NPORT-EX 2 NPORT_89KE_55727019_0921.htm BlackRock 2022 Global Income Opportunity Trust

Schedule of Investments (unaudited) 

September 30, 2021

   

BlackRock 2022 Global Income Opportunity Trust (BGIO)

(Percentages shown are based on Net Assets)

 

Security         

Par

(000)

     Value  

Asset-Backed Securities

      

Cayman Islands(a)(b) — 1.1%

      

CarVal CLO II Ltd., Series 2019-1A, Class DR, (3 mo. LIBOR US + 3.20%), 3.33%, 04/20/32

     USD       250     $ 250,869  

Cedar Funding VI CLO Ltd., (3 mo. LIBOR US + 3.31%), 3.44%, 04/20/34

       1,000       1,006,275  
     

 

 

  
            1,257,144  
United States — 17.6%                  

Anchorage Capital CLO Ltd., Series 2014-4RA, Class D, (3 mo. LIBOR US + 2.60%), 2.73%, 01/28/31(a)(b)

       1,000       987,000  

Apidos CLO XVIII, Series 2018-18A, Class E, (3 mo. LIBOR US + 5.70%), 5.84%, 10/22/30(a)(b)

       1,000       953,017  

Apidos CLO XXI, Series 2015-21A, Class DR, (3 mo. LIBOR US + 5.20%), 5.33%, 07/18/27(a)(b)

       500       495,001  

Ares XXXVII CLO Ltd., Series 2015-4A, Class DR, (3 mo. LIBOR US + 6.15%), 6.27%, 10/15/30(a)(b)

       250       248,962  

CarVal CLO III Ltd., Series 2019-2A, Class E, (3 mo. LIBOR US + 6.44%), 6.57%, 07/20/32(a)(b)

       300       296,267  

Conseco Finance Corp., Series 2001-D, Class B1, (1 mo. LIBOR US + 2.50%), 2.58%, 11/15/32(a)

       583       534,145  

Conseco Finance Securitizations Corp., Series 2002-1, Class M2, 9.55%, 12/01/33(a)

       2,500       2,509,332  

Credit-Based Asset Servicing & Securitization LLC, Series 2006-MH1, Class B1, 6.25%, 10/25/36(b)

       1,000       1,024,160  

CWABS Asset-Backed Certificates Trust, Series 2005- 17, Class 1AF4, 6.05%, 05/25/36

       467       465,301  

Deutsche Financial Capital Securitization LLC, Series 1998-I, Class M, 6.80%, 04/15/28

       387       395,838  

Elmwood CLO III Ltd., Series 2019-3A, Class E, (3 mo. LIBOR US + 7.00%), 7.13%, 10/15/32(a)(b)

       550       550,000  

First Franklin Mortgage Loan Trust, Series 2006-FF16, Class 2A3, (1 mo. LIBOR US + 0.28%), 0.37%, 12/25/36(a)

       537       304,515  

GoldenTree Loan Opportunities IX Ltd., Series 2014-9A, Class ER2, (3 mo. LIBOR US + 5.66%), 5.79%, 10/29/29(a)(b)

       500       492,101  

Lehman ABS Manufactured Housing Contract Trust, Series 2002-A, Class C, 0.00%, 06/15/33

       1,420       1,305,574  

Long Beach Mortgage Loan Trust(a)

      

Series 2006-5, Class 2A3, (1 mo. LIBOR US + 0.30%), 0.39%, 06/25/36

       926       584,991  

Series 2006-7, Class 2A3, (1 mo. LIBOR US + 0.16%), 0.25%, 08/25/36

       1,453       776,289  

Series 2006-7, Class 2A4, (1 mo. LIBOR US + 0.24%), 0.33%, 08/25/36

       1,453       788,023  

Series 2006-9, Class 2A3, (1 mo. LIBOR US + 0.16%), 0.25%, 10/25/36

       1,334       554,425  

Madison Park Funding X Ltd., Series 2012-10A, Class DR2, (3 mo. LIBOR US + 3.25%), 3.38%, 01/20/29(a)(b)

       550       550,106  

Madison Park Funding XXX Ltd., Series 2018-30X, Class E, 5.07%, 04/15/29

       250       243,512  

Merrill Lynch Mortgage Investors Trust, Series 2006- OPT1, Class M1, (1 mo. LIBOR US + 0.26%), 0.35%, 08/25/37(a)

       1,532       1,371,897  

OCP CLO Ltd., Series 2016-12A, Class CR, (3 mo. LIBOR US + 3.00%), 3.13%, 10/18/28(a)(b)

       250       250,011  
Security         

Par

(000)

     Value  
United States (continued)  

Palmer Square Loan Funding Ltd.(a)(b)

      

Series 2018-4A, Class C, (3 mo. LIBOR US + 2.55%), 2.67%, 11/15/26

     USD       1,800     $ 1,800,917  

Series 2019-2A, Class C, (3 mo. LIBOR US + 3.25%), 3.38%, 04/20/27

       1,100       1,100,211  

Park Avenue Institutional Advisers CLO Ltd., Series 2016-1A, Class DR, (3 mo. LIBOR US + 5.85%), 5.98%, 08/23/31(a)(b)

       500       485,811  

Rockford Tower CLO Ltd., Series 2017-3A, Class D, (3 mo. LIBOR US + 2.65%), 2.78%, 10/20/30(a)(b)

       420       415,026  

Signal Peak CLO 7 Ltd., Series 2019-1A, Class E, (3 mo. LIBOR US + 6.89%), 7.02%, 04/30/32(a)(b)

       250       250,819  

TICP CLO V Ltd., Series 2016-5A, Class ER, (3 mo. LIBOR US + 5.75%), 5.87%, 07/17/31(a)(b)

       250       242,884  

TRESTLES CLO II Ltd., Series 2018-2A, Class D, (3 mo. LIBOR US + 5.75%), 5.88%, 07/25/31(a)(b)

       250       245,581  
     

 

 

  
            20,221,716  
     

 

 

  

Total Asset-Backed Securities — 18.7%
(Cost: $21,100,376)

 

     21,478,860  
     

 

 

  
            Shares         
Common Stocks  
United States — 0.6%  

Bruin Purchaser LLC(c)

       2,489       —  

CA Resources Corp.

       14,589       598,149  

Pioneer Energy Services Corp.

       1,580       24,585  
     

 

 

  

Total Common Stocks — 0.6%
(Cost: $236,321)

 

     622,734  
     

 

 

  
           

Par

(000)

         
Corporate Bonds  
Argentina(d)(e) — 0.3%  

Stoneway Capital Corp.

      

10.00%, 03/01/27(b)

     USD       955       243,438  

10.00%, 03/01/27(f)

       338       86,265  
     

 

 

  
        329,703  
Austria — 0.2%  

Klabin Austria GmbH, 3.20%, 01/12/31(b)

       200       191,000  
     

 

 

  
Bahrain — 0.2%  

Oil and Gas Holding Co., 7.63%, 11/07/24(f)

       200       218,690  
     

 

 

  
Bermuda — 0.3%                  

Star Energy Geothermal Darajat II/Star Energy Geothermal Salak, 4.85%, 10/14/38(b)

       340       379,589  
     

 

 

  
Brazil — 1.5%                  

Gol Finance SA, 7.00%, 01/31/25(b)

       600       568,425  

Oi SA, (10.00% Cash or 8.00% Cash + 4.00% PIK), 10.00%, 07/27/25(g)

       243       227,509  

Petrobras Global Finance BV

      

5.30%, 01/27/25

       630       702,100  

6.00%, 01/27/28

       212       238,209  
     

 

 

  
        1,736,243  
 

 

 

1  

Schedule of Investments (unaudited) (continued)

September 30, 2021

   

BlackRock 2022 Global Income Opportunity Trust (BGIO)

(Percentages shown are based on Net Assets)

 

Security         

Par

(000)

     Value  
British Virgin Islands — 0.2%  

New Metro Global Ltd., 4.80%, 12/15/24(f)

     USD       200     $ 188,500  
     

 

 

  
Cayman Islands — 1.2%  

Hilong Holding Ltd., 9.75%, 11/18/24(f)

       207       182,160  

Kaisa Group Holdings Ltd., 11.95%, 11/12/23(f)

       200       164,000  

Melco Resorts Finance Ltd., 5.25%, 04/26/26(f)

       200       201,100  

Oryx Funding Ltd., 5.80%, 02/03/31(b)

       200       211,000  

Sable International Finance Ltd., 5.75%, 09/07/27(f)

       318       333,900  

Shui On Development Holding Ltd., 5.50%, 03/03/25(f)

       200       194,500  

UPCB Finance VII Ltd., 3.63%, 06/15/29(f)

     EUR       100       118,876  
     

 

 

  
            1,405,536  
Chile(b) — 0.5%                  

Kenbourne Invest SA, 6.88%, 11/26/24

     USD       332       349,181  

VTR Comunicaciones SpA, 5.13%, 01/15/28

       178       187,990  
     

 

 

  
        537,171  
China(f) — 1.3%                  

21Vianet Group, Inc., 7.88%, 10/15/21

       200       199,680  

CFLD Cayman Investment Ltd.(d)(e)

      

8.63%, 02/28/21

       200       80,000  

8.60%, 04/08/24

       200       82,350  

China Evergrande Group,
11.50%, 01/22/23(d)(e)

       200       48,000  

China SCE Group Holdings Ltd., 7.25%, 04/19/23

       200       194,350  

Easy Tactic Ltd., 9.13%, 07/28/22

       200       157,400  

Fortune Star BVI Ltd., 6.85%, 07/02/24

       300       311,250  

RKPF Overseas Ltd., Series 2020-A, 5.20%, 01/12/26

       200       184,750  

Scenery Journey Ltd., 11.50%, 10/24/22(d)(e)

       200       35,500  

Yuzhou Group Holdings Co. Ltd., 7.70%, 02/20/25

       300       214,500  
     

 

 

  
        1,507,780  
Colombia — 0.2%                  

Empresas Publicas de Medellin ESP, 4.25%, 07/18/29(b)

       267       265,365  
     

 

 

  
Denmark — 0.4%                  

Danske Bank A/S, (5 year EUR Swap + 1.40%), 1.00%, 05/15/31(a)(f)

     EUR       350       406,957  
     

 

 

  
Dominican Republic — 0.6%  

Aeropuertos Dominicanos Siglo XXI SA, 6.75%, 03/30/29(b)

     USD       700       730,756  
     

 

 

  
France(f) — 2.5%                  

Altice France SA

      

2.50%, 01/15/25

     EUR       100       113,692  

2.13%, 02/15/25

       100       112,355  

BNP Paribas SA, (5 year USD Swap + 1.48%), 4.38%, 03/01/33(a)

     USD       800       877,056  

CMA CGM SA, 7.50%, 01/15/26

     EUR       100       128,171  

Credit Agricole Assurances SA, (5 year EURIBOR ICE Swap Rate + 2.65%), 2.63%, 01/29/48(a)

       200       249,517  

Loxam SAS, 3.75%, 07/15/26

       100       118,326  

Societe Generale SA, (5 year EUR Swap + 1.60%), 1.13%, 06/30/31(a)

       400       466,858  

TotalEnergies SE, Series NC12, (5 year EUR Swap + 2.51%), 2.13%(a)(h)

       400       452,909  

Veolia Environnement SA, (5 year EUR Swap + 2.84%), 2.50%(a)(h)

       300       352,593  
     

 

 

  
        2,871,477  
Germany(f) — 1.7%  

Adler Group SA, 3.25%, 08/05/25

       200       203,870  
Security         

Par

(000)

     Value  
Germany (continued)  

Bayer AG, (5 year EUR Swap + 2.55%), 3.75%, 07/01/74(a)

     EUR       150     $ 182,440  

DEMIRE Deutsche Mittelstand Real Estate AG, 1.88%, 10/15/24

       100       110,032  

IHO Verwaltungs GmbH, (3.63% Cash or 4.38% PIK), 3.63%, 05/15/25(g)

       100       117,707  

Merck KGaA, (5 year EURIBOR ICE Swap Rate + 2.94%), 2.88%, 06/25/79(a)

       200       253,391  

Nidda Healthcare Holding GmbH, 3.50%, 09/30/24

       200       230,048  

Phoenix PIB Dutch Finance BV, 2.38%, 08/05/25

       100       119,484  

Summit Properties Ltd., 2.00%, 01/31/25

       100       114,456  

Techem Verwaltungsgesellschaft 674 mbH, 6.00%, 07/30/26

       88       104,843  

TK Elevator Midco GmbH, 4.38%, 07/15/27

       100       120,904  

ZF Finance GmbH

      

2.00%, 05/06/27

       200       232,828  

3.75%, 09/21/28

       100       126,260  
     

 

 

  
            1,916,263  
Guatemala(b) — 0.5%  

Central American Bottling Corp., 5.75%, 01/31/27

     USD       258       264,740  

Energuate Trust, 5.88%, 05/03/27

       303       313,567  
     

 

 

  
        578,307  
Hong Kong — 0.1%  

Pearl Holding III Ltd., 9.50%, 12/11/22(d)(e)(f)

       200       74,350  
     

 

 

  
India — 0.7%                  

Muthoot Finance Ltd., 6.13%, 10/31/22(b)

       200       206,038  

ReNew Power Synthetic, 6.67%, 03/12/24(f)

       200       208,287  

Shriram Transport Finance Co. Ltd., 5.95%, 10/24/22(f)

      200       203,225  

Vedanta Resources Finance II PLC, 13.88%, 01/21/24(f)

       200       214,750  
     

 

 

  
        832,300  
Indonesia(f) — 0.3%                  

JGC Ventures Pte Ltd., 10.75%, 08/30/21(d)(e)

       200       105,500  

Theta Capital Pte Ltd., 8.13%, 01/22/25

       200       207,725  
     

 

 

  
        313,225  
Ireland(a)(f) — 0.3%                  

Bank of Ireland Group PLC

      

(5 year CMT + 2.50%), 4.13%, 09/19/27

       200       204,200  

(5 year EUR Swap + 2.80%), 2.38%, 10/14/29

     EUR       100       120,683  
     

 

 

  
        324,883  
Israel(b)(f) — 0.3%                  

Energean Israel Finance Ltd., 4.88%, 03/30/26

     USD       170       173,825  

Leviathan Bond Ltd., 5.75%, 06/30/23

       207       215,541  
     

 

 

  
        389,366  
Italy — 1.1%                  

Assicurazioni Generali SpA, (3 mo. Euribor + 5.35%), 5.00%, 06/08/48(a)(f)

     EUR       100       140,692  

Autostrade per l’Italia SpA, 2.00%, 12/04/28(f)

       100       121,570  

Centurion Bidco SpA, 5.88%, 09/30/26(f)

       100       121,260  

Intesa Sanpaolo SpA, 5.71%, 01/15/26(b)

     USD       450       504,848  

Rossini Sarl, 6.75%, 10/30/25(f)

     EUR       100       120,167  

Sisal Group SpA, 7.00%, 07/31/23(f)

       69       79,636  

Telecom Italia SpA, 4.00%, 04/11/24(f)

       100       123,702  
     

 

 

  
        1,211,875  
 

 

 

S C H E D U L E   O F   I N V E S T M E N T S   2

Schedule of Investments (unaudited) (continued)

September 30, 2021

   

BlackRock 2022 Global Income Opportunity Trust (BGIO)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)		     Value  
Japan — 0.1%  

SoftBank Group Corp., 4.75%, 07/30/25(f)

     EUR       100     $ 122,270  
     

 

 

  
Lithuania — 0.2%  

ASG Finance Designated Activity Co., 7.88%, 12/03/24(b)

     USD       229       225,493  
     

 

 

  
Luxembourg — 0.8%  

Adler Group SA, 2.75%, 11/13/26(f)

     EUR       100       99,039  

Altice Financing SA, 2.25%, 01/15/25(f)

       100       111,537  

Atento Luxco 1 SA, 8.00%, 02/10/26(b)

     USD       200       218,850  

Garfunkelux Holdco 3 SA, 7.75%, 11/01/25(f)

     GBP       100       140,747  

Millicom International Cellular SA, 4.50%, 04/27/31(b)

     USD       255       267,750  

Summer BC Holdco B Sarl, 5.75%, 10/31/26(f)

     EUR       100       121,337  
     

 

 

  
        959,260  
Mauritius — 0.2%  

HTA Group Ltd., 7.00%, 12/18/25(b)

     USD       200       209,725  
     

 

 

  
Mexico — 1.7%  

BBVA Bancomer SA/Texas, 1.88%, 09/18/25(b)

       555       558,719  

Cemex SAB de CV, 3.13%, 03/19/26(f)

     EUR       100       118,354  

Cydsa SAB de CV, 6.25%, 10/04/27(b)

     USD       600       622,800  

Operadora de Servicios Mega SA de CV Sofom ER, 8.25%, 02/11/25(b)

       400       402,200  

Petroleos Mexicanos, 6.50%, 03/13/27

       244       256,200  
     

 

 

  
            1,958,273  
Netherlands — 2.8%  

ASR Nederland NV, (5 year EUR Swap + 4.00%), 3.38%, 05/02/49(a)(f)

     EUR       400       519,592  

Dufry One BV, 2.00%, 02/15/27(f)

       100       110,356  

Greenko Dutch BV, 3.85%, 03/29/26(f)

     USD       197       200,177  

ING Groep NV, (5 year EUR Swap + 2.40%), 2.13%, 05/26/31(a)(f)

     EUR       400       491,172  

NN Group NV, (3 mo. Euribor + 4.95%), 4.63%, 01/13/48(a)(f)

       500       692,443  

OCI NV, 3.63%, 10/15/25(f)

       100       120,133  

PPF Telecom Group BV, 3.25%, 09/29/27(f)

       100       125,681  

Teva Pharmaceutical Finance Netherlands II BV, 1.13%, 10/15/24(f)

       100       110,499  

United Group BV, 4.88%, 07/01/24(f)

       240       281,184  

VEON Holdings BV, 4.00%, 04/09/25(b)

     USD       200       209,750  

Vivo Energy Investments BV, 5.13%, 09/24/27(b)

       332       350,530  
     

 

 

  
        3,211,517  
Saudi Arabia — 0.3%  

Arabian Centres Sukuk II Ltd., 5.63%, 10/07/26(b)

       300       312,375  
     

 

 

  
Singapore — 0.5%  

Puma International Financing SA, 5.13%, 10/06/24(b)

       600       602,250  
     

 

 

  
South Africa — 0.2%  

Sasol Financing USA LLC, 6.50%, 09/27/28

       200       220,500  
     

 

 

  
Spain(f) — 0.6%  

CaixaBank SA, (5 year EUR Swap + 1.68%), 2.25%, 04/17/30(a)

     EUR       300       365,751  

ContourGlobal Power Holdings SA, 4.13%, 08/01/25

       100       118,136  

Ferrovial Netherlands BV, (5 year EUR Swap + 2.13%), 2.12%(a)(h)

       100       115,973  

Lorca Telecom Bondco SA, 4.00%, 09/18/27

       100       116,427  
     

 

 

  
                716,287  
Security          Par
(000)		     Value  
Sweden — 0.1%  

Heimstaden Bostad AB, (5 year EUR Swap + 3.15%), 2.63%(a)(f)(h)

     EUR       100     $ 112,939  
     

 

 

  
Ukraine — 0.3%  

MHP Lux SA, 6.25%, 09/19/29(b)

     USD       400       405,180  
     

 

 

  
United Kingdom — 2.2%  

Arqiva Broadcast Finance PLC, 6.75%, 09/30/23(f)

     GBP       100       137,453  

Arrow Global Finance PLC, 5.13%, 09/15/24(f)

       140       188,636  

Barclays PLC, 4.84%, 05/09/28

     USD       500       565,135  

BP Capital Markets PLC, (5 year EUR Swap + 4.12%), 3.63%(a)(f)(h)

     EUR       350       438,870  

eG Global Finance PLC, 4.38%, 02/07/25(f)

       100       115,092  

Ladbrokes Group Finance PLC, 5.13%, 09/16/22(f)

     GBP       7       9,389  

Liquid Telecommunications Financing PLC, 5.50%, 09/04/26(b)

     USD       238       245,140  

Nationwide Building Society, (5 year USD ICE Swap + 1.85%), 4.13%, 10/18/32(a)(b)

       300       327,797  

Natwest Group PLC, (5 year CMT + 2.10%), 3.75%, 11/01/29(a)

       300       320,158  

Pinewood Finance Co. Ltd., 3.25%, 09/30/25(f)

     GBP       100       136,405  
     

 

 

  
            2,484,075  
United States — 3.4%  

Ambac Assurance Corp., 5.10%(b)(h)

     USD       23       32,025  

American Airlines Group, Inc.(c)

      

4.00%, 12/15/24(a)

       125       124,836  

4.87%, 04/22/25

       143       142,967  

Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc., 2.13%, 08/15/26(f)

     EUR       100       115,835  

Axalta Coating Systems Dutch Holding B BV, 3.75%, 01/15/25(f)

       100       117,629  

Boxer Parent Co., Inc., 6.50%, 10/02/25(f)

       100       121,616  

Bristow Group, Inc., 6.88%, 03/01/28(b)

     USD       197       204,982  

Citgo Holding, Inc., 9.25%, 08/01/24(b)

       224       225,680  

Coty, Inc., 6.50%, 04/15/26(b)

       72       73,775  

Encore Capital Group, Inc., 4.88%, 10/15/25(f)

     EUR       100       121,363  

Forestar Group, Inc.(b)

      

3.85%, 05/15/26

     USD       144       143,820  

5.00%, 03/01/28

       384       396,480  

Golden Entertainment, Inc., 7.63%, 04/15/26(b)

       149       157,195  

OI European Group BV, 2.88%, 02/15/25(f)

     EUR       100       117,375  

Pioneer Energy Services Corp.(b)(c)(g)

      

(11.00% Cash or 11.00% PIK), 11.00%, 05/15/25

     USD       620       686,469  

(5.00% PIK), 5.00%, 11/15/25(i)

       463       541,129  

Playtika Holding Corp., 4.25%, 03/15/29(b)

       46       46,147  

Sasol Financing USA LLC, 4.38%, 09/18/26

       200       202,410  

Talen Energy Supply LLC, 6.63%, 01/15/28(b)

       386       358,015  
     

 

 

  
        3,929,748  
     

 

 

  

Total Corporate Bonds — 27.8%
(Cost: $32,397,226)

         31,879,228  
     

 

 

  

Floating Rate Loan Interests(a)

 

Canada — 1.3%  

Kestrel Bidco, Inc., Term Loan B, (6 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 12/11/26

       1,508       1,470,268  
     

 

 

  
 

 

 

3  

Schedule of Investments (unaudited) (continued)

September 30, 2021

   

BlackRock 2022 Global Income Opportunity Trust (BGIO)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)		     Value  
Luxembourg — 0.8%  

Connect Finco Sarl, 2021 Term Loan B,
(1 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 12/11/26

     USD       493     $ 492,618  

Intelsat Jackson Holdings SA, 2017 Term Loan B4, (PRIME + 5.50%), 8.75%, 01/02/24

       430       436,383  
     

 

 

  
        929,001  
United States — 4.5%  

18 Fremont Street Acquisition LLC, Term Loan B, (PRIME + 7.00%), 10.25%, 08/09/25

       1,012       1,029,285  

Advanced Drainage Systems, Inc., Term Loan B, (1 mo. LIBOR + 2.25%), 2.38%, 07/31/26

       — (j)      105  

Citgo Holding, Inc., 2019 Term Loan B, (3 mo. LIBOR + 7.00%, 1.00% Floor), 8.00%, 08/01/23

       93       92,214  

Foundation Building Materials Holding Company LLC, 2021 Term Loan,
(3 mo. LIBOR + 7.00%, 1.00% Floor), 3.75%, 02/03/28

       48       47,247  

Gates Global LLC, 2021 Term Loan B3, (1 mo. LIBOR + 2.50%, 0.75% Floor), 3.25%, 03/31/27

       1,252       1,249,438  

Golden Nugget LLC, 2017 Incremental Term Loan B, (2 mo. LIBOR + 2.50%, 0.75% Floor), 3.25%, 10/04/23

       303       301,332  

LBM Acquisition LLC, Term Loan B, (3 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 12/17/27

       74       73,476  

MI Windows And Doors LLC, 2020 Term Loan, (1 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 12/18/27

       75       75,524  

Playtika Holding Corp., 2021 Term Loan,
(1 mo. LIBOR + 2.75%), 2.83%, 03/13/28

       364       363,879  

PLH Infrastructure Services, Inc., 2018 Term Loan, (3 mo. LIBOR + 6.00%), 6.19%, 08/07/23(c)

       284       281,151  

Robertshaw US Holding Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 02/28/25

       830       803,352  

SCIH Salt Holdings, Inc., 2021 Incremental Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 03/16/27

       155       155,413  

Select Medical Corp., 2017 Term Loan B,
(1 mo. LIBOR + 2.25%), 2.34%, 03/06/25

       141       139,701  

The Enterprise Development Authority, Term Loan B, (1 mo. LIBOR + 4.25%), 5.00%, 02/18/28(c)

       280       280,161  

White Cap Buyer LLC, Term Loan B, (1 mo. LIBOR + 4.00%, 0.50% Floor), 4.50%, 10/19/27

       308       308,373  
     

 

 

  
            5,200,651  
     

 

 

  

Total Floating Rate Loan Interests — 6.6%
(Cost: $7,627,164)

 

       7,599,920  
     

 

 

  

Foreign Agency Obligations

 

Bahrain — 0.2%

 

Bahrain Government International Bond, 6.75%, 09/20/29(f)

       200       214,225  
     

 

 

  
Colombia — 1.0%                  

Colombia Government International Bond 8.13%, 05/21/24

       317       366,095  
Security          Par
(000)		     Value  
Colombia (continued)  

Colombia Government International Bond (continued)

      

4.50%, 01/28/26

     USD       340     $ 364,076  

3.88%, 04/25/27

       370       383,598  
     

 

 

  
        1,113,769  
Dominican Republic — 0.7%  

Dominican Republic International Bond

      

5.95%, 01/25/27(f)

       322       361,445  

4.50%, 01/30/30(b)

       380       385,534  
     

 

 

  
        746,979  
Egypt — 1.2%                  

Egypt Government International Bond

      

5.88%, 06/11/25(f)

       700       720,930  

6.38%, 04/11/31(b)

     EUR       565       639,742  
     

 

 

  
        1,360,672  
Ghana — 0.2%  

Ghana Government International Bond, 8.63%, 04/07/34(b)

     USD       300       283,500  
     

 

 

  
Indonesia — 0.2%  

Indonesia Government International Bond, 4.10%, 04/24/28

       200       224,413  
     

 

 

  
Morocco — 0.3%  

Morocco Government International Bond, 3.00%, 12/15/32(b)

       370       351,037  
     

 

 

  
Panama — 0.2%  

Panama Government International Bond, 3.16%, 01/23/30

       275       283,473  
     

 

 

  
Saudi Arabia — 0.5%  

Saudi Government International Bond, 4.50%, 04/17/30(f)

       508       594,360  
     

 

 

  
Sri Lanka — 0.1%  

Sri Lanka Government International Bond, 7.55%, 03/28/30(f)

       200       121,975  
     

 

 

  
Ukraine(f) — 0.5%  

Ukraine Government International Bond

      

8.99%, 02/01/24

       224       246,624  

7.75%, 09/01/24

       160       173,080  

7.75%, 09/01/25

       100       108,700  
     

 

 

  
        528,404  
     

 

 

  

Total Foreign Agency Obligations — 5.1%
(Cost: $5,614,439)

 

           5,822,807  
     

 

 

  

Non-Agency Mortgage-Backed Securities

 

United States — 22.0%

 

Alternative Loan Trust, Series 2007-AL1, Class A1, (1 mo. LIBOR US + 0.25%), 0.34%, 06/25/37(a)

       628       504,496  

ARI Investments LLC, 4.59%, 01/06/25(c)

       677       671,910  

Bayview Commercial Asset Trust, Series 2007-6A, Class A4A, (1 mo. LIBOR US + 1.50%), 1.59%, 12/25/37(a)(b)

       2,000       1,969,422  
 

 

 

S C H E D U L E   O F   I N V E S T M E N T S   4

Schedule of Investments (unaudited) (continued)

September 30, 2021

   

BlackRock 2022 Global Income Opportunity Trust (BGIO)

(Percentages shown are based on Net Assets)

 

Security         

Par

(000)

     Value  
United States (continued)                  

BCAP LLC Trust, Series 2012-RR3, Class 1A5, 6.44%, 12/26/37(a)(b)

     USD       731     $ 674,707  

Benchmark Mortgage Trust, Series 2018-B7, Class C, 5.02%, 05/15/53(a)

       1,000       1,122,229  

BX Commercial Mortgage Trust(a)(b)

      

Series 2018-IND, Class H, (1 mo. LIBOR US + 3.00%), 3.08%, 11/15/35

       700       702,462  

Series 2020-BXLP, Class F, (1 mo. LIBOR US + 2.00%), 2.09%, 12/15/36

       358       357,915  

BX Trust, Series 2019-OC11, Class E, 4.08%, 12/09/41(a)(b)

       652       673,067  

BXP Trust(a)(b)

      

Series 2017-CC, Class D, 3.67%, 08/13/37

       180       189,211  

Series 2017-CC, Class E, 3.67%, 08/13/37

       350       355,776  

CAMB Commercial Mortgage Trust, Series 2019-LIFE, Class E, (1 mo. LIBOR US + 2.15%), 2.23%, 12/15/37(a)(b)

       633       633,387  

CFCRE Commercial Mortgage Trust, Series 2016-C3, Class C, 4.91%, 01/10/48(a)

       1,000           1,033,990  

CFK Trust, Series 2019-FAX, Class E, 4.64%, 01/15/39(a)(b)

       1,000       1,061,180  

Citigroup Commercial Mortgage Trust(a)

      

Series 2015-GC27, Class C, 4.57%, 02/10/48

       756       793,621  

Series 2016-C1, Class C, 5.11%, 05/10/49

       534       585,991  

Series 2016-C1, Class D, 5.11%, 05/10/49(b)

       700       714,699  

Cold Storage Trust, Series 2020-ICE5, Class F, (1 mo. LIBOR US + 3.49%), 3.58%, 11/15/37(a)(b)

       197       197,576  

DBGS Mortgage Trust, Series 2019-1735, Class F, 4.19%, 04/10/37(a)(b)

       499       418,140  

DBJPM Mortgage Trust, Series 2017-C6, Class XD, 1.00%, 06/10/50(a)

       11,000       509,520  

DBUBS Mortgage Trust, Series 2017-BRBK, Class F, 3.53%, 10/10/34(a)(b)

       390       391,232  

GS Mortgage Securities Trust(b)

      

Series 2017-GS7, Class D, 3.00%, 08/10/50

       375       345,838  

Series 2017-GS7, Class E, 3.00%, 08/10/50

       300       266,622  

JPMBB Commercial Mortgage Securities Trust, Series 2015-C33, Class D1, 4.11%, 12/15/48(a)(b)

       1,619       1,593,887  

JPMCC Commercial Mortgage Securities Trust, Series 2017-JP5, Class D, 4.76%, 03/15/50(a)(b)

       140       142,042  

LSTAR Commercial Mortgage Trust(a)(b)

      

Series 2017-5, Class C, 4.87%, 03/10/50

       1,000       1,016,261  

Series 2017-5, Class X, 1.09%, 03/10/50

       10,598       279,587  

MAD Mortgage Trust(a)(b)

      

Series 2017-330M, Class D, 4.11%, 08/15/34

       130       132,223  

Series 2017-330M, Class E, 4.17%, 08/15/34

       180       181,017  

MASTR Reperforming Loan Trust, Series 2005-1, Class 1A5, 8.00%, 08/25/34(b)

       802       764,223  

Morgan Stanley Bank of America Merrill Lynch Trust

      

Series 2015-C23, Class D, 4.28%, 07/15/50(a)(b)

       310       312,613  

Series 2015-C25, Class D, 3.07%, 10/15/48

       39       38,170  

Morgan Stanley Capital I Trust

      

Series 2017-H1, Class D, 2.55%, 06/15/50(b)

       1,010       851,357  

Series 2017-H1, Class XD, 2.32%, 06/15/50(a)(b)

       8,625       865,346  

Series 2018-H4, Class C, 5.24%, 12/15/51(a)

       711       773,651  

Series 2018-MP, Class E, 4.28%, 07/11/40(a)(b)

       207       191,690  

Series 2018-SUN, Class F, (1 mo. LIBOR US + 2.55%), 2.64%, 07/15/35(a)(b)

       220       218,754  
Security         

Par

(000)

     Value  
United States (continued)                  

Morgan Stanley Capital I Trust (continued)

      

Series 2019-NUGS, Class E, (1 mo. LIBOR US + 2.24%), 3.74%, 12/15/36(a)(b)

     USD       381     $ 380,821  

Olympic Tower Mortgage Trust(a)(b)

      

Series 2017-OT, Class D, 4.08%, 05/10/39

       140       137,992  

Series 2017-OT, Class E, 4.08%, 05/10/39

       190       171,242  

Park Avenue Trust, Series 2017-245P, Class E, 3.78%, 06/05/37(a)(b)

       380       384,123  

RALI Trust, Series 2006-QO6, Class A1,
(1 mo. LIBOR US + 0.36%), 0.45%, 06/25/46(a)

       2,590       804,629  

US 2018-USDC, Series 2018-USDC, Class E, 4.64%, 05/13/38(a)(b)

       269       230,781  

Wells Fargo Commercial Mortgage Trust(a)

      

Series 2016-C37, Class C, 4.64%, 12/15/49

       701       739,072  

Series 2016-NXS5, Class D, 5.15%, 01/15/59

       500       538,369  

Wells Fargo Mortgage Backed Securities Trust, Series 2008-AR1, Class A2, 2.86%, 03/25/38(a)

       367       293,885  
     

 

 

  

Total Non-Agency Mortgage-Backed Securities — 22.0%
(Cost: $24,266,665)

 

         25,214,726  
     

 

 

  

Preferred Securities

 

Capital Trusts — 4.3%(f)

      
Belgium — 0.1%                  

Solvay Finance SA, 5.43%(a)(h)

     EUR       140       177,377  
     

 

 

  
Denmark — 0.6%                  

Orsted A/S, 2.25%, 12/31/99(a)

       600       727,613  
     

 

 

  
France(a)(h) — 1.1%                  

Electricite de France SA

      

3.00%

       400       481,480  

3.38%

       200       243,557  

Engie SA, 3.25%

       400       499,803  
     

 

 

  
        1,224,840  
     

 

 

  
Germany — 0.1%                  

ATF Netherlands BV, 3.75%(a)(h)

       100       120,179  
     

 

 

  
Italy — 0.4%                  

Eni SpA, Series NC9, 2.75%(a)(h)

       350       410,291  
     

 

 

  
Luxembourg — 0.3%                  

SES SA, 2.88%(a)(h)

       250       294,937  
     

 

 

  
Netherlands(a)(h) — 0.7%                  

Abertis Infraestructuras Finance BV, 3.25%

       100       118,805  

Koninklijke KPN NV, 2.00%

       100       117,713  

Volkswagen International Finance NV, 3.88%

       300       385,079  

Wintershall Dea Finance 2 BV, Series NC5, 2.50%

       200       229,828  
     

 

 

  
        851,425  
     

 

 

  
Spain(a)(h) — 0.5%                  

CaixaBank SA, 6.00%

       200       239,565  

Naturgy Finance BV, 4.13%

       100       120,633  

Repsol International Finance BV, 3.75%

       100       123,333  

Telefonica Europe BV, 4.38%

       100       125,543  
     

 

 

  
        609,074  
     

 

 

  
 

 

 

5  

Schedule of Investments (unaudited) (continued)

September 30, 2021

   

BlackRock 2022 Global Income Opportunity Trust (BGIO)

(Percentages shown are based on Net Assets)

 

Security        

Par

(000)

     Value  

 

  
United Kingdom(a) — 0.2%            

BP Capital Markets PLC, 3.25%(h)

     EUR       100     $ 123,612  

Vodafone Group PLC, 3.10%, 01/03/79

       100       120,273  
     

 

 

  
                243,885  
     

 

 

  
United States — 0.3%            

Belden, Inc., 4.13%, 10/15/26.

       100       118,232  

NWD Finance BVI Ltd., 4.13%(a)(h)

     USD       200       197,500  
     

 

 

  
                315,732  
     

 

 

  

Total Preferred Securities — 4.3% (Cost: $4,882,698)

         4,975,353  
     

 

 

  

U.S. Government Sponsored Agency Securities

 

Collateralized Mortgage Obligations — 1.0%        

Fannie Mae Connecticut Avenue Securities, Series 2017-C03, Class 1M2, (1 mo. LIBOR US + 3.00%), 3.09%, 10/25/29

       94       96,267  

Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2017-DNA2, Class B1, (1 mo. LIBOR US + 5.15%), 5.24%, 10/25/29

       1,000       1,092,426  
     

 

 

  
        1,188,693  
Commercial Mortgage-Backed Securities — 0.5%        

FREMF Mortgage Trust, Series 2017-KGX1, Class BFX, 3.71%, 10/25/27(a)(b)

       500       524,715  
     

 

 

  

Total U.S. Government Sponsored Agency Securities — 1.5%
(Cost: $1,572,101)

 

     1,713,408  
     

 

 

  

Total Long-Term Investments — 86.6%
(Cost: $97,696,990)

 

     99,307,036  
     

 

 

  
          Shares        

 

  

Short-Term Securities

    

Money Market Funds — 9.3%

 

  

BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.01%(k)(l)

       10,717,972       10,717,972  
     

 

 

  

Total Short-Term Securities — 9.3%
(Cost: $10,717,972)

 

     10,717,972  
     

 

 

  

Options Purchased — 0.0%
(Cost: $235,841)

 

     8,880  
     

 

 

  

Total Investments Before Options Written — 95.9%
(Cost: $108,650,803)

 

         110,033,888  
     

 

 

  

Options Written — (0.0)%

      

(Premiums Received: $(92,719))

 

     (6,660 ) 
     

 

 

  

Total Investments, Net of Options Written — 95.9%
(Cost: $108,558,084)

 

     110,027,228  

Other Assets Less Liabilities — 4.1%

 

     4,712,126  
     

 

 

  

Net Assets — 100.0%

       $ 114,739,354  
     

 

 

  
(a)

Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available.

(b)

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.

(c)

Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

(d)

Issuer filed for bankruptcy and/or is in default.

(e)

Non-income producing security.

(f)

This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933.

(g)

Payment-in-kind security which may pay interest/dividends in additional par/shares and/or in cash. Rates shown are the current rate and possible payment rates.

(h)

Perpetual security with no stated maturity date.

(i)

Convertible security.

(j)

Rounds to less than 1,000.

(k)

Affiliate of the Trust.

(l)

Annualized 7-day yield as of period end.

 

 

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

 

 

S C H E D U L E   O F   I N V E S T M E N T S   6

Schedule of Investments (unaudited) (continued)

September 30, 2021

   

BlackRock 2022 Global Income Opportunity Trust (BGIO)

 

Affiliates

Investments in issuers considered to be affiliate(s) of the Trust during the period ended September 30, 2021 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

                   
Affiliated Issuer  

Value at

12/31/20

   

Purchases

at Cost

   

Proceeds

from Sales

    

Net

Realized

Gain (Loss)

    

Change in

Unrealized

Appreciation

(Depreciation)

    

Value at

09/30/21

   

Shares

Held at

09/30/21

    Income    

Capital Gain

Distributions

from

Underlying

Funds

 

BlackRock Liquidity Funds, T-Fund, Institutional Class

   $  5,995,724     $  4,722,248 (a)    $ —     $ —     $ —     $  10,717,972       10,717,972     $ 1,616     $ —  
       

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

 

  (a)

Represents net amount purchased (sold).

 

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts

 

 

  
Description   

Number of

Contracts

      

Expiration

Date

       Notional
Amount (000)		       

Value/ 

Unrealized 

Appreciation 

(Depreciation) 

  

 

  

Long Contracts
10-Year U.S. Treasury Note

      3          12/21/21        $ 395        $ (3,919 ) 

5-Year U.S. Treasury Note

      3          12/31/21          368          (1,598 ) 
                 

 

 

  
                  $ (5,517 ) 
                 

 

 

  

Forward Foreign Currency Exchange Contracts

 

 

  
Currency Purchased           Currency Sold     Counterparty      Settlement Date        Unrealized 
Appreciation 
(Depreciation) 		  

 

  
USD     883,806                      EUR     737,000       Bank of America N.A.        12/15/21        $ 28,839  
USD     22,153,631         EUR     18,475,000     Bank of America N.A.        12/15/21          721,443  
USD     267,911         EUR     226,743     JPMorgan Chase Bank N.A.        12/15/21          4,874  
USD     39,277         GBP     28,572     HSBC Bank USA N.A.        12/15/21          776  
USD     1,641,419         GBP     1,179,000     State Street Bank and Trust Co.        12/15/21          52,672  
                     

 

 

  
                        808,604  
                     

 

 

  
EUR     744,000         USD     881,402     Citibank N.A.        12/15/21          (18,315 ) 
EUR     2,101,000         USD     2,467,512     Citibank N.A.        12/15/21          (30,217 ) 
EUR     201,000         USD     235,335     HSBC Bank USA N.A.        12/15/21          (2,163 ) 
EUR     1,527,000         USD     1,802,548     HSBC Bank USA N.A.        12/15/21          (31,129 ) 
EUR     1,086,000         USD     1,283,865     UBS AG        12/15/21          (24,035 ) 
GBP     646,000         USD     882,354     Morgan Stanley & Co. International PLC        12/15/21          (11,844 ) 
GBP     106,000         USD     145,876     UBS AG        12/15/21          (3,037 ) 
                     

 

 

  
                        (120,740 ) 
                     

 

 

  
                      $ 687,864  
                     

 

 

  

Exchange-Traded Options Purchased

 

 

  
Description   

Number of

Contracts

    

Expiration

Date

     Exercise Price     

Notional

Amount (000)

      Value    

 

  

Put
iShares iBoxx $ High Yield Corporate Bond ETF

      2,220        10/15/21      USD 82.00      USD 19,423      $  8,880   
              

 

 

  

Exchange-Traded Options Written

 

 

  
Description   

Number of

Contracts

    

Expiration

Date

     Exercise Price     

Notional

Amount (000)

      Value    

 

  

Put
iShares iBoxx $ High Yield Corporate Bond ETF

      2,220        10/15/21      USD 75.00      USD 19,423      $  (6,660 ) 
              

 

 

  

 

 

7  

Schedule of Investments (unaudited) (continued)

September 30, 2021

   

BlackRock 2022 Global Income Opportunity Trust (BGIO)

 

Centrally Cleared Interest Rate Swaps

 

                 
Paid by the Trust   

Received by the Trust

      Effective      Termination    

 

   Notional       

 

     

Upfront

Premium

Paid

      Unrealized
Appreciation		  
Rate                   Frequency    Rate    Frequency      Date      Date        Amount (000)      Value      (Received)      (Depreciation)  
0.33%      Semi-Annual    3-Month LIBOR, 0.13%      Quarterly          N/A      06/26/23        USD 5,900      $ (7,445 )     $ 61      $ (7,506 ) 
0.52%      Semi-Annual    3-Month LIBOR, 0.13%      Quarterly          N/A      06/21/24     USD 3,500        716        38        678  
0.97%      Semi-Annual    3-Month LIBOR, 0.13%      Quarterly          N/A      06/25/26     USD 10,750        4,989        138        4,851  
1.49%      Semi-Annual    3-Month LIBOR, 0.13%      Quarterly          N/A      06/25/31     USD 1,150        772        18        754  
1.48%      Semi-Annual    3-Month LIBOR, 0.13%      Quarterly          N/A      07/01/31     USD 3,100        5,540        50        5,490  
                       

 

 

     

 

 

     

 

 

  
                        $ 4,572      $ 305      $ 4,267  
                       

 

 

     

 

 

     

 

 

  

OTC Credit Default Swaps — Sell Protection

 

 

 

    

    

   Reference Obligation/Index    

 Financing

Rate Received

by the Trust

  

 

 

    

 Payment

Frequency

  

 

      Counterparty       

 Termination

Date

  

 

   

Credit

Rating(a)

     

 Notional        

Amount (000)(b)

      Value      

 Upfront

Premium

Paid

(Received)

  

 

 

 

    

 Unrealized

Appreciation

(Depreciation)

  

 

 

  

     

 

 

    
 

CMBX.NA.9

     3.00 %      Monthly       
 Morgan Stanley & Co.
International PLC		  
 		      09/17/58      N/R      USD        5,000        $ (383,909 )    $ (516,503 )    $ 132,594    
 

CMBX.NA.9

     3.00       Monthly       
 Morgan Stanley & Co.
International PLC		  
 		      09/17/58      N/R      USD        3,000          (230,346 )      (306,045 )      75,699    
                         

 

 

    

 

 

    

 

 

    
                          $  (614,255 )    $ (822,548 )    $ 208,293    
                         

 

 

    

 

 

    

 

 

    

 

  (a)

Using the rating of the issuer or the underlying securities of the index, as applicable, provided by S&P Global Ratings.

 
  (b)

The maximum potential amount the Trust may pay should a negative credit event take place as defined under the terms of the agreement.

 

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial reporting purposes as follows:

 

  •  

Level 1 – Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the 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); and

 

  •  

Level 3 – Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the BlackRock Global Valuation Methodologies Committee’s (the “Global Valuation Committee’s”) assumptions used in determining the fair value of 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 privately held companies or funds. There may not be a secondary market, and/or there are a limited number of investors. The categorization of a value determined for financial instruments is based on the pricing transparency of the financial instruments and is not necessarily an indication of the risks associated with investing in those securities. For information about the Trust’s policy regarding valuation of financial instruments, refer to its most recent financial statements.

The following table summarizes the Trust’s financial instruments categorized in the fair value hierarchy. The breakdown of the Trust’s financial instruments into major categories is disclosed in the Schedule of Investments above.

 

                                                                                               
         
      Level 1        Level 2        Level 3        Total  

Assets

                  

Investments

                  

Long-Term Investments

                  

Asset-Backed Securities

    $ —        $ 21,478,860        $ —        $ 21,478,860  

Common Stocks

      —          622,734          —          622,734  

Corporate Bonds

      —          30,383,827          1,495,401          31,879,228  

Floating Rate Loan Interests

      —          7,038,608          561,312          7,599,920  

 

 

S C H E D U L E   O F   I N V E S T M E N T S   8

Schedule of Investments (unaudited) (continued)

September 30, 2021

   

BlackRock 2022 Global Income Opportunity Trust (BGIO)

 

Fair Value Hierarchy as of Period End (continued)

 

                                                                               
         
      Level 1        Level 2        Level 3        Total  

Foreign Agency Obligations

    $ —        $ 5,822,807        $ —        $ 5,822,807  

Non-Agency Mortgage-Backed Securities

      —          24,542,816          671,910          25,214,726  

Preferred Securities

                  

Capital Trusts

      —          4,975,353          —          4,975,353  

U.S. Government Sponsored Agency Securities

      —          1,713,408          —          1,713,408  

Short-Term Securities

                  

Money Market Funds

      10,717,972          —          —          10,717,972  

Options Purchased

                  

Equity Contracts

      8,880          —          —          8,880  
  

 

 

       

 

 

       

 

 

       

 

 

  
   $ 10,726,852        $ 96,578,413        $ 2,728,623        $ 110,033,888  
  

 

 

       

 

 

       

 

 

       

 

 

  

Derivative Financial Instruments(a)

                 

Assets

                  

Credit Contracts

    $ —        $ 208,293        $ —        $ 208,293  

Foreign Currency Exchange Contracts

      —          808,604          —          808,604  

Interest Rate Contracts

      —          11,773          —          11,773  

Liabilities

                  

Equity Contracts

      (6,660 )         —          —          (6,660 ) 

Foreign Currency Exchange Contracts

      —          (120,740 )         —          (120,740 ) 

Interest Rate Contracts

      (5,517 )         (7,506 )         —          (13,023 ) 
  

 

 

       

 

 

       

 

 

       

 

 

  
   $ (12,177 )       $ 900,424        $ —        $ 888,247  
  

 

 

       

 

 

       

 

 

       

 

 

  

 

  (a)

Derivative financial instruments are swaps, futures contracts, forward foreign currency exchange contracts and options written. Swaps, futures contracts and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument and options written are shown at value.

 

A reconciliation of Level 3 financial instruments is presented when the Trust had a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:

 

 

  
    

Common

Stocks

      

Corporate

Bonds

      

Floating

Rate Loan
Interests

      

Non-Agency

Mortgage-Backed
Securities

       Total  

 

  

Assets

                       

Opening balance, as of December 31, 2020

    $ 61,356        $ 1,848,339        $ 43,676        $ 964,425        $ 2,917,796  

Transfers into Level 3(a)

     —          —          269,205          —          269,205  

Transfers out of Level 3(b)

     (61,356 )         —          —          (236,664 )         (298,020 ) 

Accrued discounts/premiums

      —          39,406          1,352          —          40,758  

Net realized gain (loss)

      —          (105,340 )         (464 )         —          (105,804 ) 

Net change in unrealized appreciation (depreciation)(c)

      (57,000 )         499,507          23,458          6,006          471,971  

Purchases

      57,000          123,678          285,565          —          466,243  

Sales

      —          (910,189 )         (61,480 )         (61,857 )         (1,033,526 ) 
  

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

Closing balance, as of September 30, 2021

    $ —        $ 1,495,401        $ 561,312        $ 671,910        $ 2,728,623  
  

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

Net change in unrealized appreciation (depreciation) on investments still held at September 30, 2021(c)

   $ (57,000 )       $ 472,520        $ 23,458        $ 6,006        $ 444,984  
  

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

 

  (a)

As of December 31, 2020, the Trust used observable inputs in determining the value of certain investments. As of September 30, 2021, the Trust used significant unobservable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 2 to Level 3 in the disclosure hierarchy.

 
  (b)

As of December 31, 2020, the Trust used significant unobservable inputs in determining the value of certain investments. As of September 30, 2021, the Trust used observable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 3 to Level 2 in the disclosure hierarchy.

 
  (c)

Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at September 30, 2021 is generally due to investments no longer held or categorized as Level 3 at period end.

 

 

 

9  

Schedule of Investments (unaudited) (continued)

September 30, 2021

   

BlackRock 2022 Global Income Opportunity Trust (BGIO)

 

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 financial instruments as of period end. The table does not include Level 3 financial instruments with values based upon unadjusted third-party pricing information in the amount of $1,233,222. A significant change in third party information could result in a significantly lower or higher value of such Level 3 financial instruments.

 

 

                         Weighted    
                    Range of          Average of    
                    Unobservable          Unobservable    
          Valuation        Unobservable        Inputs          Inputs Based    
     Value          Approach        Inputs        Utilized (a)         on Fair Value    

 

Assets

                         

Corporate Bonds

    $ 1,495,401          Income        Discount Rate        4% - 5%          5%    
          Market        EBITDA Multiple        6.25x          —    
             Recent Transactions        $72.23          —    
  

 

 

                        
   $   1,495,401                        
  

 

 

                        

 

  (a)

A significant change in unobservable input would have resulted in a correlated (inverse) significant change to value.

 

 

Currency Abbreviation
EUR    Euro
GBP    British Pound
USD    United States Dollar
Portfolio Abbreviation
ABS    Asset-Backed Security
AMBAC    AMBAC Assurance Corp.
CLO    Collateralized Loan Obligation
CMT    Constant Maturity Treasury
CR    Custodian Receipt
ETF    Exchange-Traded Fund
EURIBOR    Euro Interbank Offered Rate
FREMF    Freddie Mac Multifamily Securities
GOL    General Obligation Ltd.
LIBOR    London Interbank Offered Rate
PIK    Payment-in-Kind
SAB    Special Assessment Bonds

 

 

S C H E D U L E   O F   I N V E S T M E N T S   10