp.

     440          01/19/18        USD     35.00        USD     1,347          (2,200

Genesis Energy LP

     194          01/19/18        USD     22.50        USD     434          (9,700

MPLX LP

     91          01/19/18        USD     37.00        USD     323          (1,820

MPLX LP

     137          01/19/18        USD     39.00        USD     486          (685

MPLX LP

     138          01/19/18        USD     38.00        USD     489          (1,380

NextEra Energy, Inc.

     780          01/19/18        USD     160.00        USD     12,183          (48,750

NiSource, Inc.

     100          01/19/18        USD     28.00        USD     257          (1,500

ONEOK, Inc.

     120          01/19/18        USD     55.00        USD     641          (3,000

PPL Corp.

     168          01/19/18        USD     37.00        USD     520          (840

Pinnacle West Capital Corp.

     163          01/19/18        USD     90.00        USD     1,388          (3,260

Plains All American Pipeline LP

     230          01/19/18        USD     21.00        USD     475          (8,050

Sempra Energy

     145          01/19/18        USD     120.00        USD     1,550          (725

Shell Midstream Partners LP

     673          01/19/18        USD     29.00        USD     2,007          (82,443

Targa Resources Corp.

     78          01/19/18        USD     47.00        USD     378          (15,990

TransCanada Corp.

     257          01/19/18        CAD     64.00        CAD     1,572          (818

WEC Energy Group, Inc.

     139          01/19/18        USD     70.00        USD     923          (1,390

ONEOK, Inc.

     124          01/26/18        USD     54.00        USD     663          (9,300

Enbridge, Inc.

     138          01/29/18        USD     39.10        USD     540          (9,923

 

 

SCHEDULES OF INVESTMENTS      85  


Schedule of Investments  (continued)

December 31, 2017

  

BlackRock Utilities, Infrastructure & Power Opportunities Trust (BUI)

 

Exchange-Traded Options Written (continued)

 

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

Call (continued)

                          

Fortis, Inc.

     250          01/29/18        USD     37.75        USD     917        $ (4,503

Enbridge, Inc.

     88          02/06/18        USD     39.26        USD     344          (6,507

Fortis, Inc.

     250          02/09/18        USD     37.50        USD     917          (19,135

NiSource, Inc.

     268          02/12/18        USD     27.05        USD     688          (3,038

Enterprise Products Partners LP

     156          02/16/18        USD     26.00        USD     414          (14,820

Exelon Corp.

     387          02/16/18        USD     40.00        USD     1,525          (27,090

NRG Yield, Inc., Class C

     168          02/16/18        USD     20.00        USD     318          (6,300

Pattern Energy Group, Inc.

     140          02/16/18        USD     22.50        USD     301          (4,900

Plains All American Pipeline LP

     455          02/16/18        USD     21.00        USD     939          (30,712

Targa Resources Corp.

     77          02/16/18        USD     47.00        USD     373          (19,442

Public Service Enterprise Group, Inc.

     94          02/20/18        USD     52.05        USD     484          (11,002
                          

 

 

 
     $ (499,122
                          

 

 

 

OTC Options Written

 

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

Call

 

CMS Energy Corp.

  Bank of America N.A.     36,300       01/04/18     USD     49.50     USD     1,717     $ (9

CMS Energy Corp.

  Credit Suisse International     8,300       01/04/18     USD     48.57     USD     393       (108

China Longyuan Power Group Corp., Class H

  JPMorgan Chase Bank N.A.     1,311,000       01/04/18     HKD     5.99     HKD     7,276       (119

NorthWestern Corp.

  UBS AG     7,900       01/04/18     USD     61.84     USD     472       (59

Sydney Airport

  Deutsche Bank AG     231,000       01/04/18     AUD     7.45     AUD     1,624       (7

Vestas Wind Systems A/S

  Morgan Stanley & Co. International PLC     33,000       01/04/18     DKK     411.77     DKK     14,149       (107,848

WEC Energy Group, Inc.

  Goldman Sachs International     10,600       01/08/18     USD     68.17     USD     704       (1,858

American Water Works Co., Inc.

  Barclays Bank PLC     11,200       01/09/18     USD     88.80     USD     1,025       (37,006

Enel SpA

  Goldman Sachs International     205,600       01/09/18     EUR     5.50     EUR     1,055       (86

Iberdrola SA

  UBS AG     34,500       01/09/18     EUR     6.81     EUR     223       (14

Public Service Enterprise Group, Inc.

  Deutsche Bank AG     26,000       01/09/18     USD     51.65     USD     1,339       (11,813

Eversource Energy

  Barclays Bank PLC     12,400       01/11/18     USD     65.09     USD     783       (719

Fraport AG Frankfurt Airport Services Worldwide

  Goldman Sachs International     8,200       01/11/18     EUR     83.98     EUR     751       (74,761

Groupe Eurotunnel SE, Registered Shares

  Morgan Stanley & Co. International PLC     51,600       01/11/18     EUR     11.19     EUR     553       (1,120

NiSource, Inc.

  UBS AG     9,700       01/11/18     USD     27.59     USD     249       (21

Vinci SA

  Deutsche Bank AG     20,100       01/11/18     EUR     85.98     EUR     1,710       (15,701

PPL Corp.

  Barclays Bank PLC     23,300       01/12/18     USD     36.26     USD     721        

Arlington Asset Investment Corp.

  Goldman Sachs International     15,300       01/17/18     EUR     107.18     EUR     1,603       (10,899

Atlantia SpA

  Goldman Sachs International     17,300       01/17/18     EUR     28.41     EUR     455       (48

Iberdrola SA

  Goldman Sachs International     36,000       01/17/18     EUR     6.81     EUR     232       (308

Italgas SpA

  Bank of America N.A.     60,100       01/17/18     EUR     5.44     EUR     306       (433

Transurban Group

  JPMorgan Chase Bank N.A.     100,674       01/17/18     AUD     12.53     AUD     1,248       (3,628

Atlantia SpA

  UBS AG     48,000       01/18/18     EUR     27.36     EUR     1,261       (3,120

Ferrovial SA

  UBS AG     43,300       01/18/18     EUR     18.93     EUR     819       (12,473

Aeroports de Paris

  Morgan Stanley & Co. International PLC     7,400       01/23/18     EUR     160.74     EUR     1,173       (13,314

Enel SpA

  UBS AG     317,000       01/24/18     EUR     5.39     EUR     1,626       (461

Ferrovial SA

  Goldman Sachs International     2,100       01/24/18     EUR     18.85     EUR     40       (867

Atlantia SpA

  Credit Suisse International     78,500       01/25/18     EUR     27.27     EUR     2,063       (8,721

China Longyuan Power Group Corp., Class H

  JPMorgan Chase Bank N.A.     1,265,000       01/25/18     HKD     5.99     HKD     7,021       (3,540

Flughafen Zuerich AG

  Morgan Stanley & Co. International PLC     4,300       01/25/18     CHF     226.55     CHF     958       (9,088

Sydney Airport

  Deutsche Bank AG     288,000       01/25/18     AUD     7.53     AUD     2,025       (1,123

Vinci SA

  Goldman Sachs International     4,600       01/25/18     EUR     86.66     EUR     391       (5,176

NorthWestern Corp.

  Citibank N.A.     8,000       01/29/18     USD     62.26     USD     478       (1,398

Dominion Energy, Inc.

  Citibank N.A.     37,400       01/30/18     USD     84.06     USD     3,032       (11,980

Sempra Energy

  Morgan Stanley & Co. International PLC     10,100       01/30/18     USD     116.30     USD     1,080       (1,210

DTE Energy Co.

  UBS AG     10,000       01/31/18     USD     116.89     USD     1,095       (735

FirstEnergy Corp.

  Citibank N.A.     13,500       01/31/18     USD     32.63     USD     413       (1,285

National Grid PLC

  UBS AG     97,000       01/31/18     GBP     9.03     GBP     847       (6,093

Transurban Group

  Citibank N.A.     145,373       01/31/18     AUD     12.56     AUD     1,803       (10,027

Xcel Energy, Inc.

  Barclays Bank PLC     25,000       01/31/18     USD     50.75     USD     1,203       (2,532

Groupe Eurotunnel SE, Registered Shares

  Credit Suisse International     53,300       02/01/18     EUR     10.77     EUR     571       (12,872

Italgas SpA

  Goldman Sachs International     58,000       02/01/18     EUR     5.30     EUR     295       (2,872

Ferrovial SA

  Goldman Sachs International     15,000       02/02/18     EUR     18.37     EUR     284       (12,226

Pattern Energy Group, Inc.

  Morgan Stanley & Co. International PLC     22,100       02/05/18     USD     22.29     USD     475       (7,304

China Longyuan Power Group Corp. Class H

  Goldman Sachs International     1,000,000       02/06/18     HKD     5.39     HKD     5,550       (33,524

Schneider Electric SE

  Goldman Sachs International     15,100       02/07/18     EUR     73.08     EUR     1,067       (13,145

 

 

86    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (continued)

December 31, 2017

  

BlackRock Utilities, Infrastructure & Power Opportunities Trust (BUI)

 

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

Call (continued)

 

Valeo SA

  Goldman Sachs International     18,100       02/07/18     EUR     62.65     EUR     1,124     $ (33,839

Enel SpA

  JPMorgan Chase Bank N.A.     200,200       02/09/18     EUR     5.42     EUR     1,027       (2,554

FirstEnergy Corp.

  Citibank N.A.     13,500       02/09/18     USD     32.63     USD     413       (1,326

Public Service Enterprise Group, Inc.

  Bank of America N.A.     48,400       02/12/18     USD     52.10     USD     2,493       (39,402

Italgas SpA

  Goldman Sachs International     90,000       02/15/18     EUR     5.26     EUR     458       (7,319

Antero Midstream Partners LP

  UBS AG     13,300       02/20/18     USD     29.95     USD     386       (7,212

National Grid PLC

  Credit Suisse International     106,000       02/21/18     GBP     8.93     GBP     925       (19,310

Arlington Asset Investment Corp.

  Goldman Sachs International     10,300       02/22/18     EUR     108.88     EUR     1,079       (15,328

Transurban Group

  Morgan Stanley & Co. International PLC     145,200       02/22/18     AUD     12.99     AUD     1,813       (9,426

NRG Yield, Inc., Class C

  Citibank N.A.     43,400       02/23/18     USD     19.00     USD     820       (34,454

Enel SpA

  Citibank N.A.     308,800       02/27/18     EUR     5.40     EUR     1,584       (10,272

National Grid PLC

  HSBC Bank PLC     97,000       02/27/18     GBP     8.80     GBP     847       (25,511

National Grid PLC

  Credit Suisse International     106,000       02/28/18     GBP     8.93     GBP     925       (20,515
               

 

 

 
  $ (668,119
 

 

 

 

Derivative Financial Instruments Categorized by Risk Exposure

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

 

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

Assets — Derivative Financial Instruments

                    

Options Purchased

                    

Investments at value — unaffiliated(a)

   $      $      $ 1,260      $      $      $      $ 1,260  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Liabilities — Derivative Financial Instruments

                    

Options written

                    

Options written, at value

   $      $      $ 1,167,241      $      $      $      $ 1,167,241  
     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a)  Includes options purchased at value as reported in the Schedule of Investments.  

For the year ended December 31, 2017, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

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

Net Realized Gain (Loss) from:

                                

Options written

   $        $        $ (8,159,169      $        $        $        $ (8,159,169
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 
Net Change in Unrealized Appreciation on:                                                             

Options purchased(a)

   $        $        $ 547        $        $        $        $ 547  

Options written

                       1,980,140                                     1,980,140  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 
   $        $        $ 1,980,687        $        $        $        $ 1,980,687  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a)  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 purchased

   $ 315  

Average value of option contracts written

   $ 1,874,845  

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

Derivative Financial Instruments — Offsetting as of Period End

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

 

      Assets      Liabilities  

Derivative Financial Instruments:

     

Options

   $ 1,260 (a)     $ 1,167,241  
  

 

 

    

 

 

 

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

     (1,260      (499,122
  

 

 

    

 

 

 

Total derivative assets and liabilities subject to an MNA

   $      $ 668,119  
  

 

 

    

 

 

 

 

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

 

 

SCHEDULES OF INVESTMENTS      87  


Schedule of Investments  (continued)

December 31, 2017

  

BlackRock Utilities, Infrastructure & Power Opportunities Trust (BUI)

 

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

 

Counterparty    Derivative
Liabilities
Subject to
an MNA by
Counterparty
       Derivatives
Available
for Offset
       Non-cash
Collateral
Pledged
 (a)
       Cash
Collateral
Pledged
       Net Amount
of Derivative
Liabilities
  (b)
 

Bank of America N.A.

   $ 39,844        $        $        $        $ 39,844  

Barclays Bank PLC

     40,257                   (2,325                 37,932  

Citibank N.A.

     70,742                   (70,742                  

Credit Suisse International

     61,526                   (61,526                  

Deutsche Bank AG

     28,644                   (28,644                  

Goldman Sachs International

     212,256                                     212,256  

HSBC Bank PLC

     25,511                                     25,511  

JPMorgan Chase Bank N.A.

     9,841                                     9,841  

Morgan Stanley & Co. International PLC

     149,310                   (149,310                  

UBS AG

     30,188                   (30,188                  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 
   $ 668,119        $        $ (342,735      $        $ 325,384  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a)  Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes.  
  (b)  Net amount represents the net amount payable due to 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:

                 

Common Stocks:

                 

Auto Components

   $        $ 3,862,347        $        $ 3,862,347  

Chemicals

              9,227,421                   9,227,421  

Construction & Engineering

              11,101,858                   11,101,858  

Electric Utilities

     97,048,093          19,686,408                   116,734,501  

Electrical Equipment

              10,168,305                   10,168,305  

Gas Utilities

              3,627,805                   3,627,805  

Independent Power and Renewable Electricity Producers

     21,130,555          7,255,564                   28,386,119  

Multi-Utilities

     56,397,343          13,679,688                   70,077,031  

Oil, Gas & Consumable Fuels

     42,841,066                            42,841,066  

Transportation Infrastructure

     3,858,072          49,275,789                   53,133,861  

Water Utilities

     2,947,808                            2,947,808  

Short-Term Securities

     6,376,831                            6,376,831  

Options Purchased

                 

Equity contracts

     1,260                            1,260  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 230,601,028        $ 127,885,185        $        $ 358,486,213  
  

 

 

      

 

 

      

 

 

      

 

 

 

Derivative Financial Instruments(a)

                 

Liabilities:

 

Equity contracts

   $ (425,070      $ (742,171      $        $ (1,167,241
  

 

 

      

 

 

      

 

 

      

 

 

 

 

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

During the year ended December 31, 2017, there were no transfers between levels.

See notes to financial statements.

 

 

88    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Statements of Assets and Liabilities

December 31, 2017

 

     BGR     CII     BDJ     BOE     BGY  

ASSETS

         

Investments at value — unaffiliated(a)

  $ 475,794,007     $ 765,561,671     $ 1,887,876,224     $ 903,219,444     $ 763,415,051  

Investments at value — affiliated(b)

    3,870,844       3,142,974       4,967,189       13,118,524       5,073,700  

Cash

                            20,583  

Cash pledged:

   

Collateral — OTC derivatives

          75,000       16,000       20,000       2,118,000  

Collateral — options written

                      2,970,000       2,350,000  

Foreign currency at value(c)

    13,853             2,441       701,381       645,900  

Receivables:

 

Dividends — unaffiliated

    387,847       619,875       2,173,807       3,182,638       2,372,439  

Dividends — affiliated

    4,064       4,203       5,206       37,019       3,871  

Investments sold

                232,571              

Options written

          62,757       43,230              

Prepaid expenses

    14,129       32,294       57,096       30,836       23,798  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total assets

    480,084,744       769,498,774       1,895,373,764       923,279,842       776,023,342  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

LIABILITIES

 

Bank overdraft

    11,776                          

Options written at value(d)

    7,819,321       9,801,813       23,250,161       7,060,260       4,547,581  

Payables:

 

Trustees’ and Officer’s fees

    515,910       199,405       995,019       747,470       645,277  

Investment advisory fees

    408,455       546,664       1,267,394       724,313       582,418  

Income dividends

    164,921       232,632       331,647       3,265,487       228,433  

Investments purchased

                572,705              

Deferred foreign capital gain tax

                      12,332       116,814  

Options written

          87,799       188,345              

Other affiliates

          76,934                    

Other accrued expenses

    102,435       153,258       311,388       243,123       224,733  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total liabilities

    9,022,818       11,098,505       26,916,659       12,052,985       6,345,256  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

NET ASSETS

  $ 471,061,926     $ 758,400,269     $ 1,868,457,105     $ 911,226,857     $ 769,678,086  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

NET ASSETS CONSIST OF

 

Paid-in capital

  $ 599,545,557     $ 601,583,666     $ 1,320,628,954     $ 831,421,885     $ 680,249,058  

Distribution in excess of net investment income

    (729,389     (189,571     (970,285     (732,747     (642,554

Accumulated net realized gain (loss)

    (173,190,707     (26,274,363     46,330,599       31,265,201       (39,387,447

Net unrealized appreciation (depreciation)

    45,436,465       183,280,537       502,467,837       49,272,518       129,459,029  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

NET ASSETS

  $ 471,061,926     $ 758,400,269     $ 1,868,457,105     $ 911,226,857     $ 769,678,086  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value(e)(f)

  $ 15.79     $ 17.19     $ 9.96     $ 13.22     $ 7.06  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

(a) Investments at cost — unaffiliated

  $ 426,013,729     $ 580,255,041     $ 1,381,304,314     $ 854,057,460     $ 635,480,353  

(b) Investments at cost — affiliated

  $ 3,870,844     $ 3,142,974     $ 4,967,189     $ 13,118,524     $ 5,073,700  

(c) Foreign currency at cost

  $ 13,852     $     $ 2,461     $ 702,740     $ 643,767  

(d) Premiums received

  $ 3,469,397     $ 7,775,720     $ 19,146,013     $ 7,137,230     $ 6,131,916  

(e) Shares outstanding, unlimited number of shares authorized, $0.001 par value

    29,825,326             187,542,405       68,911,795       109,049,017  

(f)  Shares outstanding, 200 million shares authorized, $0.10 par value

          44,121,400                    

See notes to financial statements.

 

 

FINANCIAL STATEMENTS      89  


 

Statements of Assets and Liabilities

December 31, 2017

 

     BME     BCX(a)     BST     BUI  

ASSETS

 

Investments at value — unaffiliated(b)(c)

  $ 319,796,500     $ 1,027,739,844     $ 617,320,470     $ 352,109,382  

Investments at value — affiliated(d)

    14,422,312       16,644,733       8,193,001       6,376,831  

Cash

          94,925              

Cash pledge as collateral for OTC derivatives

                2,520,000        

Foreign currency at value(e)

    959       11,224       651       60  

Receivables:

 

Dividends — unaffiliated

    241,894       1,943,711       110,520       874,977  

Dividends — affiliated

    13,400       15,512       4,810       5,193  

Capital shares sold

    45,574                    

Securities lending income — affiliated

    617       285       37,593        

Deferred offering costs

    81,342                    

Prepaid expenses

    10,177       30,783       19,266       18,644  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total assets

    334,612,775       1,046,481,017       628,206,311       359,385,087  
 

 

 

   

 

 

   

 

 

   

 

 

 

LIABILITIES

 

Cash collateral on securities loaned at value

    120,900       485,343       3,497,229        

Bank overdraft

    10,013                   104  

Options written at value(f)

    2,156,226       16,165,273       3,658,483       1,167,241  

Payables:

 

Trustees’ and Officer’s fees

    28,210       358,449       13,376       8,173  

Investment advisory fees

    280,960       846,609       420,821       297,675  

Income dividends

          207,186       145,380        

Capital shares redeemed

          711,229              

Other accrued expenses

    158,069       234,863       170,553       135,437  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total liabilities

    2,754,378       19,008,952       7,905,842       1,608,630  
 

 

 

   

 

 

   

 

 

   

 

 

 

NET ASSETS

  $ 331,858,397     $ 1,027,472,065     $ 620,300,469     $ 357,776,457  
 

 

 

   

 

 

   

 

 

   

 

 

 

NET ASSETS CONSIST OF

 

Paid-in capital

  $ 231,916,571     $ 1,281,284,703     $ 348,021,976     $ 281,633,102  

Undistributed (distribution in excess of) net investment income

    (61,330     (3,674,326     (1,852,285     3,097,658  

Accumulated net realized gain (loss)

    (3,495,689     (459,585,810     (5,400,506     (2,393,226

Net unrealized appreciation (depreciation)

    103,498,845       209,447,498       279,531,284       75,438,923  
 

 

 

   

 

 

   

 

 

   

 

 

 

NET ASSETS

  $ 331,858,397     $ 1,027,472,065     $ 620,300,469     $ 357,776,457  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value(g)

  $ 35.69     $ 10.64     $ 27.73     $ 21.12  
 

 

 

   

 

 

   

 

 

   

 

 

 

(a) Consolidated Statement of Assets and Liabilities

       

(b) Investments at cost — unaffiliated

  $ 216,503,461     $ 810,090,631     $ 340,036,553     $ 277,407,484  

(c) Securities loaned at value

  $ 117,552     $ 417,112     $ 3,327,927     $  

(d) Investments at cost — affiliated

  $ 14,422,319     $ 16,644,772     $ 8,193,170     $ 6,376,831  

(e) Foreign currency at cost

  $ 954     $ 11,224     $ 641     $ 77  

(f)  Premiums received

  $ 2,360,513     $ 7,955,422     $ 5,905,408     $ 1,899,469  

(g) Shares outstanding, unlimited number of shares authorized, $0.001 par value

    9,297,560       96,545,693       22,371,225       16,940,740  

See notes to financial statements.

 

 

90    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Statements of Operations

Year Ended December 31, 2017

 

     BGR     CII     BDJ     BOE     BGY  

INVESTMENT INCOME

 

Dividends — unaffiliated

  $ 17,917,203 (a)    $ 13,305,392     $ 47,725,879     $ 22,556,710     $ 18,527,722  

Dividends — affiliated

    47,600       70,831       62,478       183,205       151,805  

Securities lending income — affiliated — net

    22,641       1,191       1,511       32,561       501  

Foreign taxes withheld

    (707,246     (136,182     (1,403,121     (1,086,271     (1,494,025
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total investment income

    17,280,198       13,241,232       46,386,747       21,686,205       17,186,003  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

EXPENSES

 

Investment advisory

    5,356,386       6,030,181       14,320,409       9,802,652       7,389,878  

Trustees and Officer

    99,117       89,108       266,893       172,948       129,346  

Transfer agent

    90,394       88,165       198,271       149,798       136,350  

Professional

    85,501       121,291       235,279       182,906       176,004  

Custodian

    58,189       77,667       152,796       185,780       185,289  

Accounting services

    26,253       125,270       63,761       37,508       29,994  

Printing

    12,354       16,748       40,031       25,680       17,569  

Registration

    11,482       16,986       72,749       29,208       44,802  

Miscellaneous

    85,678       40,716       100,100       136,830       173,185  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

    5,825,354       6,606,132       15,450,289       10,723,310       8,282,417  

Less:

         

Fees waived and/or reimbursed by the Manager

    (561,185     (8,615     (5,748     (765,350     (754,134

Fees paid indirectly

          (194                  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses after fees waived and/or reimbursed and paid indirectly

    5,264,169       6,597,323       15,444,541       9,957,960       7,528,283  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

    12,016,029       6,643,909       30,942,206       11,728,245       9,657,720  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

REALIZED AND UNREALIZED GAIN (LOSS)

 

Net realized gain (loss) from:

 

Investments — unaffiliated

    (4,467,446     39,107,851       240,116,252       205,061,533 (b)      38,340,786 (b) 

Investments — affiliated

                      (435,777      

Payments by affiliates(c)

                      393,604       259,510  

Futures contracts

          529,712             39,453       344,941  

Forward foreign currency exchange contracts

                            (2

Foreign currency transactions

    42,607       (4,348     257,799       98,067       204,313  

Capital gain distributions from investment companies — affiliated

    20       15       5       40       8  

Options written

    4,664,828       (29,050,406     (48,982,857     (16,217,732     (18,296,413
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
    240,009       10,582,824       191,391,199       188,939,188       20,853,143  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net change in unrealized appreciation (depreciation) on:

         

Investments — unaffiliated

    2,512,163       119,652,994       17,666,152       (53,930,311 )(d)      100,705,701 (d) 

Investments — affiliated

          (54                  

Futures contracts

          128,627                    

Foreign currency translations

    5,277       7,359       3,367       72,395       240,642  

Options written

    (3,002,178     64,186       4,437,837       (320,630     3,203,425  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
    (484,738     119,853,112       22,107,356       (54,178,546     104,149,768  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

    (244,729     130,435,936       213,498,555       134,760,642       125,002,911  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS

  $ 11,771,300     $ 137,079,845     $ 244,440,761     $ 146,488,887     $ 134,660,631  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

(a)  Includes non-recurring dividends in the amount of $4,434,500.
(b)  Including $(497,186) and $(287,450) realized foreign capital gain tax, respectively.
(c)  See Note 6 of the Notes to Financial Statements.
(d)  Including $(12,332) and $(116,814) unrealized foreign capital gain tax.

See notes to financial statements.

 

 

FINANCIAL STATEMENTS      91  


 

Statements of Operations

Year Ended December 31, 2017

 

     BME     BCX(a)     BST     BUI  

INVESTMENT INCOME

 

Dividends — unaffiliated

  $ 3,603,766     $ 31,494,387 (b)    $ 3,931,249     $ 13,923,870  

Dividends — affiliated

    78,743       110,231       20,324       40,734  

Securities lending income — affiliated — net

    2,206       119,242       106,473       4,125  

Foreign taxes withheld

    (13,262     (1,471,626     (236,083     (648,277
 

 

 

   

 

 

   

 

 

   

 

 

 

Total investment income

    3,671,453       30,252,234       3,821,963       13,320,452  
 

 

 

   

 

 

   

 

 

   

 

 

 

EXPENSES

 

Investment advisory

    3,108,619       9,648,498       5,511,597       3,511,724  

Trustees and Officer

    32,942       128,998       52,352       33,942  

Transfer agent

    55,823       119,785       69,807       62,734  

Professional

    167,090       148,180       103,924       93,607  

Custodian

    68,992       105,389       117,786       59,376  

Accounting services

    14,997       37,508       29,994       29,994  

Printing

    6,856       19,344       13,999       9,500  

Registration

    9,390       38,135       10,903       9,390  

Miscellaneous

    29,778       185,162       89,306       74,124  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

    3,494,487       10,430,999       5,999,668       3,884,391  

Less:

       

Fees waived and/or reimbursed by the Manager

    (7,086     (10,076     (1,104,059     (48,860

Fees paid indirectly

          (294            
 

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses after fees waived and/or reimbursed and paid indirectly

    3,487,401       10,420,629       4,895,609       3,835,531  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

    184,052       19,831,605       (1,073,646     9,484,921  
 

 

 

   

 

 

   

 

 

   

 

 

 

REALIZED AND UNREALIZED GAIN (LOSS)

 

Net realized gain (loss) from:

 

Investments — unaffiliated

    22,476,941       45,266,834       52,815,025       28,697,257  

Investments — affiliated

    (1     2,679       (463      

Foreign currency transactions

    8,698       205,278       (14,670     56,788  

Capital gain distributions from investment companies — affiliated

    63       70       15       14  

Options written

    (6,195,446     (4,875,332     (34,519,295     (8,159,169
 

 

 

   

 

 

   

 

 

   

 

 

 
    16,290,255       40,599,529       18,280,612       20,594,890  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net change in unrealized appreciation (depreciation) on:

       

Investments — unaffiliated

    44,154,778       79,509,561       180,566,683       21,263,603  

Investments — affiliated

    (7     (243     (181     (45

Foreign currency translations

    7,399       24,727       2,369       15,618  

Options written

    (296,943     (8,239,922     1,560,649       1,980,140  
 

 

 

   

 

 

   

 

 

   

 

 

 
    43,865,227       71,294,123       182,129,520       23,259,316  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

    60,155,482       111,893,652       200,410,132       43,854,206  
 

 

 

   

 

 

   

 

 

   

 

 

 

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS

  $ 60,339,534     $ 131,725,257     $ 199,336,486     $ 53,339,127  
 

 

 

   

 

 

   

 

 

   

 

 

 

 

(a)  Consolidated Statement of Operations.
(b)  Includes non-recurring dividends in the amount of $3,741,098.

See notes to financial statements.

 

 

92    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Statements of Changes in Net Assets

 

    BGR           CII  
    Year Ended December 31,           Year Ended December 31,  
     2017    

2016

          

2017

    2016  

INCREASE (DECREASE) IN NET ASSETS

         

OPERATIONS

         

Net investment income

  $ 12,016,029     $ 7,978,227       $ 6,643,909     $ 5,642,071  

Net realized gain (loss)

    240,009       (60,522,458       10,582,824       (32,972,835

Net change in unrealized appreciation (depreciation)

    (484,738     150,332,728         119,853,112       76,667,146  
 

 

 

   

 

 

     

 

 

   

 

 

 

Net increase in net assets resulting from operations

    11,771,300       97,788,497         137,079,845       49,336,382  
 

 

 

   

 

 

     

 

 

   

 

 

 

DISTRIBUTIONS TO SHAREHOLDERS(a)

 

       

From net investment income

    (12,093,542     (7,985,951       (6,682,172     (5,818,337

From net realized gain

                        (1,682,938

From return of capital

    (15,679,802     (21,720,074       (37,156,851     (43,167,741
 

 

 

   

 

 

     

 

 

   

 

 

 

Decrease in net assets resulting from distributions to shareholders

    (27,773,344     (29,706,025       (43,839,023     (50,669,016
 

 

 

   

 

 

     

 

 

   

 

 

 

NET ASSETS

 

       

Total increase (decrease) in net assets

    (16,002,044     68,082,472         93,240,822       (1,332,634

Beginning of year

    487,063,970       418,981,498         665,159,447       666,492,081  
 

 

 

   

 

 

     

 

 

   

 

 

 

End of year

  $ 471,061,926     $ 487,063,970       $ 758,400,269     $ 665,159,447  
 

 

 

   

 

 

     

 

 

   

 

 

 

Distributions in excess of net investment income, end of year

  $ (729,389   $ (694,483     $ (189,571   $ (146,960
 

 

 

   

 

 

     

 

 

   

 

 

 

 

(a)  Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

See notes to financial statements.

 

 

FINANCIAL STATEMENTS      93  


Statements of Changes in Net Assets

 

    BDJ           BOE  
    Year Ended December 31,           Year Ended December 31,  
     2017     2016            2017     2016  

INCREASE (DECREASE) IN NET ASSETS

         

OPERATIONS

 

     

Net investment income

  $ 30,942,206     $ 31,327,974       $ 11,728,245     $ 10,693,453  

Net realized gain

    191,391,199       2,723,838         188,939,188       1,106,819  

Net change in unrealized appreciation (depreciation)

    22,107,356       169,992,388         (54,178,546     736,223  
 

 

 

   

 

 

     

 

 

   

 

 

 

Net increase in net assets resulting from operations

    244,440,761       204,044,200         146,488,887       12,536,495  
 

 

 

   

 

 

     

 

 

   

 

 

 

DISTRIBUTIONS TO SHAREHOLDERS(a)

 

     

From net investment income

    (31,328,211     (31,386,331       (12,416,010     (6,886,585

From net realized gain

    (74,032,175             (145,314,426      

From return of capital

          (74,517,121             (66,070,734
 

 

 

   

 

 

     

 

 

   

 

 

 

Decrease in net assets resulting from distributions to shareholders

    (105,360,386     (105,903,452       (157,730,436     (72,957,319
 

 

 

   

 

 

     

 

 

   

 

 

 

CAPITAL SHARE TRANSACTIONS

 

     

Redemption of shares resulting from share repurchase program (including transaction costs)

    (12,272,105             (7,428,758      
 

 

 

   

 

 

     

 

 

   

 

 

 

NET ASSETS

 

     

Total increase (decrease) in net assets

    126,808,270       98,140,748         (18,670,307     (60,420,824

Beginning of year

    1,741,648,835       1,643,508,087         929,897,164       990,317,988  
 

 

 

   

 

 

     

 

 

   

 

 

 

End of year

  $ 1,868,457,105     $ 1,741,648,835       $ 911,226,857     $ 929,897,164  
 

 

 

   

 

 

     

 

 

   

 

 

 

Distributions in excess of net investment income, end of year

  $ (970,285   $ (842,079     $ (732,747   $ (2,475,540
 

 

 

   

 

 

     

 

 

   

 

 

 

 

(a)  Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

See notes to financial statements.

 

 

94    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Statements of Changes in Net Assets

 

    BGY           BME  
    Year Ended December 31,           Year Ended December 31,  
     2017     2016            2017     2016  

INCREASE (DECREASE) IN NET ASSETS

 

     

OPERATIONS

 

     

Net investment income

  $ 9,657,720     $ 10,009,256       $ 184,052     $ 188,536  

Net realized gain (loss)

    20,853,143       (27,155,470       16,290,255       22,476,669  

Net change in unrealized appreciation (depreciation)

    104,149,768       1,033,807         43,865,227       (38,933,668
 

 

 

   

 

 

     

 

 

   

 

 

 

Net increase (decrease) in net assets resulting from operations

    134,660,631       (16,112,407       60,339,534       (16,268,463
 

 

 

   

 

 

     

 

 

   

 

 

 

DISTRIBUTIONS TO SHAREHOLDERS(a)

 

     

From net investment income

    (9,780,974     (7,270,081       (355,707     (246,021

From net realized gain

                  (19,026,099      

From return of capital

    (40,102,438     (50,144,321       (2,234,310     (24,902,380
 

 

 

   

 

 

     

 

 

   

 

 

 

Decrease in net assets resulting from distributions to shareholders

    (49,883,412     (57,414,402       (21,616,116     (25,148,401
 

 

 

   

 

 

     

 

 

   

 

 

 

CAPITAL SHARE TRANSACTIONS

 

     

Proceeds from the issuance of shares (including deferred offering costs)

                  20,787,792       12,480,900  

Reinvestment of distributions

                  1,653,765       2,099,426  

Redemption of shares resulting from share repurchase program (including transaction costs)

    (5,726,813                    
 

 

 

   

 

 

     

 

 

   

 

 

 

Net increase in net assets derived from capital share transactions

    (5,726,813             22,441,557       14,580,326  
 

 

 

   

 

 

     

 

 

   

 

 

 

NET ASSETS

 

     

Total increase (decrease) in net assets

    79,050,406       (73,526,809       61,164,975       (26,836,538

Beginning of year

    690,627,680       764,154,489         270,693,422       297,529,960  
 

 

 

   

 

 

     

 

 

   

 

 

 

End of year

  $ 769,678,086     $ 690,627,680       $ 331,858,397     $ 270,693,422  
 

 

 

   

 

 

     

 

 

   

 

 

 

Undistributed (distributions in excess of) net investment income, end of year

  $ (642,554   $ (2,275,343     $ (61,330   $ 29,892  
 

 

 

   

 

 

     

 

 

   

 

 

 

 

(a)  Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

See notes to financial statements.

 

 

FINANCIAL STATEMENTS      95  


Statements of Changes in Net Assets

 

    BCX(a)           BST  
    Year Ended December 31,           Year Ended December 31,  
     2017     2016            2017     2016  

INCREASE (DECREASE) IN NET ASSETS

         

OPERATIONS

 

Net investment income (loss)

  $ 19,831,605     $ 14,324,338       $ (1,073,646   $ 87,693  

Net realized gain (loss)

    40,599,529       (96,213,834       18,280,612       8,440,729  

Net change in unrealized appreciation (depreciation)

    71,294,123       288,906,209         182,129,520       27,446,824  
 

 

 

   

 

 

     

 

 

   

 

 

 

Net increase in net assets resulting from operations

    131,725,257       207,016,713         199,336,486       35,975,246  
 

 

 

   

 

 

     

 

 

   

 

 

 

DISTRIBUTIONS TO SHAREHOLDERS(b)

 

From net investment income

    (23,004,937     (14,753,944       (1,173,241      

From net realized gain

                  (4,969,225      

From return of capital

    (36,309,489     (42,403,551       (22,536,962     (27,009,110
 

 

 

   

 

 

     

 

 

   

 

 

 

Decrease in net assets resulting from distributions to shareholders

    (59,314,426     (57,157,495       (28,679,428     (27,009,110
 

 

 

   

 

 

     

 

 

   

 

 

 

CAPITAL SHARE TRANSACTIONS

 

Redemption of shares resulting from share repurchase program (including transaction costs)

    (21,837,878             (2,799,570      
 

 

 

   

 

 

     

 

 

   

 

 

 

NET ASSETS

 

Total increase in net assets

    50,572,953       149,859,218         167,857,488       8,966,136  

Beginning of year

    976,899,112       827,039,894         452,442,981       443,476,845  
 

 

 

   

 

 

     

 

 

   

 

 

 

End of year

  $ 1,027,472,065     $ 976,899,112       $ 620,300,469     $ 452,442,981  
 

 

 

   

 

 

     

 

 

   

 

 

 

Undistributed (distributions in excess of) net investment income, end of year

  $ (3,674,326   $ (728,229     $ (1,852,285   $ 1,662  
 

 

 

   

 

 

     

 

 

   

 

 

 

 

(a)  Consolidated Statement of Changes in Net Assets.
(b)  Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

See notes to financial statements.

 

 

96    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Statements of Changes in Net Assets

 

    BUI  
    Year Ended December 31,  
     2017     2016  

INCREASE (DECREASE) IN NET ASSETS

   

OPERATIONS

 

Net investment income

  $ 9,484,921     $ 9,499,403  

Net realized gain

    20,594,890       9,172,917  

Net change in unrealized appreciation (depreciation)

    23,259,316       4,426,142  
 

 

 

   

 

 

 

Net increase in net assets resulting from operations

    53,339,127       23,098,462  
 

 

 

   

 

 

 

DISTRIBUTIONS TO SHAREHOLDERS(a)

 

From net investment income

    (7,954,054     (8,366,572

From net realized gain

    (16,614,050     (8,911,166

From return of capital

          (7,271,174
 

 

 

   

 

 

 

Decrease in net assets resulting from distributions to shareholders

    (24,568,104     (24,548,912
 

 

 

   

 

 

 

CAPITAL SHARE TRANSACTIONS

 

Reinvestment of distributions

    708,672        
 

 

 

   

 

 

 

NET ASSETS

 

Total increase (decrease) in net assets

    29,479,695       (1,450,450

Beginning of year

    328,296,762       329,747,212  
 

 

 

   

 

 

 

End of year

  $ 357,776,457     $ 328,296,762  
 

 

 

   

 

 

 

Undistributed net investment income, end of year

  $ 3,097,658     $ 2,439,628  
 

 

 

   

 

 

 

(a) Distributions for annual periods determined in accordance with U.S federal income tax regulations.

See notes to financial statements.

 

 

FINANCIAL STATEMENTS      97  


 

Statements of Cash Flows

Year Ended December 31, 2017

 

     BGR     CII     BDJ     BOE     BGY  

CASH PROVIDED BY OPERATING ACTIVITIES

 

Net increase in net assets resulting from operations

  $ 11,771,300     $ 137,079,845     $ 244,440,761     $ 146,488,887     $ 134,660,631  

Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by (used for) operating activities:

         

Proceeds from sales of long-term investments

    120,468,560       263,395,171       893,598,859       1,451,739,115       686,229,951  

Purchases of long-term investments

    (108,104,904     (220,394,943     (756,430,126     (1,280,483,849     (646,138,681

Net (purchases) sales of short-term securities

    65,773       22,499,872       (1,336,717     (1,255,408     17,567,700  

Premiums received from options written

    25,674,339       62,003,477       140,894,530       65,752,777       48,962,849  

Premiums paid on closing options written

    (22,339,549     (91,276,263     (191,283,439     (83,850,802     (67,742,281

Net realized gain on investments and options written

    (197,408     (10,028,805     (191,249,931     (188,751,939     (20,421,308

Net unrealized gain (loss) on investments, options written and foreign currency translations

    490,015       (119,717,126     (22,103,989     54,189,503       (104,025,940
(Increase) Decrease in Assets:  

Cash pledged:

   

Collateral for OTC derivatives

          345,000       77,000       520,000       349,000  

Collateral for options written

                      (583,875     (309,220

Futures contracts

          499,000                    

Receivables:

         

Dividends — affiliated

    (3,214     1,158       (4,322     (32,659     3,555  

Dividends — unaffiliated

    41,375       115,738       902,893       (1,995,269     (1,324,755

Securities lending income — affiliated

    482       174       2              

Prepaid expenses

    (14,129     (32,294     (57,096     (30,836     (23,798

Other assets

    11,109       15,744       40,347       35,469       17,566  
Increase (Decrease) in Liabilities:  

Collateral on securities loaned at value

          (695,531                  

Payables:

   

Investment advisory fees

    (45,938     67,415       84,296       (25,585     57,918  

Trustees’ and Officers’ fees

    50,864       36,423       117,483       80,277       54,078  

Deferred foreign capital gain tax

                      12,332       116,814  

Other affiliates

          76,934                    

Other accrued expenses

    (85,475     (89,165     (41,974     (71,257     (65,860

Variation margin on futures contracts

          (45,938              
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net cash provided by operating activities

    27,783,200       43,855,886       117,648,577       161,736,881       47,968,219  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

CASH USED FOR FINANCING ACTIVITIES

 

Cash dividends paid to Shareholders

    (27,802,368     (43,850,308     (105,392,570     (154,689,441     (49,901,601

Cash payments for offering costs

                             

Proceeds from issuance of Shares

                             

Payments on redemption of Shares

                (12,272,105     (7,428,758     (5,726,813

Increase (decrease) in bank overdraft

    11,776       (14,720           (7,365      
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net cash used for financing activities

    (27,790,592     (43,865,028     (117,664,675     (162,125,564     (55,628,414
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

CASH IMPACT FROM FOREIGN EXCHANGE FLUCTUATIONS

 

Cash impact from foreign exchange fluctuations

  $ 29     $ 7,359     $ 12     $ 692     $ 30,093  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

CASH

 

Net increase (decrease) in cash and foreign currency

    (7,363     (1,783     (16,086     (387,991     (7,630,102

Cash and foreign currency at beginning of year

    21,216       1,783       18,527       1,089,372       8,296,585  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Cash and foreign currency at end of year

  $ 13,853     $     $ 2,441     $ 701,381     $ 666,483  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

See notes to financial statements.

 

 

98    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Statements of Cash Flows

Year Ended December 31, 2017

 

     BME     BCX(a)     BST     BUI  

CASH PROVIDED BY (USED FOR) OPERATING ACTIVITIES

 

Net increase in net assets resulting from operations

  $ 60,339,534     $ 131,725,257     $ 199,336,486     $ 53,339,127  

Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by (used for) operating activities:

       

Proceeds from sales of long-term investments

    123,344,112       775,071,604       293,098,375       134,205,334  

Purchases of long-term investments

    (114,570,132     (704,351,251     (225,020,796     (108,618,851

Net (purchases) sales of short-term securities

    (5,683,450     (103,984     (5,162,140     (1,769,661

Premiums received from options written

    19,550,732       63,562,039       46,943,021       16,232,403  

Premiums paid on closing options written

    (25,780,538     (70,358,112     (79,531,856     (25,087,339

Net realized gain on investments and options written

    (14,659,251     (40,592,906     (18,282,018     (20,530,669

Net unrealized gain (loss) on investments, options written and foreign currency translations

    (43,857,828     (71,269,396     (182,128,919     (23,254,502
(Increase) Decrease in Assets:  

Cash pledged:

       

Collateral for OTC derivatives

                (1,460,000      

Collateral for options written

                159,285        

Receivables:

 

Dividends — affiliated

    (11,325     (13,050     (4,299     (4,660

Dividends — unaffiliated

    7,977       51,015       28,540       (26,802

Securities lending income — affiliated

    169       8,217       (34,915     1,966  

Prepaid expenses

    (10,177     (30,783     (19,266     (18,644

Other assets

    92,178       23,964       12,899       8,271  
Increase (Decrease) in Liabilities:  

Collateral on securities loaned at value

    (6,001     (3,449,585     3,368,399       (456,046

Payables:

       

Investment advisory fees

    50,956       21,680       113,568       23,493  

Trustees’ and Officer’s fees

    582       13,187       (3,367     (2,900

Other accrued expenses

    22,724       (100,067     (76,091     (65,418
 

 

 

   

 

 

   

 

 

   

 

 

 

Net cash provided by (used for) operating activities

    (1,169,738     80,207,829       31,336,906       23,975,102  
 

 

 

   

 

 

   

 

 

   

 

 

 

CASH PROVIDED BY (USED FOR) FINANCING ACTIVITIES

 

Cash dividends paid to Shareholders

    (19,962,351     (59,515,625     (28,634,651     (24,000,763

Amortization of deferred offering costs

    (57,535                  

Proceeds from issuance of Shares

    20,971,385                    

Payments on redemption of Shares

          (21,126,649     (2,799,570      

Increase in bank overdraft

    10,013       (48,722           104  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net cash provided by (used for) financing activities

    961,512       (80,690,996     (31,434,221     (24,000,659
 

 

 

   

 

 

   

 

 

   

 

 

 

CASH IMPACT FROM FOREIGN EXCHANGE FLUCTUATIONS

 

Cash impact from foreign exchange fluctuations

  $ 328     $ 2,933     $ 2,132     $ (22
 

 

 

   

 

 

   

 

 

   

 

 

 

CASH

 

Net increase (decrease) in cash and foreign currency

    (207,898     (480,234     (95,183     (25,579

Cash and foreign currency at beginning of year

    208,857       586,383       95,834       25,639  
 

 

 

   

 

 

   

 

 

   

 

 

 

Cash and foreign currency at end of year

  $ 959     $ 106,149     $ 651     $ 60  
 

 

 

   

 

 

   

 

 

   

 

 

 

CASH FLOW INFORMATION

 

Cash paid during the period for interest

  $ 57,535                    
 

 

 

   

 

 

   

 

 

   

 

 

 

NON-CASH FINANCING ACTIVITIES

 

Capital shares issued in reinvestment of distributions paid to Shareholders

  $ 1,653,765                   708,672  
 

 

 

   

 

 

   

 

 

   

 

 

 

 

(a)  Consolidated Statement of Cash Flows.

See notes to financial statements.

 

 

FINANCIAL STATEMENTS      99  


Financial Highlights

(For a share outstanding throughout each period)

 

    BGR  
    Year Ended December 31,      Period
11/01/14 to
12/31/14
    Year Ended October 31,  
    2017     2016      2015        2014      2013  

Net asset value, beginning of period

  $ 16.33     $ 14.05      $ 21.15      $ 24.90     $ 30.12      $ 25.95  
 

 

 

   

 

 

    

 

 

    

 

 

   

 

 

    

 

 

 

Net investment income(a)

    0.40 (b)      0.27        0.29        0.07       0.25        0.12  

Net realized and unrealized gain (loss)

    (0.01     3.01        (5.89      (2.41     (1.21      5.67  
 

 

 

   

 

 

    

 

 

    

 

 

   

 

 

    

 

 

 

Net increase (decrease) from investment operations

    0.39       3.28        (5.60      (2.34     (0.96      5.79  
 

 

 

   

 

 

    

 

 

    

 

 

   

 

 

    

 

 

 
Distributions:(c)      

From net investment income

    (0.40     (0.27      (0.29      (0.47     (0.44       

From net realized gain

                        (0.94     (3.82      (1.62

From return of capital

    (0.53     (0.73      (1.21                    
 

 

 

   

 

 

    

 

 

    

 

 

   

 

 

    

 

 

 

Total distributions

    (0.93     (1.00      (1.50      (1.41     (4.26      (1.62
 

 

 

   

 

 

    

 

 

    

 

 

   

 

 

    

 

 

 

Net asset value, end of period

  $ 15.79     $ 16.33      $ 14.05      $ 21.15     $ 24.90      $ 30.12  
 

 

 

   

 

 

    

 

 

    

 

 

   

 

 

    

 

 

 

Market price, end of period

  $ 14.18     $ 14.44      $ 12.53      $ 19.95     $ 23.78      $ 26.82  
 

 

 

   

 

 

    

 

 

    

 

 

   

 

 

    

 

 

 

Total Return(d)

 

Based on net asset value

    3.49     25.07      (27.47 )%       (9.06 )%(e)      (2.36 )%       23.68
 

 

 

   

 

 

    

 

 

    

 

 

   

 

 

    

 

 

 

Based on market price

    5.11     24.01      (31.42 )%       (10.18 )%(e)      4.73      17.70
 

 

 

   

 

 

    

 

 

    

 

 

   

 

 

    

 

 

 

Ratios to Average Net Assets

 

Total expenses

    1.31     1.31      1.29      1.30 %(f)      1.26      1.26
 

 

 

   

 

 

    

 

 

    

 

 

   

 

 

    

 

 

 

Total expenses after fees waived and/or reimbursed

    1.18     1.24      1.26      1.26 %(f)      1.26      1.25
 

 

 

   

 

 

    

 

 

    

 

 

   

 

 

    

 

 

 

Net investment income

    2.69 %(b)      1.80      1.60      1.82 %(f)      0.89      0.42
 

 

 

   

 

 

    

 

 

    

 

 

   

 

 

    

 

 

 

Supplemental Data

 

Net assets, end of period (000)

  $ 471,062     $ 487,064      $ 418,981      $ 629,603     $ 741,109      $ 896,635  
 

 

 

   

 

 

    

 

 

    

 

 

   

 

 

    

 

 

 

Portfolio turnover rate

    24     33      56      4     85      132
 

 

 

   

 

 

    

 

 

    

 

 

   

 

 

    

 

 

 

 

(a)  Based on average shares outstanding.
(b)  Net investment income per share and the ratio of net investment income to average net assets include $0.15 per share and 0.99%, respectively, resulting from a special dividend from Baker Hughes, Inc. in July 2017.
(c)  Distributions for annual periods determined in accordance with U.S. federal income tax regulations.
(d)  Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices.
(e)  Aggregate total return.
(f)  Annualized.

See notes to financial statements.

 

 

100    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Financial Highlights

(For a share outstanding throughout each period)

 

    CII  
    Year Ended December 31,       

 

    Period
11/01/14 to
12/31/14
    Year Ended October 31,  
    2017      2016      2015          2014      2013  

Net asset value, beginning of period

  $ 15.08      $ 15.11      $ 15.67              $ 15.47     $ 15.31      $ 14.11  
 

 

 

    

 

 

    

 

 

      

 

 

   

 

 

    

 

 

 

Net investment income(a)

    0.15        0.13        0.11          0.04       0.55        0.31  

Net realized and unrealized gain

    2.95        0.99        0.53          0.36       0.91        2.09  
 

 

 

    

 

 

    

 

 

      

 

 

   

 

 

    

 

 

 

Net increase from investment operations

    3.10        1.12        0.64          0.40       1.46        2.40  
 

 

 

    

 

 

    

 

 

      

 

 

   

 

 

    

 

 

 
Distributions:(b)                                              

From net investment income

    (0.15      (0.13      (0.14        (0.10     (0.65      (0.32

In excess of net investment income(c)

                                         

From net realized gain

           (0.04      (1.06                      

From return of capital

    (0.84      (0.98               (0.10     (0.65      (0.88
 

 

 

    

 

 

    

 

 

      

 

 

   

 

 

    

 

 

 

Total distributions

    (0.99      (1.15      (1.20        (0.20     (1.30      (1.20
 

 

 

    

 

 

    

 

 

      

 

 

   

 

 

    

 

 

 

Net asset value, end of period

  $ 17.19      $ 15.08      $ 15.11        $ 15.67     $ 15.47      $ 15.31  
 

 

 

    

 

 

    

 

 

      

 

 

   

 

 

    

 

 

 

Market price, end of period

  $ 16.38      $ 13.71      $ 14.14        $ 13.97     $ 14.89      $ 13.52  
 

 

 

    

 

 

    

 

 

      

 

 

   

 

 

    

 

 

 

Total Return(d)

 

Based on net asset value

    21.69      8.66      4.66        2.69 %(e)      10.49      18.97
 

 

 

    

 

 

    

 

 

      

 

 

   

 

 

    

 

 

 

Based on market price

    27.54      5.56      9.86        (4.88 )%(e)      20.43      14.11
 

 

 

    

 

 

    

 

 

      

 

 

   

 

 

    

 

 

 

Ratios to Average Net Assets

 

Total expenses

    0.93      0.95      0.94        0.99 %(f)      0.93      0.93
 

 

 

    

 

 

    

 

 

      

 

 

   

 

 

    

 

 

 

Total expenses after fees waived and/or reimbursed and paid indirectly

    0.93      0.95      0.94        0.95 %(f)      0.93      0.93
 

 

 

    

 

 

    

 

 

      

 

 

   

 

 

    

 

 

 

Net investment income

    0.94      0.89      0.71        1.42 %(f)      3.56      2.15
 

 

 

    

 

 

    

 

 

      

 

 

   

 

 

    

 

 

 

Supplemental Data

 

Net assets, end of period (000)

  $ 758,400      $ 665,159      $ 666,492        $ 691,380     $ 682,485      $ 675,472  
 

 

 

    

 

 

    

 

 

      

 

 

   

 

 

    

 

 

 

Portfolio turnover rate

    32      54      133        2     80      218
 

 

 

    

 

 

    

 

 

      

 

 

   

 

 

    

 

 

 

 

(a)  Based on average shares outstanding.
(b)  Distributions for annual periods determined in accordance with U.S. federal income tax regulations.
(c)  Taxable distribution.
(d)  Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices.
(e)  Aggregate total return.
(f)  Annualized.

See notes to financial statements.

 

 

FINANCIAL HIGHLIGHTS      101  


Financial Highlights

(For a share outstanding throughout each period)

 

    BDJ  
    Year Ended December 31,           Period
11/01/14 to
12/31/14
    Year Ended October 31,  
    2017      2016      2015             2014     2013  

Net asset value, beginning of period

  $ 9.22      $ 8.70      $ 9.24             $ 9.19     $ 8.88     $ 8.30  
 

 

 

    

 

 

    

 

 

     

 

 

   

 

 

   

 

 

 

Net investment income(a)

    0.16        0.17        0.17         0.04       0.16       0.18  

Net realized and unrealized gain (loss)

    1.14        0.91        (0.15       0.10       0.76       0.96  
 

 

 

    

 

 

    

 

 

     

 

 

   

 

 

   

 

 

 

Net increase from investment operations

    1.30        1.08        0.02         0.14       0.92       1.14  
 

 

 

    

 

 

    

 

 

     

 

 

   

 

 

   

 

 

 
Distributions:(b)  

From net investment income

    (0.17      (0.17      (0.17       (0.03     (0.17     (0.18

In excess of net investment income(c)

                                      (0.20

From net realized gain

    (0.39                                 (0.18

From return of capital

           (0.39      (0.39       (0.06     (0.44      
 

 

 

    

 

 

    

 

 

     

 

 

   

 

 

   

 

 

 

Total distributions

    (0.56      (0.56      (0.56       (0.09     (0.61     (0.56
 

 

 

    

 

 

    

 

 

     

 

 

   

 

 

   

 

 

 

Net asset value, end of period

  $ 9.96      $ 9.22      $ 8.70       $ 9.24     $ 9.19     $ 8.88  
 

 

 

    

 

 

    

 

 

     

 

 

   

 

 

   

 

 

 

Market price, end of period

  $ 9.23      $ 8.15      $ 7.61       $ 8.12     $ 8.35     $ 7.72  
 

 

 

    

 

 

    

 

 

     

 

 

   

 

 

   

 

 

 

Total Return(d)

               

Based on net asset value

    15.06      13.90      1.10       1.69 %(e)      11.40     15.11
 

 

 

    

 

 

    

 

 

     

 

 

   

 

 

   

 

 

 

Based on market price

    20.63      15.11      0.63       (1.65 )%(e)      16.42     12.09
 

 

 

    

 

 

    

 

 

     

 

 

   

 

 

   

 

 

 

Ratios to Average Net Assets

               

Total expenses

    0.86      0.87      0.86       0.87 %(f)      0.87 %(g)      0.87
 

 

 

    

 

 

    

 

 

     

 

 

   

 

 

   

 

 

 

Total expenses after fees waived and/or reimbursed

    0.86      0.85      0.85       0.84 %(f)      0.86 %(g)      0.87
 

 

 

    

 

 

    

 

 

     

 

 

   

 

 

   

 

 

 

Net investment income

    1.73      1.91      1.85       2.30 %(f)      1.81     2.13
 

 

 

    

 

 

    

 

 

     

 

 

   

 

 

   

 

 

 

Supplemental Data

               

Net assets, end of period (000)

  $ 1,868,457      $ 1,741,649      $ 1,643,508       $ 1,747,070     $ 1,648,683     $ 1,594,223  
 

 

 

    

 

 

    

 

 

     

 

 

   

 

 

   

 

 

 

Portfolio turnover rate

    42      33      26       0 %(h)      63     180
 

 

 

    

 

 

    

 

 

     

 

 

   

 

 

   

 

 

 

 

(a) Based on average shares outstanding.
(b) Distributions for annual periods determined in accordance with U.S. federal income tax regulations.
(c) Taxable distribution.
(d) Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices.
(e) Aggregate total return.
(f) Annualized.
(g) Includes reorganization costs associated with the Trust’s merger. Without these costs, total expenses and total expenses after fees waived and/or reimbursed would have been 0.86% and 0.86%, respectively.
(h) Amount is less than 0.5%

See notes to financial statements.

 

 

102    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Financial Highlights

(For a share outstanding throughout each period)

 

    BOE  
    Year Ended December 31,           Period
11/01/14 to
12/31/14
    Year Ended October 31,  
    2017     2016      2015             2014      2013  

Net asset value, beginning of period

  $ 13.38     $ 14.25      $ 15.27             $ 15.54     $ 16.68      $ 14.99  
 

 

 

   

 

 

    

 

 

     

 

 

   

 

 

    

 

 

 

Net investment income(a)

    0.17       0.15        0.11         0.00 (b)      0.14        0.12  

Net realized and unrealized gain (loss)

    1.96       0.03        0.03         (0.07     0.07        2.82  
 

 

 

   

 

 

    

 

 

     

 

 

   

 

 

    

 

 

 

Net increase (decrease) from investment operations

    2.13       0.18        0.14         (0.07     0.21        2.94  
 

 

 

   

 

 

    

 

 

     

 

 

   

 

 

    

 

 

 
Distributions:(c)  

From net investment income

    (0.19     (0.10      (0.17             (0.17      (0.17

In excess of net investment income(d)

                 (0.10             (0.28      (0.91

From net realized gain

    (2.10                                  

From return of capital

          (0.95      (0.89       (0.20     (0.90      (0.17
 

 

 

   

 

 

    

 

 

     

 

 

   

 

 

    

 

 

 

Total distributions

    (2.29     (1.05      (1.16       (0.20     (1.35      (1.25
 

 

 

   

 

 

    

 

 

     

 

 

   

 

 

    

 

 

 

Net asset value, end of period

  $ 13.22     $ 13.38      $ 14.25       $ 15.27     $ 15.54      $ 16.68  
 

 

 

   

 

 

    

 

 

     

 

 

   

 

 

    

 

 

 

Market price, end of period

  $ 12.51     $ 11.57      $ 12.76       $ 13.13     $ 14.00      $ 14.74  
 

 

 

   

 

 

    

 

 

     

 

 

   

 

 

    

 

 

 

Total Return(e)

               

Based on net asset value

    17.22 %(f)      2.62      1.81       (0.27 )%(g)      2.10      21.93
 

 

 

   

 

 

    

 

 

     

 

 

   

 

 

    

 

 

 

Based on market price

    28.28     (0.90 )%       6.03       (4.82 )%(g)      4.09      21.99
 

 

 

   

 

 

    

 

 

     

 

 

   

 

 

    

 

 

 

Ratios to Average Net Assets

               

Total expenses

    1.09 %(h)      1.10      1.08 %(h)        1.10 %(i)      1.08      1.08
 

 

 

   

 

 

    

 

 

     

 

 

   

 

 

    

 

 

 

Total expenses after fees waived and/or reimbursed

    1.02 %(h)      1.05      1.05 %(h)        1.07 %(i)      1.08      1.08
 

 

 

   

 

 

    

 

 

     

 

 

   

 

 

    

 

 

 

Net investment income

    1.20 %(h)      1.15      0.73 %(h)        0.00 %(i)(j)      0.83      0.77
 

 

 

   

 

 

    

 

 

     

 

 

   

 

 

    

 

 

 

Supplemental Data

               

Net assets, end of period (000)

  $ 911,227     $ 929,897      $ 990,318       $ 1,060,687     $ 1,079,862      $ 1,159,072  
 

 

 

   

 

 

    

 

 

     

 

 

   

 

 

    

 

 

 

Portfolio turnover rate

    133     64      72       16     150      279
 

 

 

   

 

 

    

 

 

     

 

 

   

 

 

    

 

 

 

 

(a) Based on average shares outstanding.
(b) Amount is less than $0.005 per share.
(c) Distributions for annual periods determined in accordance with U.S. federal income tax regulations.
(d) Taxable distribution.
(e) Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices.
(f) Includes payment received from an affiliate, which had no impact on the Trust’s total return.
(g) Aggregate total return.
(h) Excludes expenses incurred indirectly as a result of investments in underlying funds of 0.01%.
(i) Annualized.
(j) Amount is less than 0.005%.

See notes to financial statements.

 

 

FINANCIAL HIGHLIGHTS      103  


Financial Highlights

(For a share outstanding throughout each period)

 

    BGY  
    Year Ended December 31,      Period
11/01/14 to
12/31/14
    Year Ended October 31,  
    2017     2016      2015            2014      2013  

Net asset value, beginning of period

  $ 6.28     $ 6.95      $ 7.61      $ 7.89     $ 9.05      $ 8.28  
 

 

 

   

 

 

    

 

 

    

 

 

   

 

 

    

 

 

 

Net investment income (loss)(a)

    0.09       0.09        0.08        (0.00 )(b)      0.10        0.13  

Net realized and unrealized gain (loss)

    1.15       (0.24      (0.15      (0.17     (0.53      1.31  
 

 

 

   

 

 

    

 

 

    

 

 

   

 

 

    

 

 

 

Net increase (decrease) from investment operations

    1.24       (0.15      (0.07      (0.17     (0.43      1.44  
 

 

 

   

 

 

    

 

 

    

 

 

   

 

 

    

 

 

 
Distributions:(c)  

From net investment income

    (0.09     (0.07      (0.11            (0.13      (0.17

In excess of net investment income(d)

                              (0.08       

From return of capital

    (0.37     (0.45      (0.48      (0.11     (0.52      (0.50
 

 

 

   

 

 

    

 

 

    

 

 

   

 

 

    

 

 

 

Total distributions

    (0.46     (0.52      (0.59      (0.11     (0.73      (0.67
 

 

 

   

 

 

    

 

 

    

 

 

   

 

 

    

 

 

 

Net asset value, end of period

  $ 7.06     $ 6.28      $ 6.95      $ 7.61     $ 7.89      $ 9.05  
 

 

 

   

 

 

    

 

 

    

 

 

   

 

 

    

 

 

 

Market price, end of period

  $ 6.52     $ 5.51      $ 6.24      $ 6.74     $ 7.26      $ 8.14  
 

 

 

   

 

 

    

 

 

    

 

 

   

 

 

    

 

 

 

Total Return(e)

 

            

Based on net asset value

    20.88 %(f)      (1.12 )%       (0.47 )%       (2.10 )%(g)      (4.49 )%       19.25
 

 

 

   

 

 

    

 

 

    

 

 

   

 

 

    

 

 

 

Based on market price

    27.23     (3.37 )%       0.90      (5.77 )%(g)      (2.29 )%       19.86
 

 

 

   

 

 

    

 

 

    

 

 

   

 

 

    

 

 

 

Ratios to Average Net Assets

 

            

Total expenses(h)

    1.12     1.12      1.09      1.12 %(i)      1.10      1.09
 

 

 

   

 

 

    

 

 

    

 

 

   

 

 

    

 

 

 

Total expenses after fees waived and/or reimbursed(h)

    1.02     1.02      1.01      1.03 %(i)      1.05      1.07
 

 

 

   

 

 

    

 

 

    

 

 

   

 

 

    

 

 

 

Net investment income (loss)(h)

    1.31     1.41      1.09      (0.13 )%(i)      1.17      1.49
 

 

 

   

 

 

    

 

 

    

 

 

   

 

 

    

 

 

 

Supplemental Data

 

            

Net assets, end of period (000)

  $ 769,678     $ 690,628      $ 764,154      $ 836,552     $ 867,986      $ 995,736  
 

 

 

   

 

 

    

 

 

    

 

 

   

 

 

    

 

 

 

Portfolio turnover rate

    90     74      67      14     195      266
 

 

 

   

 

 

    

 

 

    

 

 

   

 

 

    

 

 

 

 

(a)  Based on average shares outstanding.
(b)  Amount is greater than $(0.005) per share.
(c)  Distributions for annual periods determined in accordance with U.S. federal income tax regulations.
(d)  Taxable distribution.
(e)  Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices.
(f) Includes payment received from an affiliate, which had no impact on the Trust’s total return.
(g)  Aggregate total return.
(h)  Excludes expenses incurred indirectly as a result of investments in underlying funds as follows:

 

     

 

    Year Ended December 31          

Period

November 1,

2014 to

December 31,

2014

          Year Ended October 31,  
        2017           2016           2015               2014           2013        

Investments in underlying funds

                  0.02                   0.01                    0.01                       —                          —                          —          
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

   

 

(i)  Annualized.

See notes to financial statements.

 

 

104    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Financial Highlights

(For a share outstanding throughout each period)

 

    BME  
    Year Ended December 31,      Period
11/01/14 to
12/31/14
    Year Ended October 31,  
    2017     2016     2015            2014      2013  

Net asset value, beginning of period

  $ 31.30     $ 36.19     $ 38.61      $ 40.22     $ 34.92      $ 28.34  
 

 

 

   

 

 

   

 

 

    

 

 

   

 

 

    

 

 

 

Net investment income (loss)(a)

    0.02       0.02       (0.06      (0.01     (0.00 )(b)       0.12  

Net realized and unrealized gain (loss)

    6.77       (1.91     4.34        1.10       9.14        8.85  
 

 

 

   

 

 

   

 

 

    

 

 

   

 

 

    

 

 

 

Net increase (decrease) from investment operations

    6.79       (1.89     4.28        1.09       9.14        8.97  
 

 

 

   

 

 

   

 

 

    

 

 

   

 

 

    

 

 

 
Distributions:(c)  

From net investment income

    (0.04     (0.03     (0.63      (0.01     (0.10      (0.06

From net realized gain

    (2.11     (2.97     (6.07      (2.69     (3.74      (2.33

From return of capital

    (0.25                                
 

 

 

   

 

 

   

 

 

    

 

 

   

 

 

    

 

 

 

Total distributions

    (2.40     (3.00     (6.70      (2.70     (3.84      (2.39
 

 

 

   

 

 

   

 

 

    

 

 

   

 

 

    

 

 

 

Net asset value, end of period

  $ 35.69     $ 31.30     $ 36.19      $ 38.61     $ 40.22      $ 34.92  
 

 

 

   

 

 

   

 

 

    

 

 

   

 

 

    

 

 

 

Market price, end of period

  $ 36.50     $ 31.75     $ 39.35      $ 42.70     $ 41.37      $ 33.56  
 

 

 

   

 

 

   

 

 

    

 

 

   

 

 

    

 

 

 

Total Return(d)

 

Based on net asset value

    22.17     (5.36 )%      10.70      2.38 %(e)      28.00      33.37
 

 

 

   

 

 

   

 

 

    

 

 

   

 

 

    

 

 

 

Based on market price

    23.17     (11.71 )%      8.87      10.07 %(e)      36.99      30.38
 

 

 

   

 

 

   

 

 

    

 

 

   

 

 

    

 

 

 

Ratios to Average Net Assets

 

Total expenses

    1.12 %(f)      1.15 %(g)      1.13      1.16 %(h)      1.11      1.12
 

 

 

   

 

 

   

 

 

    

 

 

   

 

 

    

 

 

 

Total expenses after fees waived and/or reimbursed and excluding amortization of offering costs

    1.12 %(f)      1.14     1.12      1.11 %(h)      1.11      1.12
 

 

 

   

 

 

   

 

 

    

 

 

   

 

 

    

 

 

 

Net investment income (loss)

    0.06 %(f)      0.07     (0.14 )%       (0.10 )%(h)      (0.01 )%       0.38
 

 

 

   

 

 

   

 

 

    

 

 

   

 

 

    

 

 

 

Supplemental Data

 

Net assets, end of period (000)

  $ 331,858     $ 270,693     $ 297,530      $ 303,103     $ 313,933      $ 270,161  
 

 

 

   

 

 

   

 

 

    

 

 

   

 

 

    

 

 

 

Portfolio turnover rate

    38     59     68      6     74      155
 

 

 

   

 

 

   

 

 

    

 

 

   

 

 

    

 

 

 

 

(a)  Based on average shares outstanding.
(b)  Amount is greater than $(0.005) per share.
(c)  Distributions for annual periods determined in accordance with U.S. federal income tax regulations.
(d)  Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices.
(e)  Aggregate total return.
(f)  Excludes expenses incurred indirectly as a result of investments in underlying funds of 0.01%.
(g)  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%.
(h)  Annualized.

See notes to financial statements.

 

 

FINANCIAL HIGHLIGHTS      105  


Consolidated Financial Highlights

(For a share outstanding throughout each period)

 

    BCX  
    Year Ended December 31,          

Period

11/01/14 to
12/31/14

    Year Ended October 31,  
    2017     2016      2015             2014     2013  

Net asset value, beginning of period

  $ 9.86     $ 8.35      $ 11.67             $ 12.50     $ 13.54     $ 15.42  
 

 

 

   

 

 

    

 

 

     

 

 

   

 

 

   

 

 

 

Net investment income(a)

    0.20 (b)      0.14        0.25         0.04       0.23       0.25  

Net realized and unrealized gain (loss)

    1.19       1.95        (2.76       (0.72     (0.27     (0.97
 

 

 

   

 

 

    

 

 

     

 

 

   

 

 

   

 

 

 

Net increase (decrease) from investment operations

    1.39       2.09        (2.51       (0.68     (0.04     (0.72
 

 

 

   

 

 

    

 

 

     

 

 

   

 

 

   

 

 

 
Distributions:(c)  

From net investment income

    (0.24     (0.15      (0.25       (0.02     (0.31     (0.14

From net realized gain

                                      

From return of capital

    (0.37     (0.43      (0.56       (0.13     (0.69     (1.02
 

 

 

   

 

 

    

 

 

     

 

 

   

 

 

   

 

 

 

Total distributions

    (0.61     (0.58      (0.81       (0.15     (1.00     (1.16
 

 

 

   

 

 

    

 

 

     

 

 

   

 

 

   

 

 

 

Net asset value, end of period

  $ 10.64     $ 9.86      $ 8.35       $ 11.67     $ 12.50     $ 13.54  
 

 

 

   

 

 

    

 

 

     

 

 

   

 

 

   

 

 

 

Market price, end of period

  $ 9.77     $ 8.27      $ 7.11       $ 9.71     $ 10.78     $ 11.68  
 

 

 

   

 

 

    

 

 

     

 

 

   

 

 

   

 

 

 

Total Return(d)

 

Based on net asset value

    15.60     27.41      (21.31 )%        (5.20 )%(e)      0.61     (3.61 )%(f) 
 

 

 

   

 

 

    

 

 

     

 

 

   

 

 

   

 

 

 

Based on market price

    26.55     25.50      (19.47 )%        (8.53 )%(e)      0.58     (9.19 )% 
 

 

 

   

 

 

    

 

 

     

 

 

   

 

 

   

 

 

 

Ratios to Average Net Assets

              

Total expenses

    1.08     1.08      1.07       1.15 %(g)      1.35 %(h)      1.27
 

 

 

   

 

 

    

 

 

     

 

 

   

 

 

   

 

 

 

Total expenses after fees waived and/or reimbursed and/or paid indirectly

    1.08     1.08      1.07       1.04 %(g)      1.06 %(h)      1.07
 

 

 

   

 

 

    

 

 

     

 

 

   

 

 

   

 

 

 

Net investment income

    2.06 %(b)      1.61      2.43       2.01 %(g)      1.70     1.76
 

 

 

   

 

 

    

 

 

     

 

 

   

 

 

   

 

 

 

Supplemental Data

              

Net assets, end of period (000)

  $ 1,027,472     $ 976,899      $ 827,040       $ 1,156,499     $ 582,220     $ 630,617  
 

 

 

   

 

 

    

 

 

     

 

 

   

 

 

   

 

 

 

Portfolio turnover rate

    73     101      74       2     62     156
 

 

 

   

 

 

    

 

 

     

 

 

   

 

 

   

 

 

 

 

(a) Based on average shares outstanding.
(b) Net investment income per share and the ratio of net investment income to average net assets include less than $0.04 per share and 0.39% respectively, resulting from a special dividend from Baker Hughes Inc. in July 2017.
(c) Distributions for annual periods determined in accordance with U.S. federal income tax regulations.
(d) Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices.
(e) Aggregate total return.
(f) Includes a payment from an affiliate to compensate for foregone securities lending revenue which impacted the Trust’s total return. Not including this payment the Trust’s return would have been (3.68)%.
(g) Annualized.
(h) Includes reorganization cost associated with the Trust’s merger. Without these costs, total expenses and total expenses after fees waived and/or reimbursed would have been 1.26% and 1.06%, respectively.

See notes to financial statements.

 

 

106    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Financial Highlights

(For a share outstanding throughout each period)

 

    BST  
    Year Ended December 31,  
    2017      2016      2015           

Period
10/30/14 (a)

to 12/31/14

 

Net asset value, beginning of period

  $ 20.10      $ 19.70      $ 19.43              $ 19.10 (b) 
 

 

 

    

 

 

    

 

 

      

 

 

 

Net investment income (loss)(c)

    (0.05      0.00 (d)       0.03          (0.01

Net realized and unrealized gain

    8.96        1.60        1.44          0.48  
 

 

 

    

 

 

    

 

 

      

 

 

 

Net increase (decrease) from investment operations

    8.91        1.60        1.47          0.47  
 

 

 

    

 

 

    

 

 

      

 

 

 
Distributions:(e)                                 

From net investment income

    (0.05             (0.03        (0.00 )(f) 

From net realized gain

    (0.22             (0.01         

From return of capital

    (1.01      (1.20      (1.16        (0.10
 

 

 

    

 

 

    

 

 

      

 

 

 

Total distributions

    (1.28      (1.20      (1.20        (0.10
 

 

 

    

 

 

    

 

 

      

 

 

 

Capital charges with respect to issuance of Common Shares

                           (0.04
 

 

 

    

 

 

    

 

 

      

 

 

 

Net asset value, end of period

  $ 27.73      $ 20.10      $ 19.70        $ 19.43  
 

 

 

    

 

 

    

 

 

      

 

 

 

Market price, end of period

  $ 26.69      $ 17.94      $ 17.31        $ 17.59  
 

 

 

    

 

 

    

 

 

      

 

 

 

Total Return(g)

 

Based on net asset value

    45.73      9.36      8.61        2.31 %(h) 
 

 

 

    

 

 

    

 

 

      

 

 

 

Based on market price

    57.15      11.08      5.36        (11.55 )%(h) 
 

 

 

    

 

 

    

 

 

      

 

 

 

Ratios to Average Net Assets

 

Total expenses

    1.09      1.10      1.12        1.19 %(i) 
 

 

 

    

 

 

    

 

 

      

 

 

 

Total expenses after fees waived and paid indirectly

    0.89      0.90      0.92        0.97 %(i) 
 

 

 

    

 

 

    

 

 

      

 

 

 

Net investment income (loss)

    (0.19 )%       0.02      0.15        (0.24 )%(i) 
 

 

 

    

 

 

    

 

 

      

 

 

 

Supplemental Data

 

Net assets, end of period (000)

  $ 620,300      $ 452,443      $ 443,477        $ 437,380  
 

 

 

    

 

 

    

 

 

      

 

 

 

Portfolio turnover rate

    41      74      91        7
 

 

 

    

 

 

    

 

 

      

 

 

 

 

(a)  Commencement of investment operations. This information includes the initial investment by BlackRock HoldCo2, Inc.
(b) Net asset value, beginning of period, reflects a deduction of $0.8975 per share sales charge from initial offering price of $20.00 per share.
(c) Based on average shares outstanding.
(d) Amount is less than $0.005 per share.
(e) Distributions for annual periods determined in accordance with U.S. federal income tax regulations.
(f)  Amount is greater than ($0.005) per share.
(g) Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices.
(h) Aggregate total return.
(i) Annualized.

See notes to financial statements.

 

 

FINANCIAL HIGHLIGHTS      107  


Financial Highlights

(For a share outstanding throughout each period)

 

    BUI  
    Year Ended December 31,     

Period

11/01/14 to
12/31/14

           Year Ended October 31,  
    2017      2016      2015           2014      2013  

Net asset value, beginning of period

  $ 19.42      $ 19.50      $ 22.47      $ 22.40              $ 20.78      $ 20.22  
 

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

 

Net investment income(a)

    0.56        0.56        0.47        0.11          0.51        0.57  

Net realized and unrealized gain (loss)

    2.59        0.81        (1.99      0.20          2.68        1.44  
 

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

 

Net increase (decrease) from investment operations

    3.15        1.37        (1.52      0.31          3.19        2.01  
 

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

 
Distributions:(b)  

From net investment income

    (0.47      (0.49      (0.42      (0.10        (0.51      (0.52

From net realized gain

    (0.98      (0.53      (0.54               (0.37      (0.42

From return of capital

           (0.43      (0.49      (0.14        (0.69      (0.51
 

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

 

Total distributions

    (1.45      (1.45      (1.45      (0.24        (1.57      (1.45
 

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

 

Net asset value, end of period

  $ 21.12      $ 19.42      $ 19.50      $ 22.47        $ 22.40      $ 20.78  
 

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

 

Market price, end of period

  $ 21.62      $ 18.41      $ 16.78      $ 20.74        $ 20.02      $ 18.36  
 

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

 

Total Return(c)

 

Based on net asset value

    16.62      7.57      (6.09 )%       1.50 %(d)         16.94      11.18
 

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

 

Based on market price

    25.93      18.50      (12.45 )%       4.82 %(d)         18.29      4.37
 

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

 

Ratios to Average Net Assets

                  

Total expenses

    1.11      1.13      1.11      1.17 %(e)         1.10      1.11
 

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

 

Total expenses after fees waived and/or reimbursed

    1.09      1.13      1.11      1.11 %(e)         1.10      1.10
 

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

 

Net investment income

    2.70      2.83      2.24      2.83 %(e)         2.36      2.83
 

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

 

Supplemental Data

                  

Net assets, end of period (000)

  $ 357,776      $ 328,297      $ 329,747      $ 379,830        $ 378,762      $ 351,325  
 

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

 

Portfolio turnover rate

    31      8      20      2        41      133
 

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

 

 

(a)  Based on average shares outstanding.
(b)  Distributions for annual periods determined in accordance with U.S. federal income tax regulations.
(c)  Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices.
(d)  Aggregate total return.
(e)  Annualized.

See notes to financial statements.

 

 

108    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


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 Enhanced Global Dividend Trust

  BOE    Delaware      Diversified  

BlackRock Enhanced International Dividend Trust

  BGY    Delaware      Diversified  

BlackRock Health Sciences Trust

  BME    Delaware      Diversified

BlackRock Resources & Commodities Strategy Trust

  BCX    Delaware      Non-diversified  

BlackRock Science and Technology Trust

  BST    Delaware      Non-diversified  

BlackRock Utilities, Infrastructure & Power Opportunities Trust

  BUI    Delaware      Diversified

 

  * The Trust’s classification changed from non-diversified to diversified during the reporting period.  

The Board of Directors and Boards of Trustees of the Trusts are collectively referred to throughout this report as the “Board of Trustees” or the “Board,” and the directors/trustees thereof are collectively referred to throughout this report as “Trustees”. The Trusts determine and make available for publication the net asset values (“NAVs”) of their Common Shares on a daily basis.

The Trusts, together with certain other registered investment companies advised by BlackRock Advisors, LLC (the “Manager”) or its affiliates, are included in a complex of closed-end funds referred to as the Closed-End Complex.

Basis of Consolidation: The accompanying consolidated financial statements of BCX include the account of BlackRock Cayman Resources & Commodities Strategy Fund, Ltd. (the “Subsidiary”), which is a wholly-owned subsidiary of BCX and primarily invests in commodity-related instruments. The Subsidiary enables BCX to hold these commodity-related instruments and other derivatives and satisfy regulated investment company tax requirements. BCX may invest up to 25% of its total assets in the Subsidiary. Intercompany accounts and transactions, if any, have been eliminated. During the year ended December 31, 2017, there were no transactions in the Subsidiary. The Subsidiary is subject to the same investment policies and restrictions that apply to BCX, except that the Subsidiary may invest without limitation in commodity-related instruments.

 

2. SIGNIFICANT ACCOUNTING POLICIES

The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. Each Trust is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:

Investment Transactions and Income Recognition: For financial reporting purposes, investment transactions are recorded on the dates the transactions are entered into (the “trade dates”). Realized gains and losses on investment transactions are determined on the identified cost basis. Dividend income are recorded on the ex-dividend date. Dividends from foreign securities where the ex-dividend date may have passed are subsequently recorded when the Trusts are informed of the ex-dividend date. Under the applicable foreign tax laws, a withholding tax at various rates may be imposed on capital gains, dividends and interest. Upon notification from issuers, 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, are recognized on an accrual basis.

Foreign Currency Translation: Each Trust’s books and records are maintained in U.S. dollars. Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates determined as of the close of trading on the New York Stock Exchange (“NYSE”). Purchases and sales of investments are recorded at the rates of exchange prevailing on the respective dates of such transactions. Generally, when the U.S. dollar rises in value against a foreign currency, the investments denominated in that currency will lose value; the opposite effect occurs if the U.S. dollar falls in relative value.

Each Trust does not isolate the portion of the results of operations arising as a result of changes in the exchange rates from the changes in the market prices of investments held or sold for financial reporting purposes. Accordingly, the effects of changes in exchange rates on investments are not segregated in the Statements of Operations from the effects of changes in market prices of those investments, but are included as a component of net realized and unrealized gain (loss) from investments. Each Trust reports realized currency gains (losses) on foreign currency related transactions as components of net realized gain (loss) for financial reporting purposes, whereas such components are generally treated as ordinary income for U.S. federal income tax purposes.

Segregation and Collateralization: In cases where a Trust enters into certain investments (e.g., futures contracts, forward foreign currency exchange contracts and options written) that would be treated as “senior securities” for 1940 Act purposes, a Trust may segregate or designate on its books and records cash or liquid assets having a market value at least equal to the amount of its future obligations under such investments. Doing so allows the investment to be excluded from treatment as a “senior security.” Furthermore, if required by an exchange or counterparty agreement, the Trusts may be required to deliver/deposit cash and/or securities to/with an exchange, or broker-dealer or custodian as collateral for certain investments or obligations.

 

 

NOTES TO FINANCIAL STATEMENTS      109  


Notes to Financial Statements  (continued)

 

Distributions: Distributions paid by the Trusts are recorded on the ex-dividend date. Subject to the Trusts’ level distribution plan, the Trusts intend to make monthly cash distributions to shareholders, which may consist of net investment income, net options premium and net realized and unrealized gains on investments and/or return of capital.

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 U.S. federal income tax regulations, which may differ from U.S. GAAP. The portion of distributions that exceeds a Trust’s current and accumulated earnings and profits, which are measured on a tax basis, will constitute a non-taxable return of capital. 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. See Note 8, Income Tax Information, for the tax character of each Trust’s distributions paid during the period.

Net income and realized gains from investments held by the Subsidiary are treated as ordinary income for tax purposes. If a net loss is realized by the Subsidiary in any taxable year, the loss will generally not be available to offset BCX’s ordinary income and/or capital gains for that year.

Deferred Compensation Plan: Under the Deferred Compensation Plan (the “Plan”) approved by each Trust’s Board, the independent Trustees (“Independent Trustees”) may defer a portion of their annual complex-wide compensation. Deferred amounts earn an approximate return as though equivalent dollar amounts had been invested in common shares of certain other BlackRock Closed-End Funds selected by the Independent Trustees. This has the same economic effect for the Independent Trustees as if the Independent Trustees had invested the deferred amounts directly in certain other BlackRock Closed-End Funds.

The Plan is not funded and obligations thereunder represent general unsecured claims against the general assets of each Trust, if applicable. Deferred compensation liabilities are included in the trustees’ and officer’s fees payable in the Statements of Assets and Liabilities and will remain as a liability of the Trusts until such amounts are distributed in accordance with the Plan.

Recent Accounting Standards: In November 2016, the Financial Accounting Standards Board issued Accounting Standards Update “Restricted Cash” which will require entities to include the total of cash, cash equivalents, restricted cash, and restricted cash equivalents in the beginning and ending cash balances in the Statements of Cash Flows. The guidance will be applied retrospectively and is effective for fiscal years beginning after December 15, 2017, and interim periods within those years. Management is evaluating the impact, if any, of this guidance on the Trusts’ presentation in the Statements of Cash Flows.

Indemnifications: In the normal course of business, a Trust enters into contracts that contain a variety of representations that provide general indemnification. A Trust’s maximum exposure under these arrangements is unknown because it involves future potential claims against a Trust, which cannot be predicted with any certainty.

Other: Expenses directly related to a Trust are charged to that Trust. Other operating expenses shared by several funds, including other funds managed by the Manager, are prorated among those funds on the basis of relative net assets or other appropriate methods.

Effective March 27, 2017, each Trust entered into a new custody arrangement with State Street Bank and Trust Co. Under current arrangements, the Trusts no longer earn credits on uninvested cash, and may incur charges on uninvested cash balances and overdrafts, subject to certain conditions.

Prior to March 27, 2017, the Trusts had an arrangement with their former custodian whereby credits were earned on uninvested cash balances, which could be used to reduce custody fees and/or overdraft charges. The Trusts could incur charges on certain uninvested cash balances and overdrafts, subject to certain conditions.

 

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) (or if the reporting date falls on a day the NYSE is closed, investments are valued at fair value as of the period end). U.S. GAAP defines fair value as the price the Trusts would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Trusts determine the fair values of their financial instruments using various independent dealers or pricing services under policies approved by the Board of Trustees of each Trust (the “Board”). The BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) is the committee formed by management to develop global pricing policies and procedures and to oversee the pricing function for all financial instruments.

Fair Value Inputs and Methodologies: The following methods and inputs are used to establish the fair value of each Trust’s assets and liabilities:

 

    Equity investments traded on a recognized securities exchange are valued at the official closing price each day, if available. For equity investments traded on more than one exchange, the official closing price on the exchange where the stock is primarily traded is used. Equity investments traded on a recognized exchange for which there were no sales on that day may be valued at the last available bid (long positions) or ask (short positions) price.

 

    Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of trading on the NYSE. Occasionally, events affecting the values of such instruments may occur between the foreign market close and the close of trading on the NYSE that may not be reflected in the computation of the Trusts’ net assets. Each business day, the Trusts use a pricing service to assist with the valuation of certain foreign exchange-traded equity securities and foreign exchange-traded and over-the-counter (“OTC”) options (the “Systematic Fair Value Price”). Using current market factors, the Systematic Fair Value Price is designed to value such foreign securities and foreign options at fair value as of the close of trading on the NYSE, which follows the close of the local markets.

 

 

110    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Notes to Financial Statements  (continued)

 

 

    Fixed-income securities for which market quotations are readily available are generally valued using the last available bid prices or current market quotations provided by independent dealers or third party pricing services. Floating rate loan interests are valued at the mean of the bid prices from one or more independent brokers or dealers as obtained from a third party pricing service. Pricing services generally value fixed-income securities assuming orderly transactions of an institutional round lot size, but a fund may hold or transact in such securities in smaller, odd lot sizes. Odd lots may trade at lower prices than institutional round lots. The pricing services may use matrix pricing or valuation models that utilize certain inputs and assumptions to derive values, including transaction data (e.g., recent representative bids and offers), credit quality information, perceived market movements, news, and other relevant information. Certain fixed-income securities, including asset-backed and mortgage related securities may be valued based on valuation models that consider the estimated cash flows of each tranche of the entity, establish a benchmark yield and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche. The amortized cost method of valuation may be used with respect to debt obligations with sixty days or less remaining to maturity unless the Manager determines such method does not represent fair value.

 

    Investments in open-end U.S. mutual funds are valued at net asset value (“NAV”) each business day.

 

    The Trusts value their investment in SL Liquidity Series, LLC, Money Market Series (the “Money Market Series”) at fair value, which is ordinarily based upon their pro rata ownership in the underlying fund’s net assets. The Money Market Series seeks current income consistent with maintaining liquidity and preserving capital. Although the Money Market Series is not registered under the 1940 Act, its investments may follow the parameters of investments by a money market fund that is subject to Rule 2a-7 under the 1940 Act.

 

    Futures contracts traded on exchanges are valued at their last sale price.

 

    Forward foreign currency exchange contracts are valued at the mean between the bid and ask prices and are determined as of the close of trading on the NYSE. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available.

 

    Exchange-traded options are valued at the mean between the last bid and ask prices at the close of the options market in which the options trade. An exchange-traded option for which there is no mean price is valued at the last bid (long positions) or ask (short positions) price. If no bid or ask price is available, the prior day’s price will be used, unless it is determined that the prior day’s price no longer reflects the fair value of the option. OTC options and options on swaps (“swaptions”) are valued by an independent pricing service using a mathematical model, which incorporates a number of market data factors, such as the trades and prices of the underlying instruments.

If events (e.g., a company announcement, market volatility or a natural disaster) occur that are expected to materially affect the value of such investments, or in the event that the application of these methods of valuation results in a price for an investment that is deemed not to be representative of the market value of such investment, or if a price is not available, the investment will be valued by the Global Valuation Committee, or its delegate, in accordance with a policy approved by the Board as reflecting fair value (“Fair Valued Investments”). The fair valuation approaches that may be used by the Global Valuation Committee will include market approach, income approach and cost approach. Valuation techniques such as discounted cash flow, use of market comparables and matrix pricing are types of valuation approaches and are typically used in determining fair value. When determining the price for Fair Valued Investments, the Global Valuation Committee, or its delegate, seeks to determine the price that each Trust might reasonably expect to receive or pay from the current sale or purchase of that asset or liability in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the Global Valuation Committee, or its delegate, deems relevant and consistent with the principles of fair value measurement.

The Global Valuation Committee, or its delegate, employs various methods for calibrating valuation approaches for investments where an active market does not exist, including regular due diligence of each Trust’s pricing vendors, regular reviews of key inputs and assumptions, transactional back-testing or disposition analysis to compare unrealized gains and losses to realized gains and losses, reviews of missing or stale prices and large movements in market values and reviews of any market related activity. The pricing of all Fair Valued Investments is subsequently reported to the Board or a committee thereof on a quarterly basis. As a result of the inherent uncertainty in valuation of these investments, the fair values may differ from the values that would have been used had an active market existed.

For investments in equity or debt issued by privately held companies or funds (“Private Company” or collectively, the “Private Companies”) and other Fair Valued Investments, the fair valuation approaches that are used by third party pricing services utilize one or a combination of, but not limited to, the following inputs.

 

     Standard Inputs Generally Considered By Third Party Pricing Services

Market approach

 

(i)  recent market transactions, including subsequent rounds of financing, in the underlying investment or comparable issuers;

(ii)   recapitalizations and other transactions across the capital structure; and

(iii)  market multiples of comparable issuers.

Income approach

 

(i)  future cash flows discounted to present and adjusted as appropriate for liquidity, credit, and/or market risks;

(ii)   quoted prices for similar investments or assets in active markets; and

(iii)  other risk factors, such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, recovery rates, liquidation amounts and/or default rates.

Cost approach

 

(i)  audited or unaudited financial statements, investor communications and financial or operational metrics issued by the Private Company;

(ii)   changes in the valuation of relevant indices or publicly traded companies comparable to the Private Company;

(iii)  relevant news and other public sources; and

(iv)  known secondary market transactions in the Private Company’s interests and merger or acquisition activity in companies comparable to the Private Company.

Investments in series of preferred stock issued by Private Companies are typically valued utilizing market approach in determining the enterprise value of the company. Such investments often contain rights and preferences that differ from other series of preferred and common stock of the same issuer. Valuation techniques such as an option pricing model (“OPM”), a probability weighted expected return model (“PWERM”) or a hybrid of those techniques are used in allocating

 

 

NOTES TO FINANCIAL STATEMENTS      111  


Notes to Financial Statements  (continued)

 

enterprise value of the company, as deemed appropriate under the circumstances. The use of OPM and PWERM techniques involve a determination of the exit scenarios of the investment in order to appropriately allocate the enterprise value of the company among the various parts of its capital structure.

The Private Companies are not subject to the public company disclosure, timing, and reporting standards as other investments held by a Trust. Typically, the most recently available information by a Private Company is as of a date that is earlier than the date a Trust is calculating its NAV. This factor may result in a difference between the value of the investment and the price a Trust could receive upon the sale of the investment.

Fair Value Hierarchy: Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial statement purposes as follows:

 

    Level 1 — Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that each Trust has the ability to access

 

    Level 2 — Other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market–corroborated inputs)

 

    Level 3 — Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including each Trust’s own assumptions used in determining the fair value of investments and derivative financial instruments)

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by Private Companies. There may not be a secondary market, and/or there are a limited number of investors. Level 3 investments may also be adjusted to reflect illiquidity and/or non-transferability, with the amount of such discount estimated by the Global Valuation Committee in the absence of market information.

Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. In accordance with each Trust’s policy, transfers between different levels of the fair value hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investments and derivative financial instruments and is not necessarily an indication of the risks associated with investing in those securities.

As of December 31, 2017, certain investments of BME, BCX and BST were valued using NAV or its equivalent as no quoted market value is available and therefore have been excluded from the fair value hierarchy.

 

4. SECURITIES AND OTHER INVESTMENTS

Preferred Stocks: Preferred stock has a preference over common stock in liquidation (and generally in receiving dividends as well), but is subordinated to the liabilities of the issuer in all respects. As a general rule, the market value of preferred stock with a fixed dividend rate and no conversion element varies inversely with interest rates and perceived credit risk, while the market price of convertible preferred stock generally also reflects some element of conversion value. Because preferred stock is junior to debt securities and other obligations of the issuer, deterioration in the credit quality of the issuer will cause greater changes in the value of a preferred stock than in a more senior debt security with similar stated yield characteristics. Unlike interest payments on debt securities, preferred stock dividends are payable only if declared by the issuer’s board of directors. Preferred stock also may be subject to optional or mandatory redemption provisions.

Securities Lending: Certain Trusts may lend their securities to approved borrowers, such as brokers, dealers and other financial institutions. The borrower pledges and maintains with the Trusts collateral consisting of cash, an irrevocable letter of credit issued by a bank, or securities issued or guaranteed by the U.S. Government. The initial collateral received by each Trust is required to have a value of at least 102% of the current value of the loaned securities for securities traded on U.S. exchanges and a value of at least 105% for all other securities. The collateral is maintained thereafter at a value equal to at least 100% of the current market value of the securities on loan. The market value of the loaned securities is determined at the close of each business day of the Trust and any additional required collateral is delivered to the Trust, or excess collateral returned by the Trust, on the next business day. During the term of the loan, the Trusts are entitled to all distributions made on or in respect of the loaned securities, but do not receive interest income on securities received as collateral. Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions.

The market value of any securities on loan, all of which were classified as common stocks in the Trusts’ Schedules of Investments, and the value of any related collateral are shown separately in the Statements of Assets and Liabilities as a component of investments at value-unaffiliated, and collateral on securities loaned at value, respectively. As of period end, any securities on loan were collateralized by cash and/or U.S. Government obligations. Cash collateral invested by the securities lending agent, BlackRock Investment Management, LLC (“BIM”), if any, is disclosed in the Schedules of Investments.

Securities lending transactions are entered into by the Trusts under Master Securities Lending Agreements (each, an “MSLA”), which provide the right, in the event of default (including bankruptcy or insolvency), for the non-defaulting party to liquidate the collateral and calculate a net exposure to the defaulting party or request additional collateral. In the event that a borrower defaults, the Trusts, as lender, would offset the market value of the collateral received against the market value of the securities loaned. When the value of the collateral is greater than that of the market value of the securities loaned, the lender is left with a net amount payable to the defaulting party. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of an MSLA counterparty’s bankruptcy or insolvency. Under the MSLA, absent an event of default, the borrower can resell or re-pledge the loaned securities, and a Trust can reinvest cash collateral received in connection with loaned securities. Upon an event of default, the parties’ obligations to return the securities or collateral to the other party are

 

 

112    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Notes to Financial Statements  (continued)

 

extinguished, and the parties can resell or re-pledge the loaned securities or the collateral received in connection with the loaned securities in order to satisfy the defaulting party’s net payment obligation for all transactions under the MSLA. The defaulting party remains liable for any deficiency.

As of period end, the following table is a summary of the Trusts’ securities lending agreements by counterparty which are subject to offset under an MSLA:

 

Counterparty   Securities
Loaned at Value
     Cash Collateral
Received
 (a)
    Net
Amount
 

BME

      

Credit Suisse Securities (USA) LLC.

  $ 12,640      $ (12,640   $  

State Street Bank & Trust Company.

    69,520        (69,520      

Morgan Stanley & Co. LLC

    35,392        (35,392      
 

 

 

    

 

 

   

 

 

 
  $ 117,552      $ (117,552   $  
 

 

 

    

 

 

   

 

 

 

BCX

      

Goldman Sachs & Co.

  $ 5      $ (5   $  

JPMorgan Securities LLC

    417,090        (417,090      

Merrill Lynch, Pierce, Fenner & Smith Inc.

    12        (12      

Morgan Stanley & Co. LLC

    5        (5      
 

 

 

    

 

 

   

 

 

 
  $ 417,112      $ (417,112   $  
 

 

 

    

 

 

   

 

 

 

BST

      

Deutsche Bank AG

  $ 162,000      $ (162,000   $  

Goldman Sachs & Co.

    3,116,031        (3,116,031      

JPMorgan Securities LLC

    49,896        (49,896      
 

 

 

    

 

 

   

 

 

 
  $ 3,327,927      $ (3,327,927   $  
 

 

 

    

 

 

   

 

 

 

 

  (a)  Cash collateral with a value of $120,900, $485,343 and $3,497,229 for BME, BCX and BST, respectively, has been received in connection with securities lending agreements. Collateral received in excess of the value of securities loaned from the individual counterparty is not shown for financial reporting purposes in the table above.  

The risks of securities lending include the risk that the borrower may not provide additional collateral when required or may not return the securities when due. To mitigate these risks, the Trusts benefit from a borrower default indemnity provided by BIM. BIM’s indemnity allows for full replacement of the securities loaned if the collateral received does not cover the value on the securities loaned in the event of borrower default. Each Trust could incur a loss if the value of an investment purchased with cash collateral falls below the market value of loaned securities or if the value of an investment purchased with cash collateral falls below the value of the original cash collateral received.

 

5. DERIVATIVE FINANCIAL INSTRUMENTS

The Trusts engage in various portfolio investment strategies using derivative contracts both to increase the returns of the Trusts and/or to manage their exposure to certain risks such as credit risk, equity risk, interest rate risk, foreign currency exchange rate risk, commodity price risk or other risks (e.g., inflation risk). Derivative financial instruments categorized by risk exposure are included in the Schedules of Investments. These contracts may be transacted on an exchange or OTC.

Futures Contracts: Futures contracts are purchased or sold to gain exposure to, or manage exposure to, changes in interest rates (interest rate risk), changes in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk).

Futures contracts are agreements between the Trusts and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and on a specified date. Depending on the terms of a contract, it is settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash amount on the settlement date. Upon entering into a futures contract, the Trusts are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on a contract’s size and risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract.

Securities deposited as initial margin are designated in the Schedules of Investments and cash deposited, if any, is shown as cash pledged for futures contracts in the Statements of Assets and Liabilities. Pursuant to the contract, the Trusts agree to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation) and, if any, shown as variation margin receivable (or payable) on futures contracts in the Statements of Assets and Liabilities. When the contract is closed, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the notional amount of the contract at the time it was opened and the notional amount at the time it was closed. The use of futures contracts involves the risk of an imperfect correlation in the movements in the price of futures contracts and interest, foreign currency exchange rates or underlying assets.

Forward Foreign Currency Exchange Contracts: Forward foreign currency exchange contracts are entered into to gain or reduce exposure to foreign currencies (foreign currency exchange rate risk).

A forward foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a specified date. These contracts help to manage the overall exposure to the currencies in which some of the investments held by the Trusts are denominated and in some cases, may be used to obtain exposure to a particular market.

The contract is marked-to-market daily and the change in market value is recorded as unrealized appreciation (depreciation) in the Statements of Assets and Liabilities. When a contract is closed, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the value at the time it was opened and the

 

 

NOTES TO FINANCIAL STATEMENTS      113  


Notes to Financial Statements  (continued)

 

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 the risks of underlying instruments, including equity risk, interest rate risk and/or commodity price risk and/or, in the case of options written, to generate gains from options premiums.

A call option gives the purchaser (holder) of the option the right (but not the obligation) to buy, and obligates the seller (writer) to sell (when the option is exercised) the underlying instrument at the exercise or strike price at any time or at a specified time during the option period. A put option gives the holder the right to sell and obligates the writer to buy the underlying instrument at the exercise or strike price at any time or at a specified time during the option period.

Premiums paid on options purchased and premiums received on options written, as well as the daily fluctuation in market value, are included in investments at value – unaffiliated and options written at value, respectively, in the Statements of Assets and Liabilities. When an instrument is purchased or sold through the exercise of an option, the premium is offset against the cost or proceeds of the underlying instrument. When an option expires, a realized gain or loss is recorded in the Statements of Operations to the extent of the premiums received or paid. When an option is closed or sold, a gain or loss is recorded in the Statements of Operations to the extent the cost of the closing transaction exceeds the premiums received or paid. When the Trusts write a call option, such option is typically “covered,” meaning that they hold the underlying instrument subject to being called by the option counterparty. When the Trusts write a put option, such option is covered by cash in an amount sufficient to cover the obligation. As of period end, the value of portfolio securities subject to covered call options written was as follows:

 

BGR     CII      BDJ      BOE      BGY      BME      BCX      BST      BUI  
 
$    160,032,735
 
    $    359,086,742        $    924,576,076        $    401,410,854        $    311,661,172        $    94,379,211        $    346,441,742        $    193,650,191        $    113,375,126  

In purchasing and writing options, the Trusts bear the risk of an unfavorable change in the value of the underlying instrument or the risk that they may not be able to enter into a closing transaction due to an illiquid market. Exercise of a written option could result in the Trusts purchasing or selling a security when it otherwise would not, or at a price different from the current market value.

Master Netting Arrangements: In order to define their contractual rights and to secure rights that will help them mitigate their counterparty risk, the Trusts may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with their counterparties. An ISDA Master Agreement is a bilateral agreement between each Trust and a counterparty that governs certain OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, each Trust may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. Bankruptcy or insolvency laws of a particular jurisdiction may restrict or prohibit the right of offset in bankruptcy, insolvency or other events.

Collateral Requirements: For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Trusts and the counterparty.

Cash collateral that has been pledged to cover obligations of the Trusts and cash collateral received from the counterparty, if any, is reported separately on the Statements of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively. Non-cash collateral pledged by the Trusts, if any, is noted in the Schedules of Investments. Generally, the amount of collateral due from or to a counterparty is subject to a certain minimum transfer amount threshold before a transfer is required, which is determined at the close of business of the Trusts. Any additional required collateral is delivered to/pledged by the Trusts on the next business day. Typically, the counterparty is not permitted to sell, re-pledge or use cash and non-cash collateral it receives. A Trust generally agrees not to use non-cash collateral that it receives but may, absent default or certain other circumstances defined in the underlying ISDA Master Agreement, be permitted to use cash collateral received. In such cases, interest may be paid pursuant to the collateral arrangement with the counterparty. To the extent amounts due to the Trusts from their counterparties are not fully collateralized, they bear the risk of loss from counterparty non-performance. Likewise, to the extent the Trusts have delivered collateral to a counterparty and stand ready to perform under the terms of their agreement with such counterparty, they bear the risk of loss from a counterparty in the amount of the value of the collateral in the event the counterparty fails to return such collateral. Based on the terms of agreements, collateral may not be required for all derivative contracts.

For financial reporting purposes, the Trusts do not offset derivative assets and derivative liabilities that are subject to netting arrangements, if any, in the Statements of Assets and Liabilities.

 

6. INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES

The PNC Financial Services Group, Inc. is the largest stockholder and an affiliate of BlackRock, Inc. (“BlackRock”) for 1940 Act purposes.

Investment Advisory: Each Trust entered into an Investment Advisory Agreement with the Manager, the Trusts’ investment adviser, an indirect, wholly-owned subsidiary of BlackRock, to provide investment advisory and administrative services. The Manager is responsible for the management of each Trust’s portfolio and provides the personnel, facilities, equipment and certain other services necessary to the operations of each Trust.

For such services, each Trust, except BCX and BST, pays the Manager a monthly fee at the following annual rates:

 

Average weekly value of each Trust’s net assets:  

BGR

    1.20

BDJ

    0.80  

BOE

    1.00  

BME

    1.00  

 

 

114    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Notes to Financial Statements  (continued)

 

 

Average daily value of each Trust’s net assets:  

CII

    0.85

BGY

    1.00  

BUI

    1.00  

For such services, BCX pays the Manager a monthly fee of 1.00% of the sum of the average daily value of the net assets of the Trust (excluding the value of the Trust’s interest in its Subsidiary) and the average daily value of the net assets of its Subsidiary, which fee is allocated pro rata between the Trust and its Subsidiary based on the average daily value of their respective net assets (excluding, in the case of the Trust, the value of the Trust’s interest in its Subsidiary).

For such services, BST pays the Manager a monthly fee at an annual rate equal to 1.00% of the average daily value of the Trust’s managed assets. For purposes of calculating this fee, “managed assets” means the total assets of the Trust (including any assets attributable to money borrowed for investment purposes) minus the sum of its accrued liabilities (other than money borrowed for investment purposes).

With respect to BGR, BOE, BGY, BCX and BUI, the Manager entered into separate sub-advisory agreements with BlackRock International Limited (“BIL”), an affiliate of the Manager. The Manager pays BIL, for services it provides, a monthly fee that is a percentage of the investment advisory fees paid by each Trust to the Manager.

The Manager provides investment management and other services to BCX’s Subsidiary. The Manager does not receive separate compensation from the Subsidiary for providing investment management or administrative services. However, BCX pays the Manager based on the Trust’s net assets which includes the assets of the Subsidiary.

Distribution Fees: BME has entered into a Distribution Agreement with BlackRock Investments, LLC (“BRIL”), an affiliate of the Manager, to provide for distribution of BME common shares on a reasonable best efforts basis through an equity shelf offering (a “Shelf Offering”) (the “Distribution Agreement”). Pursuant to the Distribution Agreement, BME will compensate BRIL with respect to sales of common shares at a commission rate of 1.00% of the gross proceeds of the sale of BME’s common shares and a portion of such commission is re-allowed to broker-dealers engaged by BRIL. The commissions retained by BRIL during the year ended December 31, 2017 amounted to $42,271.

Expense Limitations, Waivers, and Reimbursements: The Manager has contractually agreed to waive a portion of the investment advisory fees on BST as a percentage of its average daily managed assets as follows:

 

             Expiration Date  

BST

    0.20      December 31, 2018  
    0.15        December 31, 2019  
    0.10        December 31, 2020  
      0.05        December 31, 2021  

Effective July 1, 2017, the Manager voluntarily agreed to waive a portion of the investment advisory fees on the following Trusts as a percentage of their average weekly net assets as follows:

 

BGR

    0.150

BOE

    0.100  

BUI

    0.025  

Prior to July 1, 2017, the Manager voluntarily agreed to waive a portion of the investment advisory fees on the following Trusts as a percentage of their average weekly net assets as follows:

 

BGR

    0.10

BOE

    0.05  

With respect to BGY, the Manager has voluntarily agreed to waive a portion of its investment advisory fees equal to the annual rate of 0.10% of BGY’s average daily net assets.

These voluntary waivers may be reduced or discontinued at any time without notice.

For the year ended December 31, 2017, the investment advisory fees waived, which are included in fees waived and/or reimbursed by the Manager in the Statements of Operations, were as follows:

 

BGR

  $ 556,737  

BOE

    738,124  

BGY

    738,989  

BST

    1,102,320  

BUI

    45,208  

 

 

NOTES TO FINANCIAL STATEMENTS      115  


Notes to Financial Statements  (continued)

 

With respect to each Trust, the Manager voluntarily agreed to waive its investment advisory fees by the amount of investment advisory fees each Trust pays to the Manager indirectly through its investment in affiliated money market funds (the “affiliated money market fund waiver”). These amounts are included in fees waived and/or reimbursed by the Manager in the Statements of Operations. For the year ended December 31, 2017, the amounts waived were as follows:

 

     Amount Waived  

BGR

  $ 4,448  

CII

    8,615  

BDJ

    5,748  

BOE

    17,704  

BGY

    15,145  

BME

    7,086  

BCX

    10,076  

BST

    1,739  

BUI

    3,652  

The Manager contractually agreed to waive its investment advisory fee with respect to any portion of each Trust’s assets invested in affiliated equity and fixed-income mutual funds and affiliated exchange-traded funds that have a contractual management fee through June 30, 2018. The agreement can be renewed for annual periods thereafter, and may be terminated on 90 days’ notice, each subject to approval by a majority of the Trusts’ Independent Trustees. These amounts are included in fees waived and/or reimbursed by the Manager in the Statements of Operations. For the year ended December 31, 2017, BOE waived $9,522 in investment advisory fees pursuant to these arrangements.

Securities Lending: The U.S. Securities and Exchange Commission (“SEC”) has issued an exemptive order which permits BIM, an affiliate of the Manager, to serve as securities lending agent for the Trusts, subject to applicable conditions. As securities lending agent, BIM bears all operational costs directly related to securities lending. The Trusts are responsible for expenses in connection with the investment of cash collateral received for securities on loan (the “collateral investment expenses”). The cash collateral is invested in a private investment company managed by the Manager or its affiliates. However, BIM has agreed to cap the collateral investment expenses of the private investment company to an annual rate of 0.04%. The investment adviser to the private investment company will not charge any advisory fees with respect to shares purchased by the Trusts. The private investment company in which the cash collateral has been invested may, under certain circumstances, impose a liquidity fee of up to 2% of the value withdrawn or temporarily restrict withdrawals for up to 10 business days during a 90 day period, in the event that the private investment company’s weekly liquid assets fall below certain thresholds.

Securities lending income is equal to the total of income earned from the reinvestment of cash collateral, net of fees and other payments to and from borrowers of securities, and less the collateral investment expenses. Each Trust retains a portion of securities lending income and remits a remaining portion to BIM as compensation for its services as securities lending agent. Pursuant to a securities lending agreement, BIM may lend securities only when the difference between the borrower rebate rate and the risk free rate exceeds a certain level (such securities, the “specials only securities”).

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 income — affiliated — net in the Statements of Operations. For the year ended December 31, 2017, each Trust paid BIM the following amounts for securities lending agent services:

 

BGR

  $ 5,781  

CII

    287  

BDJ

    377  

BOE

    8,140  

BGY

    125  

BME

    444  

BCX

    28,901  

BST

    24,527  

BUI

    969  

Officers and Trustees: Certain trustees and/or officers of the Trusts are trustees and/or officers of BlackRock or its affiliates. The Trusts reimburse the Manager for a portion of the compensation paid to the Trusts’ Chief Compliance Officer, which is included in Trustees and Officer in the Statements of Operations.

Other Transactions: During the year ended December 31, 2017, BOE and BGY received reimbursements of $393,604 and $259,510, respectively, from an affiliate, which is shown as payments by affiliates in the Statements of Operations, related to the reimbursement of transaction costs.

 

 

116    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Notes to Financial Statements  (continued)

 

The Trusts may purchase securities from, or sell securities to, an affiliated fund provided the affiliation is due solely to having a common investment adviser, common officers, or common trustees. For the year ended December 31, 2017, the purchase and sale transactions and any net realized gains (losses) with an affiliated fund in compliance with Rule 17a-7 under the 1940 Act were as follows:

 

     Purchase      Sales      Net Realized
Gain (Loss)
 

CII

  $ 343,935      $      $  

BOE

    4,785,895                

BGY

    4,300,195        2,931,108        (257,002

BUI

    8,340,335                

 

7. PURCHASES AND SALES

For the year ended December 31, 2017, purchases and sales of investments, excluding short-term securities, were as follows:

 

     Purchases      Sales  

BGR

  $ 108,032,564      $ 120,394,978  

CII

    220,393,948        262,888,025  

BDJ

    756,996,060        893,823,144  

BOE

    1,279,932,335        1,449,100,123  

BGY

    630,141,480        684,114,558  

BME

    114,175,912        122,160,739  

BCX

    704,182,667        774,915,241  

BST

    224,980,932        293,043,243  

BUI

    108,618,138        134,205,334  

 

8. INCOME TAX INFORMATION

It is each Trust’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of its taxable income to its shareholders. Therefore, no U.S. federal income tax provision is required.

Each Trust files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on each Trust’ U.S. federal tax returns generally remains open for each of the three years ended December 31, 2017, the period ended December 31, 2014 and the year ended October 31, 2014 with the exception of BST. The statutes of limitations on BST’s U.S. federal tax returns remains open for each of the three years ended December 31, 2017 and the period ended December 31, 2014. The statutes of limitations on each Trust’ state and local tax returns may remain open for an additional year depending upon the jurisdiction.

Management has analyzed tax laws and regulations and their application to the Trusts as of December 31, 2017, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Trusts’ financial statements.

U.S. GAAP requires that certain components of net assets be adjusted to reflect permanent differences between financial and tax reporting. These reclassifications have no effect on net assets or net asset values per share. As of period end, the following permanent differences attributable to foreign currency transactions, the sale of stock of passive foreign investment companies, the characterization of expenses, reimbursement of transaction costs, income recognized from investments in partnerships and the expiration of capital loss carryforwards were reclassified to the following accounts:

 

     BGR     CII     BDJ     BOE     BGY  

Paid-in capital

  $     $ (2,532,028   $     $     $ (55,605,462

Undistributed (distributions in excess of) net investment income

    42,607       (4,348     257,799       2,430,558       1,756,043  

Accumulated net realized gain (loss)

    (42,607     2,536,376       (257,799     (2,430,558     53,849,419  
         
            BME     BCX     BST     BUI  

Paid-in capital

 

  $     $ (1,795,201   $     $  

Undistributed (distributions in excess of) net investment income

 

    80,433       227,235       392,940       (872,837

Accumulated net realized gain (loss)

 

    (80,433     1,567,966       (392,940     872,837  

The tax character of distributions paid was as follows:

 

     BGR      CII      BDJ      BOE      BGY  

Ordinary income

             

12/31/2017

  $ 12,093,542      $ 6,682,172      $ 31,328,211      $ 59,729,859      $ 9,780,974  

12/31/2016

    7,985,951        5,818,337        31,386,331        6,886,585        7,270,081  

Long-term capital gains

             

12/31/2017

                  74,032,175        98,000,577         

12/31/2016

           1,682,938                       

 

 

NOTES TO FINANCIAL STATEMENTS      117  


Notes to Financial Statements  (continued)

 

     BGR      CII      BDJ      BOE      BGY  

Return of capital

             

12/31/2017

  $ 15,679,802      $ 37,156,851      $      $      $ 40,102,438  

12/31/2016

    21,720,074        43,167,741        74,517,121        66,070,734        50,144,321  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total

             

12/31/2017

  $ 27,773,344      $ 43,839,023      $ 105,360,386      $ 157,730,436      $ 49,883,412  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

12/31/2016

  $ 29,706,025      $ 50,669,016      $ 105,903,452      $ 72,957,319      $ 57,414,402  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
             
        BME      BCX      BST      BUI  

Ordinary income

 

           

12/31/2017

 

   $ 806,387      $ 23,004,937      $ 1,173,241      $ 7,954,054  

12/31/2016

 

     2,208,132        14,753,944               12,931,397  

Long-term capital gains

 

           

12/31/2017

 

     18,575,419               4,969,225        16,614,050  

12/31/2016

 

     22,940,269                      4,346,341  

Return of capital

 

           

12/31/2017

 

     2,234,310        36,309,489        22,536,962         

12/31/2016

 

            42,403,551        27,009,110        7,271,174  
    

 

 

    

 

 

    

 

 

    

 

 

 

Total

 

           

12/31/2017

 

   $ 21,616,116      $ 59,314,426      $ 28,679,428      $ 24,568,104  
    

 

 

    

 

 

    

 

 

    

 

 

 

12/31/2016

 

   $ 25,148,401      $ 57,157,495        27,009,110      $ 24,548,912  
    

 

 

    

 

 

    

 

 

    

 

 

 

As of period end, the tax components of accumulated net earnings (losses) were as follows:

 

     BGR     CII     BDJ     BOE      BGY  

Undistributed long-term capital gains

  $     $     $ 69,180,178     $ 33,248,621      $  

Capital loss carryforwards

    (156,439,314     (21,333,622                  (31,492,776

Net unrealized gains(a)

    27,955,683       178,150,225       478,647,973       46,556,351        120,929,430  

Qualified late-year losses(b)

                             (7,626
 

 

 

   

 

 

   

 

 

   

 

 

    

 

 

 

Total

  $ (128,483,631   $ 156,816,603     $ 547,828,151     $ 79,804,972      $ 89,429,028  
 

 

 

   

 

 

   

 

 

   

 

 

    

 

 

 
          
       BME     BCX     BST      BUI  

Undistributed long-term capital gains

 

  $     $     $      $ 3,975,518  

Capital loss carryforwards

 

          (437,380,204             

Net unrealized gains(a)

 

    99,941,826       183,567,566       272,278,493        72,167,837  

Qualified late-year losses(b)

 

                        
   

 

 

   

 

 

   

 

 

    

 

 

 

Total

 

  $ 99,941,826     $ (253,812,638   $ 272,278,493      $ 76,143,355  
   

 

 

   

 

 

   

 

 

    

 

 

 

 

  (a)  The difference between book-basis and tax-basis net unrealized gains was attributable primarily to the tax deferral of losses on wash sales and straddles, the realization for tax purposes of unrealized gains/losses on certain options and foreign currency contracts, the realization for tax purposes of unrealized gains on investments in passive foreign investment companies, the timing and recognition of partnership income and the deferral of compensation to Trustees.  
  (b)  The Trust has elected to defer certain qualified late-year losses and recognize such losses in the next taxable period.  

As of December 31, 2017, the Trusts had non-expiring capital loss carryforwards available to offset future realized capital gains as follows:

 

     BGR      CII      BGY      BCX  

No expiration date

  $ 156,439,314        21,333,622      $ 31,492,776      $ 437,380,204  

During the year ended December 31, 2017, the Trusts listed below utilized the following amounts of their respective capital loss carryforward:

 

     CII      BDJ      BOE      BGY      BCX      BST  

Amount utilized

  $ 10,089,694      $ 28,867,074      $ 807,221      $ 16,004,289      $ 27,751,473      $ 13,469,302  

As of December 31, 2017, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:

 

     BGR     CII     BDJ     BOE     BGY  

Tax cost

  $ 444,814,996     $ 586,317,787     $ 1,402,001,015     $ 867,483,284     $ 641,157,524  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Gross unrealized appreciation

  $ 81,675,267     $ 200,449,462     $ 550,146,646     $ 75,546,190     $ 147,055,287  

Gross unrealized depreciation

    (51,175,336     (20,088,697     (63,408,396     (26,614,536     (18,139,726
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net unrealized appreciation (depreciation)

  $ 30,499,931     $ 180,360,765     $ 486,738,250     $ 48,931,654     $ 128,915,561  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
         

 

 

118    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Notes to Financial Statements  (continued)

 

     BME     BCX     BST     BUI  

Tax cost

  $ 232,155,695     $ 847,823,776     $ 351,410,544     $ 272,108,193  
 

 

 

   

 

 

   

 

 

   

 

 

 

Gross unrealized appreciation

  $ 108,489,761     $ 258,383,741     $ 286,176,258     $ 90,114,046  

Gross unrealized depreciation

    (6,222,357     (70,032,791     (9,826,406     (13,593,217
 

 

 

   

 

 

   

 

 

   

 

 

 

Net unrealized appreciation (depreciation)

  $ 102,267,404     $ 188,350,950     $ 276,349,852     $ 76,520,829  
 

 

 

   

 

 

   

 

 

   

 

 

 

 

9. PRINCIPAL RISKS

In the normal course of business, the Trusts invest in securities or other instruments and may enter into certain transactions, and such activities subject each Trust to various risks, including among others, fluctuations in the market (market risk) or failure of an issuer to meet all of its obligations. The value of securities or other instruments may also be affected by various factors, including, without limitation: (i) the general economy; (ii) the overall market as well as local, regional or global political and/or social instability; (iii) regulation, taxation or international tax treaties between various countries; or (iv) currency, interest rate and price fluctuations.

The Trusts may be exposed to additional risks when reinvesting cash collateral in money market funds that do not seek to maintain a stable NAV per share of $1.00 and which may be subject to redemption gates or liquidity fees under certain circumstances.

Valuation Risk: The market values of equities, such as common stocks and preferred securities or equity related investments, such as futures and options, may decline due to general market conditions which are not specifically related to a particular company. They may also decline due to factors which affect a particular industry or industries. A Trust may invest in illiquid investments and may experience difficulty in selling those investments in a timely manner at the price that they believe the investments are worth. Prices may fluctuate widely over short or extended periods in response to company, market or economic news. Markets also tend to move in cycles, with periods of rising and falling prices. This volatility may cause each Trust’s NAV to experience significant increases or decreases over short periods of time. If there is a general decline in the securities and other markets, the NAV of a Trust may lose value, regardless of the individual results of the securities and other instruments in which a Trust invests.

The price a Trust could receive upon the sale of any particular portfolio investment may differ from a Trust valuation of the investment, particularly for securities that trade in thin or volatile markets or that are valued using a fair valuation technique or a price provided by an independent pricing service. Changes to significant unobservable inputs and assumptions (i.e., publicly traded company multiples, growth rate, time to exit) due to the lack of observable inputs may significantly impact the resulting fair value and therefore a Trust results of operations. As a result, the price received upon the sale of an investment may be less than the value ascribed by a Trust, and a Trust could realize a greater than expected loss or lesser than expected gain upon the sale of the investment. A Trust ability to value its investments may also be impacted by technological issues and/or errors by pricing services or other third party service providers.

Counterparty Credit Risk: The Trusts may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions. The Trusts manage counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Trusts to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Trusts’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statements of Assets and Liabilities, less any collateral held by the Trusts.

A derivative contract may suffer a mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.

A Trust’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain less the value of any collateral held by such Trust.

For OTC options purchased, each Trust bears the risk of loss in the amount of the premiums paid plus the positive change in market values net of any collateral held by the Trusts should the counterparty fail to perform under the contracts. Options written by the Trusts do not typically give rise to counterparty credit risk, as options written generally obligate the Trusts, and not the counterparty, to perform. The Trusts may be exposed to counterparty credit risk with respect to options written to the extent the Trusts deposit collateral with its counterparty to a written option.

With exchange-traded options purchased and futures, there is less counterparty credit risk to the Trusts since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, a Trust does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency). Additionally, credit risk exists in exchange-traded futures with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Trusts.

Concentration Risk: As of period end, the Trusts listed below invested a significant portion of their assets in securities in the following sectors:

 

Energy

    BGR, BCX  

Financials

    BDJ, BGY  

Health Care

    BME  

Information Technology

    CII, BST  

Materials

    BCX  

Utilities

    BUI  

 

 

NOTES TO FINANCIAL STATEMENTS      119  


Notes to Financial Statements  (continued)

 

Changes in economic conditions affecting such sectors would have a greater impact on the Trusts and could affect the value, income and/or liquidity of positions in such securities.

BOE invests a substantial amount of its assets in issuers located in a single country or a limited number of countries. When a Trust concentrates its investments in this manner, it assumes the risk that economic, political and social conditions in those countries may have a significant impact on its investment performance. Foreign issuers may not be subject to the same uniform accounting, auditing and financial reporting standards and practices as used in the United States. Foreign securities markets may also be less liquid, more volatile, and less subject to governmental supervision not typically associated with investing in U.S. securities. Investment percentages in specific countries are presented in the Schedules of Investments.

BGY and BCX invest a significant portion of their assets in securities of issuers located in Europe or with significant exposure to European issuers or countries. The European financial markets have recently experienced volatility and adverse trends due to concerns about economic downturns in, or rising government debt levels of, several European countries. These events may spread to other countries in Europe and may affect the value and liquidity of certain of the Trusts’ investments.

The United Kingdom voted on June 23, 2016 to withdraw from the European Union, which may introduce significant new uncertainties and instability in the financial markets across Europe.

 

10. CAPITAL SHARE TRANSACTIONS

Each Trust is authorized to issue an unlimited numbers of shares, with the exception of CII, all of which were initially classified as Common Shares. CII is authorized to issue 200 million Common Shares. The par value for each Trust’s Common Shares is $0.001, except for CII, which is $0.10. The Board is authorized, however, to reclassify any unissued Common Shares to Preferred Shares without the approval of Common Shareholders.

For the periods shown, shares issued and outstanding increased by the following amounts as a result of shares issued through the Shelf Offering:

 

     Year Ended  
    

12/31/17

      

12/31/16

 

BME

    601,804          363,708  

For the periods shown, shares issued and outstanding increased by the following amounts as a result of dividend reinvestment:

 

     Year Ended  
    

12/31/17

      

12/31/16

 

BME

    47,676          63,264  

BUI

    33,776           

For the year ended December 31, 2017, for BGR and CII and December 31, 2016, for BGR, 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 SEC allowing it to issue an additional 2,500,000 Common Shares through a Shelf Offering. Under the Shelf Offering, BME, subject to market conditions, may raise additional equity capital from time to time in varying amounts and utilizing various offering methods at a net price at or above BME’s NAV per Common Share (calculated within 48 hours of pricing). As of period end, 1,534,488 Common Shares remain available for issuance under the Shelf Offering. From August 12, 2015 to June 9, 2016, BME was authorized to issue 453,000 Common Shares under a previous Shelf Offering. See Additional Information — Shelf Offering Program for additional information about the Shelf Offering.

Initial costs incurred by BME in connection with its shelf offering are recorded “Deferred offering costs” on the Statements of Assets and Liabilities. As shares are sold, a portion of the costs attributable to the shares sold will be charged against paid-in-capital. Any remaining deferred charges at the end of the shelf offering period will be charged to expense. Any subsequent costs incurred to keep the filing active will be charged to expense as incurred.

The Board previously approved each Trust’s participation in an open market share repurchase program that allowed each Trust to purchase, at prevailing market prices, up to 5% of its common shares outstanding as of the close of business on October 28, 2016 through November 30, 2017, subject to certain conditions. On September 6, 2017, the Board approved a renewal of this program. Commencing December 1, 2017, each Trust may purchase through November 30, 2018, up to 5% of its common shares outstanding as of the close of business on November 30, 2017, subject to certain conditions. There is no assurance that the Trusts will purchase shares in any particular amounts. The shares repurchased during the year ended December 31, 2017 are as follows:

 

    

Shares

Repurchased

     Amount (a)  

BDJ

    1,435,917      $ 12,272,105  

BOE

    571,366        7,428,758  

BGY

    940,260        5,726,813  

BCX

    2,514,091        21,837,878  

BST

    136,367        2,799,570  

 

  (a)  Includes transaction costs.  

The total amount of such repurchases is reflected in the Statements of Changes in Net Assets.

 

 

120    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Notes to Financial Statements  (continued)

 

 

11. SUBSEQUENT EVENTS

Management’s evaluation of the impact of all subsequent events on the Trusts’ financial statements was completed through the date the financial statements were issued and the following items were noted:

 

     Common Dividend
Per Share
 
     Paid (a)      Declared (b)  

BGR

  $ 0.0776      $ 0.0776  

CII

    0.0828        0.0828  

BDJ

    0.0467        0.0467  

BOE

    0.0780        0.0780  

BME

    0.2000        0.2000  

BGY

    0.0380        0.0380  

BCX

    0.0516        0.0516  

BST

    0.1300        0.1300  

BUI

    0.1210        0.1210  

 

  (a)  Net investment income dividend paid on January 31, 2018 to shareholders of record on January 16, 2018.  
  (b)  Net investment income dividend declared on February 1, 2018, payable to shareholders of record on February 15, 2018.  

 

 

NOTES TO FINANCIAL STATEMENTS      121  


Report of Independent Registered Public Accounting Firm

 

To the Shareholders and Board of Trustees of

BlackRock Energy and Resources Trust, BlackRock Enhanced Equity Dividend Trust, BlackRock Enhanced Global Dividend Trust, BlackRock Enhanced International Dividend Trust, BlackRock Health Sciences Trust, BlackRock Resources & Commodities Strategy Trust, BlackRock Science and Technology Trust, BlackRock Utilities, Infrastructure & Power Opportunities Trust, and the Shareholders and Board of Directors of BlackRock Enhanced Capital and Income Fund, Inc.:

Opinion on the Financial Statements and Financial Highlights

We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of BlackRock Energy and Resources Trust, BlackRock Enhanced Capital and Income Fund, Inc., BlackRock Enhanced Equity Dividend Trust, BlackRock Enhanced Global Dividend Trust (formerly known as BlackRock Global Opportunities Equity Trust), BlackRock Enhanced International Dividend Trust (formerly known as BlackRock International Growth and Income Trust), BlackRock Health Sciences Trust, BlackRock Science and Technology Trust and BlackRock Utilities, Infrastructure & Power Opportunities Trust (formerly known as BlackRock Utility and Infrastructure Trust), as of December 31, 2017, the related statements of operations and cash flows for the year then ended, the statements of changes net assets for each of the two years in the period then ended, the financial highlights for each of the periods presented, and the related notes. We have also audited the consolidated statement of assets and liabilities, including the consolidated schedule of investments, of BlackRock Resources & Commodities Strategy Trust (collectively with BlackRock Energy and Resources Trust, BlackRock Enhanced Capital and Income Fund, Inc., BlackRock Enhanced Equity Dividend Trust, BlackRock Enhanced Global Dividend Trust, BlackRock Enhanced International Dividend Trust, BlackRock Health Sciences Trust, BlackRock Science and Technology Trust and BlackRock Utilities, Infrastructure & Power Opportunities Trust, the “Trusts”), as of December 31, 2017, the related consolidated statements of operations and cash flows for the year then ended, the consolidated statements of changes in net assets for each of the two years in the period then ended and the consolidated financial highlights for each of the periods presented. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Trusts as of December 31, 2017, and the results of their operations and their cash flows for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

These financial statements and financial highlights are the responsibility of the Trusts’ management. Our responsibility is to express an opinion on the Trusts’ financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Company in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Trusts are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Trusts’ internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of December 31, 2017, by correspondence with the custodian and brokers. We believe that our audits provide a reasonable basis for our opinion.

Deloitte & Touche LLP

Philadelphia, Pennsylvania

February 28, 2018

We have served as the auditor of one or more BlackRock investment companies since 1992.

 

 

122    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Important Tax Information  (unaudited)

 

During the fiscal year ended December 31, 2017, the following information is provided with respect to the distributions paid:

 

     Payable Date    Long-Term
Capital Gains
     Non-Taxable
Return of
Capital
     Qualified
Dividend
Income
for
Individuals
  (a)
     Dividends
Qualifying for
the Dividends
Received
Deduction for
Corporations
 (a)
     Short-Term
Capital Gain
Dividends for
Non-U.S.
Residents
 (b)
     Foreign
Source
Income
     Foreign
Taxes
Paid
 (c)
 

BGR

  01/31/17 – 12/29/17           56.46      43.54      29.63               

CII

  01/31/17 – 12/29/17             84.76        15.24        15.24                       

BDJ

  01/31/17 – 12/29/17      70.27               29.73        29.73                       

BOE

  01/31/17 – 12/29/17      62.13               10.76        5.30        30.00        4.78        1.00  

BGY

  01/31/17 – 12/29/17             80.39        19.61        0.93               19.29        3.57  

BME

  01/31/17 – 02/28/17      87.91               12.09        4.81        10.82                
  03/31/17      86.60        7.84        5.56        2.77        4.14                
  04/28/17 – 12/29/17      85.79        12.70        1.51        1.51                       

BCX

  01/31/17 – 12/29/17             61.22        38.78        16.46               23.72        2.49  

BST

  01/31/17 – 12/29/17      17.33        78.58        4.09        4.09                       

BUI

  01/31/17 – 12/29/17      67.62               32.38        21.86                       

 

  (a)  The Trusts hereby designate the percentages indicated above to the maximum amount allowable by law.  
  (b)  Represents the portion of the dividends eligible for exemption from U.S. withholding tax for nonresident aliens and foreign corporations.  
  (c)  The foreign taxes paid represent taxes incurred by the fund on income received from foreign sources. Foreign taxes paid may be included in taxable income with an offsetting deduction from gross income or may be taken as a credit for taxes paid to foreign governments. You should consult your tax advisor regarding the appropriate treatment of foreign taxes paid.  

 

 

IMPORTANT TAX INFORMATION      123  


Automatic Dividend Reinvestment Plans

 

Pursuant to each Trust’s Dividend Reinvestment Plan (the “Reinvestment Plan”), Common Shareholders are automatically enrolled, to have all distributions of dividends and capital gains and other distributions reinvested by Computershare Trust Company, N.A. (the “Reinvestment Plan Agent”) in the respective Trust’s Common Shares pursuant to the Reinvestment Plan. Shareholders who do not participate in the Reinvestment Plan will receive all distributions in cash paid by check and mailed directly to the shareholders of record (or if the shares are held in street name or other nominee name, then to the nominee) by the Reinvestment Plan Agent, which serves as agent for the shareholders in administering the Reinvestment Plan.

After the Trusts declare a dividend or determine to make a capital gain or other distribution, the Reinvestment Plan Agent will acquire shares for the participants’ accounts, depending upon the following circumstances, either (i) through receipt of unissued but authorized shares from the Trust (“newly issued shares”) or (ii) by purchase of outstanding shares on the open market or on the Trust’s primary exchange (“open market purchases”). If, on the dividend payment date, the net asset value per share (“NAV”) is equal to or less than the market price per share plus estimated brokerage commissions (such condition often referred to as a “market premium”), the Reinvestment Plan Agent will invest the dividend amount in newly issued shares acquired on behalf of the participants. The number of newly issued shares to be credited to each participant’s account will be determined by dividing the dollar amount of the dividend by the NAV on the date the shares are issued. However, if the NAV is less than 95% of the market price on the dividend payment date, the dollar amount of the dividend will be divided by 95% of the market price on the dividend payment date. If, on the dividend payment date, the NAV is greater than the market price per share plus estimated brokerage commissions (such condition often referred to as a “market discount”), the Reinvestment Plan Agent will invest the dividend amount in shares acquired on behalf of the participants in open-market purchases. If the Reinvestment Plan Agent is unable to invest the full dividend amount in open market purchases, or if the market discount shifts to a market premium during the purchase period, the Reinvestment Plan Agent will invest any un-invested portion in newly issued shares. Investments in newly issued shares made in this manner would be made pursuant to the same process described above and the date of issue for such newly issued shares will substitute for the dividend payment date.

You may elect not to participate in the Reinvestment Plan and to receive all dividends in cash by contacting the Reinvestment Plan Agent, at the address set forth below.

Participation in the Reinvestment Plan is completely voluntary and may be terminated or resumed at any time without penalty by notice if received and processed by the Reinvestment Plan Agent prior to the dividend record date. Additionally, the Reinvestment Plan Agent seeks to process notices received after the record date but prior to the payable date and such notices often will become effective by the payable date. Where late notices are not processed by the applicable payable date, such termination or resumption will be effective with respect to any subsequently declared dividend or other distribution.

The Reinvestment Plan Agent’s fees for the handling of the reinvestment of distributions will be paid by each Trust. However, each participant will pay a pro rata share of brokerage commissions incurred with respect to the Reinvestment Plan Agent’s open market purchases in connection with the reinvestment of all distributions. The automatic reinvestment of all distributions will not relieve participants of any U.S. federal, state or local income tax that may be payable on such dividends or distributions.

Each Trust reserves the right to amend or terminate the Reinvestment Plan. There is no direct service charge to participants in the Reinvestment Plan; however, each Trust reserves the right to amend the Reinvestment Plan to include a service charge payable by the participants. Participants that request a sale of shares are subject to a $0.02 per share sold brokerage commission. All correspondence concerning the Reinvestment Plan should be directed to Computershare Trust Company, N.A. through the internet at http://www.computershare.com/blackrock, or in writing to Computershare, P.O. Box 505000, Louisville, KY 40233, Telephone: (800) 699-1236. Overnight correspondence should be directed to the Reinvestment Plan Agent at Computershare, 462 South 4th Street, Suite 1600, Louisville, KY 40202.

 

 

124    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Trustee and Officer Information

 

 

Independent Trustees (a)
         

Name

Year of Birth (b)

  

Position(s) Held

(Length of Service) (c)

   Principal Occupation(s) During Past Five Years   

Number of BlackRock-Advised
Registered Investment Companies

(“RICs”) Consisting of

Investment Portfolios

(“Portfolios”) Overseen (d)

   Public Company and
Investment Company
Directorships During
Past Five Years

Richard E. Cavanagh

1946

  

Chair of the Board

and Trustee

(Since 2007)

   Director, The Guardian Life Insurance Company of America since 1998; Board Chair, Volunteers of America (a not-for-profit organization) since 2015 (board member since 2009); Director, Arch Chemical (chemical and allied products) from 1999 to 2011; Trustee, Educational Testing Service from 1997 to 2009 and Chairman thereof from 2005 to 2009; Senior Advisor, The Fremont Group since 2008 and Director thereof since 1996; Faculty Member/Adjunct Lecturer, Harvard University since 2007; President and Chief Executive Officer, The Conference Board, Inc. (global business research organization) from 1995 to 2007.    74 RICs consisting of 74 Portfolios    None

Karen P. Robards

1950

  

Vice Chair of the Board

and Trustee

(Since 2007)

   Principal of Robards & Company, LLC (consulting and private investing) since 1987; Co-founder and Director of the Cooke Center for Learning and Development (a not-for-profit organization) since 1987; Investment Banker at Morgan Stanley from 1976 to 1987.    74 RICs consisting of 74 Portfolios    Greenhill & Co., Inc.; AtriCure, Inc. (medical devices) from 2000 until 2017

Michael J. Castellano

1946

  

Trustee

(Since 2011)

   Chief Financial Officer of Lazard Group LLC from 2001 to 2011; Chief Financial Officer of Lazard Ltd from 2004 to 2011; Director, Support Our Aging Religious (non-profit) from 2009 to June 2015 and since 2017; Director, National Advisory Board of Church Management at Villanova University since 2010; Trustee, Domestic Church Media Foundation since 2012; Director, CircleBlack Inc. (financial technology company) since 2015.    74 RICs consisting of 74 Portfolios    None

Cynthia L. Egan

1955

  

Trustee

(Since 2016)

   Advisor, U.S. Department of the Treasury from 2014 to 2015; President, Retirement Plan Services for T. Rowe Price Group, Inc. from 2007 to 2012; executive positions within Fidelity Investments from 1989 to 2007.    74 RICs consisting of 74 Portfolios    Unum (insurance); The Hanover Insurance Group (insurance); Envestnet (investment platform) from 2013 until 2016

Frank J. Fabozzi

1948

  

Trustee

(Since 2007)

   Editor of and Consultant for The Journal of Portfolio Management since 2006; Professor of Finance, EDHEC Business School since 2011; Visiting Professor, Princeton University from 2013 to 2014 and since 2016; Professor in the Practice of Finance and Becton Fellow, Yale University School of Management from 2006 to 2011.    74 RICs consisting of 74 Portfolios    None

Jerrold B. Harris

1942

  

Trustee

(Since 2007)

   Trustee, Ursinus College from 2000 to 2012; Director, Ducks Unlimited — Canada (conservation) since 2015; Director, Waterfowl Chesapeake (conservation) since 2014; Director, Ducks Unlimited, Inc. since 2013; Director, Troemner LLC (scientific equipment) from 2000 to 2016; Director of Delta Waterfowl Foundation from 2010 to 2012; President and Chief Executive Officer, VWR Scientific Products Corporation from 1990 to 1999.    74 RICs consisting of 74 Portfolios    BlackRock Capital Investment Corp. (business development company)

R. Glenn Hubbard

1958

  

Trustee

(Since 2007)

   Dean, Columbia Business School since 2004; Faculty member, Columbia Business School since 1988.    74 RICs consisting of 74 Portfolios    ADP (data and information services); Metropolitan Life Insurance Company (insurance)

 

 

TRUSTEE AND OFFICER INFORMATION      125  


Trustee and Officer Information  (continued)

 

Independent Trustees (a)
         

Name

Year of Birth (b)

  

Position(s) Held

(Length of Service) (c)

   Principal Occupation(s) During Past Five Years   

Number of BlackRock-Advised
Registered Investment Companies

(“RICs”) Consisting of

Investment Portfolios

(“Portfolios”) Overseen (d)

   Public Company and
Investment Company
Directorships During
Past Five Years

W. Carl Kester

1951

  

Trustee

(Since 2007)

   George Fisher Baker Jr. Professor of Business Administration, Harvard Business School since 2008, Deputy Dean for Academic Affairs from 2006 to 2010, Chairman of the Finance Unit, from 2005 to 2006, Senior Associate Dean and Chairman of the MBA Program from 1999 to 2005; Member of the faculty of Harvard Business School since 1981.    74 RICs consisting of 74 Portfolios    None

Catherine A. Lynch

1961

  

Trustee

(Since 2016)

   Chief Executive Officer, Chief Investment Officer and various other positions, National Railroad Retirement Investment Trust from 2003 to 2016; Associate Vice President for Treasury Management, The George Washington University from 1999 to 2003; Assistant Treasurer, Episcopal Church of America from 1995 to 1999.    74 RICs consisting of 74 Portfolios    None

 

Interested Trustees (e)

Barbara G. Novick

1960

   Trustee (Since 2015)    Vice Chairman of BlackRock, Inc. since 2006; Chair of BlackRock's Government Relations Steering Committee since 2009; Head of the Global Client Group of BlackRock, Inc. from 1988 to 2008.    100 RICs consisting of 218 Portfolios    None

John M. Perlowski

1964

  

Trustee (Since 2015), President and Chief Executive Officer

(Since 2011)

   Managing Director of BlackRock, Inc. since 2009; Head of BlackRock Global Accounting and Product Services since 2009; Managing Director and Chief Operating Officer of the Global Product Group at Goldman Sachs Asset Management, L.P. from 2003 to 2009; Treasurer of Goldman Sachs Mutual Funds from 2003 to 2009 and Senior Vice President thereof from 2007 to 2009; Director of Goldman Sachs Offshore Funds from 2002 to 2009; Advisory Director of Family Resource Network (charitable foundation) since 2009.    127 RICs consisting of 316 Portfolios    None

(a) The address of each Trustee is c/o BlackRock, Inc., 55 East 52nd Street, New York, NY 10055.

(b) Each Independent Trustee will serve until his or her successor is elected and qualifies, or until his or her earlier death, resignation, retirement or removal, or until December 31 of the year in which he or she turns 75. The maximum age limitation may be waived as to any Trustee by action of a majority of the Trustees upon finding of good cause therefor.

(c) Following the combination of Merrill Lynch Investment Managers, L.P. (“MLIM”) and BlackRock, Inc. (“BlackRock”) in September 2006, the various legacy MLIM and legacy BlackRock fund boards were realigned and consolidated into three new fund boards in 2007. As a result, although the chart shows certain Independent Trustees as joining the Board in 2007, each Trustee first became a member of the boards of other legacy MLIM or legacy BlackRock funds as follows: Richard E. Cavanagh, 1994; Frank J. Fabozzi, 1988; Jerrold B. Harris, 1999; R. Glenn Hubbard, 2004; W. Carl Kester, 1995 and Karen P. Robards, 1998.

(d) For purposes of this chart, “RICs” refers to investment companies registered under the 1940 Act and “Portfolios” refers to the investment programs of the BlackRock-advised funds. The Closed-End Complex is comprised of 74 RICS. Ms. Novick and Mr. Perlowski are also board members of certain complexes of BlackRock registered open-end funds. Ms. Novick is also a board member of the BlackRock Equity-Liquidity Complex and Mr. Perlowski is also a board member of the BlackRock Equity-Bond Complex and the BlackRock Equity-Liquidity Complex.

(e) Ms. Novick and Mr. Perlowski are both “interested persons,” as defined in the 1940 Act, of the Trust based on their positions with BlackRock and its affiliates. Ms. Novick and Mr. Perlowski are also board members of certain complexes of BlackRock registered open-end funds. Ms. Novick is also a board member of the BlackRock Equity-Liquidity Complex and Mr. Perlowski is also a board member of the BlackRock Equity-Bond Complex and the BlackRock Equity-Liquidity Complex. Interested Trustees serve until their resignation, removal or death, or until December 31 of the year in which they turn 72. The maximum age limitation may be waived as to any Trustee by action of a majority of the Trustees upon a finding of good cause therefor.

 

 

126    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Trustee and Officer Information  (continued)

 

Officers Who Are Not Trustees (a)

Name

Year of Birth (b)

  

Position(s) Held

(Length of Service)

   Principal Occupation(s) During Past Five Years

Jonathan Diorio

1980

  

Vice President

(Since 2015)

   Managing Director of BlackRock, Inc. since 2015; Director of BlackRock, Inc. from 2011 to 2015; Director of Deutsche Asset & Wealth Management from 2009 to 2011.

Neal J. Andrews

1966

  

Chief Financial Officer

(Since 2007)

   Managing Director of BlackRock, Inc. since 2006; Senior Vice President and Line of Business Head of Fund Accounting and Administration at PNC Global Investment Servicing (U.S.) Inc. from 1992 to 2006.

Jay M. Fife

1970

  

Treasurer

(Since 2007)

   Managing Director of BlackRock, Inc. since 2007; Director of BlackRock, Inc. in 2006; Assistant Treasurer of the MLIM and Fund Asset Management, L.P. advised funds from 2005 to 2006; Director of MLIM Fund Services Group from 2001 to 2006.

Charles Park

1967

   Chief Compliance Officer (Since 2014)    Anti-Money Laundering Compliance Officer for the BlackRock-advised Funds in the Equity-Bond Complex, the Equity-Liquidity Complex and the Closed-End Complex from 2014 to 2015; Chief Compliance Officer of BlackRock Advisors, LLC and the BlackRock-advised Funds in the Equity-Bond Complex, the Equity-Liquidity Complex and the Closed-End Complex since 2014; Principal of and Chief Compliance Officer for iShares® Delaware Trust Sponsor LLC since 2012 and BlackRock Fund Advisors (“BFA”) since 2006; Chief Compliance Officer for the BFA-advised iShares® exchange traded funds since 2006; Chief Compliance Officer for BlackRock Asset Management International Inc. since 2012.

Janey Ahn

1975

  

Secretary

(Since 2012)

   Managing Director of BlackRock, Inc. since 2018; Director of BlackRock, Inc. from 2009 to 2017; Assistant Secretary of the funds in the Closed-End Complex from 2008 to 2012.

(a) The address of each Officer is c/o BlackRock, Inc., 55 East 52nd Street, New York, NY 10055.

(b) Officers of the Trusts serve at the pleasure of the Board.

 

Effective December 31, 2017, Jerrold B. Harris retired as a Trustee of the Trusts.

Effective February 16, 2018, Barbara G. Novick resigned and Robert Fairbairn was appointed as an Interested Trustee of the Trusts.

As of the date of this report, the portfolio managers of BDJ are Kyle McClements, Chris Accettella, Tony DeSpirito, Franco Tapia and David Zhao. Mr. Tapia has been Managing Director of BlackRock, Inc. since 2016 and Senior Equity Research Analyst and Portfolio Manager at Pzena Investment Management from 2006 to 2016. Mr. Zhao has been Managing Director of BlackRock, Inc. since 2016 and Global Equity Senior Research Analyst and Principal at Pzena Investment Management from 2006 to 2016.

Effective March 1, 2018, the portfolio managers of BGR are Kyle McClements, Chris Accettella, Alastair Bishop and Mark Hume. Mr. Hume has been Director of BlackRock, Inc. since 2017; Portfolio Manager at Colonial First State Global Asset Management from 2010 to 2017; and Senior Director of Bank of America Merrill Lynch from 2008 to 2010.

 

Investment Adviser   Transfer Agent
BlackRock Advisors, LLC   Computershare Trust Company, N.A.
Wilmington, DE 19809   Canton, MA 02021
 
Sub-Advisers   Independent Registered Public Accounting Firm
BlackRock International LTD.(a)   Deloitte & Touche LLP
Edinburgh, EH3 8BL   Philadelphia, PA 19103
United Kingdom  
 
Custodian and Accounting Agent   Distributor
State Street Bank and Trust Company   BlackRock Investments, LLC(b)
Boston, MA 02111   New York, NY 10022
 
  Legal Counsel
  Skadden, Arps, Slate, Meagher & Flom LLP
  Boston, MA 02116
 
  Address of the Trusts
  100 Bellevue Parkway
  Wilmington, DE 19809

 

(a)  For BGR, BOE, BGY, BCX and BUI.
(b)  For BME.

 

 

 

TRUSTEE AND OFFICER INFORMATION      127  


Additional Information

 

Proxy Results

The Annual Meeting of Shareholders was held on July 25, 2017 for shareholders of record on May 30, 2017, to elect trustee nominees for each Trust. There were no broker non-votes with regard to any of the Trusts.

Approved the Trustees as follows:

 

  

 

  Michael J. Castellano        R. Glenn Hubbard        W. Carl Kester        John M. Perlowski  
     Votes For     Votes Withheld        Votes For     Votes Withheld        Votes For     Votes Withheld        Votes For     Votes Withheld  

BDJ

    172,316,199       2,060,042          168,906,988       5,469,253          169,074,979       5,301,262          172,521,017       1,855,224  

BGR

    26,262,777       586,895          26,259,240       590,432          26,252,162       597,510          26,258,136       591,536  

BOE

    63,162,486       1,306,024          63,171,443       1,297,067          63,191,363       1,277,147          63,195,329       1,273,181  

BME

    8,086,439       116,420          8,101,023       101,836          8,080,837       122,022          8,092,812       110,047  

BGY

    99,464,198       3,914,934          99,347,204       4,031,928          99,410,157       3,968,975          99,487,657       3,891,475  

BCX

    89,047,742       1,761,760          88,934,064       1,875,438          88,942,906       1,866,596          89,144,401       1,665,101  

BUI

    15,328,857       224,142          15,303,064       249,935          15,307,202       245,797          15,348,054       204,945  

BST

    20,213,375       1,205,255          20,255,804       1,162,826          20,258,566       1,160,064          20,255,974       1,162,656  

For the Trusts listed above, Trustees whose term of office continued after the Annual Meeting of Shareholders because they were not up for election are Richard E. Cavanagh, Cynthia L. Egan, Frank J. Fabozzi, Jerrold B. Harris, Catherine A. Lynch, Barbara G. Novick (resigned effective February 16, 2018) and Karen P. Robards.

Fund Certification

The Trusts are listed for trading on the NYSE and have filed with the NYSE their annual chief executive officer certification regarding compliance with the NYSE’s listing standards. The Trusts filed with the SEC the certification of its chief executive officer and chief financial officer required by section 302 of the Sarbanes-Oxley Act.

General Information

The Trusts, other than BME, do not make available copies of their Statements of Additional Information because the Trusts’ shares, except for BME, are not continuously offered, which means that the Statements of Additional Information of each Trust, other than BME, have not been updated after completion of the respective Trust’s offerings and the information contained in each such Trust’s Statement of Additional Information may have become outdated.

BME’s Statement of Additional Information includes addition information about its Board and is available, without charge upon request by calling 1-800-882-0052.

Except as described below, 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. Except as disclosed on page 127, there have been no changes in the persons who are primarily responsible for the day-to-day management of the Trusts’ portfolios.

On March 22, 2017, BOE’s and BGY’s Board approved changes to certain non-fundamental investment policies of each Trust.

Historically, under normal market conditions, BOE has been required to invest (i) at least 80% of its total assets in equity securities or indices or sectors of equity securities and (ii) at least 30% of its total assets at the time of investment in the equity securities of non-U.S. issuers. Under the new investment policy, under normal circumstances, the Trust is required to invest (i) at least 80% of its net assets in dividend-paying equity securities and (ii) at least 40% of its assets outside of the United States, unless market conditions are not deemed favorable by Trust management, in which case the Trust would invest at least 30% of its assets outside of the United States.

BOE has also historically intended to write covered put and call options with respect to approximately 45% to 65% of its total assets, with the expectation that such percentage would vary from time to time with market conditions. Under the new investment policy, the Trust intends to write covered put and call options with respect to approximately 30% to 45% of its total assets, although this percentage may vary from time to time with market conditions.

Finally, BOE has historically been permitted to invest in companies of any size market capitalization. While the new investment policy continues to permit this, the Trust intends to invest primarily in the securities of large capitalization companies.

In connection with these changes in certain non-fundamental policies, BOE’s Board approved a change to the Trust’s name from “BlackRock Global Opportunities Equity Trust” to “BlackRock Enhanced Global Dividend Trust” to reflect BOE’s new portfolio characteristics.

Historically, under normal market conditions, BGY has been required to invest at least 80% of its total assets in equity securities issued by non-U.S. companies. Under the new investment policy, under normal circumstances, the Trust will be required to invest at least 80% of its net assets in dividend-paying equity securities issued by non-U.S. companies.

BGY has also historically intended to write covered put and call options with respect to approximately 45% to 55% of its total assets, with the expectation that such percentage would vary from time to time with market conditions. Under the new investment policy, the Trust intends to write covered put and call options with respect to approximately 30% to 45% of its total assets, although this percentage may vary from time to time with market conditions.

Finally, BGY has historically been permitted to invest in companies of any size market capitalization. While the new investment policy continues to permit this, it specifies that the Trust intends to invest primarily in the securities of large capitalization companies.

 

 

128    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Additional Information  (continued)

 

In connection with these changes in certain non-fundamental policies, BGY’s Board approved a change to the Trust’s name from “BlackRock International Growth & Income Trust” to “BlackRock Enhanced International Dividend Trust” to reflect the Trust’s new portfolio characteristics.

An affiliate has reimbursed BOE and BGY for certain transaction costs associated with repositioning of the fund investments described above.

The approved changes to BGY and BOE will not alter either Trust’s investment objective. Each Trust continues to trade on the NYSE under its current ticker symbol.

On October 28, 2016, CII announced that it had divided its Board into three classes, with one class standing for election each year, and had adopted a voting standard of a majority of the outstanding shares for the election of directors in a contested election.

On October 28, 2016, BGR, BDJ, BOE, BGY, BME, BCX, BST and BUI announced that they had adopted a voting standard of a majority of the outstanding shares for the election of directors in a contested election.

On September 6, 2017, BUI’s Board approved changes to certain non-fundamental investment policies of the Trust.

Historically, under normal market conditions, BUI has been required to invest at least 80% of its total assets in equity securities issued by companies that are engaged in the Utilities or Infrastructure business segments. Under the new investment policy, under normal market conditions, the Trust will invest at least 80% of its total assets in equity securities issued by companies that are engaged in the Utilities, Infrastructure and Power Opportunities business segments.

In connection with these changes in certain non-fundamental policies, BUI’s Board approved a change to the Trust’s name from BlackRock Utility and Infrastructure Trust to BlackRock Utilities, Infrastructure & Power Opportunities Trust to reflect BUI’s new portfolio characteristics.

The approved changes to BUI will not alter the Trust’s investment objective. The Trust continues to trade on the NYSE under its current ticker symbol.

In accordance with Section 23(c) of the Investment Company Act of 1940, as amended, the Trusts from time to time may purchase its common shares in the open market or in private transactions.

Quarterly performance, semi-annual and annual reports and other information regarding the Trusts may be found on BlackRock’s website, which can be accessed at http://www.blackrock.com. Any reference to BlackRock’s website in this report is intended to allow investors public access to information regarding the Trusts and does not, and is not intended to, incorporate BlackRock’s website in this report.

Electronic Delivery

Shareholders can sign up for e-mail notifications of quarterly statements, annual and semi-annual shareholder reports by enrolling in the electronic delivery program. Electronic copies of shareholder reports are available on BlackRock’s website.

To enroll in electronic delivery:

Shareholders Who Hold Accounts with Investment Advisers, Banks or Brokerages:

Please contact your financial advisor. Please note that not all investment advisers, banks or brokerages may offer this service.

Householding

The Trusts will mail only one copy of shareholder documents, annual and semi-annual reports and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called “householding” and is intended to reduce expenses and eliminate duplicate mailings of shareholder documents. Mailings of your shareholder documents may be householded indefinitely unless you instruct us otherwise. If you do not want the mailing of these documents to be combined with those for other members of your household, please call the Trusts (800) 882-0052.

Availability of Quarterly Schedule of Investments

The Trusts file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Trusts’ Forms N-Q are available on the SEC’s website at http://www.sec.gov. and may also be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room or how to access documents on the SEC’s website without charge may be obtained by calling (800) SEC-0330. The Trusts’ Forms N-Q may also be obtained upon request and without charge by calling (800) 882-0052.

Availability of Proxy Voting Policies and Procedures

A description of the policies and procedures that the Trusts use to determine how to vote proxies relating to portfolio securities is available upon request and without charge (1) by calling (800) 882-0052; (2) at http://www.blackrock.com; and (3) on the SEC’s website at http://www.sec.gov.

Availability of Proxy Voting Record

Information about how the Trusts voted proxies relating to securities held in the Trusts’ portfolio during the most recent 12-month period ended June 30 is available upon request and without charge (1) at http://www.blackrock.com or by calling (800) 882-0052 and (2) on the SEC’s website at http://www.sec.gov.

 

 

ADDITIONAL INFORMATION      129  


Additional Information  (continued)

 

Availability of Trust Updates

BlackRock will update performance and certain other data for the Trusts on a monthly basis on its website in the “Closed-end Funds” section of http://www.blackrock.com as well as certain other material information as necessary from time to time. Investors and others are advised to check the website for updated performance information and the release of other material information about the Trusts. This reference to BlackRock’s website is intended to allow investors public access to information regarding the Trusts and does not, and is not intended to, incorporate BlackRock’s website in this report.

Shelf Offering Program

From time-to-time, each Trust may seek to raise additional equity capital through an equity shelf program (a “Shelf Offering”). In a Shelf Offering, a Trust may, subject to market conditions, raise additional equity capital by issuing new Common Shares from time to time in varying amounts at a net price at or above the Trust’s net asset value (“NAV”) per Common Share (calculated within 48 hours of pricing). While any such Shelf Offering may allow a Trust to pursue additional investment opportunities without the need to sell existing portfolio investments, it could also entail risks — including that the issuance of additional Common Shares may limit the extent to which the Common Shares are able to trade at a premium to NAV in the secondary market.

BME has filed a final prospectus with the SEC in connection with its Shelf Offering. This report and the prospectus of BME are not offers to sell BME Common Shares or solicitations of an offer to buy BME Common Shares in any jurisdiction where such offers or sales are not permitted. The prospectus of BME contains important information about the Trust, including its investment objective, risks, charges and expenses. Investors are urged to read the prospectus of BME carefully and in its entirety before investing. Copies of the final prospectus for BME can be obtained from BlackRock at http://www.blackrock.com.

Dividend Policy

Each Trust’s dividend policy is to distribute all or a portion of its net investment income to its shareholders on a monthly basis. In order to provide shareholders with a more stable level of dividend distributions, the distributions paid by the Trusts for any particular month may be more or less than the amount of net investment income earned by the Trusts during such month. The portion of distributions that exceeds a Trust’s current and accumulated earnings and profits, which are measured on a tax basis, will constitute a nontaxable return of capital. Distributions in excess of a Trust’s taxable income and net capital gains, but not in excess of a Trust’s earnings and profits, will be taxable to shareholders as ordinary income and will not constitute a nontaxable return of capital. The Trusts’ current accumulated but undistributed net investment income, if any, is disclosed in the Statements of Assets and Liabilities, which comprises part of the financial information included in this report.

BlackRock Privacy Principles

BlackRock is committed to maintaining the privacy of its current and former fund investors and individual clients (collectively, “Clients”) and to safeguarding their non-public personal information. The following information is provided to help you understand what personal information BlackRock collects, how we protect that information and why in certain cases we share such information with select parties.

If you are located in a jurisdiction where specific laws, rules or regulations require BlackRock to provide you with additional or different privacy-related rights beyond what is set forth below, then BlackRock will comply with those specific laws, rules or regulations.

BlackRock obtains or verifies personal non-public information from and about you from different sources, including the following: (i) information we receive from you or, if applicable, your financial intermediary, on applications, forms or other documents; (ii) information about your transactions with us, our affiliates, or others; (iii) information we receive from a consumer reporting agency; and (iv) from visits to our websites.

BlackRock does not sell or disclose to non-affiliated third parties any non-public personal information about its Clients, except as permitted by law or as is necessary to respond to regulatory requests or to service Client accounts. These non-affiliated third parties are required to protect the confidentiality and security of this information and to use it only for its intended purpose.

We may share information with our affiliates to service your account or to provide you with information about other BlackRock products or services that may be of interest to you. In addition, BlackRock restricts access to non-public personal information about its Clients to those BlackRock employees with a legitimate business need for the information. BlackRock maintains physical, electronic and procedural safeguards that are designed to protect the non-public personal information of its Clients, including procedures relating to the proper storage and disposal of such information.

 

 

130    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Glossary of Terms Used in this Report

 

 

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

 

 

GLOSSARY OF TERMS USED IN THIS REPORT      131  


This report is intended for current holders. It is not a prospectus. Past performance results shown in this report should not be considered a representation of future performance. Statements and other information herein are as dated and are subject to change.

 

LOGO

 

 

CEF-BK9-12/17-AR    LOGO


Item 2 – Code of Ethics – The registrant (or the “Fund”) has adopted a code of ethics, as of the end of the period covered by this report, applicable to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions. During the period covered by this report, the code of ethics was amended to clarify an inconsistency as to whom persons covered by the code should report suspected violations of the code. The amendment clarifies that such reporting should be made to BlackRock Advisors, LLC’s (“Investment Adviser” or “BlackRock”) General Counsel, and retains the alternative option of anonymous reporting following “whistleblower” policies. Other non-material changes were also made in connection with this amendment. During the period covered by this report, there have been no waivers granted under the code of ethics. The registrant undertakes to provide a copy of the code of ethics to any person upon request, without charge, who calls 1-800-882-0052, option 4.

 

Item 3 – Audit Committee Financial Expert – The registrant’s board of directors (the “board of directors”), has determined that (i) the registrant has the following audit committee financial experts serving on its audit committee and (ii) each audit committee financial expert is independent:

Michael Castellano

Frank J. Fabozzi

W. Carl Kester

Catherine A. Lynch

Karen P. Robards

The registrant’s board of directors has determined that W. Carl Kester and Karen P. Robards qualify as financial experts pursuant to Item 3(c)(4) of Form N-CSR.

Prof. Kester has a thorough understanding of generally accepted accounting principles, financial statements and internal control over financial reporting as well as audit committee functions. Prof. Kester has been involved in providing valuation and other financial consulting services to corporate clients since 1978. Prof. Kester’s financial consulting services present a breadth and level of complexity of accounting issues that are generally comparable to the breadth and complexity of issues that can reasonably be expected to be raised by the registrant’s financial statements.

Ms. Robards has a thorough understanding of generally accepted accounting principles, financial statements and internal control over financial reporting as well as audit committee functions. Ms. Robards has been President of Robards & Company, a financial advisory firm, since 1987. Ms. Robards was formerly an investment banker for more than 10 years where she was responsible for evaluating and assessing the performance of companies based on their financial results. Ms. Robards has over 30 years of experience analyzing financial statements. She also is a member of the audit committee of one publicly held company and a non-profit organization.

Under applicable securities laws, a person determined to be an audit committee financial expert will not be deemed an “expert” for any purpose, including without limitation for the purposes of Section 11 of the Securities Act of 1933, as a result of being designated or identified as an audit committee financial expert. The designation or identification as an audit committee financial expert does not impose on such person any duties, obligations, or liabilities greater than the duties, obligations, and liabilities imposed on such person as a member of the audit committee and board of directors in the absence of such designation or identification. The designation or identification of a person as an audit committee financial expert does not affect the duties, obligations, or liability of any other member of the audit committee or board of directors.

 

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Item 4 – Principal Accountant Fees and Services

The following table presents fees billed by Deloitte & Touche LLP (“D&T”) in each of the last two fiscal years for the services rendered to the Fund:

 

     (a) Audit Fees   (b) Audit-Related Fees1   (c) Tax Fees2   (d) All Other Fees
    Entity Name       Current
    Fiscal Year    
End
  Previous
    Fiscal Year    
End
  Current
    Fiscal Year    
End
  Previous
    Fiscal Year    
End
  Current
    Fiscal Year    
End
  Previous
    Fiscal Year    
End
  Current
    Fiscal Year    
End
  Previous
    Fiscal Year    
End
BlackRock Health Sciences Trust   $42,284   $44,154   $11,500   $4,000   $15,147   $15,147   $0   $0

The following table presents fees billed by D&T that were required to be approved by the registrant’s audit committee (the “Committee”) for services that relate directly to the operations or financial reporting of the Fund and that are rendered on behalf of BlackRock and entities controlling, controlled by, or under common control with BlackRock (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) that provide ongoing services to the Fund (“Affiliated Service Providers”):

 

                 Current Fiscal Year  End                           Previous  Fiscal Year End            

(b) Audit-Related Fees1

  $0   $0

(c) Tax Fees2

  $0   $0

(d) All Other Fees3

  $2,129,000   $2,154,000

1 The nature of the services includes assurance and related services reasonably related to the performance of the audit or review of financial statements not included in Audit Fees, including accounting consultations, agreed-upon procedure reports, attestation reports, comfort letters, out-of-pocket expenses and internal control reviews not required by regulators.

2 The nature of the services includes tax compliance and/or tax preparation, including services relating to the filing or amendment of federal, state or local income tax returns, regulated investment company qualification reviews, taxable income and tax distribution calculations.

3 Non-audit fees of $2,129,000 and $2,154,000 for the current fiscal year and previous fiscal year, respectively, were paid to the Fund’s principal accountant in their entirety by BlackRock, in connection with services provided to the Affiliated Service Providers of the Fund and of certain other funds sponsored and advised by BlackRock or its affiliates for a service organization review and an accounting research tool subscription. These amounts represent aggregate fees paid by BlackRock and were not allocated on a per fund basis.

(e)(1) Audit Committee Pre-Approval Policies and Procedures:

The Committee has adopted policies and procedures with regard to the pre-approval of services. Audit, audit-related and tax compliance services provided to the registrant on an annual basis require specific pre-approval by the Committee. The Committee also must approve other non-audit services provided to the registrant and those non-audit services provided to the Investment Adviser and Affiliated Service Providers that relate directly to the operations and the financial reporting of the registrant. Certain of these non-audit services that the Committee believes are (a) consistent with the SEC’s auditor independence rules and (b) routine and recurring services that will not impair the independence of the independent accountants may be approved by the Committee without consideration on a specific case-by-case basis (“general pre-approval”). The term of any general pre-approval is 12 months from the date of the pre-approval, unless the Committee provides for a different period. Tax or other non-audit services provided to the registrant which have a direct impact on the operations or financial reporting of the registrant will only be deemed pre-approved provided that any individual project does not exceed $10,000 attributable to the registrant or $50,000 per project. For this purpose, multiple projects will be aggregated to determine if they exceed the previously mentioned cost levels.

 

3


Any proposed services exceeding the pre-approved cost levels will require specific pre-approval by the Committee, as will any other services not subject to general pre-approval (e.g., unanticipated but permissible services). The Committee is informed of each service approved subject to general pre-approval at the next regularly scheduled in-person board meeting. At this meeting, an analysis of such services is presented to the Committee for ratification. The Committee may delegate to the Committee Chairman the authority to approve the provision of and fees for any specific engagement of permitted non-audit services, including services exceeding pre-approved cost levels.

(e)(2) None of the services described in each of Items 4(b) through (d) were approved by the Committee pursuant to the de minimis exception in paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.

(f) Not Applicable

(g) The aggregate non-audit fees, defined as the sum of the fees shown under “Audit-Related Fees,” “Tax Fees” and “All Other Fees,” paid to the accountant for services rendered by the accountant to the registrant, the Investment Adviser and the Affiliated Service Providers were:

 

     Entity Name       Current Fiscal Year    
End
    Previous Fiscal Year   
End
 

BlackRock Health Sciences

Trust

  $26,647   $19,147

Additionally, the amounts billed by D&T in connection with services provided to the Affiliated Service Providers of the Fund and of other funds sponsored or advised by BlackRock or its affiliates during the current and previous fiscal years for a service organization review and an accounting research tool subscription were:

 

    Current Fiscal    

Year End

 

    Previous Fiscal    

Year End

$2,129,000   $2,154,000

These amounts represent aggregate fees paid by BlackRock and were not allocated on a per fund basis.

(h) The Committee has considered and determined that the provision of non-audit services that were rendered to the Investment Adviser, and the Affiliated Service Providers that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.

 

4


Item 5 – Audit Committee of Listed Registrants
  (a) The following individuals are members of the registrant’s separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934 (15 U.S.C. 78c(a)(58)(A)):

Michael Castellano

Frank J. Fabozzi

W. Carl Kester

Catherine A. Lynch

Karen P. Robards

 

  (b) Not Applicable

 

Item 6 – Investments

(a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1 of this Form.

(b) Not Applicable due to no such divestments during the semi-annual period covered since the previous Form N-CSR filing.

 

Item 7 – Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – The board of directors has delegated the voting of proxies for the Fund’s portfolio securities to the Investment Adviser pursuant to the Investment Adviser’s proxy voting guidelines. Under these guidelines, the Investment Adviser will vote proxies related to Fund securities in the best interests of the Fund and its stockholders. From time to time, a vote may present a conflict between the interests of the Fund’s stockholders, on the one hand, and those of the Investment Adviser, or any affiliated person of the Fund or the Investment Adviser, on the other. In such event, provided that the Investment Adviser’s Equity Investment Policy Oversight Committee, or a sub-committee thereof (the “Oversight Committee”) is aware of the real or potential conflict or material non-routine matter and if the Oversight Committee does not reasonably believe it is able to follow its general voting guidelines (or if the particular proxy matter is not addressed in the guidelines) and vote impartially, the Oversight Committee may retain an independent fiduciary to advise the Oversight Committee on how to vote or to cast votes on behalf of the Investment Adviser’s clients. If the Investment Adviser determines not to retain an independent fiduciary, or does not desire to follow the advice of such independent fiduciary, the Oversight Committee shall determine how to vote the proxy after consulting with the Investment Adviser’s Portfolio Management Group and/or the Investment Adviser’s Legal and Compliance Department and concluding that the vote cast is in its client’s best interest notwithstanding the conflict. A copy of the Fund’s Proxy Voting Policy and Procedures are attached as Exhibit 99.PROXYPOL. Information on how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, (i) at www.blackrock.com and (ii) on the SEC’s website at http://www.sec.gov.

 

Item 8 – Portfolio Managers of Closed-End Management Investment Companies

(a)(1) As of the date of filing this Report:

The registrant is managed by a team of investment professionals comprised of Erin Xie, PhD, MBA, Managing Director at BlackRock, Kyle G. McClements, CFA, Managing Director at

 

5


BlackRock and Christopher Accettella, Director at BlackRock. Messrs. Accettella and McClements and Ms. Xie are the Fund’s portfolio managers and are responsible for the day-to-day management of the Fund’s portfolio and the selection of its investments. Mr. McClements and Ms. Xie have been members of the Fund’s portfolio management team since 2005. Mr. Accettella has been a member of the Fund’s portfolio management team since 2012.

 

Portfolio Manager

  Biography
Erin Xie, PhD, MBA   Managing Director of BlackRock since 2006; Director of BlackRock from 2005 to 2006; Senior Vice President of State Street Research & Management from 2001 to 2005.
Kyle G. McClements, CFA   Managing Director of BlackRock since 2009; Director of BlackRock from 2006 to 2008; Vice President of BlackRock in 2005; Vice President of State Street Research & Management from 2004 to 2005.
Christopher Accettella   Director of BlackRock since 2008; Vice President of BlackRock, Inc. from 2005 to 2008.

(a)(2) As of December 31, 2017:

 

     

(ii) Number of Other Accounts Managed

and Assets by Account Type

 

(iii) Number of Other Accounts and

Assets for Which Advisory Fee is

Performance-Based

(i) Name of

Portfolio Manager

  

Other

Registered

    Investment    

Companies

 

    Other Pooled    

Investment

Vehicles

 

Other

    Accounts    

 

Other

Registered

    Investment    

Companies

 

    Other Pooled    

Investment

Vehicles

 

Other

    Accounts    

Erin Xie, PhD, MBA

   3   2   1   0   0   1
     $6.62 Billion   $3.19 Billion   $1.07 Billion   $0   $0   $1.07 Billion

Kyle G. McClements, CFA

   9   8   2   0   0   0
     $7.54 Billion   $684.4 Million   $445.7 Million   $0   $0   $0
Christopher Accettella    10   14   0   0   0   0
     $8.82 Billion   $2.41 Billion   $0   $0   $0   $0

  (iv) Portfolio Manager Potential Material Conflicts of Interest

BlackRock has built a professional working environment, firm-wide compliance culture and compliance procedures and systems designed to protect against potential incentives that may favor one account over another. BlackRock has adopted policies and procedures that address the allocation of investment opportunities, execution of portfolio transactions, personal trading by employees and other potential conflicts of interest that are designed to ensure that all client accounts are treated equitably over time. Nevertheless, BlackRock furnishes investment management and advisory services to numerous clients in addition to the Fund, and BlackRock may, consistent with applicable law, make investment recommendations to other clients or accounts (including accounts which are hedge funds or have performance or higher fees paid to BlackRock, or in which portfolio managers have a personal interest in the receipt of such fees), which may be the same as or different from those made to the Fund. In addition, BlackRock, Inc., its affiliates and significant shareholders and any officer, director, shareholder or employee may or may not have an interest in the securities whose purchase and sale BlackRock recommends to the Fund. BlackRock, Inc., or any of its affiliates or significant shareholders, or any

 

6


officer, director, shareholder, employee or any member of their families may take different actions than those recommended to the Fund by BlackRock with respect to the same securities. Moreover, BlackRock may refrain from rendering any advice or services concerning securities of companies of which any of BlackRock, Inc.’s (or its affiliates’ or significant shareholders’) officers, directors or employees are directors or officers, or companies as to which BlackRock, Inc. or any of its affiliates or significant shareholders or the officers, directors and employees of any of them has any substantial economic interest or possesses material non-public information. Certain portfolio managers also may manage accounts whose investment strategies may at times be opposed to the strategy utilized for a fund. It should also be noted that Ms. Xie may be managing hedge fund and/or long only accounts, or may be part of a team managing hedge fund and/or long only accounts, subject to incentive fees. Ms. Xie may therefore be entitled to receive a portion of any incentive fees earned on such accounts.

As a fiduciary, BlackRock owes a duty of loyalty to its clients and must treat each client fairly. When BlackRock purchases or sells securities for more than one account, the trades must be allocated in a manner consistent with its fiduciary duties. BlackRock attempts to allocate investments in a fair and equitable manner among client accounts, with no account receiving preferential treatment. To this end, BlackRock, Inc. has adopted policies that are intended to ensure reasonable efficiency in client transactions and provide BlackRock with sufficient flexibility to allocate investments in a manner that is consistent with the particular investment discipline and client base, as appropriate.

(a)(3) As of December 31, 2017:

Portfolio Manager Compensation Overview

The discussion below describes the portfolio managers’ compensation as of December 31, 2017.

BlackRock’s financial arrangements with its portfolio managers, its competitive compensation and its career path emphasis at all levels reflect the value senior management places on key resources. Compensation may include a variety of components and may vary from year to year based on a number of factors. The principal components of compensation include a base salary, a performance-based discretionary bonus, participation in various benefits programs and one or more of the incentive compensation programs established by BlackRock.

Base Compensation. Generally, portfolio managers receive base compensation based on their position with the firm.

Discretionary Incentive Compensation - Ms. Xie

Generally, discretionary incentive compensation for Active Equity portfolio managers is based on a formulaic compensation program. BlackRock’s formulaic portfolio manager compensation program is based on team revenue and pre-tax investment performance relative to appropriate competitors or benchmarks over 1-, 3- and 5-year performance periods, as applicable. In most cases, these benchmarks are the same as the benchmark or benchmarks against which the performance of the Funds or other accounts managed by the portfolio managers are measured. BlackRock’s Chief Investment Officers determine the benchmarks or rankings against which the

 

7


performance of the Funds or other accounts managed by the portfolio managers are measured. BlackRock’s Chief Investment Officers determine the benchmarks or rankings against which the performance of funds and other accounts managed by each portfolio management team is compared and the period of time over which performance is evaluated. With respect to the portfolio manager, such benchmarks for the Fund and other accounts are: MSCI All Country World Index (Net Total Return); MSCI All Country World ex US - Net Return; MSCI All Country World ex US Index (Net TR); MSCI World Health Care; Morningstar Global Large-Cap Blend Equity; Morningstar Foreign Large Blend; LIPPER Options Arbitrage/Opt Strategies Funds; S&P United States MidSmallCap Index; MSCI All Country World Index (Net Total Return); Morningstar US Mid-Cap Equity; Morningstar Mid-Cap Growth;MS Investment Association North America Classification; Morningstar World Stock; MS Investment Association Global Classification; LIPPER Options Arbitrage/Opt Strategies Funds; Morningstar Technology; LIPPER Sector Equity Funds; S&P 500 Index; Russell 3000 HealthCare Index; Citigroup 3-month T-bill Index; Morningstar Sector Equity Healthcare; Morningstar Health Classification; and LIPPER Sector Equity Funds.

A smaller element of portfolio manager discretionary compensation may include consideration of: financial results, expense control, profit margins, strategic planning and implementation, quality of client service, market share, corporate reputation, capital allocation, compliance and risk control, leadership, technology and innovation. These factors are considered collectively by BlackRock management and the relevant Chief Investment Officers.

Discretionary Incentive Compensation - Messrs. Accettella and McClements

Discretionary incentive compensation is a function of several components: the performance of BlackRock, Inc., the performance of the portfolio manager’s group within BlackRock, the investment performance, including risk-adjusted returns, of the firm’s assets or strategies under management or supervision by that portfolio manager, and/or the individual’s performance and contribution to the overall performance of these portfolios and BlackRock. Among other things, BlackRock’s Chief Investment Officers make a subjective determination with respect to each portfolio manager’s compensation based on the performance of the Funds, other accounts or strategies managed by each portfolio manager. Performance is generally measured on a pre-tax basis over various time periods including 1-, 3- and 5- year periods, as applicable. The performance of some Funds, other accounts or strategies may not be measured against a specific benchmark.

Distribution of Discretionary Incentive Compensation. Discretionary incentive compensation is distributed to portfolio managers in a combination of cash, deferred BlackRock, Inc. stock awards, and/or deferred cash awards that notionally track the return of certain BlackRock investment products.

Typically, the cash portion of the discretionary incentive compensation, when combined with base salary, represents more than 60% of total compensation for the portfolio managers.

Portfolio managers generally receive deferred BlackRock, Inc. stock awards as part of their discretionary incentive compensation. Paying a portion of discretionary incentive compensation in the form of deferred BlackRock, Inc. stock puts compensation earned by a portfolio manager for a given year “at risk” based on BlackRock’s ability to sustain and improve its performance over future periods. Deferred BlackRock, Inc. stock awards are generally granted in the form of BlackRock, Inc. restricted stock units that vest ratably over a number of years and, once vested, settle in

 

8


BlackRock, Inc. common stock. In some cases, additional deferred BlackRock, Inc. stock may be granted to certain key employees as part of a long-term incentive award to aid in retention, align their interests with long-term shareholder interests and motivate performance. Such equity awards are generally granted in the form of BlackRock, Inc. restricted stock units that vest pursuant to the terms of the applicable plan and, once vested, settle in BlackRock, Inc. common stock. The portfolio managers of this Fund have deferred BlackRock, Inc. stock awards.

For some portfolio managers, discretionary incentive compensation is also distributed in the form of deferred cash awards that notionally track the returns of select BlackRock investment products they manage. Providing a portion of discretionary incentive compensation in deferred cash awards that notionally track the BlackRock investment products they manage provides direct alignment with investment product results. Deferred cash awards vest ratably over a number of years and, once vested, settle in the form of cash. Any portfolio manager who is either a managing director or director at BlackRock with compensation above a specified threshold is eligible to participate in the deferred compensation program.

Other Compensation Benefits. In addition to base salary and discretionary incentive compensation, portfolio managers may be eligible to receive or participate in one or more of the following:

Incentive Savings Plans — BlackRock, Inc. has created a variety of incentive savings plans in which BlackRock, Inc. employees are eligible to participate, including a 401(k) plan, the BlackRock Retirement Savings Plan (RSP), and the BlackRock Employee Stock Purchase Plan (ESPP). The employer contribution components of the RSP include a company match equal to 50% of the first 8% of eligible pay contributed to the plan capped at $5,000 per year, and a company retirement contribution equal to 3-5% of eligible compensation up to the Internal Revenue Service limit ($270,000 for 2017). The RSP offers a range of investment options, including registered investment companies and collective investment funds managed by the firm. BlackRock, Inc. contributions follow the investment direction set by participants for their own contributions or, absent participant investment direction, are invested into a target date fund that corresponds to, or is closest to, the year in which the participant attains age 65. The ESPP allows for investment in BlackRock, Inc. common stock at a 5% discount on the fair market value of the stock on the purchase date. Annual participation in the ESPP is limited to the purchase of 1,000 shares of common stock or a dollar value of $25,000 based on its fair market value on the purchase date. All of the eligible portfolio managers are eligible to participate in these plans.

(a)(4) Beneficial Ownership of Securities – As of December 31, 2017.

 

Portfolio Manager

  

Dollar Range of Equity Securities

of the Fund Beneficially Owned

Erin Xie, PhD, MBA

  

$100,001 - $500,000

Kyle G. McClements, CFA

  

$10,001 - $50,000

Christopher Accettella

  

$10,001 - $50,000

(b) Not Applicable

 

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Item 9 – Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers

 

Period   (a) Total   (b) Average   (c) Total Number of   (d) Maximum Number of
    

Number of

Shares

Purchased

  Price Paid per
Share
  Shares Purchased as Part
of Publicly Announced
Plans or Programs
 

Shares that May Yet Be
Purchased Under the Plans

or Programs1

July 1 – 31, 2017   N/A   N/A   N/A   423,548
August 1 – 31, 2017   N/A   N/A   N/A   423,548
September 1 – 30, 2017   N/A   N/A   N/A   423,548
October 1- 31, 2017   N/A   N/A   N/A   423,548
November 1 – 30, 2017   N/A   N/A   N/A   423,548
December 1 – 31, 2017   N/A   N/A   N/A   463,672
Total:   N/A   N/A   N/A   463,672

1The Fund announced an open market share repurchase program on October 28, 2016 pursuant to which the Fund was authorized to repurchase, through November 30, 2017, up to 5% of its outstanding common shares based on common shares outstanding on October 28, 2016 (423,548 common shares), in open market transactions. On September 6, 2017, the Fund announced a continuation of the open market share repurchase program, which commenced on December 1, 2017. The Fund may repurchase up to 5% of its outstanding shares based on common shares outstanding on November 30, 2017, in open market transactions, subject to certain conditions.

 

Item 10 – Submission of Matters to a Vote of Security Holders – There have been no material changes to these procedures.

 

Item 11 – Controls and Procedures

(a) The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) under the Securities Exchange Act of 1934, as amended.

(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

 

Item 12 – Disclosure of Securities Lending Activities for Closed-End Management Investment Companies

(a) The following table shows the dollar amounts of income, and dollar amounts of fees and/or compensation paid, relating to the Fund’s securities lending activities during the fiscal year ended December 31, 2017.

 

                                         BlackRock Health Sciences Trust

(1)  

Gross income from securities lending activities

   $2,685
(2)  

Fees and/or compensation for securities lending activities and related services

  
    (a)    Securities lending income paid to BIM for services as securities lending agent    $444
  (b)    Collateral management expenses (including fees deducted from a polled cash collateral vehicle) not included in (a)      $35

 

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           (c)    Administrative fees not included in (a)    $0
           (d)    Indemnification fees not included in (a)    $0
           (e)    Rebate (paid to borrowers)    $0
           (f)    Other fees not included in (a)    $0
(3)   Aggregate fees/compensation for securities lending activities        $479
(4)   Net income from securities lending activities    $2,206

(b) BlackRock Investment Management, LLC (“BIM”) serves as securities lending agent for the Fund and in that role administers the Fund’s securities lending program pursuant to the terms of a securities lending agency agreement entered into between the Fund and BIM.

 

Item 13 – Exhibits attached hereto

(a)(1) – Code of Ethics – See Item 2

(a)(2) – Certifications – Attached hereto

(a)(3) – Not Applicable

(a)(4) – Not Applicable

(b) – Certifications – Attached hereto

(c) – Notices to the registrant’s common shareholders in accordance with the order under Section 6(c) of the 1940 Act granting an exemption from Section 19(b) of the 1940 Act and Rule 19b-1 under the 1940 Act, dated May 9, 20091

 

                                                                 

1 The Fund has received exemptive relief from the Securities and Exchange Commission permitting it to make periodic distributions of long-term capital gains with respect to its outstanding common stock as frequently as twelve times each year, and as frequently as distributions are specified by or in accordance with the terms of its outstanding preferred stock. This relief is conditioned, in part, on an undertaking by the Fund to make the disclosures to the holders of the Fund’s common shares, in addition to the information required by Section 19(a) of the 1940 Act and Rule 19a-1 thereunder. The Fund is likewise obligated to file with the SEC the information contained in any such notice to shareholders and, in that regard, has attached hereto copies of each such notice made during the period.

 

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Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

BlackRock Health Sciences Trust
By:       /s/ John M. Perlowski                            
  John M. Perlowski
  Chief Executive Officer (principal executive officer) of
  BlackRock Health Sciences Trust
Date: March 8, 2018
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By:   /s/ John M. Perlowski                            
  John M. Perlowski
  Chief Executive Officer (principal executive officer) of
  BlackRock Health Sciences Trust
Date: March 8, 2018
By:   /s/ Neal J. Andrews                                
  Neal J. Andrews
  Chief Financial Officer (principal financial officer) of
  BlackRock Health Sciences Trust
Date: March 8, 2018

 

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