N-Q 1 d234012dnq.htm BLACKROCK RESOURCES & COMMODITIES STRATEGY TRUST(BCX) BlackRock Resources & Commodities Strategy Trust(BCX)

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811-22501

Name of Fund: BlackRock Resources & Commodities Strategy Trust (BCX)

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Resources & Commodities Strategy 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: 10/31/2011

Date of reporting period: 07/31/2011

Item 1    –    Schedule of Investments

Schedule of Investments July 31, 2011 (Unaudited)    BlackRock Resources & Commodities Strategy Trust (BCX)
   (Percentages shown are based on Net Assets)

 

     Shares      Value  

Common Stocks

      

Chemicals – 12.5%

      

Agrium, Inc.(a)

      42,800       $ 3,739,864   

CF Industries Holdings, Inc.(a)

      28,200         4,380,024   

E.I. du Pont de Nemours & Co.(a)

      64,800         3,332,016   

Israel Chemicals Ltd.

      507,000         8,524,466   

K+S AG

      110,800         8,840,442   

Monsanto Co.(a)

      282,500         20,758,100   

The Mosaic Co.(a)

      129,700         9,172,384   

Potash Corp. of Saskatchewan, Inc.(a)

      331,400         19,158,234   

The Scotts Miracle-Gro Co., Class A(a)

      162,000         8,174,520   

Syngenta AG(b)

      35,000         11,141,716   

Uralkali - GDR(b)

      201,500         9,860,221   
     

 

 

  
        107,081,987   
     

 

 

  

Energy Equipment & Services – 3.6%

      

Basic Energy Services, Inc.(b)

      24,900         806,511   

Calfrac Well Services Ltd.

      7,700         292,623   

Core Laboratories NV(a)

      61,400         6,672,952   

Halliburton Co.(a)

      99,700         5,456,581   

Key Energy Services, Inc.(b)

      140,400         2,736,396   

Noble Corp.(a)

      48,300         1,780,821   

Patterson-UTI Energy, Inc.(a)

      39,500         1,284,935   

Schlumberger Ltd.(a)

      73,000         6,597,010   

Seadrill Ltd.

      53,100         1,848,311   

Technip SA

      13,900         1,521,999   

Trican Well Service Ltd.

      76,800         2,010,328   
     

 

 

  
        31,008,467   
     

 

 

  

Food Products – 3.3%

      

Archer-Daniels-Midland Co.(a)

      275,200         8,360,576   

Bunge Ltd.(a)

      120,900         8,319,129   

China Agri-Industries Holdings Ltd.

      7,460,000         8,402,945   

SLC Agricola SA

      300,600         3,289,281   
     

 

 

  
        28,371,931   
     

 

 

  

Machinery – 1.8%

      

AGCO Corp.(a)(b)

      25,900         1,228,178   

Caterpillar, Inc.(a)

      74,300         7,340,097   

Deere & Co.(a)

      43,000         3,375,930   

Joy Global, Inc.(a)

      30,400         2,855,168   
     

 

 

  
        14,799,373   
     

 

 

  

Metals & Mining – 22.7%

      

Agnico-Eagle Mines Ltd.(a)

      273,900         15,269,925   

Alexco Resource Corp.(a)(b)

      522,000         3,883,680   

Allegheny Technologies, Inc.(a)

      78,300         4,556,277   

Allied Nevada Gold Corp.(a)(b)

      243,500         9,277,350   

Augusta Resource Corp.(a)(b)

      709,600         3,491,232   

Avalon Rare Metals, Inc.(b)

      106,000         585,776   

Centerra Gold, Inc.

      240,300         4,710,680   

Compass Minerals International, Inc.(a)

      98,400         7,748,016   

Detour Gold Corp.(b)

      214,400         6,738,638   

Eldorado Gold Corp.(a)

      514,400         8,883,688   

Franco-Nevada Corp.

      339,900         14,212,157   

Fresnillo Plc

      414,500         11,892,129   

Goldcorp, Inc.(a)

      179,600         8,586,676   

HudBay Minerals, Inc.

      415,300         5,715,835   

Kenmare Resources Plc(b)

      3,749,400         3,409,553   

MAG Silver Corp.(b)

      449,200         4,508,690   

New Gold, Inc.(a)(b)

      444,000         4,795,200   

Novagold Resources, Inc.(a)(b)

      797,800         7,993,956   

Pan American Silver Corp.(a)

      104,800         3,162,864   

Quadra FNX Mining Ltd.(b)

      564,000         8,978,429   

Seabridge Gold, Inc.(a)(b)

      448,400         12,398,260   

Silver Wheaton Corp.(a)

      596,300         21,514,504   

Silvercorp Metals, Inc.(a)

      1,080,000         11,188,800   

Titanium Metals Corp.(a)

      364,200         6,479,118   

US Gold Corp.(a)(b)

      648,600         4,118,610   
     

 

 

  
        194,100,043   
     

 

 

  

Oil, Gas & Consumable Fuels – 32.5%

      

Alpha Natural Resources, Inc.(a)(b)

      285,665         12,200,752   

AltaGas Ltd.

      320,300         8,870,310   

Angle Energy, Inc.(b)

      100,000         1,003,716   

Apache Corp.(a)

      54,200         6,705,624   

Arch Coal, Inc.(a)

      55,400         1,418,240   

Baytex Energy Corp.

      76,400         4,264,391   

Bill Barrett Corp.(b)

      38,400         1,910,784   

Bonavista Energy Corp.

      136,600         4,110,367   

BP Plc - ADR(a)

      48,300         2,194,752   

Cenovus Energy, Inc.(a)

      69,600         2,669,160   

Chesapeake Energy Corp.(a)

      87,800         3,015,930   

ConocoPhillips(a)

      12,300         885,477   

Consol Energy, Inc.(a)

      231,400         12,403,040   

Continental Resources, Inc.(a)(b)

      25,400         1,742,186   

Crescent Point Energy Corp.

      189,200         8,505,040   

Denbury Resources, Inc.(a)(b)

      211,400         4,084,248   

Enbridge Energy Partners LP

      113,811         3,357,426   

Energy XXI (Bermuda) Ltd.(a)(b)

      47,200         1,548,632   

Enterprise Products Partners LP

      290,600         12,086,054   

EOG Resources, Inc.(a)

      63,000         6,426,000   

EQT Corp.(a)

      66,900         4,246,812   

Forest Oil Corp.(a)(b)

      75,000         1,950,000   

Galleon Energy, Inc., Class A(b)

      158,700         569,722   

Gasco Energy, Inc.(b)

      366,500         102,620   

Hess Corp.(a)

      31,000         2,125,360   

James River Coal Co.(a)(b)

      87,800         1,664,688   

Keyera Corp.

      207,700         9,543,179   

Kosmos Energy Ltd.

      50,000         759,500   

Magellan Midstream Partners LP

      140,200         8,274,604   

MarkWest Energy Partners LP

      184,800         8,567,328   

Newfield Exploration Co.(a)(b)

      59,000         3,977,780   

Noble Energy, Inc.(a)

      46,700         4,655,056   

Occidental Petroleum Corp.(a)

      125,500         12,321,590   

OGX Petroleo e Gas Participacoes SA(b)

      205,500         1,713,328   

ONEOK Partners LP

      299,000         12,707,500   

Patriot Coal Corp.(a)(b)

      63,000         1,191,330   

Peabody Energy Corp.(a)

      118,500         6,810,195   

Penn West Petroleum Ltd.(a)

      398,100         8,881,611   

Permian Basin Royalty Trust

      407,700         8,961,246   

PetroBakken Energy Ltd., Class A

      17,500         257,523   

PetroChina Co. Ltd. - ADR(a)

      7,100         1,009,833   

Petrohawk Energy Corp.(a)(b)

      86,300         3,295,797   

Plains All American Pipeline LP

      197,300         12,268,114   

Plains Exploration & Production Co.(a)(b)

      85,200         3,323,652   

Premier Oil Plc(b)

      239,200         1,587,363   

QEP Resources, Inc.

      41,000         1,797,030   

Range Resources Corp.(a)

      57,900         3,772,764   

Rex Energy Corp.(a)(b)

      73,000         808,110   

Ship Finance International Ltd.(a)

      403,600         6,417,240   

Southwestern Energy Co.(a)(b)

      77,700         3,462,312   

Statoil ASA

      109,700         2,703,742   

Suncor Energy, Inc.(a)

      161,700         6,180,174   

Talisman Energy, Inc.(a)

      166,000         3,029,500   

Targa Resources Partners LP

      100,000         3,443,000   

Ultra Petroleum Corp.(a)(b)

      45,300         2,120,946   

Vermilion Energy, Inc.

      81,100         4,066,671   

Whiting Petroleum Corp.(a)(b)

      115,000         6,739,000   

 

 

         JULY 31, 2011   1

Schedule of Investments (continued)    BlackRock Resources & Commodities Strategy Trust (BCX)
   (Percentages shown are based on Net Assets)

 

      Shares      Value  

Common Stocks

      

Oil, Gas & Consumable Fuels (concluded)

      

Williams Partners LP

      243,900       $ 13,609,620   
     

 

 

  
        278,317,969   
     

 

 

  

Total Long-Term Investments
(Cost – $674,848,077) – 76.4%

         653,679,770   
     

 

 

  

Short-Term Securities

      

BlackRock Liquidity Funds, TempFund, Institutional Class,

      

0.06%(c)(d)

      134,399,937         134,399,937   
     

 

 

  

Total Short-Term Securities
(Cost – $134,399,937) – 15.7%

         134,399,937   
     

 

 

  

Total Investments Before Outstanding Options Written
(Cost – $809,248,014*) – 92.1%

         788,079,707   
     

 

 

  
     Contracts         

Options Written

      

Exchange-Traded Call Options Written – (0.4)%

      

AGCO Corp., Strike Price USD 50, Expires 8/22/11

      100         (9,000 ) 

Agnico-Eagle Mines Ltd., Strike Price USD 67.50, Expires 8/22/11

      950         (9,025 ) 

Agrium, Inc., Strike Price USD 90, Expires 8/22/11

      150         (25,875 ) 

Alexco Resource Corp., Strike Price USD 7.50, Expires 8/22/11

      500         (21,250 ) 

Allegheny Technologies, Inc., Strike Price USD 67.50, Expires 9/19/11

      270         (22,275 ) 

Allied Nevada Gold Corp.:

      

Strike Price USD 35, Expires 8/22/11

      300         (111,000 ) 

Strike Price USD 40, Expires 8/22/11

      200         (21,500 ) 

Strike Price USD 41, Expires 9/19/11

      350         (61,710 ) 

Alpha Natural Resources, Inc.:

      

Strike Price USD 49, Expires 8/22/11

      450         (12,825 ) 

Strike Price USD 46, Expires 8/22/11

      130         (10,530 ) 

Strike Price USD 47, Expires 8/22/11

      100         (5,850 ) 

Strike Price USD 50, Expires 9/19/11

      200         (14,300 ) 

Apache Corp., Strike Price USD 125, Expires 8/22/11

      200         (65,000 ) 

Arch Coal, Inc.:

      

Strike Price USD 27, Expires 8/22/11

      100         (5,350 ) 

Strike Price USD 28, Expires 8/22/11

      100         (2,900 ) 

Archer-Daniels-Midland Co.:

      

Strike Price USD 31, Expires 8/22/11

      480         (33,360 ) 

Strike Price USD 32, Expires 8/22/11

      480         (17,760 ) 

Augusta Resource Corp.:

      

Strike Price USD 5, Expires 8/22/11

      600         (15,000 ) 

Strike Price USD 5, Expires 9/19/11

      150         (6,375 ) 

BP Plc - ADR:

      

Strike Price USD 45, Expires 8/22/11

      85         (10,242 ) 

Strike Price USD 46, Expires 8/22/11

      85         (6,332 ) 

Bunge Ltd., Strike Price USD 70, Expires 8/22/11

      420         (50,400 ) 

Caterpillar, Inc.:

      

Strike Price USD 100, Expires 8/22/11

      140         (40,250 ) 

Strike Price USD 111, Expires 8/22/11

      60         (1,972 ) 

Strike Price USD 110, Expires 9/19/11

      60         (7,590 ) 

Cenovus Energy, Inc., Strike Price USD 40, Expires 9/19/11

      245         (25,112 ) 

CF Industries Holdings, Inc., Strike Price USD 150, Expires 8/22/11

      100         (97,750 ) 

Chesapeake Energy Corp.:

      

Strike Price USD 29, Expires 8/22/11

      155         (84,862 ) 

Strike Price USD 30, Expires 8/22/11

      155         (70,525 ) 

Compass Minerals International, Inc.:

      

Strike Price USD 90, Expires 8/22/11

      90         (900 ) 

Strike Price USD 86.50, Expires 8/31/11

      250         (7,513 ) 

ConocoPhillips, Strike Price USD 77.50, Expires 9/19/11

      45         (3,442 ) 

Consol Energy, Inc.:

      

Strike Price USD 52.50, Expires 8/22/11

      130         (34,385 ) 

Strike Price USD 55, Expires 9/19/11

      100         (26,050 ) 

Strike Price USD 52.50, Expires 9/19/11

      630         (236,250 ) 

Continental Resources, Inc., Strike Price USD 70, Expires 9/19/11

      75         (24,000 ) 

Core Laboratories NV, Strike Price USD 117.50, Expires 8/22/11

      215         (4,969 ) 

Deere & Co., Strike Price USD 82.50, Expires 8/22/11

      150         (18,450 ) 

Denbury Resources, Inc.:

      

Strike Price USD 20, Expires 8/22/11

      680         (35,700 ) 

Strike Price USD 20, Expires 9/19/11

      65         (5,688 ) 

E.I. du Pont de Nemours & Co., Strike Price USD 52.50, Expires 8/22/11

      120         (9,180 ) 

Eldorado Gold Corp.:

      

Strike Price USD 16, Expires 8/22/11

      850         (123,250 ) 

Strike Price USD 15, Expires 8/22/11

      349         (80,270 ) 

Strike Price USD 19, Expires 8/22/11

      99         (1,485 ) 

Energy XXI (Bermuda) Ltd., Strike Price USD 33, Expires 8/22/11

      165         (25,988 ) 

EOG Resources, Inc.:

      

Strike Price USD 105, Expires 8/22/11

      30         (6,720 ) 

Strike Price USD 110, Expires 8/22/11

      175         (15,312 ) 

EQT Corp.:

      

Strike Price USD 60, Expires 8/22/11

      130         (55,250 ) 

Strike Price USD 62, Expires 8/31/11

      100         (31,486 ) 

Forest Oil Corp.:

      

Strike Price USD 27, Expires 8/22/11

      130         (12,025 ) 

Strike Price USD 28, Expires 8/22/11

      130         (8,450 ) 

Goldcorp, Inc.:

      

Strike Price USD 50, Expires 8/22/11

      600         (48,900 ) 

Strike Price USD 57.50, Expires 9/19/11

      25         (688 ) 

Halliburton Co.:

      

Strike Price USD 52.50, Expires 8/22/11

      115         (38,525 ) 

Strike Price USD 55, Expires 8/22/11

      175         (32,550 ) 

Hess Corp., Strike Price USD 75, Expires 8/22/11

      110         (5,335 ) 

James River Coal Co.:

      

Strike Price USD 22, Expires 8/22/11

      172         (3,440 ) 

Strike Price USD 23, Expires 8/22/11

      114         (1,710 ) 

Strike Price USD 24, Expires 9/19/11

      16         (280 ) 

 

2        JULY 31, 2011    

Schedule of Investments (continued)    BlackRock Resources & Commodities Strategy Trust (BCX)
   (Percentages shown are based on Net Assets)

 

      Contracts      Value  

Options Written

      

Exchange-Traded Call Options Written (continued)

      

Joy Global, Inc., Strike Price USD 100, Expires 8/22/11

      100       $ (15,400 ) 

Monsanto Co.:

      

Strike Price USD 75, Expires 8/22/11

      95         (12,635 ) 

Strike Price USD 77.50, Expires 9/19/11

      690         (98,325 ) 

The Mosaic Co., Strike Price USD 70, Expires 8/22/11

      450         (128,700 ) 

New Gold, Inc.:

      

Strike Price USD 11, Expires 8/22/11

      420         (16,800 ) 

Strike Price USD 10, Expires 8/22/11

      310         (31,000 ) 

Newfield Exploration Co., Strike Price USD 70, Expires 8/22/11

      205         (28,188 ) 

Noble Corp., Strike Price USD 38, Expires 8/22/11

      170         (10,455 ) 

Noble Energy, Inc.:

      

Strike Price USD 95, Expires 8/22/11

      25         (14,375 ) 

Strike Price USD 92.50, Expires 8/22/11

      140         (112,000 ) 

Novagold Resources, Inc.:

      

Strike Price USD 11, Expires 8/22/11

      1,000         (17,500 ) 

Strike Price USD 11, Expires 9/19/11

      1,400         (59,500 ) 

Occidental Petroleum Corp.:

      

Strike Price USD 105, Expires 8/22/11

      150         (12,225 ) 

Strike Price USD 110, Expires 8/22/11

      210         (5,355 ) 

Pan American Silver Corp.:

      

Strike Price USD 32, Expires 8/22/11

      100         (6,000 ) 

Strike Price USD 35, Expires 8/22/11

      100         (1,500 ) 

Strike Price USD 36, Expires 8/22/11

      50         (500 ) 

Patriot Coal Corp., Strike Price USD 25, Expires 8/22/11

      220         (1,210 ) 

Patterson-UTI Energy, Inc., Strike Price USD 31, Expires 8/22/11

      140         (33,950 ) 

Peabody Energy Corp., Strike Price USD 62.50, Expires 9/19/11

      415         (50,838 ) 

Penn West Petroleum Ltd.:

      

Strike Price USD 23, Expires 8/22/11

      505         (15,150 ) 

Strike Price USD 24, Expires 8/22/11

      260         (1,950 ) 

PetroChina Co. Ltd. - ADR, Strike Price USD 150, Expires 8/22/11

      25         (2,438 ) 

Petrohawk Energy Corp.:

      

Strike Price USD 25, Expires 8/22/11

      25         (32,938 ) 

Strike Price USD 26, Expires 8/22/11

      50         (60,875 ) 

Plains Exploration & Production Co.:

      

Strike Price USD 43, Expires 8/22/11

      225         (10,350 ) 

Strike Price USD 40, Expires 9/19/11

      72         (14,328 ) 

Potash Corp. of Saskatchewan, Inc., Strike Price USD 57.25, Expires 8/10/11

      1,160         (204,674 ) 

Range Resources Corp.:

      

Strike Price USD 55, Expires 8/22/11

      105         (108,675 ) 

Strike Price USD 62.50, Expires 9/19/11

      95         (49,400 ) 

Rex Energy Corp., Strike Price USD 12.50, Expires 8/22/11

      250         (5,000 ) 

Schlumberger Ltd.:

      

Strike Price USD 90, Expires 8/22/11

      125         (38,125 ) 

Strike Price USD 90, Expires 9/19/11

      125         (54,375 ) 

The Scotts Miracle-Gro Co., Class A, Strike Price USD 55, Expires 8/22/11

      500         (10,000 ) 

Seabridge Gold, Inc.:

      

Strike Price USD 30, Expires 8/22/11

      250         (9,375 ) 

Strike Price USD 31, Expires 9/19/11

      1,250         (75,000 ) 

Ship Finance International Ltd., Strike Price USD 17.50, Expires 9/19/11

      205         (3,075 ) 

Silver Wheaton Corp.:

      

Strike Price USD 42, Expires 8/22/11

      945         (27,405 ) 

Strike Price USD 41, Expires 8/22/11

      1,145         (46,373 ) 

Silvercorp Metals, Inc.:

      

Strike Price USD 10, Expires 8/22/11

      1,895         (156,338 ) 

Strike Price USD 12, Expires 8/22/11

      1,885         (28,275 ) 

Southwestern Energy Co., Strike Price USD 45, Expires 8/22/11

      272         (36,584 ) 

Suncor Energy, Inc.:

      

Strike Price USD 41, Expires 8/22/11

      75         (2,400 ) 

Strike Price USD 40, Expires 8/22/11

      150         (8,250 ) 

Strike Price USD 41, Expires 9/19/11

      75         (5,962 ) 

Strike Price USD 42, Expires 9/19/11

      265         (14,972 ) 

Talisman Energy, Inc., Strike Price USD 20, Expires 8/22/11

      580         (5,800 ) 

Titanium Metals Corp., Strike Price USD 18, Expires 8/22/11

      1,275         (82,875 ) 

Ultra Petroleum Corp., Strike Price USD 48, Expires 9/19/11

      160         (27,600 ) 

US Gold Corp., Strike Price USD 7.50, Expires 8/22/11

      900         (6,750 ) 

Whiting Petroleum Corp.:

      

Strike Price USD 55, Expires 8/22/11

      200         (92,000 ) 

Strike Price USD 57.50, Expires 8/22/11

      200         (58,500 ) 
     

 

 

  

Total Exchange-Traded Call Options Written

         (3,716,379 ) 
     

 

 

  

Exchange-Traded Put Options Written – (0.2)%

      

AGCO Corp., Strike Price USD 45, Expires 8/22/11

      2,350         (193,875 ) 

Agrium, Inc., Strike Price USD 85, Expires 8/22/11

      930         (172,050 ) 

Allegheny Technologies, Inc., Strike Price USD 60, Expires 8/22/11

      525         (183,750 ) 

BHP Billiton Ltd. - ADR, Strike Price USD 85, Expires 8/22/11

      725         (56,188 ) 

CF Industries Holdings, Inc., Strike Price USD 140, Expires 8/22/11

      600         (111,000 ) 

Deere & Co.:

      

Strike Price USD 77.50, Expires 8/22/11

      292         (66,430 ) 

Strike Price USD 80, Expires 8/22/11

      292         (103,660 ) 

E.I. du Pont de Nemours & Co., Strike Price USD 52.50, Expires 8/22/11

      735         (160,230 ) 

Joy Global, Inc., Strike Price USD 90, Expires 8/22/11

      600         (126,600 ) 

Potash Corp. of Saskatchewan, Inc., Strike Price USD 55, Expires 8/22/11

      1,100         (102,300 ) 

Rio Tinto Plc, Strike Price USD 65, Expires 8/22/11

      970         (48,500 ) 

Sociedad y Minera de Chile SA - ADR, Strike Price USD 65, Expires 8/22/11

      1,300         (276,250 ) 
     

 

 

  

Total Exchange-Traded Put Options Written

         (1,600,833 ) 
     

 

 

  

Over-the-Counter Call Options Written – (0.4)%

      

Alexco Resource Corp., Strike Price USD 7.45, Expires 8/12/11, Broker Deutsche Bank Securities Corp.

      74,500         (26,205 ) 

 

         JULY 31, 2011   3

Schedule of Investments (continued)    BlackRock Resources & Commodities Strategy Trust (BCX)
   (Percentages shown are based on Net Assets)

 

      Contracts      Value  

Options Written

      

Over-the-Counter Call Options Written (continued)

      

Angle Energy, Inc.:

      

Strike Price CAD 9.62, Expires 8/11/11, Broker Morgan Stanley & Co., Inc.

      17,500       $ (4,814 ) 

Strike Price CAD 9.43, Expires 8/25/11, Broker Deutsche Bank Securities Corp.

      17,500         (8,834 ) 

Augusta Resource Corp.:

      

Strike Price USD 4.65, Expires 8/02/11, Broker Morgan Stanley & Co., Inc.

      48,200         (13,588 ) 

Strike Price USD 5.11, Expires 8/26/11, Broker Morgan Stanley & Co., Inc.

      60,000         (11,845 ) 

Strike Price USD 5.16, Expires 9/02/11, Broker Morgan Stanley & Co., Inc.

      60,000         (12,689 ) 

Basic Energy Services, Inc., Strike Price USD 32.09, Expires 8/26/11, Broker Citigroup Global Markets, Inc.

      9,000         (16,790 ) 

Bill Barrett Corp., Strike Price USD 47.95, Expires 8/15/11, Broker Citigroup Global Markets, Inc.

      13,500         (36,257 ) 

Centerra Gold, Inc.:

      

Strike Price CAD 16, Expires 8/22/11, Broker T.D. Securities

      420         (124,182 ) 

Strike Price CAD 19, Expires 8/22/11, Broker T.D. Securities

      420         (23,078 ) 

China Agri-Industries Holdings Ltd., Strike Price HKD 8.23, Expires 8/16/11, Broker JPMorgan Chase Securities

      2,600,000         (186,318 ) 

Crescent Point Energy Corp.:

      

Strike Price CAD 44, Expires 8/22/11, Broker Bank of Montreal

      517         (21,644 ) 

Strike Price CAD 44, Expires 9/19/11, Broker Bank of Montreal

      145         (11,382 ) 

Detour Gold Corp.:

      

Strike Price CAD 29, Expires 8/22/11, Broker T.D. Securities

      250         (43,173 ) 

Strike Price CAD 30, Expires 8/22/11, Broker T.D. Securities

      250         (26,820 ) 

Strike Price CAD 31, Expires 8/22/11, Broker T.D. Securities

      250         (16,354 ) 

Eldorado Gold Corp., Strike Price USD 18.73, Expires 9/08/11, Broker Deutsche Bank Securities Corp.

      50,000         (16,702 ) 

Franco-Nevada Corp.:

      

Strike Price CAD 38, Expires 8/22/11, Broker T.D. Securities

      600         (139,725 ) 

Strike Price CAD 39, Expires 8/22/11, Broker T.D. Securities

      600         (95,766 ) 

Fresnillo Plc:

      

Strike Price GBP 13.89, Expires 8/04/11, Broker Societe General Securities Corp.

      118,000         (695,616 ) 

Strike Price GBP 14.33, Expires 8/17/11, Broker Morgan Stanley & Co., Inc.

      27,000         (139,551 ) 

Galleon Energy, Inc., Class A, Strike Price CAD 3.16, Expires 8/15/11, Broker Deutsche Bank Securities Corp.

      53,000         (16,471 ) 

Halliburton Co., Strike Price USD 48.50, Expires 8/02/11, Broker Banc of America Securities

      6,000         (37,380 ) 

HudBay Minerals, Inc.:

      

Strike Price CAD 13, Expires 8/22/11, Broker T.D. Securities

      250         (14,391 ) 

Strike Price CAD 14, Expires 8/22/11, Broker T.D. Securities

      250         (3,925 ) 

Strike Price CAD 15, Expires 8/22/11, Broker T.D. Securities

      750         (3,925 ) 

Strike Price CAD 16, Expires 8/22/11, Broker T.D. Securities

      300         (1,884 ) 

Israel Chemicals Ltd., Strike Price ILS 56.03, Expires 8/15/11, Broker Citigroup Global Markets, Inc.

      177,000         (125,838 ) 

K+S AG:

      

Strike Price EUR 54.26, Expires 8/03/11, Broker Deutsche Bank Securities Corp.

      25,000         (50,804 ) 

Strike Price EUR 56, Expires 8/19/11, Broker Deutsche Bank Securities Corp.

      135         (28,021 ) 

Kenmare Resources Plc:

      

Strike Price GBP 0.61, Expires 8/03/11, Broker Barclays Capital, Inc.

      650,000         (726 ) 

Strike Price GBP 0.57, Expires 9/06/11, Broker Societe General Securities Corp.

      650,000         (30,226 ) 

Key Energy Services, Inc., Strike Price USD 18.36, Expires 8/30/11, Broker Deutsche Bank Securities Corp.

      49,000         (80,089 ) 

Kosmos Energy Ltd., Strike Price USD 18.30, Expires 8/05/11, Broker Morgan Stanley & Co., Inc.

      10,000         –   

MAG Silver Corp.:

      

Strike Price CAD 11, Expires 9/23/11, Broker Morgan Stanley & Co., Inc.

      78,500         (24,111 ) 

Strike Price CAD 11, Expires 9/29/11, Broker Morgan Stanley & Co., Inc.

      78,500         (26,903 ) 

Monsanto Co., Strike Price USD 76, Expires 8/29/11, Broker Credit Suisse First Boston

      20,000         (26,659 ) 

New Gold, Inc., Strike Price USD 11.25, Expires 9/12/11, Broker Credit Suisse First Boston

      82,000         (36,224 ) 

Occidental Petroleum Corp., Strike Price USD 107.19, Expires 9/06/11, Broker Goldman Sachs & Co.

      8,000         (7,866 ) 

OGX Petroleo e Gas Participacoes SA, Strike Price BRL 14.05, Expires 9/14/11, Broker Citigroup Global Markets, Inc.

      72,000         (27,648 ) 

ONEOK Partners LP, Strike Price USD 41.81, Expires 8/05/11, Broker Morgan Stanley & Co., Inc.

      36,000         (29,314 ) 

Penn West Petroleum Ltd., Strike Price USD 23.58, Expires 8/30/11, Broker Banc of America Securities

      63,000         (8,467 ) 

Permian Basin Royalty Trust:

      

Strike Price USD 22.64, Expires 8/25/11, Broker Morgan Stanley & Co., Inc.

      71,000         (16,453 ) 

Strike Price USD 22.64, Expires 9/08/11, Broker Morgan Stanley & Co., Inc.

      71,000         (22,845 ) 

Petrohawk Energy Corp., Strike Price USD 25.92, Expires 8/10/11, Broker Morgan Stanley & Co., Inc.

      20,000         (245,438 ) 

 

4        JULY 31, 2011    

Schedule of Investments (continued)    BlackRock Resources & Commodities Strategy Trust (BCX)
   (Percentages shown are based on Net Assets)

 

      Contracts      Value  

Options Written

      

Over-the-Counter Call Options Written (concluded)

      

Premier Oil Plc, Strike Price GBP 4.63, Expires 8/17/11, Broker Barclays Capital, Inc.

      84,000       $ (102 ) 

Quadra FNX Mining Ltd.:

      

Strike Price CAD 14, Expires 8/22/11, Broker T.D. Securities

      500         (74,572 ) 

Strike Price CAD 15, Expires 8/22/11, Broker T.D. Securities

      1,000         (75,880 ) 

Strike Price CAD 16, Expires 8/22/11, Broker T.D. Securities

      250         (7,850 ) 

Strike Price CAD 15, Expires 9/19/11, Broker T.D. Securities

      210         (22,529 ) 

Strike Price CAD 17, Expires 9/19/11, Broker T.D. Securities

      75         (2,551 ) 

Seadrill Ltd., Strike Price NOK 182.39, Expires 8/04/11, Broker Morgan Stanley & Co., Inc.

      18,600         (17,511 ) 

Ship Finance International Ltd., Strike Price USD 15.94, Expires 9/22/11, Broker Banc of America Securities

      50,000         (28,000 ) 

SLC Agricola SA:

      

Strike Price BRL 18.05, Expires 8/04/11, Broker Citigroup Global Markets, Inc.

      15,800         (447 ) 

Strike Price BRL 18.72, Expires 8/08/11, Broker Goldman Sachs & Co.

      31,500         (463 ) 

Strike Price BRL 18.80, Expires 8/17/11, Broker Deutsche Bank Securities Corp.

      31,500         (1,481 ) 

Strike Price BRL 17.16, Expires 9/09/11, Broker Credit Suisse First Boston

      16,000         (7,954 ) 

Statoil ASA, Strike Price NOK 138.87, Expires 8/17/11, Broker Deutsche Bank Securities Corp.

      38,400         (4,054 ) 

Syngenta AG:

      

Strike Price CHF 276.95, Expires 8/03/11, Broker Deutsche Bank Securities Corp.

      5,300         (9 ) 

Strike Price CHF 290, Expires 8/19/11, Broker Morgan Stanley & Co., Inc.

      640         (766 ) 

Technip SA, Strike Price EUR 77.64, Expires 8/17/11, Broker Deutsche Bank Securities Corp.

      4,900         (9,791 ) 

Trican Well Service Ltd., Strike Price CAD 23, Expires 8/22/11, Broker T.D. Securities

      270         (64,996 ) 

Uralkali - GDR, Strike Price USD 44.25, Expires 8/25/11, Broker Societe General Securities Corp.

      70,000         (371,700 ) 
     

 

 

  

Total Over-the-Counter Call Options Written

         (3,227,597 ) 
     

 

 

  

Over-the-Counter Put Options Written – (0.1)%

      

Augusta Resource Corp., Strike Price USD 4.48, Expires 8/26/11, Broker Morgan Stanley & Co., Inc.

      210,000         (21,048 ) 

Kenmare Resources Plc, Strike Price GBP 0.56, Expires 8/04/11, Broker Barclays Capital, Inc.

      650,000         (17,156 ) 

Syngenta AG, Strike Price CHF 270, Expires 8/19/11, Broker Morgan Stanley & Co., Inc.

      1,500         (392,436 ) 
     

 

 

  

Total Over-the-Counter Put Options Written

         (430,640 ) 
     

 

 

  

Total Options Written (Premiums Received – $7,734,107) – (1.1)%

         (8,975,449 ) 
     

 

 

  

Total Investments Net of Outstanding Options Written – 91.0%

         779,104,258   

Other Assets Less Liabilities – 9.0%

         76,936,152   
     

 

 

  

Net Assets – 100.0%

       $ 856,040,410   
     

 

 

  

 

* The cost and unrealized appreciation (depreciation) of investments as of July 31, 2011 as computed for federal income tax purposes, were as follows:

 

Aggregate cost

    $ 809,248,014   
  

 

 

  

Gross unrealized appreciation

    $ 18,721,627   

Gross unrealized depreciation

      (39,889,934 ) 
  

 

 

  

Net unrealized depreciation

    $ (21,168,307 ) 
  

 

 

  

 

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

 

(b) Non-income producing security.

 

(c) Investments in companies considered to be an affiliate of the Trust during the period, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate

    Shares Held at
March 30,
2011		      Net
Activity		      Shares Held at
July  31,
2011		      Income  

BlackRock Liquidity Funds, TempFund, Institutional Class

      –         134,399,937         134,399,937       $ 103,401   

 

(d) Represents the current yield as of report date.

 

•  

Foreign currency exchange contracts as of July 31, 2011 were as follows:

 

Currency
Purchased

   

Currency

Sold

     

Counterparty

    Settlement
Date		      Unrealized
Depreciation		  

USD

   14,609    CAD      14,000       Citigroup Global Markets, Inc.      8/02/11       $ (43 ) 

USD

   61,907    ILS      212,000       Royal Bank of Scotland      8/02/11         (50 ) 
                

 

 

  

Total

                $ (93 ) 
                

 

 

  

 

         JULY 31, 2011   5

Schedule of Investments (concluded)    BlackRock Resources & Commodities Strategy Trust (BCX)

 

•  

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

 

•  

Fair Value Measurements – Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs are categorized in three broad levels for financial reporting purposes as follows:

 

  •  

Level 1 – price quotations in active markets/exchanges for identical assets and liabilities

 

  •  

Level 2 – other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market–corroborated inputs)

 

  •  

Level 3 – unobservable inputs based on the best information available In the circumstances, to the extent observable inputs are not available (including the Trust’s own assumptions used in determining the fair value of investments and derivative financial instruments)

The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and does not necessarily correspond to the Trust’s perceived risk of investing in those securities. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to the Trust’s most recent financial statements as contained in its semi-annual report. The following tables summarize the inputs used as of July 31, 2011 in determining the fair valuation of the Trust’s investments and derivative financial instruments:

 

Valuation Inputs

    Level 1     Level 2     Level 3      Total  

Assets:

          

Investments:

          

Long-Term Investments:

          

Common Stocks:

          

Chemicals

    $ 68,715,142      $ 38,366,845        –       $ 107,081,987   

Energy Equipment & Services

      27,638,157        3,370,310        –         31,008,467   

Food Products

      19,968,986        8,402,945        –         28,371,931   

Machinery

      14,799,373        –        –         14,799,373   

Metals & Mining

      182,207,914        11,892,129        –         194,100,043   

Oil, Gas & Consumable Fuels

      274,026,864        4,291,105        –         278,317,969   

Short-Term Securities

      134,399,937        –        –         134,399,937   
  

 

 

    

 

 

    

 

 

     

 

 

  

Total

    $ 721,756,373      $ 66,323,334        –       $ 788,079,707   
  

 

 

    

 

 

    

 

 

     

 

 

  

Valuation Inputs

    Level 1     Level 2     Level 3      Total  

Derivative Financial Instruments1

          

Liabilities:

          

Equity contracts

    $ (5,779,514 )    $ (3,195,935 )      –       $ (8,975,449 ) 

Foreign currency exchange contracts

      (93 )      –        –         (93 ) 
  

 

 

    

 

 

    

 

 

     

 

 

  

Total

    $ (5,779,607 )    $ (3,195,935 )      –       $ (8,975,542 ) 
  

 

 

    

 

 

    

 

 

     

 

 

  

 

1 

Derivative financial instruments are foreign currency exchange contracts and options. Foreign currency exchange contracts are valued at the unrealized appreciation/ depreciation on the instrument and options are shown at value.

 

6        JULY 31, 2011    

Item 2    –    Controls and Procedures
2(a)    –    The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) under the Securities Exchange Act of 1934, as amended.
2(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 registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 3    –    Exhibits
Certifications – Attached hereto

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 Resources & Commodities Strategy Trust

  
By:  

/s/ John M. Perlowski

    
  John M. Perlowski    
 

Chief Executive Officer (principal executive officer) of

BlackRock Resources & Commodities Strategy Trust

  

Date: September 26, 2011

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 Resources & Commodities Strategy Trust

  
Date: September 26, 2011    
By:  

/s/ Neal J. Andrews

    
  Neal J. Andrews    
 

Chief Financial Officer (principal financial officer) of

BlackRock Resources & Commodities Strategy Trust

  

Date: September 26, 2011