BlackRock Energy & Resources 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: 811-21656

Name of Fund:  BlackRock Energy and Resources Trust (BGR)

Fund Address:    100 Bellevue Parkway, Wilmington, DE 19809

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

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

Date of fiscal year end: 12/31/2016

Date of reporting period: 12/31/2016


Item 1 – Report to Stockholders


DECEMBER 31, 2016        

 

 

ANNUAL REPORT

 

      BLACKROCK®

 

BlackRock Energy and Resources Trust (BGR)

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

BlackRock Enhanced Equity Dividend Trust (BDJ)

BlackRock Global Opportunities Equity Trust (BOE)

BlackRock Health Sciences Trust (BME)

BlackRock International Growth and Income Trust (BGY)

BlackRock Resources & Commodities Strategy Trust (BCX)

BlackRock Science and Technology Trust (BST)

BlackRock Utility and Infrastructure Trust (BUI)

 

 

 

Not FDIC Insured May Lose Value No Bank Guarantee  

 

 



          

 

 

      Section 19(a) Notices

BlackRock Energy and Resources Trust’s (BGR), BlackRock Enhanced Capital and Income Fund, Inc.’s (CII), BlackRock Enhanced Equity Dividend Trust’s (BDJ), BlackRock Global Opportunities Equity Trust’s (BOE), BlackRock Health Sciences Trust’s (BME), BlackRock International Growth and Income Trust’s (BGY), BlackRock Resources & Commodities Strategy Trust’s (BCX), BlackRock Science and Technology Trust’s (BST) and BlackRock Utility and Infrastructure Trust’s (BUI) (each, a “Trust” and collectively, the “Trusts”), amounts and sources of distributions reported are estimates and are being provided to you pursuant to regulatory requirements and are not being provided for tax reporting purposes. The actual amounts and sources for tax reporting purposes will depend upon each Trust’s investment experience during the 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 federal income tax purposes.

December 31, 2016

 

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

Net

Investment

Income

  

Net Realized

Capital Gains

Short-Term

  

Net Realized

Capital Gains

Long-Term

  

Return

of

Capital

  

Total Per

Common Share

  

Net

Investment

Income

 

Net Realized
Capital Gains

Short-Term

 

Net Realized

Capital Gains

Long-Term

 

Return

of

Capital

  Total Per
Common Share

BGR*

     $ 0.275184                    $ 0.720816      $ 0.996000        28 %       0 %       0 %       72 %       100 %

CII*

     $ 0.122292                    $ 1.026108      $ 1.148400        11 %       0 %       0 %       89 %       100 %

BDJ*

     $ 0.158965                    $ 0.401435      $ 0.560400        28 %       0 %       0 %       72 %       100 %

BOE*

     $ 0.118299                    $ 0.931701      $ 1.050000        11 %       0 %       0 %       89 %       100 %

BME

     $ 0.028393             $ 2.971607             $ 3.000000        1 %       0 %       99 %       0 %       100 %

BGY*

     $ 0.081617                    $ 0.440383      $ 0.522000        16 %       0 %       0 %       84 %       100 %

BCX*

     $ 0.135692                    $ 0.441308      $ 0.577000        24 %       0 %       0 %       76 %       100 %

BST*

     $ 0.006420                    $ 1.193580      $ 1.200000        1 %       0 %       0 %       99 %       100 %

BUI*

     $ 0.536110      $ 0.095500      $ 0.373052      $ 0.447337      $ 1.452000        37 %       6 %       26 %       31 %       100 %

 

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

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

 

      Section 19(b) Disclosure

The Trusts, acting pursuant to a U.S. Securities and Exchange Commission (“SEC”) exemptive order and with the approval of each Trust’s Board of Trustees/Directors (the “Board”), each have adopted a plan, consistent with its investment objectives and policies to support a level distribution of income, capital gains and/or return of capital (the “Plan”). In accordance with the Plans, the Trusts distribute the following fixed amounts per share on a monthly basis as of December 31, 2016:

 

     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

     $0.0446     
 

  BST

     $0.1000     
   

 BUI

     $0.1210       

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

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

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

 

 

2    ANNUAL REPORT    DECEMBER 31, 2016     


Table of Contents

 

        
       Page   

Section 19(a) Notices

     2    

Section 19(b) Disclosure

     2    

The Markets in Review

     4    

Annual Report:

  

The Benefits and Risks of Option Over-Writing

     5    

Trust Summaries

     6    

Derivative Financial Instruments

     25    

Financial Statements:

  

Schedules of Investments

     26    

Statements of Assets and Liabilities

     102    

Statements of Operations

     104    

Statements of Changes in Net Assets

     106    

Statements of Cash Flows

     111    

Financial Highlights

     114    

Notes to Financial Statements

     123    

Report of Independent Registered Public Accounting Firm

     138    

Important Tax Information

     139    

Automatic Dividend Reinvestment Plans

     140    

Officers and Trustees

     141    

Additional Information

     145    

 

     ANNUAL REPORT    DECEMBER 31, 2016    3


The Markets in Review         

Dear Shareholder,

The year 2016 started on a fraught note with worries about slowing growth in China, plunging oil prices and sliding share prices. Then reflationary expectations in the United States helped drive a second-half global growth pick-up and big market reversals. As such, higher-quality asset classes such as Treasury bonds, municipals and investment grade credit prevailed in the first half of the year, only to struggle in the second. In contrast, risk assets sold off at the start of the year and rebounded in the latter half, with some asset classes posting strong year-end returns.

A key takeaway from 2016’s market performance is that economics can trump politics. The global reflationary theme – governments taking policy action to support growth – was the dominant driver of 2016 asset returns, outweighing significant political upheavals and uncertainty. This trend accelerated after the U.S. election on expectations for an extra boost to U.S. growth via fiscal policy.

Markets were remarkably resilient during the year. Spikes in equity volatility after big surprises such as the U.K.’s vote to leave the European Union and the outcome of the U.S. presidential election were short-lived. Instead, political surprises and initial sell-offs were seized upon as buying opportunities. We believe this reinforces the case for taking the long view rather than reacting to short-term market noise.

Asset returns varied widely in 2016. Perceived safe assets such as government bonds and low-volatility shares underperformed the higher-risk areas of the market. And the reversal of longstanding trends created opportunities, such as in the recovery of value stocks and commodities.

We expect some of these trends to extend into 2017 and see the potential for more flows into risk assets this year. Learn more by reading our market insights at blackrock.com.

Sincerely,

 

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

 

Total Returns as of December 31, 2016
     6-month       12-month   

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

    7.82%          11.96%  

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

    18.68             21.31

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

    5.67               1.00

Emerging market equities
(MSCI Emerging Markets Index)

    4.49             11.19

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

    0.18               0.33

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

    (7.51)             (0.16)

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

    (2.53)              2.65

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

    (3.43)              0.77

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

    7.40             17.13
Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.
 

 

4    THIS PAGE NOT PART OF YOUR TRUST REPORT          


The Benefits and Risks of Option Over-Writing         

 

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

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

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

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

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

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

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

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

 

 

     ANNUAL REPORT    DECEMBER 31, 2016    5


Trust Summary as of December 31, 2016      BlackRock Energy and Resources Trust  

 

      Trust Overview

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

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

 

      Trust Information

 

Symbol on New York Stock Exchange (“NYSE”)

   BGR

Initial Offering Date

   December 29, 2004

Current Distribution Rate on Closing Market Price as of December 31, 2016 ($ 14.44)1

   6.45%

Current Monthly Distribution per Common Share2

   $0.0776

Current Annualized Distribution per Common Share2

   $0.9312

 

  1   

Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate consists of income, net realized gains and/or a return of capital. See the Financial Highlights for the actual sources and character of distributions.

 

       Past performance does not guarantee future results.

 

  2   

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

 

      Performance and Portfolio Management Commentary

 

Returns for the 12-month period ended December 31, 2016 were as follows:

 

     Returns Based On
      Market Price   Net Asset Value

BGR1,2

      24.01%      25.07%

Lipper Natural Resources Funds3

      37.40%      32.14%

 

  1   

All returns reflect reinvestment of dividends and/or distributions.

 

  2   

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

 

  3   

Average return.

 

  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 positions in the U.S. exploration & production companies Laredo Petroleum, Inc. and Energen Corp. were the largest detractors from performance. The investment adviser exited both positions early in the period due to its concerns about the two companies’ significant financial leverage. As a result, the Trust was not in a position to benefit from their subsequent recovery.

 

 

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 given the strength in the overall sector.

 

 

 

After losing ground in the initial weeks of the year, energy stocks rallied to close as one of the top-performing market segments of 2016. An improving balance of supply and demand for oil, together with expectations for stronger global growth, provided a firm underpinning for the sector. Consistent with the broader environment, the Trust produced a robust absolute return in the 12-month period.

 

 

Royal Dutch Shell PLC and BG Energy Holdings Ltd. completed a merger in February, whereby the Trust’s substantial position in the latter stock made a positive contribution to performance.

 

 

ExxonMobil Corp., which announced a significant oil discovery off the coast of Guyana in conjunction with Hess Corp., was the largest contributor in the period. The deep-water Liza field could hold as many as 1.4 billion barrels of oil equivalent, making it one of a handful of billion-barrel discoveries in the last half-decade. Exxon found oil in the Liza field in 2015 when it drilled its first well in the area, and a second well revealed the potential for twice as much crude. ExxonMobil shares were also boosted by the significant increase in oil prices that occurred during 2016.

 

 

 

6    ANNUAL REPORT    DECEMBER 31, 2016     


       BlackRock Energy and Resources Trust  

 

      Performance and Portfolio Management Commentary (concluded)

Describe recent portfolio activity.

 

 

After holding an underweight position in the refining subsector for much of 2015, the Trust moved to reduce the extent of this underweight early in the period by adding positions in the refining stocks Valero Energy and Tesoro Corp., both of which are benefiting from strong U.S. gasoline consumption. Additionally, the Trust rotated its oil services exposure by reducing its weighting in Schlumberger Ltd. and initiating a position in Baker Hughes, Inc.

Describe portfolio positioning at period end.

 

 

The investment adviser positioned the Trust with a higher-quality bias, focusing on companies with robust balance sheets, below-average costs and higher-quality management teams. At the sub-sector level, the Trust remained overweight in the exploration and production industry and underweight in larger, integrated producers. The investment adviser saw the former group as being in a better position to benefit from the improving backdrop for oil prices.

 

 

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

 

      Market Price and Net Asset Value Per Share Summary

 

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

Market Price

   $14.44      $12.53        15.24%        $15.00        $10.05  

Net Asset Value

   $16.33      $14.05        16.23%        $16.71        $11.84  

 

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

 

 

LOGO

 

      Overview of the Trust’s Total Investments*

 

Ten Largest Holdings    12/31/16

Exxon Mobil Corp.

   10%

Royal Dutch Shell PLC, A Shares — ADR

   8

BP PLC

   6

Chevron Corp.

   6

ConocoPhillips

   5

EOG Resources, Inc.

   5

Anadarko Petroleum Corp.

   4

Baker Hughes, Inc.

   4

Schlumberger Ltd.

   4

Occidental Petroleum Corp.

   4

 

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

Oil, Gas & Consumable Fuels

   91%   93%

Energy Equipment & Services

     9%     7%

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

 

 

 

     ANNUAL REPORT    DECEMBER 31, 2016    7


Trust Summary as of December 31, 2016      BlackRock Enhanced Capital and Income Fund, Inc.  

 

      Trust Overview

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

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

 

      Trust Information

 

Symbol on NYSE

   CII

Initial Offering Date

   April 30, 2004

Current Distribution Rate on Closing Market Price as of December 31, 2016 ($ 13.71)1

   7.25%

Current Monthly Distribution per Common Share2

   $0.0828

Current Annualized Distribution per Common Share2

   $0.9936

 

  1   

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

 

  2   

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

 

      Performance and Portfolio Management Commentary

 

Returns for the 12-month period ended December 31, 2016 were as follows:

 

     Returns Based On
        Market Price     Net Asset Value

CII1,2

       5.56 %       8.66 %

S&P 500® Index

       N/A       11.96 %

 

  1   

All returns reflect reinvestment of dividends and/or distributions.

 

  2   

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

 

  

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

 

  

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, health care was the prime detractor from relative performance due to weakness in pharmaceuticals and, to a lesser extent, biotechnology. Consumer discretionary also weighed, in particular specialty retail and household durables, as did the Trust’s underweight exposure to telecommunication services and energy. Helping to partially offset negative results was strong selection in financials, where banks were a standout. An underweight to real estate and stock selection in materials proved advantageous as well.

 

 

On a stock-specific basis, Teva Pharmaceutical Industries Ltd. was the largest single detractor. The stock underperformed amid concerns over exclusivity for the company’s key drug Copaxone, as well as broad pricing pressures in the generic segment throughout the year. Earlier in the period, concerns that the Allergan deal would be delayed also weighed on the stock. The deal ultimately closed, but it was considerably later than expected, thereby depriving Teva of capturing revenue from a high volume generic launch. Teva’s management turnover in the fourth quarter and a need to revise guidance twice over the last six months further contributed to negative sentiment.

 

 

Positions in CVS Health Corp. and Gilead Sciences Inc. were also a drag. CVS underperformed as the company lost a number of high-profile contracts to rival Walgreens (also a holding). While the value of any individual contract is

   

small, investors were concerned that CVS’s advantage may be under threat as the UnitedHealth-Walgreens Boots Alliance partnership combines UnitedHealth’s PBM offering with Walgreens Boots Alliance’s convenient store locations, a combination previously unique to CVS. Later in the reporting period, the company lowered its long-term guidance, causing additional share weakness. The major reason behind lower growth rates is lost scripts due to a narrow network arrangement in favor of Walgreens and pharmacy reimbursement changes. Gilead continues to execute well in its HIV business segment, but is facing significant uncertainty in the HCV (Hepatitis C) business following several years of exceptional revenue growth. The investment adviser believes that, at current levels, Gilead shares are pricing in significant revenue declines in HCV and is comfortable owning shares for eventual stabilization in the HCV segment and a likely deployment of cash toward value-creating business development opportunities.

 

 

The top individual contributors in the 12 months were Bank of America Corp. and JPMorgan Chase & Co. The stocks outperformed most notably in the second half of the reporting period on strong earnings reports led by solid fee-based revenue performance (trading, payments & mortgage), as well as the increased likelihood of a December rate hike. Bank holdings’ strong price momentum continued (even accelerated) following the election of Donald Trump as investors positioned for improving future earnings power driven by higher economic growth, inflation, corporate tax reform, and interest rates (the Fed ultimately raised rates), as well as a softening of regulations that could lead to accelerating capital returns and potentially lower legal & compliance costs.

 

 

Consumer finance name SLM also added value. Shares outperformed as the “bear case” scenario of government subsidized tuition plans, as proposed by the Clinton campaign, was eliminated with a Trump victory. Moreover, Trump has proposed restoring private sector participation in student financing, which holds the potential to materially expand the market for private student loans, where SLM holds a dominant 50%+ market share.

 

 

8    ANNUAL REPORT    DECEMBER 31, 2016     


       BlackRock Enhanced Capital and Income Fund, Inc.  

 

      Performance and Portfolio Management Commentary (concluded)

 

 

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 period.

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 information technology (“IT”) and energy sectors increased, particularly semiconductors, soft-

   

ware and oil, gas & consumable fuels. Materials exposure increased as well. The largest reduction was in health care, largely with respect to providers & services. Consumer discretionary exposure also declined.

Describe portfolio positioning at period end.

 

 

Relative to the S&P 500® Index, the Trust ended the period with its largest overweights in the IT, consumer discretionary and financials sectors. The Trust’s largest relative underweights were in industrials, real estate and telecommunication services.

 

 

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

 

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

Market Price

   $13.71      $14.14          (3.04 )%      $14.14          $11.62

Net Asset Value

   $15.08      $15.11          (0.20 )%      $15.29          $13.06

 

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

 

 

LOGO

 

      Overview of the Trust’s Total Investments*

 

Ten Largest Holdings    12/31/16

Apple, Inc.

       5 %

JPMorgan Chase & Co.

       4

Alphabet, Inc., Class A

       4

Bank of America Corp.

       4

Microsoft Corp.

       4

Comcast Corp., Class A

       3

Altria Group, Inc.

       3

Cisco Systems, Inc.

       3

U.S. Bancorp

       2

Chevron Corp.

       2

 

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

Information Technology

       26 %       23 %

Financials

       17       18

Consumer Discretionary

       15       17

Health Care

       14       18

Consumer Staples

       9       8

Energy

       8       5

Industrials

       6       7

Materials

       4       3

Utilities

       1       1

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

 

 

     ANNUAL REPORT    DECEMBER 31, 2016    9


Trust Summary as of December 31, 2016      BlackRock Enhanced Equity Dividend Trust  

 

      Trust Overview

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

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

 

      Trust Information

 

Symbol on NYSE

   BDJ

Initial Offering Date

   August 31, 2005

Current Distribution Rate on Closing Market Price as of December 31, 2016 ($ 8.15)1

   6.88%

Current Monthly Distribution per Common Share2

   $0.0467

Current Annualized Distribution per Common Share2

   $0.5604

 

  1   

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

 

  2   

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

 

      Performance and Portfolio Management Commentary

 

Returns for the 12-month period ended December 31, 2016 were as follows:

 

     Returns Based On
        Market Price     Net Asset Value

BDJ1,2

       15.11 %       13.90 %

Russell 1000® Value Index

       N/A       17.34 %

 

  1   

All returns reflect reinvestment of dividends and/or distributions.

 

  2   

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

 

  

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

 

  

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 detractor from relative return came from a combination of stock selection and allocation decisions within the industrials sector. An underweight to the machinery and airlines industries weighed on relative performance. The Trust’s underweight to machinery was predicated on the view that weak end-market fundamentals limit attractive investment opportunities in the near term. Overweight positions in General Electric Co. and Honeywell International, Inc. also detracted from relative returns. Additionally, stock selection in the consumer staples sector subtracted from relative performance. In particular, non-benchmark holding Kroger Co. lagged after lowering its earnings forecast and reporting weaker-than-consensus earnings, due in part to food price deflation and increased competition. Lastly, stock selection within the materials and information technology sectors detracted from relative return.

 

The largest contribution to relative performance for the 12-month period came from stock selection and allocation decisions within the financials sector. Notably, the Trust’s large overweight position in the banking industry proved beneficial. Bank earnings in the second half of 2016 were generally positive and the sector’s relative outperformance accelerated following the November 8 presidential election results. Stock selection in the health care sector also added to relative return. Notable outperformers in the sector included overweight positions in UnitedHealth Group, Inc. and Quest Diagnostics, Inc. UnitedHealth Group outperformed due to above-consensus growth in its Optum business and robust membership gains within its Medicare, Medicaid and commercial segments. Shares of Quest Diagnostics, a low-cost provider of laboratory services, advanced due to solid pricing growth amid the continued shift to more complex esoteric testing. Lastly, an underweight to real estate and stock selection in utilities added to relative 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 option writing strategy had a negative impact on performance during the period.

Describe recent portfolio activity.

 

 

During the 12-month period, the Trust’s exposure to the energy sector was increased by initiating new positions in Hess Corp. and Suncor Energy, Inc. Other notable new purchases included Qualcomm Inc., a manufacturer of digital wireless communications equipment, and the property & casualty insurer The Allstate Corporation. Conversely, the Trust reduced exposure to the industrials sector by exiting positions in Tyco International PLC and United Technologies Corp., as well as by trimming

 

 

10    ANNUAL REPORT    DECEMBER 31, 2016     


       BlackRock Enhanced Equity Dividend Trust  

 

      Performance and Portfolio Management Commentary (concluded)

 

    its holdings in General Electric Co. and Raytheon Co. Other notable sales from the portfolio included McDonald’s Corp. and Bristol-Myers Squibb Co.

Describe portfolio positioning at period end.

 

 

Relative to the benchmark, the Trust’s largest overweight positions were in the health care, financials and industrials sectors. Conversely, the Trust’s largest relative underweights were in the real estate, energy and telecommunication services sectors.

 

 

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

 

      Market Price and Net Asset Value Per Share Summary

 

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

Market Price

   $8.15      $7.61          7.10 %      $8.25          $6.42

Net Asset Value

   $9.22      $8.70          5.98 %      $9.33          $7.76

 

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

 

 

LOGO

 

      Overview of the Trust’s Total Investments*

 

Ten Largest Holdings    12/31/16

Bank of America Corp.

       5 %

JPMorgan Chase & Co.

       4

Exxon Mobil Corp.

       3

Pfizer, Inc.

       3

Citigroup, Inc.

       3

Wells Fargo & Co.

       3

Hess Corp.

       3

General Electric Co.

       3

Microsoft Corp.

       2

SunTrust Banks, Inc.

       2

 

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

Financials

       30 %       27 %

Health Care

       14       14

Energy

       12       9

Industrials

       12       14

Information Technology

       9       7

Consumer Staples

       7       10

Consumer Discretionary

       6       7

Utilities

       5       6

Materials

       3       4

Telecommunication Services

       2       2

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

 

 

     ANNUAL REPORT    DECEMBER 31, 2016    11


Trust Summary as of December 31, 2016      BlackRock Global Opportunities Equity Trust  

 

      Trust Overview

BlackRock Global Opportunities Equity Trust’s (BOE) (the “Trust”) primary investment objective is to provide current income and current gains, with a secondary investment objective of long-term capital appreciation. The Trust seeks to achieve its investment objectives by investing primarily in equity securities issued by companies located in countries throughout the world and utilizing an option writing (selling) strategy to seek total return performance and enhance distributions. The Trust invests, under normal market conditions, at least 80% of its assets in equity securities or options on equity securities or indices or sectors of equity securities. Under normal circumstances, the Trust invests a substantial amount of its total assets in foreign issuers, issuers that primarily trade in a market located outside the United States or issuers that do a substantial amount of business outside the United States. The Trust may invest directly in such securities or synthetically through the use of derivatives.

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

 

      Trust Information

 

Symbol on NYSE

   BOE

Initial Offering Date

   May 31, 2005

Current Distribution Rate on Closing Market Price as of December 31, 2016 ($11.57)1

   8.09%

Current Monthly Distribution per Common Share2

   $0.078

Current Annualized Distribution per Common Share2

   $0.936

 

  1   

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

 

  2   

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

 

      Performance and Portfolio Management Commentary

 

Returns for the 12-month period ended December 31, 2016 were as follows:

 

     Returns Based On
        Market Price     Net Asset Value

BOE1,2

       (0.90 )%       2.62 %

MSCI All Country World Index

       N/A       7.86 %

 

  1   

All returns reflect reinvestment of dividends and/or distributions.

 

  2   

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

 

  

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

 

  

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?

 

 

Stock selection within the industrials and information technology (“IT”) sectors led detractors for the period. Within industrials, stock selection in the construction machinery & heavy trucks sub-industry led detractors after the Trust’s position in CRRC Corp. Ltd., a Chinese transportation vehicle company, sold off sharply due to concerns around growth in the region. The downturn in the stock was exacerbated given the company’s exposure to the manufacturing sector of the Chinese economy, and the Trust exited the position. Within IT, stock selection in the internet software

   

& services sub-industry was the next largest detractor as Hortonworks, Inc. reported mixed financial results coupled with an announcement that it was planning a secondary stock offering. The market received the news of additional financing negatively given that the company’s share price was trading near all-time lows. The Trust sold the position during the period and rotated into more attractive opportunities.

 

 

The Trust’s underweight positioning and stock selection within the health care sector led contributors during the 12-month period. In particular, the Trust’s underweight to lagging stocks such as Novo Nordisk A/S in the pharmaceuticals sub-industry added to performance. In the energy sector, the Trust’s position in EOG Resources, Inc. from the oil & gas exploration & production sub-industry benefited from a strengthening in energy prices.

 

 

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 period.

Describe recent portfolio activity.

 

 

The Trust reduced exposure to the health care and industrials sectors, while increasing exposure to the energy and materials sectors. Regionally, these sector decisions resulted in reduced exposure to Europe and increased positions within North America, the Pacific Basin and the emerging markets.

 

 

12    ANNUAL REPORT    DECEMBER 31, 2016     


       BlackRock Global Opportunities Equity Trust  

 

      Performance and Portfolio Management Commentary (concluded)

 

Describe portfolio positioning at period end.

 

 

Relative to the MSCI All Country World Index, the Fund ended the period with its largest overweights in the IT, materials and consumer discretionary sectors, and its largest underweights in the industrials, financials and

   

health care sectors. Regionally, the Trust was most overweight in Europe and the emerging markets, funded by a large underweight to the Pacific Basin.

 

 

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

 

      Market Price and Net Asset Value Per Share Summary

 

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

Market Price

   $11.57      $12.76          (9.33 )%      $12.76          $10.37

Net Asset Value

   $13.38      $14.25          (6.11 )%      $14.25          $12.21

 

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

 

 

LOGO

 

      Overview of the Trust’s Total Investments*

 

Ten Largest Holdings    12/31/16

Alphabet, Inc., Class C

       2 %

Apple, Inc.

       2

Anheuser-Busch InBev SA

       2

Citigroup, Inc.

       2

Alibaba Group Holding Ltd. - ADR

       2

Wells Fargo & Co.

       2

Starbucks Corp.

       1

SoftBank Group Corp.

       1

Sumitomo Mitsui Financial Group, Inc.

       1

Uber Technologies, Inc., Series D (Acquired 6/6/14, Cost $3,845,800)

       1

 

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

United States

       59 %       53 %

United Kingdom

       6       14

Japan

       6       5

India

       3       3

China

       3       3

France

       2       2

Italy

       2       1

Belgium

       2       2

Germany

       2       1

Switzerland

       2       2

Spain

       1       2

Canada

       1       2

Other1

       11       10

 

  1   

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

 

 

     ANNUAL REPORT    DECEMBER 31, 2016    13


Trust Summary as of December 31, 2016      BlackRock Health Sciences Trust  

 

      Trust Overview

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

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

 

      Trust Information

 

Symbol on NYSE

   BME

Initial Offering Date

   March 31, 2005

Current Distribution Rate on Closing Market Price as of December 31, 2016 ($31.75)1

   7.56%

Current Monthly Distribution per Common Share2

   $0.20

Current Annualized Distribution per Common Share2

   $2.40

 

  1   

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

 

  2   

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

 

      Performance and Portfolio Management Commentary

 

Returns for the 12-month period ended December 31, 2016 were as follows:

 

     Returns Based On
        Market Price     Net Asset Value

BME1,2

       (11.71 )%       (5.36 )%

Russell 3000® Healthcare Index

       N/A       (3.33 )%

 

  1   

All returns reflect reinvestment of dividends and/or distributions.

 

  2   

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

 

  

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

 

  

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 finished the year with a loss and trailed the broader market by a wide margin, due in part by concerns about increased regulatory scrutiny of pharmaceutical and biotechnology companies’ pricing practices. Consistent with the overall environment, the Trust’s negative absolute return was driven by its allocations to these two sub-sectors. In the former, performance was hampered by specialty pharmaceutical companies such as Allergan PLC, Teva Pharmaceuticals Ltd. and Mylan NV, combined with several non-U.S. holdings such as Roche Holding AG, AstraZeneca PLC and Bayer AG. In the biotechnology group, broader weakness pressured higher-beta small- to mid-cap positions. In addition, a number of large-cap biotechnology holdings — including Vertex Pharmaceuticals, Alexion Pharmaceuticals, Inc., Gilead Sciences, Inc. and Celgene Corp. — weighed on absolute returns.

 

The medical devices & supplies sub-sector was the largest positive contributor. Performance was particularly favorable in the health care equipment industry, where several holdings reported solid financial results. Among these were Boston Scientific Corp., Stryker Corp., St. Jude Medical, Inc., C.R. Bard, Inc., Baxter International, Inc., Edwards Lifesciences Corp. and Masimo Corp. The health care providers & services sub-sector was another large contributor to absolute performance, led by managed care stocks such as UnitedHealth Group, Inc., Humana, Inc. and Aetna, Inc.

 

 

The Trust made use of options, principally written call options on individual stocks, in order to seek enhanced income returns while continuing to participate in the performance of the underlying equities. The Trust’s option writing strategy had a positive impact on performance during the period. The Trust also owned private securities during the period, although this was not a principal strategy.

Describe recent portfolio activity.

 

 

The Trust reduced its allocations to the pharmaceutical and biotechnology sub-sectors, while maintaining an emphasis on identifying innovative companies in these areas. The Trust increased its weightings in the medical devices & supplies and health care providers & services sub-sectors. In the latter industry, the investment adviser was focused on companies that can benefit from favorable health care policies in their respective industries.

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

 

14    ANNUAL REPORT    DECEMBER 31, 2016     


       BlackRock Health Sciences Trust  

 

      Market Price and Net Asset Value Per Share Summary

 

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

Market Price

   $31.75      $39.35         (19.31)%        $39.98      $29.86

Net Asset Value

   $31.30      $36.171        (13.46)%        $36.17      $30.37

 

  1   

The net asset value does not reflect adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles and therefore differs from the amounts reported in the Financial Highlights.

 

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

 

LOGO

 

      Overview of the Trust’s Total Investments*

 

Ten Largest Holdings    12/31/16

UnitedHealth Group, Inc.

     8%

Pfizer, Inc.

     5   

Medtronic PLC

     4   

Celgene Corp.

     4   

Amgen, Inc.

     4   

Bristol-Myers Squibb Co.

     3   

Stryker Corp.

     3   

Allergan PLC

     3   

Humana, Inc.

     3   

Anthem, Inc.

     3   

 

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

Health Care Providers & Services

     30%      18%

Biotechnology

     24        33  

Pharmaceuticals

     23        29  

Health Care Equipment & Supplies

     21        17  

Life Sciences Tools & Services

     1      2

Diversified Consumer Services

     1      —  

Electronic Equipment, Instruments & Components

     —        1

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

 

 

     ANNUAL REPORT    DECEMBER 31, 2016    15


Trust Summary as of December 31, 2016      BlackRock International Growth and Income Trust  

 

      Trust Overview

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

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

 

      Trust Information

 

Symbol on NYSE

     BGY        

Initial Offering Date

     May 30, 2007  

Current Distribution Rate on Closing Market Price as of December 31, 2016 ($5.51)1

     8.28%      

Current Monthly Distribution per Common Share2

     $0.038      

Current Annualized Distribution per Common Share2

     $0.456      

 

  1   

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

 

  2   

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

 

      Performance and Portfolio Management Commentary

 

Returns for the 12-month period ended December 31, 2016 were as follows:

 

       Returns Based On
        Market Price       Net Asset Value

BGY1,2

      (3.37)%         (1.12)%

MSCI All Country World Index ex-US

      N/A           4.50%

 

  1   

All returns reflect reinvestment of dividends and/or distributions.

 

  2   

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

 

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

 

  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 underweight position in materials and negative stock selection within the sector represented the largest detractor from relative performance. The sector was one of the top performers in the benchmark and the Trust’s limited exposure to the metals & mining industry was particularly detrimental to performance. In addition, an underweight to financials, combined with negative stock selection there, detracted from relative returns. Unfavorable stock selection within consumer staples also detracted from relative returns. One of the largest individual detractors during the period was the Trust’s position in Worldpay Group PLC, as shares of the U.K.-based payment services company sold off during the fourth quarter.

 

For the period, exposure to a Japan-focused ETF provided the largest contribution to relative performance. Underweight exposures to the health care and utilities sectors also were additive, as these sectors were two of the worst performers within the benchmark. One of the largest individual contributors was Nintendo Co. Ltd., as investors reacted very positively to the release of Pokémon Go.

 

 

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 period.

Describe recent portfolio activity.

 

 

During the period, the largest change to sector positioning was a reduction in the Trust’s underweight exposure to materials. This was largely driven by the addition of two new chemicals companies. In contrast, a modest overweight to health care was trimmed to a meaningful underweight, as two pharmaceuticals positions were sold and two were significantly reduced. From a regional perspective, these changes resulted in increased exposure to Europe ex-U.K., particularly France and Germany, and decreased exposure to the United Kingdom.

Describe portfolio positioning at period end.

 

 

Relative to the MSCI All Country World Index ex-US, the Trust’s largest sector overweights were information technology (in particular software & services) and financials (especially diversified financials). In contrast, the largest sector underweights were industrials, especially the capital goods industry, and utilities. From a regional perspective, the Trust’s largest overweight was in Europe, and its largest regional underweight was the Pacific Basin, mainly driven by a large underweight in Japan.

 

 

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

 

16    ANNUAL REPORT    DECEMBER 31, 2016     


       BlackRock International Growth and Income Trust  

 

      Market Price and Net Asset Value Per Share Summary

 

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

Market Price

     $5.51      $6.24         (11.70)%        $6.24      $5.23

Net Asset Value

     $6.28      $6.941        (9.51)%        $6.94      $5.98

 

  1   

The net asset value does not reflect adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles and therefore differs from the amounts reported in the Financial Highlights.

 

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

 

LOGO

 

      Overview of the Trust’s Total Investments*

 

Ten Largest Holdings    12/31/16

WisdomTree Japan Hedged Equity Fund

     5%

Sumitomo Mitsui Financial Group, Inc.

     3   

Royal Dutch Shell PLC, B Shares

     2   

Nestle SA

     2   

Anheuser-Busch InBev SA

     2   

BNP Paribas SA

     2   

Unilever PLC

     2   

AIA Group Ltd.

     2   

Toronto-Dominion Bank

     2   

AXA SA

     2   

 

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

United Kingdom

       16%             25%    

France

       9            6       

United States

       8            4       

Japan

       8              9       

Germany

       6            4       

Netherlands

       6            3       

Italy

       6            4       

Canada

       5            4       

China

       5            5       

Switzerland

       5              9       

India

       4            5       

South Korea

       3              —       

Belgium

       2              2       

Ireland

       2              4       

Hong Kong

       2              2       

Sweden

       1              2       

Spain

       1              2       

Mexico

       1              2       

Other1

       10              8       

 

  1   

Other includes a 1% holding or less in each of the following countries: Australia, Indonesia, Israel, New Zealand, Norway, Peru, Philippines, Portugal, South Africa, Taiwan and Thailand.

 

 

     ANNUAL REPORT    DECEMBER 31, 2016    17


Trust Summary as of December 31, 2016      BlackRock Resources & Commodities Strategy Trust  

 

      Trust Overview

BlackRock Resources & Commodities Strategy Trust’s (BCX) (the “Trust”) primary investment objective is to seek high current income and current gains, with a secondary objective of capital appreciation. The Trust will seek to achieve its investment objectives, under normal market conditions, by investing at least 80% of its total assets in equity securities issued by commodity or natural resources companies, derivatives with exposure to commodity or natural resources companies or investments in securities and derivatives linked to the underlying price movement of commodities or natural resources. While permitted, the Trust does not currently expect to invest in securities and derivatives linked to the underlying price movement of commodities or natural resources. The Trust seeks to pursue this goal primarily by investing in a portfolio of equity securities and utilizing an option 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, 2016 ($ 8.27)1

   6.47%

Current Monthly Distribution per Common Share2

   $0.0446

Current Annualized Distribution per Common Share2

   $0.5352

 

  1   

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

 

  2   

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

 

      Performance and Portfolio Management Commentary

 

Returns for the 12-month period ended December 31, 2016 were as follows:

 

       Returns Based On
        Market Price       Net Asset Value

BCX1,2

      25.50%         27.41%

Lipper Natural Resources Funds3

      37.40%         32.14%

 

  1   

All returns reflect reinvestment of dividends and/or distributions.

 

  2   

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

 

  3   

Average return.

 

  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?

 

 

Within the portfolio’s agriculture exposure, a position in Mosaic Co. — the world’s leading producer of phosphate and potash crop nutrients — detracted from performance. After performing well through the first half of the year, the stock lost ground on rumors that the company would acquire the fertilizer division of Vale SA. Mosaic would have required a capital raising to fund the acquisition, and the stock price declined as a result.

 

 

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 given the strength in the overall sector.

 

After losing ground in the initial weeks of the year, natural resources stocks rallied to close as one of the top-performing market segments of 2016. Expectations for stronger global growth, together with an improving balance of supply and demand in the commodity market, provided a firm underpinning for the sector. Consistent with the broader environment, the Trust produced a robust absolute return in the 12-month period.

 

 

The copper-mining company First Quantum Minerals Ltd. was the leading contributor to the Trust’s absolute return. The company announced the sale of its Kevitsa mine for a price that exceeded the market’s expectations. Later in the year, First Quantum continued to please markets when the company reported lower costs. In contrast, the majority of companies in the sector reported higher-than-expected costs.

 

 

The strong upward move in the price of coking coal had a positive impact on absolute performance by fueling gains for the Trust’s positions in Rio Tinto Ltd. and Glencore PLC.

 

 

Gold experienced volatility in 2016, shifting between a high of $1,369 per ounce and a low of $1,062 per ounce. The metal ultimately finished the year in positive territory, and the Fund’s gold exposure contributed positively to performance. A position in Barrick Gold Corp., the world’s largest gold producer, was a notable contributor at the individual stock level.

Describe recent portfolio activity.

 

 

The investment adviser reduced the Trust’s mining exposure following the sector’s strong relative performance, and it increased exposure to the energy and agriculture sectors. The Trust also shifted its energy weighting throughout the year to manage the portfolio’s sensitivity to oil prices.

 

 

18    ANNUAL REPORT    DECEMBER 31, 2016     


       BlackRock Resources & Commodities Strategy Trust  

 

      Performance and Portfolio Management Commentary (concluded)

 

Describe portfolio positioning at period end.

 

 

At the end of the year, the natural resources sector remained supported by a backdrop of improving growth and expectations for rising inflation. In addition, producers’ efforts at cost-cutting and greater capital spen-

   

ding discipline led to lower supply in 2016, bringing the commodity market back into balance. In this environment, the Trust held an overweight position in the energy sector, a neutral position in agriculture and an underweight in mining.

 

 

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

 

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

Market Price

   $8.27      $7.11      16.32%      $  8.66      $5.57

Net Asset Value

   $9.86      $8.35      18.08%      $10.05      $7.07

 

      Market Price and Net Asset Value History For Past Five Years

 

LOGO

 

      Overview of the Trust’s Total Investments*

 

Ten Largest Holdings    12/31/16

Royal Dutch Shell PLC, A Shares - ADR

     6%

BP PLC - ADR

     5   

Syngenta AG

     5   

Monsanto Co.

     5   

Rio Tinto PLC - ADR

     4   

Glencore PLC

     4   

International Paper Co.

     3   

Vale SA - ADR

     3   

Potash Corp. of Saskatchewan, Inc.

     3   

CF Industries Holdings, Inc.

     3   

 

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

Oil, Gas & Consumable Fuels

     34%     34%

Metals & Mining

     30        32   

Chemicals

     18        14   

Containers & Packaging

     6       2  

Food Products

     5       10   

Energy Equipment & Services

     3       1  

Food & Staples Retailing

     2       1  

Paper & Forest Products

     1       3  

Other1

     1       3  

 

  1   

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.

 

     ANNUAL REPORT    DECEMBER 31, 2016    19


Trust Summary as of December 31, 2016      BlackRock Science and Technology Trust  

 

      Trust Overview

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

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

 

      Trust Information

 

Symbol on NYSE

   BST

Initial Offering Date

   October 30, 2014

Current Distribution Rate on Closing Market Price as of December 31, 2016 ($17.94)1

   6.69%

Current Monthly Distribution per Common Share2

   $0.10

Current Annualized Distribution per Common Share2

   $1.20

 

  1   

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

 

  2   

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

 

      Performance and Portfolio Management Commentary

 

Returns for the 12-month period ended December 31, 2016 were as follows:

 

       Returns Based On
        Market Price       Net Asset Value

BST1,2

     11.08%           9.36%

MSCI World Information Technology Index

     N/A         11.45%

 

  1   

All returns reflect reinvestment of dividends and/or distributions.

 

  2   

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

 

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

 

   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?

 

 

Holdings in 58.com, Inc., a Chinese classified advertising and listing platform holding company, represented the largest individual detractor during the period. The company announced that the Chinese government’s steps to tighten the country’s property market would have a substantial negative effect on its property listing revenue, and the Trust exited the position. The next largest detractor was the Trust’s position in Imperva, Inc., a provider of cyber-security solutions. Imperva substantially reduced its earnings forecast given shifts in consumer and client trends. The Trust also exited this position.

 

 

The top individual contributor stock during the period was NVIDIA Corp., which handily exceeded its earnings forecasts throughout the year. NVIDIA provides semiconductor technology to high-growth segments

   

including gaming, data centers and automotive companies. Holdings in Acacia Communications, Inc., a provider of technology to communications networks, represented the second largest contributor to performance as the company had a successful initial public offering and met earnings projections.

 

 

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 period.

Describe recent portfolio activity.

 

 

Over the 12-month period, the largest additions to the portfolio came from within the semiconductor & semiconductor equipment industry groups, funded by reductions in both software & services and media industry holdings. Regionally, these shifts resulted in additional exposure to the Pacific Basin and decreased exposure to the emerging markets and North America.

Describe portfolio positioning at period end.

 

 

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

 

 

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

 

20    ANNUAL REPORT    DECEMBER 31, 2016     


       BlackRock Science and Technology Trust  

 

      Market Price and Net Asset Value Per Share Summary

 

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

Market Price

     $ 17.94        $ 17.31          3.64 %        $ 19.09        $ 14.01

Net Asset Value

     $ 20.10        $ 19.71 1          1.98 %        $ 21.04        $ 16.52

 

  1   

The net asset value does not reflect adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles and therefore differs from the amounts reported in the Financial Highlights.

 

      Market Price and Net Asset Value History Since Inception

 

LOGO

 

  1 

Commencement of operations.

 

      Overview of the Trust’s Total Investments*

 

Ten Largest Holdings    12/31/16

Alphabet, Inc., Class A

     6%

Apple, Inc.

     6   

Microsoft Corp.

     6   

Amazon.com, Inc.

     4   

Tencent Holdings Ltd.

     3   

Facebook, Inc., Class A

     3   

Alibaba Group Holding Ltd. - ADR

     3   

Broadcom Ltd.

     3   

Visa, Inc., A Shares

     2   

Mastercard, Inc., Class A

     2   

 

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

Internet Software & Services

     23%     26%

Software

     21        20   

Semiconductors & Semiconductor Equipment

     19        11   

IT Services

     11        13   

Internet & Direct Marketing Retail

     7       6  

Technology Hardware, Storage & Peripherals

     7       7  

Equity Real Estate Investment Trusts (REITs)

     4       5  

Electronic Equipment, Instruments & Components

     2       1  

Media

     2       5  

Diversified Telecommunication Services

     1       2  

Other2

     3       4  

 

  2   

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.

 

 

     ANNUAL REPORT    DECEMBER 31, 2016    21


Trust Summary as of December 31, 2016      BlackRock Utility and Infrastructure Trust  

 

      Trust Overview

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

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

 

      Trust Information

 

Symbol on NYSE

   BUI

Initial Offering Date

   November 25, 2011

Current Distribution Rate on Closing Market Price as of December 31, 2016 ($18.41)1

   7.89%

Current Monthly Distribution per Common Share2

   $0.121

Current Annualized Distribution per Common Share2

   $1.452

 

  1   

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

 

  2   

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

 

      Performance and Portfolio Management Commentary

 

Returns for the 12-month period ended December 31, 2016 were as follows:

 

     Returns Based On
        Market Price   Net Asset Value

BUI1,2

       18.50 %       7.57 %

Lipper Utility Funds3

       17.44 %       13.23 %

 

  1   

All returns reflect reinvestment of dividends and/or distributions.

 

  2   

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

 

  3   

Average return.

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 detractor from absolute returns was the Trust’s position in the transportation infrastructure industry. In this vein, notable detractors from performance included Australian airport operator Sydney Airport Ltd. and Atlantia SpA, which constructs and manages airports and highways in its home country of Italy and abroad. The Trust’s exposure to the construction & engineering industry also detracted from performance, in particular a position in Spanish toll-road and airport construction operator Ferrovial SA. Broadly, European construction and infrastructure companies underperformed in the aftermath of the U.K. vote to exit from the European Union (“Brexit”).

 

The Trust’s international exposure detracted from absolute returns from a country allocation perspective, driven largely by portfolio holdings based in France and Spain.

 

 

Utilities performed strongly during the first half of the 12-month period, as central bank policy decisions and historically low U.S. interest rates created a strong demand for higher-yielding equities. However, utilities weakened somewhat in the second half of the period as investors anticipated higher interest rates. The Trust’s exposure to the electric utilities industry was the largest contributor to performance, led by regulated utility operators Exelon Corp. and NextEra Energy, Inc. The Trust’s exposure to the multi-utilities industry also benefited performance, as CMS Energy Corporation and Dominion Resources Inc. performed strongly. Finally, exposure to the energy sector and to the water utilities industry contributed modestly to the Trust’s absolute returns.

 

 

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

Describe recent portfolio activity.

 

 

During the period, the Trust increased exposure to electric utilities, adding to existing positions in NextEra Energy, Inc. and Enel S.p.A and initiating a position in FirstEnergy Corp. The Trust reduced exposure to the

 

 

22    ANNUAL REPORT    DECEMBER 31, 2016     


       BlackRock Utility and Infrastructure Trust  

 

      Performance and Portfolio Management Commentary (concluded)

 

 

gas utilities industry, notably exiting its positions in Italy’s Snam SpA and U.S.-based Spire Inc. (formerly known as The Laclede Group). Lastly, the Trust reduced its position size in water utility operator American Water Works Company, primarily on the basis of valuation after strong absolute performance during the period.

Describe portfolio positioning at period end.

 

 

At period end, the utilities sector accounted for approximately 57% of the Trust’s assets, with holdings concentrated in U.S. electric and multi- utilities. Against a backdrop of historically low interest rates, the demand for equity yield has led to valuations for U.S. utilities that are high relative to their historical levels, placing even greater importance on stock selection. As such, the Fund was focused on owning companies with

   

strong management teams that offer the potential for above-sector growth in earnings and dividends. The Fund had a preference for regulated utilities over their non-regulated counterparts given their existing barriers to entry, strong balance sheets, and lower sensitivity to commodity prices.

 

 

Additionally, about 37% of the Trust’s assets were in global construction and infrastructure operators and master limited partnerships at period end. This positioning was based on the healthy dividend yields and potential long-term capital growth these assets offer, along with diversification across geographies, economies and industries globally.

 

 

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

 

      Market Price and Net Asset Value Per Share Summary

 

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

Market Price

   $18.41      $16.78      9.71%      $20.58      $14.80

Net Asset Value

   $19.42      $19.50      (0.41)%      $21.08      $17.98

 

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

 

LOGO

 

     ANNUAL REPORT    DECEMBER 31, 2016    23


       BlackRock Utility and Infrastructure Trust  

 

      Overview of the Trust’s Total Investments*

 

Ten Largest Holdings    12/31/16

NextEra Energy, Inc.

       8 %

CMS Energy Corp.

       6

Dominion Resources, Inc.

       5

Atlantia SpA

       3

Exelon Corp.

       3

Public Service Enterprise Group, Inc.

       3

Duke Energy Corp.

       3

Sempra Energy

       3

Transurban Group

       3

Dominion Midstream Partners LP

       2

 

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

Electric Utilities

       28 %       23 %

Multi-Utilities

       22       20

Oil, Gas & Consumable Fuels

       20       21

Transportation Infrastructure

       14       17

Independent Power and Renewable Electricity Producers

       4       5

Construction & Engineering

       3       4

Equity Real Estate Investment Trusts (REITs)

       3       3

Water Utilities

       2       4

Diversified Telecommunication Services

       2       1

Gas Utilities

       1       2

Other1

       1      

 

  1   

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.

 

 

24     ANNUAL REPORT    DECEMBER 31, 2016     


Derivative Financial Instruments         

 

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

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

 

 

     ANNUAL REPORT    DECEMBER 31, 2016    25


Schedule of Investments December 31, 2016      BlackRock Energy and Resources Trust (BGR)  
     (Percentages shown are based on Net Assets)  

 

Common Stocks    Shares      Value  

Energy Equipment & Services — 9.4%

     

Baker Hughes, Inc. (a)

     320,250      $  20,806,643  

Halliburton Co. (a)

     79,800        4,316,382  

Schlumberger Ltd. (a)

     247,774        20,800,627  
     

 

 

 
                45,923,652  

Oil, Gas & Consumable Fuels — 91.2%

     

Anadarko Petroleum Corp. (a)

     306,483        21,371,060  

BP PLC

     5,030,000        31,505,236  

Cabot Oil & Gas Corp. (a)

     283,900        6,631,904  

Cairn Energy PLC (b)

     1,810,176        5,259,467  

Chevron Corp. (a)

     234,450        27,594,765  

Cimarex Energy Co. (a)

     100,600        13,671,540  

ConocoPhillips (a)

     502,150        25,177,801  

Devon Energy Corp. (a)

     270,350        12,346,885  

Enbridge, Inc. (a)

     310,500        13,066,134  

Encana Corp. (a)

     1,021,450        11,989,761  

Eni SpA

     533,450        8,647,826  

EOG Resources, Inc. (a)

     243,600        24,627,960  

EQT Corp. (a)

     133,400        8,724,360  

Exxon Mobil Corp. (a)(c)

     555,450        50,134,917  

Hess Corp. (a)

     200,700        12,501,603  

Kosmos Energy Ltd. (b)

     673,707        4,722,686  

Lundin Petroleum AB (b)

     239,277        5,185,525  

Marathon Oil Corp. (a)

     702,800        12,165,468  

Noble Energy, Inc. (a)

     287,292        10,934,334  

Occidental Petroleum Corp. (a)

     279,900        19,937,277  

Oil Search Ltd.

     1,754,013        9,027,515  

Phillips 66 (a)

     96,400        8,329,924  

Pioneer Natural Resources Co. (a)

     92,750        16,701,493  
Common Stocks    Shares      Value  

Oil, Gas & Consumable Fuels (continued)

     

Royal Dutch Shell PLC, A Shares

     713,948      $ 19,707,610  

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

     689,800        37,511,324  

Tesoro Corp. (a)

     46,650        4,079,543  

TransCanada Corp. (a)

     254,550        11,477,643  

Valero Energy Corp. (a)

     163,500        11,170,320  
     

 

 

 
                444,201,881  

Total Long-Term Investments

(Cost — $442,857,418) — 100.6%

              490,125,533  
     
Short-Term Securities                

BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.36% (d)(e)

     3,936,617        3,936,617  

Total Short-Term Securities

(Cost — $3,936,617) — 0.8%

              3,936,617  

Total Investments Before Options Written

(Cost — $446,794,035) — 101.4%

              494,062,150  
     
Options Written                

(Premiums Received — $4,804,608) — (1.2)%

              (6,152,354

Total Investments Net of Options Written — 100.2%

        487,909,796  

Liabilities in Excess of Other Assets — (0.2)%

        (845,826
     

 

 

 

Net Assets — 100.0%

      $ 487,063,970  
     

 

 

 
 

 

      Notes to Schedule of Investments

 

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

 

(b) Non-income producing security.

 

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

 

(d) Current yield as of period end.

 

(e) During the year ended December 31, 2016, investments in issuers considered to be affiliates of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate    Shares Held at
December 31,
2015
    

Net

Activity

    Shares Held at
December 31,
2016
     Value at
December 31,
2016
     Income     Realized
Gain
 

BlackRock Liquidity Funds, TempFund, Institutional Class

     5,394,590        (5,394,590                   $28,453        

BlackRock Liquidity Funds, T-Fund, Institutional Class

            3,936,617       3,936,617        $3,936,617        3,593       $     18  

SL Liquidity Series, LLC, Money Market Series

     944,554        (944,554                   26,579 1      1,435  

Total

                   $3,936,617        $58,625       $1,453  
          

 

 

 

 

  1   

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

 

      Portfolio Abbreviations

 

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

 

See Notes to Financial Statements.

 

26    ANNUAL REPORT    DECEMBER 31, 2016     


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

 

 

 

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

 

      Derivative Financial Instruments Outstanding as of Period End

 

Exchange-Traded Options Written

 

                                            
Description    Put/
Call
     Expiration
Date
    

Strike

Price

       Contracts        Value  

Exxon Mobil Corp.

   Call      1/04/17        USD       89.00          113        $ (17,754

Devon Energy Corp.

   Call      1/06/17        USD       49.00          96          (528

Devon Energy Corp.

   Call      1/06/17        USD       49.50          94          (564

Exxon Mobil Corp.

   Call      1/06/17        USD       89.00          123          (19,311

Halliburton Co.

   Call      1/06/17        USD       55.00          140          (4,200

Marathon Oil Corp.

   Call      1/06/17        USD       18.50          281          (1,124

Occidental Petroleum Corp.

   Call      1/06/17        USD       70.00          221          (33,592

Occidental Petroleum Corp.

   Call      1/06/17        USD       73.00          134          (2,010

Pioneer Natural Resources Co.

   Call      1/06/17        USD       195.00          121          (3,025

Royal Dutch Shell PLC, A Shares — ADR

   Call      1/06/17        USD       52.50          400          (109,000

Schlumberger Ltd.

   Call      1/06/17        USD       86.00          171          (2,223

Anadarko Petroleum Corp.

   Call      1/13/17        USD       69.00          180          (35,640

ConocoPhillips

   Call      1/13/17        USD       49.00          127          (21,971

Devon Energy Corp.

   Call      1/13/17        USD       50.00          454          (6,810

EOG Resources, Inc.

   Call      1/13/17        USD       105.00          159          (10,176

Exxon Mobil Corp.

   Call      1/13/17        USD       90.00          245          (31,483

Halliburton Co.

   Call      1/13/17        USD       55.50          140          (7,140

Hess Corp.

   Call      1/13/17        USD       58.00          173          (79,580

Marathon Oil Corp.

   Call      1/13/17        USD       18.50          281          (3,934

Occidental Petroleum Corp.

   Call      1/13/17        USD       73.50          133          (4,522

Phillips 66

   Call      1/13/17        USD       87.50          120          (11,400

Royal Dutch Shell PLC, A Shares — ADR

   Call      1/13/17        USD       53.00          400          (74,000

Schlumberger Ltd.

   Call      1/13/17        USD       86.50          172          (5,418

Tesoro Corp.

   Call      1/13/17        USD       85.00          50          (17,750

Anadarko Petroleum Corp.

   Call      1/20/17        USD       65.00          275          (145,063

Baker Hughes, Inc.

   Call      1/20/17        USD       62.50          117          (38,493

Baker Hughes, Inc.

   Call      1/20/17        USD       65.00          500          (85,000

Cabot Oil & Gas Corp.

   Call      1/20/17        USD       25.00          225          (8,438

Chevron Corp.

   Call      1/20/17        USD       108.75          386          (372,098

Cimarex Energy Co.

   Call      1/20/17        USD       140.00          86          (17,845

ConocoPhillips

   Call      1/20/17        USD       46.00          403          (183,365

ConocoPhillips

   Call      1/20/17        USD       47.50          80          (24,600

Devon Energy Corp.

   Call      1/20/17        USD       45.00          98          (18,326

Enbridge, Inc.

   Call      1/20/17        CAD       58.00          330          (7,737

Encana Corp.

   Call      1/20/17        CAD       17.00          565          (5,260

EOG Resources, Inc.

   Call      1/20/17        USD       105.00          56          (5,432

EOG Resources, Inc.

   Call      1/20/17        USD       95.00          107          (72,225

EQT Corp.

   Call      1/20/17        USD       70.00          234          (17,550

Exxon Mobil Corp.

   Call      1/20/17        USD       90.00          236          (36,344

Hess Corp.

   Call      1/20/17        USD       60.00          98          (33,565

Marathon Oil Corp.

   Call      1/20/17        USD       16.00          1,047          (162,285

Noble Energy, Inc.

   Call      1/20/17        USD       37.50          390          (54,600

Occidental Petroleum Corp.

   Call      1/20/17        USD       70.00          75          (16,425

Occidental Petroleum Corp.

   Call      1/20/17        USD       72.50          96          (8,496

Phillips 66

   Call      1/20/17        USD       90.00          120          (4,500

Pioneer Natural Resources Co.

   Call      1/20/17        USD       180.00          87          (43,500

Royal Dutch Shell PLC, A Shares — ADR

   Call      1/20/17        USD       52.50          228          (54,150

Schlumberger Ltd.

   Call      1/20/17        USD       82.50          259          (69,801

Schlumberger Ltd.

   Call      1/20/17        USD       87.50          173          (8,650

TransCanada Corp.

   Call      1/20/17        CAD       62.00          225          (5,530

Valero Energy Corp.

   Call      1/20/17        USD       65.00          48          (19,080

Anadarko Petroleum Corp.

   Call      1/27/17        USD       75.00          272          (14,824

Baker Hughes, Inc.

   Call      1/27/17        USD       65.50          196          (58,016

Cabot Oil & Gas Corp.

   Call      1/27/17        USD       23.50          548          (57,540

Chevron Corp.

   Call      1/27/17        USD       118.00          91          (20,293

ConocoPhillips

   Call      1/27/17        USD       51.50          256          (23,296

ConocoPhillips

   Call      1/27/17        USD       52.00          249          (18,302

 

See Notes to Financial Statements.

 

     ANNUAL REPORT    DECEMBER 31, 2016    27


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

 

Description    Put/
Call
       Expiration
Date
      

Strike

Price

       Contracts        Value  

Devon Energy Corp.

     Call          1/27/17          USD       50.00          96        $ (3,408

EOG Resources, Inc.

     Call          1/27/17          USD       110.00          85          (3,570

Exxon Mobil Corp.

     Call          1/27/17          USD       89.00          297          (72,765

Exxon Mobil Corp.

     Call          1/27/17          USD       92.00          227          (19,295

Hess Corp.

     Call          1/27/17          USD       65.50          194          (26,384

Marathon Oil Corp.

     Call          1/27/17          USD       20.50          167          (4,175

Occidental Petroleum Corp.

     Call          1/27/17          USD       74.00          320          (20,160

Phillips 66

     Call          1/27/17          USD       88.00          98          (12,740

Pioneer Natural Resources Co.

     Call          1/27/17          USD       195.00          118          (17,110

Royal Dutch Shell PLC, A Shares — ADR

     Call          1/27/17          USD       53.00          486          (112,995

Royal Dutch Shell PLC, A Shares — ADR

     Call          1/27/17          USD       54.00          900          (146,250

Tesoro Corp.

     Call          1/27/17          USD       90.50          60          (10,200

EOG Resources, Inc.

     Call          1/30/17          USD       96.00          85          (54,538

ConocoPhillips

     Call          2/03/17          USD       53.00          159          (11,448

Devon Energy Corp.

     Call          2/03/17          USD       48.50          112          (9,968

Marathon Oil Corp.

     Call          2/03/17          USD       18.35          195          (8,806

EOG Resources, Inc.

     Call          2/09/17          USD       105.00          257          (47,226

ConocoPhillips

     Call          2/10/17          USD       52.00          75          (8,625

Tesoro Corp.

     Call          2/10/17          USD       90.50          53          (13,967

Chevron Corp.

     Call          2/17/17          USD       115.00          347          (168,295

ConocoPhillips

     Call          2/17/17          USD       49.00          275          (77,550

ConocoPhillips

     Call          2/17/17          USD       55.00          129          (6,644

Enbridge, Inc.

     Call          2/17/17          CAD       58.00          186          (12,052

EOG Resources, Inc.

     Call          2/17/17          USD       105.00          103          (25,647

Exxon Mobil Corp.

     Call          2/17/17          USD       92.50          496          (60,760

Hess Corp.

     Call          2/17/17          USD       60.00          240          (114,600

Marathon Oil Corp.

     Call          2/17/17          USD       19.00          321          (15,087

Noble Energy, Inc.

     Call          2/17/17          USD       42.50          160          (6,800

Schlumberger Ltd.

     Call          2/17/17          USD       87.50          92          (10,672

EQT Corp.

     Call          3/17/17          USD       70.00          235          (49,350

Total

                         $ (3,364,871
                        

 

 

 

 

OTC Options Written

 

                                               
Description    Put/
Call
   Counterparty    Expiration
Date
    

Strike

Price

       Contracts        Value  

Marathon Oil Corp.

   Call    Barclays Bank PLC    1/03/17        USD       15.90          16,700        $ (23,941

BP PLC

   Call    Credit Suisse International    1/04/17        GBP       4.46          90,000          (70,881

BP PLC

   Call    UBS AG    1/04/17        GBP       5.06          200,000          (16,161

Royal Dutch Shell PLC, A Shares

   Call    Credit Suisse International    1/04/17        GBP       20.02          111,000          (327,669

Exxon Mobil Corp.

   Call    Citibank N.A.    1/05/17        USD       89.45          20,700          (27,295

Valero Energy Corp.

   Call    Deutsche Bank AG    1/06/17        USD       64.50          26,300          (102,972

Eni SpA

   Call    Credit Suisse International    1/10/17        EUR       13.21          87,000          (202,769

Lundin Petroleum AB

   Call    Credit Suisse International    1/10/17        SEK       161.16          44,000          (175,563

Cabot Oil & Gas Corp.

   Call    Barclays Bank PLC    1/11/17        USD       23.90          22,500          (10,908

Eni SpA

   Call    Bank of America N.A.    1/11/17        EUR       13.85          13,000          (21,231

Oil Search Ltd.

   Call    Morgan Stanley & Co. International PLC    1/11/17        AUD       6.60          215,000          (85,245

TransCanada Corp.

   Call    Citibank N.A.    1/11/17        CAD       61.81          23,000          (5,057

BP PLC

   Call    Credit Suisse International    1/12/17        GBP       4.46          90,000          (70,955

BP PLC

   Call    Morgan Stanley & Co. International PLC    1/12/17        GBP       4.58          210,000          (130,749

Encana Corp.

   Call    Credit Suisse International    1/12/17        CAD       15.00          57,000          (38,585

Noble Energy, Inc.

   Call    Citibank N.A.    1/17/17        USD       36.48          46,000          (110,389

BP PLC

   Call    Credit Suisse International    1/18/17        GBP       4.49          90,000          (67,817

BP PLC

   Call    Morgan Stanley & Co. International PLC    1/18/17        GBP       4.58          210,000          (131,493

Lundin Petroleum AB

   Call    Bank of America N.A.    1/18/17        SEK       183.99          40,000          (61,696

Valero Energy Corp.

   Call    Deutsche Bank AG    1/19/17        USD       64.50          26,300          (114,216

Eni SpA

   Call    Credit Suisse International    1/26/17        EUR       15.19          87,000          (44,439

Encana Corp.

   Call    Morgan Stanley & Co. International PLC    1/27/17        CAD       15.71          65,100          (32,225

TransCanada Corp.

   Call    Morgan Stanley & Co. International PLC    1/30/17        CAD       60.92          43,500          (34,317

BP PLC

   Call    Credit Suisse International    2/01/17        GBP       4.51          280,000          (200,372

Oil Search Ltd.

   Call    Deutsche Bank AG    2/02/17        AUD       7.35          190,000          (19,992

Anadarko Petroleum Corp.

   Call    Barclays Bank PLC    2/07/17        USD       70.90          35,000          (90,393

Enbridge, Inc.

   Call    Goldman Sachs International    2/07/17        CAD       56.92          38,000          (35,012

Encana Corp.

   Call    Morgan Stanley & Co. International PLC    2/08/17        CAD       17.25          127,500          (28,272

BP PLC

   Call    Credit Suisse International    2/09/17        GBP       4.86          300,000          (108,572

 

See Notes to Financial Statements.

 

28    ANNUAL REPORT    DECEMBER 31, 2016     


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

 

Description    Put/
Call
       Counterparty        Expiration
Date
      

Strike

Price

       Contracts        Value  

Oil Search Ltd.

     Call          Deutsche Bank AG          2/09/17          AUD       7.22          209,000        $ (32,954

Royal Dutch Shell PLC, A Shares

     Call          Morgan Stanley & Co. International PLC          2/09/17          GBP       22.52          138,900          (106,887

Cimarex Energy Co.

     Call          UBS AG          2/14/17          USD       138.00          26,600          (151,023

Encana Corp.

     Call          Morgan Stanley & Co. International PLC          2/15/17          CAD       16.89          53,000          (18,970

BP PLC

     Call          UBS AG          2/22/17          GBP       4.92          300,000          (76,686

Enbridge, Inc.

     Call          Deutsche Bank AG          3/06/17          CAD       58.60          19,000          (11,777

Total

                              $ (2,787,483
                             

 

 

 

 

      Transactions in Options Written for the Year Ended December 31, 2016

 

      Calls     Puts  
     Contracts        Premiums
Received
    Contracts        Premiums
Received
 

 

   

 

 

 

Outstanding options at beginning of year

     3,555,178      $ 3,279,955                 

Options written

     24,961,528        31,529,453                 

Options exercised

     (299      (40,401               

Options expired

     (12,680,026      (9,218,878               

Options closed

     (12,266,029      (20,745,521               
  

 

 

   

 

 

 

Outstanding options at end of year

          3,570,352      $ 4,804,608                        —           
  

 

 

   

 

 

 

As of period end, the value of portfolio securities subject to covered call options written was $166,279,525.

 

      Derivative Financial Instruments Categorized by Risk Exposure

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

 

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

Liabilities — Derivative Financial Instruments

                                                               

Options written

        Options written, at value            —            —            $6,152,354          —                  $ 6,152,354  
 

 

 

For the year ended December 31, 2016, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

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

Options purchased1

         $ (406          $ (406

Options written

           (4,190,501            (4,190,501
  

 

 

Total

         $ (4,190,907          $ (4,190,907
  

 

 
                 

Net Change in Unrealized Appreciation (Depreciation) on:

                                     

Options written

         $ (3,690,895          $ (3,690,895
  

 

 

 

  1   

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

 

See Notes to Financial Statements.

 

     ANNUAL REPORT    DECEMBER 31, 2016    29


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

 

      Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Options:

        

Average value of option contracts purchased1

   $ 406  

Average value of option contracts written

   $ 5,499,043  

 

  1   

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

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

 

      Derivative Financial Instruments — Offsetting as of Period End

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

 

                    Assets                Liabilities  

Derivative Financial Instruments:

      

Options

       $ 6,152,354  
    

 

 

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

       $ (3,364,871
    

 

 

Total derivative assets and liabilities subject to an MNA

       $ 2,787,483  
    

 

 

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

 

 

    Gross Amounts Not Offset in the Consolidated Statements of Assets and Liabilities
and  Subject to an MNA
 

 

Counterparty  

Derivative Liabilities

    Subject to an MNA by    

Counterparty

  

Derivatives Available

for Offset

  

Non-cash

Collateral

Pledged1

   

Cash

Collateral

Pledged

  

Net Amount of    

Derivative Liabilities2    

 

Bank of America N.A.

  $     82,927                $  82,927    

Barclays Bank PLC

       125,242                  125,242    

Citibank N.A.

       142,741       $ (142,741                 —    

Credit Suisse International

    1,307,622         (1,307,622                 —    

Deutsche Bank AG

       281,911                  281,911    

Goldman Sachs International

         35,012                    35,012    

Morgan Stanley & Co. International PLC

       568,158         (402,650        165,508    

UBS AG

       243,870                  243,870    
 

 

Total

  $2,787,483       $ (1,853,013      $934,470    
 

 

 

  1   

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

 

  2   

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

 

See Notes to Financial Statements.

 

30    ANNUAL REPORT    DECEMBER 31, 2016     


Schedule of Investments (concluded)      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:

                

Long-Term Investments:

                

Common Stocks:

                

Energy Equipment & Services

  $ 45,923,652                          $ 45,923,652  

Oil, Gas & Consumable Fuels

    364,868,702        $ 79,333,179                   444,201,881  

Short-Term Securities

    3,936,617                            3,936,617  
 

 

 

 

Total Investments

  $             414,728,971        $             79,333,179                 $             494,062,150  
 

 

 

 
                

Derivative Financial Instruments1

                                        

Liabilities:

                

Equity contracts

  $ (2,864,449      $ (3,287,905               $ (6,152,354
 

 

 

 

 

  1   

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

During the year ended December 31, 2016, there were no transfers between levels.

 

See Notes to Financial Statements.

 

     ANNUAL REPORT    DECEMBER 31, 2016    31


Schedule of Investments December 31, 2016      BlackRock Enhanced Capital and Income Fund, Inc. (CII)  
     (Percentages shown are based on Net Assets)  

 

Common Stocks    Shares      Value  

Aerospace & Defense — 1.1%

     

Huntington Ingalls Industries, Inc.

     1,801      $ 331,726  

L-3 Communications Holdings, Inc. (a)

     21,457        3,263,824  

Raytheon Co. (a)

     26,845        3,811,990  
     

 

 

 
                7,407,540  

Airlines — 1.8%

     

Delta Air Lines, Inc. (a)

     219,360        10,790,318  

Southwest Airlines Co. (a)

     27,834        1,387,247  
     

 

 

 
                12,177,565  

Auto Components — 2.7%

     

Goodyear Tire & Rubber Co. (a)

     271,497        8,381,112  

Lear Corp. (a)

     71,363        9,446,320  
     

 

 

 
                17,827,432  

Banks — 13.5%

     

Bank of America Corp. (a)

     1,167,499        25,801,728  

Citigroup, Inc. (a)

     104,010        6,181,314  

JPMorgan Chase & Co. (a)(b)

     325,683        28,103,186  

Regions Financial Corp. (a)

     138,799        1,993,154  

SunTrust Banks, Inc. (a)

     218,766        11,999,315  

U.S. Bancorp (a)

     304,941        15,664,819  
     

 

 

 
                89,743,516  

Beverages — 1.4%

     

Dr. Pepper Snapple Group, Inc.

     100,907        9,149,238  

Biotechnology — 3.9%

     

Amgen, Inc. (a)

     7,304        1,067,918  

Biogen, Inc. (a)(c)

     44,579        12,641,713  

Gilead Sciences, Inc. (a)

     169,175        12,114,622  
     

 

 

 
                25,824,253  

Building Products — 0.4%

     

Owens Corning

     51,108        2,635,128  

Capital Markets — 2.2%

     

Goldman Sachs Group, Inc. (a)

     60,296        14,437,877  

Chemicals — 1.3%

     

Dow Chemical Co. (a)

     148,005        8,468,846  

Communications Equipment — 2.5%

     

Cisco Systems, Inc. (a)

     559,348        16,903,497  

Construction & Engineering — 0.4%

     

EMCOR Group, Inc. (a)

     38,519        2,725,604  

Consumer Finance — 1.2%

     

SLM Corp. (c)

     713,666        7,864,599  

Containers & Packaging — 1.5%

     

Avery Dennison Corp. (a)

     49,267        3,459,529  

Packaging Corp. of America

     79,712        6,761,172  
     

 

 

 
                10,220,701  

Diversified Telecommunication Services — 0.2%

     

AT&T Inc. (a)

     37,700        1,603,381  

Electric Utilities — 0.7%

     

FirstEnergy Corp.

     143,866        4,455,530  

Electronic Equipment, Instruments & Components — 1.9%

 

  

CDW Corp. (a)

     112,240        5,846,582  

Flex Ltd. (a)(c)

     458,631        6,590,527  
     

 

 

 
                12,437,109  

Energy Equipment & Services — 0.3%

     

Schlumberger Ltd. (a)

     25,469        2,138,123  

Food & Staples Retailing — 4.5%

     

CVS Health Corp. (a)(b)

     138,171        10,903,074  

Walgreens Boots Alliance, Inc. (a)

     173,444        14,354,225  
Common Stocks    Shares      Value  

Food & Staples Retailing (continued)

     

Wal-Mart Stores, Inc. (a)

     69,669      $ 4,815,521  
     

 

 

 
                30,072,820  

Health Care Providers & Services — 7.0%

     

Aetna, Inc. (a)(b)

     66,410        8,235,504  

Centene Corp. (c)

     92,304        5,216,099  

Cigna Corp. (a)

     17,787        2,372,608  

Humana, Inc. (a)

     64,918        13,245,220  

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

     37,064        4,758,276  

UnitedHealth Group, Inc. (a)

     78,738        12,601,230  
     

 

 

 
                46,428,937  

Hotels, Restaurants & Leisure — 2.7%

     

Carnival Corp. (a)

     275,660        14,350,860  

Wyndham Worldwide Corp. (a)

     50,284        3,840,189  
     

 

 

 
                18,191,049  

Household Durables — 1.4%

     

DR Horton, Inc. (a)

     175,163        4,787,205  

Lennar Corp., Class A (a)

     60,253        2,586,661  

NVR, Inc. (c)

     1,234        2,059,546  
     

 

 

 
                9,433,412  

Insurance — 0.0%

     

Prudential Financial, Inc.

     3,196        332,576  

Internet Software & Services — 4.0%

     

Alphabet, Inc., Class A (a)(b)(c)

     33,504        26,550,245  

IT Services — 2.1%

     

Amdocs Ltd. (a)

     99,436        5,792,147  

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

     147,712        8,276,303  
     

 

 

 
                14,068,450  

Life Sciences Tools & Services — 0.0%

     

Quintiles IMS Holdings, Inc. (c)

     4,104        312,109  

Machinery — 0.4%

     

WABCO Holdings, Inc. (a)(c)

     22,204        2,356,955  

Media — 3.8%

     

Comcast Corp., Class A (a)(b)

     294,633        20,344,409  

Omnicom Group, Inc. (a)

     54,869        4,669,901  
     

 

 

 
                25,014,310  

Metals & Mining — 1.0%

     

Rio Tinto PLC — ADR (a)

     177,867        6,840,765  

Multiline Retail — 0.0%

     

Kohl’s Corp.

     6,022        297,366  

Multi-Utilities — 0.6%

     

Public Service Enterprise Group, Inc.

     88,510        3,883,819  

Oil, Gas & Consumable Fuels — 7.3%

     

Anadarko Petroleum Corp. (a)

     38,023        2,651,344  

BP PLC — ADR (a)

     269,558        10,076,076  

Chevron Corp. (a)

     130,394        15,347,374  

Hess Corp. (a)

     54,589        3,400,349  

Marathon Oil Corp. (a)

     131,595        2,277,909  

Statoil ASA — ADR (a)(d)

     142,650        2,601,936  

Suncor Energy, Inc. (a)

     217,235        7,101,412  

TOTAL SA — ADR (a)

     47,521        2,422,145  

Valero Energy Corp. (a)

     34,800        2,377,536  
     

 

 

 
                48,256,081  

Pharmaceuticals — 2.8%

     

Allergan PLC (a)(c)

     16,929        3,555,259  

Johnson & Johnson (a)

     23,980        2,762,736  

Mallinckrodt PLC (a)(c)

     76,452        3,808,839  
 

 

See Notes to Financial Statements.

 

32    ANNUAL REPORT    DECEMBER 31, 2016     


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

 

Common Stocks    Shares      Value  

Pharmaceuticals (continued)

     

Merck & Co., Inc. (a)

     54,299      $ 3,196,582  

Pfizer, Inc. (a)(b)

     51,521        1,673,402  

Teva Pharmaceutical Industries Ltd. — ADR (a)

     108,027        3,915,979  
     

 

 

 
                18,912,797  

Professional Services — 0.6%

     

Robert Half International, Inc.

     82,003        4,000,106  

Road & Rail — 0.9%

     

Norfolk Southern Corp. (a)

     54,370        5,875,766  

Semiconductors & Semiconductor Equipment — 4.2%

 

  

Applied Materials, Inc.

     51,857        1,673,425  

Intel Corp. (a)(b)

     266,433        9,663,525  

Lam Research Corp. (a)

     119,379        12,621,942  

NVIDIA Corp. (a)

     36,675        3,914,690  
     

 

 

 
                27,873,582  

Software — 5.9%

     

Activision Blizzard, Inc. (a)

     337,290        12,179,542  

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

     36,076        1,983,098  

Microsoft Corp. (a)(b)

     400,842        24,908,322  
     

 

 

 
                39,070,962  

Specialty Retail — 4.1%

     

Home Depot, Inc. (a)(b)

     102,046        13,682,328  

Lowe’s Cos., Inc. (a)(b)

     188,311        13,392,678  
     

 

 

 
                27,075,006  

Technology Hardware, Storage & Peripherals — 4.8%

     

Apple, Inc. (a)(b)

     273,458        31,671,906  

Tobacco — 2.5%

     

Altria Group, Inc. (a)(b)

     250,661        16,949,697  

Total Common Stocks — 97.6%

              649,488,655  

Total Long-Term Investments

(Cost — $583,835,019) — 97.6%

 

 

     649,488,655  
     
                  
Short-Term Securities    Shares      Value  
Money Market Funds                

BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.36% (e)(f)

     24,715,046      $ 24,715,046  

SL Liquidity Series, LLC Money Market Series, 0.95% (e)(f)(g)

     695,518        695,588  
Time Deposits   

Par  

(000)

         

Brown Brothers Harriman & Co., 0.63%, 1/03/16

   $ 232        232,266  

Total Short-Term Securities

(Cost — $25,642,846) — 3.9%

 

 

     25,642,900  

Total Investments Before Options Written

(Cost — $609,477,865) — 101.5%

 

 

     675,131,555  
     
Options Written                

(Premiums Received — $8,212,203) — (1.5)%

 

     (10,302,482

Total Investments Net of Options Written — 100.0%

 

     664,829,073  

Other Assets Less Liabilities — 0.0%

 

     330,374  
     

 

 

 

Net Assets — 100.0%

      $ 665,159,447  
     

 

 

 
 
      Notes to Schedule of Investments

 

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

 

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

 

(c) Non-income producing security.

 

(d) Security, or a portion of security, is on loan.

 

(e) Current yield as of period end.

 

(f) During the year ended December 31, 2016, investments in issuers considered to be affiliates of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate    Shares Held at
December 31,
2015
     Net
Activity
    Shares Held at
December 31,
2016
       Value at
  December 31,
  2016
     Income     Realized
Gain
 

BlackRock Liquidity Funds, TempFund, Institutional Class

     15,619,710        (15,619,710                 $ 52,615        

BlackRock Liquidity Funds, T-Fund, Institutional Class

            24,715,046       24,715,046        $24,715,046        22,040       $160  

SL Liquidity Series, LLC, Money Market Series

            695,518       695,518        695,588        2,681 1      3  

Total

             $25,410,634      $ 77,336       $163  
          

 

 

 

 

  1   

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

 

(g) Security was purchased with the cash collateral from loaned securities.

 

See Notes to Financial Statements.

 

     ANNUAL REPORT    DECEMBER 31, 2016    33


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

 

 

 

For Trust compliance purposes, the Trust’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by the investment 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

 

Financial Futures Contracts

 

 

Contracts

Long

   Issue      Expiration      Notional Value            Unrealized
Depreciation
 
105   

Mini S&P 500 Index Futures

     March 2017        USD               11,740,313          $    (128,627

 

Exchange-Traded Options Written

 

 
Description    Put/
Call
    

Expiration

Date

    

Strike

Price

       Contracts        Value  

Norfolk Southern Corp.

   Call      1/05/17        USD       104.00          57        $ (24,896

Amgen, Inc.

   Call      1/06/17        USD       147.00          6          (687

Apple, Inc.

   Call      1/06/17        USD       115.00          303          (46,814

Biogen, Inc.

   Call      1/06/17        USD       310.00          124          (3,100

Cisco Systems, Inc.

   Call      1/06/17        USD       30.50          149          (968

Citigroup, Inc.

   Call      1/06/17        USD       56.50          298          (90,890

Cognizant Technology Solutions Corp., Class A

   Call      1/06/17        USD       55.00          200          (37,000

Comcast Corp., Class A

   Call      1/06/17        USD       70.00          131          (4,520

Delta Air Lines, Inc.

   Call      1/06/17        USD       53.50          155          (388

Gilead Sciences, Inc.

   Call      1/06/17        USD       75.00          192          (1,440

Goodyear Tire & Rubber Co.

   Call      1/06/17        USD       31.50          110          (1,925

Intel Corp.

   Call      1/06/17        USD       35.50          117          (11,115

Johnson & Johnson

   Call      1/06/17        USD       116.00          119          (5,414

Lowe’s Cos., Inc.

   Call      1/06/17        USD       76.00          28          (84

Marathon Oil Corp.

   Call      1/06/17        USD       18.50          13          (52

Merck & Co., Inc.

   Call      1/06/17        USD       62.00          75          (450

Microsoft Corp.

   Call      1/06/17        USD       60.50          275          (50,050

Schlumberger Ltd.

   Call      1/06/17        USD       86.00          43          (559

Walgreens Boots Alliance, Inc.

   Call      1/06/17        USD       87.50          14          (504

Amgen, Inc.

   Call      1/09/17        USD       151.75          20          (1,770

EMCOR Group, Inc.

   Call      1/09/17        USD       70.10          77          (12,898

Goldman Sachs Group, Inc.

   Call      1/09/17        USD       198.00          88          (365,573

Citigroup, Inc.

   Call      1/10/17        USD       54.80          78          (36,864

Apple, Inc.

   Call      1/11/17        USD       113.00          108          (36,597

Activision Blizzard, Inc.

   Call      1/13/17        USD       38.00          736          (14,352

Anadarko Petroleum Corp.

   Call      1/13/17        USD       69.00          32          (6,336

Apple, Inc.

   Call      1/13/17        USD       113.00          110          (38,500

Apple, Inc.

   Call      1/13/17        USD       114.00          108          (29,538

Biogen, Inc.

   Call      1/13/17        USD       295.00          98          (41,650

Cisco Systems, Inc.

   Call      1/13/17        USD       30.00          104          (4,004

Cisco Systems, Inc.

   Call      1/13/17        USD       30.50          465          (6,743

Cognizant Technology Solutions Corp., Class A

   Call      1/13/17        USD       57.00          147          (11,392

Comcast Corp., Class A

   Call      1/13/17        USD       70.00          432          (29,160

Delta Air Lines, Inc.

   Call      1/13/17        USD       53.50          155          (1,860

Dow Chemical Co.

   Call      1/13/17        USD       59.50          108          (1,728

DR Horton, Inc.

   Call      1/13/17        USD       30.50          305          (1,220

Goodyear Tire & Rubber Co.

   Call      1/13/17        USD       31.50          110          (4,125

Goodyear Tire & Rubber Co.

   Call      1/13/17        USD       33.00          275          (4,125

Hess Corp.

   Call      1/13/17        USD       58.00          78          (35,880

Intel Corp.

   Call      1/13/17        USD       36.00          553          (39,540

JPMorgan Chase & Co.

   Call      1/13/17        USD       85.50          364          (65,156

Lowe’s Cos., Inc.

   Call      1/13/17        USD       72.00          301          (24,230

Mallinckrodt PLC

   Call      1/13/17        USD       58.50          121          (8,470

Marathon Oil Corp.

   Call      1/13/17        USD       18.50          13          (182

Merck & Co., Inc.

   Call      1/13/17        USD       62.00          67          (570

Microsoft Corp.

   Call      1/13/17        USD       61.00          137          (21,783

Microsoft Corp.

   Call      1/13/17        USD       61.50          137          (16,851

Schlumberger Ltd.

   Call      1/13/17        USD       86.50          42          (1,323

Suncor Energy, Inc.

   Call      1/13/17        USD       33.00          174          (7,569

U.S. Bancorp

   Call      1/13/17        USD       51.00          225          (20,025

UnitedHealth Group, Inc.

   Call      1/13/17        USD       162.50          49          (6,982

 

See Notes to Financial Statements.

 

34    ANNUAL REPORT    DECEMBER 31, 2016     


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

 

Description    Put/
Call
    

Expiration

Date

    

Strike

Price

       Contracts        Value  

Walgreens Boots Alliance, Inc.

   Call      1/13/17        USD       84.50          300        $ (42,150

Bank of America Corp.

   Call      1/17/17        USD       20.08          800          (171,247

Activision Blizzard, Inc.

   Call      1/20/17        USD       40.00          192          (1,728

Aetna, Inc.

   Call      1/20/17        USD       125.00          25          (8,250

Aetna, Inc.

   Call      1/20/17        USD       130.00          180          (29,430

Alphabet, Inc., Class A

   Call      1/20/17        USD       820.00          57          (21,660

Altria Group, Inc.

   Call      1/20/17        USD       67.50          218          (24,852

Amdocs Ltd.

   Call      1/20/17        USD       60.00          257          (8,995

Anadarko Petroleum Corp.

   Call      1/20/17        USD       65.00          27          (14,242

Apple, Inc.

   Call      1/20/17        USD       115.00          123          (29,151

Apple, Inc.

   Call      1/20/17        USD       117.00          110          (14,575

AT&T Inc.

   Call      1/20/17        USD       38.00          94          (42,770

Avery Dennison Corp.

   Call      1/20/17        USD       72.90          185          (6,414

BP PLC — ADR

   Call      1/20/17        USD       35.00          174          (43,761

BP PLC — ADR

   Call      1/20/17        USD       37.00          149          (13,559

Carnival Corp.

   Call      1/20/17        USD       52.50          358          (32,220

Chevron Corp.

   Call      1/20/17        USD       108.75          171          (164,841

Cigna Corp.

   Call      1/20/17        USD       140.00          34          (7,123

Cisco Systems, Inc.

   Call      1/20/17        USD       30.00          103          (4,790

Cisco Systems, Inc.

   Call      1/20/17        USD       31.00          736          (8,096

Citigroup, Inc.

   Call      1/20/17        USD       50.00          25          (23,812

Citigroup, Inc.

   Call      1/20/17        USD       55.00          69          (32,948

Cognizant Technology Solutions Corp., Class A

   Call      1/20/17        USD       57.50          200          (16,500

Comcast Corp., Class A

   Call      1/20/17        USD       67.50          131          (31,768

Comcast Corp., Class A

   Call      1/20/17        USD       72.50          325          (8,288

CVS Health Corp.

   Call      1/20/17        USD       82.50          254          (6,731

Dell Technologies, Inc., Class V

   Call      1/20/17        USD       55.00          180          (24,300

Delta Air Lines, Inc.

   Call      1/20/17        USD       49.00          200          (32,600

DR Horton, Inc.

   Call      1/20/17        USD       30.00          240          (1,080

Flex Ltd.

   Call      1/20/17        USD       15.00          950          (6,650

Gilead Sciences, Inc.

   Call      1/20/17        USD       77.50          200          (6,500

Goldman Sachs Group, Inc.

   Call      1/20/17        USD       210.00          153          (461,678

Goodyear Tire & Rubber Co.

   Call      1/20/17        USD       31.00          145          (10,512

Goodyear Tire & Rubber Co.

   Call      1/20/17        USD       34.00          290          (2,900

Hess Corp.

   Call      1/20/17        USD       60.00          44          (15,070

Home Depot, Inc.

   Call      1/20/17        USD       127.75          205          (150,193

Humana, Inc.

   Call      1/20/17        USD       210.00          199          (113,430

Intel Corp.

   Call      1/20/17        USD       35.00          66          (10,362

Intel Corp.

   Call      1/20/17        USD       37.00          102          (3,516

JPMorgan Chase & Co.

   Call      1/20/17        USD       77.50          199          (176,115

L-3 Communications Holdings, Inc.

   Call      1/20/17        USD       160.00          47          (3,525

Laboratory Corp. of America Holdings

   Call      1/20/17        USD       130.00          92          (12,420

Lam Research Corp.

   Call      1/20/17        USD       105.00          447          (136,335

Lam Research Corp.

   Call      1/20/17        USD       115.00          150          (3,375

Lear Corp.

   Call      1/20/17        USD       135.00          133          (27,265

Lennar Corp., Class A

   Call      1/20/17        USD       45.00          200          (3,900

Lowe’s Cos., Inc.

   Call      1/20/17        USD       75.00          612          (16,830

Merck & Co., Inc.

   Call      1/20/17        USD       62.50          75          (825

Microsoft Corp.

   Call      1/20/17        USD       60.00          333          (84,083

Microsoft Corp.

   Call      1/20/17        USD       62.50          528          (45,408

Norfolk Southern Corp.

   Call      1/20/17        USD       105.00          160          (70,400

NVIDIA Corp.

   Call      1/20/17        USD       90.00          90          (156,825

NVIDIA Corp.

   Call      1/20/17        USD       95.00          93          (121,598

Omnicom Group, Inc.

   Call      1/20/17        USD       87.50          302          (18,120

Pfizer, Inc.

   Call      1/20/17        USD       34.00          367          (3,120

Raytheon Co.

   Call      1/20/17        USD       145.00          139          (16,958

Raytheon Co.

   Call      1/20/17        USD       150.00          16          (416

Regions Financial Corp.

   Call      1/20/17        USD       15.00          233          (3,961

Rio Tinto PLC — ADR

   Call      1/20/17        USD       40.00          125          (7,188

Schlumberger Ltd.

   Call      1/20/17        USD       87.50          42          (2,100

Southwest Airlines Co.

   Call      1/20/17        USD       47.00          200          (64,000

Statoil ASA — ADR

   Call      1/20/17        USD       17.50          313          (34,430

Suncor Energy, Inc.

   Call      1/20/17        USD       32.00          183          (21,136

SunTrust Banks, Inc.

   Call      1/20/17        USD       55.00          263          (34,190

Teva Pharmaceutical Industries Ltd. — ADR

   Call      1/20/17        USD       45.00          100          (200

 

See Notes to Financial Statements.

 

     ANNUAL REPORT    DECEMBER 31, 2016    35


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

 

Description    Put/
Call
      

Expiration

Date

    

Strike

Price

       Contracts        Value  

TOTAL SA — ADR

     Call        1/20/17        USD       47.50          85        $ (30,600

UnitedHealth Group, Inc.

     Call        1/20/17        USD       150.00          207          (229,252

Valero Energy Corp.

     Call        1/20/17        USD       65.00          15          (5,962

WABCO Holdings, Inc.

     Call        1/20/17        USD       110.00          64          (6,080

Walgreens Boots Alliance, Inc.

     Call        1/20/17        USD       85.00          223          (31,554

Wal-Mart Stores, Inc.

     Call        1/20/17        USD       72.50          100          (1,400

Wyndham Worldwide Corp.

     Call        1/20/17        USD       75.00          164          (37,720

CDW Corp.

     Call        1/23/17        USD       50.10          350          (82,850

Activision Blizzard, Inc.

     Call        1/27/17        USD       38.00          200          (8,000

Aetna, Inc.

     Call        1/27/17        USD       129.00          25          (6,438

Allergan PLC

     Call        1/27/17        USD       200.00          42          (59,010

Alphabet, Inc., Class A

     Call        1/27/17        USD       830.00          56          (61,040

Altria Group, Inc.

     Call        1/27/17        USD       66.00          367          (93,769

Anadarko Petroleum Corp.

     Call        1/27/17        USD       75.00          26          (1,417

Apple, Inc.

     Call        1/27/17        USD       113.00          246          (114,390

BP PLC — ADR

     Call        1/27/17        USD       36.50          188          (25,756

Chevron Corp.

     Call        1/27/17        USD       118.00          237          (52,851

Cisco Systems, Inc.

     Call        1/27/17        USD       30.50          465          (14,880

Citigroup, Inc.

     Call        1/27/17        USD       60.00          27          (4,185

Citigroup, Inc.

     Call        1/27/17        USD       61.00          35          (3,955

Cognizant Technology Solutions Corp., Class A

     Call        1/27/17        USD       58.00          104          (8,580

Cognizant Technology Solutions Corp., Class A

     Call        1/27/17        USD       58.50          105          (7,088

Comcast Corp., Class A

     Call        1/27/17        USD       71.00          131          (13,231

Delta Air Lines, Inc.

     Call        1/27/17        USD       51.00          180          (18,000

Dow Chemical Co.

     Call        1/27/17        USD       60.00          31          (1,348

DR Horton, Inc.

     Call        1/27/17        USD       30.00          330          (5,940

Goodyear Tire & Rubber Co.

     Call        1/27/17        USD       33.50          275          (4,812

Goodyear Tire & Rubber Co.

     Call        1/27/17        USD       34.00          152          (4,180

Hess Corp.

     Call        1/27/17        USD       65.50          67          (9,112

Humana, Inc.

     Call        1/27/17        USD       217.50          40          (18,000

Mallinckrodt PLC

     Call        1/27/17        USD       57.00          180          (13,950

Marathon Oil Corp.

     Call        1/27/17        USD       20.50          142          (3,550

Microsoft Corp.

     Call        1/27/17        USD       64.00          594          (60,588

Norfolk Southern Corp.

     Call        1/27/17        USD       110.00          55          (13,475

Suncor Energy, Inc.

     Call        1/27/17        USD       33.00          171          (12,226

Suncor Energy, Inc.

     Call        1/27/17        USD       34.00          368          (12,696

Teva Pharmaceutical Industries Ltd. — ADR

     Call        1/27/17        USD       38.50          200          (9,900

U.S. Bancorp

     Call        1/27/17        USD       52.00          134          (10,251

Walgreens Boots Alliance, Inc.

     Call        1/27/17        USD       86.00          330          (42,570

Aetna, Inc.

     Call        1/30/17        USD       124.25          193          (85,537

Bank of America Corp.

     Call        1/30/17        USD       20.08          800          (183,090

Goldman Sachs Group, Inc.

     Call        1/30/17        USD       211.60          60          (177,348

Home Depot, Inc.

     Call        1/30/17        USD       131.60          172          (81,716

JPMorgan Chase & Co.

     Call        1/30/17        USD       79.60          429          (288,980

UnitedHealth Group, Inc.

     Call        1/30/17        USD       157.00          63          (41,382

TOTAL SA — ADR

     Call        1/31/17        USD       47.50          85          (31,627

Activision Blizzard, Inc.

     Call        2/02/17        USD       40.00          280          (8,430

Avery Dennison Corp.

     Call        2/02/17        USD       73.60          61          (2,770

Alphabet, Inc., Class A

     Call        2/03/17        USD       815.00          54          (93,960

CVS Health Corp.

     Call        2/03/17        USD       80.50          218          (23,108

CVS Health Corp.

     Call        2/03/17        USD       81.00          218          (19,402

Dow Chemical Co.

     Call        2/03/17        USD       59.50          301          (20,318

JPMorgan Chase & Co.

     Call        2/03/17        USD       88.00          306          (44,982

Mallinckrodt PLC

     Call        2/03/17        USD       54.00          81          (14,985

Marathon Oil Corp.

     Call        2/03/17        USD       18.35          63          (2,845

Aetna, Inc.

     Call        2/07/17        USD       129.50          42          (12,767

Flex Ltd.

     Call        2/08/17        USD       14.80          419          (9,713

Bank of America Corp.

     Call        2/09/17        USD       20.16          600          (135,482

BP PLC — ADR

     Call        2/10/17        USD       37.50          224          (23,072

EMCOR Group, Inc.

     Call        2/10/17        USD       71.00          78          (19,859

UnitedHealth Group, Inc.

     Call        2/13/17        USD       157.00          63          (47,700

Activision Blizzard, Inc.

     Call        2/17/17        USD       39.00          270          (19,440

Altria Group, Inc.

     Call        2/17/17        USD       67.50          334          (68,136

Apple, Inc.

     Call        2/17/17        USD       120.00          259          (49,987

Bank of America Corp.

     Call        2/17/17        USD       21.00          1,264          (214,248

 

See Notes to Financial Statements.

 

36    ANNUAL REPORT    DECEMBER 31, 2016     


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

 

Description    Put/
Call
       Expiration
Date
      

Strike

Price

       Contracts        Value  

BP PLC — ADR

     Call          2/17/17          USD       37.00          388        $ (51,604

Chevron Corp.

     Call          2/17/17          USD       115.00          243          (117,855

Citigroup, Inc.

     Call          2/17/17          USD       60.00          11          (2,332

Comcast Corp., Class A

     Call          2/17/17          USD       72.50          323          (31,331

Dow Chemical Co.

     Call          2/17/17          USD       60.00          301          (24,231

Gilead Sciences, Inc.

     Call          2/17/17          USD       77.50          206          (26,059

Hess Corp.

     Call          2/17/17          USD       60.00          83          (39,632

Home Depot, Inc.

     Call          2/17/17          USD       131.60          172          (96,495

Humana, Inc.

     Call          2/17/17          USD       205.00          85          (108,375

JPMorgan Chase & Co.

     Call          2/17/17          USD       85.00          330          (112,200

Laboratory Corp. of America Holdings

     Call          2/17/17          USD       130.00          92          (28,980

Marathon Oil Corp.

     Call          2/17/17          USD       19.00          284          (13,348

Pfizer, Inc.

     Call          2/17/17          USD       34.00          120          (3,360

Suncor Energy, Inc.

     Call          2/17/17          USD       33.00          190          (22,040

U.S. Bancorp

     Call          2/17/17          USD       50.00          134          (30,619

U.S. Bancorp

     Call          2/17/17          USD       52.50          1,031          (94,852

Wal-Mart Stores, Inc.

     Call          2/17/17          USD       75.00          125          (2,062

Wyndham Worldwide Corp.

     Call          2/17/17          USD       77.50          87          (21,968

Bank of America Corp.

     Call          2/24/17          USD       20.86          604          (115,496

Bank of America Corp.

     Call          2/28/17          USD       20.40          526          (119,097

Altria Group, Inc.

     Call          3/17/17          USD       67.50          334          (82,498

Bank of America Corp.

     Call          3/17/17          USD       23.00          1,245          (105,203

BP PLC — ADR

     Call          3/17/17          USD       38.00          224          (22,176

WABCO Holdings, Inc.

     Call          3/17/17          USD       110.00          64          (21,440

Total

                         $ (8,046,010
                        

 

 

 

 

OTC Options Written

 

                                                 
Description    Put/
Call
     Counterparty    Expiration
Date
    

Strike

Price

       Contracts        Value  

Marathon Oil Corp.

     Call      Barclays Bank PLC    1/03/17        USD       15.90          14,200        $ (20,357

SLM Corp.

     Call      Barclays Bank PLC    1/03/17        USD       7.39          159,200          (577,976

Flex Ltd.

     Call      Barclays Bank PLC    1/05/17        USD       14.14          92,400          (27,506

Owens Corning

     Call      Goldman Sachs International    1/05/17        USD       53.06          13,600          (2,233

Rio Tinto PLC — ADR

     Call      Barclays Bank PLC    1/06/17        USD       34.10          5,200          (23,385

Valero Energy Corp.

     Call      Deutsche Bank AG    1/06/17        USD       64.50          8,000          (31,322

Owens Corning

     Call      Goldman Sachs International    1/11/17        USD       53.06          13,600          (5,003

Robert Half International, Inc.

     Call      Barclays Bank PLC    1/11/17        USD       45.47          14,500          (52,516

Centene Corp.

     Call      Barclays Bank PLC    1/12/17        USD       59.86          32,000          (9,006

Public Service Enterprise Group, Inc.

     Call      Morgan Stanley & Co. International PLC    1/12/17        USD       43.21          13,500          (23,503

Lear Corp.

     Call      UBS AG    1/13/17        USD       126.80          4,600          (29,154

Dr. Pepper Snapple Group, Inc.

     Call      Citibank N.A.    1/17/17        USD       83.76          28,000          (197,803

L-3 Communications Holdings, Inc.

     Call      Barclays Bank PLC    1/17/17        USD       158.65          6,000          (4,559

Packaging Corp. of America

     Call      Goldman Sachs International    1/17/17        USD       86.10          6,200          (7,133

SLM Corp.

     Call      Morgan Stanley & Co. International PLC    1/17/17        USD       8.60          92,000          (222,926

Rio Tinto PLC — ADR

     Call      Deutsche Bank AG    1/19/17        USD       36.58          7,200          (17,268

Valero Energy Corp.

     Call      Deutsche Bank AG    1/19/17        USD       64.50          8,000          (34,743

Rio Tinto PLC — ADR

     Call      Deutsche Bank AG    1/25/17        USD       42.60          32,000          (5,540

Lear Corp.

     Call      UBS AG    1/26/17        USD       136.28          17,700          (35,056

Dr. Pepper Snapple Group, Inc.

     Call      Deutsche Bank AG    1/31/17        USD       91.81          22,500          (28,018

Packaging Corp. of America

     Call      Citibank N.A.    1/31/17        USD       86.80          20,000          (28,620

Public Service Enterprise Group, Inc.

     Call      Morgan Stanley & Co. International PLC    2/02/17        USD       42.23          31,000          (96,953

SunTrust Banks, Inc.

     Call      Bank of America N.A.    2/02/17        USD       52.00          41,500          (162,626

Carnival Corp.

     Call      UBS AG    2/03/17        USD       52.20          51,000          (68,681

Rio Tinto PLC — ADR

     Call      Goldman Sachs International    2/06/17        USD       39.35          17,800          (22,455

Rio Tinto PLC — ADR

     Call      Morgan Stanley & Co. International PLC    2/06/17        USD       40.90          10,000          (6,728

Anadarko Petroleum Corp.

     Call      Barclays Bank PLC    2/07/17        USD       70.90          10,500          (27,118

Statoil ASA — ADR

     Call      Barclays Bank PLC    2/08/17        USD       18.50          40,000          (25,438

Cigna Corp.

     Call      Goldman Sachs International    2/09/17        USD       134.75          5,400          (33,912

Robert Half International, Inc.

     Call      Morgan Stanley & Co. International PLC    2/10/17        USD       48.55          12,600          (34,779

Amdocs Ltd.

     Call      Morgan Stanley & Co. International PLC    2/13/17        USD       60.25          24,000          (20,748

 

See Notes to Financial Statements.

 

     ANNUAL REPORT    DECEMBER 31, 2016    37


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

 

Description    Put/
Call
     Counterparty    Expiration
Date
      

Strike

Price

       Contracts        Value  

Carnival Corp.

     Call      Citibank N.A.      2/13/17          USD       52.80          51,000        $ (65,683

SLM Corp.

     Call      Barclays Bank PLC      2/13/17          USD       10.85          105,600          (75,336

CDW Corp.

     Call      Barclays Bank PLC      2/15/17          USD       53.75          21,100          (39,482

SunTrust Banks, Inc.

     Call      Barclays Bank PLC      2/16/17          USD       52.75          41,500          (157,741

Packaging Corp. of America

     Call      Citibank N.A.      2/22/17          USD       86.70          13,600          (35,165

Total

                          $ (2,256,472
                         

 

 

 

 

      Transactions in Options Written for the Year Ended December 31, 2016

 

      Calls     Puts  
     Contracts            Premiums
Received
      Contracts             Premiums
Received
 

 

   

 

 

 

Outstanding options at beginning of year

     921,779        $ 6,490,809                  

Options written

     8,140,087          58,049,114                  

Options exercised

     (17,286        (353,479                

Options expired

     (2,320,909        (13,447,925                

Options closed

        (5,593,882        (42,526,316                
  

 

 

   

 

 

 

Outstanding options at end of year

     1,129,789        $ 8,212,203                  
  

 

 

   

 

 

 

As of period end, the value of portfolio securities subject to covered call options written was $309,093,073.

 

      Derivative Financial Instruments Categorized by Risk Exposure

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

 

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

Futures contracts

   Net unrealized depreciation1          $ 128,627            $ 128,627  

Options written

   Options written, at value            10,302,482              10,302,482  
  

 

 

Total

            $ 10,431,109            $ 10,431,109  
     

 

 

 

  1   

Includes cumulative appreciation (depreciation) on futures contracts, if any, as reported in the Schedules of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.

 

See Notes to Financial Statements.

 

38    ANNUAL REPORT    DECEMBER 31, 2016     


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

 

For the year ended December 31, 2016, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

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

Futures

         $ 301,677           $ 301,677  

Options purchased1

           (607           (607

Options written

           (8,774,735           (8,774,735
  

 

 

Total

         $ (8,473,665         $ (8,473,665
  

 

 
                
Net Change in Unrealized Appreciation (Depreciation) on:                                       

Futures

         $ (128,627         $ (128,627

Options written

           (3,640,497           (3,640,497
  

 

 

Total

         $ (3,769,124         $ (3,769,124
  

 

 

 

  1   

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

 

      Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Financial futures contracts:

        

Average notional value of contracts — long

   $ 2,935,078  

Options:

  

Average value of option contracts written

   $ 8,149,367  

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

 

      Derivative Financial Instruments — Offsetting as of Period End

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

 

                   Assets                          Liabilities  

Derivative Financial Instruments:

        

Futures contracts

     —             $ 45,938  

Options

     —               10,302,482  
  

 

 

 

Total derivative assets and liabilities in the Statements of Assets and Liabilities

         $ 10,348,420  

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

     —               (8,091,948
  

 

 

 

Total derivative assets and liabilities subject to an MNA

     —             $ 2,256,472  
  

 

 

 

 

See Notes to Financial Statements.

 

     ANNUAL REPORT    DECEMBER 31, 2016    39


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

 

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

 

     

Gross Amounts Not Offset in the Consolidated Statements of Assets and Liabilities

and Subject to an MNA

Counterparty    Derivative Liabilities
Subject to an MNA by
Counterparty
   Derivatives Available
for Offset
   Non-cash
Collateral
Pledged1
  Cash
Collateral
Pledged
  Net Amount of
Derivative Liabilities2

Bank of America N.A.

     $ 162,626                         $ 162,626

Barclays Bank PLC

       1,040,420             $ (1,040,420 )            

Citibank N.A.

       327,271               (232,767 )             94,504

Deutsche Bank AG

       116,891                   $ (116,891 )      

Goldman Sachs International

       70,736                           70,736

Morgan Stanley & Co. International PLC

       405,637               (313,399 )             92,238

UBS AG

       132,891               (132,891 )            

Total

     $ 2,256,472             $ (1,719,477 )     $ (116,891 )     $ 420,104

 

  1   

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

 

  2   

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

 

      Fair Value Hierarchy as of Period End

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

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

 

      Level 1     Level 2                  Level 3                  Total  

Assets:

         

Investments:

         

Long-Term Investments:

         

Common Stocks1

   $ 649,488,655             —          $ 649,488,655  

Short-Term Investments:

         

Money Market Funds

     24,715,046             —            24,715,046  

Time Deposits

         $ 232,266       —            232,266  
  

 

 

 

Subtotal

   $                     674,203,701     $ 232,266       —          $ 674,435,967  
  

 

 

 

Investments Valued at NAV2

            695,588  
         

 

 

 

Total Investments

          $                     675,131,555  
         

 

 

 
         

Derivative Financial Instruments3

                                 

Liabilities:

         

Equity contracts

   $ (5,660,160   $                     (4,770,949     —          $ (10,431,109
  

 

 

 

 

  1   

See above Schedule of Investments for values in each industry.

 

  2   

As of December 31, 2016, certain of the Fund’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.

 

  3   

Derivative financial instruments are futures contracts and options written. Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument and options written are shown at value.

During the year ended December 31, 2016, there were no transfers between levels.

 

See Notes to Financial Statements.

 

40    ANNUAL REPORT    DECEMBER 31, 2016     


Schedule of Investments December 31, 2016      BlackRock Enhanced Equity Dividend Trust (BDJ)  
     (Percentages shown are based on Net Assets)  

 

Common Stocks    Shares      Value  

Aerospace & Defense — 4.4%

     

Lockheed Martin Corp. (a)

     81,330      $ 20,327,620  

Northrop Grumman Corp. (a)

     113,300        26,351,314  

Raytheon Co. (a)

     212,400        30,160,800  
     

 

 

 
                76,839,734  

Air Freight & Logistics — 1.1%

     

United Parcel Service, Class B (a)

     167,000        19,144,880  

Banks — 18.8%

     

Bank of America Corp. (a)(b)

     3,745,210        82,769,141  

Citigroup, Inc. (a)

     902,620        53,642,707  

JPMorgan Chase & Co. (a)(b)

     840,718        72,545,556  

KeyCorp (a)

     411,160        7,511,893  

SunTrust Banks, Inc. (a)

     689,640        37,826,754  

U.S. Bancorp (a)

     473,943        24,346,452  

Wells Fargo & Co. (a)(b)

     891,951        49,155,420  
     

 

 

 
                327,797,923  

Beverages — 1.7%

     

Coca-Cola Co. (a)

     392,800        16,285,488  

Diageo PLC — ADR (a)

     132,200        13,740,868  
     

 

 

 
                30,026,356  

Capital Markets — 4.6%

     

CME Group, Inc. (a)

     163,700        18,882,795  

Goldman Sachs Group, Inc. (a)

     69,300        16,593,885  

Invesco Ltd. (a)

     354,864        10,766,574  

Morgan Stanley (a)

     785,400        33,183,150  
     

 

 

 
                79,426,404  

Chemicals — 2.9%

     

Dow Chemical Co. (a)

     401,200        22,956,664  

EI du Pont de Nemours & Co. (a)

     303,100        22,247,540  

Praxair, Inc. (a)

     43,900        5,144,641  
     

 

 

 
                50,348,845  

Communications Equipment — 0.9%

     

Motorola Solutions, Inc. (a)

     190,800        15,815,412  

Consumer Finance — 0.2%

     

American Express Co. (a)

     42,300        3,133,584  

Diversified Telecommunication Services — 1.7%

     

BCE, Inc. (a)

     115,700        5,002,868  

Verizon Communications, Inc. (a)

     467,200        24,939,136  
     

 

 

 
                29,942,004  

Electric Utilities — 2.3%

     

Exelon Corp. (a)

     350,500        12,439,245  

FirstEnergy Corp. (a)

     141,500        4,382,255  

NextEra Energy, Inc. (a)

     201,600        24,083,136  
     

 

 

 
                40,904,636  

Electrical Equipment — 0.3%

     

Rockwell Automation, Inc. (a)

     37,900        5,093,760  

Energy Equipment & Services — 0.5%

     

Schlumberger Ltd. (a)

     98,300        8,252,285  

Equity Real Estate Investment Trusts (REITs) — 0.4%

 

  

Weyerhaeuser Co. (a)

     244,500        7,357,005  

Food & Staples Retailing — 1.3%

     

Kroger Co. (a)

     653,700        22,559,187  

Food Products — 0.6%

     

Mondelez International, Inc., Class A (a)

     249,485        11,059,670  

Health Care Equipment & Supplies — 0.7%

     

Becton Dickinson and Co. (a)

     72,800        12,052,040  
Common Stocks    Shares      Value  

Health Care Providers & Services — 6.1%

     

Aetna, Inc. (a)

     244,956      $ 30,376,993  

Anthem, Inc. (a)

     203,400        29,242,818  

Quest Diagnostics, Inc. (a)

     245,100        22,524,690  

UnitedHealth Group, Inc. (a)

     154,800        24,774,192  
     

 

 

 
                106,918,693  

Household Products — 1.0%

     

Procter & Gamble Co. (a)

     212,120        17,835,050  

Industrial Conglomerates — 4.6%

     

3M Co. (a)

     42,900        7,660,653  

General Electric Co. (a)

     1,444,800        45,655,680  

Honeywell International, Inc. (a)

     224,600        26,019,910  
     

 

 

 
                79,336,243  

Insurance — 6.6%

     

Allstate Corp. (a)

     118,900        8,812,868  

American International Group, Inc. (a)

     403,100        26,326,461  

Marsh & McLennan Cos., Inc. (a)

     126,200        8,529,858  

MetLife, Inc. (a)

     410,400        22,116,456  

Prudential Financial, Inc. (a)

     298,900        31,103,534  

Travelers Cos., Inc. (a)

     145,000        17,750,900  
     

 

 

 
                114,640,077  

Media — 2.3%

     

Comcast Corp., Class A (a)

     481,900        33,275,195  

Publicis Groupe SA

     99,200        6,835,357  
     

 

 

 
                40,110,552  

Multiline Retail — 1.3%

     

Dollar General Corp. (a)

     308,877        22,878,519  

Multi-Utilities — 2.8%

     

CMS Energy Corp. (a)

     261,300        10,875,306  

Dominion Resources, Inc. (a)

     246,600        18,887,094  

DTE Energy Co. (a)

     31,800        3,132,618  

Public Service Enterprise Group, Inc. (a)

     341,700        14,993,796  
     

 

 

 
                47,888,814  

Oil, Gas & Consumable Fuels — 11.6%

     

Anadarko Petroleum Corp. (a)

     82,400        5,745,752  

Chevron Corp. (a)

     218,600        25,729,220  

Exxon Mobil Corp. (a)

     643,000        58,037,180  

Hess Corp. (a)

     781,110        48,655,342  

Marathon Oil Corp. (a)

     359,400        6,221,214  

Marathon Petroleum Corp. (a)

     156,000        7,854,600  

Occidental Petroleum Corp. (a)

     125,700        8,953,611  

Pioneer Natural Resources Co. (a)

     25,140        4,526,960  

Suncor Energy, Inc. (a)

     1,038,840        33,959,680  

TOTAL SA — ADR (a)

     34,700        1,768,659  
     

 

 

 
                201,452,218  

Personal Products — 0.8%

     

Unilever NV (a)

     318,400        13,073,504  

Pharmaceuticals — 7.4%

     

AstraZeneca PLC

     359,236        19,617,190  

Johnson & Johnson (a)

     163,200        18,802,272  

Merck & Co., Inc. (a)

     625,600        36,829,072  

Pfizer, Inc. (a)

     1,670,690        54,264,011  
     

 

 

 
                129,512,545  

Professional Services — 0.7%

     

Experian PLC

     286,400        5,545,206  

Nielsen Holdings PLC (a)

     145,700        6,112,115  
     

 

 

 
                11,657,321  
 

 

See Notes to Financial Statements.

 

     ANNUAL REPORT    DECEMBER 31, 2016    41


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

 

Common Stocks    Shares      Value  

Road & Rail — 0.9%

     

Union Pacific Corp. (a)

     147,000      $   15,240,960  

Semiconductors & Semiconductor Equipment — 2.3%

     

Intel Corp. (a)

     504,370        18,293,500  

QUALCOMM, Inc. (a)

     341,800        22,285,360  
     

 

 

 
                40,578,860  

Software — 3.9%

     

Microsoft Corp. (a)

     638,600        39,682,604  

Oracle Corp. (a)

     745,700        28,672,165  
     

 

 

 
                68,354,769  

Specialty Retail — 2.5%

     

Gap, Inc. (a)

     457,800        10,273,032  

Home Depot, Inc. (a)

     245,840        32,962,227  
     

 

 

 
                43,235,259  

Technology Hardware, Storage & Peripherals — 2.0%

     

Lenovo Group Ltd.

     11,934,000        7,193,893  

Samsung Electronics Co. Ltd. — GDR

     36,600        27,212,420  
     

 

 

 
                34,406,313  

Tobacco — 1.6%

     

Altria Group, Inc. (a)

     128,990        8,722,304  

Philip Morris International, Inc. (a)

     104,200        9,533,258  

Reynolds American, Inc. (a)

     170,538        9,556,949  
     

 

 

 
                27,812,511  
Common Stocks    Shares      Value  

Water Utilities — 0.2%

     

American Water Works Co., Inc. (a)

     57,800      $ 4,182,408  

Wireless Telecommunication Services — 0.5%

     

SK Telecom Co. Ltd. — ADR (a)

     387,800        8,105,020  

Total Long-Term Investments

(Cost — $1,278,067,603) — 101.5%

              1,766,973,361  
     
Short-Term Securities                

BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.36% (c)(d)

     3,630,472        3,630,472  

Total Short-Term Securities

(Cost — $3,630,472) — 0.2%

              3,630,472  

Total Investments Before Options Written

(Cost — $1,281,698,075) — 101.7%

              1,770,603,833  
     
Options Written                

(Premiums Received — $20,925,252) — (1.7)%

              (29,467,237

Total Investments Net of Options Written — 100.0%

        1,741,136,596  

Other Assets Less Liabilities — 0.0%

        512,239  
     

 

 

 

Net Assets — 100.0%

      $ 1,741,648,835  
     

 

 

 
 

 

      Notes to Schedule of Investments

 

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

 

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

 

(c) Current yield as of period end.

 

(d) During the year ended December 31, 2016, investments in issuers considered to be affiliates of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate    Shares Held at
December 31,
2015
    

Net

Activity

    Shares Held at
December 31,
2016
     Value at
December 31,
2016
     Income     Realized
Gain
 

BlackRock Liquidity Funds, TempFund, Institutional Class

     13,770,944        (13,770,944                 $ 21,382        

BlackRock Liquidity Funds, T-Fund, Institutional Class

            3,630,472       3,630,472        $3,630,472        3,808        

SL Liquidity Series, LLC, Money Market Series

                                133 1      $36  

Total

             $3,630,472      $ 25,323       $36  
          

 

 

 

 

  1   

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

 

 

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

 

      Derivative Financial Instruments Outstanding as of Period End

 

Exchange-Traded Options Written

 

                                              
Description    Put/
Call
       Expiration
Date
    

Strike

Price

       Contracts        Value  

Exxon Mobil Corp.

     Call        1/04/17        USD       89.00          177        $ (27,810

3M Co.

     Call        1/06/17        USD       175.00          90          (36,450

Anthem, Inc.

     Call        1/06/17        USD       147.00          135          (9,112

Bank of America Corp.

     Call        1/06/17        USD       22.00          1,755          (69,322

Citigroup, Inc.

     Call        1/06/17        USD       56.50          560          (170,800

Coca-Cola Co.

     Call        1/06/17        USD       41.00          1,084          (64,498

Comcast Corp., Class A

     Call        1/06/17        USD       70.00          360          (12,420

Exxon Mobil Corp.

     Call        1/06/17        USD       89.00          588          (92,316

 

See Notes to Financial Statements.

 

42    ANNUAL REPORT    DECEMBER 31, 2016     


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

 

Description    Put/
Call
     Expiration
Date
    

Strike

Price

       Contracts        Value  

Gap, Inc.

   Call      1/06/17        USD       26.00          546        $ (3,549

General Electric Co.

   Call      1/06/17        USD       32.00          618          (5,562

Goldman Sachs Group, Inc.

   Call      1/06/17        USD       230.00          104          (105,820

Intel Corp.

   Call      1/06/17        USD       35.50          457          (43,415

Marathon Oil Corp.

   Call      1/06/17        USD       18.50          538          (2,152

Merck & Co., Inc.

   Call      1/06/17        USD       62.00          480          (2,880

Microsoft Corp.

   Call      1/06/17        USD       60.50          376          (68,432

Occidental Petroleum Corp.

   Call      1/06/17        USD       70.00          20          (3,040

Occidental Petroleum Corp.

   Call      1/06/17        USD       73.00          26          (390

Pfizer, Inc.

   Call      1/06/17        USD       31.50          481          (51,226

Procter & Gamble Co.

   Call      1/06/17        USD       85.50          248          (3,968

QUALCOMM, Inc.

   Call      1/06/17        USD       69.00          204          (1,224

Schlumberger Ltd.

   Call      1/06/17        USD       86.00          172          (2,236

Union Pacific Corp.

   Call      1/06/17        USD       102.00          247          (55,204

Wells Fargo & Co.

   Call      1/06/17        USD       57.50          560          (3,640

Weyerhaeuser Co.

   Call      1/06/17        USD       32.00          410          (6,150

Goldman Sachs Group, Inc.

   Call      1/09/17        USD       198.00          73          (303,259

Wells Fargo & Co.

   Call      1/09/17        USD       51.00          1,008          (422,526

Citigroup, Inc.

   Call      1/10/17        USD       54.80          301          (142,257

MetLife, Inc.

   Call      1/10/17        USD       53.50          526          (61,339

MetLife, Inc.

   Call      1/10/17        USD       54.51          263          (18,010

CME Group, Inc.

   Call      1/11/17        USD       117.00          175          (15,059

Diageo PLC — ADR

   Call      1/11/17        USD       103.01          560          (106,907

American Water Works Co., Inc.

   Call      1/12/17        USD       72.71          40          (4,230

American International Group, Inc.

   Call      1/13/17        USD       64.50          200          (28,800

American International Group, Inc.

   Call      1/13/17        USD       65.50          404          (32,522

Bank of America Corp.

   Call      1/13/17        USD       22.50          1,755          (68,445

Bank of America Corp.

   Call      1/13/17        USD       23.00          527          (11,594

Coca-Cola Co.

   Call      1/13/17        USD       42.50          474          (3,792

Comcast Corp., Class A

   Call      1/13/17        USD       70.00          577          (38,948

Dollar General Corp.

   Call      1/13/17        USD       75.50          934          (86,395

Dow Chemical Co.

   Call      1/13/17        USD       59.50          504          (8,064

EI du Pont de Nemours & Co.

   Call      1/13/17        USD       74.00          415          (48,140

Exxon Mobil Corp.

   Call      1/13/17        USD       90.00          211          (27,114

General Electric Co.

   Call      1/13/17        USD       32.00          997          (19,442

Hess Corp.

   Call      1/13/17        USD       58.00          1,103          (507,380

Intel Corp.

   Call      1/13/17        USD       36.00          458          (32,747

Johnson & Johnson

   Call      1/13/17        USD       112.00          1,048          (387,760

JPMorgan Chase & Co.

   Call      1/13/17        USD       85.50          1,510          (270,290

Marathon Oil Corp.

   Call      1/13/17        USD       18.50          538          (7,532

Marathon Petroleum Corp.

   Call      1/13/17        USD       49.00          299          (62,790

Marsh & McLennan Cos., Inc.

   Call      1/13/17        USD       66.60          237          (39,865

Merck & Co., Inc.

   Call      1/13/17        USD       62.00          827          (7,030

Microsoft Corp.

   Call      1/13/17        USD       61.00          188          (29,892

Microsoft Corp.

   Call      1/13/17        USD       61.50          190          (23,370

Mondelez International, Inc., Class A

   Call      1/13/17        USD       43.50          126          (19,530

Occidental Petroleum Corp.

   Call      1/13/17        USD       73.50          26          (884

Pfizer, Inc.

   Call      1/13/17        USD       32.50          1,289          (56,716

Pioneer Natural Resources Co.

   Call      1/13/17        USD       195.00          40          (2,100

Procter & Gamble Co.

   Call      1/13/17        USD       83.00          394          (70,132

QUALCOMM, Inc.

   Call      1/13/17        USD       67.50          40          (1,220

QUALCOMM, Inc.

   Call      1/13/17        USD       69.50          512          (4,608

Schlumberger Ltd.

   Call      1/13/17        USD       86.50          173          (5,450

Suncor Energy, Inc.

   Call      1/13/17        USD       33.00          735          (31,973

U.S. Bancorp

   Call      1/13/17        USD       51.00          323          (28,747

United Parcel Service, Class B

   Call      1/13/17        USD       119.00          186          (2,976

UnitedHealth Group, Inc.

   Call      1/13/17        USD       162.50          325          (46,312

Verizon Communications, Inc.

   Call      1/13/17        USD       52.00          201          (30,652

Bank of America Corp.

   Call      1/17/17        USD       20.08          1,318          (282,130

SK Telecom Co. Ltd. — ADR

   Call      1/19/17        USD       21.01          997          (44,886

3M Co.

   Call      1/20/17        USD       175.00          32          (15,840

Aetna, Inc.

   Call      1/20/17        USD       125.00          28          (9,240

Aetna, Inc.

   Call      1/20/17        USD       130.00          312          (51,012

Allstate Corp.

   Call      1/20/17        USD       72.50          393          (83,512

Altria Group, Inc.

   Call      1/20/17        USD       67.50          226          (25,764

 

See Notes to Financial Statements.

 

     ANNUAL REPORT    DECEMBER 31, 2016    43


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

 

Description    Put/
Call
     Expiration
Date
    

Strike

Price

       Contracts        Value  

American Express Co.

   Call      1/20/17        USD       70.00          129        $ (58,695

American International Group, Inc.

   Call      1/20/17        USD       62.50          186          (58,590

Anadarko Petroleum Corp.

   Call      1/20/17        USD       65.00          207          (109,192

Anthem, Inc.

   Call      1/20/17        USD       130.00          167          (237,140

Anthem, Inc.

   Call      1/20/17        USD       145.00          159          (47,064

Bank of America Corp.

   Call      1/20/17        USD       23.00          527          (16,600

Chevron Corp.

   Call      1/20/17        USD       108.75          487          (469,461

Citigroup, Inc.

   Call      1/20/17        USD       50.00          317          (301,942

Citigroup, Inc.

   Call      1/20/17        USD       55.00          649          (309,898

Coca-Cola Co.

   Call      1/20/17        USD       41.00          995          (83,580

Comcast Corp., Class A

   Call      1/20/17        USD       67.50          539          (130,708

Diageo PLC — ADR

   Call      1/20/17        USD       105.00          300          (35,250

Dollar General Corp.

   Call      1/20/17        USD       77.50          17          (1,148

Dominion Resources, Inc.

   Call      1/20/17        USD       72.50          433          (190,520

DTE Energy Co.

   Call      1/20/17        USD       95.00          160          (70,400

EI du Pont de Nemours & Co.

   Call      1/20/17        USD       70.00          114          (45,030

EI du Pont de Nemours & Co.

   Call      1/20/17        USD       72.50          114          (24,909

Exelon Corp.

   Call      1/20/17        USD       34.00          249          (44,198

Exxon Mobil Corp.

   Call      1/20/17        USD       90.00          762          (117,348

FirstEnergy Corp.

   Call      1/20/17        USD       32.00          266          (6,650

FirstEnergy Corp.

   Call      1/20/17        USD       35.00          181          (1,810

FirstEnergy Corp.

   Call      1/20/17        USD       36.00          88          (880

Gap, Inc.

   Call      1/20/17        USD       27.00          989          (6,923

General Electric Co.

   Call      1/20/17        USD       31.00          1,854          (174,276

Goldman Sachs Group, Inc.

   Call      1/20/17        USD       210.00          94          (283,645

Hess Corp.

   Call      1/20/17        USD       60.00          1,379          (472,308

Home Depot, Inc.

   Call      1/20/17        USD       127.75          450          (329,693

Honeywell International, Inc.

   Call      1/20/17        USD       113.05          733          (292,723

Honeywell International, Inc.

   Call      1/20/17        USD       120.00          726          (27,951

Intel Corp.

   Call      1/20/17        USD       37.00          906          (31,257

Invesco Ltd.

   Call      1/20/17        USD       32.00          1,416          (24,780

Johnson & Johnson

   Call      1/20/17        USD       115.00          311          (51,470

JPMorgan Chase & Co.

   Call      1/20/17        USD       77.50          792          (700,920

KeyCorp

   Call      1/20/17        USD       17.00          349          (49,209

Kroger Co.

   Call      1/20/17        USD       33.75          730          (94,900

Kroger Co.

   Call      1/20/17        USD       35.00          1,420          (85,200

Lockheed Martin Corp.

   Call      1/20/17        USD       257.75          98          (13,680

Marathon Oil Corp.

   Call      1/20/17        USD       16.00          470          (72,850

Marathon Petroleum Corp.

   Call      1/20/17        USD       46.25          200          (89,000

Marathon Petroleum Corp.

   Call      1/20/17        USD       50.00          106          (18,020

Marsh & McLennan Cos., Inc.

   Call      1/20/17        USD       70.00          394          (7,880

Merck & Co., Inc.

   Call      1/20/17        USD       62.50          931          (10,241

MetLife, Inc.

   Call      1/20/17        USD       55.00          631          (48,903

Microsoft Corp.

   Call      1/20/17        USD       60.00          269          (67,922

Microsoft Corp.

   Call      1/20/17        USD       62.50          508          (43,688

Mondelez International, Inc., Class A

   Call      1/20/17        USD       43.00          339          (71,868

Mondelez International, Inc., Class A

   Call      1/20/17        USD       44.00          258          (38,700

Morgan Stanley

   Call      1/20/17        USD       38.00          291          (129,495

Morgan Stanley

   Call      1/20/17        USD       39.35          292          (95,389

Motorola Solutions, Inc.

   Call      1/20/17        USD       82.50          478          (81,499

NextEra Energy, Inc.

   Call      1/20/17        USD       120.00          188          (31,490

Northrop Grumman Corp.

   Call      1/20/17        USD       245.50          310          (14,911

Occidental Petroleum Corp.

   Call      1/20/17        USD       70.00          25          (5,475

Oracle Corp.

   Call      1/20/17        USD       40.00          921          (7,829

Pfizer, Inc.

   Call      1/20/17        USD       34.00          3,195          (27,158

Philip Morris International, Inc.

   Call      1/20/17        USD       95.00          80          (2,160

Pioneer Natural Resources Co.

   Call      1/20/17        USD       180.00          4          (2,000

Pioneer Natural Resources Co.

   Call      1/20/17        USD       195.00          40          (3,700

Praxair, Inc.

   Call      1/20/17        USD       120.00          285          (24,938

Procter & Gamble Co.

   Call      1/20/17        USD       85.00          344          (23,908

Prudential Financial, Inc.

   Call      1/20/17        USD       100.00          747          (380,970

Public Service Enterprise Group, Inc.

   Call      1/20/17        USD       45.00          856          (27,820

QUALCOMM, Inc.

   Call      1/20/17        USD       67.50          260          (12,740

QUALCOMM, Inc.

   Call      1/20/17        USD       70.00          248          (3,224

Quest Diagnostics, Inc.

   Call      1/20/17        USD       85.00          1,225          (851,375

 

See Notes to Financial Statements.

 

44    ANNUAL REPORT    DECEMBER 31, 2016     


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

 

Description    Put/
Call
     Expiration
Date
    

Strike

Price

       Contracts        Value  

Raytheon Co.

   Call      1/20/17        USD       145.00          217        $ (26,474

Raytheon Co.

   Call      1/20/17        USD       150.00          445          (11,570

Reynolds American, Inc.

   Call      1/20/17        USD       52.50          936          (379,080

Reynolds American, Inc.

   Call      1/20/17        USD       55.00          175          (31,062

Rockwell Automation, Inc.

   Call      1/20/17        USD       135.00          94          (21,385

Rockwell Automation, Inc.

   Call      1/20/17        USD       140.00          96          (5,280

Schlumberger Ltd.

   Call      1/20/17        USD       82.50          121          (32,610

Schlumberger Ltd.

   Call      1/20/17        USD       87.50          172          (8,600

Suncor Energy, Inc.

   Call      1/20/17        USD       31.00          1,750          (337,750

Suncor Energy, Inc.

   Call      1/20/17        USD       32.00          995          (114,923

SunTrust Banks, Inc.

   Call      1/20/17        USD       55.00          1,028          (133,640

TOTAL SA — ADR

   Call      1/20/17        USD       47.50          87          (31,320

Travelers Cos., Inc.

   Call      1/20/17        USD       115.00          350          (271,250

Unilever NV

   Call      1/20/17        USD       40.20          648          (79,987

Union Pacific Corp.

   Call      1/20/17        USD       105.00          249          (54,904

United Parcel Service, Class B

   Call      1/20/17        USD       115.00          241          (36,632

UnitedHealth Group, Inc.

   Call      1/20/17        USD       150.00          111          (122,932

Verizon Communications, Inc.

   Call      1/20/17        USD       48.00          543          (293,220

Verizon Communications, Inc.

   Call      1/20/17        USD       50.00          176          (60,720

Wells Fargo & Co.

   Call      1/20/17        USD       52.50          559          (173,290

Wells Fargo & Co.

   Call      1/20/17        USD       55.00          561          (77,979

Weyerhaeuser Co.

   Call      1/20/17        USD       30.00          408          (29,580

Becton Dickinson and Co.

   Call      1/23/17        USD       173.50          240          (17,989

Nielsen Holdings PLC

   Call      1/23/17        USD       46.00          242          (10,966

BCE, Inc.

   Call      1/24/17        USD       44.51          254          (5,065

3M Co.

   Call      1/27/17        USD       180.00          92          (27,508

Aetna, Inc.

   Call      1/27/17        USD       129.00          390          (100,425

Altria Group, Inc.

   Call      1/27/17        USD       66.00          29          (7,410

American Express Co.

   Call      1/27/17        USD       76.00          145          (17,690

American International Group, Inc.

   Call      1/27/17        USD       66.50          201          (15,176

Anadarko Petroleum Corp.

   Call      1/27/17        USD       75.00          205          (11,172

Chevron Corp.

   Call      1/27/17        USD       118.00          346          (77,158

Citigroup, Inc.

   Call      1/27/17        USD       60.00          440          (68,200

Citigroup, Inc.

   Call      1/27/17        USD       61.00          862          (97,406

CME Group, Inc.

   Call      1/27/17        USD       120.00          555          (44,400

Comcast Corp., Class A

   Call      1/27/17        USD       71.00          360          (36,360

Dollar General Corp.

   Call      1/27/17        USD       79.00          294          (15,435

Dow Chemical Co.

   Call      1/27/17        USD       60.00          203          (8,830

EI du Pont de Nemours & Co.

   Call      1/27/17        USD       75.00          414          (57,960

Exxon Mobil Corp.

   Call      1/27/17        USD       92.00          353          (30,005

Gap, Inc.

   Call      1/27/17        USD       26.00          154          (2,541

General Electric Co.

   Call      1/27/17        USD       32.00          492          (21,156

Hess Corp.

   Call      1/27/17        USD       65.50          188          (25,568

Marathon Petroleum Corp.

   Call      1/27/17        USD       52.00          237          (26,662

Merck & Co., Inc.

   Call      1/27/17        USD       61.50          890          (31,150

Microsoft Corp.

   Call      1/27/17        USD       64.00          510          (52,020

Morgan Stanley

   Call      1/27/17        USD       43.00          562          (56,762

Occidental Petroleum Corp.

   Call      1/27/17        USD       74.00          333          (20,979

Philip Morris International, Inc.

   Call      1/27/17        USD       92.00          407          (63,085

Pioneer Natural Resources Co.

   Call      1/27/17        USD       195.00          79          (11,455

QUALCOMM, Inc.

   Call      1/27/17        USD       70.00          158          (8,374

Suncor Energy, Inc.

   Call      1/27/17        USD       33.00          744          (53,196

Suncor Energy, Inc.

   Call      1/27/17        USD       34.00          854          (29,463

U.S. Bancorp

   Call      1/27/17        USD       52.00          469          (35,878

United Parcel Service, Class B

   Call      1/27/17        USD       121.00          229          (5,267

Wells Fargo & Co.

   Call      1/27/17        USD       56.00          530          (59,095

Weyerhaeuser Co.

   Call      1/27/17        USD       33.00          526          (13,150

Aetna, Inc.

   Call      1/30/17        USD       124.25          312          (138,277

Bank of America Corp.

   Call      1/30/17        USD       20.08          1,318          (301,640

CMS Energy Corp.

   Call      1/30/17        USD       40.50          67          (11,689

Goldman Sachs Group, Inc.

   Call      1/30/17        USD       211.60          75          (221,685

Home Depot, Inc.

   Call      1/30/17        USD       131.60          574          (272,702

JPMorgan Chase & Co.

   Call      1/30/17        USD       79.60          195          (131,354

UnitedHealth Group, Inc.

   Call      1/30/17        USD       157.00          169          (111,008

Motorola Solutions, Inc.

   Call      1/31/17        USD       83.00          477          (81,523

 

See Notes to Financial Statements.

 

     ANNUAL REPORT    DECEMBER 31, 2016    45


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

 

Description    Put/
Call
       Expiration
Date
      

Strike

Price

       Contracts        Value  

TOTAL SA — ADR

     Call          1/31/17          USD       47.50          87        $ (32,371

Unilever NV

     Call          1/31/17          USD       40.25          412          (55,576

Dow Chemical Co.

     Call          2/03/17          USD       59.50          349          (23,558

FirstEnergy Corp.

     Call          2/03/17          USD       32.51          172          (3,482

General Electric Co.

     Call          2/03/17          USD       31.05          1,600          (164,502

JPMorgan Chase & Co.

     Call          2/03/17          USD       88.00          777          (114,219

Marathon Oil Corp.

     Call          2/03/17          USD       18.35          331          (14,947

QUALCOMM, Inc.

     Call          2/03/17          USD       69.00          61          (5,429

Allstate Corp.

     Call          2/06/17          USD       72.50          201          (49,679

Exelon Corp.

     Call          2/06/17          USD       34.50          913          (153,623

Prudential Financial, Inc.

     Call          2/06/17          USD       98.20          748          (541,154

CME Group, Inc.

     Call          2/07/17          USD       118.00          88          (14,727

CMS Energy Corp.

     Call          2/07/17          USD       42.01          67          (5,924

Kroger Co.

     Call          2/07/17          USD       34.25          967          (129,438

Wells Fargo & Co.

     Call          2/08/17          USD       57.00          641          (56,862

Bank of America Corp.

     Call          2/09/17          USD       20.16          1,475          (333,061

Public Service Enterprise Group, Inc.

     Call          2/09/17          USD       43.85          292          (50,686

Lockheed Martin Corp.

     Call          2/10/17          USD       266.00          154          (15,554

United Parcel Service, Class B

     Call          2/10/17          USD       116.00          367          (75,602

Verizon Communications, Inc.

     Call          2/10/17          USD       50.90          708          (176,753

UnitedHealth Group, Inc.

     Call          2/13/17          USD       157.00          169          (127,958

Travelers Cos., Inc.

     Call          2/16/17          USD       122.25          586          (201,893

Altria Group, Inc.

     Call          2/17/17          USD       67.50          127          (25,908

American International Group, Inc.

     Call          2/17/17          USD       65.00          200          (46,900

Bank of America Corp.

     Call          2/17/17          USD       21.00          3,416          (579,012

Citigroup, Inc.

     Call          2/17/17          USD       60.00          522          (110,664

Dollar General Corp.

     Call          2/17/17          USD       82.50          300          (14,250

Dominion Resources, Inc.

     Call          2/17/17          USD       77.50          799          (123,845

Dow Chemical Co.

     Call          2/17/17          USD       60.00          349          (28,094

Exxon Mobil Corp.

     Call          2/17/17          USD       92.50          495          (60,638

General Electric Co.

     Call          2/17/17          USD       32.45          931          (40,227

Hess Corp.

     Call          2/17/17          USD       60.00          1,235          (589,713

Home Depot, Inc.

     Call          2/17/17          USD       131.60          574          (322,023

JPMorgan Chase & Co.

     Call          2/17/17          USD       85.00          129          (43,860

Marathon Petroleum Corp.

     Call          2/17/17          USD       50.00          172          (45,580

MetLife, Inc.

     Call          2/17/17          USD       57.50          632          (48,032

Mondelez International, Inc., Class A

     Call          2/17/17          USD       46.00          128          (19,648

Mondelez International, Inc., Class A

     Call          2/17/17          USD       48.00          392          (37,044

Morgan Stanley

     Call          2/17/17          USD       41.00          583          (144,292

Northrop Grumman Corp.

     Call          2/17/17          USD       251.90          102          (12,219

Pfizer, Inc.

     Call          2/17/17          USD       33.00          1,289          (79,918

Procter & Gamble Co.

     Call          2/17/17          USD       85.00          394          (57,918

QUALCOMM, Inc.

     Call          2/17/17          USD       70.00          205          (17,630

Suncor Energy, Inc.

     Call          2/17/17          USD       33.00          116          (13,456

U.S. Bancorp

     Call          2/17/17          USD       50.00          468          (106,938

U.S. Bancorp

     Call          2/17/17          USD       52.50          550          (50,600

Union Pacific Corp.

     Call          2/17/17          USD       110.00          239          (32,743

United Parcel Service, Class B

     Call          2/17/17          USD       120.00          59          (4,838

Verizon Communications, Inc.

     Call          2/17/17          USD       52.50          708          (114,342

Wells Fargo & Co.

     Call          2/17/17          USD       52.50          600          (213,000

Exelon Corp.

     Call          2/23/17          USD       36.00          590          (47,687

American International Group, Inc.

     Call          2/24/17          USD       66.65          410          (51,804

Bank of America Corp.

     Call          2/24/17          USD       20.86          1,205          (230,418

Bank of America Corp.

     Call          2/28/17          USD       20.40          1,776          (402,122

Altria Group, Inc.

     Call          3/17/17          USD       67.50          127          (31,369

Bank of America Corp.

     Call          3/17/17          USD       23.00          3,654          (308,763

Total

                         $ (22,837,415
                        

 

 

 

 

See Notes to Financial Statements.

 

46    ANNUAL REPORT    DECEMBER 31, 2016     


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

 

OTC Options Written

 

 

Description   

Put/

Call

   Counterparty    Expiration
Date
    

Strike

Price

       Contracts        Value  

Marathon Oil Corp.

   Call    Barclays Bank PLC    1/03/17        USD       15.90          22,950        $ (32,900

Microsoft Corp.

   Call    Barclays Bank PLC    1/03/17        USD       60.27          26,000          (50,101

Philip Morris International, Inc.

   Call    Barclays Bank PLC    1/03/17        USD       98.81          19,000           

Aetna, Inc.

   Call    Bank of America N.A.    1/04/17        USD       111.43          8,500          (107,198

Aetna, Inc.

   Call    Morgan Stanley & Co. International PLC    1/04/17        USD       110.28          9,700          (133,333

Altria Group, Inc.

   Call    Bank of America N.A.    1/04/17        USD       66.69          11,200          (13,421

Anthem, Inc.

   Call    Credit Suisse International    1/04/17        USD       124.35          25,000          (485,982

AstraZeneca PLC

   Call    Morgan Stanley & Co. International PLC    1/04/17        GBP       49.26          26,800          (7

Chevron Corp.

   Call    Citibank N.A.    1/04/17        USD       106.84          16,000          (173,952

Comcast Corp., Class A

   Call    Barclays Bank PLC    1/04/17        USD       64.50          28,600          (133,789

Exxon Mobil Corp.

   Call    Barclays Bank PLC    1/04/17        USD       86.26          55,000          (222,472

Intel Corp.

   Call    Morgan Stanley & Co. International PLC    1/04/17        USD       35.68          70,000          (52,961

JPMorgan Chase & Co.

   Call    Société Générale    1/04/17        USD       70.45          40,000          (633,520

Kroger Co.

   Call    UBS AG    1/04/17        USD       32.68          30,500          (56,555

Mondelez International, Inc., Class A

   Call    Barclays Bank PLC    1/04/17        USD       45.91          17,500          (2,684

Occidental Petroleum Corp.

   Call    Barclays Bank PLC    1/04/17        USD       76.13          19,800          (20

Oracle Corp.

   Call    Barclays Bank PLC    1/04/17        USD       39.59          59,800          (499

Oracle Corp.

   Call    UBS AG    1/04/17        USD       39.79          29,900          (124

Publicis Groupe SA

   Call    UBS AG    1/04/17        EUR       59.95          21,600          (125,325

QUALCOMM, Inc.

   Call    UBS AG    1/04/17        USD       68.45          53,300          (770

Altria Group, Inc.

   Call    Morgan Stanley & Co. International PLC    1/05/17        USD       65.51          21,600          (47,572

CMS Energy Corp.

   Call    Morgan Stanley & Co. International PLC    1/05/17        USD       42.39          24,100          (4,749

Exxon Mobil Corp.

   Call    Citibank N.A.    1/05/17        USD       89.45          49,300          (65,008

Microsoft Corp.

   Call    UBS AG    1/05/17        USD       61.02          75,400          (101,097

Morgan Stanley

   Call    Citibank N.A.    1/05/17        USD       34.57          44,000          (338,105

Pfizer, Inc.

   Call    Barclays Bank PLC    1/05/17        USD       33.26          70,100          (3,136

SK Telecom Co. Ltd. — ADR

   Call    JPMorgan Chase Bank N.A.    1/05/17        USD       22.87          47,100          (1

U.S. Bancorp

   Call    Goldman Sachs International    1/05/17        USD       45.33          55,900          (338,075

Chevron Corp.

   Call    JPMorgan Chase Bank N.A.    1/06/17        USD       107.15          10,000          (105,878

Comcast Corp., Class A

   Call    Morgan Stanley & Co. International PLC    1/06/17        USD       65.01          28,700          (120,098

Exxon Mobil Corp.

   Call    Citibank N.A.    1/06/17        USD       87.61          55,000          (153,756

General Electric Co.

   Call    Barclays Bank PLC    1/06/17        USD       29.86          112,800          (199,782

General Electric Co.

   Call    Barclays Bank PLC    1/06/17        USD       30.16          56,500          (83,256

Kroger Co.

   Call    Bank of America N.A.    1/06/17        USD       33.28          83,000          (112,647

Lockheed Martin Corp.

   Call    Goldman Sachs International    1/06/17        USD       245.67          15,400          (82,381

Microsoft Corp.

   Call    Barclays Bank PLC    1/06/17        USD       60.48          26,000          (47,195

Mondelez International, Inc., Class A

   Call    Citibank N.A.    1/06/17        USD       45.40          20,300          (7,398

Oracle Corp.

   Call    UBS AG    1/06/17        USD       39.84          49,400          (490

Pfizer, Inc.

   Call    Barclays Bank PLC    1/06/17        USD       33.78          140,400          (1,815

Microsoft Corp.

   Call    Barclays Bank PLC    1/10/17        USD       61.49          41,750          (49,890

Microsoft Corp.

   Call    UBS AG    1/10/17        USD       62.49          41,750          (24,391

Experian PLC

   Call    Credit Suisse International    1/11/17        GBP       14.85          71,000          (76,864

BCE, Inc.

   Call    Barclays Bank PLC    1/12/17        USD       43.71          32,400          (8,486

Public Service Enterprise Group, Inc.

   Call    Morgan Stanley & Co. International PLC    1/12/17        USD       43.21          12,000          (20,891

Publicis Groupe SA

   Call    Morgan Stanley & Co. International PLC    1/18/17        EUR       63.15          14,000          (42,528

CMS Energy Corp.

   Call    Barclays Bank PLC    1/19/17        USD       40.35          63,100          (104,751

KeyCorp

   Call    Goldman Sachs International    1/25/17        USD       18.73          170,600          (64,082

Samsung Electronics Co. Ltd. — GDR

   Call    Bank of America N.A.    1/26/17        USD       771.63          9,000          (149,430

AstraZeneca PLC

   Call    Morgan Stanley & Co. International PLC    1/27/17        GBP       44.64          68,000          (95,838

Public Service Enterprise Group, Inc.

   Call    Morgan Stanley & Co. International PLC    2/02/17        USD       42.23          44,000          (137,610

SunTrust Banks, Inc.

   Call    Bank of America N.A.    2/02/17        USD       52.00          121,000          (474,164

Publicis Groupe SA

   Call    UBS AG    2/03/17        EUR       67.36          14,000          (16,414

Raytheon Co.

   Call    Goldman Sachs International    2/06/17        USD       151.00          40,000          (35,813

Samsung Electronics Co. Ltd. — GDR

   Call    Credit Suisse International    2/07/17        USD       775.03          9,000          (186,676

AstraZeneca PLC

   Call    UBS AG    2/10/17        GBP       43.71          80,000          (210,311

NextEra Energy, Inc.

   Call    UBS AG    2/13/17        USD       120.55          18,600          (43,636

CMS Energy Corp.

   Call    Citibank N.A.    2/16/17        USD       40.88          30,000          (47,536

 

See Notes to Financial Statements.

 

     ANNUAL REPORT    DECEMBER 31, 2016    47


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

 

Description   

Put/

Call

     Counterparty    Expiration
Date
      

Strike

Price

       Contracts        Value  

SunTrust Banks, Inc.

     Call      Barclays Bank PLC      2/16/17          USD       52.75          121,000        $ (459,919

NextEra Energy, Inc.

     Call      Barclays Bank PLC      2/23/17          USD       118.51          63,300          (265,687

Morgan Stanley

     Call      Citibank N.A.      2/27/17          USD       43.75          60,000          (76,853

Total

                          $ (6,629,822
                         

 

 

 

 

      Transactions in Options Written for the Year Ended December 31, 2016

 

      Calls           Puts  
          Contracts         

            Premiums    

            Received    

         Contracts     

          Premiums

          Received

 

Outstanding options at beginning of year

     3,071,373         $  15,748,607                    

Options written

     20,766,909         132,990,406                    

Options exercised

     (9,067)        (949,160)                   

Options expired

     (13,166,845)        (26,981,541)                   

Options closed

     (7,833,501)        (99,883,060)                   

Outstanding options at end of year

     2,828,869         $  20,925,252                    

As of period end, the value of portfolio securities subject to covered call options written was $893,182,646.

 

      Derivative Financial Instruments Categorized by Risk Exposure

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

 

           

    Commodity    

Contracts

    

Credit

    Contracts    

    

Equity

    Contracts    

    

Foreign

Currency

Exchange

    Contracts    

    

Interest

Rate

Contracts

     Total  

Liabilities — Derivative Financial Instruments

                                                     

Options written

   Options written, at value      —           —           $29,467,237        —           —           $ 29,467,237  

For the year ended December 31, 2016, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

Net Realized Gain (Loss) from:   

  Commodity  

Contracts

    

Credit

  Contracts  

    

Equity

  Contracts  

   

Foreign

Currency

Exchange

  Contracts  

  

Interest

Rate

  Contracts  

   Total  

Options purchased1

     —           —         $ (12,482         $ (12,482

Options written

     —           —           (41,352,597           (41,352,597

Total

     —           —         $ (41,365,079         $ (41,365,079
                

Net Change in Unrealized Appreciation (Depreciation) on:

                                            

Options purchased2

     —           —         $ 6,998           $ 6,998  

Options written

     —           —           (11,888,994           (11,888,994

Total

     —           —         $ (11,881,996         $ (11,881,996

 

  1  

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

 

  2  

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

 

      Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Options:

        

Average value of option contracts purchased1

   $ 1,406  

Average value of option contracts written

   $ 21,717,936  

 

  1   

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

 

See Notes to Financial Statements.

 

48    ANNUAL REPORT    DECEMBER 31, 2016     


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

 

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

         $ 29,467,237  
 

 

 

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

         (22,837,415
 

 

 

Total derivative assets and liabilities subject to an MNA

         $   6,629,822  
 

 

 

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

 

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

Bank of America N.A.

     $ 856,860                 $ (856,860 )                   —      

Barclays Bank PLC

       1,666,382                   (1,666,382 )                   —      

Citibank N.A.

       862,608                   (769,608 )        $ (93,000 )          —      

Credit Suisse International

       749,522                   (749,522 )                   —      

Goldman Sachs International

       520,351                   (520,351 )                   —      

JPMorgan Chase Bank N.A.

       105,879                                   $ 105,879      

Morgan Stanley & Co. International PLC

       655,587                   (655,587 )                   —      

Société Générale

       633,520                   (633,520 )                   —      

UBS AG

       579,113                   (579,113 )                   —      

Total

     $ 6,629,822                 $ (6,430,943 )        $ (93,000 )        $ 105,879      

 

  1   

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

 

  2   

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

 

      Fair Value Hierarchy as of Period End

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

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

 

      Level 1      Level 2          Level 3          Total

Assets:

                         

Investments:

                         

Long-Term Investments:

                         

Common Stocks:

                         

Aerospace & Defense

     $ 76,839,734                   —             $ 76,839,734

Air Freight & Logistics

       19,144,880                   —               19,144,880

Banks

       327,797,923                   —               327,797,923

Beverages

       30,026,356                   —               30,026,356

Capital Markets

       79,426,404                   —               79,426,404

Chemicals

       50,348,845                   —               50,348,845

Communications Equipment

       15,815,412                   —               15,815,412

Consumer Finance

       3,133,584                   —               3,133,584

Diversified Telecommunication Services

       29,942,004                   —               29,942,004

Electric Utilities

       40,904,636                   —               40,904,636

Electrical Equipment

       5,093,760                   —               5,093,760

Energy Equipment & Services

       8,252,285                   —               8,252,285

Equity Real Estate Investment Trusts (REITs)

       7,357,005                   —               7,357,005

Food & Staples Retailing

       22,559,187                   —               22,559,187

Food Products

       11,059,670                   —               11,059,670

 

See Notes to Financial Statements.

 

     ANNUAL REPORT    DECEMBER 31, 2016    49


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

 

      Level 1    Level 2       Level 3          Total

Assets: (concluded)

                    

Investments: (concluded)

                    

Long-Term Investments: (concluded)

                    

Common Stocks: (concluded)

                    

Health Care Equipment & Supplies

     $ 12,052,040              —             $ 12,052,040

Health Care Providers & Services

       106,918,693              —               106,918,693

Household Products

       17,835,050              —               17,835,050

Industrial Conglomerates

       79,336,243              —               79,336,243

Insurance

       114,640,077              —               114,640,077

Media

       33,275,195      $ 6,835,357       —               40,110,552

Multiline Retail

       22,878,519              —               22,878,519

Multi-Utilities

       47,888,814              —               47,888,814

Oil, Gas & Consumable Fuels

       201,452,218              —               201,452,218

Personal Products

       13,073,504              —               13,073,504

Pharmaceuticals

       109,895,355        19,617,190       —               129,512,545

Professional Services

       6,112,115        5,545,206       —               11,657,321

Road & Rail

       15,240,960              —               15,240,960

Semiconductors & Semiconductor Equipment

       40,578,860              —               40,578,860

Software

       68,354,769              —               68,354,769

Specialty Retail

       43,235,259              —               43,235,259

Technology Hardware, Storage & Peripherals

              34,406,313       —               34,406,313

Tobacco

       27,812,511              —               27,812,511

Water Utilities

       4,182,408              —               4,182,408

Wireless Telecommunication Services

       8,105,020              —               8,105,020

Short-Term Securities

       3,630,472              —               3,630,472
    

 

 

 

Total Investments

     $                 1,704,199,767      $                 66,404,066       —             $                 1,770,603,833
    

 

 

 
                    

Derivative Financial Instruments1

                                            

Liabilities:

                    

Equity contracts

     $ (15,534,705 )      $ (13,932,532 )       —             $ (29,467,237 )
    

 

 

 

1    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 11
  Transfers into
Level 21
     Transfers out of
Level 2

Assets:

                    

Long-Term Investments:

                    

Common Stocks

            $ (9,448,258 )     $                      9,448,258         

1     External pricing service used to reflect any significant market movements between the time the Trust valued such foreign securities and the earlier closing of foreign markets.

     

 

See Notes to Financial Statements.

 

50    ANNUAL REPORT    DECEMBER 31, 2016     


Schedule of Investments December 31, 2016      BlackRock Global Opportunities Equity Trust (BOE)  
     (Percentages shown are based on Net Assets)  

 

Common Stocks    Shares      Value  

Australia — 0.0%

     

Ensogo Ltd. (a)

     418,198         

Belgium — 1.8%

     

Anheuser-Busch InBev SA

     157,682      $ 16,689,749  

Canada — 1.0%

     

Encana Corp. (b)

     366,400        4,300,796  

Potash Corp. of Saskatchewan, Inc. (b)

     301,540        5,454,859  
     

 

 

 
                9,755,655  

China — 2.6%

     

Alibaba Group Holding Ltd. — ADR (a)(b)

     179,580        15,768,920  

Baidu, Inc. — ADR (a)(b)

     52,600        8,647,966  
     

 

 

 
                24,416,886  

France — 2.5%

     

AXA SA

     328,300        8,276,077  

Iliad SA

     37,000        7,105,775  

Renault SA

     90,600        8,046,830  
     

 

 

 
                23,428,682  

Germany — 1.8%

     

Innogy SE (a)(c)

     119,563        4,154,587  

KION Group AG

     85,500        4,747,104  

thyssenkrupp AG

     318,900        7,575,580  
     

 

 

 
                16,477,271  

Hong Kong — 0.7%

     

AIA Group Ltd.

     1,148,900        6,435,955  

India — 1.8%

     

Bharti Infratel Ltd.

     1,229,359        6,212,734  

Federal Bank Ltd.

     3,654,600        3,587,925  

HDFC Bank Ltd.

     344,382        6,699,865  
     

 

 

 
                16,500,524  

Indonesia — 0.9%

     

Matahari Department Store Tbk PT

     7,198,723        8,057,845  

Ireland — 0.7%

     

Green REIT PLC

     4,273,092        6,171,374  

Italy — 2.5%

     

Atlantia SpA

     215,300        5,037,251  

Azimut Holding SpA

     397,100        6,605,137  

Eni SpA

     405,100        6,567,128  

Snam SpA

     1,243,900        5,115,992  
     

 

 

 
                23,325,508  

Japan — 5.7%

     

Alps Electric Co. Ltd.

     219,900        5,283,750  

FANUC Corp.

     39,500        6,608,133  

Mitsubishi Estate Co. Ltd.

     484,000        9,614,501  

Nintendo Co. Ltd.

     30,500        6,340,200  

SoftBank Group Corp.

     193,100        12,778,211  

Sumitomo Mitsui Financial Group, Inc.

     321,900        12,258,909  
     

 

 

 
                52,883,704  

Mexico — 0.6%

     

Fomento Economico Mexicano SAB de CV — ADR (b)

     70,600        5,380,426  

Netherlands — 1.0%

     

Koninklijke Philips NV

     318,940        9,750,641  

New Zealand — 0.5%

     

Xero Ltd. (a)

     350,000        4,249,204  

Norway — 1.0%

     

Statoil ASA

     532,360        9,716,466  

Peru — 0.5%

     

Credicorp Ltd. (b)

     31,100        4,909,446  
Common Stocks    Shares      Value  

Philippines — 0.5%

     

CEMEX Holdings Philippines, Inc. (a)(c)

     19,451,800      $ 4,343,273  

Portugal — 1.1%

     

Galp Energia SGPS SA

     672,400        10,024,333  

South Africa — 1.0%

     

Naspers Ltd., N Shares

     66,150        9,657,349  

South Korea — 1.3%

     

Amorepacific Corp.

     17,500        4,651,238  

LG Chem Ltd.

     36,100        7,784,854  
     

 

 

 
                12,436,092  

Spain — 1.2%

     

Cellnex Telecom SA (c)

     780,578        11,204,559  

Switzerland — 1.6%

     

Nestle SA

     135,934        9,737,984  

UBS Group AG

     323,489        5,057,900  
     

 

 

 
                14,795,884  

Taiwan — 0.8%

     

Taiwan Semiconductor Manufacturing Co. Ltd.

     1,416,000        7,931,378  

Thailand — 0.6%

     

True Corp PCL

     27,688,600        5,512,348  

United Kingdom — 6.3%

     

AstraZeneca PLC

     88,500        4,832,816  

CNH Industrial NV

     759,300        6,588,470  

Fiat Chrysler Automobiles NV (a)

     810,100        7,388,112  

GlaxoSmithKline PLC

     228,500        4,389,170  

Imperial Brands PLC

     165,220        7,200,420  

Lloyds Banking Group PLC

     8,866,900        6,808,735  

Metro Bank PLC (a)

     143,208        5,148,367  

Nomad Foods Ltd. (a)

     520,829        4,984,334  

Unilever PLC

     285,620        11,550,503  
     

 

 

 
                58,890,927  

United States — 56.6%

     

Acuity Brands, Inc. (b)

     23,350        5,390,581  

Adobe Systems, Inc. (a)(b)(d)

     91,820        9,452,869  

Allergan PLC (a)(b)

     20,200        4,242,202  

Alphabet, Inc., Class A (a)(b)

     13,714        10,867,659  

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

     23,652        18,255,087  

Amazon.com, Inc. (a)(b)

     14,060        10,543,172  

American International Group, Inc. (b)

     108,600        7,092,666  

Amgen, Inc. (b)

     30,600        4,474,026  

Apple, Inc. (b)(d)

     155,600        18,021,592  

Aramark (d)

     245,920        8,784,262  

Assured Guaranty Ltd. (b)

     167,992        6,345,058  

Athene Holding Ltd., Class A (a)

     128,206        6,152,606  

BankUnited, Inc. (b)(d)

     253,563        9,556,789  

Biogen, Inc. (a)(b)

     14,100        3,998,478  

Boston Scientific Corp. (a)(b)(d)

     290,887        6,291,886  

Celgene Corp. (a)(b)(d)

     81,430        9,425,524  

Centene Corp. (a)(b)

     78,500        4,436,035  

Cigna Corp. (b)

     34,000        4,535,260  

Citigroup, Inc. (b)(d)

     266,108        15,814,798  

Comcast Corp., Class A (b)(d)

     136,100        9,397,705  

Concho Resources, Inc. (a)(b)

     53,930        7,151,118  

Crown Holdings, Inc. (a)(b)

     100,370        5,276,451  

Delphi Automotive PLC (b)

     91,710        6,176,670  

Duke Energy Corp. (b)

     86,800        6,737,416  

Eastman Chemical Co. (b)

     80,790        6,076,216  

Eli Lilly & Co. (b)

     90,200        6,634,210  

EOG Resources, Inc. (b)

     102,770        10,390,047  

Facebook, Inc., Class A (a)(b)

     81,000        9,319,050  
 

 

See Notes to Financial Statements.

 

     ANNUAL REPORT    DECEMBER 31, 2016    51


Schedule of Investments (continued)      BlackRock Global Opportunities Equity Trust (BOE)  
  

 

Common Stocks    Shares      Value  

United States (continued)

     

Hartford Financial Services Group, Inc. (d)

     147,300      $ 7,018,845  

Intercontinental Exchange, Inc. (b)

     124,400        7,018,648  

Johnson Controls International PLC (b)

     179,801        7,406,003  

Kellogg Co. (b)

     116,800        8,609,328  

Kennedy-Wilson Holdings, Inc.

     274,748        5,632,334  

Lam Research Corp. (b)

     90,800        9,600,284  

Lowe’s Cos., Inc. (b)

     81,030        5,762,854  

Macquarie Infrastructure Corp. (b)

     79,140        6,465,738  

Mastercard, Inc., Class A (b)

     115,260        11,900,595  

McDonald’s Corp. (b)(d)

     73,400        8,934,248  

Medtronic PLC (b)

     139,483        9,935,374  

Merck & Co., Inc. (b)

     108,810        6,405,645  

Micron Technology, Inc. (a)(b)

     203,100        4,451,952  

Mondelez International, Inc., Class A (b)

     135,930        6,025,777  

Monsanto Co.

     60,100        6,323,121  

Mosaic Co. (b)

     354,460        10,396,312  

Newell Brands, Inc. (b)

     101,000        4,509,650  

Nucor Corp. (b)

     103,600        6,166,272  

PayPal Holdings, Inc. (a)(b)

     229,300        9,050,471  

Pfizer, Inc. (b)

     284,430        9,238,286  

Pioneer Natural Resources Co. (b)

     40,100        7,220,807  

Platform Specialty Products Corp. (a)

     417,473        4,095,410  

PPL Corp. (b)

     192,700        6,561,435  

Public Service Enterprise Group, Inc. (b)

     153,630        6,741,284  

RSP Permian, Inc. (a)(b)

     109,900        4,903,738  

salesforce.com, Inc. (a)(b)

     112,500        7,701,750  

Samsonite International SA

     1,632,800        4,647,894  

ServiceMaster Global Holdings, Inc. (a)(b)

     159,705        6,016,087  

Sherwin-Williams Co. (b)

     21,800        5,858,532  

Skyworks Solutions, Inc. (b)

     62,500        4,666,250  

Starbucks Corp. (b)

     247,046        13,715,994  

Strategic Growth Bancorp. (Acquired 3/10/14, Cost $5,461,692) (a)(e)

     438,690        4,421,995  

SVB Financial Group (a)(b)

     40,800        7,003,728  

Union Pacific Corp. (b)

     91,274        9,463,288  

UnitedHealth Group, Inc. (b)

     33,277        5,325,651  

Vulcan Materials Co. (b)

     20,400        2,553,060  

Walt Disney Co. (b)

     102,900        10,724,238  

Weatherford International PLC (a)

     920,100        4,591,299  

Wells Fargo & Co. (b)(d)

     278,090        15,325,540  

WestRock Co.

     132,700        6,737,179  
Common Stocks    Shares      Value  

United States (continued)

     

Whirlpool Corp. (b)

     33,500      $ 6,089,295  
     

 

 

 
                526,055,624  

Total Common Stocks — 96.6%

              899,001,103  
     
Preferred Stocks                

India — 0.9%

     

Jasper Infotech Private Ltd., Series F (Acquired 5/7/14, Cost $1,888,464), 0.00% (a)(e)

     266        6,484,031  

Jasper Infotech Private Ltd., Series G (Acquired 10/29/14, Cost $741,913), 0.00% (a)(e)

     88        2,145,093  
     

 

 

 
                8,629,124  

United States — 1.8%

     

Palantir Technologies, Inc., Series I (Acquired 2/7/14, Cost $3,118,944), 0.00% (a)(e)

     508,800        4,116,192  

Uber Technologies, Inc., Series D (Acquired 6/6/14, Cost $3,845,800), 0.00% (a)(e)

     247,908        12,249,134  
     

 

 

 
                16,365,326  

Total Preferred Stocks — 2.7%

              24,994,450  

Total Long Term Investments

(Cost — $820,915,590) — 99.3%

 

 

     923,995,553  
     
Short-Term Securities                

BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.36% (f)(g)

     11,863,116        11,863,116  

Total Short-Term Securities

(Cost — $11,863,116) — 1.3%

              11,863,116  

Total Investments Before Options Written

(Cost — $832,778,706) — 100.6%

              935,858,669  
     
Options Written                

(Premiums Received — $11,608,196) — (1.2)%

              (11,210,596

Total Investments Net of Options Written — 99.4%

        924,648,073  

Other Assets Less Liabilities — 0.6%

        5,249,091  
     

 

 

 

Net Assets — 100.0%

      $ 929,897,164  
     

 

 

 
 
      Notes to Schedule of Investments

 

(a) Non-income producing security.

 

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

 

(c) Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.

 

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

 

(e) Restricted securities as to resale, excluding 144A securities. As of period end, the Trust held restricted securities with a current value of $29,416,445 and an original cost of $15,056,813 which was 3.2% of its net assets.

 

(f) Current yield as of period end.

 

See Notes to Financial Statements.

 

52    ANNUAL REPORT    DECEMBER 31, 2016     


Schedule of Investments (continued)      BlackRock Global Opportunities Equity Trust (BOE)  

 

 

(g) During the year ended December 31, 2016, investments in issuers considered to be affiliates of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate    Shares Held at
December 31,
2015
     Net
Activity
    Shares Held at
December 31,
2016
     Value at
December 31,
2016
     Income     Realized
Gain
 

BlackRock Liquidity Funds, TempFund, Institutional Class

     6,389,331        (6,389,331                   $  69,071        

BlackRock Liquidity Funds, T-Fund, Institutional Class

            11,863,116       11,863,116        $11,863,116        13,069       $143  

SL Liquidity Series, LLC, Money Market Series

     427,550        (427,550                   19,796 1       

Total

                   $11,863,116        $101,936       $143  
          

 

 

 

 

  1   

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

 

      Derivative Financial Instruments Outstanding as of Period End

 

Exchange-Traded Options Written                                            
Description    Put/
Call
       Expiration
Date
   Strike
Price
       Contracts      Value  

Alibaba Group Holding Ltd. — ADR

     Call        1/06/17    USD        94.50          93      $ (418

Alphabet, Inc., Class C

     Call        1/06/17    USD        790.00          29        (4,132

Amazon.com, Inc.

     Call        1/06/17    USD        765.00          2        (635

Amgen, Inc.

     Call        1/06/17    USD        147.00          27        (3,092

Apple, Inc.

     Call        1/06/17    USD        115.00          144        (22,248

Baidu, Inc. — ADR

     Call        1/06/17    USD        180.00          93        (465

Biogen, Inc.

     Call        1/06/17    USD        310.00          19        (475

Celgene Corp.

     Call        1/06/17    USD        123.00          1        (10

Citigroup, Inc.

     Call        1/06/17    USD        56.50          308        (93,940

Comcast Corp., Class A

     Call        1/06/17    USD        70.00          35        (1,208

Facebook, Inc., Class A

     Call        1/06/17    USD        121.00          76        (570

Lowe’s Cos., Inc.

     Call        1/06/17    USD        76.00          75        (225

Mastercard, Inc., Class A

     Call        1/06/17    USD        105.00          301        (10,084

Medtronic PLC

     Call        1/06/17    USD        76.00          160        (480

Merck & Co., Inc.

     Call        1/06/17    USD        62.00          112        (672

PayPal Holdings, Inc.

     Call        1/06/17    USD        40.00          73        (1,387

Pioneer Natural Resources Co.

     Call        1/06/17    USD        195.00          50        (1,250

salesforce.com, Inc.

     Call        1/06/17    USD        74.00          117        (878

Union Pacific Corp.

     Call        1/06/17    USD        102.00          237        (52,970

Wells Fargo & Co.

     Call        1/06/17    USD        57.50          256        (1,664

Amgen, Inc.

     Call        1/09/17    USD        151.75          27        (2,389

Wells Fargo & Co.

     Call        1/09/17    USD        51.00          496        (207,910

Citigroup, Inc.

     Call        1/10/17    USD        54.80          195        (92,160

ServiceMaster Global Holdings, Inc.

     Call        1/10/17    USD        37.51          402        (36,501

Alibaba Group Holding Ltd. — ADR

     Call        1/11/17    USD        97.50          81        (211

Apple, Inc.

     Call        1/11/17    USD        113.00          67        (22,704

Celgene Corp.

     Call        1/12/17    USD        120.70          240        (18,325

Alibaba Group Holding Ltd. — ADR

     Call        1/13/17    USD        94.50          141        (2,961

Alphabet, Inc., Class C

     Call        1/13/17    USD        785.00          39        (22,230

American International Group, Inc.

     Call        1/13/17    USD        64.50          242        (34,848

Apple, Inc.

     Call        1/13/17    USD        113.00          66        (23,100

Apple, Inc.

     Call        1/13/17    USD        114.00          67        (18,324

Biogen, Inc.

     Call        1/13/17    USD        295.00          19        (8,075

Celgene Corp.

     Call        1/13/17    USD        118.00          116        (19,546

Comcast Corp., Class A

     Call        1/13/17    USD        70.00          198        (13,365

EOG Resources, Inc.

     Call        1/13/17    USD        105.00          28        (1,792

Facebook, Inc., Class A

     Call        1/13/17    USD        122.00          74        (1,480

Lowe’s Cos., Inc.

     Call        1/13/17    USD        72.00          145        (11,672

Mastercard, Inc., Class A

     Call        1/13/17    USD        106.00          140        (7,210

Merck & Co., Inc.

     Call        1/13/17    USD        62.00          113        (960

Mondelez International, Inc., Class A

     Call        1/13/17    USD        43.50          89        (13,795

Mosaic Co.

     Call        1/13/17    USD        30.00          229        (12,595

PayPal Holdings, Inc.

     Call        1/13/17    USD        40.00          73        (2,774

PayPal Holdings, Inc.

     Call        1/13/17    USD        40.50          105        (2,258

PayPal Holdings, Inc.

     Call        1/13/17    USD        41.00          74        (962

Pioneer Natural Resources Co.

     Call        1/13/17    USD        195.00          55        (2,888

Potash Corp. of Saskatchewan, Inc.

     Call        1/13/17    USD        19.50          375        (4,125

 

See Notes to Financial Statements.

 

     ANNUAL REPORT    DECEMBER 31, 2016    53


Schedule of Investments (continued)      BlackRock Global Opportunities Equity Trust (BOE)  

 

Description    Put/
Call
       Expiration
Date
   Strike
Price
       Contracts      Value  

salesforce.com, Inc.

     Call        1/13/17    USD        72.00          86      $ (2,666

salesforce.com, Inc.

     Call        1/13/17    USD        74.00          117        (2,106

Starbucks Corp.

     Call        1/13/17    USD        59.50          114        (228

UnitedHealth Group, Inc.

     Call        1/13/17    USD        162.50          32        (4,560

BankUnited, Inc.

     Call        1/18/17    USD        34.55          500        (157,000

Acuity Brands, Inc.

     Call        1/20/17    USD        260.00          64        (6,560

Adobe Systems, Inc.

     Call        1/20/17    USD        105.00          252        (27,090

Alibaba Group Holding Ltd. — ADR

     Call        1/20/17    USD        97.50          111        (1,554

Alphabet, Inc., Class A

     Call        1/20/17    USD        820.00          41        (15,580

Alphabet, Inc., Class C

     Call        1/20/17    USD        810.00          18        (3,420

Amgen, Inc.

     Call        1/20/17    USD        155.00          122        (5,490

Apple, Inc.

     Call        1/20/17    USD        115.00          95        (22,515

Apple, Inc.

     Call        1/20/17    USD        117.00          80        (10,600

Assured Guaranty Ltd.

     Call        1/20/17    USD        30.00          230        (189,750

Baidu, Inc. — ADR

     Call        1/20/17    USD        175.00          91        (7,689

Biogen, Inc.

     Call        1/20/17    USD        320.00          39        (5,362

Boston Scientific Corp.

     Call        1/20/17    USD        21.00          235        (22,325

Boston Scientific Corp.

     Call        1/20/17    USD        23.00          880        (11,000

Celgene Corp.

     Call        1/20/17    USD        125.00          90        (4,590

Centene Corp.

     Call        1/20/17    USD        60.00          176        (8,800

Cigna Corp.

     Call        1/20/17    USD        140.00          47        (9,846

Citigroup, Inc.

     Call        1/20/17    USD        50.00          659        (627,697

Citigroup, Inc.

     Call        1/20/17    USD        55.00          112        (53,480

Comcast Corp., Class A

     Call        1/20/17    USD        67.50          77        (18,672

Comcast Corp., Class A

     Call        1/20/17    USD        72.50          186        (4,743

Concho Resources, Inc.

     Call        1/20/17    USD        135.00          267        (80,767

Concho Resources, Inc.

     Call        1/20/17    USD        145.00          30        (1,650

Credicorp Ltd.

     Call        1/20/17    USD        160.00          171        (38,047

Crown Holdings, Inc.

     Call        1/20/17    USD        55.00          322        (7,245

Delphi Automotive PLC

     Call        1/20/17    USD        70.00          250        (22,500

Duke Energy Corp.

     Call        1/20/17    USD        77.50          119        (14,875

Eastman Chemical Co.

     Call        1/20/17    USD        75.00          222        (39,405

Encana Corp.

     Call        1/20/17    CAD        17.00          2,015        (18,759

EOG Resources, Inc.

     Call        1/20/17    USD        105.00          62        (6,014

EOG Resources, Inc.

     Call        1/20/17    USD        95.00          73        (49,275

Facebook, Inc., Class A

     Call        1/20/17    USD        120.00          85        (6,120

Fomento Economico Mexicano SAB de CV — ADR

     Call        1/20/17    USD        80.00          108        (8,370

Fomento Economico Mexicano SAB de CV — ADR

     Call        1/20/17    USD        85.00          108        (5,400

Intercontinental Exchange, Inc.

     Call        1/20/17    USD        60.00          365        (2,738

Johnson Controls International PLC

     Call        1/20/17    USD        44.00          490        (8,085

Kellogg Co.

     Call        1/20/17    USD        75.00          320        (28,000

Lam Research Corp.

     Call        1/20/17    USD        105.00          189        (57,645

Lam Research Corp.

     Call        1/20/17    USD        115.00          310        (6,975

Lowe’s Cos., Inc.

     Call        1/20/17    USD        75.00          225        (6,188

Macquarie Infrastructure Corp.

     Call        1/20/17    USD        85.00          215        (7,525

Mastercard, Inc., Class A

     Call        1/20/17    USD        105.00          53        (5,724

McDonald’s Corp.

     Call        1/20/17    USD        121.25          176        (38,889

Medtronic PLC

     Call        1/20/17    USD        75.00          155        (2,558

Merck & Co., Inc.

     Call        1/20/17    USD        62.50          156        (1,716

Mondelez International, Inc., Class A

     Call        1/20/17    USD        43.00          237        (50,244

Mondelez International, Inc., Class A

     Call        1/20/17    USD        44.00          185        (27,750

Mosaic Co.

     Call        1/20/17    USD        27.50          500        (111,250

Mosaic Co.

     Call        1/20/17    USD        32.50          220        (3,850

Nucor Corp.

     Call        1/20/17    USD        67.50          240        (1,560

PayPal Holdings, Inc.

     Call        1/20/17    USD        40.00          630        (36,540

PayPal Holdings, Inc.

     Call        1/20/17    USD        41.00          74        (1,998

Pfizer, Inc.

     Call        1/20/17    USD        34.00          266        (2,261

Pioneer Natural Resources Co.

     Call        1/20/17    USD        180.00          39        (19,500

Pioneer Natural Resources Co.

     Call        1/20/17    USD        195.00          55        (5,088

Potash Corp. of Saskatchewan, Inc.

     Call        1/20/17    USD        20.00          375        (3,375

PPL Corp.

     Call        1/20/17    USD        35.00          180        (3,600

Public Service Enterprise Group, Inc.

     Call        1/20/17    USD        45.00          424        (13,780

RSP Permian, Inc.

     Call        1/20/17    USD        45.00          550        (75,625

salesforce.com, Inc.

     Call        1/20/17    USD        75.00          118        (2,183

ServiceMaster Global Holdings, Inc.

     Call        1/20/17    USD        40.00          200        (4,500

 

See Notes to Financial Statements.

 

54    ANNUAL REPORT    DECEMBER 31, 2016     


Schedule of Investments (continued)      BlackRock Global Opportunities Equity Trust (BOE)  

 

Description    Put/
Call
       Expiration
Date
   Strike
Price
       Contracts      Value  

Sherwin-Williams Co.

     Call        1/20/17    USD        270.00          120      $ (55,200

Starbucks Corp.

     Call        1/20/17    USD        57.50          600        (13,200

SVB Financial Group

     Call        1/20/17    USD        170.00          40        (27,400

Union Pacific Corp.

     Call        1/20/17    USD        105.00          236        (52,038

Vulcan Materials Co.

     Call        1/20/17    USD        135.00          42        (1,680

Walt Disney Co.

     Call        1/20/17    USD        100.00          244        (115,290

Wells Fargo & Co.

     Call        1/20/17    USD        52.50          255        (79,050

Wells Fargo & Co.

     Call        1/20/17    USD        55.00          256        (35,584

Whirlpool Corp.

     Call        1/20/17    USD        170.00          61        (75,792

Alibaba Group Holding Ltd. — ADR

     Call        1/27/17    USD        94.50          171        (17,955

Alphabet, Inc., Class A

     Call        1/27/17    USD        830.00          17        (18,530

Alphabet, Inc., Class C

     Call        1/27/17    USD        810.00          20        (19,700

Amazon.com, Inc.

     Call        1/27/17    USD        782.50          2        (2,285

American International Group, Inc.

     Call        1/27/17    USD        67.00          113        (6,950

Apple, Inc.

     Call        1/27/17    USD        113.00          225        (104,625

Comcast Corp., Class A

     Call        1/27/17    USD        71.00          35        (3,535

Eli Lilly & Co.

     Call        1/27/17    USD        74.00          250        (36,750

EOG Resources, Inc.

     Call        1/27/17    USD        110.00          102        (4,284

Mastercard, Inc., Class A

     Call        1/27/17    USD        106.00          140        (15,330

Merck & Co., Inc.

     Call        1/27/17    USD        61.50          217        (7,595

Micron Technology, Inc.

     Call        1/27/17    USD        22.50          350        (24,150

Mosaic Co.

     Call        1/27/17    USD        32.50          780        (19,110

Nucor Corp.

     Call        1/27/17    USD        63.50          330        (21,615

PayPal Holdings, Inc.

     Call        1/27/17    USD        41.50          232        (12,644

Pfizer, Inc.

     Call        1/27/17    USD        32.00          424        (40,492

Pioneer Natural Resources Co.

     Call        1/27/17    USD        195.00          21        (3,045

salesforce.com, Inc.

     Call        1/27/17    USD        73.00          180        (10,350

Skyworks Solutions, Inc.

     Call        1/27/17    USD        80.50          170        (23,375

Starbucks Corp.

     Call        1/27/17    USD        60.00          163        (3,994

Wells Fargo & Co.

     Call        1/27/17    USD        56.00          21        (2,342

Whirlpool Corp.

     Call        1/27/17    USD        175.00          123        (125,460

EOG Resources, Inc.

     Call        1/30/17    USD        96.00          102        (65,446

UnitedHealth Group, Inc.

     Call        1/30/17    USD        157.00          76        (49,921

Vulcan Materials Co.

     Call        1/31/17    USD        132.00          90        (11,318

Duke Energy Corp.

     Call        2/02/17    USD        79.00          357        (33,036

Starbucks Corp.

     Call        2/02/17    USD        57.75          373        (23,060

Alibaba Group Holding Ltd. — ADR

     Call        2/03/17    USD        92.00          284        (56,516

Alphabet, Inc., Class A

     Call        2/03/17    USD        815.00          17        (29,580

McDonald’s Corp.

     Call        2/03/17    USD        121.60          199        (56,734

Pfizer, Inc.

     Call        2/03/17    USD        33.00          150        (7,725

Wells Fargo & Co.

     Call        2/08/17    USD        57.00          118        (10,468

EOG Resources, Inc.

     Call        2/09/17    USD        105.00          163        (29,952

Micron Technology, Inc.

     Call        2/10/17    USD        20.20          510        (116,735

UnitedHealth Group, Inc.

     Call        2/13/17    USD        157.00          76        (57,543

Acuity Brands, Inc.

     Call        2/17/17    USD        260.00          64        (13,600

Alibaba Group Holding Ltd. — ADR

     Call        2/17/17    USD        105.00          106        (3,074

Alphabet, Inc., Class C

     Call        2/17/17    USD        795.00          24        (45,480

Amazon.com, Inc.

     Call        2/17/17    USD        785.00          37        (77,145

American International Group, Inc.

     Call        2/17/17    USD        65.00          242        (56,749

Apple, Inc.

     Call        2/17/17    USD        120.00          111        (21,423

Baidu, Inc. — ADR

     Call        2/17/17    USD        175.00          105        (32,235

Citigroup, Inc.

     Call        2/17/17    USD        60.00          236        (50,032

Comcast Corp., Class A

     Call        2/17/17    USD        72.50          217        (21,049

Eli Lilly & Co.

     Call        2/17/17    USD        75.00          250        (42,250

EOG Resources, Inc.

     Call        2/17/17    USD        105.00          35        (8,715

Facebook, Inc., Class A

     Call        2/17/17    USD        120.00          85        (25,712

McDonald’s Corp.

     Call        2/17/17    USD        121.60          199        (67,099

Medtronic PLC

     Call        2/17/17    USD        75.00          187        (11,127

Micron Technology, Inc.

     Call        2/17/17    USD        24.00          257        (13,493

Mondelez International, Inc., Class A

     Call        2/17/17    USD        46.00          88        (13,508

Mondelez International, Inc., Class A

     Call        2/17/17    USD        48.00          149        (14,080

Mosaic Co.

     Call        2/17/17    USD        30.00          220        (30,140

Pfizer, Inc.

     Call        2/17/17    USD        34.00          724        (20,272

Skyworks Solutions, Inc.

     Call        2/17/17    USD        80.00          170        (34,850

Starbucks Corp.

     Call        2/17/17    USD        60.00          113        (4,350

 

See Notes to Financial Statements.

 

     ANNUAL REPORT    DECEMBER 31, 2016    55


Schedule of Investments (continued)      BlackRock Global Opportunities Equity Trust (BOE)  

 

Description    Put/
Call
       Expiration
Date
     Strike
Price
       Contracts      Value  

Union Pacific Corp.

     Call          2/17/17        USD          110.00          29      $ (3,973

Vulcan Materials Co.

     Call          2/17/17        USD          130.00          70        (24,850

Walt Disney Co.

     Call          2/17/17        USD          105.00          110        (30,030

Wells Fargo & Co.

     Call          2/17/17        USD          52.50          128        (45,440

Amazon.com, Inc.

     Call          3/17/17        USD          785.00          36        (93,780

Walt Disney Co.

     Call          3/17/17        USD          105.25          211        (68,479

Newell Brands, Inc.

     Put          1/20/17        USD          45.00          505        (60,600

Total

                        $ (5,293,779
                       

 

 

 

 

OTC Options Written                                             
Description    Put/
Call
     Counterparty    Expiration
Date
   Strike
Price
       Contracts      Value  

AstraZeneca PLC

     Call      Morgan Stanley & Co. International PLC    1/04/17    GBP      49.26          23,500      $ (6

AXA SA

     Call      Credit Suisse International    1/04/17    EUR      22.64          60,000        (83,794

Cellnex Telecom SA

     Call      Bank of America N.A.    1/04/17    EUR      15.64          40,000         

Kennedy-Wilson Holdings, Inc.

     Call      Barclays Bank PLC    1/04/17    USD      20.98          32,000        (2,509

Samsonite International SA

     Call      BNP Paribas S.A.    1/04/17    HKD      26.17          240,000         

Statoil ASA

     Call      Credit Suisse International    1/04/17    NOK      141.58          65,000        (121,504

GlaxoSmithKline PLC

     Call      Credit Suisse International    1/05/17    GBP      16.06          35,000        (413

Intercontinental Exchange, Inc.

     Call      Citibank N.A.    1/05/17    USD      54.77          32,000        (55,408

Koninklijke Philips NV

     Call      UBS AG    1/05/17    EUR      27.72          43,000        (62,299

Snam SpA

     Call      Credit Suisse International    1/05/17    EUR      3.79          342,000        (44,680

Aramark

     Call      Goldman Sachs International    1/06/17    USD      34.95          44,000        (41,974

Assured Guaranty Ltd.

     Call      Barclays Bank PLC    1/06/17    USD      34.83          35,000        (103,731

Eni SpA

     Call      Credit Suisse International    1/10/17    EUR      13.21          18,000        (41,952

Naspers Ltd., N Shares

     Call      Morgan Stanley & Co. International PLC    1/10/17    ZAR      2,192.90          18,100        (4,612

Cellnex Telecom SA

     Call      Credit Suisse International    1/11/17    EUR      14.75          54,000        (605

Eni SpA

     Call      Bank of America N.A.    1/11/17    EUR      13.85          44,000        (71,858

Kennedy-Wilson Holdings, Inc.

     Call      Barclays Bank PLC    1/11/17    USD      22.78          32,100        (132

Koninklijke Philips NV

     Call      Bank of America N.A.    1/11/17    EUR      27.78          160,000        (238,636

Metro Bank PLC

     Call      Morgan Stanley & Co. International PLC    1/11/17    GBP      31.41          10,000        (481

PPL Corp.

     Call      Barclays Bank PLC    1/11/17    USD      33.15          66,000        (71,103

Renault SA

     Call      Morgan Stanley & Co. International PLC    1/11/17    EUR      83.55          20,000        (51,640

WestRock Co.

     Call      Barclays Bank PLC    1/12/17    USD      51.48          41,000        (31,102

Xero Ltd.

     Call      Deutsche Bank AG    1/12/17    NZD      19.65          6,000        (9

Delphi Automotive PLC

     Call      Barclays Bank PLC    1/13/17    USD      68.60          25,500        (26,962

Aramark

     Call      Bank of America N.A.    1/17/17    USD      36.75          43,200        (15,928

Johnson Controls International PLC

     Call      Barclays Bank PLC    1/17/17    USD      42.84          49,000        (14,531

Metro Bank PLC

     Call      Morgan Stanley & Co. International PLC    1/17/17    GBP      31.41          10,000        (980

AIA Group Ltd.

     Call      Citibank N.A.    1/18/17    HKD      48.10          247,000        (646

AXA SA

     Call      Credit Suisse International    1/18/17    EUR      22.76          60,000        (89,603

Azimut Holding SpA

     Call      Bank of America N.A.    1/18/17    EUR      14.27          55,000        (93,015

Cellnex Telecom SA

     Call      Morgan Stanley & Co. International PLC    1/18/17    EUR      15.59          68,400        (197

CNH Industrial NV

     Call      Bank of America N.A.    1/18/17    EUR      8.47          100,000        (11,581

Eni SpA

     Call      Bank of America N.A.    1/18/17    EUR      14.31          121,000        (144,359

Nintendo Co. Ltd.

     Call      Bank of America N.A.    1/18/17    JPY      28,507.25          4,800        (1,399

Renault SA

     Call      Morgan Stanley & Co. International PLC    1/18/17    EUR      83.96          20,000        (56,983

Samsonite International SA

     Call      JPMorgan Chase Bank N.A.    1/18/17    HKD      24.45          301,800        (348

SoftBank Group Corp.

     Call      Goldman Sachs International    1/18/17    JPY      6,904.88          44,000        (322,558

Statoil ASA

     Call      Credit Suisse International    1/18/17    NOK      151.65          100,000        (97,155

Taiwan Semiconductor Manufacturing Co. Ltd.

     Call      JPMorgan Chase Bank N.A.    1/18/17    TWD      190.64          386,000        (2,949

thyssenkrupp AG

     Call      Morgan Stanley & Co. International PLC    1/18/17    EUR      21.97          85,000        (82,204

UBS Group AG

     Call      Bank of America N.A.    1/18/17    CHF      16.95          89,000        (9,155

Xero Ltd.

     Call      Morgan Stanley & Co. International PLC    1/18/17    NZD      17.78          12,000        (2,531

Galp Energia SGPS SA

     Call      Morgan Stanley & Co. International PLC    1/19/17    EUR      13.12          85,000        (96,917

Iliad SA

     Call      Morgan Stanley & Co. International PLC    1/19/17    EUR      184.58          10,000        (42,870

Newell Brands, Inc.

     Call      Morgan Stanley & Co. International PLC    1/20/17    USD      49.00          55,500        (13,875

Sumitomo Mitsui Financial Group, Inc.

     Call      JPMorgan Chase Bank N.A.    1/23/17    JPY      4,749.12          111,000        (42,712

SVB Financial Group

     Call      Barclays Bank PLC    1/24/17    USD      157.00          18,000        (297,268

Xero Ltd.

     Call      Morgan Stanley & Co. International PLC    1/24/17    NZD      17.86          12,000        (2,771

Cellnex Telecom SA

     Call      Credit Suisse International    1/25/17    EUR      13.17          80,000        (51,901

 

See Notes to Financial Statements.

 

56    ANNUAL REPORT    DECEMBER 31, 2016     


Schedule of Investments (continued)      BlackRock Global Opportunities Equity Trust (BOE)  

 

Description    Put/
Call
     Counterparty    Expiration
Date
   Strike
Price
       Contracts      Value  

Galp Energia SGPS SA

     Call      Morgan Stanley & Co. International PLC    1/25/17    EUR      14.24          99,000      $ (38,086

Metro Bank PLC

     Call      Morgan Stanley & Co. International PLC    1/25/17    GBP      31.41          10,000        (1,881

Metro Bank PLC

     Call      UBS AG    1/25/17    GBP      32.90          7,000        (306

Unilever PLC

     Call      Credit Suisse International    1/25/17    GBP      31.56          74,000        (141,480

Anheuser-Busch InBev SA

     Call      Morgan Stanley & Co. International PLC    1/26/17    EUR      99.21          11,000        (33,447

Anheuser-Busch InBev SA

     Call      UBS AG    1/26/17    EUR      100.44          35,000        (79,064

Aramark

     Call      Goldman Sachs International    1/26/17    USD      35.53          48,000        (49,779

Atlantia SpA

     Call      Morgan Stanley & Co. International PLC    1/26/17    EUR      22.00          42,000        (26,356

AXA SA

     Call      Credit Suisse International    1/26/17    EUR      24.37          60,000        (32,011

Eni SpA

     Call      Credit Suisse International    1/26/17    EUR      15.19          61,800        (31,567

KION Group AG

     Call      Morgan Stanley & Co. International PLC    1/26/17    EUR      53.81          21,000        (25,724

Naspers Ltd., N Shares

     Call      UBS AG    1/26/17    ZAR      2,090.40          15,000        (44,735

Nestle SA

     Call      UBS AG    1/26/17    CHF      72.90          74,000        (87,034

Nintendo Co. Ltd.

     Call      Bank of America N.A.    1/26/17    JPY      25,756.50          12,000        (49,007

AstraZeneca PLC

     Call      Morgan Stanley & Co. International PLC    1/27/17    GBP      44.64          20,000        (28,188

Mitsubishi Estate Co. Ltd.

     Call      Bank of America N.A.    1/27/17    JPY      2,394.75          133,000        (39,880

Alps Electric Co. Ltd.

     Call      Bank of America N.A.    1/31/17    JPY      2,958.16          63,000        (33,756

Eastman Chemical Co.

     Call      UBS AG    1/31/17    USD      77.82          22,500        (21,725

Hartford Financial Services Group, Inc.

     Call      Morgan Stanley & Co. International PLC    1/31/17    USD      47.90          54,500        (47,698

Kellogg Co.

     Call      Royal Bank of Canada    1/31/17    USD      74.64          32,000        (43,564

KION Group AG

     Call      Morgan Stanley & Co. International PLC    1/31/17    EUR      54.08          21,000        (25,834

Macquarie Infrastructure Corp.

     Call      Deutsche Bank AG    1/31/17    USD      82.67          22,000        (31,576

Atlantia SpA

     Call      Credit Suisse International    2/01/17    EUR      22.72          42,000        (15,008

FANUC Corp.

     Call      JPMorgan Chase Bank N.A.    2/01/17    JPY      20,955.90          10,900        (28,631

LG Chem Ltd.

     Call      UBS AG    2/01/17    KRW      271,179.17          9,000        (41,018

Samsonite International SA

     Call      JPMorgan Chase Bank N.A.    2/01/17    HKD      22.05          228,000        (17,832

Xero Ltd.

     Call      Deutsche Bank AG    2/01/17    NZD      18.04          5,000        (1,170

Adobe Systems, Inc.

     Call      Barclays Bank PLC    2/02/17    USD      104.13          25,300        (48,798

Assured Guaranty Ltd.

     Call      Barclays Bank PLC    2/02/17    USD      39.22          34,300        (16,432

Cellnex Telecom SA

     Call      Credit Suisse International    2/02/17    EUR      13.72          40,000        (14,497

Metro Bank PLC

     Call      UBS AG    2/02/17    GBP      33.58          16,000        (692

Potash Corp. of Saskatchewan, Inc.

     Call      Citibank N.A.    2/02/17    USD      19.19          45,000        (12,332

Public Service Enterprise Group, Inc.

     Call      Morgan Stanley & Co. International PLC    2/02/17    USD      42.23          42,000        (131,355

Fiat Chrysler Automobiles NV

     Call      Deutsche Bank AG    2/03/17    USD      9.04          152,000        (75,603

SoftBank Group Corp.

     Call      JPMorgan Chase Bank N.A.    2/03/17    JPY      7,927.44          32,700        (56,548

Statoil ASA

     Call      Goldman Sachs International    2/03/17    NOK      164.01          142,000        (43,471

Taiwan Semiconductor Manufacturing Co. Ltd.

     Call      Bank of America N.A.    2/03/17    TWD      189.21          393,000        (11,829

BankUnited, Inc.

     Call      Deutsche Bank AG    2/06/17    USD      35.58          47,000        (122,845

Boston Scientific Corp.

     Call      UBS AG    2/06/17    USD      21.31          17,300        (16,678

ServiceMaster Global Holdings, Inc.

     Call      Morgan Stanley & Co. International PLC    2/06/17    USD      38.72          28,000        (28,747

AIA Group Ltd.

     Call      Bank of America N.A.    2/07/17    HKD      45.04          247,000        (19,643

Imperial Brands PLC

     Call      Credit Suisse International    2/07/17    GBP      36.14          61,600        (57,517

Lloyds Banking Group PLC

     Call      Credit Suisse International    2/07/17    GBP      0.66          1,943,000        (18,696

Metro Bank PLC

     Call      UBS AG    2/07/17    GBP      33.58          16,000        (1,024

Snam SpA

     Call      Bank of America N.A.    2/07/17    EUR      3.85          342,000        (48,666

SoftBank Group Corp.

     Call      JPMorgan Chase Bank N.A.    2/07/17    JPY      8,230.56          29,600        (29,792

WestRock Co.

     Call      Bank of America N.A.    2/07/17    USD      52.80          32,000        (37,036

Cellnex Telecom SA

     Call      Credit Suisse International    2/08/17    EUR      13.73          59,700        (22,937

CNH Industrial NV

     Call      Credit Suisse International    2/08/17    EUR      8.35          318,000        (86,842

Iliad SA

     Call      Morgan Stanley & Co. International PLC    2/08/17    EUR      184.58          10,000        (63,646

Samsonite International SA

     Call      Citibank N.A.    2/08/17    HKD      22.76          129,000        (6,165

Unilever PLC

     Call      Bank of America N.A.    2/08/17    GBP      32.28          38,000        (46,783

Cigna Corp.

     Call      Goldman Sachs International    2/09/17    USD      134.75          14,000        (87,920

GlaxoSmithKline PLC

     Call      Morgan Stanley & Co. International PLC    2/09/17    GBP      15.46          90,600        (51,637

Sumitomo Mitsui Financial Group, Inc.

     Call      JPMorgan Chase Bank N.A.    2/09/17    JPY      4,820.40          66,000        (35,685

UBS Group AG

     Call      Credit Suisse International    2/09/17    CHF      17.13          89,000        (18,393

Xero Ltd.

     Call      Deutsche Bank AG    2/09/17    NZD      18.03          12,000        (3,358

AstraZeneca PLC

     Call      UBS AG    2/10/17    GBP      43.71          5,000        (13,144

 

See Notes to Financial Statements.

 

     ANNUAL REPORT    DECEMBER 31, 2016    57


Schedule of Investments (continued)      BlackRock Global Opportunities Equity Trust (BOE)  

 

Description    Put/
Call
     Counterparty    Expiration
Date
     Strike
Price
       Contracts      Value  

Hartford Financial Services Group, Inc.

     Call      Morgan Stanley & Co. International PLC      2/10/17        USD        47.90          54,500      $ (69,603

Anheuser-Busch InBev SA

     Call      Morgan Stanley & Co. International PLC      2/14/17        EUR        99.37          40,700        (151,894

Atlantia SpA

     Call      UBS AG      2/14/17        EUR        22.30          41,000        (25,556

Kennedy-Wilson Holdings, Inc.

     Call      Barclays Bank PLC      2/14/17        USD        21.94          55,000        (15,340

thyssenkrupp AG

     Call      UBS AG      2/14/17        EUR        24.10          90,000        (38,462

Alps Electric Co. Ltd.

     Call      JPMorgan Chase Bank N.A.      2/15/17        JPY        3,070.90          62,500        (30,942

Azimut Holding SpA

     Call      Goldman Sachs International      2/15/17        EUR        16.80          163,000        (71,554

Crown Holdings, Inc.

     Call      Morgan Stanley & Co. International PLC      2/15/17        USD        54.25          23,000        (22,548

Galp Energia SGPS SA

     Call      Morgan Stanley & Co. International PLC      2/15/17        EUR        14.39          185,800        (86,987

Metro Bank PLC

     Call      Morgan Stanley & Co. International PLC      2/15/17        GBP        31.49          9,800        (3,768

AIA Group Ltd.

     Call      UBS AG      2/17/17        HKD        44.96          138,000        (13,704

BankUnited, Inc.

     Call      Deutsche Bank AG      2/21/17        USD        37.85          42,000        (67,215

Boston Scientific Corp.

     Call      UBS AG      2/21/17        USD        21.31          17,300        (20,184

Cellnex Telecom SA

     Call      UBS AG      2/22/17        EUR        13.85          27,500        (11,230

FANUC Corp.

     Call      JPMorgan Chase Bank N.A.      2/22/17        JPY        20,955.90          10,900        (27,547

Lloyds Banking Group PLC

     Call      Credit Suisse International      2/22/17        GBP        0.66          1,943,000        (26,327

Mitsubishi Estate Co. Ltd.

     Call      JPMorgan Chase Bank N.A.      2/22/17        JPY        2,441.88          133,000        (58,456

Potash Corp. of Saskatchewan, Inc.

     Call      Citibank N.A.      2/22/17        USD        19.19          45,000        (19,753

Fiat Chrysler Automobiles NV

     Call      Deutsche Bank AG      2/23/17        USD        9.04          152,000        (93,067

Unilever PLC

     Call      Goldman Sachs International      2/23/17        GBP        33.39          45,100        (32,530

Imperial Brands PLC

     Call      UBS AG      2/24/17        GBP        36.07          37,300        (44,495

Kennedy-Wilson Holdings, Inc.

     Call      Barclays Bank PLC      2/27/17        USD        21.55          32,000        (14,863

Fiat Chrysler Automobiles NV

     Call      Bank of America N.A.      3/02/17        USD        9.53          141,000        (60,146

LG Chem Ltd.

     Call      JPMorgan Chase Bank N.A.      3/03/17        KRW        264,685.44          10,800        (105,276

Boston Scientific Corp.

     Call      Barclays Bank PLC      3/06/17        USD        22.33          13,900        (10,456

Total

                       $ (5,916,817
                      

 

 

 

 

      Transactions in Options Written for the Year Ended December 31, 2016

 

      Calls             Puts  
  

 

 

      

 

 

 
         Contracts      Premiums
Received
           Contracts      Premiums
Received
 

 

      

 

 

 

Outstanding options at beginning of year

     26,290,347      $ 11,916,657          —                 

Options written

         129,461,729        90,508,068          505                $32,198  

Options exercised

     (97,473      (277,677        —                 

Options expired

     (61,305,903      (32,735,201        —                 

Options closed

     (81,396,905      (57,835,849        —                 
  

 

 

      

 

 

 

Outstanding options at end of year

     12,951,795      $ 11,575,998                505                $32,198  
  

 

 

      

 

 

 

As of period end, the value of portfolio securities subject to covered call options written was $442,611,294.

 

      Derivative Financial Instruments Categorized by Risk Exposure

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

 

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

Liabilities — Derivative Financial Instruments

                                                      

Options written

           Options written, at value      —          —            $11,210,596          —            —            $11,210,596  
  

 

 

 

See Notes to Financial Statements.

 

58    ANNUAL REPORT    DECEMBER 31, 2016     


Schedule of Investments (continued)      BlackRock Global Opportunities Equity Trust (BOE)  

 

For the year ended December 31, 2016, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

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

Forward foreign currency exchange contracts

       —                   $63,790              $ 63,790  

Options purchased1

       —           $ (36,189     —                (36,189

Options written

       —             (3,476,161     —                (3,476,161
 

 

 

Total

       —           $ (3,512,350     $63,790              $ (3,448,560
 

 

 
               

Net Change in Unrealized Appreciation (Depreciation) on:

                                               

Options purchased2

       —           $ 29,255       —              $ 29,255  

Options written

       —             (3,395,482     —                (3,395,482
 

 

 

Total

       —           $ (3,366,227     —              $ (3,366,227
 

 

 

 

  1   

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

 

  2   

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

 

      Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Forward foreign currency exchange contracts:

        

Average amounts purchased — in USD

   $ 1,614,520  

Average amounts sold — in USD

   $ 1,598,572  

Options:

  

Average value of option contracts written

   $ 12,418,684  

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

        $ 11,210,596  
  

 

 

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

          (5,293,779
  

 

 

Total derivative assets and liabilities subject to an MNA

        $ 5,916,817  
  

 

 

 

See Notes to Financial Statements.

 

     ANNUAL REPORT    DECEMBER 31, 2016    59


Schedule of Investments (continued)      BlackRock Global Opportunities Equity Trust (BOE)  

 

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

 

Counterparty    Derivative Liabilities
Subject to an MNA  by
Counterparty
     Derivatives Available
for Offset
     Non-cash
Collateral
Pledged1
     Cash
Collateral
Pledged
    

Net Amount of      

Derivative Liabilities2      

Bank of America N.A.

     $ 932,677                 $ (932,677 )                   —      

Barclays Bank PLC

       653,227                   (653,227 )                   —      

Citibank N.A.

       94,304                   (94,304 )                   —      

Credit Suisse International

       996,882                   (996,882 )                   —      

Deutsche Bank AG

       394,843                   (394,843 )                   —      

Goldman Sachs International

       649,786                   (649,786 )                   —      

JPMorgan Chase Bank N.A.

       436,718                          $ (436,718 )          —      

Morgan Stanley & Co. International PLC

       1,193,466                   (1,193,466 )                   —      

Royal Bank of Canada

       43,564                                   $ 43,564      

UBS AG

       521,350                   (521,350 )                   —      

Total

     $ 5,916,817                 $ (5,436,535 )        $ (436,718 )        $ 43,564      

 

  1   

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

 

  2   

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

 

      Fair Value Hierarchy as of Period End

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

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

 

      Level 1      Level 2      Level 3      Total  

Assets:

           

Investments:

           

Long-Term Investments:

           

Common Stocks:

           

Australia

                           

Belgium

   $ 16,689,749                    $ 16,689,749  

Canada

     9,755,655                      9,755,655  

China

     24,416,886                      24,416,886  

France

          $ 23,428,682               23,428,682  

Germany

     4,154,587        12,322,684               16,477,271  

Hong Kong

            6,435,955               6,435,955  

India

            16,500,524               16,500,524  

Indonesia

            8,057,845               8,057,845  

Ireland

     6,171,374                      6,171,374  

Italy

            23,325,508               23,325,508  

Japan

            52,883,704               52,883,704  

Mexico

     5,380,426                      5,380,426  

Netherlands

            9,750,641               9,750,641  

New Zealand

            4,249,204               4,249,204  

Norway

            9,716,466               9,716,466  

Peru

     4,909,446                      4,909,446  

Philippines

     4,343,273                      4,343,273  

Portugal

            10,024,333               10,024,333  

South Africa

            9,657,349               9,657,349  

South Korea

            12,436,092               12,436,092  

Spain

            11,204,559               11,204,559  

Switzerland

            14,795,884               14,795,884  

Taiwan

            7,931,378               7,931,378  

Thailand

     5,512,348                      5,512,348  

United Kingdom

     12,372,446        46,518,481               58,890,927  

United States

     516,985,735        4,647,894      $ 4,421,995        526,055,624  

Preferred Stocks

                   24,994,450        24,994,450  

Short-Term Securities

     11,863,116                      11,863,116  
  

 

 

 

Total Investments

   $               622,555,041      $               283,887,183      $                 29,416,445      $               935,858,669  
  

 

 

 

 

See Notes to Financial Statements.

 

60    ANNUAL REPORT    DECEMBER 31, 2016     


Schedule of Investments (concluded)      BlackRock Global Opportunities Equity Trust (BOE)  

 

      Level 1   Level 2   Level 3    Total

Derivative Financial Instruments1

                 

Liabilities:

                 

Equity contracts

     $                 (4,127,899     $                 (7,082,697                  —                      $               (11,210,596
    

 

 

 

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

    

Transfers between Level 1 and Level 2 were as follow:

 

 

      Transfers into
Level 11
  Transfers out of
Level 12
  Transfers into
Level 22
   Transfers out of
Level 21

Assets:

                 

Investments:

                 

Long-Term Investments:

                 

Common Stocks

       $    8,123,988         $ (26,614,038)         $  26,614,038          $  (8,123,988)  
    

 

 

 

 

  1   

Systematic Fair Value Prices were not utilized at period end for these investments.

 

  2   

External pricing service used to reflect any significant market movements between the time the Trust valued such foreign securities and the earlier closing of foreign markets.

A reconciliation of Level 3 investments is presented when the Trust had a significant amount of Level 3 investments at the beginning and/or end of the year in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:

 

              Common
         Stocks
    Preferred
Stocks
    Total  

Assets:

      

Opening Balance, as of December 31, 2015

           $ 9,185,948     $ 26,668,421     $ 35,854,369  

Transfers into Level 3

     639,954             639,954  

Transfers out of Level 3

     (5,237,738           (5,237,738

Accrued discounts/premiums

                  

Net realized gain (loss)

                  

Net change in unrealized appreciation/depreciation1,2

     (166,169     (1,673,971     (1,840,140

Purchases

                  

Sales

                  
  

 

 

 

Closing Balance, as of December 31, 2016

           $ 4,421,995     $ 24,994,450     $ 29,416,445  
  

 

 

 

Net change in unrealized appreciation/depreciation on investments still held at December 31, 20162

           $ (166,169   $ (1,673,971   $ (1,840,140
  

 

 

 

 

  1   

Included in the related net change in unrealized appreciation (depreciation) in the Statements of Operations.

 

  2   

Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at December 31, 2016 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 period end.

 

          Value        Valuation Approach        Unobservable
  Inputs
   Range of
    Unobservable Inputs    
Utilized
     Weighted Average of
Unobservable Inputs
 

Assets:

             

Common Stocks

       $ 4,421,995       Market        Tangible Book Value Multiple1      1.80x             

Preferred Stocks

     24,994,450       Market        Discount Rate2      25.00%             
          Revenue Growth Rate1      27.00% - 72.00%            41.53%  
          Revenue Growth Rate1      187.00%             
          Revenue Multiple1      11.00x - 12.00x            11.75x  
          Revenue Multiple1      34.00x - 46.00x             
          Exit Scenario Probability1      20.00% - 50.00%             
          Time to Exit2      1-3 years             
  

 

 

 

Total

       $ 29,416,445             
  

 

 

 

 

  1   

Increase in unobservable input may result in a significant increase to value, while a decrease in the unobservable input may result in a significant decrease to value.

 

  2   

Decrease in unobservable input may result in a significant increase to value, while an increase in the unobservable input may result in a significant decrease to value.

 

See Notes to Financial Statements.

 

     ANNUAL REPORT    DECEMBER 31, 2016    61


Schedule of Investments December 31, 2016      BlackRock Health Sciences Trust (BME)  
     (Percentages shown are based on Net Assets)  

 

Common Stocks    Shares      Value  

Biotechnology — 23.0%

     

AbbVie, Inc. (a)

     38,186      $ 2,391,207  

Acceleron Pharma, Inc. (a)(b)

     40,400        1,031,008  

Acerta Pharma BV, Series B (Acquired 2/01/16, cost $986,402) (b)(c)

     17,146,440        1,452,303  

Agios Pharmaceuticals, Inc. (a)(b)

     9,200        383,916  

Alder Biopharmaceuticals, Inc. (b)

     5,829        121,243  

Alkermes PLC (a)(b)

     18,600        1,033,788  

Amgen, Inc. (a)

     69,322        10,135,570  

Aquinox Pharmaceuticals, Inc. (b)

     20,831        343,920  

Audentes Therapeutics, Inc. (b)

     8,883        162,292  

Avexis, Inc. (b)

     21,752        1,038,223  

Biogen, Inc. (a)(b)

     22,348        6,337,446  

BioMarin Pharmaceutical, Inc. (a)(b)

     9,900        820,116  

Celgene Corp. (a)(b)

     95,586        11,064,080  

Genomic Health, Inc. (a)(b)

     15,100        443,789  

Gilead Sciences, Inc. (a)

     62,500        4,475,625  

Global Blood Therapeutics, Inc. (b)

     16,688        241,142  

Halozyme Therapeutics, Inc. (a)(b)

     41,200        407,056  

Incyte Corp. (a)(b)

     15,300        1,534,131  

Inotek Pharmaceuticals Corp. (b)

     13,396        81,716  

Lion Biotechnologies, Inc. (b)

     56,423        392,140  

Myovant Sciences Ltd. (b)

     27,953        347,735  

Neurocrine Biosciences, Inc. (a)(b)

     28,462        1,101,479  

Otonomy, Inc. (b)

     8,400        133,560  

Prothena Corp. PLC (b)

     2,144        105,463  

PTC Therapeutics, Inc. (b)

     17,900        195,289  

Ra Pharmaceuticals, Inc. (b)

     4,900        74,431  

Regeneron Pharmaceuticals, Inc. (a)(b)

     8,658        3,178,265  

REGENXBIO, Inc. (b)

     36,250        672,438  

Sage Therapeutics, Inc. (a)(b)

     14,652        748,131  

Sarepta Therapeutics, Inc. (a)(b)

     36,350        997,082  

Seattle Genetics, Inc. (a)(b)

     20,867        1,101,152  

Spark Therapeutics, Inc. (a)(b)

     4,600        229,540  

Syndax Pharmaceuticals, Inc. (b)

     49,384        354,083  

TESARO, Inc. (a)(b)

     22,231        2,989,625  

Vertex Pharmaceuticals, Inc. (a)(b)

     82,605        6,085,510  
     

 

 

 
                62,204,494  

Diversified Consumer Services — 0.4%

 

  

Service Corp. International

     40,500        1,150,200  

Health Care Equipment & Supplies — 20.6%

 

  

Abbott Laboratories (a)

     112,800        4,332,647  

Baxter International, Inc. (a)

     140,900        6,247,506  

Becton Dickinson and Co. (a)

     21,133        3,498,568  

Boston Scientific Corp. (a)(b)

     334,200        7,228,746  

CR Bard, Inc. (a)

     25,453        5,718,271  

Edwards Lifesciences Corp. (b)

     11,600        1,086,920  

Hologic, Inc. (a)(b)

     76,600        3,073,192  

Intuitive Surgical, Inc. (a)(b)

     5,600        3,551,352  

iRhythm Technologies, Inc. (b)

     4,583        137,490  

Masimo Corp. (a)(b)

     21,700        1,462,580  

Medtronic PLC (a)

     162,200        11,553,506  

Stryker Corp. (a)

     64,900        7,775,669  
     

 

 

 
                55,666,447  

Health Care Providers & Services — 29.2%

     

Aetna, Inc. (a)

     44,311        5,495,007  

Amedisys, Inc. (a)(b)

     56,960        2,428,205  

AmerisourceBergen Corp. (a)

     18,100        1,415,239  

Anthem, Inc. (a)

     50,300        7,231,631  

Cardinal Health, Inc. (a)

     33,030        2,377,169  

Centene Corp. (a)(b)

     35,700        2,017,407  

Cigna Corp. (a)

     42,100        5,615,719  

DaVita, Inc. (a)(b)

     62,594        4,018,535  
Common Stocks    Shares      Value  

Health Care Providers & Services (continued)

     

Express Scripts Holding Co. (a)(b)

     17,900      $ 1,231,341  

HCA Holdings, Inc. (a)(b)

     60,294        4,462,962  

HealthEquity, Inc. (a)(b)

     12,300        498,396  

Humana, Inc. (a)

     36,700        7,487,901  

McKesson Corp. (a)

     28,500        4,002,825  

Quest Diagnostics, Inc. (a)

     55,600        5,109,640  

Teladoc, Inc. (a)(b)(d)

     18,800        310,200  

UnitedHealth Group, Inc. (a)

     137,102        21,941,804  

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

     25,300        2,691,414  

WellCare Health Plans, Inc. (a)(b)

     6,000        822,480  
     

 

 

 
                79,157,875  

Life Sciences Tools & Services — 1.3%

     

Thermo Fisher Scientific, Inc. (a)

     24,000        3,386,400  

Pharmaceuticals — 22.4%

     

Allergan PLC (a)(b)

     36,085        7,578,211  

AstraZeneca PLC

     57,476        3,138,654  

Bristol-Myers Squibb Co. (a)

     137,562        8,039,123  

Chugai Pharmaceutical Co. Ltd.

     13,400        384,366  

Dermira, Inc. (a)(b)

     20,900        633,897  

Eli Lilly & Co. (a)

     65,900        4,846,945  

GlaxoSmithKline PLC

     64,300        1,235,114  

Intra-Cellular Therapies, Inc. (b)

     12,701        191,658  

Jazz Pharmaceuticals PLC (a)(b)

     13,200        1,439,196  

Johnson & Johnson (a)

     62,270        7,174,127  

Merck & Co., Inc. (a)

     105,300        6,199,011  

Merck KGaA

     22,800        2,373,965  

Mylan NV (a)(b)

     60,000        2,289,000  

Pacira Pharmaceuticals, Inc. (b)

     4,900        158,270  

Pfizer, Inc. (a)

     371,898        12,079,247  

Phibro Animal Health Corp., Class A

     14,600        427,780  

Zoetis, Inc. (a)

     46,500        2,489,145  
     

 

 

 
                60,677,709  

Total Common Stocks — 96.9%

 

     262,243,125  
     
Preferred Stocks                

Biotechnology — 0.2%

     

Ovid Therapeutics, Inc. (Acquired 8/7/15,
Cost $503,166), 0.00% (b)(c)

     80,765        503,166  

Rights — 0.0%

 

        

Biotechnology — 0.0%

     

Dyax Corp. — CVR (b)

     61,727        68,517  

Total Long-Term Investments

(Cost — $203,676,547) — 97.1%

              262,814,808  
     
                  
 

 

See Notes to Financial Statements.

 

62    ANNUAL REPORT    DECEMBER 31, 2016     


Schedule of Investments (continued)      BlackRock Health Sciences Trust (BME)  

 

 

 

Short-Term Securities

   Shares      Value  

BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.36% (e)(f)

     8,611,967      $ 8,611,967  

SL Liquidity Series, LLC Money Market Series,
0.95% (e)(f)(g)

     126,889        126,902  

Total Short-Term Securities

(Cost — $8,738,869) — 3.2%

              8,738,869  

Total Investments Before Options Written

(Cost — $212,415,416) — 100.3%

              271,553,677  
     
                  
Options Written         Value  

(Premiums Received — $2,428,175) — (0.7)%

       $ (1,926,945

Total Investments Net of Options Written — 99.6%

     269,626,732  

Other Assets Less Liabilities — 0.4%

     1,066,690  
    

 

 

 

Net Assets — 100.0%

   $ 270,693,422  
    

 

 

 
 

 

      Notes to Schedule of Investments

 

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

 

(b) Non-income producing security.

 

(c) Restricted securities as to resale, excluding 144A securities. As of period end, the Trust held restricted securities with a current value of $1,955,469,and an original cost of $1,489,568 which was 0.7% of its net assets.

 

(d) Security, or a portion of security, is on loan.

 

(e) Current yield as of period end.

 

(f) During the year ended December 31, 2016, investments in issuers considered to be affiliates of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliates    Shares Held at
December 31,
2015
     Net
Activity
    Shares Held at
December 31,
2016
     Value at
December 31,
2016
     Income     Realized
Gain
 

BlackRock Liquidity Funds, TempFund, Institutional Class

     8,854,560        (8,854,560                 $ 34,420        

BlackRock Liquidity Funds, T-Fund, Institutional Class

            8,611,967       8,611,967              $8,611,967        12,113       $55  

SL Liquidity Series, LLC, Money Market Series

            126,889       126,889        126,902        8,130 1      1  

Total

                   $8,738,869      $ 54,663       $56  
          

 

 

 

 

  1   

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

 

(g) Security was purchased with the cash collateral from loaned securities.

 

 

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

 

      Derivative Financial Instruments Outstanding as of Period End

 

Exchange-Traded Options Written                         
Description    Put/
Call
       Expiration
Date
      

Strike

Price

       Contracts        Value  

Abbott Laboratories

     Call          1/06/17          USD       39.00          110        $ (2,145

Amgen, Inc.

     Call          1/06/17          USD       147.00          110          (12,595

Anthem, Inc.

     Call          1/06/17          USD       147.00          87          (5,873

Baxter International, Inc.

     Call          1/06/17          USD       46.00          20          (70

Baxter International, Inc.

     Call          1/06/17          USD       47.00          72          (936

Biogen, Inc.

     Call          1/06/17          USD       310.00          21          (525

Cardinal Health, Inc.

     Call          1/06/17          USD       72.50          57          (4,560

Celgene Corp.

     Call          1/06/17          USD       123.00          14          (133

Express Scripts Holding Co.

     Call          1/06/17          USD       79.00          62          (3,100

Gilead Sciences, Inc.

     Call          1/06/17          USD       75.00          58          (435

HCA Holdings, Inc.

     Call          1/06/17          USD       73.50          50          (6,625

Johnson & Johnson

     Call          1/06/17          USD       116.00          92          (4,186

Medtronic PLC

     Call          1/06/17          USD       76.00          167          (501

Merck & Co., Inc.

     Call          1/06/17          USD       62.00          38          (228

Pfizer, Inc.

     Call          1/06/17          USD       31.50          62          (6,603

Regeneron Pharmaceuticals, Inc.

     Call          1/06/17          USD       392.50          15          (1,650

Vertex Pharmaceuticals, Inc.

     Call          1/06/17          USD       80.00          90          (6,750

Amgen, Inc.

     Call          1/09/17          USD       151.75          86          (7,610

WellCare Health Plans, Inc.

     Call          1/11/17          USD       129.00          20          (17,376

 

See Notes to Financial Statements.

 

     ANNUAL REPORT    DECEMBER 31, 2016    63


Schedule of Investments (continued)      BlackRock Health Sciences Trust (BME)  

 

 

Description    Put/
Call
       Expiration
Date
    

Strike

Price

       Contracts        Value  

Baxter International, Inc.

     Call        1/12/17        USD       48.50          83        $ (50

Celgene Corp.

     Call        1/12/17        USD       120.70          153          (11,683

Abbott Laboratories

     Call        1/13/17        USD       40.00          95          (950

Biogen, Inc.

     Call        1/13/17        USD       295.00          14          (5,950

Celgene Corp.

     Call        1/13/17        USD       118.00          83          (13,986

Eli Lilly & Co.

     Call        1/13/17        USD       69.50          60          (23,100

Johnson & Johnson

     Call        1/13/17        USD       112.00          125          (46,250

Masimo Corp.

     Call        1/13/17        USD       61.75          43          (27,320

Merck & Co., Inc.

     Call        1/13/17        USD       62.00          61          (519

Mylan NV

     Call        1/13/17        USD       37.50          110          (15,510

Pfizer, Inc.

     Call        1/13/17        USD       32.50          80          (3,520

UnitedHealth Group, Inc.

     Call        1/13/17        USD       162.50          100          (14,250

Abbott Laboratories

     Call        1/20/17        USD       41.00          190          (1,425

AbbVie, Inc.

     Call        1/20/17        USD       62.50          50          (5,500

AbbVie, Inc.

     Call        1/20/17        USD       65.00          74          (2,035

Aetna, Inc.

     Call        1/20/17        USD       125.00          8          (2,640

Aetna, Inc.

     Call        1/20/17        USD       130.00          21          (3,434

Amedisys, Inc.

     Call        1/20/17        USD       45.00          200          (10,000

AmerisourceBergen Corp.

     Call        1/20/17        USD       80.00          72          (8,280

Amgen, Inc.

     Call        1/20/17        USD       155.00          38          (1,710

Anthem, Inc.

     Call        1/20/17        USD       130.00          30          (42,600

Anthem, Inc.

     Call        1/20/17        USD       145.00          59          (17,464

Baxter International, Inc.

     Call        1/20/17        USD       45.00          132          (6,996

Biogen, Inc.

     Call        1/20/17        USD       320.00          43          (5,912

BioMarin Pharmaceutical, Inc.

     Call        1/20/17        USD       95.00          34          (2,295

Boston Scientific Corp.

     Call        1/20/17        USD       21.00          165          (15,675

Bristol-Myers Squibb Co.

     Call        1/20/17        USD       60.00          204          (12,240

Cardinal Health, Inc.

     Call        1/20/17        USD       75.00          57          (2,993

Celgene Corp.

     Call        1/20/17        USD       115.00          26          (9,555

Celgene Corp.

     Call        1/20/17        USD       125.00          60          (3,060

Centene Corp.

     Call        1/20/17        USD       60.00          124          (6,200

Cigna Corp.

     Call        1/20/17        USD       140.00          47          (9,846

CR Bard, Inc.

     Call        1/20/17        USD       220.00          89          (63,635

DaVita, Inc.

     Call        1/20/17        USD       65.00          180          (14,400

Dermira, Inc.

     Call        1/20/17        USD       35.00          73          (2,190

Eli Lilly & Co.

     Call        1/20/17        USD       70.00          170          (67,575

Genomic Health, Inc.

     Call        1/20/17        USD       30.00          52          (15,340

Gilead Sciences, Inc.

     Call        1/20/17        USD       77.50          64          (2,080

Halozyme Therapeutics, Inc.

     Call        1/20/17        USD       13.00          144          (7,920

HCA Holdings, Inc.

     Call        1/20/17        USD       75.00          40          (5,900

HealthEquity, Inc.

     Call        1/20/17        USD       45.00          43          (2,150

Hologic, Inc.

     Call        1/20/17        USD       40.00          187          (16,362

Hologic, Inc.

     Call        1/20/17        USD       41.00          81          (3,240

Humana, Inc.

     Call        1/20/17        USD       210.00          58          (33,060

Incyte Corp.

     Call        1/20/17        USD       110.00          54          (7,155

Intuitive Surgical, Inc.

     Call        1/20/17        USD       655.00          18          (12,150

Jazz Pharmaceuticals PLC

     Call        1/20/17        USD       125.00          23          (1,840

McKesson Corp.

     Call        1/20/17        USD       145.00          76          (14,060

Medtronic PLC

     Call        1/20/17        USD       75.00          150          (2,475

Merck & Co., Inc.

     Call        1/20/17        USD       62.50          91          (1,001

Neurocrine Biosciences, Inc.

     Call        1/20/17        USD       55.00          73          (1,095

Pfizer, Inc.

     Call        1/20/17        USD       34.00          436          (3,706

Quest Diagnostics, Inc.

     Call        1/20/17        USD       85.00          106          (73,670

Quest Diagnostics, Inc.

     Call        1/20/17        USD       95.00          88          (2,860

Sage Therapeutics, Inc.

     Call        1/20/17        USD       55.00          50          (8,625

Seattle Genetics, Inc.

     Call        1/20/17        USD       65.00          57          (1,425

Spark Therapeutics, Inc.

     Call        1/20/17        USD       55.00          16          (2,160

Stryker Corp.

     Call        1/20/17        USD       115.00          115          (67,275

Stryker Corp.

     Call        1/20/17        USD       120.00          110          (26,400

Teladoc, Inc.

     Call        1/20/17        USD       17.50          65          (2,925

TESARO, Inc.

     Call        1/20/17        USD       135.00          77          (46,970

Thermo Fisher Scientific, Inc.

     Call        1/20/17        USD       150.00          53          (1,060

UnitedHealth Group, Inc.

     Call        1/20/17        USD       150.00          151          (167,232

Universal Health Services, Inc., Class B

     Call        1/20/17        USD       130.00          127          (3,810

Vertex Pharmaceuticals, Inc.

     Call        1/20/17        USD       95.00          125          (2,500

 

See Notes to Financial Statements.

 

64    ANNUAL REPORT    DECEMBER 31, 2016     


Schedule of Investments (continued)      BlackRock Health Sciences Trust (BME)  

 

 

Description    Put/
Call
       Expiration
Date
      

Strike

Price

       Contracts        Value  

Zoetis, Inc.

     Call          1/20/17          USD       50.00          58        $ (21,460

Becton Dickinson and Co.

     Call          1/23/17          USD       173.50          70          (5,247

Masimo Corp.

     Call          1/26/17          USD       66.01          32          (7,663

Aetna, Inc.

     Call          1/27/17          USD       129.00          84          (21,630

Allergan PLC

     Call          1/27/17          USD       200.00          63          (88,515

Baxter International, Inc.

     Call          1/27/17          USD       45.50          123          (5,781

Baxter International, Inc.

     Call          1/27/17          USD       46.00          20          (680

Bristol-Myers Squibb Co.

     Call          1/27/17          USD       61.50          277          (16,481

HCA Holdings, Inc.

     Call          1/27/17          USD       77.00          121          (13,915

Humana, Inc.

     Call          1/27/17          USD       217.50          25          (11,250

Merck & Co., Inc.

     Call          1/27/17          USD       61.50          217          (7,595

Pfizer, Inc.

     Call          1/27/17          USD       32.00          212          (20,246

Regeneron Pharmaceuticals, Inc.

     Call          1/27/17          USD       392.50          15          (9,000

Sarepta Therapeutics, Inc.

     Call          1/27/17          USD       35.00          120          (6,900

Vertex Pharmaceuticals, Inc.

     Call          1/27/17          USD       80.00          75          (15,375

Zoetis, Inc.

     Call          1/27/17          USD       52.50          96          (17,760

Aetna, Inc.

     Call          1/30/17          USD       124.25          21          (9,307

UnitedHealth Group, Inc.

     Call          1/30/17          USD       157.00          114          (74,881

Alkermes PLC

     Call          2/02/17          USD       59.05          63          (10,346

Aetna, Inc.

     Call          2/07/17          USD       129.50          21          (6,384

Agios Pharmaceuticals, Inc.

     Call          2/10/17          USD       67.25          56          (706

UnitedHealth Group, Inc.

     Call          2/13/17          USD       157.00          114          (86,315

Acceleron Pharma, Inc.

     Call          2/17/17          USD       45.00          121          (3,025

Baxter International, Inc.

     Call          2/17/17          USD       47.50          43          (1,440

Gilead Sciences, Inc.

     Call          2/17/17          USD       77.50          96          (12,144

Humana, Inc.

     Call          2/17/17          USD       205.00          45          (57,375

Medtronic PLC

     Call          2/17/17          USD       75.00          125          (7,438

Pfizer, Inc.

     Call          2/17/17          USD       33.00          80          (4,960

Pfizer, Inc.

     Call          2/17/17          USD       34.00          431          (12,068

Becton Dickinson and Co.

     Call          3/17/17          USD       175.00          3          (720

Total

                         $ (1,655,702
                        

 

 

 

 

OTC Options Written

                             
Description    Put/
Call
       Counterparty        Expiration
Date
      

Strike

Price

       Contracts        Value  

AstraZeneca PLC

     Call          Morgan Stanley & Co. International PLC          1/04/17          GBP       49.26          5,000        $ (1

GlaxoSmithKline PLC

     Call          Morgan Stanley & Co. International PLC          1/05/17          GBP       14.73          22,000          (23,334

Avexis, Inc.

     Call          Goldman Sachs International          1/09/17          USD       47.65          6,200          (13,714

Service Corp. International

     Call          Barclays Bank PLC          1/09/17          USD       26.35          9,000          (19,891

REGENXBIO, Inc.

     Call          Morgan Stanley & Co. International PLC          1/10/17          USD       16.97          12,500          (22,639

Boston Scientific Corp.

     Call          UBS AG          2/06/17          USD       21.31          24,400          (23,523

Cigna Corp.

     Call          Goldman Sachs International          2/09/17          USD       134.75          10,000          (62,800

AstraZeneca PLC

     Call          UBS AG          2/10/17          GBP       43.71          15,000          (39,433

Boston Scientific Corp.

     Call          Citibank N.A.          2/21/17          USD       22.18          27,000          (18,936

Boston Scientific Corp.

     Call          UBS AG          2/21/17          USD       21.31          24,400          (28,467

Boston Scientific Corp.

     Call          Barclays Bank PLC          3/06/17          USD       22.33          24,600          (18,505

Total

                              $ (271,243
                             

 

 

 

 

      Transactions in Options Written for the Year Ended December 31, 2016

 

       Calls            Puts  
  

 

 

      

 

 

 
         Contracts         
Premiums    
Received    
 
 
           Contracts         
Premiums
Received
 
 
            

 

 

 

Outstanding options at beginning of year

     287,378        $ 2,456,919                      

Options written

     1,886,360          17,461,781            286          $ 69,934  

Options exercised

     (14,333        (76,761)           (94        (39,621

Options expired

     (884,014        (6,245,194)           (140        (19,623

Options closed

       (1,085,236        (11,168,570)           (52        (10,690
  

 

 

      

 

 

 

Outstanding options at end of year

     190,155        $ 2,428,175                      
  

 

 

      

 

 

 

As of period end, the value of portfolio securities subject to covered call options written was $84,635,698.

 

 

See Notes to Financial Statements.

 

     ANNUAL REPORT    DECEMBER 31, 2016    65


Schedule of Investments (continued)    BlackRock Health Sciences Trust (BME)

 

      Derivative Financial Instruments Categorized by Risk Exposure

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

 

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

Liabilities — Derivative Financial Instruments

                                                      

Options written

   Options written, at value             —          $ 1,926,945          —            —          $ 1,926,945  

For the year ended December 31, 2016, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

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

Options purchased1

       —       $ (678         $ (678

Options written

       —         1,486,350             1,486,350  
  

 

 

Total

       —       $ 1,485,672           $ 1,485,672  
  

 

 
                                         

Net Change in Unrealized Appreciation (Depreciation) on:

      

Options written

       —       $ 656,007           $ 656,007  
  

 

 

 

  1   

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

 

      Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Options:

        

Average value of option contracts purchased1

   $ 678  

Average value of option contracts written

   $ 2,064,690  

 

  1   

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

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

 

      Derivative Financial Instruments — Offsetting as of Period End

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

 

                   Assets          Liabilities  

Derivative Financial Instruments:

        

Options

               —       $ 1,926,945  
  

 

 

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

               —         (1,655,702
  

 

 

Total derivative assets and liabilities subject to an MNA.

               —       $ 271,243  
  

 

 

 

See Notes to Financial Statements.

 

66    ANNUAL REPORT    DECEMBER 31, 2016     


Schedule of Investments (continued)    BlackRock Health Sciences Trust (BME)

 

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

 

     

Gross Amounts Not Offset in the Consolidated Statements of Assets and  Liabilities

and Subject to an MNA

Counterparty    Derivative Liabilities
Subject to an MNA by
Counterparty
   Derivatives Available
for Offset
   Non-cash
Collateral
Pledged
   Cash
Collateral
Pledged
   Net Amount of      
Derivative Liabilities1      

Barclays Bank PLC

   $  38,396                $  38,396    

Citibank N.A.

   18,936             18,936

Goldman Sachs International

   76,514             76,514

Morgan Stanley & Co. International PLC

   45,974             45,974

UBS AG

   91,423             91,423

Total

   $271,243                $271,243    

 

  1   

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

 

      Fair Value Hierarchy as of Period End

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

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

 

      Level 1     Level 2     Level 3      Total  

Assets:

         

Investments:

         

Long-Term Investments:

         

Common Stocks:

         

Biotechnology

   $ 60,752,191           $ 1,452,303       $ 62,204,494  

Diversified Consumer Services

     1,150,200                    1,150,200  

Health Care Equipment & Supplies

     55,666,447                    55,666,447  

Health Care Providers & Services

     79,157,875                    79,157,875  

Life Sciences Tools & Services

     3,386,400                    3,386,400  

Pharmaceuticals

     53,545,610     $ 7,132,099              60,677,709  

Preferred Stocks

                 503,166        503,166  

Rights

                 68,517        68,517  

Short-Term Securities

     8,611,967                    8,611,967  
  

 

 

 

Subtotal

   $               262,270,690     $               7,132,099     $               2,023,986       $ 271,426,775  
  

 

 

 

Investments Valued at NAV1

            126,902  
         

 

 

 

Total Investments

           $               271,553,677  
         

 

 

 
                                

Derivative Financial Instruments2

         

Liabilities:

         

Equity contracts

    $ (1,390,814    $ (536,131             $ (1,926,945
  

 

 

 

 

  1   

As of December 31, 2016, certain of the Fund’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.

 

  2   

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

During the year ended December 31, 2016, there were no transfers between levels.

 

See Notes to Financial Statements.

 

     ANNUAL REPORT    DECEMBER 31, 2016    67


Schedule of Investments (concluded)      BlackRock Health Sciences Trust (BME)  

 

A reconciliation of Level 3 investments is presented when the Trust had a significant amount of Level 3 investments at the beginning and/or end of the year in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:

 

     

          Common

          Stocks

     Preferred
Stocks
    Rights      Total  

Assets:

          

Opening Balance, as of December 31, 2015

            $ 5,907,930              $ 5,907,930  

Transfers into Level 3

             $ 986,401              $ 25,848        1,012,249  

Transfers out of Level 3

            (3,261,938            (3,261,938

Accrued discounts/premiums

                          

Net realized gain

            1,287,939              1,287,939  

Net change in unrealized appreciation/depreciation1,2

     465,902        (937,224     42,669        (428,653

Purchases

                          

Sales

            (2,493,541            (2,493,541
  

 

 

 

Closing Balance, as of December 31, 2016

             $ 1,452,303        $ 503,166       $ 68,517        $ 2,023,986  
  

 

 

 

Net change in unrealized appreciation/depreciation on investments still held at December 31, 20162

             $ 465,902              $ 42,669        $ 508,571  
  

 

 

 

 

  1   

Included in the related net change in unrealized appreciation (depreciation) in the Statements of Operations.

 

  2   

Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at December 31, 2016 is generally due to investments no longer held or categorized as Level 3 at period end.

 

See Notes to Financial Statements.

 

68    ANNUAL REPORT    DECEMBER 31, 2016     


Schedule of Investments December 31, 2016      BlackRock International Growth and Income Trust (BGY)  
     (Percentages shown are based on Net Assets)  

 

Common Stocks

     Shares        Value  

Australia — 1.3%

     

Commonwealth Bank of Australia

     147,500      $ 8,750,325  

Belgium — 2.1%

     

Anheuser-Busch InBev SA

     133,496        14,129,795  

Canada — 5.3%

     

Canadian Pacific Railway Ltd. (a)

     50,950        7,269,193  

Encana Corp. (a)

     572,300        6,717,646  

Fairfax Financial Holdings Ltd.

     6,892        3,328,836  

Potash Corp. of Saskatchewan, Inc. (a)

     400,032        7,237,014  

Toronto-Dominion Bank

     242,100        11,940,463  
     

 

 

 
                36,493,152  

China — 4.7%

     

Alibaba Group Holding Ltd. — ADR (a)(b)

     101,674        8,927,995  

China Construction Bank Corp., Class H

     14,985,000        11,475,969  

China Unicom Hong Kong Ltd.

     3,694,000        4,275,284  

Tencent Holdings Ltd.

     321,800        7,802,721  
     

 

 

 
                32,481,969  

France — 8.8%

     

AXA SA

     466,000        11,747,341  

BNP Paribas SA

     220,164        14,010,823  

Dassault Aviation SA

     5,513        6,153,168  

Renault SA

     86,900        7,718,207  

Sanofi

     61,500        4,973,225  

Societe Generale SA

     121,270        5,964,905  

Unibail-Rodamco SE — REIT

     43,900        10,461,616  
     

 

 

 
                61,029,285  

Germany — 5.8%

     

Continental AG

     21,254        4,094,740  

Innogy SE (b)(c)

     113,216        3,934,041  

KION Group AG

     72,080        4,002,003  

SAP SE

     96,900        8,382,367  

thyssenkrupp AG

     434,790        10,328,587  

Wacker Chemie AG

     86,678        8,996,288  
     

 

 

 
                39,738,026  

Hong Kong — 1.8%

     

AIA Group Ltd.

     2,193,952        12,290,170  

India — 2.2%

     

Bharti Infratel Ltd.

     1,232,919        6,230,725  

HDFC Bank Ltd.

     454,502        8,842,222  
     

 

 

 
                15,072,947  

Indonesia — 1.0%

     

Matahari Department Store Tbk PT

     6,296,080        7,047,477  

Ireland — 1.9%

     

Green REIT PLC

     4,017,426        5,802,131  

Ryanair Holdings PLC — ADR (b)

     83,936        6,988,511  
     

 

 

 
                12,790,642  

Italy — 5.4%

     

Atlantia SpA

     239,700        5,608,124  

Azimut Holding SpA

     365,500        6,079,521  

Buzzi Unicem SpA

     199,600        4,722,923  

Eni SpA

     543,200        8,805,885  

Snam SpA

     1,326,300        5,454,892  

Telecom Italia SpA (b)

     7,398,400        6,532,364  
     

 

 

 
                37,203,709  

Japan — 8.2%

     

Don Quijote Holdings Co. Ltd.

     125,200        4,620,546  

FANUC Corp.

     27,400        4,583,869  

Mitsubishi Estate Co. Ltd.

     426,000        8,462,350  

Nintendo Co. Ltd.

     34,900        7,254,852  

Common Stocks

     Shares        Value  

Japan (continued)

     

ORIX Corp.

     398,600      $ 6,203,912  

Sumitomo Mitsui Financial Group, Inc.

     446,800        17,015,473  

TOTO Ltd.

     87,100        3,440,326  

Toyota Motor Corp.

     89,800        5,264,832  
     

 

 

 
                56,846,160  

Mexico — 1.0%

     

Fomento Economico Mexicano SAB de CV — ADR (a)

     94,200        7,178,982  

Netherlands — 5.7%

     

Aalberts Industries NV

     203,452        6,591,453  

ASML Holding NV

     74,800        8,382,898  

Koninklijke Philips NV

     256,700        7,847,838  

Royal Dutch Shell PLC, B Shares

     571,919        16,432,422  
     

 

 

 
                39,254,611  

New Zealand — 0.6%

     

Xero Ltd. (b)

     359,605        4,365,814  

Norway — 1.4%

     

Statoil ASA

     530,400        9,680,693  

Peru — 0.6%

     

Credicorp Ltd. (a)

     27,400        4,325,364  

Philippines — 0.4%

     

CEMEX Holdings Philippines, Inc. (b)(c)

     13,601,200        3,036,929  

Portugal — 1.2%

     

Galp Energia SGPS SA

     528,600        7,880,521  

South Africa — 1.2%

     

Naspers Ltd., N Shares

     58,019        8,470,291  

South Korea — 2.7%

     

LG Chem Ltd.

     38,400        8,280,842  

Samsung Electronics Co. Ltd.

     7,000        10,418,192  
     

 

 

 
                18,699,034  

Spain — 1.1%

     

Cellnex Telecom SA (c)

     529,740        7,603,984  

Sweden — 1.1%

     

Hexagon AB, B Shares

     213,966        7,620,600  

Switzerland — 4.4%

     

Nestle SA

     208,700        14,950,764  

Roche Holding AG

     29,423        6,707,048  

UBS Group AG

     543,300        8,494,746  
     

 

 

 
                30,152,558  

Taiwan — 1.3%

     

Taiwan Semiconductor Manufacturing Co. Ltd.

     1,556,000        8,715,554  

Thailand — 0.7%

     

True Corp PCL

     25,614,200        5,099,369  

United Kingdom — 15.8%

     

AstraZeneca PLC

     138,400        7,557,759  

BAE Systems PLC

     753,700        5,482,106  

CNH Industrial NV

     452,200        3,923,753  

Diageo PLC

     250,600        6,503,077  

GlaxoSmithKline PLC

     197,100        3,786,019  

Imperial Brands PLC

     185,300        8,075,522  

Kennedy Wilson Europe Real Estate PLC

     286,739        3,385,837  

Liberty Global PLC, Class A (a)(b)

     317,400        9,709,266  

Lloyds Banking Group PLC

     8,845,300        6,792,149  

Metro Bank PLC (b)

     125,326        4,505,504  

Nomad Foods Ltd. (b)

     284,394        2,721,651  

Reckitt Benckiser Group PLC

     74,800        6,336,195  

Rio Tinto PLC

     235,200        8,979,520  
 

 

See Notes to Financial Statements.

 

     ANNUAL REPORT    DECEMBER 31, 2016    69


Schedule of Investments (continued)      BlackRock International Growth and Income Trust (BGY)  

 

Common Stocks    Shares      Value  

United Kingdom (continued)

     

Sophos Group PLC (c)

     1,546,000      $ 4,993,966  

Unilever PLC

     332,000        13,426,115  

Vodafone Group PLC

     2,263,600        5,570,481  

Worldpay Group PLC (c)

     2,269,500        7,534,993  
     

 

 

 
                109,283,913  

United States — 3.4%

     

Pfizer, Inc. (a)(d)

     240,800        7,821,184  

Samsonite International SA

     1,933,500        5,503,860  

Shire PLC — ADR (a)

     60,900        10,376,142  
     

 

 

 
                23,701,186  

Total Common Stocks — 91.1%

              628,943,060  
     
Investment Companies                

United States — 4.8%

     

WisdomTree Japan Hedged Equity Fund (a)(d)

     675,510        33,464,765  
     

Preferred Stocks

                 

China — 0.4%

     

Xiaoju Kuaizhi, Inc., Series A-17 (Acquired 7/28/15, Cost $2,106,332), 0.00% (b)(e)

     76,800        2,936,064  

Preferred Stocks

     Shares        Value  

India — 1.9%

     

Jasper Infotech Private Ltd., Series F (Acquired 5/7/14, cost $2,825,580), 0.00% (b)(e)

     398      $ 9,701,670  

Jasper Infotech Private Ltd., Series G (Acquired 10/29/14, cost $1,112,870), 0.00% (b)(e)

     132        3,217,640  

Total Preferred Stocks — 2.3%

              15,855,374  

Total Long-Term Investments

(Cost — $651,151,015) — 98.2%

              678,263,199  
     
Short-Term Securities                

BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.36% (f)(g)

     22,641,400        22,641,400  

Total Short-Term Securities

(Cost — $22,641,400) — 3.3%

 

 

     22,641,400  

Total Investments Before Options Written

(Cost — $673,792,415) — 101.5%

 

 

     700,904,599  
     
Options Written                

(Premiums Received — $7,043,095) — (1.3)%

 

     (8,662,185

Total Investments Net of Options Written — 100.2%

 

     692,242,414  

Liabilities in Excess of Other Assets — (0.2)%

 

     (1,614,734
     

 

 

 

Net Assets — 100.0%

      $ 690,627,680  
     

 

 

 
 

 

      Notes to Schedule of Investments

 

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

 

(b) Non-income producing security.

 

(c) Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.

 

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

 

(e) Restricted security as to resale, excluding 144A securities. As of report date, the Trust held restricted securities with a current value of $15,855,374 and an original cost of $6,044,782 which was 2.3% of its net assets.

 

(f) During the year ended December 31, 2016, investments in issuers considered to be affiliates of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliates    Shares Held at
December 31,
2015
    

Net

Activity

    Shares Held at
December 31,
2016
     Value at
December 31,
2016
     Income     Realized
Gain
 

BlackRock Liquidity Funds, TempFund, Institutional Class

     37,105,203        (37,105,203                 $ 161,550        

BlackRock Liquidity Funds, T-Fund, Institutional Class

            22,641,400       22,641,400          $ 22,641,400        27,253       $186  

SL Liquidity Series, LLC, Money Market Series

     2,751,247        (2,751,247                   21,839 1       

Total

               $ 22,641,400      $ 210,642       $186  
          

 

 

 

 

  1   

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

 

(g) Current yield as of period end.

 

See Notes to Financial Statements.

 

70    ANNUAL REPORT    DECEMBER 31, 2016     


Schedule of Investments (continued)      BlackRock International Growth and Income Trust (BGY)  

 

 

      Derivative Financial Instruments Outstanding as of Period End
                 

Exchange-Traded Options Written

                 
Description    Put/
Call
     Expiration
Date
    

Strike

Price

     Contracts      Value  

Alibaba Group Holding Ltd. — ADR

     Call        1/06/17        USD        94.50        56      $ (252

Pfizer, Inc.

     Call        1/06/17        USD        31.50        89        (9,478

WisdomTree Japan Hedged Equity Fund

     Call        1/06/17        USD        49.20        980        (64,415

Alibaba Group Holding Ltd. — ADR

     Call        1/11/17        USD        97.50        68        (177

Alibaba Group Holding Ltd. — ADR

     Call        1/13/17        USD        94.50        53        (1,113

Shire PLC — ADR

     Call        1/13/17        USD        180.00        80        (7,400

WisdomTree Japan Hedged Equity Fund

     Call        1/13/17        USD        52.00        250        (1,875

Alibaba Group Holding Ltd. — ADR

     Call        1/20/17        USD        97.50        57        (798

Canadian Pacific Railway Ltd.

     Call        1/20/17        CAD        200.00        158        (14,592

Credicorp Ltd.

     Call        1/20/17        USD        160.00        136        (30,260

Encana Corp.

     Call        1/20/17        CAD        17.00        960        (8,938

Fomento Economico Mexicano SAB de CV — ADR

     Call        1/20/17        USD        80.00        142        (11,005

Fomento Economico Mexicano SAB de CV — ADR

     Call        1/20/17        USD        85.00        142        (7,100

Liberty Global PLC, Class A

     Call        1/20/17        USD        35.00        800        (8,000

Potash Corp. of Saskatchewan, Inc.

     Call        1/20/17        CAD        24.00        860        (50,922

Shire PLC — ADR

     Call        1/20/17        USD        200.00        70        (1,755

WisdomTree Japan Hedged Equity Fund

     Call        1/20/17        USD        46.00        39        (15,892

WisdomTree Japan Hedged Equity Fund

     Call        1/20/17        USD        47.00        7        (1,970

WisdomTree Japan Hedged Equity Fund

     Call        1/20/17        USD        48.00        2        (381

Alibaba Group Holding Ltd. — ADR

     Call        1/27/17        USD        94.50        83        (8,715

Pfizer, Inc.

     Call        1/27/17        USD        32.00        382        (36,481

Shire PLC — ADR

     Call        1/27/17        USD        172.50        75        (33,000

WisdomTree Japan Hedged Equity Fund

     Call        1/27/17        USD        52.50        411        (5,754

Alibaba Group Holding Ltd. — ADR

     Call        2/03/17        USD        92.00        146        (29,054

Pfizer, Inc.

     Call        2/03/17        USD        33.00        811        (41,766

Shire PLC — ADR

     Call        2/03/17        USD        172.50        75        (38,625

Alibaba Group Holding Ltd. — ADR

     Call        2/17/17        USD        105.00        92        (2,668

Pfizer, Inc.

     Call        2/17/17        USD        34.00        42        (1,176

Potash Corp. of Saskatchewan, Inc.

     Call        2/17/17        CAD        25.00        700        (53,439

Total

                  $ (487,001
                              

OTC Options Written

Description      Put/
Call
       Counterparty      Expiration
Date
    

Strike

Price

     Contracts        Value

AstraZeneca PLC

       Call        Morgan Stanley & Co. International PLC      1/04/17      GBP      49.26        45,000        $         (11)

Cellnex Telecom SA

       Call        Bank of America N.A.      1/04/17      EUR      15.64        50,000        (1)

Dassault Aviation SA

       Call        Credit Suisse International      1/04/17      EUR      1,068.90        600        (3,841)

Samsonite International SA

       Call        BNP Paribas S.A.      1/04/17      HKD      26.17        324,000       

Statoil ASA

       Call        Credit Suisse International      1/04/17      NOK      141.58        230,000        (429,936)

BAE Systems PLC

       Call        Credit Suisse International      1/05/17      GBP      6.24        200,000        (158)

Buzzi Unicem SpA

       Call        Goldman Sachs International      1/05/17      EUR      19.92        46,500        (125,939)

GlaxoSmithKline PLC

       Call        Credit Suisse International      1/05/17      GBP      15.47        75,000        (20,506)

Koninklijke Philips NV

       Call        UBS AG      1/05/17      EUR      27.72        66,000        (95,621)

Snam SpA

       Call        Credit Suisse International      1/05/17      EUR      3.79        296,000        (38,669)

Sophos Group PLC

       Call        Credit Suisse International      1/06/17      GBP      2.44        75,000        (16,853)

Ryanair Holdings PLC — ADR

       Call        Barclays Bank PLC      1/09/17      USD      84.00        20,000        (19,220)

Hexagon AB, B Shares

       Call        Morgan Stanley & Co. International PLC      1/10/17      SEK      323.23        55,000        (39,131)

Naspers Ltd., N Shares

       Call        Morgan Stanley & Co. International PLC      1/10/17      ZAR      2,192.90        5,700        (1,452)

Toronto-Dominion Bank

       Call        Citibank N.A.      1/10/17      CAD      64.00        43,000        (71,130)

Worldpay Group PLC

       Call        UBS AG      1/10/17      GBP      2.86        172,000        (1,022)

Aalberts Industries NV

       Call        Morgan Stanley & Co. International PLC      1/11/17      EUR      28.92        25,000        (50,341)

AXA SA

       Call        Credit Suisse International      1/11/17      EUR      23.11        74,000        (79,857)

Cellnex Telecom SA

       Call        Credit Suisse International      1/11/17      EUR      14.75        44,000        (493)

China Construction Bank Corp., Class H

       Call        Citibank N.A.      1/11/17      HKD      5.63        4,000,000        (169,774)

Dassault Aviation SA

       Call        Credit Suisse International      1/11/17      EUR      1,064.33        700        (9,243)

Eni SpA

       Call        Bank of America N.A.      1/11/17      EUR      13.85        75,000        (122,485)

Koninklijke Philips NV

       Call        Bank of America N.A.      1/11/17      EUR      27.78        128,000        (190,909)

LG Chem Ltd.    

       Call        Deutsche Bank AG      1/11/17      KRW      240,307.06        9,200        (161,464)

 

See Notes to Financial Statements.

 

     ANNUAL REPORT    DECEMBER 31, 2016    71


Schedule of Investments (continued)      BlackRock International Growth and Income Trust (BGY)  

 

Description      Put/
Call
       Counterparty      Expiration
Date
    

Strike

Price

     Contracts        Value  

Metro Bank PLC

       Call        Morgan Stanley & Co. International PLC      1/11/17      GBP      31.41        8,700        $ (418

ORIX Corp.

       Call        Bank of America N.A.      1/11/17      JPY      1,796.83        79,000          (38,426

Royal Dutch Shell PLC, B Shares

       Call        Credit Suisse International      1/11/17      GBP      20.89        180,000          (539,918

Samsung Electronics Co. Ltd.

       Call        BNP Paribas S.A.      1/11/17      KRW      1,801,470.00        2,300          (74,493

Sanofi

       Call        Credit Suisse International      1/11/17      EUR      76.45        15,800          (23,647

SAP SE

       Call        Credit Suisse International      1/11/17      EUR      76.55        23,000          (138,668

Societe Generale SA

       Call        Credit Suisse International      1/11/17      EUR      40.68        30,000          (191,905

Societe Generale SA

       Call        Morgan Stanley & Co. International PLC      1/11/17      EUR      41.20        42,000          (246,227

Sophos Group PLC

       Call        Credit Suisse International      1/11/17      GBP      2.55        150,000          (16,617

Telecom Italia SpA

       Call        Morgan Stanley & Co. International PLC      1/11/17      EUR      0.73        950,000          (111,858

Worldpay Group PLC

       Call        Credit Suisse International      1/11/17      GBP      2.74        100,000          (2,326

Encana Corp.

       Call        Credit Suisse International      1/12/17      CAD      15.00        96,000          (64,986

Xero Ltd.

       Call        Deutsche Bank AG      1/12/17      NZD      19.65        6,000          (9

Tencent Holdings Ltd.

       Call        Goldman Sachs International      1/13/17      HKD      204.69        76,000          (1,970

Toyota Motor Corp.

       Call        JPMorgan Chase Bank N.A.      1/13/17      JPY      6,071.04        22,000          (147,348

Vodafone Group PLC

       Call        UBS AG      1/13/17      GBP      2.16        610,000          (1,862

Canadian Pacific Railway Ltd.

       Call        Goldman Sachs International      1/17/17      CAD      198.08        10,000          (7,189

Metro Bank PLC

       Call        Morgan Stanley & Co. International PLC      1/17/17      GBP      31.41        8,700          (852

AIA Group Ltd.

       Call        Citibank N.A.      1/18/17      HKD      48.10        540,000          (1,412

ASML Holding NV

       Call        Morgan Stanley & Co. International PLC      1/18/17      EUR      100.37        4,100          (29,992

AXA SA

       Call        Credit Suisse International      1/18/17      EUR      24.13        70,000          (37,558

Azimut Holding SpA

       Call        Bank of America N.A.      1/18/17      EUR      14.27        48,000          (81,177

BAE Systems PLC

       Call        Credit Suisse International      1/18/17      GBP      5.97        154,700          (15,313

Cellnex Telecom SA

       Call        Morgan Stanley & Co. International PLC      1/18/17      EUR      15.59        29,600          (85

CNH Industrial NV

       Call        Bank of America N.A.      1/18/17      EUR      8.47        73,000          (8,454

Continental AG

       Call        UBS AG      1/18/17      EUR      185.79        5,900          (19,313

Diageo PLC

       Call        Credit Suisse International      1/18/17      GBP      20.98        87,000          (35,924

Don Quijote Holdings Co. Ltd.

       Call        Bank of America N.A.      1/18/17      JPY      4,238.10        30,700          (38,907

Eni SpA

       Call        Bank of America N.A.      1/18/17      EUR      14.31        150,000          (178,958

Lloyds Banking Group PLC

       Call        Credit Suisse International      1/18/17      GBP      0.59        1,150,000          (53,450

Rio Tinto PLC

       Call        Morgan Stanley & Co. International PLC      1/18/17      GBP      33.36        64,000          (11,031

Sanofi

       Call        Credit Suisse International      1/18/17      EUR      78.96        13,600          (9,499

Taiwan Semiconductor Manufacturing Co. Ltd.

       Call        JPMorgan Chase Bank N.A.      1/18/17      TWD      190.64        331,000          (2,529

thyssenkrupp AG

       Call        Morgan Stanley & Co. International PLC      1/18/17      EUR      21.97        105,000          (101,546

Toronto-Dominion Bank

       Call        Morgan Stanley & Co. International PLC      1/18/17      CAD      64.27        39,600          (57,631

Wacker Chemie AG

       Call        Morgan Stanley & Co. International PLC      1/18/17      EUR      94.08        15,000          (84,708

Xero Ltd.

       Call        Morgan Stanley & Co. International PLC      1/18/17      NZD      17.78        14,000          (2,953

Galp Energia SGPS SA

       Call        Morgan Stanley & Co. International PLC      1/19/17      EUR      13.12        70,000          (79,814

Kennedy Wilson Europe Real Estate PLC

       Call        UBS AG      1/19/17      GBP      9.58        45,000          (8,908

Sophos Group PLC

       Call        Morgan Stanley & Co. International PLC      1/19/17      GBP      2.36        75,000          (24,056

Unibail-Rodamco SE — REIT

       Call        UBS AG      1/19/17      EUR      215.24        9,400          (120,678

Worldpay Group PLC

       Call        Morgan Stanley & Co. International PLC      1/19/17      GBP      2.93        186,000          (1,333

Sumitomo Mitsui Financial Group, Inc.

       Call        JPMorgan Chase Bank N.A.      1/23/17      JPY      4,749.12        169,000          (65,030

AXA SA

       Call        Credit Suisse International      1/24/17      EUR      24.25        70,000          (38,810

BNP Paribas SA

       Call        Bank of America N.A.      1/24/17      EUR      55.48        12,000          (69,756

China Unicom Hong Kong Ltd.

       Call        Citibank N.A.      1/24/17      HKD      9.36        1,000,000          (24,497

Sophos Group PLC

       Call        Morgan Stanley & Co. International PLC      1/24/17      GBP      2.39        90,000          (26,384

Xero Ltd.

       Call        Morgan Stanley & Co. International PLC      1/24/17      NZD      17.86        14,000          (3,233

Commonwealth Bank of Australia

       Call        Bank of America N.A.      1/25/17      AUD      80.09        41,000          (82,690

Galp Energia SGPS SA

       Call        Morgan Stanley & Co. International PLC      1/25/17      EUR      14.24        76,000          (29,238

Metro Bank PLC

       Call        Morgan Stanley & Co. International PLC      1/25/17      GBP      31.41        8,700          (1,636

TOTO Ltd.

       Call        Bank of America N.A.      1/25/17      JPY      4,581.75        13,800          (17,810

Unilever PLC

       Call        Credit Suisse International      1/25/17      GBP      31.56        59,000          (112,802

Aalberts Industries NV

       Call        UBS AG      1/26/17      EUR      30.94        22,000          (11,682

Anheuser-Busch InBev SA

       Call        UBS AG      1/26/17      EUR      100.44        22,000          (49,697

Atlantia SpA

       Call        Morgan Stanley & Co. International PLC      1/26/17      EUR      22.00        56,000          (35,142

AXA SA

       Call        Credit Suisse International      1/26/17      EUR      24.37        19,000          (10,137

BNP Paribas SA

       Call        Credit Suisse International      1/26/17      EUR      60.32        67,000          (143,134

Eni SpA

       Call        Credit Suisse International      1/26/17      EUR      15.19        73,700          (37,645

Imperial Brands PLC

       Call        Credit Suisse International      1/26/17      GBP      35.50        56,000          (51,225

KION Group AG

       Call        Morgan Stanley & Co. International PLC      1/26/17      EUR      53.81        16,000          (19,600

 

See Notes to Financial Statements.

 

72    ANNUAL REPORT    DECEMBER 31, 2016     


Schedule of Investments (continued)      BlackRock International Growth and Income Trust (BGY)  

 

Description      Put/
Call
       Counterparty      Expiration
Date
    

Strike

Price

     Contracts        Value  

Naspers Ltd., N Shares

       Call        UBS AG      1/26/17      ZAR      2,090.40        7,000        $ (20,876

Nestle SA

       Call        UBS AG      1/26/17      CHF      72.90        114,700          (134,902

Nintendo Co. Ltd.

       Call        Bank of America N.A.      1/26/17      JPY      25,756.50        16,900          (69,018

Reckitt Benckiser Group PLC

       Call        Credit Suisse International      1/26/17      GBP      67.33        30,100          (75,605

Renault SA

       Call        Bank of America N.A.      1/26/17      EUR      84.46        40,000          (114,978

Telecom Italia SpA

       Call        UBS AG      1/26/17      EUR      0.81        1,600,000          (90,203

UBS Group AG

       Call        Bank of America N.A.      1/26/17      CHF      16.95        165,900          (26,000

Vodafone Group PLC

       Call        UBS AG      1/26/17      GBP      2.01        580,600          (30,218

AstraZeneca PLC

       Call        Morgan Stanley & Co. International PLC      1/27/17      GBP      44.64        37,000          (52,147

Dassault Aviation SA

       Call        Morgan Stanley & Co. International PLC      1/27/17      EUR      1,063.50        400          (8,503

Encana Corp.

       Call        Morgan Stanley & Co. International PLC      1/27/17      CAD      15.71        19,900          (9,851

Hexagon AB, B Shares

       Call        Morgan Stanley & Co. International PLC      1/27/17      SEK      323.23        55,000          (58,764

Mitsubishi Estate Co. Ltd.

       Call        Bank of America N.A.      1/27/17      JPY      2,394.75        117,000          (35,082

Toronto-Dominion Bank

       Call        Citibank N.A.      1/30/17      CAD      64.00        43,000          (71,130

Commonwealth Bank of Australia

       Call        Bank of America N.A.      1/31/17      AUD      83.21        35,000          (25,675

KION Group AG

       Call        Morgan Stanley & Co. International PLC      1/31/17      EUR      54.08        16,000          (19,683

Rio Tinto PLC

       Call        Bank of America N.A.      1/31/17      GBP      31.66        56,000          (55,034

Sophos Group PLC

       Call        Morgan Stanley & Co. International PLC      1/31/17      GBP      2.39        90,000          (26,771

Worldpay Group PLC

       Call        UBS AG      1/31/17      GBP      2.62        170,000          (22,901

ASML Holding NV

       Call        UBS AG      2/01/17      EUR      106.76        32,500          (109,188

Atlantia SpA

       Call        Credit Suisse International      2/01/17      EUR      22.72        48,500          (17,331

Don Quijote Holdings Co. Ltd.

       Call        JPMorgan Chase Bank N.A.      2/01/17      JPY      4,501.10        29,000          (16,927

FANUC Corp.

       Call        JPMorgan Chase Bank N.A.      2/01/17      JPY      20,955.90        6,900          (18,124

LG Chem Ltd.

       Call        UBS AG      2/01/17      KRW      271,179.17        9,600          (43,753

Telecom Italia SpA

       Call        UBS AG      2/01/17      EUR      0.87        1,519,100          (47,780

TOTO Ltd.

       Call        Morgan Stanley & Co. International PLC      2/01/17      JPY      4,851.60        26,500          (14,798

Wacker Chemie AG

       Call        UBS AG      2/01/17      EUR      99.39        15,000          (45,412

BNP Paribas SA

       Call        Morgan Stanley & Co. International PLC      2/02/17      EUR      62.43        41,300          (64,307

Cellnex Telecom SA

       Call        Credit Suisse International      2/02/17      EUR      13.72        50,000          (18,122

Metro Bank PLC

       Call        UBS AG      2/02/17      GBP      33.58        12,000          (519

Statoil ASA

       Call        Goldman Sachs International      2/03/17      NOK      164.01        25,000          (7,653

Taiwan Semiconductor Manufacturing Co. Ltd.

       Call        Bank of America N.A.      2/03/17      TWD      189.21        385,000          (11,588

Potash Corp. of Saskatchewan, Inc.

       Call        Morgan Stanley & Co. International PLC      2/06/17      CAD      23.87        35,000          (23,016

Aalberts Industries NV

       Call        UBS AG      2/07/17      EUR      30.31        25,000          (27,130

AIA Group Ltd.

       Call        Bank of America N.A.      2/07/17      HKD      45.04        354,000          (28,153

Imperial Brands PLC

       Call        Credit Suisse International      2/07/17      GBP      36.14        20,000          (18,674

Lloyds Banking Group PLC

       Call        Credit Suisse International      2/07/17      GBP      0.59        1,150,000          (59,602

Lloyds Banking Group PLC

       Call        Credit Suisse International      2/07/17      GBP      0.66        1,200,000          (11,547

Metro Bank PLC

       Call        UBS AG      2/07/17      GBP      33.58        12,000          (768

Snam SpA

       Call        Bank of America N.A.      2/07/17      EUR      3.85        328,000          (46,673

Toyota Motor Corp.

       Call        Goldman Sachs International      2/07/17      JPY      7,131.97        25,000          (24,373

Worldpay Group PLC

       Call        Bank of America N.A.      2/07/17      GBP      2.72        395,500          (29,608

Buzzi Unicem SpA

       Call        Credit Suisse International      2/08/17      EUR      23.60        54,200          (23,498

Cellnex Telecom SA

       Call        Credit Suisse International      2/08/17      EUR      13.73        21,300          (8,184

China Unicom Hong Kong Ltd.

       Call        JPMorgan Chase Bank N.A.      2/08/17      HKD      9.48        914,000          (26,512

Dassault Aviation SA

       Call        Morgan Stanley & Co. International PLC      2/08/17      EUR      1,069.14        900          (20,383

Diageo PLC

       Call        UBS AG      2/08/17      GBP      21.08        40,000          (23,159

ORIX Corp.

       Call        Bank of America N.A.      2/08/17      JPY      1,918.38        113,900          (38,307

Samsonite International SA

       Call        Citibank N.A.      2/08/17      HKD      22.76        366,000          (17,490

Unilever PLC

       Call        Bank of America N.A.      2/08/17      GBP      32.28        52,000          (64,019

Naspers Ltd., N Shares

       Call        UBS AG      2/09/17      ZAR      2,089.53        8,700          (39,980

Ryanair Holdings PLC — ADR

       Call        Goldman Sachs International      2/09/17      USD      82.40        21,000          (79,830

Samsung Electronics Co. Ltd.

       Call        Goldman Sachs International      2/09/17      KRW      1,801,320.00        1,100          (66,798

Sumitomo Mitsui Financial Group, Inc.

       Call        JPMorgan Chase Bank N.A.      2/09/17      JPY      4,820.40        54,400          (29,413

Tencent Holdings Ltd.

       Call        Bank of America N.A.      2/09/17      HKD      189.47        81,000          (55,296

UBS Group AG

       Call        Credit Suisse International      2/09/17      CHF      17.13        125,000          (25,833

Unibail-Rodamco SE — REIT

       Call        Morgan Stanley & Co. International PLC      2/09/17      EUR      224.22        12,200          (100,745

Wacker Chemie AG

       Call        UBS AG      2/09/17      EUR      91.47        17,600          (157,235

Xero Ltd.

       Call        Deutsche Bank AG      2/09/17      NZD      18.03        12,000          (3,358

Royal Dutch Shell PLC, B Shares

       Call        Morgan Stanley & Co. International PLC      2/10/17      GBP      24.23        56,000          (22,382

SAP SE

       Call        Morgan Stanley & Co. International PLC      2/10/17      EUR      80.49        24,400          (80,817

 

See Notes to Financial Statements.

 

     ANNUAL REPORT    DECEMBER 31, 2016    73


Schedule of Investments (continued)      BlackRock International Growth and Income Trust (BGY)  

 

Description      Put/
Call
       Counterparty        Expiration
Date
    

Strike

Price

     Contracts        Value  

Sophos Group PLC

       Call          Credit Suisse International        2/10/17        GBP        2.64        75,000        $ (8,089

Anheuser-Busch InBev SA

       Call          Morgan Stanley & Co. International PLC        2/14/17        EUR        99.37        46,300          (172,794

Atlantia SpA

       Call          UBS AG        2/14/17        EUR        22.30        11,000          (6,857

thyssenkrupp AG

       Call          UBS AG        2/14/17        EUR        24.10        90,000          (38,462

Aalberts Industries NV

       Call          UBS AG        2/15/17        EUR        30.87        27,600          (23,612

Azimut Holding SpA

       Call          Goldman Sachs International        2/15/17        EUR        16.80        37,000          (16,242

Continental AG

       Call          UBS AG        2/15/17        EUR        188.23        5,000          (22,866

Encana Corp.

       Call          Morgan Stanley & Co. International PLC        2/15/17        CAD        16.89        66,500          (23,802

Galp Energia SGPS SA

       Call          Morgan Stanley & Co. International PLC        2/15/17        EUR        14.39        144,700          (67,745

Metro Bank PLC

       Call          Morgan Stanley & Co. International PLC        2/15/17        GBP        31.49        8,400          (3,229

Worldpay Group PLC

       Call          UBS AG        2/15/17        GBP        2.67        186,000          (21,370

Sophos Group PLC

       Call          Credit Suisse International        2/16/17        GBP        2.61        60,000          (7,658

FANUC Corp.

       Call          JPMorgan Chase Bank N.A.        2/22/17        JPY        20,955.90        6,900          (17,438

Lloyds Banking Group PLC

       Call          Credit Suisse International        2/22/17        GBP        0.66        1,200,000          (16,260

Mitsubishi Estate Co. Ltd.

       Call          JPMorgan Chase Bank N.A.        2/22/17        JPY        2,441.88        100,000          (43,952

Unilever PLC

       Call          Goldman Sachs International        2/23/17        GBP        33.39        44,900          (32,386

Sophos Group PLC

       Call          Credit Suisse International        2/24/17        GBP        2.67        76,000          (7,573

Sophos Group PLC

       Call          Morgan Stanley & Co. International PLC        3/02/17        GBP        2.63        115,500          (14,651

LG Chem Ltd.

       Call          JPMorgan Chase Bank N.A.        3/03/17        KRW        264,685.44        2,300          (22,420

Total

                               $ (8,175,184
                              

 

 

 

 

     Transactions in Options Written for the Year Ended December 31, 2016

 

      Calls             Puts  
      Contracts     Premiums
Received
           Contracts      Premiums
Received
 

BGY

            

Outstanding options at beginning of year

     37,604,404     $ 8,979,694                  

Options written

     225,577,889       61,029,672                  

Options exercised

     (13,658     (270,705                

Options expired

     (120,829,172     (32,307,015                

Options closed

     (115,448,497     (30,388,551                

Outstanding options at end of year

     26,890,966     $ 7,043,095                  

As of period end, the value of portfolio securities subject to covered call options written was $282,294,414.

 

     Derivative Financial Instruments Categorized by Risk Exposure

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

 

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

 

Liabilities — Derivative Financial Instruments

                                            

Options written

   Options written, at value         —        $ 8,662,185        —          —        $ 8,662,185  

 

See Notes to Financial Statements.

 

74    ANNUAL REPORT    DECEMBER 31, 2016     


Schedule of Investments (continued)      BlackRock International Growth and Income Trust (BGY)  

 

For the year ended December 31, 2016, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

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

Forward foreign currency exchange contracts

       —              $14,390       $ 14,390  

Futures

       —       $ 6,658,849               —       $ 6,658,849  

Options purchased1

       —         (76,865             —         (76,865

Options written

       —         (417,318             —         (417,318
  

 

 

Total

       —       $ 6,164,666      $14,390       $ 6,179,056  
  

 

 
                 

Net Change in Unrealized Appreciation (Depreciation) on:

                                     

Options Written

       —       $ (4,135,248             —       $ (4,135,248
  

 

 

 

  1   

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

 

      Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Financial futures contracts:

        

Average notional value of contracts — long

   $ 15,274,986  

Forward foreign currency exchange contracts:

  

Average amounts sold — in USD1

   $ 2,434,643  

Options:

  

Average value of option contracts written

   $ 9,315,761  

 

  1   

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

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

 

      Derivative Financial Instruments - Offsetting as of Period End

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

 

                   Assets                          Liabilities  

Derivative Financial Instruments:

        

Options

     —             $ 8,662,185  
  

 

 

 

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

     —               (487,001
  

 

 

 

Total derivative assets and liabilities subject to an MNA

     —             $ 8,175,184  
  

 

 

 

 

See Notes to Financial Statements.

 

     ANNUAL REPORT    DECEMBER 31, 2016    75


Schedule of Investments (continued)      BlackRock International Growth and Income Trust (BGY)  

 

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

 

    

Gross Amounts Not Offset in the Consolidated Statements of Assets and Liabilities

and Subject to an MNA

Counterparty   Derivative Liabilities
Subject to an MNA by
Counterparty
   Derivatives Available
for Offset
   Non-cash
Collateral
Pledged1
  Cash
Collateral
Pledged1
          Net Amount of        
        Derivative Liabilities2         

Bank of America N.A.

    $ 1,429,004             $ (1,429,004 )            

Barclays Bank PLC

      19,220                         $ 19,220

BNP Paribas S.A.

      74,493                           74,493

Citibank N.A.

      355,433                   $ (100,000 )       255,433

Credit Suisse International

      2,421,096               (2,371,096 )       (50,000 )      

Deutsche Bank AG

      164,831               (137,831 )       (27,000 )      

Goldman Sachs International

      362,380               (362,380 )            

JPMorgan Chase Bank N.A.

      389,693                     (389,693 )      

Morgan Stanley & Co. International PLC

      1,743,060               (1,743,060 )            

UBS AG

      1,215,974                     (1,215,974 )      

Total

    $ 8,175,184               (6,043,371 )       (1,782,667 )     $ 349,146

 

  1   

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

 

  2   

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

 

      Fair Value Hierarchy as of Period End

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

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

 

      Level 1      Level 2                       Level 3                  Total  

Assets:

           

Investments:

           

Long-Term Investments:

           

Common Stocks:

           

Australia

          $ 8,750,325        —          $ 8,750,325  

Belgium

   $                     14,129,795               —            14,129,795  

Canada

     36,493,152               —            36,493,152  

China

     8,927,995        23,553,974        —            32,481,969  

France

            61,029,285        —            61,029,285  

Germany

     3,934,041        35,803,985        —            39,738,026  

Hong Kong

            12,290,170        —            12,290,170  

India

            15,072,947        —            15,072,947  

Indonesia

            7,047,477        —            7,047,477  

Ireland

     12,790,642               —            12,790,642  

Italy

            37,203,709        —            37,203,709  

Japan

            56,846,160        —            56,846,160  

Mexico

     7,178,982               —            7,178,982  

Netherlands

                            39,254,611        —            39,254,611  

New Zealand

            4,365,814        —            4,365,814  

Norway

            9,680,693        —            9,680,693  

Peru

     4,325,364               —            4,325,364  

Philippines

     3,036,929               —            3,036,929  

Portugal

            7,880,521        —            7,880,521  

South Africa

            8,470,291        —            8,470,291  

South Korea

            18,699,034        —            18,699,034  

Spain

            7,603,984        —            7,603,984  

Sweden

            7,620,600        —            7,620,600  

Switzerland

            30,152,558        —            30,152,558  

Taiwan

            8,715,554        —            8,715,554  

Thailand

     5,099,369               —            5,099,369  

United Kingdom

     12,430,917        96,852,996        —                              109,283,913  

 

See Notes to Financial Statements.

 

76    ANNUAL REPORT    DECEMBER 31, 2016     


Schedule of Investments (continued)      BlackRock International Growth and Income Trust (BGY)  

 

 

      Level 1   Level 2   Level 3    Total

Assets: (concluded)

                 

Investments: (concluded)

                 

Long-Term Investments: (concluded)

                 

Common Stocks: (concluded)

                 

United States

     $ 18,197,326     $ 5,503,860            $ 23,701,186

Investment Companies

       33,464,765                    33,464,765

Preferred Stocks

                 $ 15,855,374        15,855,374

Short-Term Securities

       22,641,400                    22,641,400
    

 

 

 

Total Investments

     $                     182,650,677     $                     502,398,548     $ 15,855,374      $                     700,904,599
    

 

 

 
                 

Derivative Financial Instruments1

                                         

Liabilities:

                 

Equity contracts

     $ (422,409 )     $ (8,239,776 )            $ (8,662,185 )
    

 

 

 

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

     

                 
      Transfers into
Level 11
  Transfers out of
Level 12
 

Transfers into

Level 22

   Transfers out of
Level 21

Assets:

                 

Long-Term Investments:

                 

Common Stocks

     $ 6,627,779     $ (48,171,170 )     $                       48,171,170      $ (6,627,779 )
    

 

 

 

 

  1   

Systematic Fair Value Prices were not utilized at period end for these investments.

 

  2   

External pricing service used to reflect any significant market movements between the time the Trust valued such foreign securities and the earlier closing of foreign markets.

A reconciliation of Level 3 investments is presented when the Trust had a significant amount of Level 3 investments at the beginning and/or end of the year in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:

 

              Common
Stocks
     Preferred
Stocks
     Total  

Assets:

           

Opening Balance, as of December 31, 2015

      $ 4,465,011      $ 15,504,609      $ 19,969,620  

Transfers into Level 3

                       

Transfers out of Level 3

        (4,465,011             (4,465,011

Accrued discounts/premiums

                       

Net realized gain (loss)

                       

Net change in unrealized appreciation/depreciation1,2

               350,765        350,765  

Purchases

                       

Sales

                       
  

 

 

 

Closing Balance, as of December 31, 2016

             $ 15,855,374      $ 15,855,374  
  

 

 

 

Net change in unrealized appreciation/depreciation on investments still held at December 31, 20162

             $ 350,765      $ 350,765  
  

 

 

 

 

  1   

Included in the related net change in unrealized appreciation (depreciation) in the Statements of Operations.

 

  2   

Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at December 31, 2016 is generally due to investments no longer held or categorized as Level 3 at period end.

 

See Notes to Financial Statements.

 

     ANNUAL REPORT    DECEMBER 31, 2016    77


Schedule of Investments (concluded)      BlackRock International Growth and Income Trust (BGY)  

 

The following table summarizes the valuation approaches used and unobservable inputs utilized by the BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) to determine the value of certain of the Trust’s Level 3 investments as of period end.

 

      Value      Valuation Approach   

Unobservable

Inputs

    Range of
Unobservable Inputs
Utilized
 

Assets:

          

Preferred Stocks

      $ 15,855,374      Market      Discount Rate2       25.00%  
           Revenue Growth Rate1       27.00%  
           Revenue Growth Rate1       348.00%  
           Revenue Multiple1       34.00x-46.00x  
           Revenue Multiple1       4.50x  
           Exit Scenario Probability1       20.00% - 50.00%  
           Time to Exit2       1-3 years  
  

 

 

 

Total

      $ 15,855,374          
  

 

 

 

 

  1   

Increase in unobservable input may result in a significant increase to value, while a decrease in the unobservable input may result in a significant decrease to value.

 

  2   

Decrease in unobservable input may result in a significant increase to value, while an increase in the unobservable input may result in a significant decrease to value.

 

See Notes to Financial Statements.

 

78    ANNUAL REPORT    DECEMBER 31, 2016     


Consolidated Schedule of Investments December 31, 2016      BlackRock Resources & Commodities Strategy Trust (BCX)  
     (Percentages shown are based on Net Assets)  

 

Common Stocks    Shares      Value  

Chemicals — 18.3%

     

Agrium, Inc. (a)

     186,959      $ 18,792,676  

CF Industries Holdings, Inc. (a)

     871,270        27,427,580  

Monsanto Co. (b)

     428,247        45,055,867  

Potash Corp. of Saskatchewan, Inc. (a)

     1,570,907        28,417,708  

Syngenta AG

     123,221        48,684,978  

Yara International ASA

     266,000        10,464,191  
     

 

 

 
                178,843,000  

Containers & Packaging — 5.6%

     

International Paper Co. (a)

     558,175        29,616,766  

Packaging Corp. of America (a)

     294,719        24,998,066  
     

 

 

 
                54,614,832  

Energy Equipment & Services — 2.7%

     

Baker Hughes, Inc. (a)

     202,777        13,174,422  

Schlumberger Ltd. (a)

     163,552        13,730,190  
     

 

 

 
                26,904,612  

Food & Staples Retailing — 2.1%

     

Fyffes PLC

     8,479,549        20,172,825  

Food Products — 5.5%

     

AGT Food & Ingredients, Inc.

     433,633        11,833,548  

BRF SA — ADR (a)

     346,157        5,109,277  

Elders Ltd. (c)

     1,246,695        3,571,728  

First Resources Ltd.

     8,361,900        10,953,543  

Glanbia PLC

     234,673        3,898,124  

Golden Agri-Resources Ltd.

     31,419,900        9,302,690  

Kerry Group PLC

     127,448        9,109,370  
     

 

 

 
                53,778,280  

Independent Power and Renewable Electricity Producers — 0.0%

 

  

Greenko Group PLC (c)

     59,000        1  

Machinery — 1.0%

     

Deere & Co. (a)

     93,587        9,643,204  

Metals & Mining — 29.6%

     

ArcelorMittal (c)

     1,874,279        13,771,338  

Barrick Gold Corp. (a)

     1,698,044        27,134,743  

Boliden AB

     478,793        12,436,648  

Detour Gold Corp. (a)(c)

     1,235,496        16,830,315  

Eldorado Gold Corp. (c)

     3,372,003        10,849,479  

First Quantum Minerals Ltd.

     1,566,807        15,578,798  

Glencore PLC (c)

     10,997,246        37,158,648  

Lundin Mining Corp. (c)

     2,363,318        11,265,211  

MMC Norilsk Nickel PJSC — ADR

     1,394,368        23,207,440  

Nevsun Resources Ltd.

     3,087,129        9,542,014  

Newcrest Mining Ltd.

     1,350,000        19,357,773  

Rio Tinto PLC — ADR (a)

     990,526        38,095,630  

Silver Wheaton Corp.

     1,257,718        24,299,112  

Vale SA — ADR (a)

     3,861,399        29,423,860  
     

 

 

 
                288,951,009  
Common Stocks    Shares      Value  

Oil, Gas & Consumable Fuels — 33.9%

     

Anadarko Petroleum Corp. (a)

     248,125      $ 17,301,756  

BP PLC — ADR (a)

     1,432,852        53,560,006  

Cairn Energy PLC (c)

     2,826,530        8,212,484  

Chevron Corp. (a)(b)

     136,002        16,007,435  

Cimarex Energy Co. (a)

     95,217        12,939,990  

ConocoPhillips (a)(b)

     495,694        24,854,097  

Devon Energy Corp. (a)

     335,300        15,313,151  

Enbridge, Inc. (a)

     479,410        20,174,033  

Eni SpA — ADR (a)

     392,070        12,640,337  

EOG Resources, Inc. (a)

     191,918        19,402,910  

Exxon Mobil Corp. (a)(b)

     208,754        18,842,136  

Hess Corp. (a)

     228,622        14,240,864  

Occidental Petroleum Corp. (a)

     226,450        16,130,034  

Pioneer Natural Resources Co. (a)

     85,550        15,404,990  

Royal Dutch Shell PLC, A Shares

     215,918        5,960,137  

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

     1,111,324        60,433,799  
     

 

 

 
                331,418,159  

Paper & Forest Products — 1.0%

     

Precious Woods Holding AG (c)

     20,000        117,843  

TFS Corp. Ltd. (d)

     7,903,565        9,453,285  
     

 

 

 
                9,571,128  

Total Long-Term Investments

(Cost — $835,757,398) — 99.7%

              973,897,050  
     
     
Short-Term Securities                

BlackRock Liquidity Funds, T-Fund, Institutional Class,
0.36% (e)(f)

     12,603,929        12,603,929  

SL Liquidity Series, LLC Money Market Series,
0.95% (e)(f)(g)

     3,936,869        3,937,262  

Total Short-Term Securities

(Cost — $16,540,987) — 1.7%

              16,541,191  

Total Investments Before Options Written

(Cost — $852,298,385) — 101.4%

              990,438,241  
     
     
Options Written                

(Premiums Received — $10,175,756) — (1.1)%

              (10,145,685

Total Investments Net of Options Written — 100.3%

 

     980,292,556  

Liabilities in Excess of Other Assets — (0.3)%

        (3,393,444
     

 

 

 

Net Assets — 100.0%

      $ 976,899,112  
     

 

 

 
 
      Notes to Schedule of Investments

 

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

 

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

 

(c) Non-income producing security.

 

(d) Security, or a portion of security, is on loan.

 

See Notes to Financial Statements.

 

     ANNUAL REPORT    DECEMBER 31, 2016    79


Consolidated Schedule of Investments (continued)      BlackRock Resources & Commodities Strategy Trust (BCX)  

 

 

(e) During the year ended December 31, 2016, investments in issuers considered to be affiliates of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliates   

Shares Held at
December 31,

2015

     Net
Activity
    Shares Held at
December 31,
2016
         Value at
    December 31,
    2016
     Income     Realized
Gain
 

BlackRock Liquidity Funds, TempFund, Institutional Class

     6,170,241        (6,170,241                 $ 38,573        

BlackRock Liquidity Funds, T-Fund, Institutional Class

            12,603,929       12,603,929            $12,603,929        7,198       $     52  

SL Liquidity Series, LLC, Money Market Series

     35,689        3,901,180       3,936,869        3,937,262        134,174 1      2,130  

Total

                 $16,541,191      $ 179,945       $2,182  
          

 

 

 

 

  1   

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

 

(f) Current yield as of period end.

 

(g) Security was purchased with the cash collateral from loaned securities.

 

 

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.

 

      Derivative Financial Instruments Outstanding as of Period End

 

Exchange-Traded Options Written

                         
Description    Put/
Call
       Expiration
Date
    

Strike

Price

       Contracts        Value  

Exxon Mobil Corp.

     Call        1/04/17        USD        89.00          65        $ (10,213

CF Industries Holdings, Inc.

     Call        1/06/17        USD        29.00          660          (169,620

Devon Energy Corp.

     Call        1/06/17        USD        49.00          445          (2,448

Exxon Mobil Corp.

     Call        1/06/17        USD        89.00          70          (10,990

International Paper Co.

     Call        1/06/17        USD        50.50          546          (140,049

Occidental Petroleum Corp.

     Call        1/06/17        USD        70.00          93          (14,136

Occidental Petroleum Corp.

     Call        1/06/17        USD        73.00          217          (3,255

Royal Dutch Shell PLC, A Shares — ADR

     Call        1/06/17        USD        52.50          520          (141,700

Schlumberger Ltd.

     Call        1/06/17        USD        86.00          97          (1,261

Vale SA — ADR

     Call        1/06/17        USD        9.00          2,200          (6,600

Barrick Gold Corp.

     Call        1/09/17        USD        16.25          1,500          (60,116

Anadarko Petroleum Corp.

     Call        1/13/17        USD        69.00          40          (7,920

Barrick Gold Corp.

     Call        1/13/17        USD        17.50          1,000          (17,000

BP PLC — ADR

     Call        1/13/17        USD        36.50          540          (60,750

CF Industries Holdings, Inc.

     Call        1/13/17        USD        30.00          612          (120,258

Exxon Mobil Corp.

     Call        1/13/17        USD        90.00          284          (36,494

Hess Corp.

     Call        1/13/17        USD        58.00          267          (122,820

Occidental Petroleum Corp.

     Call        1/13/17        USD        73.50          219          (7,446

Pioneer Natural Resources Co.

     Call        1/13/17        USD        195.00          157          (8,242

Potash Corp. of Saskatchewan, Inc.

     Call        1/13/17        USD        19.00          1,600          (24,000

Royal Dutch Shell PLC, A Shares — ADR

     Call        1/13/17        USD        53.00          520          (96,200

Schlumberger Ltd.

     Call        1/13/17        USD        86.50          97          (3,056

Agrium, Inc.

     Call        1/20/17        CAD        135.00          372          (58,322

Anadarko Petroleum Corp.

     Call        1/20/17        USD        65.00          451          (237,902

Baker Hughes, Inc.

     Call        1/20/17        USD        62.50          187          (61,523

Baker Hughes, Inc.

     Call        1/20/17        USD        65.00          128          (21,760

Barrick Gold Corp.

     Call        1/20/17        USD        19.00          1,000          (10,000

BP PLC — ADR

     Call        1/20/17        USD        35.00          548          (137,822

BP PLC — ADR

     Call        1/20/17        USD        37.00          547          (49,777

BRF SA — ADR

     Call        1/20/17        USD        15.00          330          (9,900

CF Industries Holdings, Inc.

     Call        1/20/17        USD        29.00          550          (160,050

CF Industries Holdings, Inc.

     Call        1/20/17        USD        32.00          500          (51,750

Chevron Corp.

     Call        1/20/17        USD        108.75          70          (67,479

Cimarex Energy Co.

     Call        1/20/17        USD        140.00          216          (44,820

ConocoPhillips

     Call        1/20/17        USD        46.00          426          (193,830

ConocoPhillips

     Call        1/20/17        USD        47.50          95          (29,212

Detour Gold Corp.

     Call        1/20/17        CAD        20.00          500          (15,268

Detour Gold Corp.

     Call        1/20/17        CAD        24.00          380          (2,264

Devon Energy Corp.

     Call        1/20/17        USD        45.00          447          (83,589

Enbridge, Inc.

     Call        1/20/17        CAD        58.00          615          (14,424

Eni SpA — ADR

     Call        1/20/17        USD        30.00          454          (111,230

 

See Notes to Financial Statements.

 

80    ANNUAL REPORT    DECEMBER 31, 2016     


Consolidated Schedule of Investments (continued)      BlackRock Resources & Commodities Strategy Trust (BCX)  

 

Description    Put/
Call
       Expiration
Date
      

Strike

Price

       Contracts        Value  

EOG Resources, Inc.

     Call          1/20/17          USD        105.00          70        $ (6,790

EOG Resources, Inc.

     Call          1/20/17          USD        95.00          204          (137,700

Exxon Mobil Corp.

     Call          1/20/17          USD        90.00          136          (20,944

Hess Corp.

     Call          1/20/17          USD        60.00          111          (38,018

International Paper Co.

     Call          1/20/17          USD        52.50          498          (66,483

Occidental Petroleum Corp.

     Call          1/20/17          USD        70.00          100          (21,900

Pioneer Natural Resources Co.

     Call          1/20/17          USD        180.00          5          (2,500

Pioneer Natural Resources Co.

     Call          1/20/17          USD        195.00          180          (16,650

Potash Corp. of Saskatchewan, Inc.

     Call          1/20/17          USD        18.00          880          (44,000

Rio Tinto PLC — ADR

     Call          1/20/17          USD        40.00          1,304          (74,980

Royal Dutch Shell PLC, A Shares — ADR

     Call          1/20/17          USD        52.50          1,612          (382,850

Schlumberger Ltd.

     Call          1/20/17          USD        82.50          229          (61,716

Schlumberger Ltd.

     Call          1/20/17          USD        87.50          97          (4,850

Vale SA — ADR

     Call          1/20/17          USD        8.00          1,315          (27,615

Anadarko Petroleum Corp.

     Call          1/27/17          USD        75.00          326          (17,767

Baker Hughes, Inc.

     Call          1/27/17          USD        65.50          122          (36,112

Baker Hughes, Inc.

     Call          1/27/17          USD        66.50          187          (29,826

Baker Hughes, Inc.

     Call          1/27/17          USD        67.00          187          (51,892

Barrick Gold Corp.

     Call          1/27/17          USD        16.00          1,000          (86,500

BP PLC — ADR

     Call          1/27/17          USD        36.50          777          (106,449

CF Industries Holdings, Inc.

     Call          1/27/17          USD        33.00          275          (23,375

CF Industries Holdings, Inc.

     Call          1/27/17          USD        34.00          275          (15,538

Chevron Corp.

     Call          1/27/17          USD        118.00          70          (15,610

ConocoPhillips

     Call          1/27/17          USD        51.50          464          (42,224

ConocoPhillips

     Call          1/27/17          USD        52.00          285          (20,948

Deere & Co.

     Call          1/27/17          USD        102.00          149          (42,167

Devon Energy Corp.

     Call          1/27/17          USD        50.00          445          (15,798

EOG Resources, Inc.

     Call          1/27/17          USD        110.00          130          (5,460

Hess Corp.

     Call          1/27/17          USD        65.50          83          (11,288

International Paper Co.

     Call          1/27/17          USD        53.50          452          (45,652

Occidental Petroleum Corp.

     Call          1/27/17          USD        74.00          276          (17,388

Potash Corp. of Saskatchewan, Inc.

     Call          1/27/17          USD        19.00          1,500          (40,500

Potash Corp. of Saskatchewan, Inc.

     Call          1/27/17          USD        19.50          723          (16,268

Royal Dutch Shell PLC, A Shares — ADR

     Call          1/27/17          USD        53.00          753          (175,072

EOG Resources, Inc.

     Call          1/30/17          USD        96.00          131          (84,053

Vale SA — ADR

     Call          1/30/17          USD        8.50          3,220          (47,811

CF Industries Holdings, Inc.

     Call          2/03/17          USD        30.00          245          (61,618

CF Industries Holdings, Inc.

     Call          2/03/17          USD        31.00          368          (70,288

ConocoPhillips

     Call          2/03/17          USD        53.00          195          (14,040

Devon Energy Corp.

     Call          2/03/17          USD        48.50          4          (356

International Paper Co.

     Call          2/03/17          USD        54.50          238          (22,015

Vale SA — ADR

     Call          2/06/17          USD        9.10          3,000          (31,380

EOG Resources, Inc.

     Call          2/09/17          USD        105.00          89          (16,354

BP PLC — ADR

     Call          2/10/17          USD        37.50          821          (84,563

ConocoPhillips

     Call          2/10/17          USD        52.00          83          (9,545

Vale SA — ADR

     Call          2/15/17          USD        8.50          3,220          (76,688

Agrium, Inc.

     Call          2/17/17          CAD        135.00          375          (109,625

Barrick Gold Corp.

     Call          2/17/17          USD        17.00          1,000          (76,500

BP PLC — ADR

     Call          2/17/17          USD        37.00          1,677          (223,041

Chevron Corp.

     Call          2/17/17          USD        115.00          404          (195,940

ConocoPhillips

     Call          2/17/17          USD        49.00          290          (81,780

ConocoPhillips

     Call          2/17/17          USD        55.00          133          (6,850

Deere & Co.

     Call          2/17/17          USD        105.00          225          (68,962

Detour Gold Corp.

     Call          2/17/17          CAD        20.00          500          (32,771

Enbridge, Inc.

     Call          2/17/17          CAD        58.00          360          (23,327

EOG Resources, Inc.

     Call          2/17/17          USD        105.00          143          (35,607

Exxon Mobil Corp.

     Call          2/17/17          USD        92.50          103          (12,618

Hess Corp.

     Call          2/17/17          USD        60.00          453          (216,308

International Paper Co.

     Call          2/17/17          USD        52.50          498          (99,351

Schlumberger Ltd.

     Call          2/17/17          USD        87.50          134          (15,544

Vale SA — ADR

     Call          2/17/17          USD        8.00          2,500          (101,250

BP PLC — ADR

     Call          3/17/17          USD        38.00          821          (81,279

Total

                          $ (6,047,790
                         

 

 

 

 

See Notes to Financial Statements.

 

     ANNUAL REPORT    DECEMBER 31, 2016    81


Consolidated Schedule of Investments (continued)      BlackRock Resources & Commodities Strategy Trust (BCX)  
  

 

OTC Options Written                               
Description    Put/
Call
       Counterparty        Expiration
Date
      

Strike

Price

       Contracts        Value  

Boliden AB

     Call          Morgan Stanley & Co. International PLC          1/05/17          SEK        225.36          28,500        $ (38,129

Exxon Mobil Corp.

     Call          Citibank N.A.          1/05/17          USD        89.45          19,200          (25,318

AGT Food & Ingredients, Inc.

     Call          Citibank N.A.          1/06/17          CAD        38.00          20,000          (1,604

ArcelorMittal

     Call          UBS AG          1/06/17          EUR        6.26          355,000          (275,192

Rio Tinto PLC — ADR

     Call          Barclays Bank PLC          1/06/17          USD        34.10          80,400          (361,566

Royal Dutch Shell PLC, A Shares — ADR

     Call          Goldman Sachs International          1/09/17          USD        50.50          104,000          (411,486

First Quantum Minerals Ltd.

     Call          UBS AG          1/10/17          CAD        14.49          250,000          (27,062

Nevsun Resources Ltd.

     Call          Citibank N.A.          1/10/17          CAD        4.34          250,000          (6,234

TFS Corp. Ltd.

     Call          Citibank N.A.          1/10/17          AUD        1.48          200,000          (25,574

AGT Food & Ingredients, Inc.

     Call          Morgan Stanley & Co. International PLC          1/11/17          CAD        37.07          18,000          (6,625

Detour Gold Corp.

     Call          Deutsche Bank AG          1/11/17          CAD        20.02          50,000          (7,976

Golden Agri-Resources Ltd.

     Call          Morgan Stanley & Co. International PLC          1/11/17          SGD        0.44          3,150,000          (24,954

Syngenta AG

     Call          Bank of America N.A.          1/11/17          CHF        398.92          9,900          (71,389

TFS Corp. Ltd.

     Call          Bank of America N.A.          1/11/17          AUD        1.75          250,000          (1,571

Elders Ltd.

     Call          Goldman Sachs International          1/12/17          AUD        3.88          35,000          (2,928

Elders Ltd.

     Call          UBS AG          1/17/17          AUD        3.89          75,000          (6,453

Packaging Corp. of America

     Call          Goldman Sachs International          1/17/17          USD        86.10          49,300          (56,719

AGT Food & Ingredients, Inc.

     Call          Deutsche Bank AG          1/18/17          CAD        35.68          20,000          (20,953

ArcelorMittal

     Call          Credit Suisse International          1/18/17          EUR        7.22          360,000          (60,188

Elders Ltd.

     Call          Deutsche Bank AG          1/18/17          AUD        4.06          100,000          (3,044

Glanbia PLC

     Call          Morgan Stanley & Co. International PLC          1/18/17          EUR        15.75          16,000          (7,470

Glencore PLC

     Call          Credit Suisse International          1/18/17          GBP        2.99          1,250,000          (23,750

Golden Agri-Resources Ltd.

     Call          JPMorgan Chase Bank N.A.          1/18/17          SGD        0.44          3,150,000          (21,676

Lundin Mining Corp.

     Call          Citibank N.A.          1/18/17          CAD        7.16          325,000          (6,763

Syngenta AG

     Call          Morgan Stanley & Co. International PLC          1/18/17          CHF        412.24          14,500          (42,834

TFS Corp. Ltd.

     Call          Deutsche Bank AG          1/18/17          AUD        1.52          200,000          (20,232

Yara International ASA

     Call          Morgan Stanley & Co. International PLC          1/18/17          NOK        326.41          35,500          (74,163

Rio Tinto PLC — ADR

     Call          Deutsche Bank AG          1/19/17          USD        36.58          51,200          (122,792

Boliden AB

     Call          Morgan Stanley & Co. International PLC          1/24/17          SEK        242.56          64,400          (35,883

Glanbia PLC

     Call          Morgan Stanley & Co. International PLC          1/24/17          EUR        15.82          16,000          (7,907

Glencore PLC

     Call          Credit Suisse International          1/24/17          GBP        3.00          1,250,000          (32,952

Syngenta AG

     Call          Morgan Stanley & Co. International PLC          1/24/17          CHF        416.22          14,500          (41,703

TFS Corp. Ltd.

     Call          Goldman Sachs International          1/24/17          AUD        1.47          200,000          (27,338

AGT Food & Ingredients, Inc.

     Call          Citibank N.A.          1/25/17          CAD        35.96          20,000          (20,288

Elders Ltd.

     Call          Morgan Stanley & Co. International PLC          1/25/17          AUD        4.03          50,000          (2,331

Eni SpA — ADR

     Call          Citibank N.A.          1/25/17          USD        30.68          26,100          (52,300

Golden Agri-Resources Ltd.

     Call          Morgan Stanley & Co. International PLC          1/25/17          SGD        0.44          3,150,000          (25,204

Kerry Group PLC

     Call          Bank of America N.A.          1/25/17          EUR        68.13          19,300          (34,037

Lundin Mining Corp.

     Call          Morgan Stanley & Co. International PLC          1/25/17          CAD        7.19          325,000          (10,527

Rio Tinto PLC — ADR

     Call          Deutsche Bank AG          1/25/17          USD        42.60          45,000          (7,790

TFS Corp. Ltd.

     Call          Bank of America N.A.          1/25/17          AUD        1.77          250,000          (3,220

Detour Gold Corp.

     Call          Morgan Stanley & Co. International PLC          1/26/17          CAD        17.48          75,000          (90,933

Royal Dutch Shell PLC, A Shares

     Call          UBS AG          1/26/17          GBP        21.76          43,000          (50,127

Yara International ASA

     Call          Bank of America N.A.          1/26/17          NOK        332.61          35,500          (63,109

MMC Norilsk Nickel PJSC — ADR

     Call          Credit Suisse International          1/27/17          USD        16.84          70,000          (30,764

AGT Food & Ingredients, Inc.

     Call          Goldman Sachs International          1/31/17          CAD        36.32          15,000          (14,153

BRF SA — ADR

     Call          Goldman Sachs International          1/31/17          USD        15.03          33,000          (12,636

Elders Ltd.

     Call          Bank of America N.A.          1/31/17          AUD        4.06          100,000          (4,578

Eni SpA — ADR

     Call          JPMorgan Chase Bank N.A.          1/31/17          USD        30.75          45,300          (93,076

Packaging Corp. of America

     Call          Citibank N.A.          1/31/17          USD        86.80          38,500          (55,094

Boliden AB

     Call          UBS AG          2/01/17          SEK        252.62          38,700          (18,524

Glanbia PLC

     Call          UBS AG          2/01/17          EUR        16.19          61,800          (25,638

ArcelorMittal

     Call          Credit Suisse International          2/02/17          EUR        7.12          355,000          (122,928

Potash Corp. of Saskatchewan, Inc.

     Call          Credit Suisse International          2/02/17          USD        17.75          158,000          (123,246

Rio Tinto PLC — ADR

     Call          Goldman Sachs International          2/06/17          USD        39.35          39,200          (49,450

Rio Tinto PLC — ADR

     Call          Morgan Stanley & Co. International PLC          2/06/17          USD        40.90          50,000          (33,642

Anadarko Petroleum Corp.

     Call          Barclays Bank PLC          2/07/17          USD        70.90          17,500          (45,197

Enbridge, Inc.

     Call          Goldman Sachs International          2/07/17          CAD        56.92          58,000          (53,440

Eni SpA — ADR

     Call          Barclays Bank PLC          2/07/17          USD        32.02          40,000          (52,536

Glencore PLC

     Call          Morgan Stanley & Co. International PLC          2/07/17          GBP        2.91          1,898,900          (144,501

Kerry Group PLC

     Call          Bank of America N.A.          2/07/17          EUR        65.92          20,000          (74,219

 

See Notes to Financial Statements.

 

82    ANNUAL REPORT    DECEMBER 31, 2016     


Consolidated Schedule of Investments (continued)      BlackRock Resources & Commodities Strategy Trust (BCX)  

 

 

Description    Put/
Call
       Counterparty        Expiration
Date
      

Strike

Price

       Contracts        Value  

MMC Norilsk Nickel PJSC — ADR

     Call          Morgan Stanley & Co. International PLC          2/07/17          USD        17.38          292,700        $ (74,893

MMC Norilsk Nickel PJSC — ADR

     Call          UBS AG          2/07/17          USD        18.36          75,000          (8,726

TFS Corp. Ltd.

     Call          Morgan Stanley & Co. International PLC          2/07/17          AUD        1.57          200,000          (17,115

AGT Food & Ingredients, Inc.

     Call          Deutsche Bank AG          2/08/17          CAD        36.94          20,000          (16,365

Boliden AB

     Call          UBS AG          2/08/17          SEK        254.08          60,000          (30,047

BRF SA — ADR

     Call          Morgan Stanley & Co. International PLC          2/08/17          USD        14.15          72,500          (75,088

Golden Agri-Resources Ltd.

     Call          Citibank N.A.          2/08/17          SGD        0.44          3,150,000          (37,260

First Quantum Minerals Ltd.

     Call          Morgan Stanley & Co. International PLC          2/09/17          CAD        15.65          152,000          (29,435

Royal Dutch Shell PLC, A Shares

     Call          Morgan Stanley & Co. International PLC          2/09/17          GBP        22.52          43,300          (33,321

Cimarex Energy Co.

     Call          UBS AG          2/14/17          USD        138.00          16,400          (93,112

Lundin Mining Corp.

     Call          Morgan Stanley & Co. International PLC          2/14/17          CAD        6.71          300,000          (54,052

MMC Norilsk Nickel PJSC —ADR

     Call          Credit Suisse International          2/15/17          USD        17.36          120,000          (50,010

ArcelorMittal

     Call          Credit Suisse International          2/16/17          EUR        7.67          355,000          (76,319

Packaging Corp. of America

     Call          Citibank N.A.          2/22/17          USD        86.70          30,000          (77,569

TFS Corp. Ltd.

     Call          Deutsche Bank AG          2/22/17          AUD        1.72          200,000          (7,402

Yara International ASA

     Call          UBS AG          2/23/17          NOK        335.89          35,400          (70,434

First Quantum Minerals Ltd.

     Call          UBS AG          2/27/17          CAD        14.95          225,000          (110,518

Enbridge, Inc.

     Call          Deutsche Bank AG          3/06/17          CAD        58.60          36,000          (22,313

Total

                               $ (4,097,895
                              

 

 

 

 

      Transactions in Options Written for the Year Ended December 31, 2016

 

      Calls     Puts  
         Contracts     Premiums
Received
        Contracts      Premiums
Received
 

 

   

 

 

 

Outstanding options at beginning of year

     16,708,177     $ 7,049,614               

Options written

         119,866,832       70,132,544               

Options exercised

     (429,982     (258,282             

Options expired

     (36,145,141     (18,398,998             

Options closed

     (75,471,371     (48,349,122             
  

 

 

   

 

 

 

Outstanding options at end of year

     24,528,515     $ 10,175,756               
  

 

 

   

 

 

 

As of period end, the value of portfolio securities subject to covered call options written was $321,719,890.

 

      Derivative Financial Instruments Categorized by Risk Exposure

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

 

            Commodity
Contracts
  

Credit

Contracts

  

Equity

Contracts

    

Foreign

Currency
Exchange
Contracts

  

Interest

Rate

Contracts

   Total  

Liabilities — Derivative Financial Instruments

                                

Options written

   Options written, at value            $10,145,685              $10,145,685  

 

See Notes to Financial Statements.

 

     ANNUAL REPORT    DECEMBER 31, 2016    83


Consolidated Schedule of Investments (continued)      BlackRock Resources & Commodities Strategy Trust (BCX)  

 

For the year ended December 31, 2016, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

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

Options purchased1

       —       $ (22,559         $ (22,559

Options written

       —         (36,777,894           (36,777,894
  

 

 

Total

       —       $ (36,800,453         $ (36,800,453
  

 

 
                
Net Change in Unrealized Appreciation (Depreciation) on:  

Options purchased2

       —       $ 2,849           $ 2,849  

Options written

       —         (1,642,793           (1,642,793
  

 

 

Total

       —       $ (1,639,944         $ (1,639,944
  

 

 

 

  1   

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

 

  2   

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

 

      Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Options:

        

Average value of option contracts purchased1

   $ 18,030  

Average value of option contracts written

   $ 10,740,231  

 

  1   

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

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

 

      Derivative Financial Instruments - Offsetting as of Period End

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

 

              Assets        Liabilities  

Derivative Financial Instruments:

       

Options

             —        $ 10,145,685  
  

 

 

 

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

             —        $ (6,047,790
  

 

 

 

Total derivative assets and liabilities subject to an MNA

             —        $ 4,097,895  
  

 

 

 

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

 

    

Gross Amounts Not Offset in the Consolidated Statements of Assets and  Liabilities

and Subject to an MNA

Counterparty   Derivative Liabilities
Subject to an MNA by
Counterparty
   Derivatives Available
for Offset
   Non-cash
Collateral
Pledged1
  Cash
Collateral
Pledged
   Net Amount of        
Derivative Liabilities2        

Bank of America N.A.

  $   252,123             $ (252,123 )             

Barclays Bank PLC

       459,299               (459,299 )             

Citibank N.A.

       308,004               (308,004 )             

Credit Suisse International

       520,157               (520,157 )             

Deutsche Bank AG

       228,867               (228,867 )             

Goldman Sachs International

       628,150               (549,236 )            $ 78,914

JPMorgan Chase Bank N.A.

       114,752                            114,752

Morgan Stanley & Co. International PLC

       870,710               (870,710 )             

UBS AG

       715,833               (715,833 )             

Total

  $4,097,895               $ (3,904,229 )            $ 193,666

 

  1   

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

 

  2   

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

 

See Notes to Financial Statements.

 

84    ANNUAL REPORT    DECEMBER 31, 2016     


Consolidated Schedule of Investments (concluded)      BlackRock Resources & Commodities Strategy Trust (BCX)  

 

 

      Fair Value Hierarchy as of Period End

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

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

 

                                                                                                   
      Level 1     Level 2     Level 3      Total  

Assets:

         

Investments:

         

Long-Term Investments:

         

Common Stocks:

         

Chemicals

   $                     119,693,831     $                      59,149,169             $                     178,843,000  

Containers & Packaging

     54,614,832                    54,614,832  

Energy Equipment & Services

     26,904,612                    26,904,612  

Food & Staples Retailing

     20,172,825                    20,172,825  

Food Products

     33,522,047       20,256,233              53,778,280  

Independent Power and Renewable Electricity Producers

               $                                  1        1  

Machinery

     9,643,204                    9,643,204  

Metals & Mining

     183,019,162       105,931,847              288,951,009  

Oil, Gas & Consumable Fuels

     317,245,538       14,172,621              331,418,159  

Paper & Forest Products

           9,571,128              9,571,128  

Short-Term Securities

     12,603,929                    12,603,929  
  

 

 

 

Subtotal

   $ 777,419,980     $ 209,080,998     $ 1      $ 986,500,979  
  

 

 

 

Investments Valued at NAV1

            3,937,262  
         

 

 

 

Total Investments

          $ 990,438,241  
         

 

 

 
         

Derivative Financial Instruments2

                                 

Liabilities:

         

Equity contracts

   $ (5,653,696   $ (4,491,989          $ (10,145,685
  

 

 

 

 

  1   

As of December 31, 2016, certain of the Fund’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.

 

  2   

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

 

                                                                                                   
              Transfers into         
        Level 1        
    

Transfers out of    

Level 11    

   

Transfers into

Level 21

    

Transfers out of

Level 2

 

Assets:

          

Long-Term Investments:

          

Common Stocks

          $                     (15,470,918   $                 15,470,918                          —                     
  

 

 

 

 

  1   

External pricing service used to reflect any significant market movements between the time the Trust valued such foreign securities and the earlier closing of foreign markets.

 

See Notes to Financial Statements.

 

     ANNUAL REPORT    DECEMBER 31, 2016    85


Schedule of Investments December 31, 2015      BlackRock Science and Technology Trust (BST)  
     (Percentages shown are based on Net Assets)  

 

Common Stocks    Shares      Value  

Communications Equipment — 1.1%

     

Juniper Networks, Inc. (a)

     106,100      $ 2,998,387  

Quantenna Communications, Inc. (b)

     119,773        2,171,484  
     

 

 

 
                5,169,871  

Diversified Telecommunication Services — 0.5%

     

Zayo Group Holdings, Inc. (b)

     62,600        2,057,036  

Electronic Equipment, Instruments & Components — 2.3%

 

  

Coherent, Inc. (a)(b)

     19,700        2,706,486  

Fabrinet (a)(b)

     44,500        1,793,350  

Flex Ltd. (a)(b)

     185,400        2,664,198  

Largan Precision Co. Ltd.

     26,000        3,030,596  
     

 

 

 
                10,194,630  

Equity Real Estate Investment Trusts (REITs) — 4.3%

     

Crown Castle International Corp. (a)

     78,800        6,837,476  

CyrusOne, Inc. (a)

     99,600        4,455,108  

Equinix, Inc. (a)

     22,451        8,024,212  
     

 

 

 
                19,316,796  

Household Durables — 0.9%

     

Sony Corp.

     140,700        3,931,430  

Internet & Direct Marketing Retail — 6.8%

     

Amazon.com, Inc. (a)(b)

     25,300        18,971,711  

Ensogo Ltd. (b)

     173,282         

Expedia, Inc. (a)

     22,400        2,537,472  

Netflix, Inc. (a)(b)

     35,220        4,360,236  

Priceline Group, Inc. (a)(b)

     2,300        3,371,938  

Yoox Net-A-Porter Group SpA (b)

     61,500        1,739,046  
     

 

 

 
                30,980,403  

Internet Software & Services — 20.0%

     

Akamai Technologies, Inc. (a)(b)

     45,800        3,053,944  

Alibaba Group Holding Ltd. — ADR (a)(b)

     136,300        11,968,503  

Alphabet, Inc., Class A (a)(b)

     36,400        28,845,180  

Coupa Software, Inc. (a)(b)

     55,195        1,380,427  

Criteo SA - ADR (a)(b)

     49,400        2,029,352  

Facebook, Inc., Class A (a)(b)

     133,000        15,301,650  

GoDaddy, Inc., Class A (a)(b)

     56,000        1,957,200  

MercadoLibre, Inc. (a)

     22,900        3,575,606  

Shopify, Inc., Class A (a)(b)

     62,600        2,683,662  

Takeaway.com Holding BV (b)(c)

     47,800        1,182,812  

Tencent Holdings Ltd.

     643,200        15,595,744  

Yandex NV, Class A (a)(b)

     142,700        2,872,551  
     

 

 

 
                90,446,631  

IT Services — 10.9%

     

Cielo SA

     249,200        2,135,431  

Computer Sciences Corp. (a)

     49,800        2,959,116  

Euronet Worldwide, Inc. (a)(b)

     31,100        2,252,573  

Fidelity National Information Services, Inc.

     53,200        4,024,048  

Global Payments, Inc. (a)

     49,200        3,414,972  

InterXion Holding NV (a)(b)

     91,600        3,212,412  

Mastercard, Inc., Class A (a)

     100,200        10,345,650  

PayPal Holdings, Inc. (a)(b)

     93,200        3,678,604  

Square, Inc., Class A (a)(b)

     298,700        4,071,281  

Visa, Inc., A Shares (a)

     142,400        11,110,048  

Wirecard AG

     49,800        2,136,801  
     

 

 

 
                49,340,936  

Media — 2.1%

     

Comcast Corp., Class A (a)

     39,200        2,706,760  

Eros International PLC (b)(d)

     132,805        1,733,105  
Common Stocks    Shares      Value  

Media (continued)

     

Naspers Ltd., N Shares

     35,000      $ 5,109,708  
     

 

 

 
                9,549,573  

Professional Services — 0.4%

     

Equifax, Inc. (a)

     15,900        1,879,857  

Semiconductors & Semiconductor Equipment — 19.4%

 

  

Advanced Micro Devices, Inc. (a)(b)

     325,300        3,688,902  

Applied Materials, Inc. (a)

     140,400        4,530,708  

ASML Holding NV

     74,800        8,382,898  

BE Semiconductor Industries NV

     59,300        1,972,560  

Broadcom Ltd. (a)

     64,196        11,347,927  

Dialog Semiconductor PLC (b)

     62,200        2,613,336  

Lam Research Corp. (a)

     55,600        5,878,588  

MACOM Technology Solutions Holdings, Inc. (a)(b)

     55,400        2,563,912  

Maxim Integrated Products, Inc. (a)

     71,000        2,738,470  

Megachips Corp.

     107,700        2,380,304  

Micron Technology, Inc. (a)(b)

     135,700        2,974,544  

Microsemi Corp. (a)(b)

     49,100        2,649,927  

Monolithic Power Systems, Inc. (a)

     23,700        1,941,741  

NVIDIA Corp. (a)

     77,100        8,229,654  

NXP Semiconductors NV (b)

     56,600        5,547,366  

Silicon Laboratories, Inc. (b)

     33,300        2,164,500  

Skyworks Solutions, Inc. (a)

     47,600        3,553,816  

SOITEC (b)

     1,847,500        2,854,802  

STMicroelectronics NV

     405,400        4,595,001  

Taiwan Semiconductor Manufacturing Co. Ltd.

     1,278,000        7,158,405  
     

 

 

 
                87,767,361  

Software — 20.7%

     

Activision Blizzard, Inc. (a)

     148,000        5,344,280  

Adobe Systems, Inc. (a)(b)

     60,400        6,218,180  

Altium Ltd.

     223,000        1,299,795  

Autodesk, Inc. (a)(b)

     64,500        4,773,645  

Blackline, Inc. (b)

     62,015        1,713,474  

Electronic Arts, Inc. (a)(b)

     67,600        5,324,176  

ESI Group (b)

     30,000        1,427,083  

Gridsum Holding, Inc. — ADR (b)

     185,244        1,887,636  

HubSpot, Inc. (a)(b)

     41,400        1,945,800  

Intuit, Inc. (a)

     19,700        2,257,817  

Linx SA

     395,900        2,110,445  

Microsoft Corp. (a)

     423,000        26,285,220  

Nintendo Co. Ltd.

     35,900        7,462,727  

Oracle Corp. (a)

     56,600        2,176,270  

Proofpoint, Inc. (a)(b)

     47,200        3,334,680  

PTC, Inc. (a)(b)

     59,900        2,771,573  

salesforce.com, Inc. (a)(b)

     117,800        8,064,588  

Symantec Corp. (a)

     92,700        2,214,603  

Take-Two Interactive Software, Inc. (a)(b)

     82,200        4,051,638  

Xero Ltd. (b)

     123,900        1,504,218  

Zendesk, Inc. (a)(b)

     79,400        1,683,280  
     

 

 

 
                93,851,128  

Technology Hardware, Storage & Peripherals — 7.0%

 

  

Apple, Inc. (a)

     231,400        26,800,748  

Samsung Electronics Co. Ltd.

     3,300        4,911,433  
     

 

 

 
                31,712,181  

Total Common Stocks — 96.4%

              436,197,833  
     
     
               
 

 

See Notes to Financial Statements.

 

86    ANNUAL REPORT    DECEMBER 31, 2016     


Schedule of Investments (continued)      BlackRock Science and Technology Trust (BST)  

 

Preferred Stocks   Shares      Value  

Internet & Direct Marketing Retail — 0.6%

    

Jasper Infotech Private Ltd., Series I (Acquired 8/18/15, Cost 1,998,435) (b)(e)

    1,054      $ 2,570,706  

Internet Software & Services — 2.6%

    

Uber Technologies, Inc., Series E (Acquired 12/4/14, Cost $3,000,048), 0.00% (b)(e)

    90,044        4,449,074  

Xiaoju Kuaizhi, Inc., Series A-17 (Acquired 7/28/15, Cost $3,016,964) (b)(e)

    110,003        4,205,415  

Zuora, Inc. (Acquired 1/16/15, Cost $3,894,522), 0.00% (b)(e)

    1,025,063        3,290,452  
    

 

 

 
               11,944,941  

Software — 0.3%

    

Illumio, Inc., Series C (Acquired 3/11/15, Cost $1,500,001), 0.00% (b)(e)

    466,730        1,442,196  

Total Preferred Stocks — 3.5%

             15,957,843  

Total Long-Term Investments

(Cost — $355,438,442) — 99.9%

             452,155,676  
    
                 
Short-Term Securities    Shares      Value  

BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.36% (f)(g)

     2,902,077      $ 2,902,077  

SL Liquidity Series, LLC Money Market Series,
0.95% (f)(g)(h)

     128,952        128,965  

Total Short-Term Securities

(Cost — $3,031,030) — 0.7%

              3,031,042  

Total Investments Before Options Written

(Cost — $358,469,472) — 100.6%

              455,186,718  
     
Options Written                

(Premiums Received — $4,136,623) — (0.8)%

              (3,450,347

Total Investments Net of Options Written — 99.8%

        451,736,371  

Other Assets Less Liabilities — 0.2%

        706,610  
     

 

 

 

Net Assets — 100.0%

      $ 452,442,981  
     

 

 

 
 

 

      Notes to Schedule of Investments

 

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

 

(b) Non-income producing security.

 

(c) Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.

 

(d) Security, or a portion of security, is on loan.

 

(e) Restricted security as to resale, excluding 144A securities. As of report date, the Trust held restricted securities with a current value of $15,957,843 and an original cost of $13,409,970 which was 3.5% of its net assets.

 

(f) Current yield as of period end.

 

(g) During the year ended December 31, 2016, investments in issuers considered to be affiliates of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliates    Shares Held at
December 31,
2015
     Net
Activity
    Shares Held at
December 31,
2016
         Value at
    December 31,
    2016
     Income     Realized
Gain
 

BlackRock Liquidity Funds, TempFund, Institutional Class

     604,146        (604,146                   $    5,708        

BlackRock Liquidity Funds, T-Fund, Institutional Class

            2,902,077       2,902,077        $2,902,077        1,787       $  11  

SL Liquidity Series, LLC, Money Market Series

     119,000        9,952       128,952        128,965        125,365 1      123  

Total

             $3,031,042        $132,860       $134  
          

 

 

 

 

  1  

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

 

(h) Security was purchased with the cash collateral from loaned securities.

 

 

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.

 

      Derivative Financial Instruments Outstanding as of Period End

 

Exchange-Traded Options Written                                                        
Description      Put/
Call
       Expiration
Date
    

Strike

Price

       Contracts        Value  

Akamai Technologies, Inc.

       Call        1/06/17        USD        65.00          50        $ (10,000

Alibaba Group Holding Ltd. — ADR

       Call        1/06/17        USD        94.50          63          (284

Amazon.com, Inc.

       Call        1/06/17        USD        765.00          59          (18,732

Apple, Inc.

       Call        1/06/17        USD        115.00          57          (8,806

Broadcom Ltd.

       Call        1/06/17        USD        175.00          50          (17,750

Comcast Corp., Class A

       Call        1/06/17        USD        70.50          130          (2,730

 

See Notes to Financial Statements.

 

     ANNUAL REPORT    DECEMBER 31, 2016    87


Schedule of Investments (continued)      BlackRock Science and Technology Trust (BST)  

 

 

Description      Put/
Call
       Expiration
Date
    

Strike

Price

       Contracts        Value  

Electronic Arts, Inc.

       Call        1/06/17        USD          79.00          90        $ (8,730

Expedia, Inc.

       Call        1/06/17        USD          128.00          31          (155

Facebook, Inc., Class A

       Call        1/06/17        USD          121.00          37          (278

Mastercard, Inc., Class A

       Call        1/06/17        USD          104.00          55          (3,328

Mastercard, Inc., Class A

       Call        1/06/17        USD          105.00          59          (1,976

Microsoft Corp.

       Call        1/06/17        USD          60.50          281          (51,142

Netflix, Inc.

       Call        1/06/17        USD          122.00          76          (21,736

PayPal Holdings, Inc.

       Call        1/06/17        USD          40.00          58          (1,102

PayPal Holdings, Inc.

       Call        1/06/17        USD          40.50          102          (663

salesforce.com, Inc.

       Call        1/06/17        USD          74.00          32          (240

salesforce.com, Inc.

       Call        1/06/17        USD          75.00          122          (793

Skyworks Solutions, Inc.

       Call        1/06/17        USD          82.50          105          (4,725

Symantec Corp.

       Call        1/06/17        USD          25.00          81          (446

Visa, Inc., A Shares

       Call        1/06/17        USD          80.00          153          (1,760

GoDaddy, Inc., Class A

       Call        1/09/17        USD          34.51          204          (18,077

Alibaba Group Holding Ltd. — ADR

       Call        1/11/17        USD          97.50          56          (146

Apple, Inc.

       Call        1/11/17        USD          113.00          43          (14,571

Activision Blizzard, Inc.

       Call        1/13/17        USD          38.00          164          (3,198

Advanced Micro Devices, Inc.

       Call        1/13/17        USD          8.50          160          (48,880

Akamai Technologies, Inc.

       Call        1/13/17        USD          67.50          50          (4,425

Alibaba Group Holding Ltd. — ADR

       Call        1/13/17        USD          94.50          56          (1,176

Apple, Inc.

       Call        1/13/17        USD          113.00          43          (15,050

Apple, Inc.

       Call        1/13/17        USD          114.00          44          (12,034

Comcast Corp., Class A

       Call        1/13/17        USD          70.00          7          (472

Electronic Arts, Inc.

       Call        1/13/17        USD          82.50          100          (3,650

Expedia, Inc.

       Call        1/13/17        USD          128.00          48          (480

Facebook, Inc., Class A

       Call        1/13/17        USD          122.00          38          (760

Juniper Networks, Inc.

       Call        1/13/17        USD          29.00          185          (3,978

Mastercard, Inc., Class A

       Call        1/13/17        USD          106.00          42          (2,163

Microsoft Corp.

       Call        1/13/17        USD          61.00          153          (24,327

Microsoft Corp.

       Call        1/13/17        USD          61.50          153          (18,819

PayPal Holdings, Inc.

       Call        1/13/17        USD          40.00          58          (2,204

PayPal Holdings, Inc.

       Call        1/13/17        USD          40.50          16          (344

PayPal Holdings, Inc.

       Call        1/13/17        USD          41.00          57          (741

salesforce.com, Inc.

       Call        1/13/17        USD          72.00          96          (2,976

salesforce.com, Inc.

       Call        1/13/17        USD          74.00          31          (558

Visa, Inc., A Shares

       Call        1/13/17        USD          80.00          177          (6,460

Yandex NV, Class A

       Call        1/13/17        USD          21.00          120          (4,500

CyrusOne, Inc.

       Call        1/17/17        USD          42.00          177          (56,891

Equinix, Inc.

       Call        1/19/17        USD          345.00          44          (75,048

Proofpoint, Inc.

       Call        1/19/17        USD          87.10          84          (208

Activision Blizzard, Inc.

       Call        1/20/17        USD          40.00          368          (3,312

Adobe Systems, Inc.

       Call        1/20/17        USD          105.00          100          (10,750

Advanced Micro Devices, Inc.

       Call        1/20/17        USD          11.00          426          (38,979

Alibaba Group Holding Ltd. — ADR

       Call        1/20/17        USD          97.50          92          (1,288

Alphabet, Inc., Class A

       Call        1/20/17        USD          820.00          67          (25,460

Amazon.com, Inc.

       Call        1/20/17        USD          770.00          28          (23,170

Apple, Inc.

       Call        1/20/17        USD          115.00          124          (29,388

Apple, Inc.

       Call        1/20/17        USD          117.00          50          (6,625

Applied Materials, Inc.

       Call        1/20/17        USD          31.00          170          (28,390

Applied Materials, Inc.

       Call        1/20/17        USD          32.00          180          (18,090

Autodesk, Inc.

       Call        1/20/17        USD          77.50          121          (13,250

Autodesk, Inc.

       Call        1/20/17        USD          82.50          84          (3,066

Broadcom Ltd.

       Call        1/20/17        USD          185.00          125          (18,438

Coherent, Inc.

       Call        1/20/17        USD          135.00          8          (4,640

Computer Sciences Corp.

       Call        1/20/17        USD          62.50          166          (4,980

Coupa Software, Inc.

       Call        1/20/17        USD          30.00          193          (3,860

Criteo SA — ADR

       Call        1/20/17        USD          45.00          170          (13,600

Crown Castle International Corp.

       Call        1/20/17        USD          87.50          103          (15,708

CyrusOne, Inc.

       Call        1/20/17        USD          45.00          171          (18,382

Electronic Arts, Inc.

       Call        1/20/17        USD          80.00          107          (14,712

Equifax, Inc.

       Call        1/20/17        USD          125.00          48          (1,440

Fabrinet

       Call        1/20/17        USD          45.00          155          (2,712

Facebook, Inc., Class A

       Call        1/20/17        USD          120.00          200          (14,400

Global Payments, Inc.

       Call        1/20/17        USD          75.00          60          (3,450

 

See Notes to Financial Statements.

 

88    ANNUAL REPORT    DECEMBER 31, 2016     


Schedule of Investments (continued)      BlackRock Science and Technology Trust (BST)  

 

 

Description      Put/
Call
       Expiration
Date
    

Strike

Price

       Contracts        Value  

HubSpot, Inc.

       Call        1/20/17        USD          60.00          135        $ (6,750

InterXion Holding NV

       Call        1/20/17        USD          35.00          84          (7,770

InterXion Holding NV

       Call        1/20/17        USD          36.00          236          (11,210

Intuit, Inc.

       Call        1/20/17        USD          120.00          70          (1,925

Lam Research Corp.

       Call        1/20/17        USD          105.00          74          (22,570

Lam Research Corp.

       Call        1/20/17        USD          115.00          120          (2,700

MACOM Technology Solutions Holdings, Inc.

       Call        1/20/17        USD          50.00          55          (2,612

Mastercard, Inc., Class A

       Call        1/20/17        USD          105.00          153          (16,524

Maxim Integrated Products, Inc.

       Call        1/20/17        USD          40.00          124          (6,510

MercadoLibre, Inc.

       Call        1/20/17        USD          165.00          102          (15,555

Microsemi Corp.

       Call        1/20/17        USD          60.00          170          (8,925

Microsoft Corp.

       Call        1/20/17        USD          60.00          69          (17,422

Microsoft Corp.

       Call        1/20/17        USD          62.50          430          (36,980

Monolithic Power Systems, Inc.

       Call        1/20/17        USD          90.00          48          (5,280

Netflix, Inc.

       Call        1/20/17        USD          130.00          47          (20,680

NVIDIA Corp.

       Call        1/20/17        USD          90.00          280          (487,900

Oracle Corp.

       Call        1/20/17        USD          42.00          200          (200

PayPal Holdings, Inc.

       Call        1/20/17        USD          40.00          152          (8,816

PayPal Holdings, Inc.

       Call        1/20/17        USD          41.00          57          (1,539

Priceline Group, Inc.

       Call        1/20/17        USD          1,510.00          4          (4,220

Proofpoint, Inc.

       Call        1/20/17        USD          75.00          48          (3,840

PTC, Inc.

       Call        1/20/17        USD          50.00          105          (4,725

salesforce.com, Inc.

       Call        1/20/17        USD          75.00          31          (574

Shopify, Inc., Class A

       Call        1/20/17        USD          45.00          113          (9,040

Square, Inc., Class A

       Call        1/20/17        USD          13.00          680          (54,400

Square, Inc., Class A

       Call        1/20/17        USD          14.00          315          (7,875

Symantec Corp.

       Call        1/20/17        USD          25.00          81          (1,256

Take-Two Interactive Software, Inc.

       Call        1/20/17        USD          49.00          145          (20,662

Yandex NV, Class A

       Call        1/20/17        USD          20.00          100          (7,250

Advanced Micro Devices, Inc.

       Call        1/27/17        USD          11.00          416          (47,008

Advanced Micro Devices, Inc.

       Call        1/27/17        USD          13.00          11          (456

Akamai Technologies, Inc.

       Call        1/27/17        USD          69.50          60          (4,410

Alibaba Group Holding Ltd. — ADR

       Call        1/27/17        USD          94.50          118          (12,390

Alphabet, Inc., Class A

       Call        1/27/17        USD          830.00          29          (31,610

Amazon.com, Inc.

       Call        1/27/17        USD          782.50          42          (47,985

Apple, Inc.

       Call        1/27/17        USD          113.00          75          (34,875

Applied Materials, Inc.

       Call        1/27/17        USD          33.00          280          (18,480

Broadcom Ltd.

       Call        1/27/17        USD          182.50          50          (13,875

Electronic Arts, Inc.

       Call        1/27/17        USD          85.00          74          (3,108

Juniper Networks, Inc.

       Call        1/27/17        USD          29.50          185          (17,853

Mastercard, Inc., Class A

       Call        1/27/17        USD          106.00          42          (4,599

Micron Technology, Inc.

       Call        1/27/17        USD          22.50          192          (13,248

Microsoft Corp.

       Call        1/27/17        USD          64.00          394          (40,188

PayPal Holdings, Inc.

       Call        1/27/17        USD          41.50          15          (818

Priceline Group, Inc.

       Call        1/27/17        USD          1,525.00          4          (4,160

salesforce.com, Inc.

       Call        1/27/17        USD          76.00          100          (3,050

Skyworks Solutions, Inc.

       Call        1/27/17        USD          80.50          30          (4,125

Symantec Corp.

       Call        1/27/17        USD          25.00          162          (3,807

Visa, Inc., A Shares

       Call        1/27/17        USD          82.00          168          (9,828

Yandex NV, Class A

       Call        1/27/17        USD          21.00          180          (8,550

Coherent, Inc.

       Call        2/02/17        USD          126.50          70          (103,882

Alphabet, Inc., Class A

       Call        2/03/17        USD          815.00          31          (53,940

Applied Materials, Inc.

       Call        2/03/17        USD          33.50          142          (8,307

Zendesk, Inc.

       Call        2/06/17        USD          24.00          160          (4,318

Flex Ltd.

       Call        2/08/17        USD          14.80          288          (6,676

Advanced Micro Devices, Inc.

       Call        2/10/17        USD          12.00          125          (10,625

Yandex NV, Class A

       Call        2/10/17        USD          21.00          100          (5,500

Shopify, Inc., Class A

       Call        2/14/17        USD          45.00          106          (16,220

Alibaba Group Holding Ltd. — ADR

       Call        2/17/17        USD          105.00          92          (2,668

Amazon.com, Inc.

       Call        2/17/17        USD          785.00          8          (16,680

Apple, Inc.

       Call        2/17/17        USD          120.00          373          (71,989

Coherent, Inc.

       Call        2/17/17        USD          135.00          30          (32,400

Euronet Worldwide, Inc.

       Call        2/17/17        USD          80.00          37          (3,145

Facebook, Inc., Class A

       Call        2/17/17        USD          120.00          200          (60,500

Global Payments, Inc.

       Call        2/17/17        USD          75.00          112          (11,760

 

See Notes to Financial Statements.

 

     ANNUAL REPORT    DECEMBER 31, 2016    89


Schedule of Investments (continued)      BlackRock Science and Technology Trust (BST)  

 

 

Description      Put/
Call
       Expiration
Date
      

Strike

Price

       Contracts        Value  

GoDaddy, Inc., Class A

       Call          2/17/17          USD        37.00          104        $ (9,620

MACOM Technology Solutions Holdings, Inc.

       Call          2/17/17          USD        45.00          248          (90,520

Maxim Integrated Products, Inc.

       Call          2/17/17          USD        40.00          124          (9,920

Micron Technology, Inc.

       Call          2/17/17          USD        24.00          283          (14,858

Proofpoint, Inc.

       Call          2/17/17          USD        75.00          48          (12,960

Proofpoint, Inc.

       Call          2/17/17          USD        80.00          80          (10,800

PTC, Inc.

       Call          2/17/17          USD        50.00          105          (9,712

Skyworks Solutions, Inc.

       Call          2/17/17          USD        80.00          30          (6,150

Amazon.com, Inc.

       Call          3/17/17          USD        785.00          2          (5,210

Equinix, Inc.

       Call          3/17/17          USD        370.00          34          (40,970

MercadoLibre, Inc.

       Call          3/17/17          USD        165.00          22          (16,170

Total

                            $ (2,551,235
                           

 

 

 

 

OTC Options Written

                            
Description    Put/
Call
     Counterparty        Expiration
Date
      

Strike

Price

       Contracts        Value  

Flex Ltd.

     Call        Barclays Bank PLC          1/05/17          USD         14.14          36,000        $ (10,716

Naspers Ltd., N Shares

     Call        Morgan Stanley & Co. International PLC          1/10/17          ZAR         2,192.90          1,100          (280

Xero Ltd.

     Call        Deutsche Bank AG          1/12/17          NZD         19.65          2,000          (3

Tencent Holdings Ltd.

     Call        Goldman Sachs International          1/13/17          HKD         204.69          47,000          (1,218

Fidelity National Information Services, Inc.

     Call        Bank of America N.A.          1/17/17          USD         76.21          19,200          (22,539

Altium Ltd.

     Call        Morgan Stanley & Co. International PLC          1/18/17          AUD         8.70          122,300          (5,447

ASML Holding NV

     Call        Morgan Stanley & Co. International PLC          1/18/17          EUR         100.37          22,000          (160,933

Dialog Semiconductor PLC

     Call        UBS AG          1/18/17          EUR         39.06          11,700          (20,483

ESI Group

     Call        UBS AG          1/18/17          EUR         48.04          10,500          (2,055

Largan Precision Co. Ltd.

     Call        Bank of America N.A.          1/18/17          TWD         3,841.90          9,000          (25,279

Nintendo Co. Ltd.

     Call        Bank of America N.A.          1/18/17          JPY          28,507.25          4,200          (1,224

Sony Corp.

     Call        JPMorgan Chase Bank N.A.          1/18/17          JPY          3,382.02          43,500          (15,046

Taiwan Semiconductor Manufacturing Co. Ltd.

     Call        Goldman Sachs International          1/18/17          TWD         182.39          102,000          (6,829

Taiwan Semiconductor Manufacturing Co. Ltd.

     Call        JPMorgan Chase Bank N.A.          1/18/17          TWD         190.64          96,000          (733

STMicroelectronics NV

     Call        Credit Suisse International          1/19/17          EUR         10.47          7,900          (4,001

STMicroelectronics NV

     Call        UBS AG          1/19/17          EUR         11.26          7,900          (1,058

Eros International PLC

     Call        Barclays Bank PLC          1/23/17          USD         16.75          26,000          (731

Euronet Worldwide, Inc.

     Call        Barclays Bank PLC          1/23/17          USD         75.30          13,400          (7,864

Silicon Laboratories, Inc.

     Call        Citibank N.A.          1/23/17          USD         67.25          6,200          (5,193

BE Semiconductor Industries NV

     Call        Morgan Stanley & Co. International PLC          1/24/17          EUR         33.25          20,700          (4,706

Monolithic Power Systems, Inc.

     Call        Barclays Bank PLC          1/24/17          USD         83.10          8,200          (13,621

Yoox Net-A-Porter Group SpA

     Call        Morgan Stanley & Co. International PLC          1/25/17          EUR         26.92          22,000          (19,005

Naspers Ltd., N Shares

     Call        UBS AG          1/26/17          ZAR         2,090.40          2,800          (8,351

Nintendo Co. Ltd.

     Call        Bank of America N.A.          1/26/17          JPY          25,756.50          8,400          (34,305

SOITEC

     Call        Bank of America N.A.          1/26/17          EUR         1.54          323,000          (16,829

Take-Two Interactive Software, Inc.

     Call        Barclays Bank PLC          1/31/17          USD         50.85          14,200          (12,935

ASML Holding NV

     Call        UBS AG          2/01/17          EUR         106.76          4,100          (13,774

Xero Ltd.

     Call        Deutsche Bank AG          2/01/17          NZD         18.04          2,000          (468

Adobe Systems, Inc.

     Call        Barclays Bank PLC          2/02/17          USD         104.13          11,100          (21,409

Taiwan Semiconductor Manufacturing Co. Ltd.

     Call        Bank of America N.A.          2/03/17          TWD         189.21          249,000          (7,495

Zayo Group Holdings, Inc.

     Call        Barclays Bank PLC          2/06/17          USD         33.31          17,200          (22,216

SOITEC

     Call        UBS AG          2/07/17          EUR         1.55          324,000          (21,181

STMicroelectronics NV

     Call        Morgan Stanley & Co. International PLC          2/08/17          EUR         10.99          126,000          (50,648

Dialog Semiconductor PLC

     Call        UBS AG          2/09/17          EUR         41.05          10,000          (16,857

Naspers Ltd., N Shares

     Call        UBS AG          2/09/17          ZAR         2,089.53          8,300          (38,142

Samsung Electronics Co. Ltd.

     Call        Goldman Sachs International          2/09/17          KRW        1,801,320.00          1,100          (66,798

Sony Corp.

     Call        Goldman Sachs International          2/09/17          JPY          3,445.56          6,000          (2,653

Tencent Holdings Ltd.

     Call        Bank of America N.A.          2/09/17          HKD         189.47          179,000          (122,201

Xero Ltd.

     Call        Deutsche Bank AG          2/09/17          NZD         18.03          1,000          (280

Eros International PLC

     Call        Barclays Bank PLC          2/14/17          USD         14.32          25,600          (13,873

Crown Castle International Corp.

     Call        Bank of America N.A.          2/22/17          USD         88.09          17,100          (41,162

Silicon Laboratories, Inc.

     Call        Morgan Stanley & Co. International PLC          2/23/17          USD         69.53          5,400          (9,618

Zayo Group Holdings, Inc.

     Call        Barclays Bank PLC          2/23/17          USD         33.31          17,200          (27,452

 

See Notes to Financial Statements.

 

90    ANNUAL REPORT    DECEMBER 31, 2016     


Schedule of Investments (continued)      BlackRock Science and Technology Trust (BST)  

 

 

Description    Put/
Call
     Counterparty        Expiration
Date
      

Strike

Price

       Contracts        Value  

Yoox Net-A-Porter Group SpA

     Call        Goldman Sachs International          2/24/17          EUR         27.69          11,900        $ (11,236

BE Semiconductor Industries NV

     Call        UBS AG          2/28/17          EUR         32.93          11,900          (10,265

Total

                             $ (899,112
                            

 

 

 

 

      Transactions in Options Written for the Year Ended December 31, 2016

 

      Calls        Puts  
  

 

 

      

 

 

 
          Contracts      Premiums  
Received  
       Contracts      Premiums
Received
 

 

      

 

 

 

Outstanding options at beginning of year

     5,291,725      $ 4,168,452                    

Options written

          27,045,961        36,926,519                 261,878      $ 653,524  

Options exercised

     (1,818      (174,500)           (7,577      (132,869

Options expired

     (12,346,386      (10,808,240)           (144,975      (420,333

Options closed

     (17,957,160      (25,975,608)           (109,326      (100,322
  

 

 

      

 

 

 

Outstanding options at end of year

     2,032,322      $ 4,136,623                    
  

 

 

      

 

 

 

As of period end, the value of portfolio securities subject to covered call options written was $155,795,423.

 

      Derivative Financial Instruments Categorized by Risk Exposure

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

 

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

Liabilities — Derivative Financial Instruments

                                                      

Options written

   Options written, at value           —          $ 3,450,347          —            —          $ 3,450,347  

For the year ended December 31, 2016, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

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

Options purchased1

         $ (5,993         $ (5,993

Options written

           (2,474,731           (2,474,731
  

 

 

Total

         $ (2,480,724         $ (2,480,724
  

 

 
                

Net Change in Unrealized Appreciation (Depreciation) on:

                                    

Options written

         $ (783,027         $ (783,027
  

 

 

 

  1   

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

 

      Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Options:

        

Average value of option contracts purchased1

   $ 5,993  

Average value of option contracts written

   $ 4,646,316  

 

  1   

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

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

 

See Notes to Financial Statements.

 

     ANNUAL REPORT    DECEMBER 31, 2016    91


Schedule of Investments (continued)      BlackRock Science and Technology Trust (BST)  

 

 

      Derivative Financial Instruments — Offsetting as of Period End

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

 

                       Assets      Liabilities  

Derivative Financial Instruments:

       

Options

                   —      $ 3,450,347  
  

 

 

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

                   —        (2,551,235
  

 

 

Total derivative assets and liabilities subject to an MNA

                   —      $ 899,112  
  

 

 

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

 

     

Gross Amounts Not Offset in the Consolidated Statements of Assets and  Liabilities

and Subject to an MNA

 
  

 

 

 
Counterparty    Derivative Liabilities
    Subject to an MNA by     
Counterparty
     Derivatives Available
for Offset
   Non-cash
Collateral
Pledged
   Cash
Collateral
Pledged1
    Net Amount of      
Derivative Liabilities2      
 

Bank of America N.A.

     $271,034                           $ (271,034     —                   

Barclays Bank PLC

     130,817                                   $130,817                   

Citibank N.A.

     5,193                             (5,193     —                   

Credit Suisse International

     4,001                                   4,001                   

Deutsche Bank AG

     751                             (751     —                   

Goldman Sachs International

     88,734                                   88,734                   

JPMorgan Chase Bank N.A.

     15,779                                   15,779                   

Morgan Stanley & Co. International PLC

     250,637                             (250,637     —                   

UBS AG

     132,166                             (110,000     22,166                   
  

 

 

 

Total

     $899,112                           $ (637,615     $261,497                   
  

 

 

 

 

  1   

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

 

  2   

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

 

See Notes to Financial Statements.

 

92    ANNUAL REPORT    DECEMBER 31, 2016     


Schedule of Investments (continued)      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:

                 

Long-Term Investments:

                 

Common Stocks:

                 

Communications Equipment

      $ 5,169,871                    $ 5,169,871

Diversified Telecommunication Services

       2,057,036                    2,057,036

Electronic Equipment, Instruments & Components

       7,164,034     $ 3,030,596              10,194,630

Equity Real Estate Investment Trusts (REITs)

       19,316,796                    19,316,796

Household Durables

             3,931,430              3,931,430

Internet & Direct Marketing Retail

       29,241,357       1,739,046              30,980,403

Internet Software & Services

       73,668,075       16,778,556              90,446,631

IT Services

       47,204,135       2,136,801              49,340,936

Media

       4,439,865       5,109,708              9,549,573

Professional Services

       1,879,857                    1,879,857

Semiconductors & Semiconductor Equipment

       57,810,055       29,957,306              87,767,361

Software

       83,584,388       10,266,740              93,851,128

Technology Hardware, Storage & Peripherals

       26,800,748       4,911,433              31,712,181

Preferred Stocks

                 $ 15,957,843        15,957,843

Short-Term Securities

       2,902,077                    2,902,077
    

 

 

 

Subtotal

      $             361,238,294     $             77,861,616     $             15,957,843        $ 455,057,753
    

 

 

 

Investments Valued at NAV1

                    128,965
                 

 

 

 

Total Investments

                    $             455,186,718
                 

 

 

 
                 

Derivative Financial Instruments2

                                         

Liabilities:

                 

Equity contracts

      $ (2,255,198 )     $ (1,195,149 )              $ (3,450,347 )
    

 

 

 

1    As of December 31, 2016, certain of the Fund’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.

     

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

                 
                 
      Transfers into
Level 1
  Transfers out of
Level 1 1
  Transfers into
Level 2 1
   Transfers out of
Level 2

Assets:

                 

Long-Term Investments:

                 

Common Stocks

           $ (12,465,565 )     $ 12,465,565       
    

 

 

 

1    External pricing service used to reflect any significant market movements between the time the Trust valued such foreign securities and the earlier closing of foreign markets.

     

 

See Notes to Financial Statements.

 

     ANNUAL REPORT    DECEMBER 31, 2016    93


Schedule of Investments (concluded)      BlackRock Science and Technology Trust (BST)  

 

A reconciliation of Level 3 investments and derivative financial instruments is presented when the Trust had a significant amount of Level 3 investments and derivative financial instruments at the beginning and/or end of the year in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:

 

              Common
         Stocks
    Preferred
Stocks
     Total  

Assets:

       

Opening Balance, as of December 31, 2015

         $ 15,696,540      $ 15,696,540  

Transfers into Level 3

           $ 265,167              265,167  

Transfers out of Level 3

                   

Accrued discounts/premiums

                   

Net realized gain (loss)

                   

Net change in unrealized appreciation/depreciation1,2

     (265,167     261,303        (3,864

Purchases

                   

Sales

                   
  

 

 

 

Closing Balance, as of December 31, 2016

         $ 15,957,843      $ 15,957,843  
  

 

 

 

Net change in unrealized appreciation/depreciation on investments still held at December 31, 20162

           $ (265,167   $ 261,303      $ (3,864
  

 

 

 

 

  1   

Included in the related net change in unrealized appreciation (depreciation) in the Statements of Operations.

 

  2   

Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at December 31, 2016 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 period end.

 

          Value          Valuation Approach     

Unobservable

Inputs

    Range of
Unobservable Inputs
Utilized
     Weighted Average of
Unobservable Inputs
 

Assets:

             

Preferred Stocks

       $ 15,957,843        Market        Discount Rate2       25.00%         
           Revenue Growth Rate1       187.00% - 348.00%      260.20%  
           Revenue Growth Rate1       23.00% - 27.00%        24.75%  
           Revenue Multiple1       4.50x - 12.00x        7.71x  
           Revenue Multiple1       14.25x - 46.00x        34.61x  
           Exit Scenario Probability1       15.00% - 55.00%        35.00%  
           Time to Exit2       1-3 years         
  

 

 

 

Total

       $ 15,957,843             
  

 

 

 

 

  1   

Increase in unobservable input may result in a significant increase to value, while a decrease in the unobservable input may result in a significant decrease to value.

 

  2   

Decrease in unobservable input may result in a significant increase to value, while an increase in the unobservable input may result in a significant decrease to value.

 

See Notes to Financial Statements.

 

94    ANNUAL REPORT    DECEMBER 31, 2016     


Schedule of Investments December 31, 2016      BlackRock Utility and Infrastructure Trust (BUI)  
     (Percentages shown are based on Net Assets)  

 

Common Stocks    Shares      Value  

Construction & Engineering — 3.2%

     

Ferrovial SA

     432,700      $ 7,716,903  

Vinci SA

     41,100        2,795,823  
     

 

 

 
                10,512,726  

Diversified Telecommunication Services — 2.0%

     

SBA Communications Corp., Class A (a)(b)(c)

     22,500        2,323,350  

Verizon Communications, Inc. (b)

     79,500        4,243,710  
     

 

 

 
                6,567,060  

Electric Utilities — 27.9%

     

American Electric Power Co., Inc. (b)

     96,800        6,094,528  

Duke Energy Corp. (b)

     134,068        10,406,358  

Edison International (b)

     109,400        7,875,706  

El Paso Electric Co.

     36,900        1,715,850  

Enel SpA

     1,732,447        7,615,343  

Eversource Energy

     80,900        4,468,107  

Exelon Corp. (b)

     306,600        10,881,234  

FirstEnergy Corp. (b)

     92,200        2,855,434  

Iberdrola SA

     198,600        1,300,414  

NextEra Energy, Inc. (b)(c)

     224,900        26,866,554  

Pinnacle West Capital Corp. (b)

     47,000        3,667,410  

PPL Corp. (b)

     115,400        3,929,370  

Xcel Energy, Inc.

     91,700        3,732,190  
     

 

 

 
                91,408,498  

Equity Real Estate Investment Trusts (REITs) — 3.1%

     

American Tower Corp. (b)

     53,300        5,632,744  

Crown Castle International Corp. (b)

     51,100        4,433,947  
     

 

 

 
                10,066,691  

Gas Utilities — 1.3%

     

Italgas SpA (a)

     148,760        585,344  

New Jersey Resources Corp.

     57,000        2,023,500  

Spire, Inc. (b)

     27,400        1,768,670  
     

 

 

 
                4,377,514  

Independent Power and Renewable Electricity Producers — 3.9%

 

  

EDP Renovaveis SA

     342,100        2,172,728  

NextEra Energy Partners LP

     130,100        3,322,754  

NRG Yield, Inc., Class A

     173,400        2,663,424  

NRG Yield, Inc., Class C (b)

     173,400        2,739,720  

Pattern Energy Group, Inc. (b)

     103,500        1,965,465  
     

 

 

 
                12,864,091  

Multi-Utilities — 22.0%

     

CMS Energy Corp. (b)(c)

     446,300        18,575,006  

Dominion Resources, Inc. (b)

     215,100        16,474,509  

DTE Energy Co. (b)

     46,900        4,620,119  

National Grid PLC

     184,900        2,160,338  

NiSource, Inc. (b)

     133,900        2,964,546  

NorthWestern Corp.

     45,792        2,604,191  

Public Service Enterprise Group, Inc. (b)

     241,056        10,577,537  

Sempra Energy (b)

     83,800        8,433,632  

Veolia Environnement SA

     101,800        1,729,776  

WEC Energy Group, Inc.

     70,600        4,140,690  
     

 

 

 
                72,280,344  

Oil, Gas & Consumable Fuels — 19.9%

     

Antero Midstream Partners LP

     76,200        2,353,056  

Columbia Pipeline Partners LP

     74,400        1,275,960  

Delek Logistics Partners LP (b)

     29,000        827,950  

Dominion Midstream Partners LP (b)

     276,571        8,172,673  

Enbridge, Inc. (b)

     93,800        3,950,858  

Energy Transfer Partners LP (b)

     73,096        2,617,568  
Common Stocks    Shares      Value  

Oil, Gas & Consumable Fuels (continued)

     

Enterprise Products Partners LP (b)

     172,854      $ 4,673,972  

EQT Midstream Partners LP (b)

     27,900        2,139,372  

Genesis Energy LP (b)

     111,969        4,033,123  

Magellan Midstream Partners LP (b)

     57,800        4,371,414  

MPLX LP (b)

     105,419        3,649,606  

ONEOK Partners LP (b)

     71,345        3,068,548  

Phillips 66 Partners LP

     41,200        2,003,968  

Plains All American Pipeline LP (b)

     120,670        3,896,434  

Shell Midstream Partners LP

     238,681        6,943,230  

Snam SpA

     725,000        2,981,827  

Sunoco Logistics Partners LP (b)

     76,800        1,844,736  

Targa Resources Corp. (b)

     44,700        2,506,329  

Valero Energy Partners LP

     35,400        1,567,158  

Western Gas Partners LP (b)

     18,314        1,076,131  

Williams Partners LP (b)

     38,815        1,476,134  
     

 

 

 
                65,430,047  

Road & Rail — 0.3%

     

East Japan Railway Co.

     9,900        853,565  

Transportation Infrastructure — 14.2%

     

Abertis Infraestructuras SA

     401,400        5,608,179  

Aeroports de Paris

     38,400        4,112,148  

Atlantia SpA

     489,884        11,461,536  

China Merchants Holdings International Co. Ltd.

     250,000        617,649  

Flughafen Zuerich AG

     14,200        2,631,360  

Fraport AG Frankfurt Airport Services Worldwide

     29,100        1,717,138  

Groupe Eurotunnel SE

     358,200        3,402,885  

Japan Airport Terminal Co. Ltd. (d)

     63,500        2,294,512  

Sydney Airport (e)

     1,491,766        6,439,137  

Transurban Group (e)

     1,119,600        8,332,420  
     

 

 

 
                46,616,964  

Water Utilities — 2.1%

     

American Water Works Co., Inc. (b)

     93,600        6,772,896  

Total Long-Term Investments

(Cost — $274,312,101) — 99.9%

              327,750,396  
     
Short-Term Securities                

BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.36% (f)(g)

     4,151,064        4,151,064  

SL Liquidity Series, LLC Money Market Series,
0.95% (f)(g)(h)

     456,105        456,151  

Total Short-Term Securities

(Cost — $4,607,170) — 1.4%

              4,607,215  

Total Investments Before Options Written

(Cost — $278,919,271) — 101.3%

              332,357,611  
     
Options Written                

(Premiums Received — $2,620,284) — (1.2)%

              (3,868,196

Total Investments Net of Options Written — 100.1%

        328,489,415  

Liabilities in Excess of Other Assets — (0.1)%

        (192,653
     

 

 

 

Net Assets — 100.0%

      $ 328,296,762  
     

 

 

 
 

 

See Notes to Financial Statements.

 

     ANNUAL REPORT    DECEMBER 31, 2016    95


Schedule of Investments (continued)      BlackRock Utility and Infrastructure Trust (BUI)  

 

 

      Notes to Schedule of Investments

 

(a) Non-income producing security.

 

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

 

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

 

(d) Security, or a portion of security, is on loan.

 

(e) A security contractually bound to one or more other securities to form a single saleable unit which cannot be sold separately.

 

(f) During the year ended December 31, 2016, investments in issuers considered to be affiliates of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliates    Shares Held at
December 31,
2015
    

Net

Activity

    Shares Held at
December 31,
2016
     Value at
December 31,
2016
     Income     Realized
Gain   
 

BlackRock Liquidity Funds, TempFund, Institutional Class

     8,391,615        (8,391,615)                     $22,346        

BlackRock Liquidity Funds, T-Fund, Institutional Class

            4,151,064       4,151,064              $4,151,064        3,159       $11  

SL Liquidity Series, LLC, Money Market Series

            456,105       456,105        456,151        31,191 1      60  

Total

                   $4,607,215        $56,696       $71  
          

 

 

 

 

  1   

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

 

(g) Current yield as of period end.

 

(h) Security was purchased with the cash collateral from loaned securities.

 

 

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.

 

      Derivative Financial Instruments Outstanding as of Period End

 

Exchange-Traded Options Written

                         
Description    Put/
Call
       Expiration
Date
      

Strike

Price

       Contracts        Value  

Enterprise Products Partners LP

     Call          1/06/17          USD        26.50          108        $ (6,750

American Water Works Co., Inc.

     Call          1/12/17          USD        72.71          148          (15,652

American Tower Corp.

     Call          1/13/17          USD        106.00          112          (16,800

American Electric Power Co., Inc.

     Call          1/20/17          USD        60.00          228          (71,250

American Tower Corp.

     Call          1/20/17          USD        105.00          74          (18,131

Crown Castle International Corp.

     Call          1/20/17          USD        87.50          78          (11,895

Delek Logistics Partners LP

     Call          1/20/17          USD        30.00          103          (6,180

Dominion Resources, Inc.

     Call          1/20/17          USD        72.50          376          (165,440

DTE Energy Co.

     Call          1/20/17          USD        95.00          64          (28,160

Duke Energy Corp.

     Call          1/20/17          USD        77.50          154          (19,250

Edison International

     Call          1/20/17          USD        70.00          191          (49,183

Edison International

     Call          1/20/17          USD        72.50          191          (18,623

Enbridge, Inc.

     Call          1/20/17          USD        42.50          168          (11,760

Energy Transfer Partners LP

     Call          1/20/17          USD        40.00          83          (1,453

Enterprise Products Partners LP

     Call          1/20/17          USD        26.00          384          (47,040

EQT Midstream Partners LP

     Call          1/20/17          USD        75.00          50          (12,125

Exelon Corp.

     Call          1/20/17          USD        34.00          280          (49,700

FirstEnergy Corp.

     Call          1/20/17          USD        32.00          93          (2,325

FirstEnergy Corp.

     Call          1/20/17          USD        35.00          25          (250

FirstEnergy Corp.

     Call          1/20/17          USD        36.00          68          (680

Genesis Energy LP

     Call          1/20/17          USD        35.00          330          (47,025

Magellan Midstream Partners LP

     Call          1/20/17          USD        70.00          104          (59,800

Magellan Midstream Partners LP

     Call          1/20/17          USD        72.50          103          (35,020

MPLX LP

     Call          1/20/17          USD        34.00          90          (10,125

NextEra Energy, Inc.

     Call          1/20/17          USD        120.00          184          (30,820

NiSource, Inc.

     Call          1/20/17          USD        23.00          268          (4,020

ONEOK Partners LP

     Call          1/20/17          USD        42.00          113          (18,363

ONEOK Partners LP

     Call          1/20/17          USD        44.00          59          (3,245

Pattern Energy Group, Inc.

     Call          1/20/17          USD        20.00          137          (2,740

Pinnacle West Capital Corp.

     Call          1/20/17          USD        75.00          82          (28,290

Plains All American Pipeline LP

     Call          1/20/17          USD        31.00          247          (40,138

PPL Corp.

     Call          1/20/17          USD        35.00          100          (2,000

Public Service Enterprise Group, Inc.

     Call          1/20/17          USD        45.00          100          (3,250

SBA Communications Corp., Class A

     Call          1/20/17          USD        105.00          80          (10,600

 

See Notes to Financial Statements.

 

96    ANNUAL REPORT    DECEMBER 31, 2016     


Schedule of Investments (continued)      BlackRock Utility and Infrastructure Trust (BUI)  

 

 

Description    Put/
Call
       Expiration
Date
      

Strike

Price

       Contracts        Value  

Sempra Energy

     Call          1/20/17          USD        100.00          47        $ (10,105

Sempra Energy

     Call          1/20/17          USD        105.00          120          (5,100

Spire, Inc.

     Call          1/20/17          USD        65.00          95          (8,313

Sunoco Logistics Partners LP

     Call          1/20/17          USD        24.00          78          (5,655

Targa Resources Corp.

     Call          1/20/17          USD        55.00          43          (9,568

Targa Resources Corp.

     Call          1/20/17          USD        57.50          166          (18,260

Verizon Communications, Inc.

     Call          1/20/17          USD        48.00          61          (32,940

Verizon Communications, Inc.

     Call          1/20/17          USD        50.00          21          (7,245

Williams Partners LP

     Call          1/20/17          USD        37.50          79          (9,678

Dominion Midstream Partners LP

     Call          1/24/17          USD        28.01          41          (8,747

American Water Works Co., Inc.

     Call          1/25/17          USD        73.35          25          (3,238

Enterprise Products Partners LP

     Call          1/27/17          USD        26.50          128          (12,800

CMS Energy Corp.

     Call          1/30/17          USD        40.50          800          (139,572

EQT Midstream Partners LP

     Call          1/30/17          USD        75.00          50          (10,781

Enbridge, Inc.

     Call          1/31/17          USD        42.51          168          (15,134

Targa Resources Corp.

     Call          1/31/17          USD        56.50          43          (6,125

Duke Energy Corp.

     Call          2/02/17          USD        79.00          315          (29,149

DTE Energy Co.

     Call          2/03/17          USD        98.95          100          (26,858

FirstEnergy Corp.

     Call          2/03/17          USD        32.51          136          (2,753

Exelon Corp.

     Call          2/06/17          USD        34.50          300          (50,479

CMS Energy Corp.

     Call          2/07/17          USD        42.01          800          (70,735

Pinnacle West Capital Corp.

     Call          2/07/17          USD        77.01          82          (13,619

Dominion Midstream Partners LP

     Call          2/09/17          USD        27.71          176          (41,038

Public Service Enterprise Group, Inc.

     Call          2/09/17          USD        43.85          10          (1,736

Verizon Communications, Inc.

     Call          2/10/17          USD        50.90          126          (31,456

American Electric Power Co., Inc.

     Call          2/17/17          USD        62.50          110          (20,625

Dominion Resources, Inc.

     Call          2/17/17          USD        77.50          377          (58,435

NRG Yield, Inc., Class C

     Call          2/17/17          USD        17.50          80          (1,400

Sunoco Logistics Partners LP

     Call          2/17/17          USD        25.00          78          (5,265

Verizon Communications, Inc.

     Call          2/17/17          USD        52.50          70          (11,305

Western Gas Partners LP

     Call          2/17/17          USD        56.25          103          (35,433

Exelon Corp.

     Call          2/23/17          USD        36.00          493          (39,847

Energy Transfer Partners LP

     Call          3/17/17          USD        36.00          180          (34,200

Genesis Energy LP

     Call          3/17/17          USD        35.00          300          (60,750

MPLX LP

     Call          3/17/17          USD        34.00          126          (23,940

Williams Partners LP

     Call          3/17/17          USD        37.50          68          (13,600

Total

                          $ (1,723,967
                         

 

 

 

 

OTC Options Written

                            
Description    Put/
Call
     Counterparty        Expiration
Date
      

Strike

Price

       Contracts        Value  

Xcel Energy, Inc.

     Call        Deutsche Bank AG          1/03/17          USD        42.58          16,000        $ (264

EDP Renovaveis SA

     Call        Goldman Sachs International          1/04/17          EUR        7.07          13,200           

Pattern Energy Group, Inc.

     Call        Goldman Sachs International          1/04/17          USD        21.50          7,000           

CMS Energy Corp.

     Call        Morgan Stanley & Co. International PLC          1/05/17          USD        42.39          29,900          (5,892

Vinci SA

     Call        UBS AG          1/06/17          EUR        68.16          6,500          (18

Eversource Energy

     Call        Goldman Sachs International          1/09/17          USD        55.00          14,400          (10,981

Dominion Midstream Partners LP

     Call        Barclays Bank PLC          1/10/17          USD        25.43          17,500          (72,322

China Merchants Holdings International Co. Ltd.

     Call        UBS AG          1/11/17          HKD        19.83          14,000          (236

Enel SpA

     Call        Credit Suisse International          1/11/17          EUR        3.68          85,200          (44,677

NRG Yield, Inc., Class A

     Call        Barclays Bank PLC          1/11/17          USD        15.20          30,300          (14,924

PPL Corp.

     Call        Barclays Bank PLC          1/11/17          USD        33.15          9,700          (10,450

Transurban Group

     Call        Morgan Stanley & Co. International PLC          1/11/17          AUD        9.85          148,000          (52,218

Williams Partners LP

     Call        Deutsche Bank AG          1/11/17          USD        37.64          7,100          (6,519

Antero Midstream Partners LP

     Call        Barclays Bank PLC          1/12/17          USD        30.39          13,600          (13,035

Japan Airport Terminal Co. Ltd.

     Call        JPMorgan Chase Bank N.A.          1/12/17          JPY         4,386.00          17,500          (6,017

Public Service Enterprise Group, Inc.

     Call        Morgan Stanley & Co. International PLC          1/12/17          USD        43.21          48,300          (84,088

Veolia Environnement SA

     Call        Bank of America N.A.          1/12/17          EUR        20.14          25,700           

Enel SpA

     Call        Credit Suisse International          1/17/17          EUR        3.68          85,100          (44,947

NiSource, Inc.

     Call        Barclays Bank PLC          1/17/17          USD        22.68          23,800          (3,961

 

See Notes to Financial Statements.

 

     ANNUAL REPORT    DECEMBER 31, 2016    97


Schedule of Investments (continued)      BlackRock Utility and Infrastructure Trust (BUI)  

 

 

Description    Put/
Call
     Counterparty      Expiration
Date
    

Strike

Price

       Contracts        Value  

Snam SpA

     Call      Credit Suisse International      1/17/17        EUR        3.59          60,000        $ (20,096

Transurban Group

     Call      Morgan Stanley & Co. International PLC      1/17/17        AUD        9.85          148,000          (54,532

Aeroports de Paris

     Call      Credit Suisse International      1/18/17        EUR        95.08          4,000          (28,117

American Water Works Co., Inc.

     Call      Barclays Bank PLC      1/18/17        USD        72.81          31,700          (40,256

EDP Renovaveis SA

     Call      Credit Suisse International      1/18/17        EUR        5.91          13,300          (2,874

Enel SpA

     Call      Bank of America N.A.      1/18/17        EUR        4.07          209,000          (32,395

Groupe Eurotunnel SE

     Call      Morgan Stanley & Co. International PLC      1/18/17        EUR        8.42          77,600          (53,207

New Jersey Resources Corp.

     Call      Bank of America N.A.      1/18/17        USD        36.51          10,000          (4,782

NRG Yield, Inc., Class C

     Call      Barclays Bank PLC      1/18/17        USD        16.39          26,600          (6,800

Vinci SA

     Call      Credit Suisse International      1/18/17        EUR        62.95          1,800          (4,166

CMS Energy Corp.

     Call      Barclays Bank PLC      1/19/17        USD        40.35          21,500          (35,692

Flughafen Zuerich AG

     Call      Morgan Stanley & Co. International PLC      1/19/17        CHF        179.06          6,500          (62,369

WEC Energy Group, Inc.

     Call      Bank of America N.A.      1/23/17        USD        56.45          14,200          (43,338

Eversource Energy

     Call      Citibank N.A.      1/24/17        USD        52.27          14,100          (50,639

NextEra Energy Partners LP

     Call      Morgan Stanley & Co. International PLC      1/24/17        USD        24.76          13,000          (13,658

NRG Yield, Inc., Class A

     Call      Barclays Bank PLC      1/24/17        USD        15.85          4,300          (1,643

Shell Midstream Partners LP

     Call      Bank of America N.A.      1/24/17        USD        28.33          42,800          (57,768

Valero Energy Partners LP

     Call      UBS AG      1/24/17        USD        40.69          6,300          (25,275

American Water Works Co., Inc.

     Call      Barclays Bank PLC      1/25/17        USD        73.34          2,400          (3,123

Abertis Infraestructuras SA

     Call      UBS AG      1/26/17        EUR        13.09          28,000          (11,342

Antero Midstream Partners LP

     Call      Morgan Stanley & Co. International PLC      1/26/17        USD        29.32          28,300          (55,280

Atlantia SpA

     Call      Morgan Stanley & Co. International PLC      1/26/17        EUR        22.00          61,000          (38,279

EDP Renovaveis SA

     Call      Bank of America N.A.      1/26/17        EUR        5.80          23,500          (7,550

Iberdrola SA

     Call      Bank of America N.A.      1/26/17        EUR        6.06          70,000          (12,118

Sydney Airport

     Call      Deutsche Bank AG      1/27/17        AUD        6.51          174,000          (1,396

NiSource, Inc.

     Call      Citibank N.A.      1/30/17        USD        22.48          23,000          (7,791

El Paso Electric Co.

     Call      Goldman Sachs International      1/31/17        USD        47.62          13,000          (9,823

Enel SpA

     Call      Bank of America N.A.      1/31/17        EUR        4.02          147,000          (24,268

New Jersey Resources Corp.

     Call      Citibank N.A.      1/31/17        USD        36.50          9,800          (7,075

NorthWestern Corp.

     Call      Deutsche Bank AG      1/31/17        USD        58.03          16,000          (14,076

ONEOK Partners LP

     Call      Barclays Bank PLC      1/31/17        USD        44.88          23,000          (7,167

Plains All American Pipeline LP

     Call      Goldman Sachs International      1/31/17        USD        32.92          18,600          (9,715

Aeroports de Paris

     Call      UBS AG      2/01/17        EUR        102.57          8,600          (14,331

Atlantia SpA

     Call      Credit Suisse International      2/01/17        EUR        22.72          60,500          (21,619

EDP Renovaveis SA

     Call      Credit Suisse International      2/01/17        EUR        6.30          18,000          (1,533

EDP Renovaveis SA

     Call      Morgan Stanley & Co. International PLC      2/01/17        EUR        6.10          14,000          (2,296

NextEra Energy Partners LP

     Call      Barclays Bank PLC      2/01/17        USD        25.50          13,000          (8,897

Dominion Midstream Partners LP

     Call      Barclays Bank PLC      2/02/17        USD        26.30          17,000          (59,495

NextEra Energy, Inc.

     Call      Morgan Stanley & Co. International PLC      2/02/17        USD        119.61          33,800          (80,142

Public Service Enterprise Group, Inc.

     Call      Morgan Stanley & Co. International PLC      2/02/17        USD        42.23          25,000          (78,188

Plains All American Pipeline LP

     Call      Credit Suisse International      2/03/17        USD        32.50          23,000          (19,822

Transurban Group

     Call      Deutsche Bank AG      2/03/17        AUD        10.73          100,000          (6,515

Xcel Energy, Inc.

     Call      Barclays Bank PLC      2/03/17        USD        41.02          16,000          (17,640

Groupe Eurotunnel SE

     Call      Morgan Stanley & Co. International PLC      2/07/17        EUR        8.42          77,600          (55,906

Snam SpA

     Call      Bank of America N.A.      2/07/17        EUR        3.85          140,000          (19,922

Veolia Environnement SA

     Call      UBS AG      2/07/17        EUR        16.43          10,000          (3,924

Abertis Infraestructuras SA

     Call      UBS AG      2/08/17        EUR        13.63          112,500          (17,902

Ferrovial SA

     Call      Credit Suisse International      2/08/17        EUR        17.02          11,100          (5,305

Ferrovial SA

     Call      Morgan Stanley & Co. International PLC      2/08/17        EUR        17.63          75,500          (17,705

Fraport AG Frankfurt Airport Services Worldwide

     Call      Morgan Stanley & Co. International PLC      2/08/17        EUR        56.81          10,200          (10,679

Aeroports de Paris

     Call      UBS AG      2/09/17        EUR        102.57          8,600          (16,919

East Japan Railway Co.

     Call      Goldman Sachs International      2/09/17        JPY         10,201.65          3,500          (5,846

Phillips 66 Partners LP

     Call      UBS AG      2/09/17        USD        48.00          8,200          (10,285

Sydney Airport

     Call      Deutsche Bank AG      2/09/17        AUD        6.16          174,100          (12,279

NextEra Energy, Inc.

     Call      UBS AG      2/13/17        USD        120.55          21,600          (50,674

Atlantia SpA

     Call      UBS AG      2/14/17        EUR        22.30          50,000          (31,166

Japan Airport Terminal Co. Ltd.

     Call      Morgan Stanley & Co. International PLC      2/14/17        JPY         4,320.85          17,500          (20,484

Enel SpA

     Call      Credit Suisse International      2/15/17        EUR        4.17          80,000          (7,450

Eversource Energy

     Call      Citibank N.A.      2/15/17        USD        54.24          15,900          (30,934

National Grid PLC

     Call      UBS AG      2/15/17        GBP        9.41          64,800          (24,063

Snam SpA

     Call      Morgan Stanley & Co. International PLC      2/15/17        EUR        4.01          53,800          (4,003

CMS Energy Corp.

     Call      Citibank N.A.      2/16/17        USD        40.88          34,000          (53,875

 

See Notes to Financial Statements.

 

98    ANNUAL REPORT    DECEMBER 31, 2016     


Schedule of Investments (continued)      BlackRock Utility and Infrastructure Trust (BUI)  

 

 

Description    Put/
Call
       Counterparty        Expiration
Date
      

Strike

Price

       Contracts        Value  

EDP Renovaveis SA

     Call          UBS AG          2/16/17          EUR        6.11          14,100        $ (2,700

Crown Castle International Corp.

     Call          Bank of America N.A.          2/22/17          USD        88.09          10,000          (24,071

Sydney Airport

     Call          Deutsche Bank AG          2/22/17          AUD        6.51          174,000          (4,432

NextEra Energy, Inc.

     Call          Barclays Bank PLC          2/23/17          USD        118.51          49,700          (208,604

WEC Energy Group, Inc.

     Call          Barclays Bank PLC          2/23/17          USD        57.65          24,600          (57,401

Valero Energy Partners LP

     Call          Bank of America N.A.          2/27/17          USD        43.00          6,000          (14,407

EDP Renovaveis SA

     Call          Bank of America N.A.          2/28/17          EUR        6.08          24,000          (5,656

Total

                               $ (2,144,229
                              

 

 

 

 

      Transactions in Options Written for the Year Ended December 31, 2016

 

      Calls      Puts  
  

 

 

    

 

 

 
        Contracts      Premiums  
Received  
     Contracts        Premiums
Received 
 

 

    

 

 

 

Outstanding options at beginning of year

     3,321,328      $ 2,174,098                    

Options written

        24,364,984        18,822,658                           —           

Options exercised

     (219      (18,995)                   

Options expired

     (13,095,648      (7,310,703)                   

Options closed

     (11,024,175      (11,046,774)                   
  

 

 

    

 

 

 

Outstanding options at end of year

     3,566,270      $ 2,620,284                    
  

 

 

    

 

 

 

As of period end, the value of portfolio securities subject to covered call options written was $123,811,675.

 

      Derivative Financial Instruments Categorized by Risk Exposure

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

 

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

Liabilities — Derivative Financial Instruments

                                                      

Options written

   Options written, at value           —          $ 3,868,196          —            —          $ 3,868,196  

For the year ended December 31, 2016, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

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

Options written

     —          —        $ 601,519           $ 601,519  
  

 

 

 
                

Net Change in Unrealized Appreciation (Depreciation) on:

                                            

Options written

     —          —        $ (529,936         $ (529,936
  

 

 

 

 

      Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Options:

        

Average value of option contracts written

   $ 3,933,288  

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

 

See Notes to Financial Statements.

 

     ANNUAL REPORT    DECEMBER 31, 2016    99


Schedule of Investments (continued)      BlackRock Utility and Infrastructure Trust (BUI)  

 

 

      Derivative Financial Instruments — Offsetting as of Period End

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

 

                       Assets      Liabilities  

Derivative Financial Instruments:

       

Options

                   —      $ 3,868,196  
  

 

 

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

                   —        (1,723,967
  

 

 

Total derivative assets and liabilities subject to an MNA

                   —      $ 2,144,229  
  

 

 

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

 

     

Gross Amounts Not Offset in the Consolidated Statements of Assets and  Liabilities

and Subject to an MNA

 
  

 

 

 
Counterparty    Derivative Liabilities
    Subject to an MNA by     
Counterparty
     Derivatives Available
for Offset
   Non-cash
Collateral
Pledged1
    Cash
Collateral
Pledged
   Net Amount of      
Derivative Liabilities2      
 

Bank of America N.A.

     $   246,275                                  $   246,275                 

Barclays Bank PLC

     561,410                                  561,410                 

Citibank N.A.

     150,314                       $ (150,314        —                 

Credit Suisse International

     200,606                         (200,606        —                 

Deutsche Bank AG

     45,481                         (45,481        —                 

Goldman Sachs International

     36,365                                  36,365                 

JPMorgan Chase Bank N.A.

     6,017                                  6,017                 

Morgan Stanley & Co. International PLC

     688,926                         (658,583        30,343                 

UBS AG

     208,835                                  208,835                 
  

 

 

 

Total

     $2,144,229                       $ (1,054,984        $1,089,245                 
  

 

 

 

 

  1   

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

 

  2   

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

 

See Notes to Financial Statements.

 

100    ANNUAL REPORT    DECEMBER 31, 2016     


Schedule of Investments (concluded)      BlackRock Utility and Infrastructure Trust (BUI)  

 

 

      Fair Value Hierarchy as of Period End

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

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

 

      Level 1   Level 2                Level 3                Total

Assets:

                 

Investments:

                 

Long-Term Investments:

                 

Common Stocks:

                 

Construction & Engineering

           $ 10,512,726              $ 10,512,726

Diversified Telecommunication Services

      $ 6,567,060                    6,567,060

Electric Utilities

       82,492,741       8,915,757              91,408,498

Equity Real Estate Investment Trusts (REITs)

       10,066,691                    10,066,691

Gas Utilities

       4,377,514                    4,377,514

Independent Power and Renewable Electricity Producers

       10,691,363       2,172,728              12,864,091

Multi-Utilities

       68,390,230       3,890,114              72,280,344

Oil, Gas & Consumable Fuels

       62,448,220       2,981,827              65,430,047

Road & Rail

             853,565              853,565

Transportation Infrastructure

             46,616,964              46,616,964

Water Utilities

       6,772,896                    6,772,896

Short-Term Securities

       4,151,064                    4,151,064
    

 

 

 

Subtotal

      $               255,957,779     $               75,943,681              $               331,901,460
    

 

 

 

Investments Valued at NAV1

                    456,151
                 

 

 

 

Total Investments

                    $ 332,357,611
                 

 

 

 
                 

Derivative Financial Instruments2

                                         

Liabilities:

                 

Equity contracts

      $ (1,181,615 )     $ (2,686,581 )              $ (3,868,196 )
    

 

 

 

1    As of December 31, 2016, certain of the Fund’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.

     

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

     

During the year ended December 31, 2016, there were no transfers between levels.

 

See Notes to Financial Statements.

 

     ANNUAL REPORT    DECEMBER 31, 2016    101


Statements of Assets and Liabilities         

 

December 31, 2016          BlackRock
      Energy and
      Resources
      Trust (BGR)
       BlackRock
Enhanced
Capital and
Income
Fund, Inc. (CII)
      

BlackRock
Enhanced

Equity

Dividend
Trust (BDJ)

       BlackRock
Global
Opportunities
Equity
Trust (BOE)
      

BlackRock      
Health      

Sciences      
Trust (BME)      

 
                      
      Assets                                                     

Investments at value — unaffiliated1,2

         $ 490,125,533          $649,720,921        $ 1,766,973,361          $923,995,553        $ 262,814,808        

Investments at value — affiliated3

     3,936,617          25,410,634          3,630,472          11,863,116          8,738,869        

Cash

     8,183                   8,914                   178,166        

Cash pledged:

                      

Collateral — options written

                                2,386,125          —        

Collateral — OTC derivatives

              420,000          93,000          540,000          —        

Futures contracts

              499,000                            —        

Foreign currency at value4

     13,033          1,783          9,613          1,089,372          30,691        

Receivables:

                      

Investments sold

     73,582          505,470                   2,082,551          1,181,504        

Options written

     25,099          136,296          75,879          102,093          —        

Securities lending income — affiliated

     482          174          2                   786        

Capital shares sold

                                         229,167        

Dividends — affiliated

     850          5,361          884          4,360          2,075        

Dividends — unaffiliated

     429,222          735,613          3,076,700          1,187,369          249,871        

Prepaid offering costs

                                         23,807        

Other assets

     11,109          15,744          40,347          35,469          92,178        
  

 

 

 

Total assets

     494,623,710          677,450,996          1,773,909,172          943,286,008          273,541,922        
  

 

 

 
                      
      Liabilities                                                     

Bank overdraft

              14,720                   7,365          —        

Cash collateral on securities loaned at value

              695,531                            126,901        

Options written at value5

     6,152,354          10,302,482          29,467,237          11,210,596          1,926,945        

Payables:

                      

Investments purchased

     70,766                            32,771          393,264        

Income dividends

     193,945          243,917          363,831          224,492          —        

Investment advisory fees

     454,393          479,249          1,183,098          749,898          230,004        

Officer’s and Trustees’ fees

     465,046          162,982          877,536          667,193          27,628        

Options written

     35,326          104,307          15,273          182,149          8,413        

Other accrued expenses

     187,910          242,423          353,362          314,380          135,345        

Variation margin on futures contracts

              45,938                            —        
  

 

 

 

Total liabilities

     7,559,740          12,291,549          32,260,337          13,388,844          2,848,500        
  

 

 

 

Net Assets

         $ 487,063,970          $665,159,447        $ 1,741,648,835          $929,897,164        $ 270,693,422        
  

 

 

 
                      
      Net Assets Consist of                                                     

Paid-in capital

         $ 615,225,359          $641,272,545        $ 1,332,901,059          $838,850,643        $ 211,709,324        

Undistributed (distributions in excess of) net investment income

     (694,483        (146,960        (842,079        (2,475,540        29,892        

Accumulated net realized loss

     (173,388,109        (39,393,563        (70,770,626        (9,929,003        (679,412)       

Net unrealized appreciation (depreciation)

     45,921,203          63,427,425          480,360,481          103,451,064          59,633,618        
  

 

 

 

Net Assets

         $ 487,063,970          $665,159,447        $ 1,741,648,835          $929,897,164        $ 270,693,422        
  

 

 

 

Net asset value6,7

         $ 16.33          $15.08        $ 9.22          $           13.38        $ 31.30        
  

 

 

 

1      Investments at cost — unaffiliated

         $ 442,857,418          $584,067,285        $ 1,278,067,603          $820,915,590        $ 203,676,547        

2      Securities loaned at value

              $       676,613                          $ 123,156        

3      Investments at cost — affiliated

         $ 3,936,617          $  25,410,580        $ 3,630,472          $  11,863,116        $ 8,738,869        

4      Foreign currency at cost

         $ 13,061          $           9,142        $ 9,645          $    1,091,423        $ 31,014        

5      Premiums received

         $ 4,804,608          $    8,212,203        $ 20,925,252          $  11,608,196        $ 2,428,175        

6    Shares outstanding, unlimited number of shares authorized, $0.001 par value

     29,825,326                   188,978,322          69,483,161          8,648,080        

7    Shares outstanding, 200 million shares authorized, $0.10 par value

              44,121,400                            —        

 

See Notes to Financial Statements.

 

102    ANNUAL REPORT    DECEMBER 31, 2016     


Statements of Assets and Liabilities         

 

December 31, 2016          BlackRock
      International
      Growth and
      Income
      Trust (BGY)
       BlackRock
Resources &
Commodities
Strategy
Trust (BCX)1
       BlackRock
Science and
Technology
Trust (BST)
       BlackRock      
Utility and      
Infrastructure       
Trust (BUI)      
 
                 
      Assets                                          

Investments at value — unaffiliated2,3

             $ 678,263,199        $ 973,897,050        $ 452,155,676         $ 327,750,396        

Investments at value — affiliated4

     22,641,400          16,541,191          3,031,042          4,607,215        

Cash

     5,854          586,383          5,659          24,135        

Cash pledged:

                 

Collateral — options written

     2,040,780                   159,285          —        

Collateral — OTC derivatives

     2,467,000                   1,060,000          —        

Foreign currency at value5

     8,290,731                   90,175          1,504        

Receivables:

                 

Investments sold

     1,705,177          156,363          10,990          —        

Options written

     21,742          231,623          70,566          6,250        

Dividends — unaffiliated

     1,047,684          1,994,726          139,060          848,175        

Dividends — affiliated

     7,426          2,462          511          533        

Securities lending income — affiliated

              8,502          2,678          1,966        

Other assets

     17,566          23,964          12,899          8,271        
  

 

 

 

Total assets

     716,508,559          993,442,264          456,738,541          333,248,445        
  

 

 

 
                 
      Liabilities                                          

Foreign bank overdraft5

              48,722                   —        

Options written at value6

     8,662,185          10,145,685          3,450,347          3,868,196        

Cash collateral on securities loaned at value

              3,934,928          128,830          456,046        

Payables:

                 

Investments purchased

     15,565,780          151,641          24,384          —        

Options written

              348,670          34,756          —        

Income dividends

     246,622          408,385          100,603          141,331        

Investment advisory fees

     524,500          824,929          307,253          274,182        

Officer’s and Trustees’ fees

     591,199          345,262          16,743          11,073        

Other accrued expenses payable

     290,593          334,930          232,644          200,855        
  

 

 

 

Total liabilities

     25,880,879          16,543,152          4,295,560          4,951,683        
  

 

 

 

Net Assets

             $ 690,627,680        $ 976,899,112        $ 452,442,981         $ 328,296,762        
  

 

 

 
                 
      Net Assets Consist of                                          

Paid-in capital

             $ 781,683,771        $ 1,341,227,271        $ 373,358,508         $ 280,924,430        

Undistributed (distributions in excess of) net investment income

     (2,275,343        (728,229        1,662          2,439,628        

Accumulated net realized loss

     (114,090,009        (501,753,305        (18,318,953        (7,246,903)       

Net unrealized appreciation (depreciation)

     25,309,261          138,153,375          97,401,764          52,179,607        
  

 

 

 

Net Assets

             $ 690,627,680        $ 976,899,112        $ 452,442,981         $ 328,296,762        
  

 

 

 

Net asset value7

             $ 6.28        $ 9.86        $ 20.10         $ 19.42        
  

 

 

 
                 

1      Consolidated Statement of Assets and Liabilities

                 

2      Investments at cost — unaffiliated

             $ 651,151,015        $ 835,757,398        $ 355,438,442         $ 274,312,101        

3      Securities loaned at value

            $ 3,699,056        $ 124,536         $ 433,609        

4      Investments at cost — affiliated

             $ 22,641,400        $ 16,540,987        $ 3,031,030         $ 4,607,170        

5      Foreign currency at cost

             $ 8,318,691        $ (45,789      $ 92,297         $ 1,499        

6      Premiums received

             $ 7,043,095        $ 10,175,756        $ 4,136,623         $ 2,620,284        

7     Shares outstanding, unlimited number of shares authorized, $0.001 par value

     109,989,277          99,059,784          22,507,592          16,906,964        

 

See Notes to Financial Statements.

 

     ANNUAL REPORT    DECEMBER 31, 2016    103


Statements of Operations         

 

Year Ended December 31, 2016    BlackRock
Energy and
Resources
Trust (BGR)
    BlackRock
Enhanced
Capital and
Income
Fund, Inc. (CII)
   

BlackRock
Enhanced

Equity

Dividend
Trust (BDJ)

    BlackRock Global
Opportunities
Equity
Trust (BOE)
    BlackRock  
Health Sciences  
Trust (BME)  
 
          
      Investment Income                                         

Dividends — affiliated

    $ 32,046     $ 74,655     $ 25,190     $ 82,140     $ 46,533    

Dividends — unaffiliated

     13,892,277       11,705,433       45,461,384       21,813,501       3,329,257    

Securities lending — affiliated — net

     26,579       2,681       133       19,796       8,130    

Foreign taxes withheld

     (510,328     (84,850     (200,804     (1,439,118     (30,033)   
  

 

 

 

Total income

     13,440,574       11,697,919       45,285,903       20,476,319       3,353,887    
  

 

 

 
          
      Expenses                                         

Investment advisory

     5,306,489       5,416,380       13,095,900       9,335,143       2,766,482    

Custodian

     113,125       281,735       223,166       236,522       105,762    

Transfer agent

     102,534       91,190       213,479       141,247       50,803    

Officer and Trustees

     101,922       84,388       277,242       181,372       30,436    

Professional

     95,503       114,144       175,347       161,279       96,025    

Printing

     16,891       30,878       56,856       40,813       18,434    

Registration

     11,949       17,368       74,680       27,352       12,069    

Insurance

     10,745       18,482       34,871       24,593       7,647    

Offering costs

                             58,865    

Miscellaneous

     46,418       16,851       10,110       117,604       28,541    
  

 

 

 

Total expenses

     5,805,576       6,071,416       14,161,651       10,265,925       3,175,064    

Less fees waived by the Manager

     (343,229     (15,568     (203,722     (483,059     (9,713)   
  

 

 

 

Total expenses after fees waived

     5,462,347       6,055,848       13,957,929       9,782,866       3,165,351    
  

 

 

 

Net investment income

     7,978,227       5,642,071       31,327,974       10,693,453       188,536    
  

 

 

 
          
      Realized and Unrealized Gain (Loss)                                         

Net realized gain (loss) from:

          

Investments — unaffiliated

     (56,045,342     (24,500,308     44,139,491       4,676,974       20,981,655    

Investments — affiliated

     1,435       3       36             1    

Capital gain distributions from investment companies — affiliated

     18       160             143       55    

Options written

     (4,190,501     (8,774,735     (41,352,597     (3,476,161     1,486,350    

Futures contracts

           301,677                   —    

Forward foreign currency exchange contracts

                       63,790       —    

Foreign currency transactions

     (288,068     368       (63,092     (157,927     8,608    
  

 

 

 
     (60,522,458     (32,972,835     2,723,838       1,106,819                 22,476,669    
  

 

 

 

Net change in unrealized appreciation (depreciation) on:

          

Investments — unaffiliated

     154,021,490       80,436,622       181,880,305       4,092,362       (39,586,895)   

Investments — affiliated

           54                   —    

Options written

     (3,690,895     (3,640,497     (11,888,994     (3,395,482     656,007    

Futures contracts

           (128,627                 —    

Foreign currency translations

     2,133       (406     1,077       39,343       (2,780)   
  

 

 

 
             150,332,728       76,667,146       169,992,388       736,223       (38,933,668)   
  

 

 

 

Net realized and unrealized gain (loss)

     89,810,270       43,694,311       172,716,226       1,843,042       (16,456,999)   
  

 

 

 

Net Increase (Decrease) in Net Assets Resulting from Operations

    $ 97,788,497     $           49,336,382     $         204,044,200     $           12,536,495     $ (16,268,463)   
  

 

 

 

 

See Notes to Financial Statements.

 

104    ANNUAL REPORT    DECEMBER 31, 2016     


Statements of Operations         

 

Year Ended December 31, 2016            BlackRock
        International
         Growth and
        Income
        Trust (BGY)
       BlackRock
Resources &
Commodities
Strategy
Trust (BCX)1
      

BlackRock

Science and
Technology Trust (BST)

       BlackRock        
Utility and        
Infrastructure         
Trust (BUI)        
 
                 
      Investment Income                                          

Dividends — affiliated

            $ 188,803        $ 45,771           $        7,495                   $ 25,505          

Dividends — unaffiliated

     18,932,756          24,995,241          3,989,216                    13,568,278          

Securities lending — affiliated — net

     21,839          134,174          125,365                    31,191          

Foreign taxes withheld

     (1,884,554        (1,194,382        (130,781)                   (339,216)         
  

 

 

 

Total income

     17,258,844          23,980,804          3,991,295                    13,285,758          
  

 

 

 
                 
      Expenses                                          

Investment advisory

     7,114,404          8,924,260          4,341,376                    3,360,762          

Custodian

     217,243          215,493          129,860                    130,972          

Officer and Trustees

     159,409          133,986          46,799                    35,413          

Professional

     142,211          137,634          113,210                    98,176          

Transfer agent

     131,250          92,507          55,221                    61,505          

Registration

     43,297          41,521          8,126                    9,569          

Printing

     32,994          20,411          7,227                    18,997          

Insurance

     19,024          35,187          10,724                    8,149          

Miscellaneous

     138,602          64,569          60,841                    67,663          
  

 

 

 

Total expenses

     7,998,434          9,665,568          4,773,384                    3,791,206          

Less fees waived by the Manager

     (748,846        (9,102        (869,782)                   (4,851)         
  

 

 

 

Total expenses after fees waived

     7,249,588          9,656,466          3,903,602                    3,786,355          
  

 

 

 

Net investment income

     10,009,256          14,324,338          87,693                    9,499,403          
  

 

 

 
                 
      Realized and Unrealized Gain (Loss)                                          

Net realized gain (loss) from:

                 

Investments — unaffiliated

     (32,864,289        (59,317,759        11,035,064                    8,590,356          

Investments — affiliated

              2,130          123                    60          

Capital gain distributions received from affiliated investment companies

     186          52          11                    11          

Options written

     (417,318        (36,777,894        (2,474,731)                   601,519          

Futures contracts

     6,658,849                   —                    —          

Forward foreign currency exchange contracts

     14,390                   —                    —          

Foreign currency transactions

     (547,288        (120,363        (119,738)                   (19,029)         
  

 

 

 
     (27,155,470        (96,213,834        8,440,729                    9,172,917          
  

 

 

 

Net change in unrealized appreciation (depreciation) on:

                 

Investments — unaffiliated

     5,203,286 2         290,540,919          28,233,757                    4,956,421          

Investments — affiliated

              204          12                    45          

Options written

     (4,135,248        (1,642,793        (783,027)                   (529,936)         

Foreign currency translations

     (34,231        7,879          (3,918)                   (388)         
  

 

 

 
     1,033,807          288,906,209          27,446,824                    4,426,142          
  

 

 

 

Net realized and unrealized gain (loss)

     (26,121,663        192,692,375          35,887,553                    13,599,059          
  

 

 

 

Net Increase (Decrease) in Net Assets Resulting from Operations

            $ (16,112,407      $ 207,016,713           $35,975,246                   $ 23,098,462          
  

 

 

 

 

  1   

Consolidated Statement of Operations.

  2   

Net of $(103,833) foreign capital gain tax.

 

See Notes to Financial Statements.

 

     ANNUAL REPORT    DECEMBER 31, 2016    105


Statements of Changes in Net Assets         

 

     BlackRock
Energy and
Resources Trust (BGR)
       BlackRock
Enhanced Capital and
Income Fund, Inc. (CII)
 
     Year Ended December 31,        Year Ended December 31,  
Increase (Decrease) in Net Assets:    2016     2015        2016     2015  
           
      Operations                                    

Net investment income

   $ 7,978,227     $ 8,686,290        $ 5,642,071     $ 4,876,418   

Net realized gain (loss)

     (60,522,458     (105,484,599        (32,972,835     155,685,181   

Net change in unrealized appreciation/depreciation

     150,332,728       (70,456,190        76,667,146       (132,503,358)  
  

 

 

      

 

 

 

Net increase (decrease) in net assets resulting from operations

     97,788,497       (167,254,499        49,336,382       28,058,241   
  

 

 

      

 

 

 
           
      Distributions to Shareholders1                                    

From net investment income

     (7,985,951     (8,567,540        (5,818,337     (6,318,821)  

From net realized gains

                    (1,682,938     (46,626,859)  

From return of capital

     (21,720,074     (36,005,387        (43,167,741     —   
  

 

 

      

 

 

 

Decrease in net assets resulting from distributions to shareholders

     (29,706,025     (44,572,927        (50,669,016     (52,945,680)  
  

 

 

      

 

 

 
           
      Capital Share Transactions                                    

Reinvestment of dividends

           1,205,970                —   
  

 

 

      

 

 

 
           
      Net Assets                                    

Total increase (decrease) in net assets

     68,082,472       (210,621,456        (1,332,634     (24,887,439)  

Beginning of year

     418,981,498       629,602,954          666,492,081       691,379,520   
  

 

 

      

 

 

 

End of year

   $         487,063,970     $         418,981,498        $         665,159,447     $         666,492,081   
  

 

 

      

 

 

 

Distributions in excess of net investment income, end of year

   $ (694,483   $ (398,691      $ (146,960   $ (112,579)  
  

 

 

      

 

 

 

 

  1   

Distributions for annual periods determined in accordance with federal income tax regulations.

 

See Notes to Financial Statements.

 

106    ANNUAL REPORT    DECEMBER 31, 2016     


Statements of Changes in Net Assets         

 

 

     BlackRock
Enhanced Equity
Dividend Trust (BDJ)
       BlackRock
Global Opportunities
Equity Trust (BOE)
 
     Year Ended December 31,        Year Ended December 31,  
Increase (Decrease) in Net Assets:    2016     2015        2016     2015  
           
      Operations                                    

Net investment income

   $ 31,327,974     $ 31,195,998        $ 10,693,453     $ 7,638,770   

Net realized gain

     2,723,838       31,480,464          1,106,819       29,095,008   

Net change in unrealized appreciation/depreciation

     169,992,388       (60,335,311        736,223       (26,224,116)  
  

 

 

      

 

 

 

Net increase in net assets resulting from operations

     204,044,200       2,341,151          12,536,495       10,509,662   
  

 

 

      

 

 

 
           
      Distributions to Shareholders1                                    

From net investment income

     (31,386,331     (31,248,083        (6,886,585     (11,517,508)  

Distributions in excess of net investment income

                          (7,284,361)  

From return of capital

     (74,517,121     (74,655,369        (66,070,734     (62,076,530)  
  

 

 

      

 

 

 

Decrease in net assets resulting from distributions to shareholders

     (105,903,452     (105,903,452        (72,957,319     (80,878,399)  
  

 

 

      

 

 

 
           
      Net Assets                                    

Total increase (decrease) in net assets

     98,140,748       (103,562,301        (60,420,824     (70,368,737)  

Beginning of year

     1,643,508,087       1,747,070,388          990,317,988               1,060,686,725   
  

 

 

      

 

 

 

End of year

   $         1,741,648,835     $         1,643,508,087        $         929,897,164     $ 990,317,988   
  

 

 

      

 

 

 

Distributions in excess of net investment income, end of year

   $ (842,079   $ (720,631      $ (2,475,540   $ (6,725,341)  
  

 

 

      

 

 

 

 

  1   

Distributions for annual periods determined in accordance with federal income tax regulations.

 

See Notes to Financial Statements.

 

     ANNUAL REPORT    DECEMBER 31, 2016    107


Statements of Changes in Net Assets         

 

 

     BlackRock
Health Sciences
Trust (BME)
       BlackRock
International Growth
and Income Trust (BGY)
 
     Year Ended December 31,        Year Ended December 31,  
Increase (Decrease) in Net Assets:    2016     2015        2016     2015  
           
      Operations                                    

Net investment income (loss)

   $ 188,536     $ (443,773      $ 10,009,256     $ 9,034,062   

Net realized gain (loss)

     22,476,669       51,654,340          (27,155,470     (7,249,095)  

Net change in unrealized appreciation/depreciation

     (38,933,668     (17,934,847        1,033,807       (9,508,537)  
  

 

 

      

 

 

 

Net increase (decrease) in net assets resulting from operations

     (16,268,463     33,275,720          (16,112,407     (7,723,570)  
  

 

 

      

 

 

 
           
      Distributions to Shareholders1                                    

From net investment income

     (246,021     (5,039,768        (7,270,081     (12,357,754)  

From net realized gains

     (24,902,380     (48,696,568              —   

From return of capital

                    (50,144,321     (52,315,941)  
  

 

 

      

 

 

 

Decrease in net assets resulting from distributions to shareholders

     (25,148,401     (53,736,336        (57,414,402     (64,673,695)  
  

 

 

      

 

 

 
           
      Capital Share Transactions                                    

Net proceeds from the issuance of shares

     12,480,900       10,367,053                —   

Reinvestment of distributions

     2,099,426       4,520,259                —   
  

 

 

      

 

 

 

Net increase in net assets derived from shares transactions

     14,580,326       14,887,312                —   
  

 

 

      

 

 

 
           
      Net Assets                                    

Total decrease in net assets

     (26,836,538     (5,573,304        (73,526,809     (72,397,265)  

Beginning of year

     297,529,960       303,103,264          764,154,489       836,551,754   
  

 

 

      

 

 

 

End of year

   $         270,693,422     $         297,529,960        $         690,627,680     $         764,154,489   
  

 

 

      

 

 

 

Undistributed (distributions in excess of) net investment income, end of year

   $ 29,892     $ (631,796      $ (2,275,343   $ (5,670,754)  
  

 

 

      

 

 

 

 

  1   

Distributions for annual periods determined in accordance with federal income tax regulations.

 

See Notes to Financial Statements.

 

108    ANNUAL REPORT    DECEMBER 31, 2016     


Statements of Changes in Net Assets         

 

 

     BlackRock Resources
& Commodities
Strategy Trust (BCX)1
       BlackRock
Science and
Technology Trust (BST)
 
     Year Ended December 31,        Year Ended December 31,  
Increase (Decrease) in Net Assets:    2016     2015        2016     2015  
           
      Operations                                    

Net investment income

   $ 14,324,338     $ 24,601,192        $ 87,693     $ 676,774   

Net realized gain (loss)

     (96,213,834     (101,358,837        8,440,729       (25,812,735)  

Net change in unrealized appreciation/depreciation

     288,906,209       (172,541,820        27,446,824       58,241,453   
  

 

 

      

 

 

 

Net increase (decrease) in net assets resulting from operations

     207,016,713       (249,299,465        35,975,246       33,105,492   
  

 

 

      

 

 

 
           
      Distributions to Shareholders2                                    

From net investment income

     (14,753,944     (24,837,338              (603,909)  

Distributions in excess of net investment income

                          (144,770)  

From return of capital

     (42,403,551     (55,321,839        (27,009,110     (26,260,431)  
  

 

 

      

 

 

 

Decrease in net assets resulting from distributions to shareholders

     (57,157,495     (80,159,177        (27,009,110     (27,009,110)  
  

 

 

      

 

 

 
           
      Net Assets                                    

Total increase (decrease) in net assets

     149,859,218       (329,458,642        8,966,136       6,096,382   

Beginning of year

     827,039,894       1,156,498,536          443,476,845       437,380,463   
  

 

 

      

 

 

 

End of year

   $         976,899,112     $         827,039,894        $         452,442,981     $         443,476,845   
  

 

 

      

 

 

 

Undistributed (distributions in excess of) net investment income, end of year

   $ (728,229   $ (315,958      $ 1,662     $ 148   
  

 

 

      

 

 

 

 

  1   

Consolidated Statements of Changes in Net Assets.

 

  2   

Distributions for annual periods determined in accordance with federal income tax regulations.

 

See Notes to Financial Statements.

 

     ANNUAL REPORT    DECEMBER 31, 2016    109


Statements of Changes in Net Assets         

 

 

 

     BlackRock Utility and
Infrastructure
Trust (BUI)
 
     Year Ended December 31,  
Increase (Decrease) in Net Assets:    2016     2015  
    
      Operations                 

Net investment income

   $ 9,499,403     $ 7,916,511   

Net realized gain

     9,172,917       7,100,028   

Net change in unrealized appreciation/depreciation

     4,426,142       (40,550,712)  
  

 

 

 

Net increase (decrease) in net assets resulting from operations

     23,098,462       (25,534,173)  
  

 

 

 
    
        Distributions to Shareholders1                 

From net investment income

     (8,366,572     (7,096,542)  

From net realized gains

     (8,911,166     (9,103,053)  

From return of capital

     (7,271,174     (8,349,317)  
  

 

 

 

Decrease in net assets resulting from distributions to shareholders

     (24,548,912     (24,548,912)  
  

 

 

 
    
      Net Assets                 

Total decrease in net assets

     (1,450,450     (50,083,085)  

Beginning of year

     329,747,212       379,830,297   
  

 

 

 

End of year

   $         328,296,762     $         329,747,212   
  

 

 

 

Undistributed net investment income, end of year

   $ 2,439,628     $ 1,934,397   
  

 

 

 

 

  1   

Distributions for annual periods determined in accordance with federal income tax regulations.

 

See Notes to Financial Statements.

 

110    ANNUAL REPORT    DECEMBER 31, 2016     


Statements of Cash Flows         
Year Ended December 31, 2016   

      BlackRock
      Energy and
      Resources

      Trust (BGR)

   

BlackRock
Enhanced
Capital and
Income

Fund, Inc. (CII)

   

BlackRock     
Enhanced     
Equity     

Dividend     

Trust (BDJ)     

 
      
      Cash Provided by Operating Activities                         

Net increase in net assets resulting from operations

         $ 97,788,497     $ 49,336,382     $ 204,044,200        

Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by operating activities:

      

Proceeds from sales of long-term investments

     167,700,307       401,783,596       641,386,432        

Purchases of long-term investments

     (144,753,453     (340,854,282     (542,085,650)       

Net (purchases) sales of short-term securities

     2,403,980       (9,702,635     10,140,472        

Premiums paid on closing options written

     (34,119,574     (64,656,109     (168,203,027)       

Premiums received from options written

     31,504,354       57,994,384       133,107,977        

Net realized (gain) loss on investments and options written

     60,234,390       33,274,880       (2,786,930)       

Net unrealized gain on investments, options written and foreign currency translations

     (150,330,179     (76,796,585     (169,991,219)       

(Increase) decrease in assets:

      

Cash Pledged:

      

Collateral — OTC derivatives

                 5,000        

Futures contracts

           (499,000     —        

Receivables:

      

Dividends — unaffiliated

     152,019       8,765       16,576        

Dividends — affiliated

     952       (2,037     3,478        

Securities lending income — affiliated

     5,722       21       (2)       

Other assets

     583       2,098       470        

Increase (decrease) in liabilities:

      

Collateral on securities loaned at value

     (944,554     695,531       —        

Payables:

      

Investment advisory fees

     31,669       (3,380     100,134        

Officer’s and Trustees’ fees

     56,520       37,524       130,067        

Other accrued expenses

     46,801       59,158       78,316        

Variation margin on futures contracts

           45,938       —        
  

 

 

 

Net cash provided by operating activities

     29,778,034       50,724,249       105,946,294        
  

 

 

 
      
      Cash Used for Financing Activities                         

Cash dividends paid to shareholders

     (29,805,724     (50,739,781     (105,929,511)       

Increase in bank overdraft

           14,720       —        
  

 

 

 

Net cash used for financing activities

     (29,805,724     (50,725,061     (105,929,511)       
  

 

 

 
      
      Cash Impact from Foreign Exchange Fluctuations                         

Cash impact from foreign exchange fluctuations

     (416     406       (92)       
  

 

 

 
      
      Cash and Foreign Currency                         

Net increase (decrease) in cash and foreign currency

     (28,106     (406     16,691        

Cash and foreign currency at beginning of year

     49,322       2,189       1,836        
  

 

 

 

Cash and foreign currency at end of year

         $ 21,216     $ 1,783     $ 18,527        
  

 

 

 

 

See Notes to Financial Statements.

 

     ANNUAL REPORT    DECEMBER 31, 2016    111


Statements of Cash Flows (continued)         

 

 

Year Ended December 31, 2016          BlackRock
      Global
       Opportunities
      Equity
      Trust (BOE)
   

BlackRock
Health

Sciences

Trust (BME)

   

BlackRock     
International     
Growth and     
Income     

Trust (BGY)     

 
      
      Cash Provided by Operating Activities                         

Net increase (decrease) in net assets resulting from operations

         $ 12,536,495     $ (16,268,463   $ (16,112,407)       

Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by operating activities:

      

Proceeds from sales of long-term investments

     671,501,968       164,709,690       511,076,162        

Purchases of long-term investments

     (596,898,785     (156,764,516     (476,560,478)       

Net (purchases) sales of short-term securities

     (5,046,092     115,747       17,215,236        

Premiums paid on closing options written

     (93,993,049     (15,951,483     (63,112,884)       

Premiums received from options written

     90,534,741       17,559,836       61,007,930        

Net realized (gain) loss on investments and options written

     (1,200,956     (22,468,061     33,281,421        

Net unrealized (gain) loss on investments, options written and foreign currency translations

     (690,348     38,930,580       (984,352)       

(Increase) decrease in assets:

      

Cash Pledged:

      

Collateral — exchange traded options written

     (2,386,125           73,220        

Collateral — OTC derivatives

     (540,000           1,589,619        

Receivables:

      

Dividends — unaffiliated

     147,018       109,050       484,862        

Dividends — affiliated

     (2,971     2,165       (360)       

Securities lending income — affiliated

     346       (786     6,690        

Prepaid offering costs

           56,365       —        

Other assets

     3,662       (80,854     4,895        

Increase (decrease) in liabilities:

      

Collateral on securities loaned at value

     (427,550     126,901       (2,751,247)       

Payables:

      

Investment advisory fees

     (50,074     (28,821     (56,875)       

Officer’s and Trustees’ fees

     90,839       2,625       89,662        

Foreign taxes

                 (147,618)       

Other accrued expenses

     105,514       19,748       108,180        
  

 

 

 

Net cash provided by operating activities

     73,684,633       10,069,723       65,211,656        
  

 

 

 
      
      Cash Used for Financing Activities                         

Cash dividends paid to shareholders

     (72,998,493     (23,049,891     (57,502,048)       

Increase in bank overdraft

     7,365             —        

Net proceeds from issuance of shares

           13,187,505       —        
  

 

 

 

Net cash used for financing activities

     (72,991,128     (9,862,386     (57,502,048)       
  

 

 

 
      
      Cash Impact from Foreign Exchange Fluctuations                         

Cash impact from foreign exchange fluctuations

     (6,532     308       20,147        
  

 

 

 
      
      Cash and Foreign Currency                         

Net increase in cash and foreign currency

     686,973       207,645       7,729,755        

Cash and foreign currency at beginning of year

     402,399       1,212       566,830        
  

 

 

 

Cash and foreign currency at end of year

         $ 1,089,372     $ 208,857     $ 8,296,585        
  

 

 

 
      
      Non-Cash Financing Activities                         

Capital shares issued in reinvestment of dividends paid to shareholders

         $ 2,099,426       —        
  

 

 

 

 

See Notes to Financial Statements.

 

112    ANNUAL REPORT    DECEMBER 31, 2016     


Statements of Cash Flows (concluded)         

 

 

Year Ended December 31, 2016   

      BlackRock
      Resources &
      Commodities
      Strategy

      Trust (BCX)1

    BlackRock
Science and
Technology
Trust (BST)
    BlackRock      
Utility and      
Infrastructure       
Trust (BUI)      
 
      
      Cash Provided by Operating Activities                         

Net increase in net assets resulting from operations

         $ 207,016,713     $ 35,975,246     $ 23,098,462         

Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by operating activities:

      

Proceeds from sales of long-term investments

     984,680,123       357,250,911       37,552,758         

Purchases of long-term investments

     (900,994,404         (325,555,607         (27,749,591)        

Net (purchases) sales of short-term securities

     (10,332,875     (2,307,750     3,784,516         

Premiums paid on closing options written

     (103,279,231     (39,746,248     (17,755,958)        

Premiums received from options written

     70,323,865       37,547,545       18,837,753         

Net realized (gain) loss on investments and options written

     96,093,471       (8,560,467     (9,191,946)        

Net unrealized (gain) loss on investments, options written and foreign currency translations

     (288,898,626     (27,454,956     (4,426,484)        

(Increase) decrease in assets:

      

Cash Pledged:

      

Collateral — exchange traded options written

           (159,285     —         

Collateral — OTC derivatives

           40,000       —         

Receivables:

      

Dividends — unaffiliated

     (850,557     19,438       (118,179)        

Dividends — affiliated

     (134     (183     2,578         

Securities lending income — affiliated

     (8,431     (1,237     (1,966)        

Other assets

     16,830       (1,357     611         

Increase (decrease) in liabilities:

      

Collateral on securities loaned at value

     3,899,239       9,830       456,046         

Payables:

      

Investment advisory fees

     125,018       5,319       2,045         

Officer’s and Trustees’ fees

     34,263       3,280       1,339         

Other accrued expenses

     (18,571     16,796       68,316         
  

 

 

 

Net cash provided by operating activities

     57,806,693       27,081,275       24,560,300         
  

 

 

 
      
      Cash Used for Financing Activities                         

Cash dividends paid to shareholders

     (57,021,582     (27,078,257     (24,558,368)        

Decrease in bank overdraft on foreign currency at value

     (199,024           —         
  

 

 

 

Net cash used for financing activities

     (57,220,606     (27,078,257     (24,558,368)        
  

 

 

 
      
      Cash Impact from Foreign Exchange Fluctuations                         

Cash impact from foreign exchange fluctuations

     296       4,214       (46)        
  

 

 

 
      
      Cash and Foreign Currency                         

Net increase in cash and foreign currency

     586,383       7,232       1,886         

Cash and foreign currency at beginning of year

           88,602       23,753         
  

 

 

 

Cash and foreign currency at end of year

         $ 586,383     $ 95,834     $ 25,639         
  

 

 

 

 

  1   

Consolidated Statement of Cash Flows.

 

See Notes to Financial Statements.

 

     ANNUAL REPORT    DECEMBER 31, 2016    113


Financial Highlights      BlackRock Energy and Resources Trust (BGR)  

 

    

 

 

Year Ended December 31,

   

Period
November 1,
2014 to

December 31,
2014

   

 

 

Year Ended October 31,

 
     2016     2015       2014     2013     2012  
            
      Per Share Operating Performance                                                 

Net asset value, beginning of period

   $ 14.05     $ 21.15     $ 24.90     $ 30.12     $ 25.95     $ 28.33  
  

 

 

 

Net investment income1

     0.27       0.29       0.07       0.25       0.12       0.13  

Net realized and unrealized gain (loss)

     3.01       (5.89     (2.41     (1.21     5.67       (0.74
  

 

 

 

Net increase (decrease) from investment operations

     3.28       (5.60     (2.34     (0.96     5.79       (0.61
  

 

 

 

Distributions:2

            

From net investment income

     (0.27     (0.29     (0.47     (0.44           (0.03

From net realized gain

                 (0.94     (3.82     (1.62     (1.44

From return of capital

     (0.73     (1.21                       (0.30
  

 

 

 

Total distributions

     (1.00     (1.50     (1.41     (4.26     (1.62     (1.77
  

 

 

 

Net asset value, end of period

   $ 16.33     $ 14.05     $ 21.15     $ 24.90     $ 30.12     $ 25.95  
  

 

 

 

Market price, end of period

   $ 14.44     $ 12.53     $ 19.95     $ 23.78     $ 26.82     $ 24.28  
  

 

 

 
            
      Total Return3                                                 

Based on net asset value

     25.07     (27.47 )%      (9.06 )%4      (2.36 )%      23.68     (1.76 )% 
  

 

 

 

Based on market price

     24.01     (31.42 )%      (10.18 )%4      4.73     17.70     (1.88 )% 
  

 

 

 
            
      Ratios to Average Net Assets                                                 

Total expenses

     1.31     1.29     1.30 %5      1.26     1.26     1.28
  

 

 

 

Total expenses after fees waived and/or reimbursed

     1.24     1.26     1.26 %5      1.26     1.25     1.22
  

 

 

 

Net investment income

     1.80     1.60     1.82 %5      0.89     0.42     0.50
  

 

 

 
            
      Supplemental Data                                                 

Net assets, end of period (000)

   $           487,064     $           418,981     $           629,603     $           741,109     $           896,635     $           772,457  
  

 

 

 

Portfolio turnover rate

     33     56     4     85     132     86
  

 

 

 

 

  1   

Based on average shares outstanding.

 

  2   

Distributions for annual periods determined in accordance with federal income tax regulations.

 

  3   

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

 

  4   

Aggregate total return.

 

  5   

Annualized.

 

See Notes to Financial Statements.

 

114    ANNUAL REPORT    DECEMBER 31, 2016     


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

 

 

    

 

 

Year Ended December 31,

   

Period
November 1,
2014 to

December 31,
2014

   

 

 

Year Ended October 31,

 
     2016     2015       2014     2013     2012  
            
      Per Share Operating Performance                                                 

Net asset value, beginning of period

   $ 15.11     $ 15.67     $ 15.47     $ 15.31     $ 14.11     $ 13.87  
  

 

 

 

Net investment income1

     0.13       0.11       0.04       0.55       0.31       0.33  

Net realized and unrealized gain

     0.99       0.53       0.36       0.91       2.09       1.29  
  

 

 

 

Net increase from investment operations

     1.12       0.64       0.40       1.46       2.40       1.62  
  

 

 

 

Distributions:2

            

From net investment income

     (0.13     (0.14     (0.10     (0.65     (0.32     (0.33 )3 

In excess of net investment income4

                                   (0.20 )3 

From net realized gain

     (0.04     (1.06                       (0.13

From return of capital

     (0.98           (0.10     (0.65     (0.88     (0.72
  

 

 

 

Total distributions

     (1.15     (1.20     (0.20     (1.30     (1.20     (1.38
  

 

 

 

Net asset value, end of period

   $ 15.08     $ 15.11     $ 15.67     $ 15.47     $ 15.31     $ 14.11  
  

 

 

 

Market price, end of period

   $ 13.71     $ 14.14     $ 13.97     $ 14.89     $ 13.52     $ 12.99  
  

 

 

 
            
      Total Return5                                                 

Based on net asset value

     8.66     4.66     2.69 %6      10.49     18.97     12.94
  

 

 

 

Based on market price

     5.56     9.86     (4.88 )%6      20.43     14.11     16.39
  

 

 

 
            
      Ratios to Average Net Assets                                                 

Total expenses

     0.95     0.94     0.99 %7      0.93     0.93     0.94
  

 

 

 

Total expenses after fees waived and/or reimbursed

     0.95     0.94     0.95 %7      0.93     0.93     0.94
  

 

 

 

Net investment income

     0.89     0.71     1.42 %7      3.56     2.15     2.34
  

 

 

 
            
      Supplemental Data                                                 

Net assets, end of period (000)

   $           665,159     $           666,492     $           691,380     $           682,485     $           675,472     $           622,657  
  

 

 

 

Portfolio turnover rate

     54     133     2     80     218     205
  

 

 

 

 

  1   

Based on average shares outstanding.

 

  2   

Distributions for annual periods determined in accordance with federal income tax regulations.

 

  3   

The amount of distributions to shareholders from net investment income reported in October 31, 2012 has been reclassified to allocate the amount between distributions from net investment income and distributions in excess of net investment income; both of which were included in the prior year net investment income in the amount of $0.53.

 

  4   

Taxable distribution.

 

  5   

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

 

  6   

Aggregate total return.

 

  7   

Annualized.

 

See Notes to Financial Statements.

 

     ANNUAL REPORT    DECEMBER 31, 2016    115


Financial Highlights      BlackRock Enhanced Equity Dividend Trust (BDJ)  

 

 

    

 

 

Year Ended December 31,

    

Period
November 1,
2014 to
December 31,

2014

   

 

 

Year Ended October 31,

 
     2016      2015        2014      2013      2012  
                
      Per Share Operating Performance                                                     

Net asset value, beginning of period

       $ 8.70      $ 9.24        $         9.19       $ 8.88      $ 8.30      $ 8.03  
  

 

 

 

Net investment income1

     0.17        0.17        0.04       0.16        0.18        0.18  

Net realized and unrealized gain (loss)

     0.91        (0.15      0.10       0.76        0.96        0.77  
  

 

 

 

Net increase from investment operations

     1.08        0.02        0.14       0.92        1.14        0.95  
  

 

 

 

Distributions:2

                

From net investment income

     (0.17      (0.17      (0.03 )          (0.17      (0.18      (0.18 )3 

In excess of net investment income4

                                (0.20      (0.22 )3 

From net realized gain

                                (0.18       

From return of capital

     (0.39      (0.39      (0.06 )          (0.44             (0.28
  

 

 

 

Total distributions

     (0.56      (0.56      (0.09 )          (0.61      (0.56      (0.68
  

 

 

 

Net asset value, end of period

       $ 9.22      $ 8.70        $         9.24       $ 9.19      $ 8.88      $ 8.30  
  

 

 

 

Market price, end of period

       $ 8.15      $ 7.61        $         8.12       $ 8.35      $ 7.72      $ 7.41  
  

 

 

 
                
      Total Return5                                                     

Based on net asset value

     13.90      1.10      1.69 %6          11.40      15.11      13.22
  

 

 

 

Based on market price

     15.11      0.63      (1.65 )%6          16.42      12.09      11.34
  

 

 

 
                
      Ratios to Average Net Assets                                                     

Total expenses

     0.87      0.86      0.87 %7          0.87 %8       0.87      0.95
  

 

 

 

Total expenses after fees waived and/or reimbursed

     0.85      0.85      0.84 %7          0.86 %8       0.87      0.95
  

 

 

 

Net investment income

     1.91      1.85      2.30 %7          1.81      2.13      2.16
  

 

 

 
                
      Supplemental Data                                                     

Net assets, end of period (000)

       $ 1,741,649      $ 1,643,508        $1,747,070       $ 1,648,683      $ 1,594,223      $ 1,490,096  
  

 

 

 

Portfolio turnover rate

     33      26      0 %9      63      180      185
  

 

 

 

 

  1   

Based on average shares outstanding.

 

  2   

Distributions for annual periods determined in accordance with federal income tax regulations.

 

  3   

The amount of distributions to shareholders from net investment income reported in October 31, 2012 has been reclassified to allocate the amount between distributions from net investment income and distributions in excess of net investment income; both of which were included in the prior year net investment income in the amount of $0.40.

 

  4   

Taxable distribution.

 

  5   

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

 

  6   

Aggregate total return.

 

  7   

Annualized.

 

  8   

Includes reorganization costs associated with the Trust’s merger. Without these costs, total expenses and total expenses after fees waived would have been 0.86% and 0.86%, respectively

 

  9   

Amount is less than 0.5%.

 

See Notes to Financial Statements.

 

116    ANNUAL REPORT    DECEMBER 31, 2016     


Financial Highlights      BlackRock Global Opportunities Equity Trust (BOE)  

 

 

    

 

 

Year Ended December 31,

   

Period
November 1,
2014 to
December 31,

2014

   

 

 

Year Ended October 31,

 
     2016     2015       2014     2013     2012  
            
      Per Share Operating Performance                                                 

Net asset value, beginning of period

   $ 14.25     $ 15.27     $ 15.54     $ 16.68     $ 14.99     $ 16.03  
  

 

 

 

Net investment income1

     0.15       0.11       0.00 2      0.14       0.12       0.20  

Net realized and unrealized gain (loss)

     0.03       0.03       (0.07     0.07       2.82       0.72  
  

 

 

 

Net increase (decrease) from investment operations

     0.18       0.14       (0.07     0.21       2.94       0.92  
  

 

 

 

Distributions:3

            

From net investment income

     (0.10     (0.17           (0.17     (0.17     (0.22

In excess of net investment income4

           (0.10           (0.28     (0.91      

From net realized gain

                                    

From return of capital

     (0.95     (0.89     (0.20     (0.90     (0.17     (1.74
  

 

 

 

Total distributions

     (1.05     (1.16     (0.20     (1.35     (1.25     (1.96
  

 

 

 

Net asset value, end of period

   $ 13.38     $ 14.25     $ 15.27     $ 15.54     $ 16.68     $ 14.99  
  

 

 

 

Market price, end of period

   $ 11.57     $ 12.76     $ 13.13     $ 14.00     $ 14.74     $ 13.24  
  

 

 

 
            
      Total Return5                                                 

Based on net asset value

     2.62     1.81     (0.27 )%6      2.10     21.93     7.36
  

 

 

 

Based on market price

     (0.90 )%      6.03     (4.82 )%6      4.09     21.99     1.68
  

 

 

 
            
      Ratios to Average Net Assets                                                 

Total expenses

     1.10     1.08 %7      1.10 %8      1.08     1.08     1.10
  

 

 

 

Total expenses after fees waived and/or reimbursed

     1.05     1.05 %7      1.07 %8      1.08     1.08     1.10
  

 

 

 

Net investment income

     1.15     0.73 %7      0.00 %8,9      0.83     0.77     1.34
  

 

 

 
            
      Supplemental Data                                                 

Net assets, end of period (000)

   $           929,897     $           990,318     $       1,060,687     $       1,079,862     $       1,159,072     $       1,041,210  
  

 

 

 

Portfolio turnover rate

     64     72     16     150     279     298
  

 

 

 

 

  1   

Based on average shares outstanding.

 

  2   

Amount is less than $0.005 per share.

 

  3   

Distributions for annual periods determined in accordance with federal income tax regulations.

 

  4   

Taxable distribution.

 

  5   

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

 

  6   

Aggregate total return.

 

  7   

Excludes expenses incurred indirectly as a result of investments in underlying funds of 0.01%.

 

  8   

Annualized.

 

  9   

Amount is less than 0.005%.

 

See Notes to Financial Statements.

 

     ANNUAL REPORT    DECEMBER 31, 2016    117


Financial Highlights      BlackRock Health Sciences Trust (BME)  

 

 

    

 

 

Year Ended December 31,

   

Period
November 1,
2014 to
December 31,

2014

   

 

 

Year Ended October 31,

 
     2016     2015       2014     2013     2012  
            
      Per Share Operating Performance                                                 

Net asset value, beginning of period

   $ 36.19     $ 38.61     $ 40.22     $ 34.92     $ 28.34     $ 26.65  
  

 

 

 

Net investment income (loss)1

     0.02       (0.06     (0.01     (0.00 )2      0.12       0.08  

Net realized and unrealized gain (loss)

     (1.91     4.34       1.10       9.14       8.85       4.11  
  

 

 

 

Net increase (decrease) from investment operations

     (1.89     4.28       1.09       9.14       8.97       4.19  
  

 

 

 

Distributions:3

            

From net investment income

     (0.03     (0.63     (0.01     (0.10     (0.06     (0.09

From net realized gain

     (2.97     (6.07     (2.69     (3.74     (2.33     (2.41
  

 

 

 

Total distributions

     (3.00     (6.70     (2.70     (3.84     (2.39     (2.50
  

 

 

 

Net asset value, end of period

   $ 31.30     $ 36.19     $ 38.61     $ 40.22     $ 34.92     $ 28.34  
  

 

 

 

Market price, end of period

   $ 31.75     $ 39.35     $ 42.70     $ 41.37     $ 33.56     $ 27.86  
  

 

 

 
            
      Total Return4                                                 

Based on net asset value

     (5.36 )%      10.70     2.38 %5      28.00     33.37     16.42
  

 

 

 

Based on market price

     (11.71 )%      8.87     10.07 %5      36.99     30.38     18.17
  

 

 

 
            
      Ratios to Average Net Assets                                                 

Total expenses

     1.15 %6      1.13     1.16 %7      1.11     1.12     1.13
  

 

 

 

Total expenses after fees waived and/or reimbursed and excluding amortization of offering costs

     1.14     1.12     1.11 %7      1.11     1.12     1.13
  

 

 

 

Net investment income (loss)

     0.07     (0.14 )%      (0.10 )%7      (0.01 )%      0.38     0.29
  

 

 

 
            
      Supplemental Data                                                 

Net assets, end of period (000)

   $           270,693     $           297,530     $           303,103     $           313,933     $           270,161     $           218,377  
  

 

 

 

Portfolio turnover rate

     59     68     6     74     155     209
  

 

 

 

 

  1   

Based on average shares outstanding.

 

  2   

Amount is greater than $(0.005) per share.

 

  3   

Distributions for annual periods determined in accordance with federal income tax regulations.

 

  4   

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

 

  5   

Aggregate total return.

 

  6   

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%.

 

  7   

Annualized.

 

See Notes to Financial Statements.

 

118    ANNUAL REPORT    DECEMBER 31, 2016     


Financial Highlights      BlackRock International Growth and Income Trust (BGY)  

 

 

    

 

 

Year Ended December 31,

   

Period
November 1,
2014 to
December 31,

2014

   

 

 

Year Ended October 31,

 
     2016     2015       2014     2013     2012  
            
      Per Share Operating Performance                                                 

Net asset value, beginning of period

   $ 6.95     $ 7.61     $ 7.89     $ 9.05     $ 8.28     $ 8.72  
  

 

 

 

Net investment income (loss)1

     0.09       0.08       (0.00 )2      0.10       0.13       0.16  

Net realized and unrealized gain (loss)

     (0.24     (0.15     (0.17     (0.53     1.31       0.35  
  

 

 

 

Net increase (decrease) from investment operations

     (0.15     (0.07     (0.17     (0.43     1.44       0.51  
  

 

 

 

Distributions:3

            

From net investment income

     (0.07     (0.11           (0.13     (0.17     (0.18

In excess of net investment income4

                       (0.08            

From return of capital

     (0.45     (0.48     (0.11     (0.52     (0.50     (0.77
  

 

 

 

Total distributions

     (0.52     (0.59     (0.11     (0.73     (0.67     (0.95
  

 

 

 

Net asset value, end of period

   $ 6.28     $ 6.95     $ 7.61     $ 7.89     $ 9.05     $ 8.28  
  

 

 

 

Market price, end of period

   $ 5.51     $ 6.24     $ 6.74     $ 7.26     $ 8.14     $ 7.41  
  

 

 

 
            
      Total Return5                                                 

Based on net asset value

     (1.12 )%      (0.47 )%      (2.10 )%6      (4.49 )%      19.25     7.65
  

 

 

 

Based on market price

     (3.37 )%      0.90     (5.77 )%6      (2.29 )%      19.86     6.61
  

 

 

 
            
      Ratios to Average Net Assets                                                 

Total expenses7

     1.12     1.09     1.12 %8      1.10     1.09     1.11
  

 

 

 

Total expenses after fees waived and/or reimbursed7

     1.02     1.01     1.03 %8      1.05     1.07     1.11
  

 

 

 

Net investment income (loss)7

     1.41     1.09     (0.13 )%8      1.17     1.49     1.97
  

 

 

 
            
      Supplemental Data                                                 

Net assets, end of period (000)

   $           690,628     $           764,154     $           836,552     $           867,986     $           995,736     $           910,481  
  

 

 

 

Portfolio turnover rate

     74     67     14     195     266     226
  

 

 

 

 

  1   

Based on average shares outstanding.

 

  2   

Amount is greater than $(0.005) per share.

 

  3   

Distributions for annual periods determined in accordance with federal income tax regulations.

 

  4   

Taxable distribution.

 

  5   

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

 

  6   

Aggregate total return.

 

  7   

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,

             2016                     2015                         2014                     2013                    2012        

 

Investments in underlying funds

   0.01%    0.01%                         —            

 

 

  8   

Annualized.

 

See Notes to Financial Statements.

 

     ANNUAL REPORT    DECEMBER 31, 2016    119


Consolidated Financial Highlights      BlackRock Resources & Commodities Strategy Trust (BCX)  

 

 

    

 

 

Year Ended December 31,

   

Period
November 1,
2014 to
December 31,

2014

   

 

 

Year Ended October 31,

 
     2016     2015       2014     2013     2012  
            
      Per Share Operating Performance                                                 

Net asset value, beginning of period

   $ 8.35     $ 11.67     $ 12.50     $ 13.54     $ 15.42     $ 16.83  
  

 

 

 

Net investment income1

     0.14       0.25       0.04       0.23       0.25       0.18  

Net realized and unrealized gain (loss)

     1.95       (2.76     (0.72     (0.27     (0.97     (0.19
  

 

 

 

Net increase (decrease) from investment operations

     2.09       (2.51     (0.68     (0.04     (0.72     (0.01
  

 

 

 

Distributions:2

            

From net investment income

     (0.15     (0.25     (0.02     (0.31     (0.14     (0.26

From net realized gain

                                   (0.01

From return of capital

     (0.43     (0.56     (0.13     (0.69     (1.02     (1.13
  

 

 

 

Total distributions

     (0.58     (0.81     (0.15     (1.00     (1.16     (1.40
  

 

 

 

Net asset value, end of period

   $ 9.86     $ 8.35     $ 11.67     $ 12.50     $ 13.54     $ 15.42  
  

 

 

 

Market price, end of period

   $ 8.27     $ 7.11     $ 9.71     $ 10.78     $ 11.68     $ 14.12  
  

 

 

 
            
      Total Return3                                                 

Based on net asset value

     27.41     (21.31 )%      (5.20 )%4      0.61     (3.61 )%5      0.90
  

 

 

 

Based on market price

     25.50     (19.47 )%      (8.53 )%4      0.58     (9.19 )%      4.02
  

 

 

 
            
      Ratios to Average Net Assets                                                 

Total expenses

     1.08     1.07     1.15 %6      1.35 %7      1.27     1.25
  

 

 

 

Total expenses after fees waived and/or reimbursed

     1.08     1.07     1.04 %6      1.06 %7      1.07     1.05
  

 

 

 

Net investment income

     1.61     2.43     2.01 %6      1.70     1.76     1.14
  

 

 

 
            
      Supplemental Data                                                 

Net assets, end of period (000)

   $           976,899     $           827,040     $       1,156,499     $           582,220     $           630,617     $           718,016  
  

 

 

 

Portfolio turnover rate

     101     74     2     62     156     100
  

 

 

 

 

  1   

Based on average shares outstanding.

 

  2   

Distributions for annual periods determined in accordance with federal income tax regulations.

 

  3   

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

 

  4   

Aggregate total return.

 

  5   

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 6 total return would have been (3.68)%.

 

  6   

Annualized.

 

  7   

Includes reorganization costs associated with the Trust’s merger. Without these costs, total expenses and total expenses after fees waived would have been 1.26% and 1.06%, respectively.

 

See Notes to Financial Statements.

 

120    ANNUAL REPORT    DECEMBER 31, 2016     


Financial Highlights      BlackRock Science and Technology Trust (BST)  

 

 

    

 

Year Ended December 31,

   

Period
October 30, 20141

to

December 31, 2014

 
     2016     2015    
      
      Per Share Operating Performance                         

Net asset value, beginning of period

   $ 19.70     $ 19.43     $ 19.10 2 
  

 

 

 

Net investment income (loss)3

     0.00 4      0.03       (0.01

Net realized and unrealized gain (loss)

     1.60       1.44       0.48  
  

 

 

 

Net increase from investment operations

     1.60       1.47       0.47  
  

 

 

 

Distributions:5

      

From net investment income

           (0.03     (0.00 )6 

In excess of net investment income

           (0.01      

From return of capital

     (1.20     (1.16     (0.10
  

 

 

 

Total distributions

     (1.20     (1.20     (0.10
  

 

 

 

Capital Charges with respect to the issuance of Shares

                 (0.04
  

 

 

 

Net asset value, end of period

   $ 20.10     $ 19.70     $ 19.43  
  

 

 

 

Market price, end of period

   $ 17.94     $ 17.31     $ 17.59  
  

 

 

 
      
      Total Return7                         

Based on net asset value

     9.36     8.61     2.31 %8 
  

 

 

 

Based on market price

     11.08     5.36     (11.55 )%8 
  

 

 

 
      
      Ratios to Average Net Assets                         

Total expenses

     1.10     1.12     1.19 %9 
  

 

 

 

Total expenses after fees waived and paid indirectly

     0.90     0.92     0.97 %9 
  

 

 

 

Net investment income (loss)

     0.02     0.15     (0.24 )%9 
  

 

 

 
      
      Supplemental Data                         

Net assets, end of period (000)

   $                 452,443     $                     443,477     $                     437,380  
  

 

 

 

Portfolio turnover rate

     74     91     7
  

 

 

 

 

  1   

Commencement of investment operations. This information includes the initial investment by BlackRock HoldCo2, Inc.

 

  2   

Net asset value, beginning of period, reflects a deduction of $0.8975 per share sales charge from the initial offering price of $20.00 per share.

 

  3   

Based on average shares outstanding.

 

  4   

Amount is less than $0.005 per share.

 

  5   

Distributions for annual periods determined in accordance with federal income tax regulations.

 

  6   

Amount is greater than $(0.005) per share.

 

  7   

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

 

  8   

Aggregate total return.

 

  9   

Annualized.

 

See Notes to Financial Statements.

 

     ANNUAL REPORT    DECEMBER 31, 2016    121


Financial Highlights      BlackRock Utility and Infrastructure Trust (BUI)  

 

 

    

 

 

 

Year Ended December 31,

   

Period
November 1,
2014 to
December 31,

2014

   

 

 

 

Year Ended October 31,

   

Period
November 25,
20111

through
October 31,

2012

 
     2016     2015       2014     2013    
            
      Per Share Operating Performance                                                 

Net asset value, beginning of period

   $ 19.50     $ 22.47     $ 22.40     $ 20.78     $ 20.22     $ 19.10 2 
  

 

 

 

Net investment income3

     0.56       0.47       0.11       0.51       0.57       0.54  

Net realized and unrealized gain (loss)

     0.81       (1.99     0.20       2.68       1.44       1.71  
  

 

 

 

Net increase (decrease) from investment operations

     1.37       (1.52     0.31       3.19       2.01       2.25  
  

 

 

 

Distributions:4

            

From net investment income

     (0.49     (0.42     (0.10     (0.51     (0.52     (0.49

From net realized gain

     (0.53     (0.54           (0.37     (0.42     (0.41

From return of capital

     (0.43     (0.49     (0.14     (0.69     (0.51     (0.19
  

 

 

 

Total distributions

     (1.45     (1.45     (0.24     (1.57     (1.45     (1.09
  

 

 

 

Capital charges with respect to the issuance of shares

                                   (0.04
  

 

 

 

Net asset value, end of period

   $ 19.42     $ 19.50     $ 22.47     $ 22.40     $ 20.78     $ 20.22  
  

 

 

 

Market price, end of period

   $ 18.41     $ 16.78     $ 20.74     $ 20.02     $ 18.36     $ 19.03  
  

 

 

 
            
      Total Return5                                                 

Based on net asset value

     7.57     (6.09 )%      1.50 %6      16.94     11.18     12.05 %6 
  

 

 

 

Based on market price

     18.50     (12.45 )%      4.82 %6      18.29     4.37     0.71 %6 
  

 

 

 
            
      Ratios to Average Net Assets                                                 

Total expenses

     1.13     1.11     1.17 %7      1.10     1.11     1.12 %7 
  

 

 

 

Total expenses after fees waived and/or reimbursed

     1.13     1.11     1.11 %7      1.10     1.10     1.11 %7 
  

 

 

 

Total expenses after fees waived and/or reimbursed and excluding excise tax

     1.13     1.11     1.11 %7      1.10     1.10     1.10 %7 
  

 

 

 

Net investment income

     2.83     2.24     2.83 %7      2.36     2.83     2.94 %7 
  

 

 

 
            
      Supplemental Data                                                 

Net assets, end of period (000)

   $           328,297     $           329,747     $           379,830     $           378,762     $           351,325     $           341,939  
  

 

 

 

Portfolio turnover rate

     8     20     2     41     133     90
  

 

 

 

 

  1   

Commencement of investment operations. This information includes the initial investment by BlackRock HoldCo2, Inc.

 

  2   

Net asset value, beginning of period, reflects a deduction of $0.8975 per share sales charge from initial offering price of $20.00 per share.

 

  3   

Based on average shares outstanding.

 

  4   

Distributions for annual periods determined in accordance with federal income tax regulations.

 

  5   

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

 

  6   

Aggregate total return.

 

  7   

Annualized.

 

See Notes to Financial Statements.

 

122    ANNUAL REPORT    DECEMBER 31, 2016     


Notes to Financial Statements         

 

1. Organization:

The following are registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as closed-end management investment companies and are referred to herein collectively as the “Trusts”, or individually, as a “Trust”:

 

Fund Name    Herein
Referred
To As
          Organized            Diversification
Classification
 

BlackRock Energy and Resources Trust

   BGR      Delaware         Non-diversified  

BlackRock Enhanced Capital and Income Fund, Inc.

   CII         Maryland         Diversified  

BlackRock Enhanced Equity Dividend Trust

   BDJ       Delaware         Diversified  

BlackRock Global Opportunities Equity Trust

   BOE      Delaware         Diversified  

BlackRock Health Sciences Trust

   BME      Delaware         Non-diversified  

BlackRock International Growth and Income Trust

   BGY      Delaware         Non-diversified  

BlackRock Resources & Commodities Strategy Trust

   BCX      Delaware         Non-diversified  

BlackRock Science and Technology Trust

   BST       Delaware         Non-diversified  

BlackRock Utility and Infrastructure Trust

   BUI              Delaware               Non-diversified  

The Boards of Directors/Boards of Trustees of the Trusts are collectively referred to throughout this report as the “Board of Trustees” or the “Board”, and the directors/trustees thereof are collectively referred to throughout this report as “Trustees.” The Trusts determine and make available for publication the 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 accounts of BlackRock Cayman Resources & Commodities Strategy Fund, Ltd. (the “Subsidiary”), which is a wholly owned subsidiary of BCX and primarily invests in commodity-related instruments. The Subsidiary enables BCX to hold these commodity-related instruments and satisfy regulated investment company tax requirements. BCX may invest up to 25% of its total assets in the Subsidiary. During the year ended December 31, 2016, there were no transactions in the Subsidiary. Intercompany accounts and transactions, if any, have been eliminated. The Subsidiary is subject to the same investment policies and restrictions that apply to BCX, except that the Subsidiary may invest without limitation in commodity-related instruments.

2. Significant Accounting Policies:

The Trusts’ financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. Each Trust is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. The following is a summary of significant accounting policies:

Foreign Currency: The Trusts’ books and records are maintained in U.S. dollars. Purchases and sales of investments are recorded at the rates of exchange prevailing on the respective dates of such transactions. Generally, when the U.S. dollar rises in value against a foreign currency, the investments denominated in that currency will lose value; the opposite effect occurs if the U.S. dollar falls in relative value.

Each Trust does not isolate the portion of the results of operations arising as a result of changes in the exchange rates from the changes in the market prices of investments held or sold for financial reporting purposes. Accordingly, the effects of changes in exchange rates on investments are not segregated in the Statements of Operations from the effects of changes in market prices of those investments but are included as a component of net realized and unrealized gain (loss) from investments. Each Trust reports realized currency gains (losses) on foreign currency related transactions as components of net realized gain (loss) for financial reporting purposes, whereas such components are generally treated as ordinary income for federal income tax purposes.

Segregation and Collateralization: In cases where a Trust enters into certain investments (e.g., futures contracts, options written and forward foreign currency exchange contracts), that would be treated as “senior securities” for 1940 Act purposes, such Trust may segregate or designate on its books and records cash or liquid assets having a market value at least equal to the amount of its future obligations under such investments. Doing so allows the investment to be excluded from treatment as a “senior security.” Furthermore, if required by an exchange or counterparty agreement, a Trust may be required to deliver/deposit cash and/or securities to/with an exchange, or broker-dealer or custodian as collateral for certain investments or obligations.

 

     ANNUAL REPORT    DECEMBER 31, 2016    123


Notes to Financial Statements (continued)         

 

Investment Transactions and Investment Income: For financial reporting purposes, investment transactions are recorded on the dates the transactions are entered into (the trade dates). Realized gains and losses on investment transactions are determined on the identified cost basis. Dividend income is recorded on the ex-dividend dates. Dividends from foreign securities where the ex-dividend date may have passed are subsequently recorded when the Trust is informed of the ex-dividend date. Under the applicable foreign tax laws, a withholding tax at various rates may be imposed on capital gains, dividends and interest. Upon notification from issuers, some of the dividend income received from a real estate investment trust may be redesignated as a reduction of cost of the related investment and/or realized gain. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized on the accrual basis.

Distributions: Distributions paid by the Trusts are recorded on the ex-dividend date. Subject to each Trust’s level distribution plan, each Trust intends to make monthly cash distributions to shareholders, which may consist of net investment income, net options premium, net realized and unrealized gains on investments, and/or return of capital.

Portions of return of capital distributions under U.S. GAAP may be taxed at ordinary income rates.

The character of distributions is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. The portion of distributions that exceeds a Trust’s current and accumulated earnings and profits, which are measured on a tax basis, will constitute a non-taxable return of capital. Realized net capital gains can be offset by capital losses carried forward from prior years. However, certain Trusts have capital loss carryforwards from pre-2012 tax years that offset realized net capital gains but do not offset current earnings and profits. Consequently, if distributions in any tax year are less than a Trust’s current earnings and profits but greater than net investment income and net realized capital gains (taxable income), distributions in excess of taxable income are not treated as non-taxable return of capital, but rather may be taxable to shareholders at ordinary income rates. Under certain circumstances, taxable excess distributions could be significant. See Note 8, Income Tax Information, for the tax character of each Trust’s distributions paid during the period.

Net income and realized gains from investments held by the Subsidiary are treated as ordinary income for tax purposes. If a net loss is realized by the Subsidiary in any taxable year, the loss will generally not be available to offset the Trusts’ ordinary income and/or capital gains for that year.

Deferred Compensation Plan: Under the Deferred Compensation Plan (the “Plan”) approved by each Trust’s Board, the independent Trustees (“Independent Trustees”) may defer a portion of their annual complex-wide compensation. Deferred amounts earn an approximate return as though equivalent dollar amounts had been invested in common shares of certain other BlackRock Closed-End Funds selected by the Independent Trustees. This has the same economic effect for the Independent Trustees as if the Independent Trustees had invested the deferred amounts directly in certain other BlackRock Closed-End Funds.

The Plan is not funded and obligations thereunder represent general unsecured claims against the general assets of each Trust, if applicable. Deferred compensation liabilities are included in officer’s and trustees fees payable in the Statements of Assets and Liabilities and will remain as a liability of the Trusts until such amounts are distributed in accordance with the Plan.

Recent Accounting Standard: In April 2015, the Financial Accounting Standards Board issued “Disclosures for Investments in Certain Entities that Calculate Net Asset Value (“NAV”) per Share” which eliminates the requirement to categorize investments within the fair value hierarchy when fair value is based on the NAV per share and no quoted market value is available. As of December 31, 2016, certain of the Trust’s investments were valued using NAV per share or its equivalent as no quoted market value is available and have been excluded from the fair value hierarchy.

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 each Trust’s presentation in the Statements of Cash Flows.

Indemnifications: In the normal course of business, the Trusts enter into contracts that contain a variety of representations that provide general indemnification. The Trusts’ maximum exposure under these arrangements is unknown because it involves future potential claims against the Trust, which cannot be predicted with any certainty.

Other: Expenses directly related to a Trust are charged to that Trust. Other operating expenses shared by several Trusts, including other funds managed by the Manager, are prorated among those Trusts on the basis of relative net assets or other appropriate methods.

 

124    ANNUAL REPORT    DECEMBER 31, 2016     


Notes to Financial Statements (continued)         

 

Certain Trusts have an arrangement with their custodian whereby credits are earned on uninvested cash balances, which could be used to reduce custody fees and/or overdraft charges. The Funds may incur charges on certain uninvested cash balances and overdrafts, subject to certain conditions.

Correction of Previously Issued Financial Statements: For the year ended December 31, 2015, the Distributions in excess of net investment income was overstated by $168,242 within the section “Net Assets Consist of” on the Statements of Assets and Liabilities for BGY. As a result, there was a corresponding understatement of Net Assets within this section. In addition, the Statements of Changes in Net Assets and the Financial Highlights reflected the immaterial error in the Distributions in excess of net investment income and Net Assets amounts, respectively. The affiliated income disclosed in the Notes to the Schedule of Investments was overstated by $168,242 as well. Management elected to revise the financial statements to correct these errors. The corrections have no impact on the amounts previously reported for net investment income, performance or net asset value per share. In addition, there is no impact to reports previously filed for other interim or annual periods.

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 its financial instruments using various independent dealers or pricing services under policies approved by the Board of Trustees of each Trust. The BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) is the committee formed by management to develop global pricing policies and procedures and to oversee of the pricing function for all financial instruments.

Fair Value Inputs and Methodologies: The following methods 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 Trust’s 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.

 

 

Investments in open-end U.S. mutual funds are valued at NAV each business day.

 

 

Each Trust values its investment in SL Liquidity Series, LLC, Money Market Series (the “Money Market Series”) at fair value, which is ordinarily based upon its pro rata ownership in the underlying fund’s net assets. The Money Market Series seeks current income consistent with maintaining liquidity and preserving capital. Although the Money Market Series is not registered under the 1940 Act, its investments 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.

 

 

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 NYSE. Forward foreign currency exchange contracts are valued at the mean between the bid and ask prices and are determined as of the close of 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. Over-the-counter (“OTC”) options and options on swaps (“swaptions”) are valued by an independent pricing service using a mathematical model, which incorporates a number of market data factors, such as the trades and prices of the underlying instruments.

If events (e.g., a company announcement, market volatility or a natural disaster) occur that are expected to materially affect the value of such 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

 

     ANNUAL REPORT    DECEMBER 31, 2016    125


Notes to Financial Statements (continued)         

 

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 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 Trust’s pricing vendors, regular reviews of key inputs and assumptions, transactional back-testing or disposition analysis to compare unrealized gains and losses to realized gains and losses, reviews of missing or stale prices and large movements in market values and reviews of any market related activity. The pricing of all Fair Valued Investments is subsequently reported to the Board or a committee thereof on a quarterly basis. As a result of the inherent uncertainty in valuation of these investments, the fair values may differ from the values that would have been used had an active market existed.

For investments in equity or debt issued by privately-held companies or funds (“Private Company” or collectively, the “Private Companies”) and other Fair Valued Investments, the fair valuation approaches that are used by third party pricing services utilize one or a combination of, but not limited to, the following inputs.

 

     Standard Inputs Generally Considered By Third Party Pricing Services
Market approach   (i)    recent market transactions, including subsequent rounds of financing, in the underlying investment or comparable issuers;
  (ii)    recapitalizations and other transactions across the capital structure; and
  (iii)    market multiples of comparable issuers.

 

Income approach   (i)    future cash flows discounted to present and adjusted as appropriate for liquidity, credit and/or market risks;
  (ii)    quoted prices for similar investments or assets in active markets; and
  (iii)    other risk factors, such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, recovery rates, liquidation amounts and/or default rates.

 

Cost approach   (i)    audited or unaudited financial statements, investor communications and financial or operational metrics issued by the Private Company;
  (ii)    changes in the valuation of relevant indices or publicly traded companies comparable to the Private Company;
  (iii)    relevant news and other public sources; and
  (iv)    known secondary market transactions in the Private Company’s interests and merger or acquisition activity in companies comparable to the Private Company.

 

Investments in series of preferred stock issued by Private Companies are typically valued utilizing market approach in determining the enterprise value of the company. Such investments often contain rights and preferences that differ from other series of preferred and common stock of the same issuer. Valuation techniques such as an option pricing model (“OPM”), a probability weighted expected return model (“PWERM”) or a hybrid of those techniques are used in allocating enterprise value of the company, as deemed appropriate under the circumstances. The use of OPM and PWERM techniques involve a determination of the exit scenarios of the investment in order to appropriately allocate the enterprise value of the company among the various parts of its capital structure.

The Private Companies are not subject to the public company disclosure, timing, and reporting standards as other investments held by a Trust. Typically, the most recently available information by a Private Company is as of a date that is earlier than the date a Trust is calculating its NAV. This factor may result in a difference between the value of the investment and the price a Trust could receive upon the sale of the investment.

Fair Value Hierarchy: Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial statement purposes as follows:

 

 

Level 1 — unadjusted price quotations in active markets/exchanges for identical assets or liabilities that each Trust has the ability to access

 

 

Level 2 — other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market–corroborated inputs)

 

126    ANNUAL REPORT    DECEMBER 31, 2016     


Notes to Financial Statements (continued)         

 

 

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, 2016, certain of the Trust’s investments were fair valued using NAV per share as no quoted market value is available and have been excluded from the fair value hierarchy.

4. Securities and Other Investments:

Preferred Stock: Preferred stock has a preference over common stock in liquidation (and generally in receiving dividends as well) but is subordinated to the liabilities of the issuer in all respects. As a general rule, the market value of preferred stock with a fixed dividend rate and no conversion element varies inversely with interest rates and perceived credit risk, while the market price of convertible preferred stock generally also reflects some element of conversion value. Because preferred stock is junior to debt securities and other obligations of the issuer, deterioration in the credit quality of the issuer will cause greater changes in the value of a preferred stock than in a more senior debt security with similar stated yield characteristics. Unlike interest payments on debt securities, preferred stock dividends are payable only if declared by the issuer’s board of directors. Preferred stock also may be subject to optional or mandatory redemption provisions.

Securities Lending: Certain Trusts may lend their securities to approved borrowers, such as brokers, dealers and other financial institutions. The borrower pledges and maintains with the Trusts collateral consisting of cash, an irrevocable letter of credit issued by a bank, or securities issued or guaranteed by the U.S. Government. The initial collateral received by each Trust is required to have a value of at least 102% of the current value of the loaned securities for securities traded on U.S. exchanges and a value of at least 105% for all other securities. The collateral is maintained thereafter, at a value equal to at least 100% of the current market value of the securities on loan. The market value of the loaned securities is determined at the close of each business day of the Trust and any additional required collateral is delivered to the Trust, or excess collateral returned by the Trust, on the next business day. During the term of the loan, the Trusts are entitled to all distributions made on or in respect of the loaned securities but does 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 the Trust can reinvest cash collateral received in connection with loaned securities. Upon an event of default, the parties, obligations to return the securities or collateral to the other party

 

     ANNUAL REPORT    DECEMBER 31, 2016    127


Notes to Financial Statements (continued)         

 

are extinguished, and the parties can resell or re-pledge the loaned securities or the collateral received in connection with the loaned securities in order to satisfy the defaulting party’s net payment obligation for all transactions under the MSLA. The defaulting party remains liable for any deficiency.

As of period end, the following table is a summary of the Trusts’ securities lending agreements by counterparty which are subject to offset under an MSLA:

 

CII

                                
Counterparty      Securities Loaned
at Value
       Cash  Collateral
Received1
       Net
Amount
 

Morgan Stanley & Co. LLC

     $ 676,613        $ (676,613         
              

BME

                                
Counterparty      Securities Loaned
at Value
       Cash Collateral
Received1
       Net
Amount
 

JP Morgan Securities LLC

     $ 114,906        $ (114,906         

National Financial Services LLC

       8,250          (8,250         

Total

     $ 123,156        $ (123,156         
    

BCX

                                
Counterparty      Securities Loaned
at Value
       Cash Collateral
Received1
       Net
Amount
 

Goldman Sachs & Co.

     $ 1,136,275        $ (1,136,275         

Merrill Lynch, Pierce, Fenner & Smith, Inc.

       1,797,986          (1,797,986         

Morgan Stanley & Co. LLC

       764,795          (764,795         

Total

     $ 3,699,056        $ (3,699,056         
              

BST

                                
Counterparty      Securities Loaned
at Value
       Cash Collateral
Received1
       Net
Amount
 

Merrill Lynch, Pierce, Fenner & Smith, Inc.

     $ 124,536        $ (124,536         
              

BUI

                                
Counterparty      Securities Loaned
at Value
       Cash Collateral
Received1
       Net
Amount
 

Goldman Sachs & Co.

     $ 433,609        $ (433,609         

 

  1   

Collateral with a value of $695,531, $126,901, $3,934,928, $128,830, and $456,046 has been received in connection with securities lending agreements for CII, BME, BCX, BST and BUI, respectively. Collateral received in excess of the value of securities loaned from the individual counterparty is not shown for financial reporting purposes in the table above.

The risks of securities lending include the risk that the borrower may not provide additional collateral when required or may not return the securities when due. To mitigate these risks, the Trusts benefit from a borrower default indemnity provided by BIM. BIM’s indemnity allows for full replacement of the securities loaned if the collateral received does not cover the value on the securities loaned in the event of borrower default. The Trusts could suffer a loss if the value of an investment purchased with cash collateral falls below the market value of loaned securities or if the value of an investment purchased with cash collateral falls below the value of the original cash collateral received.

5. Derivative Financial Instruments:

The Trusts engage in various portfolio investment strategies using derivative contracts both to increase the returns of the Trusts and/or to manage their exposure to certain risks such as equity risk or commodity price risk. Derivative financial instruments categorized by risk exposure are included in the Schedule of Investments. These contracts may be transacted on an exchange or OTC.

Futures Contracts: Certain Trusts invest in long and/or short positions in futures and options on futures contracts to gain exposure to, or manage exposure to, changes in the value of equity securities (equity risk).

Futures contracts are agreements between the Trusts and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and on a specified date. Depending on the terms of a contract, it is settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash amount on the settlement date. Upon entering into a futures contract, the Trusts are required to deposit

 

128    ANNUAL REPORT    DECEMBER 31, 2016     


Notes to Financial Statements (continued)         

 

initial margin with the broker in the form of cash or securities in an amount that varies depending on a contract’s size and risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract.

Securities deposited as initial margin are designated in the Schedules of Investments and cash deposited, if any, is shown as cash pledged for futures contracts in the Statements of Assets and Liabilities. Pursuant to the contract, the Trusts agree to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation) and, if any, shown as variation margin receivable or payable on futures contracts in the Statements of Assets and Liabilities. When the contract is closed, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The use of futures contracts involves the risk of an imperfect correlation in the movements in the price of futures contracts and interest foreign currency exchange rates or underlying assets.

Forward Foreign Currency Exchange Contracts: Certain Trusts enter into forward foreign currency exchange contracts to gain or reduce exposure, to foreign currencies (foreign currency exchange rate risk).

A forward foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a specified date. These contracts help to manage the overall exposure to the currencies in which some of the investments held by the Trusts are denominated and in some cases, may be used to obtain exposure to a particular market.

The contract is marked to market daily and the change in market value is recorded as unrealized appreciation (depreciation) in the Statements of Assets and Liabilities. When a contract is closed, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the value at the time it was opened and the value at the time it was closed. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The use of forward foreign currency exchange contracts involves the risk that the value of a forward foreign currency exchange contract changes unfavorably due to movements in the value of the referenced foreign currencies.

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 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.

In purchasing and writing options, the Trusts bear the risk of an unfavorable change in the value of the underlying instrument or the risk that the Trusts may not be able to enter into a closing transaction due to an illiquid market. Exercise of a written option could result in the Trusts purchasing or selling a security when they 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. In addition, certain ISDA Master Agreements allow counterparties to terminate derivative contracts prior to maturity in the event the Trusts’ net assets decline by a stated percentage or the Trusts fail to meet the terms of their ISDA Master Agreements. The result would cause the Trusts to accelerate payment of any net liability owed to the counterparty.

 

     ANNUAL REPORT    DECEMBER 31, 2016    129


Notes to Financial Statements (continued)         

 

Collateral Requirements: For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by a Trust and the counterparty.

Cash collateral that has been pledged to cover obligations of the Trusts and cash collateral received from the counterparty, if any, is reported separately on the Statements of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively. Non-cash collateral pledged by the Trusts, if any, is noted in the Schedules of Investments. Generally, the amount of collateral due from or to a counterparty is subject to a certain minimum transfer amount threshold before a transfer is required, which is determined at the close of business of the Trusts. Any additional required collateral is delivered to/pledged by the Trusts on the next business day. Typically, a Trust’s counterparty is not permitted to sell, re-pledge or use cash and non-cash collateral it receives. A Trust generally agrees not to use non-cash collateral that it receives but may, absent default or certain other circumstances defined in the underlying ISDA Master Agreement, be permitted to use cash collateral received. In such cases, interest may be paid pursuant to the collateral arrangement with the counterparty. To the extent amounts due to the Trusts from their counterparties are not fully collateralized, they bear the risk of loss from counterparty non-performance. Likewise, to the extent the Trusts have delivered collateral to a counterparty and stand ready to perform under the terms of their agreement with such counterparty, they bear the risk of loss from a counterparty in the amount of the value of the collateral in the event the counterparty fails to return such collateral. Based on the terms of agreements, collateral may not be required for all derivative contracts.

For financial reporting purposes, the Trusts do not offset derivative assets and derivative liabilities that are subject to netting arrangements, if any, in the Statements of Assets and Liabilities.

6. Investment Advisory Agreement and Other Transactions with Affiliates:

The PNC Financial Services Group, Inc. is the largest stockholder and an affiliate of BlackRock, 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 administration services. The Manager is responsible for the management of each Trust’s portfolio and provides the personnel, facilities, equipment and certain other services necessary to the operations of each Trust. For such services, each Trust, except BCX and BST, pays the Manager a monthly fee at the following annual rates:

 

Average weekly value of each Trust’s net assets:

        

BGR

     1.20%                  

BDJ

     0.80%                  

BOE

     1.00%                  

BME

     1.00%                  
Average daily value of each Trust’s net assets:            

CII

     0.85%       

BGY

     1.00%       

BUI

     1.00%       
             
 

 

For such services, BCX pays the Manager a monthly fee of 1.00% of the sum of the average daily value of the net assets of the Trust (excluding the value of the Trust’s interest in 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).

BST pays the Manager a monthly fee of 1.00% of its average daily managed assets. “Managed Assets” mean the total assets of the Trust (including any assets attributable to money borrowed for investment purposes) minus the sum of the Trust’s accrued liabilities (other than money borrowed for investment purposes).

The Manager entered into separate sub-advisory agreements with BlackRock International Limited (“BIL”), an affiliate of the Manager, to serve as sub-advisor for BGR and BCX. The Manager pays BIL for services it provides to each Trust, a monthly fee that is a percentage of the investment advisory fees paid by each Trust to the Manager.

Expense Limitations, Waivers, Reimbursements and Recoupments: The Manager has agreed to waive a portion of the investment advisory fees on BST as a percentage of its average daily managed assets as follows:

 

                  Expiration Date  

BST

     0.20      December 31, 2018  
     0.15      December 31, 2019  
     0.10      December 31, 2020  
       0.05      December 31, 2021  

 

130    ANNUAL REPORT    DECEMBER 31, 2016     


Notes to Financial Statements (continued)         

 

The Manager has voluntarily agreed to waive a portion of its investment advisory fees on the following Trusts as a percentage of average weekly net assets as follows:

 

BGR

     0.10 %1   

BOE

     0.05 %   

 

  1   

Effective July 1, 2016.

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.

Prior to July 1, 2016, the Manager voluntarily agreed to waive a portion of its investment advisory fees equal to the annual rate of 0.05% and 0.025% of BGR and BDJ’s average weekly net assets, respectively.

These voluntary waivers may be reduced or discontinued at any time without notice.

For the year ended December 31, 2016, investment advisory fees waived which is included in fees waived by the Manager in the Statements of Operations were as follows:

 

BGR

   $ 337,066    

BDJ

   $ 198,531    

BOE

   $ 466,755    

BGY

   $ 711,439    

BST

   $ 868,275    

The Manager provides investment management and other services to BCX’s Subsidiary. The Manager does not receive separate compensation from the Subsidiary for providing investment management or administrative services. However, BCX pays the Manager based on the Trust’s net assets which includes the assets of the Subsidiary.

The Manager voluntarily agreed to waive its investment advisory fees by the amount of investment advisory fees each Trust pays to the Manager indirectly through its investment in affiliated money market funds. These amounts are included in fees waived by the Manager in the Statements of Operations. For the year ended December 31, 2016, the amounts waived pursuant to this arrangement were as follows:

 

BGR

   $ 6,163    

CII

   $ 15,568    

BDJ

   $ 5,191    

BOE

   $ 16,304    

BME

   $ 9,713    

BGY

   $ 37,407    

BCX

   $ 9,102    

BST

   $ 1,507    

BUI

   $ 4,851    

Effective September 1, 2016, the Manager voluntarily agreed to waive its investment advisory fee with respect to any portion of each Trust’s assets invested in affiliated equity or fixed-income mutual funds or affiliated exchange-traded funds that have a contractual management fee. Prior to September 1, 2016 the Manager did not waive such fees. On December 2, 2016, the Manager entered into a Master Advisory Fee Waiver Agreement (the “Agreement”), contractually committing to this arrangement through June 30, 2017. 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. For the year ended December 31, 2016, there were no advisory fees waived pursuant to these arrangements in the Trusts.

Service and 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 compensates BRIL with respect to sales of common shares at a commission rate of 1.00% of the gross proceeds of the sale of BME’s common shares and a portion of such commission is re-allowed to broker-dealers engaged by BRIL. The commissions retained by BRIL during the year ended December 31, 2016 amounted to $25,214.

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

 

     ANNUAL REPORT    DECEMBER 31, 2016    131


Notes to Financial Statements (continued)         

 

its affiliates. However, BIM has agreed to cap the collateral investment expenses of the private investment company to an annual rate of 0.04%. The investment adviser to the private investment company will not charge any advisory fees with respect to shares purchased by the Trusts.

Securities lending income is equal to the total of income earned from the reinvestment of cash collateral, net of fees and other payments to and from borrowers of securities, and less the collateral investment expenses. Each Trust retains a portion of securities lending income and remits a remaining portion to BIM as compensation for its services as securities lending agent. Pursuant to a securities lending agreement, BIM may lend securities only when the difference between the borrower rebate rate and the risk free rate exceeds a certain level (such securities, the “specials only securities”).

Pursuant to such agreement, each Trust retains 80% of securities lending income. In addition, commencing the business day following the date that the aggregate securities lending income earned across the Closed-End Complex in a calendar year exceeds the breakpoint dollar threshold applicable in the given year as set forth in the securities lending agreement, each Trust, pursuant to the securities lending agreement, will retain for the remainder of the calendar year securities lending income in an amount equal to 85% of securities lending income.

The share of securities lending income earned by each Trust is shown as securities lending — affiliated — net in the Statements of Operations. For the year ended December 31, 2016, each Trust paid BIM the following amounts for securities lending agent services:

 

BGR

   $ 6,491    

CII

   $ 682    

BDJ

   $ 34    

BOE

   $ 4,945    

BME

   $ 2,104    

BGY

   $ 5,416    

BCX

   $ 34,448    

BST

   $ 31,681    

BUI

   $ 7,860    

Officers and Trustees: Certain officers and/or trustees of the Trusts are officers and/or trustees of BlackRock or its affiliates. The Trusts reimburse the Manager for a portion of the compensation paid to the Trusts’ Chief Compliance Officer, which is included in Officer and Trustees in the Statements of Operations.

Other Transactions: The Trusts may purchase securities from, or sell securities to, an affiliated fund provided the affiliation is due solely to having a common investment adviser, common officers, or common trustees. For the year ended December 31, 2016, 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:

 

        Purchases        Sales        Net
Realized
Gains
 

BDJ

     $ 1,771,064                    

BME

     $ 328,120                    

BGY

     $ 752,100                    

BCX

     $ 435,002                    

BST

     $ 154,956        $ 1,431,650        $ 189,901  

7. Purchases and Sales:

For the year ended December 31, 2016, purchases and sales of investments, excluding short-term securities, were as follows:

 

       Purchases          Sales        

BGR

   $ 144,823,813        $ 167,679,896        

CII

   $ 340,854,282        $ 402,247,629        

BDJ

   $ 539,736,538        $ 638,534,616        

BOE

   $ 596,931,556        $ 671,349,791        

BME

   $ 156,745,335        $ 164,489,516        

BGY

   $ 492,126,258        $ 512,308,134        

BCX

   $ 901,128,015        $ 984,257,917        

BST

   $ 325,573,998        $ 357,262,106        

BUI

   $ 27,749,591        $ 37,480,064        

8. Income Tax Information:

It is the Trusts’ policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of their taxable income to their shareholders. Therefore, no federal income tax provision is required.

 

132    ANNUAL REPORT    DECEMBER 31, 2016     


Notes to Financial Statements (continued)         

 

The Trusts file U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on each Trust’s U.S. federal tax returns generally remains open for the each of the two years ended December 31, 2016, the period ended December 31, 2014 and each of the two years 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 two years ended December 31, 2016 and the period ended December 31, 2014. The statute of limitations on each Trust’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.

Management has analyzed tax laws and regulations and their application to the Trusts’ as of December 31, 2016, 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.

US GAAP requires that certain components of net assets be adjusted to reflect permanent differences between financial and tax reporting. These reclassifications have no effect on net assets or net asset values per share. As of period end, the following permanent differences attributable to foreign currency transactions, the sale of stock of passive foreign investment companies, net operating losses, non-deductible expenses, the characterization of corporate actions, income recognized from investments in partnerships and the expiration of capital loss carryforwards were reclassified to the following accounts:

 

         BGR          CII          BDJ          BOE          BME  

Paid-in capital

              $ (4,870,467      $ (61,470,174      $ (38,148,041      $ (58,865

Undistributed (distributions in excess of) net investment income

     $ (288,068      $ 141,885        $ (63,091      $ 442,933        $ 719,173  

Accumulated net realized loss

     $ 288,068        $ 4,728,582        $ 61,533,265        $ 37,705,108        $ (660,308

 

         BGY          BCX          BST        BUI  

Paid-in capital

     $ (458,843,934      $ (2,659,643      $ (19,487       

Undistributed (distributions in excess of) net investment income

     $ 656,236        $ 17,335        $ (86,179    $ (627,600

Accumulated net realized gain (loss)

     $ 458,187,698        $ 2,642,308        $ 105,666      $ 627,600  

The tax character of distributions paid was as follows:

 

         BGR          CII          BDJ          BOE          BME  

Ordinary income

                        

12/31/16

     $ 7,985,951        $ 5,818,337        $ 31,386,331        $ 6,886,585        $ 2,208,132  

12/31/15

     $ 8,567,540        $ 6,318,821        $ 31,248,083        $ 18,801,869        $ 21,088,719  

Long-term capital gains

                        

12/31/16

              $ 1,682,938                          $ 22,940,269  

12/31/15

              $ 46,626,859                          $ 32,647,617  

Return of capital

                        

12/31/16

     $ 21,720,074        $ 43,167,741        $ 74,517,121        $ 66,070,734           

12/31/15

     $ 36,005,387                 $ 74,655,369        $ 62,076,530           

Total

                        

12/31/16

     $ 29,706,025        $ 50,669,016        $ 105,903,452        $ 72,957,319        $ 25,148,401  

12/31/15

     $ 44,572,927        $ 52,945,680        $ 105,903,452        $ 80,878,399        $ 53,736,336  

 

         BGY          BCX          BST        BUI  

Ordinary income

                 

12/31/16

     $ 7,270,081        $ 14,753,944               $ 12,931,397  

12/31/15

     $ 12,357,754        $ 24,837,338        $ 748,679      $ 14,070,240  

Long-term capital gains

                 

12/31/16

                              $ 4,346,341  

12/31/15

                                2,129,355  

Return of capital

                 

12/31/16

     $ 50,144,321        $ 42,403,551        $ 27,009,110      $ 7,271,174  

12/31/15

     $ 52,315,941        $ 55,321,839        $ 26,260,431      $ 8,349,317  

Total

                 

12/31/16

     $ 57,414,402        $ 57,157,495        $ 27,009,110      $ 24,548,912  

12/31/15

     $ 64,673,695        $ 80,159,177        $ 27,009,110      $ 24,548,912  

 

     ANNUAL REPORT    DECEMBER 31, 2016    133


Notes to Financial Statements (continued)         

 

As of period end, the tax components of accumulated net earnings (losses) were as follows:

 

              BGR       CII       BDJ       BOE       BME  
Undistributed ordinary
income
    —        —        —        —        $      46,485   
Undistributed long-term
capital gains
    —        —        —        —        3,662,160   
Capital loss carryforwards           $(155,077,777)       (33,955,344)       $(28,867,074)       $  (807,221)       —   
Net unrealized gains1     26,916,388        57,842,558        437,618,577        91,853,759        55,929,225   
Qualified late-year losses2       (312)       (3,727)       (17)       (653,772)  
 

 

 

 
Total     $(128,161,389)       $23,886,902        $408,747,776        $91,046,521        $58,984,098   
 

 

 

 

 

                       BGY       BCX       BST       BUI  
Capital loss carryforwards                 $(103,102,527)       $(466,926,878)       $(13,469,302)       —   
Net unrealized gains1     12,406,673        102,598,719        92,553,775        $47,376,950   
Qualified late-year losses2     (360,237)       —        —        (4,618)  
 

 

 

 
Total     $  (91,056,091)       $(364,328,159)       $79,084,473        $47,372,332   
 

 

 

 

 

  1   

The difference between book-basis and tax-basis net unrealized gains (losses) was attributable primarily to the tax deferral of losses on wash sales and straddles, the realization for tax purposes of unrealized gains/losses on certain 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, the characterization of corporate actions, and the deferral of compensation to Trustees.

 

  2   

The Trust has elected to defer certain qualified late-year losses and recognize such losses in the next taxable period.

As of December 31, 2016, the Trusts had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates as follows:

 

Expires December 31,      BGR        CII        BDJ        BOE        BGY        BCX        BST  

No expiration date3

       $155,077,777            $31,423,316            $20,340,326            $807,221            $47,497,065            $465,131,677            $13,469,302  

2017

            2,532,028        8,526,748               55,605,462        1,795,201         
  

 

 

 

Total

     $155,077,777        $33,955,344        $28,867,074        $807,221        $103,102,527        $466,926,878        $13,469,302  
  

 

 

 

 

3 

Must be utilized prior to losses subject to expiration.

During the year ended December 31, 2016, BST utilized $3,714,136 of its capital loss carryforward.

As of December 31, 2016, gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes were as follows:

 

                 BGR                   CII                   BDJ                   BOE                   BME  

Tax cost

             $462,547,629                   $612,974,677                   $1,308,170,059                   $836,755,803                   $213,987,813  
  

 

 

 

Gross unrealized appreciation

     $  50,320,086       $  77,651,900       $   470,321,000       $124,887,052       $  63,825,553  

Gross unrealized depreciation

     (18,805,565     (15,495,022     (7,887,226     (25,784,186     (6,259,689
  

 

 

 

Net unrealized appreciation

     $  31,514,521       $  62,156,878       $   462,433,774       $  99,102,866       $  57,565,864  
  

 

 

 

 

                      BGY                            BCX                            BST                            BUI  

Tax cost

                 $676,677,844                           $878,632,645                           $360,081,489                           $265,849,683  
  

 

 

 

Gross unrealized appreciation

     $  53,610,387       $127,022,409       $100,735,156       $  78,236,637  

Gross unrealized depreciation

     (29,383,632     (15,216,813     (5,629,927     (11,728,709
  

 

 

 

Net unrealized appreciation

     $  24,226,755       $111,805,596       $  95,105,229       $  66,507,928  
  

 

 

 

9. Principal Risks:

In the normal course of business, the Trusts invest in securities and enter into transactions where risks exist due to fluctuations in the market (market risk) or failure of the issuer to meet all its obligations, including the ability to pay principal and interest when due (issuer credit risk). The value of securities held by the Trusts may decline in response to certain events, including those directly involving the issuers of securities owned by the Trusts. Changes arising from the general economy, the overall market and local, regional or global political or/and social or instability, as well as currency, interest rate and price fluctuations also affect the securities’ value.

 

134    ANNUAL REPORT    DECEMBER 31, 2016     


Notes to Financial Statements (continued)         

 

On October 11, 2016, BlackRock implemented certain changes required by amendments to Rule 2a-7 under the 1940 Act, which governs the operations of U.S. money market funds. 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 it believes 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 the Trust invests.

The price a Trust could receive upon the sale of any particular portfolio investment may differ from the Trust’s valuation of the investment, particularly for securities that trade in thin or volatile markets or that are valued using a fair valuation technique or a price provided by an independent pricing service. Changes to significant unobservable inputs and assumptions (i.e., publicly traded company multiples, growth rate, time to exit) due to the lack of observable inputs may significantly impact the resulting fair value and therefore the Trust’s results of operations. As a result, the price received upon the sale of an investment may be less than the value ascribed by a Trust, and a Trust could realize a greater than expected loss or lesser than expected gain upon the sale of the investment. The Trust’s ability to value its investments may also be impacted by technological issues and/or errors by pricing services or other third party service providers.

Counterparty Credit Risk: Similar to issuer credit risk, the Trusts may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions. The Trusts manage counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Trusts to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the 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.

The Trusts’ risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain less the value of any collateral held by the Trust.

For OTC options purchased, each Trust bears the risk of loss in the amount of the premiums paid plus the positive change in market values net of any collateral held by the Trusts should the counterparty fail to perform under the contracts. Options written by the Trusts do not typically give rise to counterparty credit risk, as options written generally obligate the Trusts, and not the counterparty, to perform. The Trusts may be exposed to counterparty credit risk with respect to options written to the extent the Trusts deposit collateral with its counterparty to a written option.

With exchange-traded options purchased 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 options and 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     

 

     ANNUAL REPORT    DECEMBER 31, 2016    135


Notes to Financial Statements (continued)         

 

Changes in economic conditions affecting such sectors would have a greater impact on these Trusts and could affect the value, income and/or liquidity of positions in such securities.

BOE and BGY invest a substantial amount of their assets in issuers located in a single country or a limited number of countries. When a Trust concentrates its investments in this manner, it assumes the risk that economic, political and social conditions in those countries may have a significant impact on their investment performance. Foreign issuers may not be subject to the same uniform accounting, auditing and financial reporting standards and practices as used in the United States. Foreign securities markets may also be less liquid, more volatile, and less subject to governmental supervision not typically associated with investing in United States securities. Investment percentages in specific countries are presented in the Schedule of Investments.

BGY and BCX invests a significant portion of their assets in securities of issuers located in Europe or with significant exposure to European issuers or countries. The European financial markets have recently experienced volatility and adverse trends due to concerns about economic downturns in, or rising government debt levels of, several European countries. These events may spread to other countries in Europe and may affect the value and liquidity of certain of the 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:

There are an unlimited number of $0.001 par value common shares of beneficial interest authorized for each Trust, with the exception of CII. CII is authorized to issue 200 million shares of $0.10 par value shares, all of which were initially classified as Common Shares. The Board is authorized, however, to reclassify any unissued Common Shares to Preferred Shares without approval of Common Shareholders.

For the periods shown, shares issued and outstanding increased by the following amounts as a result of shares issued through the Shelf Offering:

 

     

Year Ended
December

31, 2016

  

Year Ended
December

31, 2015

BME

   363,708    252,980

For the periods shown, shares issued and outstanding increased by the following amounts as a result of dividend reinvestments:

 

     

Year Ended
December

31, 2016

     Year Ended
December
31, 2015

BGR

     —          59,109

BME

     63,264      117,681

For the year ended December 31, 2016, BGR, CII, BDJ, BOE, BGY, BCX, BST and BUI and for the year ended December 31, 2015, CII, BDJ, BOE, BGY, BCX, BST and BUI, shares issued and outstanding remained constant.

On October 26, 2016, the Board approved an open market share repurchase program that allows each Trust to purchase up to 5% of its outstanding common shares from time to time in open market transactions through November 30, 2017, subject to certain conditions. There is no assurance that the Trusts will purchase shares in any particular amounts.

On June 9, 2016, BME filed a final prospectus with the U.S. Securities and Exchange Commission (“SEC”) allowing it to issue an additional 2,500,000 Common Shares through a Shelf Offering. Under the Shelf Offering, BME, subject to market conditions, may raise additional equity capital from time to time in varying amounts and utilizing various offering methods at a net price at or above BME’s net asset value (“NAV”) per Common Share (calculated within 48 hours of pricing). As of period end, 2,136,292 Common Shares remain available for issuance under the Shelf Offering. From August 12, 2015 to June 9, 2016, BME was authorized to issue 453,000 Common Shares under a previous Shelf Offering. See Additional Information — Shelf Offering Program for additional information about the Shelf Offering.

Costs incurred by BME in connection with the Shelf Offering are recorded as a deferred charge and amortized over 12 months.

 

136    ANNUAL REPORT    DECEMBER 31, 2016     


Notes to Financial Statements (concluded)         

 

11. Subsequent Events:

Management’s evaluation of the impact of all subsequent events on the Trusts’ financial statements was completed through the date the financial statements were issued and the following items were noted:

The Trusts paid a distribution on January 31, 2017 to shareholders of record on January 13, 2017 as follows:

 

      Common Dividend
Per Share
 

BGR

   $ 0.0776  

CII

   $ 0.0828  

BDJ

   $ 0.0467  

BOE

   $ 0.0780  

BME

   $ 0.2000  

BGY

   $ 0.0380  

BCX

   $ 0.0446  

BST

   $ 0.1000  

BUI

   $ 0.1210  

Additionally, certain Trusts declared a distribution in the following amounts per share on February 28, 2017 payable to shareholders of record on February 15, 2017 as follows:

 

      Common Dividend
Per Share
 

BGR

   $ 0.0776  

CII

   $ 0.0828  

BDJ

   $ 0.0467  

BOE

   $ 0.0780  

BME

   $ 0.2000  

BGY

   $ 0.0380  

BCX

   $ 0.0446  

BST

   $ 0.1000  

BUI

   $ 0.1210  

 

     ANNUAL REPORT    DECEMBER 31, 2016    137


Report of Independent Registered Public Accounting Firm         

 

To the Board of Trustees and Shareholders of BlackRock Energy and Resources Trust, BlackRock Enhanced Equity Dividend Trust, BlackRock Global Opportunities Equity Trust, BlackRock Health Sciences Trust, BlackRock International Growth and Income Trust, BlackRock Resources & Commodities Strategy Trust, BlackRock Science and Technology Trust, BlackRock Utility and Infrastructure Trust, and the Board of Directors and Shareholder of BlackRock Enhanced Capital and Income Fund, Inc.:

We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of BlackRock Energy and Resources Trust, BlackRock Enhanced Capital and Income Fund, Inc., BlackRock Enhanced Equity Dividend Trust, BlackRock Global Opportunities Equity Trust, BlackRock Health Sciences Trust, BlackRock International Growth and Income Trust, BlackRock Science and Technology Trust and BlackRock Utility and Infrastructure Trust, as of December 31, 2016, and the related statements of operations and cash flows for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the periods presented. We have also audited the consolidated statement of assets and liabilities, including the consolidated schedule of investments of BlackRock Resources & Commodities Strategy Trust (collectively with BlackRock Energy and Resources Trust, BlackRock Enhanced Capital and Income Fund, Inc., BlackRock Enhanced Equity Dividend Trust, BlackRock Global Opportunities Equity Trust, BlackRock Health Sciences Trust, BlackRock International Growth and Income Trust, BlackRock Science and Technology Trust and BlackRock Utility and Infrastructure Trust, the “Trusts”), as of December 31, 2016, and 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. These financial statements and financial highlights are the responsibility of the Trusts’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Trusts are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Trusts’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2016, by correspondence with the custodian and brokers; where replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, such financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the BlackRock Energy and Resources Trust, BlackRock Enhanced Capital and Income Fund, Inc., BlackRock Enhanced Equity Dividend Trust, BlackRock Global Opportunities Equity Trust, BlackRock Health Sciences Trust, BlackRock International Growth and Income Trust, BlackRock Science and Technology Trust and BlackRock Utility and Infrastructure Trust as of December 31, 2016, the results of their operations and 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, and the consolidated financial position of BlackRock Resources & Commodities Strategy Trust as of December 31, 2016, the consolidated results of its operations and cash flows for the year then ended, the consolidated changes in net assets for each of the two years in the period then ended, and its consolidated financial highlights for each of the periods presented in conformity with accounting principles generally accepted in the United States of America.

Deloitte & Touche LLP

Philadelphia, Pennsylvania

February 23, 2017

 

138    ANNUAL REPORT    DECEMBER 31, 2016     


Important Tax Information (Unaudited)         

 

During the taxable period ended December 31, 2016, the following information is provided with respect to the distributions paid by the Trusts:

 

      Payable Date      Long-Term
Capital  Gains
    Non-Taxable
Return of
Capital
    Qualified
Dividend
Income for
Individuals1
    Dividends
Qualifying for
the  Dividends
Received
Deduction for
Corporations1
    Short-Term
Capital  Gain
Dividends for
Non-U.S.
Residents2
    Foreign
Source
Income
    Foreign
Taxes
Paid3
 

BGR

     01/29/16 - 12/30/16              73.11     26.89     19.55                  

CII

     01/29/16        38.14     51.79     10.07     10.07                  
     02/29/16 - 12/30/16              88.37     11.63     11.63                  

BDJ

     01/29/16 - 12/30/16              70.36     29.64     29.64                  

BOE

     01/29/16 - 12/30/16              90.56     9.44     9.44                  

BME

     01/29/16 - 04/29/16        97.19           0.51     0.39     2.26            
     05/31/16        91.47           7.81     7.14     7.56            
     06/30/16 - 12/30/16        88.86           11.14     10.23     9.98            

BGY

     01/29/16 - 12/30/16              87.33     12.67                 12.67     3.28

BCX

     01/29/16 - 12/30/16              74.17     25.83     14.78                  

BST

     01/29/16 - 12/30/16              100.00                              

BUI

     01/29/16 - 12/30/16        17.76     29.43     38.46     24.58     18.73            

 

  1  

The Trusts hereby designate the percentages indicated above to the maximum amount allowable by law.

 

  2   

Represents the portion of the dividends eligible for exemption from U.S. withholding tax for nonresident aliens and foreign corporations.

 

  3   

The foreign taxes paid represent taxes incurred by the Trust on interest received from foreign sources. Foreign taxes paid may be included in taxable income with an offsetting deduction from gross income or may be taken as a credit for taxes paid to foreign governments. You should consult your tax advisor regarding the appropriate treatment of foreign taxes paid.

 

 

     ANNUAL REPORT    DECEMBER 31, 2016    139


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 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 determines 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, on a Trust’s primary exchange (“open market purchases”). If, on the dividend payment date, the net asset value per share (“NAV”) is equal to or less than the market price per share plus estimated brokerage commissions (such condition often referred to herein 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 herein as “market discount”), the Reinvestment Plan Agent will invest the dividend amount in shares acquired on behalf of the participants in open-market purchases. If the Reinvestment Plan Agent is unable to invest the full dividend amount in open market purchases, or if the market discount shifts to a market premium during the purchase period, the Reinvestment Plan Agent will invest any un-invested portion in newly issued shares. Investments in newly issued shares made in this manner would be made pursuant to the same process described above and the date of issue for such newly issued shares will substitute for the dividend payment date.

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 all distributions will be paid by each Trust. However, each participant will pay a pro rata share of brokerage commissions incurred with respect to the Reinvestment Plan Agent’s open market purchases in connection with the reinvestment of all distributions. The automatic reinvestment of all distributions will not relieve participants of any federal income tax that may be payable on such dividends or distributions.

Each Trust reserves the right to amend or terminate the Reinvestment Plan. There is no direct service charge to participants in the Reinvestment Plan; however, each Trust reserves the right to amend the Reinvestment Plan to include a service charge payable by the participants. Participants that request a sale of shares are subject to a $0.02 per share sold brokerage commission. All correspondence concerning the Reinvestment Plan should be directed to Computershare Trust Company, N.A. through the internet at http://www.computershare.com/blackrock, or in writing to Computershare, P.O. Box 30170, College Station, TX 77842-3170, Telephone: (800) 699-1236. Overnight correspondence should be directed to the Reinvestment Plan Agent at Computershare, 211 Quality Circle, Suite 210, College Station, TX 77845.

 

140    ANNUAL REPORT    DECEMBER 31, 2016     


Officers and Trustees         

 

Name, Address1,

and Year of Birth

 

Position(s)
Held with

the Trusts

 

Length

of Time
Served as

a Trustee3

   Principal Occupation(s) During Past Five Years  

Number of BlackRock-
Advised Registered
Investment Companies
(“RICs”) Consisting of
Investment Portfolios
(“Portfolios”)

Overseen4

  Public Directorships
Independent Trustees2    

Richard E. Cavanagh

1946

 

Chairman

of the Board and Trustee

 

Since

2007

   Director, The Guardian Life Insurance Company of America since 1998; Director, Arch Chemical (chemical and allied products) from 1999 to 2011; Trustee, Educational Testing Service from 1997 to 2009 and Chairman thereof from 2005 to 2009; Senior Advisor, The Fremont Group since 2008 and Director thereof since 1996; Faculty Member/Adjunct Lecturer, Harvard University since 2007; President and Chief Executive Officer, The Conference Board, Inc. (global business research organization) from 1995 to 2007.  

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

  AtriCure, Inc. (medical devices); Greenhill & Co., Inc.

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; 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; a President at T. Rowe Price Group, Inc. from 2007 to 2012.  

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; 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) since 2000; 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 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)

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

 

     ANNUAL REPORT    DECEMBER 31, 2016    141


Officers and Trustees (continued)         

 

Name, Address1,

and Year of Birth

 

Position(s)
Held with

the Trusts

 

Length

of Time
Served as

a Trustee3

   Principal Occupation(s) During Past Five Years  

Number of BlackRock-
Advised Registered
Investment Companies
(“RICs”) Consisting of
Investment Portfolios
(“Portfolios”)

Overseen4

  Public Directorships
Independent Trustees2 (concluded)    

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
 

1    The address of each Trustee is c/o BlackRock, Inc., Park Avenue Plaza, 55 East 52nd Street, New York, NY 10055.

2    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.

3    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.

4    For purposes of this chart, “RICs” refers to investment companies registered under the 1940 Act and “Portfolios” refers to the investment programs of the BlackRock-advised funds. The Closed-End Complex is comprised of 74 RICs. Mr. Perlowski, Dr. Fabozzi and Ms. Novick are also board members of certain complexes of BlackRock registered open-end funds. Mr. Perlowski is also a board member of the BlackRock Equity-Bond Complex and the BlackRock Equity-Liquidity Complex, and Ms. Novick is also a board members of the BlackRock Equity-Liquidity Complex.

Interested Trustees5    

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

220 Portfolios

  None

John M. Perlowski

1964

  Trustee, President and Chief Executive Officer  

Since 2015 (Trustee); Since 2011

(President and Chief Executive Officer)

   Managing Director of BlackRock, Inc. since 2009; Head of BlackRock Global Fund & Accounting Services since 2009; Managing Director and Chief Operating Officer of the Global Product Group at Goldman Sachs Asset Management, L.P. from 2003 to 2009; Treasurer of Goldman Sachs Mutual Funds from 2003 to 2009 and Senior Vice President thereof from 2007 to 2009; Director of Goldman Sachs Offshore Funds from 2002 to 2009; Director of Family Resource Network (charitable foundation) since 2009.  

128 RICs

consisting of

318 Portfolios

  None
 

5     Mr. Perlowski and Ms. Novick are both “interested persons,” as defined in the 1940 Act, of the Trust based on their positions with BlackRock and its affiliate. Mr. Perlowski and Ms. Novick are also board members of certain complexes of BlackRock registered open-end funds. Mr. Perlowski is also a board member of the BlackRock Equity-Bond Complex and the BlackRock Equity-Liquidity Complex, and Ms. Novick is also a board member of the BlackRock Equity-Liquidity Complex. Interested Trustees serve until their resignation, removal or death, or until December 31 of the year in which they turn 72. The maximum age limitation may be waived as to any Trustee by action of a majority of the Trustees upon a finding of good cause therefor.

 

142    ANNUAL REPORT    DECEMBER 31, 2016     


Officers and Trustees (continued)         

 

 

Name, Address1,

and Year of Birth

 

Position(s)
Held with

the Trusts

 

Length

of Time
Served as

a Trustee

   Principal Occupation(s) During Past Five Years
Officers2             

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    Director of BlackRock, Inc. since 2009; Assistant Secretary of the funds in the Closed-End Complex from 2008 to 2012.
 

 

1    The address of each Officer is c/o BlackRock, Inc., Park Avenue Plaza, 55 East 52nd Street, New York, NY 10055.

 

2    Officers of the Trusts serve at the pleasure of the Board.

 

     ANNUAL REPORT    DECEMBER 31, 2016    143


Officers and Trustees (concluded)         

 

Investment Advisor
BlackRock Advisors, LLC
Wilmington, DE 19809
Sub-Advisors
BlackRock International LTD.1
Edinburgh, EH3 8JB
United Kingdom
Accounting Agent
The Bank of New York Mellon
Brooklyn, NY 11217
Custodians
The Bank of New York Mellon
New York, NY 102862
Brown Brothers, Harriman & Co.
Boston, MA 021093
Transfer Agent
Computershare Trust Company, N.A.
Canton, MA 02021
Independent Registered Public Accounting Firm
Deloitte & Touche LLP
Philadelphia, PA 19103
Distributor
BlackRock Investments, LLC4
New York, NY 10022
Legal Counsel
Skadden, Arps, Slate, Meagher & Flom LLP
Boston, MA 02116
Address of the Trusts
100 Bellevue Parkway
Wilmington, DE 19809
 

 

1 

For BGR and BCX.

 

2 

For all Trusts except CII.

 

3 

For CII.

 

4 

For BME.

 

144    ANNUAL REPORT    DECEMBER 31, 2016     


Additional Information         

 

Proxy Results

The Annual Meeting of Shareholders was held on July 26, 2016 for shareholders of record on May 31, 2016, to elect board member nominees for each Trust except for CII. There were no broker non-votes with regard to any of the Trusts.

 

      Catherine A. Lynch1       Richard E. Cavanagh2       Cynthia L. Egan2  
     Votes For     Votes Withheld     Abstain     Votes For     Votes Withheld     Abstain     Votes For     Votes Withheld     Abstain  
BDJ     165,252,985       7,463,464       0       164,861,918       7,854,530       0       165,264,724       7,451,725       0  
BGR     25,014,391       650,823       0       24,992,192       673,022       0       25,019,534       645,681       0  
BOE     60,224,628       2,998,293       0       60,247,422       2,975,499       0       60,217,648       3,005,273       0  
BME     7,253,643       124,106       0       7,262,974       114,775       0       7,251,026       126,723       0  
BGY     95,983,235       3,973,692       0       95,915,306       4,041,621       0       96,003,479       3,953,448       0  
BCX     84,818,672       3,439,057       0       84,813,124       3,444,605       0       84,804,392       3,453,337       0  
BUI     14,973,373       341,861       0       14,819,726       495,508       0       14,981,741       333,493       0  
BST     18,970,717       1,586,524       0       18,985,763       1,571,478       0       18,966,896       1,590,345       0  

 

      Jerrold B. Harris2       Barbara G. Novick2  
      Votes For       Votes Withheld       Abstain       Votes For       Votes Withheld       Abstain  
BDJ     165,066,108       7,650,340       0       164,902,681       7,813,768       0  
BGR     24,974,466       690,748       0       25,019,689       645,525       0  
BOE     60,216,168       3,006,753       0       60,232,701       2,990,220       0  
BME     7,239,290       138,459       0       7,251,124       126,625       0  
BGY     95,887,556       4,069,371       0       95,980,959       3,975,968       0  
BCX     84,759,518       3,498,211       0       84,831,682       3,426,047       0  
BUI     14,997,646       317,588       0       14,806,288       508,946       0  
BST     18,954,844       1,602,397       0       18,952,563       1,604,678       0  

For the Trusts listed above, Trustees whose term of office continued after the Annual Meeting of Shareholders because they were not up for election are Michael J. Castellano, Frank J. Fabozzi, R. Glenn Hubbard, W. Carl Kester, John M. Perlowski, and Karen P. Robards.

 

  1   

Class II.

 

  2  

Class III.

The Annual Meeting of Shareholders was held on July 26, 2016 for shareholders of record on May 31, 2016, to elect board member nominees for CII. There were no broker non-votes with regard to the Trust.

Approved the Trustees as follows for CII only:

 

         Votes For        Votes Withheld        Abstain  

Michael J. Castellano

       39,626,392        1,306,400        0  

Richard E. Cavanagh

       39,636,992        1,295,800        0  

Cynthia L. Egan

       39,553,274        1,379,518        0  

Frank J. Fabozzi

       39,622,539        1,310,253        0  

Jerrold B. Harris

       39,604,838        1,327,954        0  

R. Glenn Hubbard

       39,663,274        1,269,518        0  

W. Carl Kester

       39,676,843        1,255,949        0  

Catherine A. Lynch

       39,571,333        1,361,459        0  

Barbara G. Novick

       39,563,837        1,368,955        0  

John M. Perlowski

       39,653,860        1,278,932        0  

Karen P. Robards

       39,545,939        1,386,853        0  

 

Trust Certification

All 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.

 

     ANNUAL REPORT    DECEMBER 31, 2016    145


Additional Information         

 

General Information

The Trusts do not make available copies of their Statements of Additional Information because the Trusts’ shares, except for BME, are not continuously offered, which means that the Statements of Additional Information of each Trust have not been updated after completion of the respective Trust’s offerings and the information contained in each Trust’s Statement of Additional Information may have become outdated.

The prospectus for BME includes additional information about the Trustees of the Trusts and is available, without charge, upon request, by calling 1-800-882-0052.

During the period, there were no material changes in the Trusts’ investment objectives or policies or to the Trusts’ charters or by-laws that would delay or prevent a change of control of the Trusts that were not approved by the shareholders or in the principal risk factors associated with investment in the Trusts. Other than as described on page 142, there have been no changes in the persons who are primarily responsible for the day-to-day management of the Trusts’ portfolios.

Quarterly performance, semi-annual and annual reports and other information regarding the Trusts may be found on BlackRock’s website, which can be accessed at http://www.blackrock.com. 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 Advisors, Banks or Brokerages:

Please contact your financial advisor. Please note that not all investment advisors, banks or brokerages may offer this service.

Householding

The Trusts will mail only one copy of shareholder documents, including annual and semi-annual reports and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called “householding” and is intended to reduce expenses and eliminate duplicate mailings of shareholder documents. Mailings of your shareholder documents may be householded indefinitely unless you instruct us otherwise. If you do not want the mailing of these documents to be combined with those for other members of your household, please call the Trusts at (800) 882-0052.

Availability of Quarterly Schedule of Investments

The Trusts file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Trusts’ Forms N-Q are available on the SEC’s website at http://www.sec.gov. and may also be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on how to access documents on the SEC’s website without charge may be obtained by calling (800) SEC-0330. The Trusts’ Forms N-Q may also be obtained upon request and without charge by calling (800) 882-0052.

Availability of Proxy Voting Policies and Procedures

A description of the policies and procedures that the Trusts use to determine how to vote proxies relating to portfolio securities is available upon request and without charge (1) by calling (800) 882-0052; (2) at http://www.blackrock.com; and (3) on the SEC’s website http://www.sec.gov.

Availability of Proxy Voting Record

Information about how the Trusts voted proxies relating to securities held in the Trusts’ portfolio during the most recent 12-month period ended June 30 is available upon request and without charge (1) at http://www.blackrock.com or by calling (800) 882-0052 and (2) on the SEC’s website at http://www.sec.gov.

Availability of Trust Updates

BlackRock will update performance and certain other data for the Trusts on a monthly basis on its website in the “Closed-end Funds” section of http://www.blackrock.com as well as certain other material information as necessary from time to time. Investors and others are advised to check the website for updated performance information and the release of other material information about the Trusts. This reference to BlackRock’s website is intended to allow investors public access to information regarding the Trusts and does not, and is not intended to, incorporate BlackRock’s website in this report.

 

146    ANNUAL REPORT    DECEMBER 31, 2016     


Additional Information (concluded)         

 

Shelf Offering Program

From time-to-time, each Trust may seek to raise additional equity capital through an equity shelf program (a “Shelf Offering”). In a Shelf Offering, a Trust may, subject to market conditions, raise additional equity capital by issuing new Common Shares from time to time in varying amounts at a net price at or above the Trust’s net asset value (“NAV”) per Common Share (calculated within 48 hours of pricing). While any such Shelf Offering may allow a Trust to pursue additional investment opportunities without the need to sell existing portfolio investments, it could also entail risks — including that the issuance of additional Common Shares may limit the extent to which the Common Shares are able to trade at a premium to NAV in the secondary market.

On August 12, 2015 and June 9, 2016, BME filed a final prospectus with the SEC in connection with its Shelf Offering. This report and the prospectus of BME are not offers to sell BME Common Shares or solicitations of an offer to buy BME Common Shares in any jurisdiction where such offers or sales are not permitted. The prospectus of BME contains important information about the Fund, including its investment objective, risks, charges and expenses. Investors are urged to read the prospectus of BME carefully and in its entirety before investing. Copies of the final prospectus for BME can be obtained from BlackRock at http://www.blackrock.com.

 

Dividend Policy

Each Trust’s dividend policy is to distribute all or a portion of its net investment income to its shareholders on a monthly basis. In order to provide shareholders with a more stable level of dividend distributions, the dividends paid by the Trusts for any particular month may be more or less than the amount of net investment income earned by the Trusts during such month. The portion of dividend distributions that exceeds a Trust’s current and accumulated earnings and profits, which are measured on a tax basis, will constitute a nontaxable return of capital. Distributions in excess of a Trust’s taxable income and net capital gains, but not in excess of a Trust’s earnings and profits, will be taxable to shareholders as ordinary income and will not constitute a nontaxable return of capital. The Trusts’ current accumulated but undistributed net investment income, if any, is disclosed in the Statements of Assets and Liabilities, which comprises part of the financial information included in this report.

 

BlackRock Privacy Principles

BlackRock is committed to maintaining the privacy of its current and former fund investors and individual clients (collectively, “Clients”) and to safeguarding their non-public personal information. The following information is provided to help you understand what personal information BlackRock collects, how we protect that information and why in certain cases we share such information with select parties.

If you are located in a jurisdiction where specific laws, rules or regulations require BlackRock to provide you with additional or different privacy-related rights beyond what is set forth below, then BlackRock will comply with those specific laws, rules or regulations.

BlackRock obtains or verifies personal non-public information from and about you from different sources, including the following: (i) information we receive from you or, if applicable, your financial intermediary, on applications, forms or other documents; (ii) information about your transactions with us, our affiliates, or others; (iii) information we receive from a consumer reporting agency; and (iv) from visits to our websites.

BlackRock does not sell or disclose to non-affiliated third parties any non-public personal information about its Clients, except as permitted by law or as is necessary to respond to regulatory requests or to service Client accounts. These non-affiliated third parties are required to protect the confidentiality and security of this information and to use it only for its intended purpose.

We may share information with our affiliates to service your account or to provide you with information about other BlackRock products or services that may be of interest to you. In addition, BlackRock restricts access to non-public personal information about its Clients to those BlackRock employees with a legitimate business need for the information. BlackRock maintains physical, electronic and procedural safeguards that are designed to protect the non-public personal information of its Clients, including procedures relating to the proper storage and disposal of such information.

 

     ANNUAL REPORT    DECEMBER 31, 2016    147


 

 

 

 

 

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-BK9-12/16-AR

 

 

LOGO

 


Item 2 – Code of Ethics – The registrant (or the “Fund”) has adopted a code of ethics, as of the end of the period covered by this report, applicable to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions. During the period covered by this report, the code of ethics was amended to update certain information and to make other non-material changes. During the period covered by this report, there have been no waivers granted under the code of ethics. The registrant undertakes to provide a copy of the code of ethics to any person upon request, without charge, by calling 1-800-882-0052, option 4.

 

Item 3 – Audit Committee Financial Expert – The registrant’s board of directors (the “board of directors”), has determined that (i) the registrant has the following audit committee financial experts serving on its audit committee and (ii) each audit committee financial expert is independent:

Michael Castellano

Frank J. Fabozzi

James T. Flynn

W. Carl Kester

Karen P. Robards

The registrant’s board of directors has determined that W. Carl Kester and Karen P. Robards qualify as financial experts pursuant to Item 3(c)(4) of Form N-CSR.

Prof. Kester has a thorough understanding of generally accepted accounting principles, financial statements and internal control over financial reporting as well as audit committee functions. Prof. Kester has been involved in providing valuation and other financial consulting services to corporate clients since 1978. Prof. Kester’s financial consulting services present a breadth and level of complexity of accounting issues that are generally comparable to the breadth and complexity of issues that can reasonably be expected to be raised by the registrant’s financial statements.

Ms. Robards has a thorough understanding of generally accepted accounting principles, financial statements and internal control over financial reporting as well as audit committee functions. Ms. Robards has been President of Robards & Company, a financial advisory firm, since 1987. Ms. Robards was formerly an investment banker for more than 10 years where she was responsible for evaluating and assessing the performance of companies based on their financial results. Ms. Robards has over 30 years of experience analyzing financial statements. She also is a member of the audit committee of one publicly held company and a non-profit organization.

Under applicable securities laws, a person determined to be an audit committee financial expert will not be deemed an “expert” for any purpose, including without limitation for the purposes of Section 11 of the Securities Act of 1933, as a result of being designated or identified as an audit committee financial expert. The designation or identification as an audit committee financial expert does not impose on such person any duties, obligations, or liabilities greater than the duties, obligations, and liabilities imposed on such person as a member of the audit committee and board of directors in the absence of such designation or identification. The designation or identification of a person as an audit committee financial expert does not affect the duties, obligations, or liability of any other member of the audit committee or board of directors.

 

2


Item 4 – Principal Accountant Fees and Services

The following table presents fees billed by Deloitte & Touche LLP (“D&T”) in each of the last two fiscal years for the services rendered to the Fund:

 

     (a) Audit Fees   (b) Audit-Related Fees1   (c) Tax Fees2   (d) All Other Fees3
Entity Name  

Current

  Fiscal Year  

End

 

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 Energy and

Resources Trust

  $38,338   $28,238   $0   $0   $15,147   $13,107   $0   $0

The following table presents fees billed by D&T that were required to be approved by the registrant’s audit committee (the “Committee”) for services that relate directly to the operations or financial reporting of the Fund and that are rendered on behalf of BlackRock Advisors, LLC (“Investment Adviser” or “BlackRock”) and entities controlling, controlled by, or under common control with BlackRock (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) that provide ongoing services to the Fund (“Fund Service Providers”):

 

    Current Fiscal Year End   Previous Fiscal Year End
(b) Audit-Related Fees1   $0   $0
(c) Tax Fees2   $0   $0
(d) All Other Fees3   $2,129,000   $2,391,000

1 The nature of the services includes assurance and related services reasonably related to the performance of the audit of financial statements not included in Audit Fees.

2 The nature of the services includes tax compliance, tax advice and tax planning.

3 Aggregate fees borne by BlackRock in connection with the review of compliance procedures and attestation thereto performed by D&T with respect to all of the registered closed-end funds and some of the registered open-end funds advised by BlackRock.

(e)(1) Audit Committee Pre-Approval Policies and Procedures:

The Committee has adopted policies and procedures with regard to the pre-approval of services. Audit, audit-related and tax compliance services provided to the registrant on an annual basis require specific pre-approval by the Committee. The Committee also must approve other non-audit services provided to the registrant and those non-audit services provided to the Investment Adviser and Fund Service Providers that relate directly to the operations and the financial reporting of the registrant. Certain of these non-audit services that the Committee believes are (a) consistent with the SEC’s auditor independence rules and (b) routine and recurring services that will not impair the independence of the independent accountants may be approved by the Committee without consideration on a specific case-by-case basis (“general pre-approval”). The term of any general pre-approval is 12 months from the date of the pre-approval, unless the Committee provides for a different period. Tax or other non-audit services provided to the registrant which have a direct impact on the operations or financial reporting of the registrant will only be deemed pre-approved provided that any individual project does not exceed $10,000 attributable to the registrant or $50,000 per project. For this purpose, multiple projects will be aggregated to determine if they exceed the previously mentioned cost levels.

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.,

 

3


unanticipated but permissible services). The Committee is informed of each service approved subject to general pre-approval at the next regularly scheduled in-person board meeting. At this meeting, an analysis of such services is presented to the Committee for ratification. The Committee may delegate to the Committee Chairman the authority to approve the provision of and fees for any specific engagement of permitted non-audit services, including services exceeding pre-approved cost levels.

(e)(2)  None of the services described in each of Items 4(b) through (d) were approved by the Committee pursuant to the de minimis exception in paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.

(f) Not Applicable

(g) The aggregate non-audit fees paid to the accountant for services rendered by the accountant to the registrant, the Investment Adviser and the Fund Service Providers were:

 

Entity Name  

Current Fiscal Year

End

 

Previous Fiscal Year

End

 

                        

BlackRock Energy and

Resources Trust

  $15,147   $13,107  

Additionally, SSAE 16 Review (Formerly, SAS No. 70) fees for the current and previous fiscal years of $2,129,000 and $2,391,000, respectively, were billed by D&T to the Investment Adviser.

(h) The Committee has considered and determined that the provision of non-audit services that were rendered to the Investment Adviser, and the Fund Service Providers that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.

 

Item 5 – Audit Committee of Listed Registrants

 

  (a) The following individuals are members of the registrant’s separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934 (15 U.S.C. 78c(a)(58)(A)):

Michael Castellano

Frank J. Fabozzi

James T. Flynn

W. Carl Kester

Karen P. Robards

 

  (b) Not Applicable

 

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.

 

4


(b) Not Applicable due to no such divestments during the semi-annual period covered since the previous Form N-CSR filing.

 

Item 7 – Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – The board of directors has delegated the voting of proxies for the Fund’s portfolio securities to the Investment Adviser pursuant to the Investment Adviser’s proxy voting guidelines. Under these guidelines, the Investment Adviser will vote proxies related to Fund securities in the best interests of the Fund and its stockholders. From time to time, a vote may present a conflict between the interests of the Fund’s stockholders, on the one hand, and those of the Investment Adviser, or any affiliated person of the Fund or the Investment Adviser, on the other. In such event, provided that the Investment Adviser’s Equity Investment Policy Oversight Committee, or a sub-committee thereof (the “Oversight Committee”) is aware of the real or potential conflict or material non-routine matter and if the Oversight Committee does not reasonably believe it is able to follow its general voting guidelines (or if the particular proxy matter is not addressed in the guidelines) and vote impartially, the Oversight Committee may retain an independent fiduciary to advise the Oversight Committee on how to vote or to cast votes on behalf of the Investment Adviser’s clients. If the Investment Adviser determines not to retain an independent fiduciary, or does not desire to follow the advice of such independent fiduciary, the Oversight Committee shall determine how to vote the proxy after consulting with the Investment Adviser’s Portfolio Management Group and/or the Investment Adviser’s Legal and Compliance Department and concluding that the vote cast is in its client’s best interest notwithstanding the conflict. A copy of the Fund’s Proxy Voting Policy and Procedures are attached as Exhibit 99.PROXYPOL. Information on how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, (i) at www.blackrock.com and (ii) on the SEC’s website at http://www.sec.gov.

 

Item 8 – Portfolio Managers of Closed-End Management Investment Companies – as of the Date of This Report.

 

  (a)(1) The registrant is managed by a team of investment professionals comprised of Poppy Allonby, Managing Director at BlackRock, Kyle G. McClements, CFA, Managing Director at BlackRock, Christopher Accettella, Director at BlackRock and Alastair Bishop, Director at BlackRock. Messrs. McClements , Accettella and Bishop and Ms. Allonby are the Fund’s portfolio managers and are responsible for the day-to-day management of the Fund’s portfolio and the selection of its investments. Messrs. McClements and Accettella have been members of the Fund’s portfolio management team since 2012. Ms. Allonby has been a member of the Fund’s portfolio management team since 2013. Mr. Bishop has been a member of the Fund’s portfolio management team since 2015.

 

Portfolio Manager    Biography
Poppy Allonby    Managing Director of BlackRock since 2012; Director of BlackRock since 2007; Vice President of BlackRock from 2006 to 2007; Vice President of Merrill Lynch Investment Managers, L.P. (“MLIM”) from 2001 to 2006.
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.

 

5


Alastair Bishop

 

 

Director of BlackRock since 2010.

 

 

  (a)(2) As of December 31, 2016:

 

    

(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  

Poppy Allonby

  3   4   3   0   0   1
        $437.3 Million           $3.02 Billion           $168.1 Million       $0   $0       $0.06 Million    

Kyle McClements, CFA

  10   13   0   0   0   0
    $8.21 Billion   $5.68 Billion   $0   $0   $0   $0

Christopher Accettella

  10   13   0   0   0   0
    $8.21 Billion   $5.68 Billion   $0   $0   $0   $0

Alastair Bishop

  3   6   0   0   0   0
    $1.39 Billion   $3.15 Billion   $0   $0   $0   $0

 

  (iv) Portfolio Manager Potential Material Conflicts of Interest

BlackRock has built a professional working environment, firm-wide compliance culture and compliance procedures and systems designed to protect against potential incentives that may favor one account over another. BlackRock has adopted policies and procedures that address the allocation of investment opportunities, execution of portfolio transactions, personal trading by employees and other potential conflicts of interest that are designed to ensure that all client accounts are treated equitably over time. Nevertheless, BlackRock furnishes investment management and advisory services to numerous clients in addition to the Fund, and BlackRock may, consistent with applicable law, make investment recommendations to other clients or accounts (including accounts which are hedge funds or have performance or higher fees paid to BlackRock, or in which portfolio managers have a personal interest in the receipt of such fees), which may be the same as or different from those made to the Fund. In addition, BlackRock, Inc., its affiliates and significant shareholders and any officer, director, shareholder or employee may or may not have an interest in the securities whose purchase and sale BlackRock recommends to the Fund. BlackRock, Inc., or any of its affiliates or significant shareholders, or any officer, director, shareholder, employee or any member of their families may take different actions than those recommended to the Fund by BlackRock with respect to the same securities. Moreover, BlackRock may refrain from rendering any advice or services concerning securities of companies of which any of BlackRock, Inc.’s (or its affiliates’ or significant shareholders’) officers, directors or employees are directors or officers, or companies as to which BlackRock, Inc. or any of its affiliates or significant shareholders or the officers, directors and employees of any of them has any substantial economic interest or possesses material non-public information. Certain portfolio managers also may manage accounts whose investment strategies may at times be opposed to the strategy utilized for a fund. It should also be noted that Ms. Allonby and Mr. Bishop 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. Allonby and Mr. Bishop may therefore be entitled to receive a portion of any incentive fees earned on such accounts.

 

6


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, 2016:

Portfolio Manager Compensation Overview

The discussion below describes the portfolio managers’ compensation as of December 31, 2016.

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. Allonby and Mr. Bishop

Generally, discretionary incentive compensation for Active Equity portfolio managers is based on a formulaic compensation program. BlackRock’s formulaic portfolio manager compensation program is based on team revenue and pre-tax investment performance relative to appropriate competitors or benchmarks over 1-, 3- and 5-year performance periods, as applicable. In most cases, these benchmarks are the same as the benchmark or benchmarks against which the performance of the Funds or other accounts managed by the portfolio managers are measured. BlackRock’s Chief Investment Officers determine the benchmarks or rankings against which the performance of funds and other accounts managed by each portfolio management team is compared and the period of time over which performance is evaluated. With respect to these portfolio managers, such benchmarks for the Fund and other accounts are: Euromoney Global Mining Index; FTSE Gold Mines Index; MSCI World Energy; DAX Global Agribusiness Index; WilderHill New Energy Index; BGR Option Overwriting Strategy Composite Index; Wilshire 5000 Modified Energy Index, Equal Weighted; BCX Overwrite Benchmark Strategy Index.

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.

 

7


Discretionary Incentive Compensation

Messrs. Accettella and McClements

Discretionary incentive compensation is a function of several components: the performance of BlackRock, Inc., the performance of the portfolio manager’s group within BlackRock, the investment performance, including risk-adjusted returns, of the firm’s assets or strategies under management or supervision by that portfolio manager, and/or the individual’s performance and contribution to the overall performance of these portfolios and BlackRock. Among other things, BlackRock’s Chief Investment Officers make a subjective determination with respect to each portfolio manager’s compensation based on the performance of the Funds, other accounts or strategies managed by each portfolio manager. Performance is generally measured on a pre-tax basis over various time periods including 1-, 3- and 5- year periods, as applicable. The performance of some Funds, other accounts or strategies may not be measured against a specific benchmark.

Distribution of Discretionary Incentive Compensation. Discretionary incentive compensation is distributed to portfolio managers in a combination of cash and BlackRock, Inc. restricted stock units which vest ratably over a number of years. For some portfolio managers, discretionary incentive compensation is also distributed in deferred cash awards that notionally track the returns of select BlackRock investment products they manage and that vest ratably over a number of years. The BlackRock, Inc. restricted stock units, upon vesting, will be settled in BlackRock, Inc. common stock. Typically, the cash portion of the discretionary incentive compensation, when combined with base salary, represents more than 60% of total compensation for the portfolio managers. Paying a portion of discretionary incentive compensation in BlackRock, Inc. stock puts compensation earned by a portfolio manager for a given year “at risk” based on BlackRock’s ability to sustain and improve its performance over future periods. Providing a portion of discretionary incentive compensation in deferred cash awards that notionally track the BlackRock investment products they manage provides direct alignment with investment product results.

Long-Term Incentive Plan Awards — From time to time long-term incentive equity awards are granted to certain key employees to aid in retention, align their interests with long-term shareholder interests and motivate performance. Equity awards are generally granted in the form of BlackRock, Inc. restricted stock units that, once vested, settle in BlackRock, Inc. common stock. The portfolio managers of this Fund have unvested long-term incentive awards.

Deferred Compensation Program — A portion of the compensation paid to eligible United States-based BlackRock employees may be voluntarily deferred at their election for defined periods of time into an account that tracks the performance of certain of the firm’s investment products. Messrs. Accettella and McClements are 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

 

8


equal to 3-5% of eligible compensation up to the Internal Revenue Service limit ($265,000 for 2016). 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. Messrs. Accettella and McClements are eligible to participate in these plans.

Incentive Savings Plans — United Kingdom-based portfolio managers are also eligible to participate in broad-based plans offered generally to BlackRock employees, including broad-based retirement, health and other employee benefit plans. For example, BlackRock has created a variety of incentive savings plans in which BlackRock employees are eligible to participate, including the BlackRock Retirement Savings Plan (RSP) and the BlackRock Employee Stock Purchase Plan (ESPP). The employer contribution to the RSP is between 6% to 15% (dependent on service related entitlement) of eligible pay capped at £150,000 per annum. The RSP offers a range of investment options, including several collective investment funds managed by the firm. BlackRock contributions follow the investment direction set by participants for their own contributions or, in the absence of an investment election being made, 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 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 US dollar value of $25,000 based on its fair market value on the purchase date. Ms. Allonby and Mr. Bishop are eligible to participate in these plans.

(a)(4)   Beneficial Ownership of Securities – As of December 31, 2016.

 

Portfolio Manager   

Dollar Range of Equity Securities

of the Fund Beneficially Owned

Poppy Allonby    None
Kyle G. McClements, CFA            $10,001 - $50,000
Christopher Accettella    None
Alastair Bishop    None

(b) Not Applicable

 

Item 9 – Purchases  of Equity Securities by Closed-End Management Investment Company and Affiliated
     Purchasers – Not Applicable due to no such purchases during the period covered by this report.

 

Item 10 – Submission of Matters to a Vote of Security Holders – There have been no material changes to these procedures.

 

Item 11 – Controls and Procedures

(a) – The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined

 

9


in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) under the Securities Exchange Act of 1934, as amended.

(b) – There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

 

Item 12 – Exhibits attached hereto

(a)(1) – Code of Ethics – See Item 2

(a)(2) – Certifications – Attached hereto

(a)(3) – Not Applicable

(b) – Certifications – Attached hereto

 

12(c) – Notices to the registrant’s common shareholders in accordance with the order under Section 6(c) of the 1940 Act granting an exemption from Section 19(b) of the 1940 Act and Rule 19b-1 under the 1940 Act, dated May 9, 20091

 

 

1 The Fund has received exemptive relief from the Securities and Exchange Commission permitting it to make periodic distributions of long-term capital gains with respect to its outstanding common stock as frequently as twelve times each year, and as frequently as distributions are specified by or in accordance with the terms of its outstanding preferred stock. This relief is conditioned, in part, on an undertaking by the Fund to make the disclosures to the holders of the Fund’s common shares, in addition to the information required by Section 19(a) of the 1940 Act and Rule 19a-1 thereunder. The Fund is likewise obligated to file with the SEC the information contained in any such notice to shareholders and, in that regard, has attached hereto copies of each such notice made during the period.

 

10


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 Energy and Resources Trust
By:        

/s/ John M. Perlowski                                

  John M. Perlowski
  Chief Executive Officer (principal executive officer) of
  BlackRock Energy and Resources Trust

Date: March 6, 2017

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 Energy and Resources Trust
Date: March 6, 2017
By:     /s/ Neal J. Andrews                                   
  Neal J. Andrews
  Chief Financial Officer (principal financial officer) of
  BlackRock Energy and Resources Trust
Date: March 6, 2017

 

11