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: 811-23357
| Name of Fund: | BlackRock Multi-Sector Opportunities Trust II |
| Fund Address: | 100 Bellevue Parkway, Wilmington, DE 19809 |
Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Multi-Sector Opportunities Trust II, 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: 12/31/2022
Date of reporting period: 06/30/2022
Item 1 – Report to Stockholders
(a) The Report to Shareholders is attached herewith.
|
|
JUNE 30, 2022 |
|
|
2022 Semi-Annual Report (Unaudited)
| |
BlackRock Multi-Sector Opportunities Trust
BlackRock Multi-Sector Opportunities Trust II
| Not FDIC Insured • May Lose Value • No Bank Guarantee |
Dear Shareholder,
The 12-month reporting period as of June 30, 2022 saw the emergence of significant challenges that disrupted the economic recovery and strong financial markets. The U.S. economy shrank in the first quarter of 2022, ending the run of robust growth that followed the reopening of global economies and the development of COVID-19 vaccines. Rapid changes in consumer spending led to supply constraints and elevated inflation, which reached a 40-year high. Moreover, while the foremost effect of Russia’s invasion of Ukraine has been a severe humanitarian crisis, the ongoing war continued to present challenges for both investors and policymakers.
Equity prices fell, as persistently high inflation drove investors’ expectations for higher interest rates, particularly weighing on relatively high-valuation growth stocks and economically sensitive small-capitalization stocks. While both large- and small-capitalization U.S. stocks fell, declines for small-capitalization U.S. stocks were particularly steep. Both emerging market stocks and international equities from developed markets fell significantly, pressured by rising interest rates and a strengthening U.S. dollar.
The 10-year U.S. Treasury yield (which is inversely related to bond prices) rose notably during the reporting period as increasing inflation drove investors’ expectations for higher interest rates. The corporate bond market also faced inflationary headwinds, and increasing uncertainty led to higher corporate bond spreads (the difference in yield between U.S. Treasuries and similarly-dated corporate bonds).
The U.S. Federal Reserve (the “Fed”), acknowledging that inflation is growing faster than expected, raised interest rates three times while indicating that additional large rate hikes were likely. Furthermore, the Fed wound down its bond-buying programs and began to reduce its balance sheet. Continued high inflation and the Fed’s statements led many analysts to anticipate that interest rates have significant room to rise before peaking.
Furthermore, the horrific war in Ukraine has significantly clouded the outlook for the global economy, leading to major volatility in energy and metals markets. Sanctions on Russia, Europe’s top energy supplier, and general wartime disruption have magnified supply problems for key commodities. We believe elevated energy prices will continue to exacerbate inflationary pressure while also constraining economic growth. Combating inflation without stifling a recovery, while buffering against ongoing supply and price shocks, will be an especially challenging environment for setting effective monetary policy. Despite the likelihood of more rate increases on the horizon, we believe the Fed will err on the side of protecting employment, even at the expense of higher inflation. However, markets have been primed to expect sharp tightening, which could weigh on valuations until central banks begin to tap the brakes.
In this environment, while we favor an overweight to equities in the long-term, the market’s concerns over excessive rate hikes from central banks moderate our outlook. Furthermore, the energy shock and a deteriorating economic backdrop in China and Europe are likely to challenge corporate earnings, so we are underweight equities overall in the near-term. We take the opposite view on credit, where higher spreads provide near-term opportunities, while the likelihood of a higher inflation regime leads us to take an underweight stance on credit in the long-term. We believe that investment-grade corporates, U.K. gilts, local-currency emerging market debt, and inflation-protected bonds (particularly in Europe) offer strong opportunities in a six- to twelve-month horizon.
Overall, our view is that investors need to think globally, extend their scope across a broad array of asset classes, and be nimble as market conditions change. We encourage you to talk with your financial advisor and visit blackrock.com for further insight about investing in today’s markets.
Sincerely,
Rob Kapito
President, BlackRock Advisors, LLC
Rob Kapito
President, BlackRock Advisors, LLC
| Total Returns as of June 30, 2022 | ||||
| 6-Month | 12-Month | |||
| U.S. large cap equities (S&P 500® Index) |
(19.96)% | (10.62)% | ||
| U.S. small cap equities (Russell 2000® Index) |
(23.43) | (25.20) | ||
| International equities (MSCI Europe, Australasia, Far East Index) |
(19.57) | (17.77) | ||
| Emerging market equities (MSCI Emerging Markets Index) |
(17.63) | (25.28) | ||
| 3-month Treasury bills (ICE BofA 3-Month U.S. Treasury Bill Index) |
0.15 | 0.18 | ||
| U.S. Treasury securities (ICE BofA 10-Year U.S. Treasury Index) |
(11.34) | (10.94) | ||
| U.S. investment grade bonds (Bloomberg U.S. Aggregate Bond Index) |
(10.35) | (10.29) | ||
| Tax-exempt municipal bonds (Bloomberg Municipal Bond Index) |
(8.98) | (8.57) | ||
| U.S. high yield bonds (Bloomberg U.S. Corporate High Yield 2% Issuer Capped Index) |
(14.19) | (12.82) | ||
| Past performance is not an indication of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index. | ||||
| 2 | T H I S P A G E I S N O T P A R T O F Y O U R F U N D R E P O R T |
| Page | ||
| 2 | ||
| Semi-Annual Report: |
||
| 4 | ||
| 4 | ||
| 5 | ||
| Financial Statements: |
||
| 9 | ||
| 53 | ||
| 55 | ||
| 56 | ||
| 57 | ||
| 59 | ||
| 61 | ||
| Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements |
74 | |
| 78 | ||
| 81 | ||
| 3 |
The Benefits and Risks of Leveraging
The Trusts may utilize leverage to seek to enhance the distribution rate on, and net asset value (“NAV”) of, their common shares (“Common Shares”). However, there is no guarantee that these objectives can be achieved in all interest rate environments.
In general, the concept of leveraging is based on the premise that the financing cost of leverage, which is based on short-term interest rates, is normally lower than the income earned by a Trust on its longer-term portfolio investments purchased with the proceeds from leverage. To the extent that the total assets of each Trust (including the assets obtained from leverage) are invested in higher-yielding portfolio investments, each Trust’s shareholders benefit from the incremental net income. The interest earned on securities purchased with the proceeds from leverage (after paying the leverage costs) is paid to shareholders in the form of dividends, and the value of these portfolio holdings (less the leverage liability) is reflected in the per share NAV.
To illustrate these concepts, assume a Trust’s capitalization is $100 million and it utilizes leverage for an additional $30 million, creating a total value of $130 million available for investment in longer-term income securities. If prevailing short-term interest rates are 3% and longer-term interest rates are 6%, the yield curve has a strongly positive slope. In this case, a Trust’s financing costs on the $30 million of proceeds obtained from leverage are based on the lower short-term interest rates. At the same time, the securities purchased by a Trust with the proceeds from leverage earn income based on longer-term interest rates. In this case, a Trust’s financing cost of leverage is significantly lower than the income earned on a Trust’s longer-term investments acquired from such leverage proceeds, and therefore the holders of Common Shares (“Common Shareholders”) are the beneficiaries of the incremental net income.
However, in order to benefit shareholders, the return on assets purchased with leverage proceeds must exceed the ongoing costs associated with the leverage. If interest and other costs of leverage exceed a Trust’s return on assets purchased with leverage proceeds, income to shareholders is lower than if a Trust had not used leverage. Furthermore, the value of the Trusts’ portfolio investments generally varies inversely with the direction of long-term interest rates, although other factors can influence the value of portfolio investments. In contrast, the amount of each Trust’s obligations under its respective leverage arrangement generally does not fluctuate in relation to interest rates. As a result, changes in interest rates can influence the Trusts’ NAVs positively or negatively. Changes in the future direction of interest rates are very difficult to predict accurately, and there is no assurance that a Trust’s intended leveraging strategy will be successful.
The use of leverage also generally causes greater changes in each Trust’s NAV, market price and dividend rates than comparable portfolios without leverage. In a declining market, leverage is likely to cause a greater decline in the NAV and market price of a Trust’s shares than if the Trust were not leveraged. In addition, each Trust may be required to sell portfolio securities at inopportune times or at distressed values in order to comply with regulatory requirements applicable to the use of leverage or as required by the terms of leverage instruments, which may cause the Trust to incur losses. The use of leverage may limit a Trust’s ability to invest in certain types of securities or use certain types of hedging strategies. Each Trust incurs expenses in connection with the use of leverage, all of which are borne by shareholders and may reduce income to the shareholders. Moreover, to the extent the calculation of each Trust’s investment advisory fees includes assets purchased with the proceeds of leverage, the investment advisory fees payable to each Trust’s investment adviser will be higher than if the Trusts did not use leverage.
Each Trust may utilize leverage through reverse repurchase agreements as described in the Notes to Financial Statements, if applicable.
Under the Investment Company Act of 1940, as amended (the “1940 Act”), each Trust is permitted to issue debt up to 33 1/3% of its total managed assets. A Trust may voluntarily elect to limit its leverage to less than the maximum amount permitted under the 1940 Act.
If a Trust segregates or designates on its books and records cash or liquid assets having a value not less than the value of a Trust’s obligations under a reverse repurchase agreement (including accrued interest) then such transaction is not considered a senior security and is not subject to the foregoing limitations and requirements imposed by the 1940 Act.
Derivative Financial Instruments
The Trusts may invest in various derivative financial instruments. These instruments are used to obtain exposure to a security, commodity, index, market, and/or other assets without owning or taking physical custody of securities, commodities and/or other referenced assets or to manage market, equity, credit, interest rate, foreign currency exchange rate, commodity and/or other risks. Derivative financial instruments may give rise to a form of economic leverage and involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the instrument. The Trusts’ successful use of a derivative financial instrument depends on the investment adviser’s ability to predict pertinent market movements accurately, which cannot be assured. The use of these instruments may result in losses greater than if they had not been used, may limit the amount of appreciation a Trust can realize on an investment and/or may result in lower distributions paid to shareholders. The Trusts’ investments in these instruments, if any, are discussed in detail in the Notes to Financial Statements.
| 4 | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| Trust Summary as of June 30, 2022 | BlackRock Multi-Sector Opportunities Trust (MSO) |
Investment Objective
BlackRock Multi-Sector Opportunities Trust’s (MSO) (the “Trust”) investment objective is to seek to provide high income and total return. The Trust seeks to achieve its investment objective by investing at least 80% of its total assets in fixed income securities and other financial instruments that pay periodic income. The Trust may invest any amount of its assets in securities of any credit quality, including securities that are rated at the time of investment below investment grade — i.e., ‘‘Ba’’ or ‘‘BB’’ or below by Moody’s Investor’s Service, Inc. (“Moody’s”), S&P Global Ratings or Fitch Ratings, or securities that are judged to be of comparable quality by the Trust’s investment advisers. It is anticipated that the Trust will terminate on February 22, 2024 (the “Termination Date”); however, the Board of Trustees may, without shareholder approval, extend the Termination Date by up to one year to a date on or before February 22, 2025. The Board of Trustees may also, without shareholder approval, adopt a plan of liquidation at any time preceding the anticipated Termination Date. The Trust may invest directly in securities or synthetically through the use of derivatives.
The Trust’s common shares are not listed on any securities exchange. Investors should consider that they may not have access to their investment until the Termination Date. The Trust is designed for long-term investors and an investment in the common shares, unlike an investment in a traditional listed closed-end fund, should be considered illiquid.
No assurance can be given that the Trust’s investment objective will be achieved.
Trust Information
| Initial Offering Date |
February 23, 2018 | |
| Termination Date(a) |
February 22, 2024 | |
| Current Quarterly Distribution per Common Share(b) |
$ 1.5210 | |
| Current Annualized Distribution per Common Share(b) |
$ 6.0840 | |
| Leverage as of June 30, 2022(c) |
19% | |
| (a) | The Board of Trustees may terminate the Trust, without shareholder approval, prior to the Termination Date and may, without shareholder approval, extend the Termination Date by up to one year to a date on or before February 22, 2025. |
| (b) | The distribution rate is not constant and is subject to change. A portion of the distribution may be deemed a return of capital or net realized gain. |
| (c) | Represents reverse repurchase agreements as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to any borrowings) minus the sum of its liabilities (other than borrowings representing financial leverage). Does not reflect derivatives or other instruments that may give rise to economic leverage. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging and Derivative Financial Instruments. |
Net Asset Value Per Share Summary
| 06/30/22 | 12/31/21 | Change | High | Low | ||||||||||||||||
| Net Asset Value |
$ | 69.08 | $ | 84.34 | (18.09 | )% | $ | 84.34 | $ | 69.08 | ||||||||||
Performance
Returns for the period ended June 30, 2022 were as follows:
| Average Annual Total Returns | ||||||||||||
|
|
|
|||||||||||
| 6-month | 1 Year | |
Since Inception |
(a) | ||||||||
| Trust at NAV(b) |
(14.65 | )% | (16.21 | )% | (0.70 | )% | ||||||
| Bloomberg U.S. Corporate High Yield 2% Issuer Capped Index(c) |
(14.19 | ) | (12.82 | ) | 1.96 | |||||||
| (a) | MSO commenced operations on February 23, 2018. |
| (b) | All returns reflect reinvestment of dividends and/or distributions at NAV on the payable date. Performance results reflect the Trust’s use of leverage. |
| (c) | Bloomberg U.S. Corporate High Yield 2% Issuer Capped Index, an unmanaged index comprised of issues that meet the following criteria: at least $150 million par value outstanding; maximum credit rating of Ba1; at least one year to maturity; and no issuer represents more than 2% of the index. |
Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles. Past performance is not an indication of future results.
The Trust is presenting the performance of one or more indices for informational purposes only. The Trust is actively managed and does not seek to track or replicate the performance of any index. The index performance shown is not intended to be indicative of the Trust’s investment strategies, portfolio components or past or future performance.
More information about the Trust’s historical performance can be found in the “Closed End Funds” section of blackrock.com.
| T R U S T S U M M A R Y |
5 |
| Trust Summary as of June 30, 2022 (continued) | BlackRock Multi-Sector Opportunities Trust (MSO) |
The following discussion relates to the Trust’s absolute performance based on NAV:
What factors influenced performance?
The detractors from performance over the period were the Trust’s exposures to emerging market debt, securitized assets including collateralized loan obligations and commercial mortgage-backed securities, European corporate credit, U.S. high yield credit and U.S. investment grade credit. The Trust’s positioning with respect to duration and corresponding interest rate sensitivity also detracted from performance as Treasury yield moved higher over the period.
The Trust’s allocation to private assets contributed to performance over the period.
Describe recent portfolio activity.
The Trust was positioned defensively over the period as the market has been dealing with persistent inflation and heightened volatility. Within spread assets, exposure to emerging market debt was reduced in favor of rotating modestly into the investment grade corporate credit space as yields moved higher. The Trust also added marginally to the high yield corporate credit allocation as the sector remained resilient backed by strong supply technical factors and fundamentals. The Trust continued to look to add risk in idiosyncratic opportunities with lower beta (market risk) to construct a balanced portfolio.
The Trust used Treasury futures during the period to hedge duration and yield curve exposure. The use of derivatives did not have a significant impact on the performance.
Describe portfolio positioning at period end.
As of June 30, 2022, the Trust’s portfolio had an effective duration of 1.5 years and approximately 23% leverage, with a nominal yield of 10.9%. The Trust maintained a diversified exposure within spread sectors, including emerging markets, high yield corporate bonds, and securitized assets. Private assets comprised approximately 6% of total portfolio assets. The Trust continued to seek opportunities to harvest the illiquidity premium by adding exposure to private investments.
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.
Overview of the Trust’s Total Investments
| PORTFOLIO COMPOSITION
|
| |||
| Asset Type | 06/30/22 | |||
| Corporate Bonds |
44.2 | % | ||
| Asset-Backed Securities |
16.4 | |||
| Non-Agency Mortgage-Backed Securities |
13.2 | |||
| Floating Rate Loan Interests |
10.4 | |||
| Preferred Securities |
6.2 | |||
| Foreign Agency Obligations |
4.4 | |||
| Short-Term Securities |
3.3 | |||
| Other* |
1.9 | |||
| CREDIT QUALITY ALLOCATION
|
| |||
| Credit Rating(a)(b) | 06/30/22 | |||
| AAA/Aaa(c) |
1.0 | % | ||
| AA/Aa |
0.1 | |||
| A |
3.0 | |||
| BBB/Baa |
13.4 | |||
| BB/Ba |
36.0 | |||
| B |
19.1 | |||
| CCC/Caa |
5.2 | |||
| CC |
0.1 | |||
| C |
0.2 | |||
| N/R |
21.9 | |||
| (a) | For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P Global Ratings or Moody’s Investors Service, Inc. if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change. |
| (b) | Excludes short-term securities. |
| (c) | Includes U.S. Government Sponsored Agency Securities which are deemed AAA/Aaa by the investment adviser. |
| * | Includes one or more investment categories that individually represents less than 1.0% of the Trust’s total investments. Please refer to the Schedule of Investments for details. |
| 6 | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| Trust Summary as of June 30, 2022 | BlackRock Multi-Sector Opportunities Trust II (MSO2) |
Investment Objective
BlackRock Multi-Sector Opportunities Trust II’s (MSO2) (the “Trust”) investment objective is to seek to provide high income and total return. The Trust seeks to achieve its investment objective by investing at least 80% of its total assets in fixed income securities and other financial instruments that pay periodic income. The Trust may invest any amount of its assets in securities of any credit quality, including securities that are rated at the time of investment below investment grade — i.e., ‘‘Ba’’ or ‘‘BB’’ or below by Moody’s, S&P Global Ratings or Fitch, or securities that are judged to be of comparable quality by the Trust’s investment advisers. It is anticipated that the Trust will terminate on February 28, 2025 (the “Termination Date”); however, the Board of Trustees may, without shareholder approval, extend the Termination Date by up to one year to a date on or before February 28, 2026. The Board of Trustees may also, without shareholder approval, adopt a plan of liquidation at any time preceding the anticipated Termination Date. The Trust may invest directly in securities or synthetically through the use of derivatives.
The Trust’s common shares are not listed on any securities exchange. Investors should consider that they may not have access to their investment until the Termination Date. The Trust is designed for long-term investors and an investment in the common shares, unlike an investment in a traditional listed closed-end fund, should be considered illiquid.
No assurance can be given that the Trust’s investment objective will be achieved.
Trust Information
| Initial Offering Date |
April 16, 2019 | |||||
| Termination Date(a) |
February 28, 2025 | |||||
| Current Quarterly Distribution per Common Share(b) |
$1.5780 | |||||
| Current Annualized Distribution per Common Share(b) |
$6.3120 | |||||
| Leverage as of June 30, 2022(c) |
25% | |||||
| (a) | The Board of Trustees may terminate the Trust, without shareholder approval, prior to the Termination Date and may, without shareholder approval, extend the Termination Date by up to one year to a date on or before February 28, 2026. |
| (b) | The distribution rate is not constant and is subject to change. A portion of the distribution may be deemed a return of capital or net realized gain. |
| (c) | Represents reverse repurchase agreements as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to any borrowings) minus the sum of its liabilities (other than borrowings representing financial leverage). Does not reflect derivatives or other instruments that may give rise to economic leverage. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging and Derivative Financial Instruments. |
Net Asset Value Per Share Summary
| 06/30/22 | 12/31/21 | Change | High | Low | ||||||||||||||||
| Net Asset Value |
$ | 71.53 | $ | 87.63 | (18.37 | )% | $ | 87.63 | $ | 71.53 | ||||||||||
Performance
Returns for the period ended June 30, 2022 were as follows:
|
Average Annual Total Returns |
||||||||||||
| Since | ||||||||||||
| 6-month | 1 Year | Inception | (a) | |||||||||
| Trust at NAV(b) |
(14.94 | )% | (16.12 | )% | (2.86 | )% | ||||||
| Bloomberg U.S. Corporate High Yield 2% Issuer Capped Index(c) |
(14.19 | ) | (12.82 | ) | 0.57 | |||||||
| (a) | MSO2 commenced operations on April 16, 2019. |
| (b) | All returns reflect reinvestment of dividends and/or distributions at NAV on the payable date. Performance results reflect the Trust’s use of leverage. |
| (c) | Bloomberg U.S. Corporate High Yield 2% Issuer Capped Index, an unmanaged index comprised of issues that meet the following criteria: at least $150 million par value outstanding; maximum credit rating of Ba1; at least one year to maturity; and no issuer represents more than 2% of the index. |
Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles. Past performance is not an indication of future results.
The Trust is presenting the performance of one or more indices for informational purposes only. The Trust is actively managed and does not seek to track or replicate the performance of any index. The index performance shown is not intended to be indicative of the Trust’s investment strategies, portfolio components or past or future performance.
More information about the Trust’s historical performance can be found in the “Closed End Funds” section of blackrock.com.
| T R U S T S U M M A R Y |
7 |
| Trust Summary as of June 30, 2022 (continued) | BlackRock Multi-Sector Opportunities Trust II (MSO2) |
The following discussion relates to the Trust’s absolute performance based on NAV:
What factors influenced performance?
The detractors from performance over the period were the Trust’s exposures to emerging market debt, securitized assets including collateralized loan obligations and commercial mortgage-backed securities, European corporate credit, U.S. high yield credit and U.S. investment grade credit. The Trust’s positioning with respect to duration and corresponding interest rate sensitivity also detracted from performance as Treasury yield moved higher over the period.
The Trust’s allocation to private assets contributed to performance over the period.
Describe recent portfolio activity.
The Trust was positioned defensively over the period as the market has been dealing with persistent inflation and heightened volatility. Within spread assets, exposure to emerging market debt was reduced in favor of rotating modestly into the investment grade corporate credit space as yields moved higher. The Trust also added marginally to the high yield corporate credit allocation as the sector remained resilient backed by strong supply technical factors and fundamentals. The Trust continued to look to add risk in idiosyncratic opportunities with lower beta (market risk) to construct a balanced portfolio.
The Trust used Treasury futures during the period to hedge duration and yield curve exposure. The use of derivatives did not have a significant impact on the performance.
Describe portfolio positioning at period end.
As of June 30, 2022, the Trust’s portfolio had an effective duration of 1.7 years and approximately 34% leverage, with a nominal yield of 10.7%. The Trust maintained a diversified exposure within spread sectors, including emerging markets, high yield corporate bonds, and securitized assets. Private assets comprised approximately 5% of total portfolio assets. The Trust continued to seek opportunities to harvest the illiquidity premium by adding exposure to private investments.
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.
Overview of the Trust’s Total Investments
| PORTFOLIO COMPOSITION
|
| |||
| Asset Type | 06/30/22 | |||
| Corporate Bonds |
42.5 | % | ||
| Asset-Backed Securities |
21.4 | |||
| Non-Agency Mortgage-Backed Securities |
15.2 | |||
| Floating Rate Loan Interests |
6.8 | |||
| Preferred Securities |
5.2 | |||
| Foreign Agency Obligations |
4.4 | |||
| Short-Term Securities |
3.3 | |||
| Other* |
1.2 | |||
| CREDIT QUALITY ALLOCATION
|
| |||
| Credit Rating(a)(b) | 06/30/22 | |||
| AAA/Aaa(c) |
1.5 | % | ||
| AA/Aa |
0.1 | |||
| A |
2.9 | |||
| BBB/Baa |
16.9 | |||
| BB/Ba |
34.0 | |||
| B |
17.0 | |||
| CCC/Caa |
3.4 | |||
| CC |
1.4 | |||
| C |
2.5 | |||
| N/R |
20.3 | |||
| (a) | For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P Global Ratings or Moody’s Investors Service, Inc. if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change. |
| (b) | Excludes short-term securities. |
| (c) | Includes U.S. Government Sponsored Agency Securities which are deemed AAA/Aaa by the investment adviser. |
| * | Includes one or more investment categories that individually represents less than 1.0% of the Trust’s total investments. Please refer to the Schedule of Investments for details. |
| 8 | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| Schedule of Investments (unaudited) June 30, 2022 |
BlackRock Multi-Sector Opportunities Trust (MSO) (Percentages shown are based on Net Assets) |
| Security | Par (000) |
Value | ||||||||||
| Asset-Backed Securities |
||||||||||||
| AIMCO CLO 10 Ltd., Series 2019-10A, |
USD | 1,844 | $ | 1,156,188 | ||||||||
| Ajax Mortgage Loan Trust(b) |
||||||||||||
| Series 2018-A, Class B, 0.00%, 04/25/58 |
13 | 12,348 | ||||||||||
| Series 2018-B, Class B, 1.00%, 02/26/57 |
31 | 21,454 | ||||||||||
| Anchorage Capital CLO 5-R Ltd., Series 2014-5RA, Class E, (3 mo. LIBOR US + 5.40%), 6.44%, 01/15/30(a)(b) |
1,000 | 916,546 | ||||||||||
| Anchorage Capital CLO Ltd., Series 2013-1A, |
3,050 | 2,791,927 | ||||||||||
| Apidos CLO XV, Series 2013-15A, Class ERR, (3 mo. LIBOR US + 5.70%), 6.76%, 04/20/31(a)(b) |
1,000 | 836,441 | ||||||||||
| Apres Static CLO Ltd., Series 2019-1A, |
500 | 495,743 | ||||||||||
| ARES LI CLO Ltd., Series 2019-51A, |
700 | 633,811 | ||||||||||
| Ares LV CLO Ltd., Series 2020-55A, |
1,000 | 923,101 | ||||||||||
| Ares XXXVII CLO Ltd., Series 2015-4A, |
1,450 | 1,258,402 | ||||||||||
| BankAmerica Manufactured Housing Contract Trust, Series 1997-2, Class B1, 7.07%, 02/10/22(a) |
2,300 | 816,445 | ||||||||||
| Bean Creek CLO Ltd., Series 2015-1A, Class ER, (3 mo. LIBOR US + 5.75%), 6.81%, 04/20/31(a)(b) |
1,500 | 1,282,051 | ||||||||||
| Brookside Mill CLO Ltd., Series 2013-1A, Class DR, (3 mo. LIBOR US + 2.65%), 3.69%, 01/17/28(a)(b) |
250 | 242,951 | ||||||||||
| CarVal CLO II Ltd., Series 2019-1A, Class DR, (3 mo. LIBOR US + 3.20%), 4.26%, 04/20/32(a)(b) |
250 | 221,875 | ||||||||||
| CarVal CLO III Ltd., Series 2019-2A, Class E, (3 mo. LIBOR US + 6.44%), 7.50%, 07/20/32(a)(b) |
2,200 | 1,949,318 | ||||||||||
| Cedar Funding IX CLO Ltd., Series 2018-9A, Class E, (3 mo. LIBOR US + 5.35%), 6.41%, 04/20/31(a)(b) |
2,000 | 1,739,465 | ||||||||||
| Cedar Funding XIV CLO Ltd.(a)(b) |
||||||||||||
| Series 2021-14A, Class D, (3 mo. LIBOR US + 3.25%), 4.29%, 07/15/33 |
1,000 | 927,964 | ||||||||||
| Series 2021-14A, Class E, (3 mo. LIBOR US + 6.34%), 7.38%, 07/15/33 |
750 | 694,556 | ||||||||||
| Series 2021-14A, Class SUB, 0.00%, 07/15/33 |
1,000 | 581,300 | ||||||||||
| Deer Creek CLO Ltd., Series 2017-1A, Class E, (3 mo. LIBOR US + 6.35%), 7.41%, 10/20/30(a)(b) |
1,000 | 874,735 | ||||||||||
| Elmwood CLO II Ltd., Series 2019-2A, Class ER, (3 mo. LIBOR US + 6.80%), 7.86%, 04/20/34(a)(b) |
250 | 235,813 | ||||||||||
| Fairstone Financial Issuance Trust I, Series 2020-1A, Class D, 6.87%, 10/20/39(b) |
CAD | 210 | 161,654 | |||||||||
| Generate CLO 2 Ltd., Series 2015-1A, Class ER, (3 mo. LIBOR US + 5.65%), 6.79%, 01/22/31(a)(b) |
USD | 500 | 435,196 | |||||||||
| Gilbert Park CLO Ltd., Series 2017-1A, Class D, (3 mo. LIBOR US + 2.95%), 3.99%, 10/15/30(a)(b) |
550 | 520,024 | ||||||||||
| Goldentree Loan Management U.S. CLO 2 Ltd., Series 2017-2A, Class E, (3 mo. LIBOR US + 4.70%), 5.76%, 11/28/30(a)(b) |
1,500 | 1,268,125 | ||||||||||
| GoldenTree Loan Opportunities IX Ltd., Series 2014- 9A, Class ER2, (3 mo. LIBOR US + 5.66%), 6.90%, 10/29/29(a)(b) |
500 | 451,034 | ||||||||||
| Gulf Stream Meridian 1 Ltd., Series 2020-IA, Class E, (3 mo. LIBOR US + 6.45%), 7.49%, 04/15/33(a)(b) |
250 | 231,577 | ||||||||||
| Security | Par (000) |
Value | ||||||||||
| Asset-Backed Securities (continued) |
|
|||||||||||
| Highbridge Loan Management Ltd., Series 12A-18, Class D, (3 mo. LIBOR US + 5.15%), 6.19%, 07/18/31(a)(b) |
USD | 1,120 | $ | 955,742 | ||||||||
| JP Morgan Mortgage Acquisition Corp., Series 2006- FRE2, Class M2, (1 mo. LIBOR US + 0.54%), 2.16%, 02/25/36(a) |
2,788 | 2,520,653 | ||||||||||
| Lending Funding Trust, Series 2020-2A, Class D, 6.77%, 04/21/31(b) |
315 | 305,119 | ||||||||||
| Madison Park Funding XXX Ltd. |
||||||||||||
| Series 2018-30A, Class E, (3 mo. LIBOR US + 4.95%), 5.99%, 04/15/29(a)(b) |
1,250 | 1,107,408 | ||||||||||
| Series 2018-30X, Class E, 5.99%, 04/15/29 |
250 | 221,482 | ||||||||||
| Mariner Finance Issuance Trust(b) Series 2019-AA, Class D, 5.44%, 07/20/32 |
2,500 | 2,382,030 | ||||||||||
| Series 2020-AA, Class D, 5.75%, 08/21/34 |
250 | 230,499 | ||||||||||
| Mosaic Solar Loan Trust, Series 2018-2GS, Class C, 5.97%, 02/22/44(b) |
249 | 238,931 | ||||||||||
| Oafit A Note Upsize, 1.00%, 09/28/23(c) |
AUD | 1,210 | 826,851 | |||||||||
| OCP CLO Ltd.(a)(b) |
||||||||||||
| Series 2013-4A, Class CRR, (3 mo. LIBOR US + 3.00%), 4.18%, 04/24/29 |
USD | 600 | 582,358 | |||||||||
| Series 2019-16A, Class ER, (3 mo. LIBOR US + 6.35%), 7.34%, 04/10/33 |
250 | 216,964 | ||||||||||
| Series 2019-17A, Class ER, (3 mo. LIBOR US + 6.50%), 7.56%, 07/20/32 |
1,000 | 877,126 | ||||||||||
| Palmer Square CLO Ltd.(a)(b) |
||||||||||||
| Series 2015-2A, Class CR2, (3 mo. LIBOR US + 2.75%), 3.81%, 07/20/30 |
250 | 232,740 | ||||||||||
| Series 2015-2A, Class DR2, (3 mo. LIBOR US + 5.75%), 6.81%, 07/20/30 |
250 | 221,759 | ||||||||||
| Series 2018-2A, Class D, (3 mo. LIBOR US + 5.60%), 6.66%, 07/16/31 |
1,500 | 1,315,326 | ||||||||||
| Park Avenue Institutional Advisers CLO Ltd., Series 2016-1A, Class DR, (3 mo. LIBOR US + 5.85%), 7.35%, 08/23/31(a)(b) |
2,000 | 1,762,630 | ||||||||||
| Rad CLO 6 Ltd., Series 2019-6A, Class E, |
500 | 475,684 | ||||||||||
| Republic Finance Issuance Trust, Series 2020-A, Class D, 7.00%, 11/20/30(b) |
700 | 667,365 | ||||||||||
| Rockford Tower CLO Ltd.(a)(b) |
||||||||||||
| Series 2017-2A, Class ER, (3 mo. LIBOR US + 6.25%), 7.29%, 10/15/29 |
1,150 | 1,012,023 | ||||||||||
| Series 2017-3A, Class D, (3 mo. LIBOR US + 2.65%), 3.71%, 10/20/30 |
970 | 903,921 | ||||||||||
| Series 2017-3A, Class E, (3 mo. LIBOR US + 5.75%), 6.81%, 10/20/30 |
250 | 224,516 | ||||||||||
| Signal Peak CLO 7 Ltd., Series 2019-1A, Class E, (3 mo. LIBOR US + 6.89%), 8.18%, 04/30/32(a)(b) |
250 | 225,094 | ||||||||||
| Sofi Professional Loan Program LLC, Series 2016-B, Class RC, 0.00%, 04/25/37(b)(c) |
— | (d) | 260,650 | |||||||||
| Strata CLO I Ltd.(a)(b) |
||||||||||||
| Series 2018-1A, Class E, (3 mo. LIBOR US + 7.08%), 8.12%, 01/15/31 |
500 | 479,223 | ||||||||||
| Series 2018-1A, Class USUB, 0.00%, 01/15/2118 |
1,750 | 937,300 | ||||||||||
| TICP CLO VII Ltd., Series 2017-7A, |
500 | 446,387 | ||||||||||
| TICP CLO XII Ltd., Series 2018-12A, |
725 | 638,458 | ||||||||||
| S C H E D U L E O F I N V E S T M E N T S |
9 |
| Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Multi-Sector Opportunities Trust (MSO) (Percentages shown are based on Net Assets) |
| Security | Par (000) |
Value | ||||||||||
| Asset-Backed Securities (continued) |
| |||||||||||
| Trestles CLO II Ltd., Series 2018-2A, |
USD | 1,900 | $ | 1,680,904 | ||||||||
| Trestles CLO III Ltd., Series 2020-3A, |
500 | 355,493 | ||||||||||
| York CLO 1 Ltd., Series 2014-1A, |
250 | 237,473 | ||||||||||
|
|
|
|||||||||||
| Total Asset-Backed Securities — 18.6% |
44,222,153 | |||||||||||
|
|
|
|||||||||||
| Shares | ||||||||||||
| Common Stocks |
||||||||||||
| Equity Real Estate Investment Trusts (REITs) — 0.0% | ||||||||||||
| Service Properties Trust |
4,000 | 20,920 | ||||||||||
|
|
|
|||||||||||
| Hotels, Restaurants & Leisure — 0.1% | ||||||||||||
| Caesars Entertainment, Inc.(e) |
3,435 | 131,561 | ||||||||||
| Carlson Travel, Inc. |
5,800 | 110,200 | ||||||||||
|
|
|
|||||||||||
| 241,761 | ||||||||||||
| Oil, Gas & Consumable Fuels — 0.3% | ||||||||||||
| California Resources Corp.(f) |
19,725 | 759,412 | ||||||||||
|
|
|
|||||||||||
| Total Common Stocks — 0.4% |
1,022,093 | |||||||||||
|
|
|
|||||||||||
| Par (000) |
||||||||||||
| Corporate Bonds |
||||||||||||
| Advertising Agencies — 0.1% | ||||||||||||
| Interpublic Group of Cos., Inc., 3.38%, 03/01/41 |
USD | 178 | 133,485 | |||||||||
|
|
|
|||||||||||
| Aerospace & Defense — 0.9% | ||||||||||||
| Embraer Netherlands Finance BV, 6.95%, 01/17/28(b) |
291 | 281,688 | ||||||||||
| Rolls-Royce PLC, 1.63%, 05/09/28(g) |
EUR | 100 | 77,901 | |||||||||
| TransDigm, Inc. |
||||||||||||
| 6.25%, 03/15/26(b) |
USD | 1,505 | 1,450,444 | |||||||||
| 6.38%, 06/15/26 |
348 | 325,380 | ||||||||||
|
|
|
|||||||||||
| 2,135,413 | ||||||||||||
| Airlines — 2.9% | ||||||||||||
| Air France-KLM, 3.88%, 07/01/26(g) |
EUR | 100 | 84,884 | |||||||||
| American Airlines, Inc.(c) |
||||||||||||
| 4.87%, 04/22/25 |
USD | 178 | 175,713 | |||||||||
| 3.93%, 12/15/25(a) |
173 | 168,486 | ||||||||||
| Avianca Midco 2 Ltd., 9.00%, 12/01/28(b) |
6,437 | 5,558,876 | ||||||||||
| Azul Investments LLP |
||||||||||||
| 5.88%, 10/26/24(g) |
200 | 151,225 | ||||||||||
| 7.25%, 06/15/26(b) |
220 | 152,804 | ||||||||||
| Deutsche Lufthansa AG(g) |
||||||||||||
| 2.00%, 07/14/24 |
EUR | 100 | 97,907 | |||||||||
| 2.88%, 05/16/27 |
100 | 82,693 | ||||||||||
| Gol Finance SA(b) |
||||||||||||
| 7.00%, 01/31/25 |
USD | 500 | 310,719 | |||||||||
| 8.00%, 06/30/26 |
200 | 133,000 | ||||||||||
| International Consolidated Airlines Group SA, 2.75%, 03/25/25(g) |
EUR | 100 | 88,618 | |||||||||
|
|
|
|||||||||||
| 7,004,925 | ||||||||||||
| Security | Par (000) |
Value | ||||||||||
| Auto Components — 0.6% | ||||||||||||
| Aptiv PLC, 3.10%, 12/01/51 |
USD | 273 | $ | 176,067 | ||||||||
| Clarios Global LP/Clarios U.S. Finance Co., 6.25%, 05/15/26(b) |
71 | 68,337 | ||||||||||
| Dana, Inc., 5.63%, 06/15/28 |
352 | 302,995 | ||||||||||
| Faurecia SE(g) |
||||||||||||
| 3.13%, 06/15/26 |
EUR | 100 | 87,632 | |||||||||
| 2.75%, 02/15/27 |
100 | 81,478 | ||||||||||
| IHO Verwaltungs GmbH(g)(h) |
||||||||||||
| (4.5% PIK), 3.75%, 09/15/26 |
113 | 98,169 | ||||||||||
| (4.63% PIK), 3.88%, 05/15/27 |
100 | 81,487 | ||||||||||
| ZF Finance GmbH(g) |
||||||||||||
| 3.00%, 09/21/25 |
100 | 91,846 | ||||||||||
| 2.00%, 05/06/27 |
300 | 241,951 | ||||||||||
| 3.75%, 09/21/28 |
300 | 246,661 | ||||||||||
|
|
|
|||||||||||
| 1,476,623 | ||||||||||||
| Automobiles — 0.5% | ||||||||||||
| Constellation Automotive Financing PLC, 4.88%, 07/15/27(g) |
GBP | 100 | 95,558 | |||||||||
| Ford Motor Credit Co. LLC, 5.58%, 03/18/24 |
USD | 612 | 608,940 | |||||||||
| General Motors Co., 5.95%, 04/01/49 |
295 | 273,941 | ||||||||||
| Jaguar Land Rover Automotive PLC, 4.50%, 07/15/28(g) |
EUR | 100 | 74,810 | |||||||||
| TML Holdings Pte. Ltd., 4.35%, 06/09/26(g) |
USD | 200 | 174,788 | |||||||||
|
|
|
|||||||||||
| 1,228,037 | ||||||||||||
| Banks — 1.1% | ||||||||||||
| Banco de Sabadell SA, 2.63%, 03/24/26(a)(g) |
EUR | 100 | 99,384 | |||||||||
| Banco GNB Sudameris SA, (5 year CMT + 6.66%), 7.50%, 04/16/31(a)(b) |
USD | 155 | 131,101 | |||||||||
| Bangkok Bank PCL, (5 year CMT + 4.73%), 5.00%(i) |
200 | 182,100 | ||||||||||
| Bank of East Asia Ltd., (5 year CMT + 5.53%), 5.83%(a)(g)(i) |
250 | 241,250 | ||||||||||
| BBK BSC, 5.50%, 07/09/24(g) |
279 | 276,262 | ||||||||||
| Commerzbank AG, (5 year EUR Swap + 6.36%), 6.13%(a)(g)(i) |
EUR | 400 | 378,310 | |||||||||
| Freedom Mortgage Corp., 8.25%, 04/15/25(b) |
USD | 352 | 296,273 | |||||||||
| Grupo Aval Ltd., 4.38%, 02/04/30(b) |
580 | 451,784 | ||||||||||
| Intesa Sanpaolo SpA, (5 year EUR Swap + 6.09%), 5.88%(a)(g)(i) |
EUR | 250 | 203,868 | |||||||||
| NBK Tier 1 Ltd., 3.63%(a)(b)(i) |
USD | 341 | 305,898 | |||||||||
|
|
|
|||||||||||
| 2,566,230 | ||||||||||||
| Beverages — 0.9% | ||||||||||||
| Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc., 4.70%, 02/01/36 |
145 | 138,914 | ||||||||||
| Anheuser-Busch InBev Worldwide, Inc., 4.50%, 06/01/50 |
245 | 220,249 | ||||||||||
| Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc., 4.75%, 07/15/27(g) |
GBP | 190 | 165,908 | |||||||||
| Coca-Cola Co., 2.50%, 03/15/51 |
USD | 23 | 16,657 | |||||||||
| Mauser Packaging Solutions Holding Co., 5.50%, 04/15/24(b) |
1,092 | 1,042,860 | ||||||||||
| OI European Group BV, 2.88%, 02/15/25(g) |
EUR | 260 | 246,741 | |||||||||
| Trivium Packaging Finance BV, 5.50%, 08/15/26(b) |
USD | 446 | 421,341 | |||||||||
|
|
|
|||||||||||
| 2,252,670 | ||||||||||||
| Biotechnology — 0.3% | ||||||||||||
| Amgen, Inc. |
||||||||||||
| 3.00%, 01/15/52 |
390 | 276,545 | ||||||||||
| 2.77%, 09/01/53 |
23 | 15,518 | ||||||||||
| 10 | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Multi-Sector Opportunities Trust (MSO) (Percentages shown are based on Net Assets) |
| Security | Par (000) |
Value | ||||||||||
| Biotechnology (continued) | ||||||||||||
| Cidron Aida Finco SARL, 6.25%, 04/01/28(g) |
GBP | 200 | $ | 199,028 | ||||||||
| Gilead Sciences, Inc., 2.80%, 10/01/50 |
USD | 403 | 281,229 | |||||||||
|
|
|
|||||||||||
| 772,320 | ||||||||||||
| Building Materials — 0.1% | ||||||||||||
| Cemex SAB de CV, 3.13%, 03/19/26(g) |
EUR | 300 | 291,356 | |||||||||
| Standard Industries, Inc., 4.75%, 01/15/28(b) |
USD | 46 | 39,330 | |||||||||
|
|
|
|||||||||||
| 330,686 | ||||||||||||
| Building Products — 0.3% | ||||||||||||
| Home Depot, Inc. |
||||||||||||
| 2.38%, 03/15/51 |
23 | 15,554 | ||||||||||
| 2.75%, 09/15/51 |
335 | 243,444 | ||||||||||
| 3.63%, 04/15/52 |
107 | 91,781 | ||||||||||
| Lowe’s Cos., Inc. |
||||||||||||
| 3.00%, 10/15/50 |
413 | 287,769 | ||||||||||
| 4.25%, 04/01/52 |
100 | 86,595 | ||||||||||
| SRS Distribution, Inc., 4.63%, 07/01/28(b) |
29 | 25,375 | ||||||||||
|
|
|
|||||||||||
| 750,518 | ||||||||||||
| Capital Markets — 0.3% | ||||||||||||
| Intercorp Peru Ltd., 3.88%, 08/15/29(b) |
200 | 166,125 | ||||||||||
| Kane Bidco Ltd., 6.50%, 02/15/27(g) |
GBP | 100 | 106,295 | |||||||||
| Sherwood Financing PLC(g) |
||||||||||||
| 4.50%, 11/15/26 |
EUR | 100 | 87,661 | |||||||||
| 6.00%, 11/15/26 |
GBP | 156 | 152,022 | |||||||||
| (3 mo. EURIBOR + 4.63%), 4.63%, 11/15/27(a) |
EUR | 100 | 94,839 | |||||||||
|
|
|
|||||||||||
| 606,942 | ||||||||||||
| Chemicals — 1.7% | ||||||||||||
| Alpek SAB de CV, 3.25%, 02/25/31(b) |
USD | 324 | 259,564 | |||||||||
| Axalta Coating Systems Dutch Holding B BV, 3.75%, 01/15/25(g) |
EUR | 100 | 94,577 | |||||||||
| Braskem Idesa SAPI |
USD | 300 | 232,500 | |||||||||
| 6.99%, 02/20/32(g) |
229 | 177,475 | ||||||||||
| Braskem Netherlands Finance BV, (5 year CMT + 8.22%), 8.50%, 01/23/81(a)(b) |
297 | 297,334 | ||||||||||
| Chemours Co., 4.00%, 05/15/26 |
EUR | 100 | 92,744 | |||||||||
| Equate Petrochemical BV, 2.63%, 04/28/28(b) |
USD | 200 | 176,500 | |||||||||
| International Flavors & Fragrances, Inc., 3.47%, 12/01/50(b) |
165 | 120,213 | ||||||||||
| Lune Holdings SARL, 5.63%, 11/15/28(g) |
EUR | 100 | 84,142 | |||||||||
| LYB International Finance III LLC, 4.20%, 05/01/50 |
USD | 195 | 158,442 | |||||||||
| NOVA Chemicals Corp., 4.88%, 06/01/24(b) |
1,407 | 1,337,350 | ||||||||||
| OCI NV, 3.63%, 10/15/25(g) |
EUR | 90 | 92,094 | |||||||||
| Sasol Financing USA LLC |
||||||||||||
| 4.38%, 09/18/26 |
USD | 200 | 174,296 | |||||||||
| 6.50%, 09/27/28 |
200 | 181,662 | ||||||||||
| 5.50%, 03/18/31 |
315 | 240,817 | ||||||||||
| SCIL IV LLC/SCIL USA Holdings LLC, 4.38%, 11/01/26(g) |
EUR | 100 | 84,811 | |||||||||
| Sherwin-Williams Co., 2.90%, 03/15/52 |
USD | 195 | 132,811 | |||||||||
| UPL Corp. Ltd., (5 year CMT +
3.87%), |
200 | 153,038 | ||||||||||
|
|
|
|||||||||||
| 4,090,370 | ||||||||||||
| Commercial Services & Supplies — 1.0% | ||||||||||||
| AMN Healthcare, Inc., 4.63%, 10/01/27(b) |
210 | 194,254 | ||||||||||
| Avis Budget Finance PLC, 4.13%, 11/15/24(g) |
EUR | 100 | 99,707 | |||||||||
| BCP V Modular Services Finance II PLC, 4.75%, 11/30/28(g) |
100 | 83,155 | ||||||||||
| Loxam SAS, 3.75%, 07/15/26(g) |
200 | 179,472 | ||||||||||
| Security | Par (000) |
Value | ||||||||||
| Commercial Services & Supplies (continued) | ||||||||||||
| United Rentals North America, Inc., 4.88%, 01/15/28 |
USD | 1,396 | $ | 1,319,890 | ||||||||
| Verisure Holding AB(g) |
||||||||||||
| 3.50%, 05/15/23 |
EUR | 271 | 275,475 | |||||||||
| 3.88%, 07/15/26 |
100 | 91,622 | ||||||||||
| Verisure Midholding AB, 5.25%, 02/15/29(g) |
150 | 119,479 | ||||||||||
|
|
|
|||||||||||
| 2,363,054 | ||||||||||||
| Construction & Engineering — 0.0% | ||||||||||||
| Ferrovial Netherlands BV, (5 year EUR Swap + 2.13%), 2.12%(a)(g)(i) |
100 | 86,589 | ||||||||||
|
|
|
|||||||||||
| Construction Materials — 0.3% | ||||||||||||
| KAR Auction Services, Inc., 5.13%, 06/01/25(b) |
USD | 816 | 775,943 | |||||||||
|
|
|
|||||||||||
| Consumer Discretionary(g) — 0.2% | ||||||||||||
| Carnival Corp., 10.13%, 02/01/26 |
EUR | 110 | 113,862 | |||||||||
| Q-Park Holding I BV |
||||||||||||
| 1.50%, 03/01/25 |
100 | 90,802 | ||||||||||
| (3 mo. EURIBOR + 2.00%), 2.00%, 03/01/26(a) |
100 | 90,782 | ||||||||||
| Techem Verwaltungsgesellschaft 674 mbH, 6.00%, 07/30/26 |
88 | 77,789 | ||||||||||
|
|
|
|||||||||||
| 373,235 | ||||||||||||
| Consumer Finance — 0.2% | ||||||||||||
| Encore Capital Group, Inc., 4.88%, 10/15/25(g) |
200 | 201,730 | ||||||||||
| Moody’s Corp. |
||||||||||||
| 2.55%, 08/18/60 |
USD | 6 | 3,739 | |||||||||
| 3.10%, 11/29/61 |
17 | 11,657 | ||||||||||
| Muthoot Finance Ltd., 6.13%, 10/31/22(b) |
200 | 198,900 | ||||||||||
| Visa, Inc., 2.00%, 08/15/50 |
23 | 15,254 | ||||||||||
|
|
|
|||||||||||
| 431,280 | ||||||||||||
| Containers & Packaging — 0.7% | ||||||||||||
| Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC, 3.25%, 09/01/28(b) |
493 | 420,809 | ||||||||||
| Klabin Austria GmbH, 3.20%, 01/12/31(b) |
305 | 232,181 | ||||||||||
| Suzano Austria GmbH |
||||||||||||
| 3.13%, 01/15/32 |
290 | 217,863 | ||||||||||
| 7.00%, 03/16/47(b) |
773 | 736,186 | ||||||||||
|
|
|
|||||||||||
| 1,607,039 | ||||||||||||
| Diversified Consumer Services — 0.1% | ||||||||||||
| Rekeep SpA, 7.25%, 02/01/26(g) |
EUR | 200 | 180,586 | |||||||||
|
|
|
|||||||||||
| Diversified Financial Services — 2.1% | ||||||||||||
| ASG Finance Designated Activity Co., 7.88%, 12/03/24(b) |
USD | 428 | 401,250 | |||||||||
| Bank of America Corp.(a) |
||||||||||||
| (3 mo. LIBOR US + 3.15%), 4.08%, 03/20/51 |
325 | 280,104 | ||||||||||
| (SOFR + 1.56%), 2.97%, 07/21/52 |
23 | 16,329 | ||||||||||
| Garfunkelux Holdco 3 SA(g) |
||||||||||||
| 6.75%, 11/01/25 |
EUR | 300 | 278,924 | |||||||||
| 7.75%, 11/01/25 |
GBP | 100 | 108,948 | |||||||||
| Goldman Sachs Group, Inc., 4.80%, 07/08/44 |
USD | 195 | 184,243 | |||||||||
| Intercontinental Exchange, Inc., 3.00%, 09/15/60 |
23 | 15,497 | ||||||||||
| Intrum AB, 4.88%, 08/15/25(g) |
EUR | 100 | 94,773 | |||||||||
| JPMorgan Chase & Co.(a) |
||||||||||||
| (SOFR + 1.51%), 2.53%, 11/19/41 |
USD | 23 | 16,455 | |||||||||
| (SOFR + 1.58%), 3.33%, 04/22/52 |
380 | 288,872 | ||||||||||
| Lloyds Banking Group PLC, (5 year USD Swap + 4.76%), 7.50%(a)(i) |
500 | 485,000 | ||||||||||
| Morgan Stanley, (SOFR + 1.43%), 2.80%, 01/25/52(a) |
23 | 15,968 | ||||||||||
| Oceana Australian Trust, 10.00%, 08/31/23(c) |
AUD | 2,424 | 1,694,081 | |||||||||
| S C H E D U L E O F I N V E S T M E N T S |
11 |
| Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Multi-Sector Opportunities Trust (MSO) (Percentages shown are based on Net Assets) |
| Security | Par (000) |
Value | ||||||||||
| Diversified Financial Services (continued) | ||||||||||||
| Operadora de Servicios Mega SA de CV Sofom ER, 8.25%, 02/11/25(b) |
USD | 661 | $ | 428,948 | ||||||||
| ProGroup AG, 3.00%, 03/31/26(g) |
EUR | 100 | 92,014 | |||||||||
| Shriram Transport Finance Co. Ltd., 5.95%, 10/24/22(g) |
USD | 200 | 197,440 | |||||||||
| Sun Country Airlines Holdings, Inc., 7.00%, 12/15/23(c) |
472 | 459,442 | ||||||||||
|
|
|
|||||||||||
| 5,058,288 | ||||||||||||
| Diversified Telecommunication Services — 1.4% | ||||||||||||
| Level 3 Financing, Inc.(b) |
||||||||||||
| 4.25%, 07/01/28 |
963 | 771,604 | ||||||||||
| 3.63%, 01/15/29 |
865 | 666,960 | ||||||||||
| Oi SA, (10.00% Cash or 8.00% Cash + 4.00% PIK), 10.00%, 07/27/25(h) |
375 | 172,500 | ||||||||||
| SoftBank Group Corp.(g) |
||||||||||||
| 4.75%, 07/30/25 |
EUR | 300 | 278,741 | |||||||||
| 3.13%, 09/19/25 |
200 | 175,561 | ||||||||||
| Telecom Italia Capital SA, 6.38%, 11/15/33 |
USD | 1,239 | 956,756 | |||||||||
| Verizon Communications, Inc. |
||||||||||||
| 2.88%, 11/20/50 |
195 | 138,374 | ||||||||||
| 3.55%, 03/22/51 |
198 | 158,731 | ||||||||||
| 2.99%, 10/30/56 |
23 | 15,968 | ||||||||||
|
|
|
|||||||||||
| 3,335,195 | ||||||||||||
| Electric Utilities — 1.2% | ||||||||||||
| Comision Federal de Electricidad, 4.88%, 01/15/24(g) |
400 | 398,000 | ||||||||||
| Empresas Publicas de Medellin ESP, 4.25%, 07/18/29(b) |
305 | 238,529 | ||||||||||
| NPC Ukrenergo, 6.88%, 11/09/26(b) |
235 | 56,400 | ||||||||||
| Oryx Funding Ltd., 5.80%, 02/03/31(b) |
200 | 188,850 | ||||||||||
| Talen Energy Supply LLC(b)(e)(j) |
||||||||||||
| 7.25%, 05/15/27 |
1,243 | 1,223,920 | ||||||||||
| 6.63%, 01/15/28 |
675 | 653,583 | ||||||||||
|
|
|
|||||||||||
| 2,759,282 | ||||||||||||
| Electrical Equipment(g) — 0.0% | ||||||||||||
| Pearl Holding II Ltd., (6.00% PIK), 6.00%(h)(i) |
95 | 3,884 | ||||||||||
| Pearl Holding III Ltd., 9.00%, 10/22/25 |
76 | 27,170 | ||||||||||
|
|
|
|||||||||||
| 31,054 | ||||||||||||
| Energy Equipment & Services — 0.6% | ||||||||||||
| Petroleos Mexicanos |
||||||||||||
| 8.75%, 06/02/29(b) |
406 | 363,192 | ||||||||||
| 6.70%, 02/16/32 |
381 | 288,607 | ||||||||||
| Transocean Phoenix 2 Ltd., 7.75%, 10/15/24(b) |
827 | 787,813 | ||||||||||
| Vallourec SA, 8.50%, 06/30/26(g) |
EUR | 42 | 40,647 | |||||||||
|
|
|
|||||||||||
| 1,480,259 | ||||||||||||
| Environmental, Maintenance & Security Service — 0.1% | ||||||||||||
| Republic Services, Inc., 3.05%, 03/01/50 |
USD | 345 | 256,177 | |||||||||
|
|
|
|||||||||||
| Equity Real Estate Investment Trusts (REITs) — 0.8% | ||||||||||||
| American Tower Corp., 3.10%, 06/15/50 |
218 | 150,701 | ||||||||||
| Crown Castle International Corp., 2.90%, 04/01/41 |
195 | 140,548 | ||||||||||
| Equinix, Inc. |
||||||||||||
| 3.00%, 07/15/50 |
11 | 7,531 | ||||||||||
| 2.95%, 09/15/51 |
195 | 131,573 | ||||||||||
| LMIRT Capital Pte. Ltd., 7.25%, 06/19/24(g) |
200 | 174,000 | ||||||||||
| Mid-America Apartments LP, 2.88%, 09/15/51 |
28 | 19,418 | ||||||||||
| Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance Co.Issuer, 4.88%, 05/15/29(b) |
87 | 74,704 | ||||||||||
| Service Properties Trust |
||||||||||||
| 4.50%, 06/15/23 |
865 | 804,126 | ||||||||||
| 7.50%, 09/15/25 |
69 | 63,221 | ||||||||||
| Trust Fibra Uno, 5.25%, 01/30/26(b) |
230 | 216,387 | ||||||||||
| Security | Par (000) |
Value | ||||||||||
| Equity Real Estate Investment Trusts (REITs) (continued) | ||||||||||||
| XHR LP(b) |
||||||||||||
| 6.38%, 08/15/25 |
USD | 148 | $ | 142,725 | ||||||||
| 4.88%, 06/01/29 |
27 | 23,162 | ||||||||||
|
|
|
|||||||||||
| 1,948,096 | ||||||||||||
| Food & Staples Retailing — 0.5% | ||||||||||||
| Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC, 4.63%, 01/15/27(b) |
360 | 321,595 | ||||||||||
| Bellis Acquisition Co. PLC, 3.25%, 02/16/26(g) |
GBP | 200 | 188,681 | |||||||||
| General Mills, Inc., 3.00%, 02/01/51 |
USD | 385 | 279,739 | |||||||||
| Market Bidco Finco PLC, 5.50%, 11/04/27(g) |
GBP | 100 | 92,515 | |||||||||
| Ocado Group PLC, 3.88%, 10/08/26(g) |
100 | 97,624 | ||||||||||
| Picard Groupe SAS, 3.88%, 07/01/26(g) |
EUR | 100 | 85,388 | |||||||||
| Walmart, Inc., 2.65%, 09/22/51 |
USD | 23 | 17,291 | |||||||||
|
|
|
|||||||||||
| 1,082,833 | ||||||||||||
| Food Products — 0.2% | ||||||||||||
| Frigorifico Concepcion
SA, |
200 | 157,850 | ||||||||||
| Louis Dreyfus Co. Finance BV, 1.63%, 04/28/28(g) |
EUR | 200 | 178,684 | |||||||||
| Tereos Finance Groupe I
SA, |
238 | 244,794 | ||||||||||
|
|
|
|||||||||||
| 581,328 | ||||||||||||
| Health Care Equipment & Supplies — 0.1% | ||||||||||||
| Becton Dickinson & Co., 3.79%, 05/20/50 |
USD | 195 | 160,897 | |||||||||
| Danaher Corp., 2.80%, 12/10/51. |
23 | 16,569 | ||||||||||
|
|
|
|||||||||||
| 177,466 | ||||||||||||
| Health Care Providers & Services — 2.6% | ||||||||||||
| Acadia Healthcare Co., Inc., 5.50%, 07/01/28(b) |
55 | 51,387 | ||||||||||
| Elevance Health, Inc., 3.13%, 05/15/50 |
195 | 147,199 | ||||||||||
| HCA, Inc. |
||||||||||||
| 3.50%, 09/01/30 |
696 | 592,094 | ||||||||||
| 5.25%, 06/15/49 |
195 | 167,944 | ||||||||||
| 3.50%, 07/15/51 |
23 | 15,708 | ||||||||||
| Medline Borrower LP, 3.88%, 04/01/29(b) |
1,041 | 886,630 | ||||||||||
| Phoenix PIB Dutch Finance BV, 2.38%, 08/05/25(g) |
EUR | 100 | 95,363 | |||||||||
| Select Medical Corp., 6.25%, 08/15/26(b) |
USD | 780 | 728,099 | |||||||||
| Tenet Healthcare Corp.(b) |
||||||||||||
| 4.63%, 09/01/24 |
901 | 864,960 | ||||||||||
| 4.88%, 01/01/26 |
1,488 | 1,368,960 | ||||||||||
| 4.63%, 06/15/28 |
49 | 42,668 | ||||||||||
| 4.25%, 06/01/29 |
1,124 | 946,644 | ||||||||||
| 4.38%, 01/15/30 |
111 | 93,909 | ||||||||||
| UnitedHealth Group, Inc., 2.90%, 05/15/50 |
23 | 17,225 | ||||||||||
| Universal Health Services, Inc., 2.65%, 10/15/30(b) |
137 | 109,565 | ||||||||||
|
|
|
|||||||||||
| 6,128,355 | ||||||||||||
| Health Care Technology — 0.1% | ||||||||||||
| CAB SELAS, 3.38%, 02/01/28(g) |
EUR | 149 | 125,075 | |||||||||
| Chrome Bidco SASU, 3.50%, 05/31/28(g) |
100 | 85,755 | ||||||||||
| Roche Holdings, Inc., 2.61%, 12/13/51(b) |
USD | 23 | 16,700 | |||||||||
|
|
|
|||||||||||
| 227,530 | ||||||||||||
| Hotels, Restaurants & Leisure — 4.3% | ||||||||||||
| Affinity Gaming, 6.88%, 12/15/27(b) |
360 | 302,414 | ||||||||||
| Boyd Gaming Corp., 4.75%, 12/01/27 |
797 | 721,285 | ||||||||||
| Caesars Entertainment, Inc.(b) |
||||||||||||
| 6.25%, 07/01/25 |
486 | 468,373 | ||||||||||
| 8.13%, 07/01/27 |
314 | 303,402 | ||||||||||
| Caesars Resort Collection LLC/CRC Finco, Inc., 5.75%, 07/01/25(b) |
144 | 137,709 | ||||||||||
| Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Op, 5.50%, 05/01/25(b) |
220 | 213,400 | ||||||||||
| 12 | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Multi-Sector Opportunities Trust (MSO) (Percentages shown are based on Net Assets) |
| Security | Par (000) |
Value | ||||||||||
| Hotels, Restaurants & Leisure (continued) | ||||||||||||
| Cirsa Finance International SARL, 4.75%, 05/22/25(g) |
EUR | 100 | $ | 92,356 | ||||||||
| CPUK Finance Ltd., 6.50%, 08/28/26(g) |
GBP | 100 | 114,461 | |||||||||
| Dave & Buster’s, Inc., 7.63%, 11/01/25(b) |
USD | 35 | 34,562 | |||||||||
| Fortune Star BVI Ltd., 6.85%, 07/02/24(g) |
200 | 142,000 | ||||||||||
| Full House Resorts, Inc., 8.25%, 02/15/28(b) |
29 | 23,179 | ||||||||||
| Golden Entertainment, Inc., 7.63%, 04/15/26(b) |
274 | 271,260 | ||||||||||
| Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Esc, 5.00%, 06/01/29(b) |
361 | 292,410 | ||||||||||
| International Game Technology PLC, 6.50%, 02/15/25(b) |
1,150 | 1,144,250 | ||||||||||
| IRB Holding Corp., 7.00%, 06/15/25(b) |
151 | 147,806 | ||||||||||
| Marriott International, Inc. |
||||||||||||
| Series FF, 4.63%, 06/15/30 |
106 | 101,621 | ||||||||||
| Series GG, 3.50%, 10/15/32 |
508 | 438,188 | ||||||||||
| Marriott Ownership Resorts, Inc.(b) |
||||||||||||
| 6.13%, 09/15/25 |
278 | 275,110 | ||||||||||
| 4.50%, 06/15/29 |
370 | 307,721 | ||||||||||
| Melco Resorts Finance Ltd., 5.25%, 04/26/26(g) |
300 | 210,000 | ||||||||||
| MGM China Holdings Ltd., 5.88%, 05/15/26(g) |
300 | 227,775 | ||||||||||
| MGM Resorts International |
||||||||||||
| 4.63%, 09/01/26 |
355 | 315,120 | ||||||||||
| 5.50%, 04/15/27 |
348 | 312,335 | ||||||||||
| Midwest Gaming Borrower LLC/Midwest Gaming Finance Corp., 4.88%, 05/01/29(b) |
218 | 177,670 | ||||||||||
| Peninsula Pacific Entertainment LLC/Peninsula Pacific Entertainment Finance, Inc., 8.50%, 11/15/27(b) |
746 | 783,002 | ||||||||||
| Scientific Games International, Inc., 7.00%, 05/15/28(b) |
464 | 435,431 | ||||||||||
| SeaWorld Parks & Entertainment, Inc., 8.75%, 05/01/25(b) |
669 | 692,415 | ||||||||||
| Stonegate Pub Co. Financing PLC(g) |
||||||||||||
| 8.00%, 07/13/25 |
GBP | 100 | 111,383 | |||||||||
| 8.25%, 07/31/25 |
200 | 222,339 | ||||||||||
| Studio City Finance Ltd., 5.00%, 01/15/29(b) |
USD | 200 | 99,725 | |||||||||
| Travel & Leisure Co., 6.63%, 07/31/26(b) |
189 | 179,197 | ||||||||||
| Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.50%, 03/01/25(b) |
349 | 319,335 | ||||||||||
| Wynn Macau Ltd., 5.50%, 01/15/26(g) |
400 | 276,500 | ||||||||||
| Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., 5.13%, 10/01/29(b) |
482 | 379,623 | ||||||||||
|
|
|
|||||||||||
| 10,273,357 | ||||||||||||
| Household Durables — 3.8% | ||||||||||||
| Ashton Woods USA LLC/Ashton Woods Finance Co.(b) |
||||||||||||
| 6.63%, 01/15/28 |
495 | 420,750 | ||||||||||
| 4.63%, 08/01/29 |
66 | 49,500 | ||||||||||
| Brookfield Residential Properties, Inc./Brookfield Residential U.S. LLC(b) |
||||||||||||
| 6.25%, 09/15/27 |
541 | 448,459 | ||||||||||
| 5.00%, 06/15/29 |
27 | 20,414 | ||||||||||
| Century Communities, Inc., 6.75%, 06/01/27 |
110 | 105,513 | ||||||||||
| Controladora Mabe SA de CV, 5.60%, 10/23/28(b) |
773 | 784,982 | ||||||||||
| Forestar Group, Inc.(b) |
||||||||||||
| 3.85%, 05/15/26 |
560 | 460,196 | ||||||||||
| 5.00%, 03/01/28 |
669 | 546,391 | ||||||||||
| M/I Homes, Inc., 4.95%, 02/01/28 |
510 | 433,523 | ||||||||||
| Nobel Bidco BV, 3.13%, 06/15/28(g) |
EUR | 100 | 70,213 | |||||||||
| PulteGroup, Inc., 7.88%, 06/15/32 |
USD | 1,138 | 1,281,717 | |||||||||
| Taylor Morrison Communities, Inc.(b) |
||||||||||||
| 5.88%, 06/15/27 |
647 | 596,346 | ||||||||||
| 5.75%, 01/15/28 |
2,269 | 2,035,886 | ||||||||||
| Security | Par (000) |
Value | ||||||||||
| Household Durables (continued) | ||||||||||||
| Tri Pointe Homes, Inc. |
||||||||||||
| 5.25%, 06/01/27 |
USD | 505 | $ | 441,442 | ||||||||
| 5.70%, 06/15/28 |
38 | 32,793 | ||||||||||
| William Lyon Homes, Inc., 6.63%, 07/15/27(b) |
1,298 | 1,243,354 | ||||||||||
|
|
|
|||||||||||
| 8,971,479 | ||||||||||||
| Independent Power and Renewable Electricity Producers — 1.7% | ||||||||||||
| Azure Power Energy Ltd., 3.58%, 08/19/26(b) |
193 | 158,529 | ||||||||||
| Calpine Corp.(b) |
||||||||||||
| 4.50%, 02/15/28 |
1,523 | 1,382,697 | ||||||||||
| 5.13%, 03/15/28 |
722 | 635,576 | ||||||||||
| Continuum Energy Levanter Pte. Ltd., 4.50%, 02/09/27(b) |
222 | 173,087 | ||||||||||
| Greenko Solar Mauritius Ltd., 5.95%, 07/29/26(g) |
300 | 264,750 | ||||||||||
| India Cleantech Energy, 4.70%, 08/10/26(b) |
244 | 193,483 | ||||||||||
| India Green Energy Holdings, 5.38%, 04/29/24(b) |
300 | 280,500 | ||||||||||
| Investment Energy Resources Ltd., 6.25%, 04/26/29(b) |
220 | 186,560 | ||||||||||
| SCC Power PLC(b)(h) |
||||||||||||
| (4% PIK), 4.00%, 05/17/32 |
728 | 86,473 | ||||||||||
| (8.00% Cash or 4.00% Cash + 4.00% PIK), 8.00%, 12/31/28 |
1,344 | 581,022 | ||||||||||
|
|
|
|||||||||||
| 3,942,677 | ||||||||||||
| Insurance — 0.5% | ||||||||||||
| American International Group, Inc., 4.38%, 06/30/50 |
250 | 221,686 | ||||||||||
| Galaxy Bidco Ltd., 6.50%, 07/31/26(g) |
GBP | 220 | 245,043 | |||||||||
| Prudential PLC, (5 year CMT + 1.52%), 2.95%, 11/03/33(a)(g) |
USD | 750 | 629,437 | |||||||||
|
|
|
|||||||||||
| 1,096,166 | ||||||||||||
| Interactive Media & Services — 0.2% | ||||||||||||
| Adevinta ASA, 3.00%, 11/15/27(g) |
EUR | 331 | 289,638 | |||||||||
| Alphabet, Inc., 2.25%, 08/15/60 |
USD | 12 | 7,797 | |||||||||
| United Group BV, 4.88%, 07/01/24(g) |
EUR | 130 | 123,701 | |||||||||
|
|
|
|||||||||||
| 421,136 | ||||||||||||
| Internet & Direct Marketing Retail — 0.2% | ||||||||||||
| Amazon.com, Inc. |
||||||||||||
| 3.10%, 05/12/51 |
USD | 355 | 279,550 | |||||||||
| 2.70%, 06/03/60 |
23 | 15,579 | ||||||||||
| Very Group Funding PLC, 6.50%, 08/01/26(g) |
GBP | 100 | 92,310 | |||||||||
|
|
|
|||||||||||
| 387,439 | ||||||||||||
| IT Services — 0.4% | ||||||||||||
| CA Magnum Holdings, 5.38%, 10/31/26(g) |
USD | 200 | 173,000 | |||||||||
| Centurion Bidco SpA, 5.88%, 09/30/26(g) |
EUR | 200 | 183,528 | |||||||||
| Fidelity National Information Services, Inc., 4.50%, 08/15/46 |
USD | 165 | 145,430 | |||||||||
| International Business Machines Corp., 2.95%, 05/15/50 |
218 | 157,840 | ||||||||||
| La Financiere Atalian
SASU, |
GBP | 200 | 184,387 | |||||||||
|
|
|
|||||||||||
| 844,185 | ||||||||||||
| Machinery — 0.2% | ||||||||||||
| TK Elevator Midco GmbH(g) |
||||||||||||
| 4.38%, 07/15/27 |
EUR | 115 | 103,822 | |||||||||
| (3 mo. EURIBOR + 4.75%), 4.75%, 07/15/27(a) |
173 | 170,309 | ||||||||||
| TK Elevator U.S. Newco, Inc., 5.25%, 07/15/27(b) |
USD | 274 | 244,289 | |||||||||
|
|
|
|||||||||||
| 518,420 | ||||||||||||
| Media — 1.8% | ||||||||||||
| Altice Financing SA(g) |
||||||||||||
| 2.25%, 01/15/25 |
EUR | 180 | 165,071 | |||||||||
| 4.25%, 08/15/29 |
100 | 78,858 | ||||||||||
| S C H E D U L E O F I N V E S T M E N T S |
13 |
| Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Multi-Sector Opportunities Trust (MSO) (Percentages shown are based on Net Assets) |
| Security | Par (000) |
Value | ||||||||||
| Media (continued) | ||||||||||||
| Arqiva Broadcast Finance PLC, 6.75%, 09/30/23(g) |
GBP | 133 | $ | 154,197 | ||||||||
| Charter Communications Operating LLC/Charter Communications Operating Capital |
||||||||||||
| 3.90%, 06/01/52 |
USD | 200 | 138,843 | |||||||||
| 3.85%, 04/01/61 |
23 | 15,126 | ||||||||||
| Clear Channel Outdoor Holdings, Inc., |
738 | 623,116 | ||||||||||
| Comcast Corp. |
||||||||||||
| 2.89%, 11/01/51 |
235 | 167,877 | ||||||||||
| 2.45%, 08/15/52 |
23 | 15,265 | ||||||||||
| CSC Holdings LLC, 5.38%, 02/01/28(b) |
360 | 311,400 | ||||||||||
| Liquid Telecommunications Financing PLC, 5.50%, 09/04/26(b) |
200 | 175,000 | ||||||||||
| Lorca Telecom Bondco
SA, |
EUR | 150 | 131,210 | |||||||||
| Network i2i Ltd., (5 year CMT +
4.27%), |
USD | 200 | 185,100 | |||||||||
| Nexstar Media, Inc., 5.63%, 07/15/27(b) |
733 | 668,862 | ||||||||||
| Sable International Finance Ltd., 5.75%, 09/07/27(g) |
260 | 238,316 | ||||||||||
| SES SA, (5 year EUR Swap +
5.40%), |
EUR | 100 | 101,222 | |||||||||
| Sirius XM Radio, Inc.(b) |
||||||||||||
| 5.00%, 08/01/27 |
USD | 70 | 64,926 | |||||||||
| 5.50%, 07/01/29 |
66 | 60,143 | ||||||||||
| Summer BC Holdco B SARL, 5.75%, 10/31/26(g) |
EUR | 331 | 302,176 | |||||||||
| TEGNA, Inc., 4.63%, 03/15/28 |
USD | 301 | 281,435 | |||||||||
| Tele Columbus AG, 3.88%, 05/02/25(g) |
EUR | 100 | 87,787 | |||||||||
| VTR Comunicaciones SpA, 4.38%, 04/15/29(b) |
USD | 290 | 196,475 | |||||||||
| Walt Disney Co., 2.75%, 09/01/49 |
23 | 16,417 | ||||||||||
|
|
|
|||||||||||
| 4,178,822 | ||||||||||||
| Metals & Mining — 1.7% | ||||||||||||
| AngloGold Ashanti Holdings PLC, 3.75%, 10/01/30 |
200 | 167,250 | ||||||||||
| Commercial Metals Co. |
||||||||||||
| 4.13%, 01/15/30 |
1,356 | 1,141,756 | ||||||||||
| 3.88%, 02/15/31 |
381 | 304,731 | ||||||||||
| JSW Steel Ltd., 5.38%, 04/04/25(g) |
200 | 183,750 | ||||||||||
| Metinvest BV(g) |
||||||||||||
| 8.50%, 04/23/26 |
296 | 152,692 | ||||||||||
| 7.65%, 10/01/27 |
400 | 207,450 | ||||||||||
| Mongolian Mining Corp./Energy Resources LLC, 9.25%, 04/15/24(g) |
200 | 134,600 | ||||||||||
| Nexa Resources SA, 5.38%, 05/04/27(b) |
925 | 854,642 | ||||||||||
| Periama Holdings LLC, 5.95%, 04/19/26(g) |
200 | 178,000 | ||||||||||
| thyssenkrupp AG, 1.88%, 03/06/23(g) |
EUR | 127 | 129,670 | |||||||||
| Vedanta Resources Finance II PLC |
||||||||||||
| 13.88%, 01/21/24(g) |
USD | 470 | 418,300 | |||||||||
| 8.95%, 03/11/25(b) |
320 | 252,800 | ||||||||||
|
|
|
|||||||||||
| 4,125,641 | ||||||||||||
| Oil, Gas & Consumable Fuels — 4.8% | ||||||||||||
| BP Capital Markets PLC, (5 year EUR Swap + 4.12%), 3.63%(a)(g)(i) |
EUR | 300 | 261,856 | |||||||||
| Buckeye Partners LP, 4.13%, 03/01/25(b) |
USD | 195 | 180,537 | |||||||||
| California Resources Corp., 7.13%, 02/01/26(b) |
336 | 328,551 | ||||||||||
| Centennial Resource Production LLC(b) |
||||||||||||
| 5.38%, 01/15/26 |
1,841 | 1,660,691 | ||||||||||
| 6.88%, 04/01/27 |
127 | 120,604 | ||||||||||
| Cheniere Energy Partners LP |
||||||||||||
| 4.50%, 10/01/29 |
335 | 299,054 | ||||||||||
| 3.25%, 01/31/32(b) |
38 | 29,925 | ||||||||||
| Cheniere Energy, Inc., 4.63%, 10/15/28 |
75 | 67,543 | ||||||||||
| Chesapeake Energy Corp.(b) |
||||||||||||
| 5.50%, 02/01/26 |
110 | 104,751 | ||||||||||
| Security | Par (000) |
Value | ||||||||||
| Oil, Gas & Consumable Fuels (continued) | ||||||||||||
| Chesapeake Energy Corp.(b) (continued) 5.88%, 02/01/29 |
USD | 40 | $ | 37,720 | ||||||||
| Citgo Holding, Inc., 9.25%, 08/01/24(b) |
306 | 296,055 | ||||||||||
| CrownRock LP/CrownRock Finance, Inc., 5.63%, 10/15/25(b) |
54 | 50,760 | ||||||||||
| Ecopetrol SA, 4.63%, 11/02/31 |
299 | 225,745 | ||||||||||
| EG Global Finance PLC(g) |
||||||||||||
| 4.38%, 02/07/25 |
EUR | 144 | 134,305 | |||||||||
| 6.25%, 10/30/25 |
100 | 93,915 | ||||||||||
| Geopark Ltd., 5.50%, 01/17/27(b) |
USD | 205 | 170,483 | |||||||||
| Hammerhead Resources, Inc., Series AI, (12.00% PIK), 12.00%, 07/10/22(c)(h) |
853 | 853,362 | ||||||||||
| Hilong Holding Ltd., 9.75%, 11/18/24(g) |
200 | 108,663 | ||||||||||
| HTA Group Ltd., 7.00%, 12/18/25(b) |
415 | 346,084 | ||||||||||
| IHS Holding Ltd., 6.25%, 11/29/28(b) |
305 | 243,237 | ||||||||||
| Kinetik Holdings LP, 5.88%, 06/15/30 |
47 | 44,773 | ||||||||||
| Leviathan Bonds Ltd., 5.75%, 06/30/23(b)(g) |
124 | 122,030 | ||||||||||
| MC Brazil Downstream Trading SARL, 7.25%, 06/30/31(b) |
315 | 252,000 | ||||||||||
| Medco Oak Tree Pte. Ltd., 7.38%, 05/14/26(g) |
200 | 181,500 | ||||||||||
| Medco Platinum Road Pte. Ltd., 6.75%, 01/30/25(g) |
200 | 185,413 | ||||||||||
| Neptune Energy Bondco PLC, 6.63%, 05/15/25(b) |
200 | 192,000 | ||||||||||
| NGPL PipeCo LLC, 7.77%, 12/15/37(b) |
1,032 | 1,123,060 | ||||||||||
| Oil & Gas Holding Co., 7.63%, 11/07/24(g) |
263 | 270,528 | ||||||||||
| OQ SAOC, 5.13%, 05/06/28(b) |
286 | 269,340 | ||||||||||
| Petroleos Mexicanos |
||||||||||||
| 6.50%, 03/13/27 |
734 | 633,625 | ||||||||||
| 5.95%, 01/28/31 |
514 | 375,014 | ||||||||||
| 6.38%, 01/23/45 |
288 | 173,160 | ||||||||||
| Puma International Financing SA, 5.13%, 10/06/24(b) |
442 | 400,010 | ||||||||||
| Rubis Terminal Infra SAS, 5.63%, 05/15/25(g) |
EUR | 150 | 151,697 | |||||||||
| SM Energy Co., 6.75%, 09/15/26 |
USD | 341 | 321,687 | |||||||||
| Sunoco LP/Sunoco Finance Corp. |
||||||||||||
| 6.00%, 04/15/27 |
27 | 25,741 | ||||||||||
| 4.50%, 05/15/29 |
67 | 55,227 | ||||||||||
| 4.50%, 04/30/30(b) |
427 | 344,753 | ||||||||||
| Transocean Guardian Ltd., 5.88%, 01/15/24(b) |
147 | 135,625 | ||||||||||
| UGI International LLC, 2.50%, 12/01/29(g) |
EUR | 100 | 78,588 | |||||||||
| Vivo Energy Investments BV, 5.13%, 09/24/27(b) |
USD | 400 | 377,000 | |||||||||
|
|
|
|||||||||||
| 11,326,612 | ||||||||||||
| Personal Products — 0.2% | ||||||||||||
| Coty, Inc. |
||||||||||||
| 3.88%, 04/15/26(g) |
EUR | 100 | 92,419 | |||||||||
| 6.50%, 04/15/26(b) |
USD | 98 | 90,350 | |||||||||
| GSK Consumer Healthcare Capital U.S. LLC, 4.00%, 03/24/52(b) |
315 | 269,707 | ||||||||||
|
|
|
|||||||||||
| 452,476 | ||||||||||||
| Pharmaceuticals — 0.8% | ||||||||||||
| AbbVie, Inc., 4.88%, 11/14/48 |
300 | 287,484 | ||||||||||
| AstraZeneca PLC |
||||||||||||
| 2.13%, 08/06/50 |
23 | 15,357 | ||||||||||
| 3.00%, 05/28/51 |
320 | 253,910 | ||||||||||
| Bausch Health Cos., Inc., 4.88%, 06/01/28(b) |
46 | 35,997 | ||||||||||
| Bristol-Myers Squibb Co., 2.55%, 11/13/50 |
23 | 16,272 | ||||||||||
| Cheplapharm Arzneimittel GmbH(g) |
||||||||||||
| 3.50%, 02/11/27 |
EUR | 100 | 89,128 | |||||||||
| 4.38%, 01/15/28 |
331 | 294,723 | ||||||||||
| Cigna Corp., 3.40%, 03/15/51 |
USD | 195 | 149,992 | |||||||||
| CVS Health Corp., 5.05%, 03/25/48 |
195 | 186,663 | ||||||||||
| 14 | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Multi-Sector Opportunities Trust (MSO) (Percentages shown are based on Net Assets) |
| Security | Par (000) |
Value | ||||||||||
| Pharmaceuticals (continued) | ||||||||||||
| Eli Lilly & Co., 2.25%, 05/15/50 |
USD | 23 | $ | 16,256 | ||||||||
| Johnson & Johnson, 2.25%, 09/01/50 |
23 | 16,059 | ||||||||||
| Merck & Co., Inc. |
||||||||||||
| 2.45%, 06/24/50 |
23 | 16,152 | ||||||||||
| 2.75%, 12/10/51 |
103 | 76,063 | ||||||||||
| Nidda Healthcare Holding GmbH, 3.50%, 09/30/24(g) |
EUR | 172 | 159,250 | |||||||||
| Rossini SARL(g) |
||||||||||||
| 6.75%, 10/30/25 |
100 | 100,612 | ||||||||||
| (3 mo. EURIBOR + 3.88%), 3.88%, 10/30/25(a) |
100 | 97,394 | ||||||||||
| Teva Pharmaceutical Finance Netherlands II BV |
|
|||||||||||
| 3.75%, 05/09/27 |
100 | 88,604 | ||||||||||
| 4.38%, 05/09/30 |
100 | 83,299 | ||||||||||
|
|
|
|||||||||||
| 1,983,215 | ||||||||||||
| Producer Durables: Miscellaneous — 0.1% | ||||||||||||
| Salesforce, Inc., 2.90%, 07/15/51 |
USD | 363 | 274,503 | |||||||||
|
|
|
|||||||||||
| Real Estate Management & Development — 2.0% | ||||||||||||
| Adler Group SA(g) |
||||||||||||
| 3.25%, 08/05/25 |
EUR | 300 | 169,403 | |||||||||
| 2.75%, 11/13/26 |
100 | 52,502 | ||||||||||
| Agile Group Holdings Ltd., 5.75%, 01/02/25(g) |
USD | 300 | 102,000 | |||||||||
| Arabian Centres Sukuk II Ltd., 5.63%, 10/07/26(b) |
510 | 462,124 | ||||||||||
| China Aoyuan Group Ltd., |
400 | 36,700 | ||||||||||
| China Evergrande Group(e)(g)(j) |
||||||||||||
| 9.50%, 04/11/22 |
200 | 16,913 | ||||||||||
| 11.50%, 01/22/23 |
200 | 16,538 | ||||||||||
| CIFI Holdings Group Co. Ltd., 5.95%, 10/20/25(g) |
200 | 118,000 | ||||||||||
| DEMIRE Deutsche Mittelstand Real Estate AG, 1.88%, 10/15/24(g) |
EUR | 100 | 86,519 | |||||||||
| DIC Asset AG, 2.25%, 09/22/26(g) |
100 | 69,689 | ||||||||||
| Fantasia Holdings Group Co. Ltd.(e)(g)(j) |
||||||||||||
| 11.75%, 04/17/22 |
USD | 400 | 33,000 | |||||||||
| 9.25%, 07/28/23 |
200 | 16,500 | ||||||||||
| Five Point Operating Co. LP/Five Point Capital Corp., 7.88%, 11/15/25(b) |
750 | 629,062 | ||||||||||
| Heimstaden Bostad AB, (5 year EUR Swap + 3.15%), 2.63%(a)(g)(i) |
EUR | 100 | 53,169 | |||||||||
| Howard Hughes Corp., 5.38%, 08/01/28(b) |
USD | 981 | 821,587 | |||||||||
| JGC Ventures Pte. Ltd.(h) |
||||||||||||
| (3.00% PIK), 3.00%, 06/30/25(e)(g)(j) |
239 | 113,063 | ||||||||||
| (3.00% PIK), 3.00%, 06/30/25 |
4 | 1,630 | ||||||||||
| (3.00% PIK), 3.00%, 06/30/25 |
— | (d) | 119 | |||||||||
| Jingrui Holdings Ltd., 12.00%, 07/25/22(g) |
200 | 30,859 | ||||||||||
| Kaisa Group Holdings Ltd.(e)(g)(j) |
||||||||||||
| 11.95%, 10/22/22 |
200 | 27,162 | ||||||||||
| 11.95%, 11/12/23 |
200 | 26,500 | ||||||||||
| KWG Group Holdings Ltd., 7.40%, 03/05/24(g) |
200 | 41,000 | ||||||||||
| MAF Global Securities Ltd., (5 year CMT + |
205 | 197,351 | ||||||||||
| MAF Sukuk Ltd.(g) |
||||||||||||
| 4.64%, 05/14/29 |
250 | 250,125 | ||||||||||
| 3.93%, 02/28/30 |
243 | 232,414 | ||||||||||
| Modern Land China Co. Ltd.(c)(e)(g)(j) |
||||||||||||
| 11.50%, 11/13/22 |
240 | 38,400 | ||||||||||
| 9.80%, 04/11/23 |
200 | 32,000 | ||||||||||
| Powerlong Real Estate Holdings Ltd., 5.95%, 04/30/25(g) |
220 | 35,200 | ||||||||||
| Redsun Properties Group Ltd., 10.50%, 10/03/22(g) |
200 | 48,000 | ||||||||||
| Security | Par (000) |
Value | ||||||||||
| Real Estate Management & Development (continued) | ||||||||||||
| Ronshine China Holdings Ltd.(g) |
||||||||||||
| 7.35%, 12/15/23 |
USD | 200 | $ | 25,000 | ||||||||
| 7.10%, 01/25/25 |
200 | 20,000 | ||||||||||
| Shimao Group Holdings Ltd., 3.45%, 01/11/31(g) |
200 | 21,000 | ||||||||||
| Shui On Development Holding Ltd., 6.15%, 08/24/24(g) |
240 | 198,000 | ||||||||||
| Sinic Holdings Group Co. Ltd., 10.50%, 12/18/22(c)(e)(j) |
200 | 4,000 | ||||||||||
| Sunac China Holdings Ltd., |
300 | 42,000 | ||||||||||
| Theta Capital Pte. Ltd., 8.13%, 01/22/25(g) |
200 | 172,000 | ||||||||||
| Times China Holdings Ltd., 6.20%, 03/22/26(g) |
400 | 56,000 | ||||||||||
| Wanda Group Overseas Ltd., 7.50%, 07/24/22(g) |
200 | 194,000 | ||||||||||
| Yango Justice International Ltd.(e)(j) |
||||||||||||
| 10.25%, 09/15/22 |
250 | 16,531 | ||||||||||
| 7.88%, 09/04/24(g) |
200 | 12,000 | ||||||||||
| Yanlord Land HK Co. Ltd., 6.80%, 02/27/24(g) |
200 | 169,000 | ||||||||||
| Yuzhou Group Holdings Co. Ltd.(e)(g)(j) |
||||||||||||
| 7.70%, 02/20/25 |
200 | 13,000 | ||||||||||
| 7.38%, 01/13/26 |
400 | 26,000 | ||||||||||
|
|
|
|||||||||||
| 4,726,060 | ||||||||||||
| Road & Rail — 0.4% | ||||||||||||
| Canadian Pacific Railway Co., 3.10%, 12/02/51 |
340 | 250,435 | ||||||||||
| CMA CGM SA, 7.50%, 01/15/26(g) |
EUR | 236 | 252,713 | |||||||||
| CSX Corp., 2.50%, 05/15/51 |
USD | 23 | 15,474 | |||||||||
| Getlink SE, 3.50%, 10/30/25(g) |
EUR | 175 | 174,848 | |||||||||
| Norfolk Southern Corp., 2.90%, 08/25/51 |
USD | 340 | 243,465 | |||||||||
|
|
|
|||||||||||
| 936,935 | ||||||||||||
| Semiconductors & Semiconductor Equipment — 0.2% | ||||||||||||
| ams-OSRAM AG, Series AMS, 0.00%, 03/05/25(g)(k) |
EUR | 200 | 163,225 | |||||||||
| Analog Devices, Inc., 2.95%, 10/01/51 |
USD | 104 | 79,350 | |||||||||
| Broadcom, Inc., 3.75%, 02/15/51(b) |
390 | 288,938 | ||||||||||
| Intel Corp., 3.10%, 02/15/60 |
4 | 2,856 | ||||||||||
| NXP BV/NXP Funding LLC/NXP USA, Inc., 3.25%, 11/30/51 |
23 | 15,926 | ||||||||||
|
|
|
|||||||||||
| 550,295 | ||||||||||||
| Software — 0.5% | ||||||||||||
| Boxer Parent Co., Inc., 6.50%, 10/02/25(g) |
EUR | 100 | 98,130 | |||||||||
| Microsoft Corp. |
||||||||||||
| 2.92%, 03/17/52 |
USD | 310 | 244,532 | |||||||||
| 2.68%, 06/01/60 |
23 | 16,490 | ||||||||||
| Oracle Corp. |
||||||||||||
| 3.60%, 04/01/50 |
673 | 467,505 | ||||||||||
| 3.95%, 03/25/51 |
48 | 35,256 | ||||||||||
| Playtika Holding Corp., 4.25%, 03/15/29(b) |
436 | 359,700 | ||||||||||
|
|
|
|||||||||||
| 1,221,613 | ||||||||||||
| Specialty Retail — 0.1% | ||||||||||||
| Goldstory SASU, 5.38%, 03/01/26(g) |
EUR | 254 | 224,056 | |||||||||
|
|
|
|||||||||||
| Technology Hardware, Storage & Peripherals — 0.1% | ||||||||||||
| Apple, Inc. |
||||||||||||
| 2.40%, 08/20/50 |
USD | 23 | 16,141 | |||||||||
| 2.65%, 02/08/51 |
195 | 143,718 | ||||||||||
| Dell International LLC/EMC Corp. |
||||||||||||
| 8.35%, 07/15/46 |
49 | 61,021 | ||||||||||
| 3.45%, 12/15/51(b) |
23 | 15,562 | ||||||||||
|
|
|
|||||||||||
| 236,442 | ||||||||||||
| Thrifts & Mortgage Finance — 0.5% | ||||||||||||
| doValue SpA, 3.38%, 07/31/26(g) |
EUR | 259 | 233,845 | |||||||||
| Jerrold Finco PLC(g) |
GBP | 100 | 106,879 | |||||||||
| S C H E D U L E O F I N V E S T M E N T S |
15 |
| Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Multi-Sector Opportunities Trust (MSO) (Percentages shown are based on Net Assets) |
| Security | Par (000) |
Value | ||||||||||
| Thrifts & Mortgage Finance (continued) | ||||||||||||
| Jerrold Finco PLC(g) (continued) 5.25%, 01/15/27 |
GBP | 100 | $ | 107,336 | ||||||||
| Nationstar Mortgage Holdings, Inc., 6.00%, 01/15/27(b) |
USD | 24 | 20,819 | |||||||||
| Rocket Mortgage LLC/Rocket Mortgage |
||||||||||||
| 3.63%, 03/01/29 |
541 | 425,399 | ||||||||||
| 3.88%, 03/01/31 |
122 | 91,413 | ||||||||||
| United Wholesale Mortgage LLC, 5.75%, 06/15/27(b) |
374 | 299,858 | ||||||||||
|
|
|
|||||||||||
| 1,285,549 | ||||||||||||
| Transportation Infrastructure — 0.5% | ||||||||||||
| Aeropuerto Internacional de Tocumen SA, 5.13%, 08/11/61(b) |
310 | 243,989 | ||||||||||
| Aeropuertos Dominicanos Siglo XXI SA, 6.75%, 03/30/29(b) |
347 | 312,951 | ||||||||||
| Delhi International Airport Ltd., 6.13%, 10/31/26(g) |
200 | 180,100 | ||||||||||
| DP World Salaam, (5 year CMT + 5.75%), 6.00%(a)(g)(i) |
200 | 200,562 | ||||||||||
| FedEx Corp., 4.05%, 02/15/48 |
195 | 163,194 | ||||||||||
| Mexico City Airport Trust, 5.50%, 07/31/47(g) |
300 | 204,150 | ||||||||||
|
|
|
|||||||||||
| 1,304,946 | ||||||||||||
| Utilities — 1.3% | ||||||||||||
| Electricite de France SA, (12 year EUR Swap + 3.04%), 5.00%(a)(g)(i) |
EUR | 100 | 91,937 | |||||||||
| FEL Energy VI SARL, 5.75%, 12/01/40 |
USD | 283 | 205,355 | |||||||||
| Genneia SA, 8.75%, 09/02/27(b) |
197 | 184,782 | ||||||||||
| Inkia Energy Ltd., 5.88%, 11/09/27(b) |
278 | 252,772 | ||||||||||
| Mong Duong Finance Holdings BV, 5.13%, 05/07/29(g) |
325 | 261,483 | ||||||||||
| Orano SA, 2.75%, 03/08/28(g) |
EUR | 100 | 88,421 | |||||||||
| Star Energy Geothermal Darajat II/Star Energy Geothermal Salak, 4.85%, 10/14/38(b) |
USD | 280 | 237,265 | |||||||||
| Star Energy Geothermal Wayang Windu Ltd., 6.75%, 04/24/33(g) |
164 | 154,081 | ||||||||||
| Thames Water Kemble Finance PLC, 4.63%, 05/19/26(g) |
293 | 332,676 | ||||||||||
| Veolia Environnement SA, (5 year EUR Swap + 2.84%), 2.50%(a)(g)(i) |
EUR | 700 | 553,911 | |||||||||
| Vistra Operations Co. LLC, 5.00%, 07/31/27(b) |
USD | 792 | 720,015 | |||||||||
|
|
|
|||||||||||
| 3,082,698 | ||||||||||||
| Wireless Telecommunication Services — 2.1% | ||||||||||||
| Altice France SA(g) |
||||||||||||
| 2.50%, 01/15/25 |
EUR | 141 | 128,826 | |||||||||
| 2.13%, 02/15/25 |
148 | 133,774 | ||||||||||
| 5.88%, 02/01/27 |
100 | 90,805 | ||||||||||
| 4.25%, 10/15/29 |
200 | 155,989 | ||||||||||
| GLP Capital LP/GLP Financing II, Inc., 4.00%, 01/15/31 |
USD | 350 | 301,850 | |||||||||
| Kenbourne Invest SA, 6.88%, 11/26/24(b) |
400 | 363,825 | ||||||||||
| Millicom International Cellular SA, 4.50%, 04/27/31(b) |
380 | 281,200 | ||||||||||
| T-Mobile USA, Inc., 3.30%, 02/15/51 |
390 | 283,992 | ||||||||||
| VICI Properties LP/VICI Note Co., Inc.(b) |
||||||||||||
| 5.63%, 05/01/24 |
1,895 | 1,871,313 | ||||||||||
| 4.63%, 06/15/25 |
123 | 117,004 | ||||||||||
| 4.63%, 12/01/29 |
422 | 377,249 | ||||||||||
| Vmed O2 U.K. Financing I PLC(g) |
||||||||||||
| 3.25%, 01/31/31 |
EUR | 133 | 107,057 | |||||||||
| Security | Par (000) |
Value | ||||||||||
| Wireless Telecommunication Services (continued) | ||||||||||||
| Vmed O2 U.K. Financing I PLC(g) (continued) |
||||||||||||
| 4.50%, 07/15/31 |
GBP | 300 | $ | 287,587 | ||||||||
| VTR Comunicaciones SpA |
||||||||||||
| 5.13%, 01/15/28(b) |
USD | 378 | 280,145 | |||||||||
| 5.13%, 01/15/28(g) |
244 | 180,835 | ||||||||||
|
|
|
|||||||||||
| 4,961,451 | ||||||||||||
|
|
|
|||||||||||
| Total Corporate Bonds — 50.3% |
119,557,981 | |||||||||||
|
|
|
|||||||||||
| Floating Rate Loan Interests(a) |
||||||||||||
| Air Freight & Logistics — 0.0% | ||||||||||||
| Kestrel Bidco, Inc., Term Loan B, (3 mo. LIBOR + 3.00%, 1.00% Floor), 5.03%, 12/11/26 |
1 | (d) | 415 | |||||||||
|
|
|
|||||||||||
| Airlines — 0.3% | ||||||||||||
| Allegiant Travel Co., 2020 Term Loan, |
720 | 694,626 | ||||||||||
|
|
|
|||||||||||
| Building Materials — 0.7% | ||||||||||||
| Cornerstone Building Brands, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.25%,), 4.57%, 04/12/28 |
1,940 | 1,600,413 | ||||||||||
| MI Windows & Doors LLC, 2022 Term Loan, (SOFR + 3.50%), 5.13%, 12/18/27 |
65 | 60,998 | ||||||||||
|
|
|
|||||||||||
| 1,661,411 | ||||||||||||
| Building Products — 0.0% | ||||||||||||
| Advanced Drainage Systems, Inc., Term Loan B, (SOFR + 2.25%), 3.40%, 07/31/26 |
— | (d) | 174 | |||||||||
|
|
|
|||||||||||
| Chemicals — 0.1% | ||||||||||||
| SCIH Salt Holdings, Inc., 2021 Incremental Term Loan B, (6 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 03/16/27 |
267 | 237,742 | ||||||||||
|
|
|
|||||||||||
| Commercial Services & Supplies — 0.4% | ||||||||||||
| Interface Security Systems LLC, Term Loan, (1.00% PIK), 1.00%, 08/07/23(c)(h) |
1,043 | 1,008,878 | ||||||||||
|
|
|
|||||||||||
| Diversified Consumer Services — 0.4% | ||||||||||||
| Spectacle Gary Holdings LLC, 2021 Term Loan B, (1 mo. LIBOR + 4.25%, 0.75% Floor), 5.92%, 11/19/28 |
879 | 852,387 | ||||||||||
|
|
|
|||||||||||
| Diversified Financial Services — 6.0% | ||||||||||||
| Colorado Plaza, Term Loan, (1 mo. LIBOR + 2.90%), 7.27%, 05/15/24(c) |
4,118 | 3,747,059 | ||||||||||
| Credito Real SAB de CV Sofom ENR, Term Loan B, (3 mo. LIBOR + 3.75%), 5.25%, 02/17/23(c) |
112 | 12,320 | ||||||||||
| LBM Acquisition LLC, Term Loan B, (1 mo. LIBOR + 3.75%, 0.75% Floor), 5.42%, 12/18/27 |
102 | 83,736 | ||||||||||
| Luxembourg Life Fund, 2021 Term Loan, |
7,080 | 7,044,600 | ||||||||||
| Oafit A Note Upsize, (1 mo. LIBOR + 5.50%), 8.00%, 01/21/24(c) |
AUD | 4,300 | 2,934,833 | |||||||||
| White Cap Buyer LLC, Term Loan B, (SOFR + 3.75%), 5.28%, 10/19/27 |
USD | 430 | 394,579 | |||||||||
|
|
|
|||||||||||
| 14,217,127 | ||||||||||||
| 16 | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Multi-Sector Opportunities Trust (MSO) (Percentages shown are based on Net Assets) |
| Security | Par (000) |
Value | ||||||||||
| Equity Real Estate Investment Trusts (REITs) — 0.0% | ||||||||||||
| Magnum Intermediate Holdings I LLC, 2nd Lien Term Loan, (Defaulted), 0.00%, 01/01/59(c)(e)(j)(l) |
USD | 17,000 | $ | 22,664 | ||||||||
|
|
|
|||||||||||
| Health Care Providers & Services — 0.1% | ||||||||||||
| Select Medical Corp., 2017 Term Loan B, |
240 | 229,459 | ||||||||||
|
|
|
|||||||||||
| Hotels, Restaurants & Leisure — 0.6% | ||||||||||||
| Aimbridge Acquisition Co., Inc., 2019 Term Loan B, (1 mo. LIBOR + 3.75%), 5.42%, 02/02/26 |
401 | 356,397 | ||||||||||
| Caesars Resort Collection LLC, 2020 Term Loan B1, (1 mo. LIBOR + 3.50%), 5.17%, 07/20/25 |
336 | 323,162 | ||||||||||
| ECL Entertainment LLC, Term Loan, (3 mo. LIBOR + 7.50%, 0.75% Floor), 9.75%, 05/01/28 |
269 | 262,381 | ||||||||||
| Fertitta Entertainment LLC, 2022 Term Loan B, (SOFR + 4.00%), 5.53%, 01/27/29 |
589 | 541,973 | ||||||||||
| Stars Group Holdings BV, 2018 USD Incremental Term Loan, (3 mo. LIBOR + 2.25%), 4.50%, 07/21/26 |
3 | 2,291 | ||||||||||
|
|
|
|||||||||||
| 1,486,204 | ||||||||||||
| Industrial Conglomerates — 0.6% | ||||||||||||
| Robertshaw U.S. Holding Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.19%, 02/28/25 |
1,721 | 1,397,627 | ||||||||||
|
|
|
|||||||||||
| Media — 0.7% | ||||||||||||
| Connect Finco SARL, 2021 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.17%, 12/12/26 |
830 | 761,571 | ||||||||||
| Diamond Sports Group LLC, Term Loan, (PRIME + 2.25%), 7.00%, 08/24/26 |
1,488 | 342,265 | ||||||||||
| PCI Gaming Authority, Term Loan, (1 mo. LIBOR + 2.50%), 4.17%, 05/29/26 |
571 | 544,962 | ||||||||||
|
|
|
|||||||||||
| 1,648,798 | ||||||||||||
| Oil, Gas & Consumable Fuels — 0.0% | ||||||||||||
| Citgo Holding, Inc., 2019 Term Loan B, (1 mo. LIBOR + 7.00%, 1.00% Floor), 8.67%, 08/01/23 |
115 | 112,976 | ||||||||||
|
|
|
|||||||||||
| Pharmaceuticals — 0.3% | ||||||||||||
| Grifols Worldwide Operations USA, Inc., USD 2019 Term Loan B, (1 mo. LIBOR + 2.00%), 3.67%, 11/15/27 |
754 | 711,245 | ||||||||||
|
|
|
|||||||||||
| Thrifts & Mortgage Finance — 1.3% | ||||||||||||
| Caliber Home Loans, Inc., 2018 Revolver, 4.06%, 07/24/25(c) |
3,000 | 2,992,500 | ||||||||||
|
|
|
|||||||||||
| Trading Companies & Distributors — 0.2% | ||||||||||||
| Foundation Building Materials Holding Co. LLC, 2021 Term Loan, (3 mo. LIBOR + 3.25%), 4.49%, 01/31/28(c) |
66 | 57,227 | ||||||||||
| The Enterprise Development Authority, Term Loan B, (1 mo. LIBOR + 4.25%, 0.75% Floor), 5.92%, 02/28/28 |
354 | 337,375 | ||||||||||
|
|
|
|||||||||||
| 394,602 | ||||||||||||
| Security | Par (000) |
Value | ||||||||||
| Utilities — 0.1% | ||||||||||||
| PLH Infrastructure Services, Inc., 2018 Term Loan, (3 mo. LIBOR + 6.00%), 6.39%, 08/07/23(c) |
USD | 309 | $ | 309,838 | ||||||||
|
|
|
|||||||||||
| Total Floating Rate Loan Interests — 11.8% |
|
27,978,673 | ||||||||||
|
|
|
|||||||||||
| Foreign Agency Obligations |
||||||||||||
| Argentina — 0.1% | ||||||||||||
| Argentine Republic Government International Bond, 2.50%, 07/09/41(m) |
591 | 152,232 | ||||||||||
|
|
|
|||||||||||
| Bahrain — 0.2% | ||||||||||||
| Bahrain Government International Bond(g) |
||||||||||||
| 7.00%, 01/26/26 |
295 | 303,352 | ||||||||||
| 5.45%, 09/16/32 |
314 | 263,525 | ||||||||||
|
|
|
|||||||||||
| 566,877 | ||||||||||||
| Chile — 0.1% | ||||||||||||
| Chile Government International Bond |
||||||||||||
| 4.34%, 03/07/42 |
213 | 190,102 | ||||||||||
| 4.00%, 01/31/52 |
200 | 165,700 | ||||||||||
|
|
|
|||||||||||
| 355,802 | ||||||||||||
| Colombia — 0.4% | ||||||||||||
| Colombia Government International Bond |
||||||||||||
| 3.88%, 04/25/27 |
573 | 505,601 | ||||||||||
| 3.13%, 04/15/31 |
400 | 296,700 | ||||||||||
| 4.13%, 05/15/51 |
350 | 210,175 | ||||||||||
|
|
|
|||||||||||
| 1,012,476 | ||||||||||||
| Dominican Republic — 0.4% | ||||||||||||
| Dominican Republic International Bond |
||||||||||||
| 5.95%, 01/25/27(g) |
379 | 361,897 | ||||||||||
| 5.50%, 02/22/29(b) |
240 | 208,545 | ||||||||||
| 4.50%, 01/30/30(b) |
150 | 119,700 | ||||||||||
| 4.88%, 09/23/32(b) |
150 | 115,294 | ||||||||||
| 6.40%, 06/05/49(g) |
368 | 273,654 | ||||||||||
|
|
|
|||||||||||
| 1,079,090 | ||||||||||||
| Egypt — 0.2% | ||||||||||||
| Egypt Government International Bond(b) |
||||||||||||
| 5.75%, 05/29/24 |
265 | 236,512 | ||||||||||
| 8.50%, 01/31/47 |
200 | 117,500 | ||||||||||
| 7.50%, 02/16/61 |
200 | 110,500 | ||||||||||
|
|
|
|||||||||||
| 464,512 | ||||||||||||
| Guatemala — 0.3% | ||||||||||||
| Guatemala Government Bond |
||||||||||||
| 4.50%, 05/03/26(g) |
201 | 193,123 | ||||||||||
| 3.70%, 10/07/33(g) |
361 | 277,587 | ||||||||||
| 4.65%, 10/07/41(b) |
219 | 159,637 | ||||||||||
|
|
|
|||||||||||
| 630,347 | ||||||||||||
| Hungary — 0.1% | ||||||||||||
| Hungary Government International Bond, 5.25%, 06/16/29(b) |
310 | 308,871 | ||||||||||
|
|
|
|||||||||||
| S C H E D U L E O F I N V E S T M E N T S |
17 |
| Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Multi-Sector Opportunities Trust (MSO) (Percentages shown are based on Net Assets) |
| Security | Par (000) |
Value | ||||||||||
| Indonesia — 0.2% | ||||||||||||
| Indonesia Government International Bond, 5.35%, 02/11/49 |
USD | 315 | $ | 308,341 | ||||||||
| Perusahaan Penerbit SBSN Indonesia III, 4.40%, 06/06/27(b) |
215 | 213,387 | ||||||||||
|
|
|
|||||||||||
| 521,728 | ||||||||||||
| Ivory Coast — 0.1% | ||||||||||||
| Ivory Coast Government International Bond, 6.38%, 03/03/28(g) |
399 | 352,691 | ||||||||||
|
|
|
|||||||||||
| Mexico — 0.1% | ||||||||||||
| Mexico Government International Bond, 4.35%, 01/15/47 |
230 | 175,418 | ||||||||||
|
|
|
|||||||||||
| Mongolia — 0.1% | ||||||||||||
| Mongolia Government International Bond, 5.13%, 04/07/26(g) |
200 | 178,022 | ||||||||||
|
|
|
|||||||||||
| Morocco — 0.2% | ||||||||||||
| Morocco Government International Bond, 3.00%, 12/15/32(b) |
583 | 413,930 | ||||||||||
|
|
|
|||||||||||
| Nigeria — 0.2% | ||||||||||||
| Nigeria Government International Bond |
||||||||||||
| 8.38%, 03/24/29(b) |
200 | 151,500 | ||||||||||
| 7.88%, 02/16/32(g) |
343 | 237,527 | ||||||||||
|
|
|
|||||||||||
| 389,027 | ||||||||||||
| Oman — 0.4% | ||||||||||||
| Oman Government International Bond(g) |
||||||||||||
| 6.50%, 03/08/47 |
457 | 383,309 | ||||||||||
| 6.75%, 01/17/48 |
400 | 344,000 | ||||||||||
| 7.00%, 01/25/51 |
329 | 289,520 | ||||||||||
|
|
|
|||||||||||
| 1,016,829 | ||||||||||||
| Panama — 0.1% | ||||||||||||
| Panama Government International Bond |
||||||||||||
| 3.88%, 03/17/28 |
200 | 190,913 | ||||||||||
| 4.50%, 04/16/50 |
210 | 171,583 | ||||||||||
|
|
|
|||||||||||
| 362,496 | ||||||||||||
| Paraguay — 0.4% | ||||||||||||
| Paraguay Government International Bond(g) |
||||||||||||
| 4.70%, 03/27/27 |
518 | 496,891 | ||||||||||
| 5.60%, 03/13/48 |
321 | 252,346 | ||||||||||
| 5.40%, 03/30/50 |
200 | 154,663 | ||||||||||
|
|
|
|||||||||||
| 903,900 | ||||||||||||
| Peru — 0.1% | ||||||||||||
| Peruvian Government International Bond, |
240 | 180,720 | ||||||||||
|
|
|
|||||||||||
| Romania — 0.4% | ||||||||||||
| Romanian Government International Bond |
||||||||||||
| 5.25%, 11/25/27(b) |
406 | 386,715 | ||||||||||
| 3.00%, 02/14/31(b) |
192 | 147,696 | ||||||||||
| 3.63%, 03/27/32(b) |
278 | 217,066 | ||||||||||
| 4.00%, 02/14/51(g) |
230 | 149,471 | ||||||||||
|
|
|
|||||||||||
| 900,948 | ||||||||||||
| Saudi Arabia — 0.1% | ||||||||||||
| Saudi Government International Bond, 3.75%, 01/21/55(g) |
230 | 188,313 | ||||||||||
|
|
|
|||||||||||
| Security | Par (000) |
Value | ||||||||||
| South Africa — 0.5% | ||||||||||||
| Republic of South Africa Government Bond, 8.50%, 01/31/37 |
ZAR | 10,500 | $ | 509,808 | ||||||||
| Republic of South Africa Government International Bond |
||||||||||||
| 4.85%, 09/30/29 |
USD | 340 | 290,233 | |||||||||
| 5.88%, 04/20/32 |
440 | 371,800 | ||||||||||
|
|
|
|||||||||||
| 1,171,841 | ||||||||||||
| Sri Lanka — 0.1% | ||||||||||||
| Sri Lanka Government International Bond(g) |
||||||||||||
| 5.75%, 04/18/23 |
263 | 81,744 | ||||||||||
| 6.85%, 03/14/24(e)(j) |
200 | 56,022 | ||||||||||
| 6.35%, 06/28/24(e)(j) |
400 | 112,044 | ||||||||||
|
|
|
|||||||||||
| 249,810 | ||||||||||||
| Ukraine — 0.1% | ||||||||||||
| Ukraine Government International Bond(g) |
||||||||||||
| 8.99%, 02/01/24 |
447 | 111,750 | ||||||||||
| 7.75%, 09/01/25 |
369 | 91,328 | ||||||||||
|
|
|
|||||||||||
| 203,078 | ||||||||||||
|
|
|
|||||||||||
| Total Foreign Agency Obligations — 4.9% |
|
11,778,958 | ||||||||||
|
|
|
|||||||||||
| Shares | ||||||||||||
| Investment Companies |
||||||||||||
| Fixed Income Funds — 0.7% | ||||||||||||
| iShares iBoxx $ High Yield Corporate Bond ETF(f) |
22,500 | 1,656,225 | ||||||||||
|
|
|
|||||||||||
| Total Investment Companies — 0.7% |
|
1,656,225 | ||||||||||
|
|
|
|||||||||||
| Par (000) |
||||||||||||
| Municipal Bonds |
||||||||||||
| Puerto Rico(a) — 0.1% | ||||||||||||
| Commonwealth of Puerto Rico, GO |
||||||||||||
| 0.00%, 11/01/43 |
USD | 53 | 26,351 | |||||||||
| 0.00%, 11/01/51 |
550 | 236,500 | ||||||||||
| Commonwealth of Puerto Rico, RB, 0.00%, 11/01/51 |
218 | 66,600 | ||||||||||
|
|
|
|||||||||||
| 329,451 | ||||||||||||
|
|
|
|||||||||||
| Total Municipal Bonds — 0.1% |
|
329,451 | ||||||||||
|
|
|
|||||||||||
| Non-Agency Mortgage-Backed Securities |
| |||||||||||
| Collateralized Mortgage Obligations(a) — 2.5% | ||||||||||||
| BCAP LLC Trust, Series 2012-RR3, Class 1A5, 5.35%, 12/26/37(b) |
1,037 | 1,002,310 | ||||||||||
| Cascade Funding Mortgage Trust, Series 2019-RM3, Class C, 4.00%, 06/25/69(b) |
2,118 | 2,024,404 | ||||||||||
| Connecticut Avenue Securities Trust(b) |
||||||||||||
| Series 2021-R01, Class 1B2, (30 day SOFR + 6.00%), 6.93%, 10/25/41 |
457 | 379,760 | ||||||||||
| 18 | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Multi-Sector Opportunities Trust (MSO) (Percentages shown are based on Net Assets) |
| Security | Par (000) |
Value | ||||||||||
| Collateralized Mortgage Obligations (continued) | ||||||||||||
| Connecticut Avenue Securities Trust(b) (continued) |
||||||||||||
| Series 2022-R01, Class 1B2, (30 day SOFR + 6.00%), 6.93%, 12/25/41 |
USD | 423 | $ | 344,104 | ||||||||
| Seasoned Credit Risk Transfer Trust, Series 2018-1, Class BX, 3.56%, 05/25/57 |
4,364 | 2,159,196 | ||||||||||
|
|
|
|||||||||||
| 5,909,774 | ||||||||||||
| Commercial Mortgage-Backed Securities — 12.5% | ||||||||||||
| Ashford Hospitality Trust, Series 2018-ASHF, Class E, (1 mo. LIBOR US + 3.10%), 4.42%, 04/15/35(a)(b) |
315 | 286,519 | ||||||||||
| Benchmark Mortgage Trust(a)(b) |
||||||||||||
| Series 2018-B2, Class D, 2.83%, 02/15/51 |
3,000 | 2,249,464 | ||||||||||
| Series 2018-B3, Class D, 3.19%, 04/10/51 |
2,500 | 1,963,171 | ||||||||||
| Series 2019-B9, Class XD, 2.17%, 03/15/52 |
11,550 | 1,220,651 | ||||||||||
| BX Trust, Series 2021-MFM1, Class G, (1 mo. LIBOR US + 3.90%), 5.22%, 01/15/34(a)(b) |
205 | 189,799 | ||||||||||
| CFK Trust, Series 2019-FAX, Class E, 4.79%, 01/15/39(a)(b) |
2,000 | 1,732,585 | ||||||||||
| Citigroup Commercial Mortgage Trust, Series 2019- PRM, Class F, 4.89%, 05/10/36(a)(b) |
2,000 | 2,005,275 | ||||||||||
| Cold Storage Trust, Series 2020-ICE5, Class F, (1 mo. LIBOR US + 3.49%), 4.82%, 11/15/37(a)(b) |
266 | 252,112 | ||||||||||
| Credit Suisse Mortgage Capital Certificates Trust(a)(b) |
||||||||||||
| Class E, (1 mo. LIBOR US + 3.50%), 4.83%, 11/15/38 |
250 | 235,668 | ||||||||||
| Series 2020-FACT, Class F, (1 mo. LIBOR US + 6.16%), 7.48%, 10/15/37 |
700 | 664,381 | ||||||||||
| Series 2020-NET, Class E, 3.83%, 08/15/37 |
1,500 | 1,349,121 | ||||||||||
| DBGS Mortgage Trust, Series 2019-1735, Class F, 4.33%, 04/10/37(a)(b) |
999 | 736,208 | ||||||||||
| DBUBS Mortgage Trust, Series 2017-BRBK, Class F, 3.65%, 10/10/34(a)(b) |
575 | 523,547 | ||||||||||
| ELP Commercial Mortgage Trust, Series 2021-ELP, Class J, (1 mo. LIBOR US + 3.61%), 4.94%, 11/15/38(a)(b) |
300 | 274,713 | ||||||||||
| GS Mortgage Securities Corp. Trust, Series 2021-DM, Class F, (1 mo. LIBOR US + 3.44%), 4.76%, 11/15/36(a)(b) |
310 | 289,497 | ||||||||||
| GS Mortgage Securities Trust, Series 2012-GCJ9, Class C, 4.45%, 11/10/45(a)(b) |
982 | 970,552 | ||||||||||
| HONO Mortgage Trust(a)(b) |
||||||||||||
| Series 2021-LULU, Class E, (1 mo. LIBOR US + 3.35%), 4.67%, 10/15/36 |
200 | 188,896 | ||||||||||
| Series 2021-LULU, Class F, (1 mo. LIBOR US + 4.40%), 5.72%, 10/15/36 |
110 | 103,530 | ||||||||||
| JP Morgan Chase Commercial Mortgage Securities Trust, Series 2022-NLP, Class F, (30 day SOFR + 3.54%), 4.82%, 04/15/37(a)(b) |
250 | 229,988 | ||||||||||
| JPMBB Commercial Mortgage Securities Trust, Series 2015-C33, Class D1, |
857 | 751,722 | ||||||||||
| JPMDB Commercial Mortgage Securities Trust, Series 2018-C8, Class XD, 1.50%, 06/15/51(a)(b) |
11,427 | 780,893 | ||||||||||
| LSTAR Commercial Mortgage Trust, Series 2016-4, Class C, |
476 | 448,912 | ||||||||||
| MED Trust, Class G, (1 mo. LIBOR US + 5.25%), 6.58%, 11/15/38(a)(b) |
300 | 270,093 | ||||||||||
| MF1 Trust, Series 2021-W10, Class G, (30 day SOFR + 4.22%), |
310 | 285,200 | ||||||||||
| Morgan Stanley Capital I, Series 2017-HR2, Class D, 2.73%, 12/15/50 |
250 | 193,024 | ||||||||||
| Security | Par (000) |
Value | ||||||||||
| Commercial Mortgage-Backed Securities (continued) | ||||||||||||
| Morgan Stanley Capital I Trust(b) |
||||||||||||
| Series 2017-H1, Class D, 2.55%, 06/15/50 |
USD | 895 | $ | 688,086 | ||||||||
| Series 2018-H3, Class D, 3.00%, 07/15/51 |
1,000 | 773,039 | ||||||||||
| Series 2018-MP, Class E, 4.42%, 07/11/40(a) |
826 | 644,785 | ||||||||||
| Series 2018-SUN, Class F, (1 mo. LIBOR US + 2.55%), 3.87%, 07/15/35(a) |
1,800 | 1,691,506 | ||||||||||
| Series 2019-H7, Class D, 3.00%, 07/15/52 |
1,250 | 925,258 | ||||||||||
| MTN Commercial Mortgage Trust, Class F, (30 day SOFR + 5.29%), 6.56%, 03/15/39(a)(b) |
275 | 259,727 | ||||||||||
| One New York Plaza Trust, Series 2020-1NYP, Class D, (1 mo. LIBOR US + 2.75%), 4.07%, 01/15/36(a)(b) |
100 | 95,132 | ||||||||||
| SREIT Trust, Series 2021-MFP2, Class J, |
250 | 233,285 | ||||||||||
| STWD Mortgage Trust, Series 2021-LIH, Class G, (1 mo. LIBOR US + 4.20%), 5.52%, 11/15/36(a)(b) |
250 | 230,167 | ||||||||||
| UBS-Barclays Commercial Mortgage Trust, Series 2012-C3, Class D, |
600 | 597,487 | ||||||||||
| Velocity Commercial Capital Loan Trust(b) |
||||||||||||
| Series 2018-1, Class M5, 6.26%, 04/25/48 |
200 | 187,770 | ||||||||||
| Series 2018-1, Class M6, 7.26%, 04/25/48 |
280 | 249,760 | ||||||||||
| Wells Fargo Commercial Mortgage Trust(b) |
||||||||||||
| Series 2017-C41, Class D, 2.60%, 11/15/50(a) |
967 | 742,743 | ||||||||||
| Series 2018-C44, Class D, 3.00%, 05/15/51 |
3,000 | 2,235,472 | ||||||||||
| Series 2018-C45, Class D, 3.00%, 06/15/51 |
2,100 | 1,539,412 | ||||||||||
| Series 2020-SDAL, Class E, (1 mo. LIBOR US + 2.74%), 4.06%, 02/15/37(a) |
400 | 372,904 | ||||||||||
|
|
|
|||||||||||
| 29,662,054 | ||||||||||||
|
|
|
|||||||||||
| Total Non-Agency Mortgage-Backed Securities — 15.0% |
|
35,571,828 | ||||||||||
|
|
|
|||||||||||
| Preferred Securities |
||||||||||||
| Capital Trusts — 7.0%(a) | ||||||||||||
| Automobiles(g)(i) — 0.2% | ||||||||||||
| Volkswagen International Finance NV |
||||||||||||
| 4.38% |
EUR | 100 | 84,083 | |||||||||
| 3.88% |
400 | 347,092 | ||||||||||
|
|
|
|||||||||||
| 431,175 | ||||||||||||
| Banks(i) — 2.4% | ||||||||||||
| ABN AMRO Bank NV, 4.75%(g) |
800 | 714,618 | ||||||||||
| AIB Group PLC(g) |
||||||||||||
| 5.25% |
200 | 190,465 | ||||||||||
| 6.25% |
400 | 389,787 | ||||||||||
| Banco Bilbao Vizcaya Argentaria SA, 6.00%(g) |
200 | 196,491 | ||||||||||
| Banco Mercantil del Norte SA(b) |
||||||||||||
| 5.88% |
USD | 350 | 291,878 | |||||||||
| 6.75% |
770 | 722,837 | ||||||||||
| BAWAG Group AG, 5.00%(g) |
EUR | 200 | 182,310 | |||||||||
| CaixaBank SA(g) |
||||||||||||
| 6.00% |
200 | 209,523 | ||||||||||
| 6.38% |
600 | 622,482 | ||||||||||
| 6.75% |
200 | 201,730 | ||||||||||
| Credit Agricole SA, 4.75%(b) |
USD | 1,055 | 819,911 | |||||||||
| ING Groep NV, 3.88% |
400 | 289,686 | ||||||||||
| Intesa Sanpaolo SpA, 7.75%(g) |
EUR | 300 | 297,880 | |||||||||
| Kasikornbank PCL, 5.28%(g) |
USD | 290 | 265,767 | |||||||||
| Rizal Commercial Banking Corp., 6.50%(g) |
200 | 191,162 | ||||||||||
| TMBThanachart Bank PCL, 4.90%(g) |
200 | 182,413 | ||||||||||
|
|
|
|||||||||||
| 5,768,940 | ||||||||||||
| S C H E D U L E O F I N V E S T M E N T S |
19 |
| Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Multi-Sector Opportunities Trust (MSO) (Percentages shown are based on Net Assets) |
| Security | Par (000) |
Value | ||||||||||
| Chemicals(g)(i) — 0.3% | ||||||||||||
| Lenzing AG, 5.75% |
EUR | 300 | $ | 299,615 | ||||||||
| Solvay SA, 2.50%. |
600 | 538,384 | ||||||||||
|
|
|
|||||||||||
| 837,999 | ||||||||||||
| Diversified Financial Services(i) — 1.6% | ||||||||||||
| Banco Santander SA(g) |
||||||||||||
| 3.63% |
800 | 580,816 | ||||||||||
| 4.38% |
200 | 176,255 | ||||||||||
| Barclays PLC |
||||||||||||
| 8.00% |
USD | 850 | 835,125 | |||||||||
| 6.13% |
273 | 253,474 | ||||||||||
| 8.88%(g) |
GBP | 375 | 452,724 | |||||||||
| NatWest Group PLC, 8.00% |
USD | 400 | 395,700 | |||||||||
| UBS Group AG, 4.88%(b) |
525 | 439,141 | ||||||||||
| UniCredit SpA(g) |
||||||||||||
| 6.63% |
EUR | 200 | 198,534 | |||||||||
| 7.50% |
200 | 193,168 | ||||||||||
| Woori Bank, 4.25%(g) |
USD | 200 | 191,725 | |||||||||
|
|
|
|||||||||||
| 3,716,662 | ||||||||||||
| Diversified Telecommunication Services — 0.6% | ||||||||||||
| British Telecommunications PLC, 4.25%, 11/23/81(b) |
200 | 174,087 | ||||||||||
| Telefonica Europe BV(g)(i) |
||||||||||||
| 4.38% |
EUR | 200 | 199,877 | |||||||||
| 2.38% |
1,400 | 1,036,718 | ||||||||||
|
|
|
|||||||||||
| 1,410,682 | ||||||||||||
| Electric Utilities(g)(i) — 0.2% | ||||||||||||
| Iberdrola International BV, 1.83% |
500 | 381,140 | ||||||||||
| Naturgy Finance BV, 2.37% |
100 | 80,954 | ||||||||||
|
|
|
|||||||||||
| 462,094 | ||||||||||||
| Insurance(g)(i) — 0.3% | ||||||||||||
| Allianz SE, 3.20% |
USD | 400 | 292,000 | |||||||||
| BUPA Finance PLC, 4.00% |
GBP | 430 | 349,144 | |||||||||
|
|
|
|||||||||||
| 641,144 | ||||||||||||
| Internet & Direct Marketing Retail — 0.1% | ||||||||||||
| Rakuten Group, Inc., 4.25%(g)(i) |
EUR | 200 | 144,642 | |||||||||
|
|
|
|||||||||||
| Media — 0.1% | ||||||||||||
| SES SA, 2.88%(g)(i) |
250 | 218,760 | ||||||||||
|
|
|
|||||||||||
| Oil, Gas & Consumable Fuels(g)(i) — 0.3% | ||||||||||||
| Abertis Infraestructuras Finance BV, 3.25% |
100 | 83,583 | ||||||||||
| Eni SpA, Series NC9, 2.75% |
450 | 346,562 | ||||||||||
| Repsol International Finance BV |
||||||||||||
| 3.75% |
200 | 188,694 | ||||||||||
| 4.25% |
200 | 179,199 | ||||||||||
|
|
|
|||||||||||
| 798,038 | ||||||||||||
| Security | Par (000) |
Value | ||||||||||
| Pharmaceuticals — 0.2% | ||||||||||||
| Bayer AG, 3.13%, 11/12/79(g) |
EUR | 700 | $ | 558,426 | ||||||||
|
|
|
|||||||||||
| Real Estate Management & Development(g)(i) — 0.3% | ||||||||||||
| ATF Netherlands BV, 3.75% |
300 | 273,867 | ||||||||||
| NWD Finance BVI Ltd., 4.13% |
USD | 478 | 403,910 | |||||||||
|
|
|
|||||||||||
| 677,777 | ||||||||||||
| Tobacco(g)(i) — 0.2% | ||||||||||||
| British American Tobacco PLC |
||||||||||||
| Series 5.25, 3.00% |
EUR | 260 | 196,332 | |||||||||
| Series NC8, 3.75% |
230 | 167,320 | ||||||||||
|
|
|
|||||||||||
| 363,652 | ||||||||||||
| Utilities(g)(i) — 0.2% | ||||||||||||
| Electricite de France SA |
||||||||||||
| 5.38% |
300 | 286,947 | ||||||||||
| 3.38% |
200 | 136,225 | ||||||||||
|
|
|
|||||||||||
| 423,172 | ||||||||||||
| Wireless Telecommunication Services — 0.0% | ||||||||||||
| Vodafone Group PLC, 4.20%, 10/03/78(g) |
100 | 92,220 | ||||||||||
|
|
|
|||||||||||
| 16,545,383 | ||||||||||||
|
|
|
|||||||||||
| Shares | ||||||||||||
| Preferred Stocks — 0.1% | ||||||||||||
| Wireless Telecommunication Services — 0.1% | ||||||||||||
| 2020 Cash Mandatory Exchangeable Trust, 5.25%, 06/01/23(b) |
295 | 338,247 | ||||||||||
|
|
|
|||||||||||
| 338,247 | ||||||||||||
|
|
|
|||||||||||
| Total Preferred Securities — 7.1% |
|
16,883,630 | ||||||||||
|
|
|
|||||||||||
| Par (000) |
||||||||||||
| U.S. Government Sponsored Agency Securities |
| |||||||||||
| Collateralized Mortgage Obligations — 0.8% | ||||||||||||
| Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2018-DNA1, Class B1, (1 mo. LIBOR US + 3.15%), 4.77%, 07/25/30(a) |
USD | 2,000 | 1,879,592 | |||||||||
|
|
|
|||||||||||
| 20 | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Multi-Sector Opportunities Trust (MSO) (Percentages shown are based on Net Assets) |
| Security | Par (000) |
Value | ||||||||||
|
|
||||||||||||
| Commercial Mortgage-Backed Securities — 0.1% | ||||||||||||
| FREMF Mortgage Trust, Series 2017-KGX1, Class BFX, 3.71%, 10/25/27(a)(b) |
USD | 370 | $ | 342,182 | ||||||||
|
|
|
|||||||||||
| Total U.S. Government Sponsored Agency Securities — 0.9% |
|
2,221,774 | ||||||||||
|
|
|
|||||||||||
| Total Long-Term Investments — 109.8% |
|
261,222,766 | ||||||||||
|
|
|
|||||||||||
| Shares | ||||||||||||
|
|
||||||||||||
| Short-Term Securities |
| |||||||||||
| Money Market Funds — 3.8% | ||||||||||||
| BlackRock Liquidity Funds, T-Fund, Institutional Class, 1.33%(n)(o) |
8,934,137 | 8,934,137 | ||||||||||
|
|
|
|||||||||||
| Total Short-Term Securities — 3.8% |
|
8,934,137 | ||||||||||
|
|
|
|||||||||||
| Options Purchased — 0.0% |
|
85,073 | ||||||||||
|
|
|
|||||||||||
| Total Investments Before Options Written — 113.6% |
|
270,241,976 | ||||||||||
|
|
|
|||||||||||
| Options Written — (0.0)% | ||||||||||||
| (Premiums Received: $(96,397)) |
|
(70,961 | ) | |||||||||
|
|
|
|||||||||||
| Total Investments, Net of Options Written — 113.6% |
|
270,171,015 | ||||||||||
| Liabilities in Excess of Other Assets — (13.6)% |
|
(32,355,841 | ) | |||||||||
|
|
|
|||||||||||
| Net Assets — 100.0% |
$ | 237,815,174 | ||||||||||
|
|
|
|||||||||||
| (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) | Rounds to less than 1,000. |
| (e) | Non-income producing security. |
| (f) | All or a portion of the security has been pledged and/or segregated as collateral in connection with outstanding exchange-traded options written. |
| (g) | This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933. |
| (h) | 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. |
| (i) | Perpetual security with no stated maturity date. |
| (j) | Issuer filed for bankruptcy and/or is in default. |
| (k) | Zero-coupon bond. |
| (l) | Represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate. |
| (m) | Step coupon security. Coupon rate will either increase (step-up bond) or decrease (step-down bond) at regular intervals until maturity. Interest rate shown reflects the rate currently in effect. |
| (n) | Affiliate of the Trust. |
| (o) | 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 |
21 |
| Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Multi-Sector Opportunities Trust (MSO) |
Affiliates
Investments in issuers considered to be affiliate(s) of the Trust during the six months ended June 30, 2022 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
| Affiliated Issuer | Value at 12/31/21 |
Purchases at Cost |
Proceeds from Sales |
Net Realized Gain (Loss) |
Change in Unrealized Appreciation (Depreciation) |
Value at 06/30/22 |
Shares Held at 06/30/22 |
Income | Capital Gain Distributions from Underlying Funds |
|||||||||||||||||||||||||||
| BlackRock Liquidity Funds, T-Fund, Institutional Class |
$ | 24,175,756 | $ | — | $ | (15,241,619 | )(a) | $ | — | $ | — | $ | 8,934,137 | 8,934,137 | $ | 24,623 | $ | — | ||||||||||||||||||
| iShares iBoxx $ High Yield Corporate Bond ETF |
2,610,300 | — | (596,398 | ) | (6,753 | ) | (350,924 | ) | 1,656,225 | 22,500 | 44,449 | — | ||||||||||||||||||||||||
| iShares iBoxx $ Investment Grade Corporate Bond ETF(b) |
— | 10,756,668 | (11,001,565 | ) | 244,897 | — | — | — | — | — | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| $ | 238,144 | $ | (350,924 | ) | $ | 10,590,362 | $ | 69,072 | $ | — | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| (a) | Represents net amount purchased (sold). |
| (b) | As of period end, the entity is no longer held. |
Reverse Repurchase Agreements
|
|
||||||||||||||||||||||||||
| Counterparty | |
Interest Rate |
|
|
Trade Date |
|
|
Maturity Date |
(a) |
Face Value |
|
Face Value Including Accrued Interest |
|
Type of Non-Cash Underlying Collateral |
|
Remaining Contractual Maturity of the Agreements |
(a) | |||||||||
|
|
||||||||||||||||||||||||||
| Barclays Capital, Inc. |
2.05 | %(b) | 06/29/21 | Open | $ | 339,653 | $ | 341,923 | Corporate Bonds | Open/Demand | ||||||||||||||||
| Barclays Capital, Inc. |
1.65 | (b) | 07/16/21 | Open | 208,228 | 209,125 | Foreign Agency Obligations | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
1.70 | (b) | 07/16/21 | Open | 187,250 | 187,815 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
1.80 | (b) | 07/16/21 | Open | 174,281 | 174,975 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
1.80 | (b) | 07/16/21 | Open | 192,319 | 193,085 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
1.80 | (b) | 07/16/21 | Open | 280,219 | 281,335 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
1.80 | (b) | 07/16/21 | Open | 184,275 | 185,009 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
1.80 | (b) | 07/16/21 | Open | 181,106 | 181,827 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
1.80 | (b) | 07/16/21 | Open | 178,913 | 179,625 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
2.00 | (b) | 07/16/21 | Open | 260,775 | 262,316 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
2.00 | (b) | 07/16/21 | Open | 622,170 | 625,847 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
2.00 | (b) | 07/16/21 | Open | 246,600 | 248,057 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
2.00 | (b) | 07/16/21 | Open | 622,134 | 625,810 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
2.00 | (b) | 07/16/21 | Open | 1,334,305 | 1,342,190 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
2.00 | (b) | 07/16/21 | Open | 326,375 | 328,304 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
2.00 | (b) | 07/16/21 | Open | 421,147 | 423,636 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
2.00 | (b) | 07/16/21 | Open | 97,631 | 98,208 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
2.00 | (b) | 07/16/21 | Open | 1,221,964 | 1,229,185 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
2.00 | (b) | 07/16/21 | Open | 711,810 | 716,017 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
2.00 | (b) | 07/16/21 | Open | 1,166,734 | 1,173,629 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
2.00 | (b) | 07/16/21 | Open | 672,004 | 675,975 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
2.00 | (b) | 07/16/21 | Open | 279,500 | 281,152 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
2.10 | (b) | 07/16/21 | Open | 1,197,709 | 1,205,941 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
2.15 | (b) | 07/16/21 | Open | 165,500 | 166,717 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| RBC Capital Markets LLC |
1.75 | (b) | 07/16/21 | Open | 524,510 | 526,346 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| RBC Capital Markets LLC |
1.90 | (b) | 07/16/21 | Open | 23,018 | 23,131 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| RBC Capital Markets LLC |
1.90 | (b) | 07/16/21 | Open | 640,312 | 643,479 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| RBC Capital Markets LLC |
1.90 | (b) | 07/16/21 | Open | 237,353 | 238,526 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| RBC Capital Markets LLC |
1.90 | (b) | 07/16/21 | Open | 423,225 | 425,318 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| RBC Capital Markets LLC |
1.90 | (b) | 07/16/21 | Open | 59,938 | 60,234 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| RBC Capital Markets LLC |
1.90 | (b) | 07/16/21 | Open | 895,440 | 899,869 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| RBC Capital Markets LLC |
1.90 | (b) | 07/16/21 | Open | 406,000 | 408,008 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| RBC Capital Markets LLC |
1.90 | (b) | 07/16/21 | Open | 669,120 | 672,429 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| RBC Capital Markets LLC |
1.90 | (b) | 07/16/21 | Open | 38,468 | 38,658 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| RBC Capital Markets LLC |
1.90 | (b) | 07/16/21 | Open | 123,420 | 124,030 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| RBC Capital Markets LLC |
1.90 | (b) | 07/16/21 | Open | 293,125 | 294,575 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| RBC Capital Markets LLC |
1.90 | (b) | 07/16/21 | Open | 441,244 | 443,426 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| RBC Capital Markets LLC |
1.90 | (b) | 07/16/21 | Open | 596,552 | 599,503 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| RBC Capital Markets LLC |
1.90 | (b) | 07/16/21 | Open | 852,244 | 856,459 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| RBC Capital Markets LLC |
1.90 | (b) | 07/16/21 | Open | 587,152 | 590,057 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| RBC Capital Markets LLC |
1.90 | (b) | 07/16/21 | Open | 616,230 | 619,278 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| RBC Capital Markets LLC |
1.90 | (b) | 07/16/21 | Open | 164,250 | 165,062 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| 22 | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Multi-Sector Opportunities Trust (MSO) |
Reverse Repurchase Agreements (continued)
|
|
||||||||||||||||||||||||||
| Counterparty | |
Interest Rate |
|
|
Trade Date |
|
|
Maturity Date |
(a) |
Face Value |
|
Face Value Including Accrued Interest |
|
Type of Non-Cash Underlying Collateral |
|
Remaining Contractual Maturity of the Agreements |
(a) | |||||||||
|
|
||||||||||||||||||||||||||
| RBC Capital Markets LLC |
1.90 | %(b) | 07/16/21 | Open | $ | 57,750 | $ | 58,036 | Corporate Bonds | Open/Demand | ||||||||||||||||
| RBC Capital Markets LLC |
1.90 | (b) | 07/16/21 | Open | 1,179,620 | 1,185,454 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| RBC Capital Markets LLC |
1.90 | (b) | 07/16/21 | Open | 161,989 | 162,790 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
2.00 | (b) | 09/23/21 | Open | 1,044,890 | 1,050,093 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
1.80 | (b) | 12/21/21 | Open | 75,276 | 75,479 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| RBC Capital Markets LLC |
1.90 | (b) | 01/25/22 | Open | 567,240 | 568,842 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
2.10 | (b) | 02/08/22 | Open | 117,750 | 118,157 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
2.05 | (b) | 02/11/22 | Open | 430,110 | 431,479 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
2.05 | (b) | 02/11/22 | Open | 1,122,687 | 1,126,261 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
2.05 | (b) | 02/11/22 | Open | 688,350 | 690,541 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
2.15 | (b) | 02/11/22 | Open | 458,362 | 459,996 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
1.80 | (b) | 02/14/22 | Open | 327,437 | 328,166 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
1.80 | (b) | 02/14/22 | Open | 520,000 | 521,156 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
2.05 | (b) | 02/14/22 | Open | 316,825 | 317,829 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
2.05 | (b) | 02/14/22 | Open | 937,135 | 940,104 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
2.05 | (b) | 02/14/22 | Open | 584,539 | 586,391 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
2.10 | (b) | 02/14/22 | Open | 265,875 | 266,768 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
2.10 | (b) | 02/14/22 | Open | 190,575 | 191,215 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
2.10 | (b) | 02/14/22 | Open | 116,279 | 116,669 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
2.10 | (b) | 02/14/22 | Open | 177,660 | 178,256 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
2.10 | (b) | 02/14/22 | Open | 457,237 | 458,772 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
2.13 | (b) | 02/14/22 | Open | 63,000 | 63,219 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
2.13 | (b) | 02/14/22 | Open | 142,506 | 143,001 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
2.13 | (b) | 02/14/22 | Open | 133,570 | 134,034 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
2.13 | (b) | 02/14/22 | Open | 205,975 | 206,690 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
2.13 | (b) | 02/14/22 | Open | 132,840 | 133,301 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
2.13 | (b) | 02/14/22 | Open | 326,000 | 327,131 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
2.13 | (b) | 02/14/22 | Open | 175,988 | 176,598 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
1.25 | (b) | 02/16/22 | Open | 51,000 | 50,962 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
1.25 | (b) | 02/22/22 | Open | 282,065 | 282,193 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
1.80 | (b) | 02/22/22 | Open | 227,953 | 228,501 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
2.15 | (b) | 03/01/22 | Open | 269,771 | 270,655 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| RBC Capital Markets LLC |
1.88 | (b) | 03/01/22 | Open | 59,729 | 59,870 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
1.60 | (b) | 03/03/22 | Open | 221,813 | 222,169 | Foreign Agency Obligations | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
1.80 | (b) | 03/03/22 | Open | 1,157,130 | 1,159,539 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
1.80 | (b) | 03/03/22 | Open | 106,398 | 106,619 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
1.90 | (b) | 03/03/22 | Open | 382,500 | 383,423 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
1.95 | (b) | 03/03/22 | Open | 390,619 | 391,626 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
1.80 | (b) | 03/04/22 | Open | 276,412 | 276,981 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
2.00 | (b) | 03/04/22 | Open | 476,080 | 477,366 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
2.00 | (b) | 03/04/22 | Open | 1,277,820 | 1,281,272 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
2.00 | (b) | 03/04/22 | Open | 816,531 | 818,737 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
2.00 | (b) | 03/04/22 | Open | 585,990 | 587,573 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
2.09 | (b) | 03/04/22 | Open | 239,600 | 240,317 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
2.18 | (b) | 03/04/22 | Open | 2,067,626 | 2,074,411 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
2.18 | (b) | 03/04/22 | Open | 392,987 | 394,277 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
2.10 | (b) | 03/08/22 | Open | 262,362 | 263,147 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
1.75 | (b) | 03/15/22 | Open | 644,681 | 645,863 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
1.55 | (b) | 03/16/22 | Open | 264,775 | 265,128 | Foreign Agency Obligations | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
1.75 | (b) | 03/16/22 | Open | 146,880 | 147,163 | Foreign Agency Obligations | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
1.80 | (b) | 03/16/22 | Open | 270,994 | 271,529 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
1.90 | (b) | 03/16/22 | Open | 330,204 | 330,985 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
1.95 | (b) | 03/16/22 | Open | 281,407 | 282,087 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
2.00 | (b) | 03/16/22 | Open | 503,524 | 504,814 | Foreign Agency Obligations | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
2.12 | (b) | 03/16/22 | Open | 182,750 | 183,283 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
2.15 | (b) | 03/16/22 | Open | 837,125 | 839,640 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
2.18 | (b) | 03/16/22 | Open | 704,396 | 706,575 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
1.90 | (b) | 03/17/22 | Open | 716,228 | 717,909 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
2.10 | (b) | 03/17/22 | Open | 237,575 | 238,271 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Credit Suisse Securities (USA) LLC |
1.80 | (b) | 03/17/22 | Open | 305,550 | 306,178 | Foreign Agency Obligations | Open/Demand | ||||||||||||||||||
| Credit Suisse Securities (USA) LLC |
1.95 | (b) | 03/17/22 | Open | 12,250 | 12,281 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Credit Suisse Securities (USA) LLC |
1.95 | (b) | 03/17/22 | Open | 198,088 | 198,581 | Foreign Agency Obligations | Open/Demand | ||||||||||||||||||
| S C H E D U L E O F I N V E S T M E N T S |
23 |
| Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Multi-Sector Opportunities Trust (MSO) |
Reverse Repurchase Agreements (continued)
|
|
||||||||||||||||||||||||||
| Counterparty | |
Interest Rate |
|
|
Trade Date |
|
|
Maturity Date |
(a) |
Face Value |
|
Face Value Including Accrued Interest |
|
Type of Non-Cash Underlying Collateral |
|
Remaining Contractual Maturity of the Agreements |
(a) | |||||||||
|
|
||||||||||||||||||||||||||
| Barclays Capital, Inc. |
1.80 | %(b) | 03/21/22 | Open | $ | 347,000 | $ | 347,692 | Corporate Bonds | Open/Demand | ||||||||||||||||
| Credit Suisse Securities (USA) LLC |
1.85 | (b) | 03/21/22 | Open | 246,750 | 247,277 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
2.10 | (b) | 03/30/22 | Open | 281,504 | 282,242 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
1.80 | (b) | 04/05/22 | Open | 305,662 | 306,207 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
1.80 | (b) | 04/05/22 | Open | 285,950 | 286,459 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
1.80 | (b) | 04/05/22 | Open | 306,150 | 306,695 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
1.80 | (b) | 04/05/22 | Open | 303,112 | 303,652 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
1.80 | (b) | 04/05/22 | Open | 321,750 | 322,323 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
2.00 | (b) | 04/05/22 | Open | 678,446 | 679,982 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
2.05 | (b) | 04/05/22 | Open | 782,437 | 784,303 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
2.05 | (b) | 04/05/22 | Open | 685,512 | 687,147 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
2.10 | (b) | 04/05/22 | Open | 446,325 | 447,443 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
2.12 | (b) | 04/05/22 | Open | 349,000 | 349,891 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| RBC Capital Markets LLC |
1.90 | (b) | 04/05/22 | Open | 1,197,459 | 1,199,880 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| RBC Capital Markets LLC |
1.90 | (b) | 04/05/22 | Open | 699,569 | 700,983 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| RBC Capital Markets LLC |
1.90 | (b) | 04/05/22 | Open | 1,237,862 | 1,240,366 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
1.75 | (b) | 04/08/22 | Open | 257,600 | 257,209 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
2.00 | (b) | 04/12/22 | Open | 176,625 | 176,995 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
2.05 | (b) | 04/12/22 | Open | 166,000 | 166,366 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
1.55 | (b) | 04/13/22 | Open | 124,313 | 124,449 | Foreign Agency Obligations | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
1.90 | (b) | 04/13/22 | Open | 167,157 | 167,468 | Foreign Agency Obligations | Open/Demand | ||||||||||||||||||
| Credit Suisse Securities (USA) LLC |
1.95 | (b) | 04/13/22 | Open | 100,553 | 100,750 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
1.95 | (b) | 06/17/22 | Open | 116,250 | 117,018 | Corporate Bonds | Open/Demand | ||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||||
| $ | 54,605,467 | $ | 54,805,241 | |||||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||||
| (a) | Certain agreements have no stated maturity and can be terminated by either party at any time. |
| (b) | Variable rate security. Rate as of period end and maturity is the date the principal owed can be recovered through demand. |
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 |
229 | 09/21/22 | $ | 27,104 | $ | (380,286 | ) | |||||||||
| U.S. Long Bond |
13 | 09/21/22 | 1,795 | (24,478 | ) | |||||||||||
|
|
|
|||||||||||||||
| (404,764 | ) | |||||||||||||||
|
|
|
|||||||||||||||
| Short Contracts |
||||||||||||||||
| Euro BTP |
2 | 09/08/22 | 258 | (7,117 | ) | |||||||||||
| 10-Year Japanese Government Treasury Bonds |
2 | 09/12/22 | 2,191 | 6,333 | ||||||||||||
| 10-Year U.S. Ultra Long Treasury Note |
267 | 09/21/22 | 33,926 | 565,351 | ||||||||||||
| Ultra U.S. Treasury Bond |
8 | 09/21/22 | 1,235 | (17,326 | ) | |||||||||||
| 2-Year U.S. Treasury Note |
59 | 09/30/22 | 12,381 | 61,305 | ||||||||||||
| 5-Year U.S. Treasury Note |
164 | 09/30/22 | 18,389 | 68,082 | ||||||||||||
|
|
|
|||||||||||||||
| 676,628 | ||||||||||||||||
|
|
|
|||||||||||||||
| $ | 271,864 | |||||||||||||||
|
|
|
|||||||||||||||
Forward Foreign Currency Exchange Contracts
| Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) |
||||||||||||||||||||
| EUR |
250,000 | USD | 262,511 | JPMorgan Chase Bank N.A. | 09/21/22 | $ | 934 | |||||||||||||||||
| EUR |
655,809 | USD | 686,839 | Morgan Stanley & Co. International PLC | 09/21/22 | 4,241 | ||||||||||||||||||
| EUR |
3,801,965 | USD | 3,991,196 | UBS AG | 09/21/22 | 15,246 | ||||||||||||||||||
| GBP |
252,183 | USD | 302,775 | Morgan Stanley & Co. International PLC | 09/21/22 | 4,666 | ||||||||||||||||||
| 24 | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Multi-Sector Opportunities Trust (MSO) |
Forward Foreign Currency Exchange Contracts (continued)
| Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) |
||||||||||||||||||||
| USD |
4,851,366 | AUD | 6,724,000 | BNY Mellon | 09/21/22 | $ | 207,100 | |||||||||||||||||
| USD |
866,291 | AUD | 1,210,000 | HSBC Bank USA N.A. | 09/21/22 | 30,544 | ||||||||||||||||||
| USD |
146,224 | CAD | 187,000 | JPMorgan Chase Bank N.A. | 09/21/22 | 926 | ||||||||||||||||||
| USD |
144,030 | EUR | 136,000 | BNP Paribas S.A. | 09/21/22 | 715 | ||||||||||||||||||
| USD |
22,617,905 | EUR | 21,008,058 | Deutsche Bank AG | 09/21/22 | 479,989 | ||||||||||||||||||
| USD |
6,908,418 | EUR | 6,406,940 | Morgan Stanley & Co. International PLC | 09/21/22 | 156,899 | ||||||||||||||||||
| USD |
453,524 | GBP | 368,000 | BNY Mellon | 09/21/22 | 4,887 | ||||||||||||||||||
| USD |
2,435,009 | GBP | 1,964,000 | Deutsche Bank AG | 09/21/22 | 40,655 | ||||||||||||||||||
| USD |
1,721,224 | GBP | 1,372,073 | Morgan Stanley & Co. International PLC | 09/21/22 | 48,501 | ||||||||||||||||||
| USD |
62,906 | IDR | 916,223,830 | JPMorgan Chase Bank N.A. | 09/21/22 | 1,805 | ||||||||||||||||||
| USD |
195,951 | ZAR | 3,034,635 | HSBC Bank USA N.A. | 09/21/22 | 10,901 | ||||||||||||||||||
| USD |
400,000 | ZAR | 6,198,749 | HSBC Bank USA N.A. | 09/21/22 | 22,005 | ||||||||||||||||||
|
|
|
|||||||||||||||||||||||
| 1,030,014 | ||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||
| USD |
259,855 | AUD | 378,000 | Morgan Stanley & Co. International PLC | 09/21/22 | (1,229 | ) | |||||||||||||||||
|
|
|
|||||||||||||||||||||||
| $ | 1,028,785 | |||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||
Exchange-Traded Options Purchased
| Description | Number of Contracts |
Expiration Date |
Exercise Price | Notional Amount (000) |
Value | |||||||||||||||
| Put |
||||||||||||||||||||
| iShares iBoxx $ Investment Grade Corporate Bond ETF |
597 | 08/19/22 | USD 108.00 | USD 6,569 | $ | 85,073 | ||||||||||||||
|
|
|
|||||||||||||||||||
OTC Interest Rate Swaptions Purchased
|
|
Paid by the Trust | Received by the Trust |
|
Expiration Date |
Exercise Rate |
Notional Amount (000) |
|
|||||||||||||||||||||||||||||||
| Description | Rate | Frequency | Rate | Frequency | Counterparty | Value | ||||||||||||||||||||||||||||||||
| Call |
||||||||||||||||||||||||||||||||||||||
| 30-Year Interest Rate Swap, 07/08/52 |
|
3-Month LIBOR, 2.29% |
|
Quarterly | 1.55% | Semi-Annual | Deutsche Bank AG | 07/06/22 | 1.55 | % | USD | 1,041 | $ | — | ||||||||||||||||||||||||
| 30-Year Interest Rate Swap, 07/08/52 |
|
3-Month LIBOR, 2.29% |
|
Quarterly | 1.55% | Semi-Annual | Deutsche Bank AG | 07/06/22 | 1.55 | USD | 1,041 | — | ||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||||||||
| $ | 0 | |||||||||||||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||||||||
Exchange-Traded Options Written
| Description | Number of Contracts |
Expiration Date |
Exercise Price | Notional Amount (000) |
Value | |||||||||||||||||||||||
| Put |
||||||||||||||||||||||||||||
| iShares iBoxx $ High Yield Corporate Bond ETF |
294 | 08/19/22 | USD | 72.00 | USD | 2,164 | $ | (44,394 | ) | |||||||||||||||||||
| iShares iBoxx $ Investment Grade Corporate Bond ETF |
597 | 08/19/22 | USD | 103.00 | USD | 6,569 | (26,567 | ) | ||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
| $ | (70,961 | ) | ||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
| S C H E D U L E O F I N V E S T M E N T S |
25 |
| Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Multi-Sector Opportunities Trust (MSO) |
Centrally Cleared Credit Default Swaps — Sell Protection
| Reference Obligation/Index |
|
Financing Rate Received by the Trust |
|
|
Payment Frequency |
|
|
Termination Date |
|
Credit Rating(a) |
|
Notional Amount (000)(b) |
|
Value |
|
Upfront Premium Paid (Received) |
|
|
Unrealized Appreciation (Depreciation) |
| ||||||||||||||
| CDX.NA.HY.30.V15 |
5.00 | % | Quarterly | 06/20/23 | C+ | USD | 10,750 | $ | 204,007 | $ | (25,387 | ) | $ | 229,394 | ||||||||||||||||||||
| CDX.NA.HY.32.V13 |
5.00 | Quarterly | 06/20/24 | CC- | USD | 8,923 | 136,405 | (25,161 | ) | 161,566 | ||||||||||||||||||||||||
| CDX.NA.HY.34.V10 |
5.00 | Quarterly | 06/20/25 | CC | USD | 13,741 | 18,470 | (41,454 | ) | 59,924 | ||||||||||||||||||||||||
| CDX.NA.HY.38.V2 |
5.00 | Quarterly | 06/20/27 | B+ | USD | 871 | (24,208 | ) | (24,825 | ) | 617 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||
| $ | 334,674 | $ | (116,827 | ) | $ | 451,501 | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||
| (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. |
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) | |||||||||||||||||||||||||||
| 0.52% |
Semi-Annual | 3-Month LIBOR, 2.29% | Quarterly | N/A | 06/21/24 | USD | 5,000 | $ | 263,225 | $ | 69,621 | $ | 193,604 | |||||||||||||||||||||||
| 3-Month LIBOR, 2.29% |
Quarterly | 1.42% | Semi-Annual | N/A | 01/11/27 | USD | 7,808 | (507,268 | ) | (55,183 | ) | (452,085 | ) | |||||||||||||||||||||||
| 1-Day SOFR, 0.82% |
Annual | 1.56% | Annual | N/A | 03/08/27 | USD | 8,805 | (443,372 | ) | 76 | (443,448 | ) | ||||||||||||||||||||||||
| 1.54% |
Semi-Annual | 3-Month LIBOR, 2.29% | Quarterly | N/A | 05/28/31 | USD | 230 | 27,261 | 4,615 | 22,646 | ||||||||||||||||||||||||||
| 1.97% |
Semi-Annual | 3-Month LIBOR, 2.29% | Quarterly | N/A | 05/30/51 | USD | 110 | 21,251 | (1,346 | ) | 22,597 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||
| $ | (638,903 | ) | $ | 17,783 | $ | (656,686 | ) | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||
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) |
|
|||||||||||||||||||
|
|
CMA CGM SA |
5.00 | % | Quarterly | Credit Suisse International |
06/20/27 | BB+ | EUR | 6 | $ | (256 | ) | $ | 197 | $ | (453 | ) | |||||||||||||||||||||||
| CMA CGM SA |
5.00 | Quarterly | JPMorgan Chase Bank N.A. |
06/20/27 | BB+ | EUR | 6 | (257 | ) | 215 | (472 | ) | ||||||||||||||||||||||||||||
| CMA CGM SA |
5.00 | Quarterly | JPMorgan Chase Bank N.A. |
06/20/27 | BB+ | EUR | 5 | (241 | ) | 203 | (444 | ) | ||||||||||||||||||||||||||||
| CMA CGM SA |
5.00 | Quarterly | JPMorgan Chase Bank N.A. |
06/20/27 | BB+ | EUR | 3 | (115 | ) | 95 | (210 | ) | ||||||||||||||||||||||||||||
| CMBX.NA.9 |
3.00 | Monthly | Deutsche Bank AG |
09/17/58 | N/R | USD | 10,000 | (1,709,214 | ) | (1,210,860 | ) | (498,354 | ) | |||||||||||||||||||||||||||
| CMBX.NA.9 |
3.00 | Monthly | Morgan Stanley & Co. International PLC |
09/17/58 | N/R | USD | 10,000 | (1,709,214 | ) | (1,054,766 | ) | (654,448 | ) | |||||||||||||||||||||||||||
| CMBX.NA.9 |
3.00 | Monthly | Morgan Stanley & Co. International PLC |
09/17/58 | N/R | USD | 15,000 | (2,563,822 | ) | (1,059,906 | ) | (1,503,916 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||||
| $ | (5,983,119 | ) | $ | (3,324,822 | ) | $ | (2,658,297 | ) | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||||
| (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. |
Balances Reported in the Statements of Assets and Liabilities for Centrally Cleared Swaps, OTC Swaps and Options Written
| Description | Swap Premiums Paid |
Swap Premiums Received |
Unrealized Appreciation |
Unrealized Depreciation |
Value | |||||||||||||
| Centrally Cleared Swaps(a) |
$ | 74,312 | $ | (173,356 | ) | $ | 690,348 | $ | (895,533 | ) | $ — | |||||||
| OTC Swaps |
710 | (3,325,532 | ) | — | (2,658,297 | ) | — | |||||||||||
| Options Written |
N/A | N/A | 43,144 | (17,708 | ) | (70,961) | ||||||||||||
| (a) | Includes cumulative appreciation (depreciation) on centrally cleared swaps, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities and is net of any previously paid (received) swap premium amounts. |
| 26 | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Multi-Sector Opportunities Trust (MSO) |
Derivative Financial Instruments Categorized by Risk Exposure
As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:
| Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Currency Exchange Contracts |
Interest Rate Contracts |
Other Contracts |
Total | ||||||||||||||||||||||
| Assets — Derivative Financial Instruments |
||||||||||||||||||||||||||||
| Futures contracts |
||||||||||||||||||||||||||||
| Unrealized appreciation on futures contracts(a) |
$ | — | $ | — | $ | — | $ | — | $ | 701,071 | $ | — | $ | 701,071 | ||||||||||||||
| Forward foreign currency exchange contracts |
||||||||||||||||||||||||||||
| Unrealized appreciation on forward foreign currency exchange contracts |
— | — | — | 1,030,014 | — | — | 1,030,014 | |||||||||||||||||||||
| Options purchased |
||||||||||||||||||||||||||||
| Investments at value — unaffiliated(b) |
— | — | 85,073 | — | — | — | 85,073 | |||||||||||||||||||||
| Swaps — centrally cleared |
||||||||||||||||||||||||||||
| Unrealized appreciation on centrally cleared swaps(a) |
— | 451,501 | — | — | 238,847 | — | 690,348 | |||||||||||||||||||||
| Swaps — OTC |
||||||||||||||||||||||||||||
| Unrealized appreciation on OTC swaps; Swap premiums paid |
— | 710 | — | — | — | — | 710 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
| $ | — | $ | 452,211 | $ | 85,073 | $ | 1,030,014 | $ | 939,918 | $ | — | $ | 2,507,216 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
| Liabilities — Derivative Financial Instruments |
||||||||||||||||||||||||||||
| Futures contracts |
||||||||||||||||||||||||||||
| Unrealized depreciation on futures contracts(a) |
$ | — | $ | — | $ | — | $ | — | $ | 429,207 | $ | — | $ | 429,207 | ||||||||||||||
| Forward foreign currency exchange contracts |
||||||||||||||||||||||||||||
| Unrealized depreciation on forward foreign currency exchange contracts |
— | — | — | 1,229 | — | — | 1,229 | |||||||||||||||||||||
| Options written |
||||||||||||||||||||||||||||
| Options written at value |
— | — | 70,961 | — | — | — | 70,961 | |||||||||||||||||||||
| Swaps — centrally cleared |
||||||||||||||||||||||||||||
| Unrealized depreciation on centrally cleared swaps(a) |
— | — | — | — | 895,533 | — | 895,533 | |||||||||||||||||||||
| Swaps — OTC |
||||||||||||||||||||||||||||
| Unrealized depreciation on OTC swaps; Swap premiums received |
— | 5,983,829 | — | — | — | — | 5,983,829 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
| $ | — | $ | 5,983,829 | $ | 70,961 | $ | 1,229 | $ | 1,324,740 | $ | — | $ | 7,380,759 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
| (a) | Net cumulative unrealized appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, are reported in the Schedule of Investments. In the Statements of Assets and Liabilities, only current day’s variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in accumulated earnings (loss). |
| (b) | Includes options purchased at value as reported in the Schedule of Investments. |
For the period ended June 30, 2022, the effect of derivative financial instruments in the Statements of Operations was as follows:
| Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Currency Exchange |
Interest Rate Contracts |
Other Contracts |
Total | ||||||||||||||||||||||
| Net Realized Gain (Loss) from: |
||||||||||||||||||||||||||||
| Futures contracts |
$ | — | $ | — | $ | — | $ | — | $ | 3,363,367 | $ | — | $ | 3,363,367 | ||||||||||||||
| Forward foreign currency exchange contracts |
— | — | — | 2,552,400 | — | — | 2,552,400 | |||||||||||||||||||||
| Options purchased(a) |
— | — | 740,822 | (97,407 | ) | — | — | 643,415 | ||||||||||||||||||||
| Options written |
— | — | (201,272 | ) | 35,926 | 18,138 | — | (147,208 | ) | |||||||||||||||||||
| Swaps |
— | 744,182 | — | — | (118,756 | ) | — | 625,426 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
| $ | — | $ | 744,182 | $ | 539,550 | $ | 2,490,919 | $ | 3,262,749 | $ | — | $ | 7,037,400 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
| Net Change in Unrealized Appreciation (Depreciation) on: |
||||||||||||||||||||||||||||
| Futures contracts |
$ | — | $ | — | $ | — | $ | — | $ | 323,248 | $ | — | $ | 323,248 | ||||||||||||||
| Forward foreign currency exchange contracts |
— | — | — | 1,272,227 | — | — | 1,272,227 | |||||||||||||||||||||
| Options purchased(b) |
— | — | (41,159 | ) | — | (65,087 | ) | — | (106,246 | ) | ||||||||||||||||||
| Options written |
— | — | 5,128 | — | (9,001 | ) | — | (3,873 | ) | |||||||||||||||||||
| Swaps |
— | (4,237,298 | ) | — | — | (716,323 | ) | — | (4,953,621 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
| $ | — | $ | (4,237,298 | ) | $ | (36,031 | ) | $ | 1,272,227 | $ | (467,163 | ) | $ | — | $ | (3,468,265 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
| (a) | Options purchased are included in net realized gain (loss) from investments — unaffiliated. |
| (b) | Options purchased are included in net change in unrealized appreciation (depreciation) on investments — unaffiliated. |
| S C H E D U L E O F I N V E S T M E N T S |
27 |
| Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Multi-Sector Opportunities Trust (MSO) |
Average Quarterly Balances of Outstanding Derivative Financial Instruments
| Futures contracts: |
||||
| Average notional value of contracts — long |
$ | 47,047,414 | ||
| Average notional value of contracts — short |
$ | 69,438,329 | ||
| Forward foreign currency exchange contracts: |
||||
| Average amounts purchased — in USD |
$ | 52,960,994 | ||
| Average amounts sold — in USD |
$ | 16,115,667 | ||
| Options: |
||||
| Average value of option contracts purchased |
$ | 170,908 | ||
| Average value of option contracts written |
$ | 65,964 | ||
| Average notional value of swaption contracts purchased |
$ | 2,082,272 | ||
| Average notional value of swaption contracts written |
$ | — | (a) | |
| Credit default swaps: |
||||
| Average notional value — buy protection |
$ | — | (a) | |
| Average notional value — sell protection |
$ | 69,048,980 | ||
| Interest rate swaps: |
||||
| Average notional value — pays fixed rate |
$ | 5,340,091 | ||
| Average notional value — receives fixed rate |
$ | 18,304,016 | ||
| (a) | Derivative not held at any quarter-end. The risk exposure table serves as an indicator of activity during the period. |
For more information about the Trust’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.
Derivative Financial Instruments — Offsetting as of Period End
The Trust’s derivative assets and liabilities (by type) were as follows:
| Assets | Liabilities | |||||||
| Derivative Financial Instruments |
||||||||
| Futures contracts |
$ | 208,545 | $ | 411,781 | ||||
| Forward foreign currency exchange contracts |
1,030,014 | 1,229 | ||||||
| Options |
85,073 | (a) | 70,961 | |||||
| Swaps — centrally cleared |
224,032 | — | ||||||
| Swaps — OTC(b) |
710 | 5,983,829 | ||||||
|
|
|
|
|
|||||
| Total derivative assets and liabilities in the Statements of Assets and Liabilities |
1,548,374 | 6,467,800 | ||||||
|
|
|
|
|
|||||
| Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) |
(517,650 | ) | (482,742 | ) | ||||
|
|
|
|
|
|||||
| Total derivative assets and liabilities subject to an MNA |
$ | 1,030,724 | $ | 5,985,058 | ||||
|
|
|
|
|
|||||
| (a) | Includes options purchased at value which is included in Investments at value — unaffiliated in the Statements of Assets and Liabilities and reported in the Schedule of Investments. |
| (b) | Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums (paid/received) in the Statements of Assets and Liabilities. |
The following table presents the Trust’s derivative assets and liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral received (and pledged) by the Trust:
| Counterparty |
|
Derivative Assets Subject to an MNA by Counterparty |
|
|
Derivatives Available for Offset |
(a) |
|
Non-Cash Collateral Received |
|
|
Cash Collateral Received |
|
|
Net Amount of Derivative Assets |
(b) | |||||
| BNP Paribas S.A. |
$ | 715 | $ | — | $ | — | $ | — | $ | 715 | ||||||||||
| BNY Mellon |
211,987 | — | — | — | 211,987 | |||||||||||||||
| Credit Suisse International |
197 | (197 | ) | — | — | — | ||||||||||||||
| Deutsche Bank AG |
520,644 | (520,644 | ) | — | — | — | ||||||||||||||
| HSBC Bank USA N.A. |
63,450 | — | — | — | 63,450 | |||||||||||||||
| JPMorgan Chase Bank N.A. |
4,178 | (1,126 | ) | — | — | 3,052 | ||||||||||||||
| Morgan Stanley & Co. International PLC |
214,307 | (214,307 | ) | — | — | — | ||||||||||||||
| UBS AG |
15,246 | — | — | — | 15,246 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| $ | 1,030,724 | $ | (736,274 | ) | $ | — | $ | — | $ | 294,450 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| 28 | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Multi-Sector Opportunities Trust (MSO) |
| Counterparty |
|
Derivative Liabilities Subject to an MNA by Counterparty |
|
|
Derivatives Available for Offset |
(a) |
|
Non-Cash Collateral |
|
|
Cash Collateral Pledged |
(c) |
|
Net Amount of Derivative Liabilities |
(b)(d) | |||||
| Credit Suisse International |
$ | 453 | $ | (197 | ) | $ | — | $ | — | $ | 256 | |||||||||
| Deutsche Bank AG |
1,709,214 | (520,644 | ) | — | (1,188,570 | ) | — | |||||||||||||
| JPMorgan Chase Bank N.A. |
1,126 | (1,126 | ) | — | — | — | ||||||||||||||
| Morgan Stanley & Co. International PLC |
4,274,265 | (214,307 | ) | — | (3,642,000 | ) | 417,958 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| $ | 5,985,058 | $ | (736,274 | ) | $ | — | $ | (4,830,570 | ) | $ | 418,214 | |||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| (a) | The amount of derivatives available for offset is limited to the amount of derivative asset and/or liabilities that are subject to an MNA. |
| (b) | Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized. |
| (c) | Excess of collateral received/pledged, if any, from the individual counterparty is not shown for financial reporting purposes. |
| (d) | Net amount represents the net amount payable due to counterparty in the event of default. Net amount may be offset further by the options written receivable/payable on the Statements of Assets and Liabilities. |
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of financial instruments. For a description of the input levels and information about the Trust’s policy regarding valuation of financial instruments, refer to the Notes to 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 |
$ | — | $ | 43,134,652 | $ | 1,087,501 | $ | 44,222,153 | ||||||||
| Common Stocks |
||||||||||||||||
| Equity Real Estate Investment Trusts (REITs) |
20,920 | — | — | 20,920 | ||||||||||||
| Hotels, Restaurants & Leisure |
131,561 | 110,200 | — | 241,761 | ||||||||||||
| Oil, Gas & Consumable Fuels |
759,412 | — | — | 759,412 | ||||||||||||
| Corporate Bonds |
||||||||||||||||
| Advertising Agencies |
— | 133,485 | — | 133,485 | ||||||||||||
| Aerospace & Defense |
— | 2,135,413 | — | 2,135,413 | ||||||||||||
| Airlines |
— | 6,660,726 | 344,199 | 7,004,925 | ||||||||||||
| Auto Components |
— | 1,476,623 | — | 1,476,623 | ||||||||||||
| Automobiles |
— | 1,228,037 | — | 1,228,037 | ||||||||||||
| Banks |
— | 2,566,230 | — | 2,566,230 | ||||||||||||
| Beverages |
— | 2,252,670 | — | 2,252,670 | ||||||||||||
| Biotechnology |
— | 772,320 | — | 772,320 | ||||||||||||
| Building Materials |
— | 330,686 | — | 330,686 | ||||||||||||
| Building Products |
— | 750,518 | — | 750,518 | ||||||||||||
| Capital Markets |
— | 606,942 | — | 606,942 | ||||||||||||
| Chemicals |
— | 4,090,370 | — | 4,090,370 | ||||||||||||
| Commercial Services & Supplies |
— | 2,363,054 | — | 2,363,054 | ||||||||||||
| Construction & Engineering |
— | 86,589 | — | 86,589 | ||||||||||||
| Construction Materials |
— | 775,943 | — | 775,943 | ||||||||||||
| Consumer Discretionary |
— | 373,235 | — | 373,235 | ||||||||||||
| Consumer Finance |
— | 431,280 | — | 431,280 | ||||||||||||
| Containers & Packaging |
— | 1,607,039 | — | 1,607,039 | ||||||||||||
| Diversified Consumer Services |
— | 180,586 | — | 180,586 | ||||||||||||
| Diversified Financial Services |
— | 2,904,765 | 2,153,523 | 5,058,288 | ||||||||||||
| Diversified Telecommunication Services |
— | 3,335,195 | — | 3,335,195 | ||||||||||||
| Electric Utilities |
— | 2,759,282 | — | 2,759,282 | ||||||||||||
| Electrical Equipment |
— | 31,054 | — | 31,054 | ||||||||||||
| Energy Equipment & Services |
— | 1,480,259 | — | 1,480,259 | ||||||||||||
| Environmental, Maintenance & Security Service |
— | 256,177 | — | 256,177 | ||||||||||||
| Equity Real Estate Investment Trusts (REITs) |
— | 1,948,096 | — | 1,948,096 | ||||||||||||
| Food & Staples Retailing |
— | 1,082,833 | — | 1,082,833 | ||||||||||||
| Food Products |
— | 581,328 | — | 581,328 | ||||||||||||
| Health Care Equipment & Supplies |
— | 177,466 | — | 177,466 | ||||||||||||
| Health Care Providers & Services |
— | 6,128,355 | — | 6,128,355 | ||||||||||||
| S C H E D U L E O F I N V E S T M E N T S |
29 |
| Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Multi-Sector Opportunities Trust (MSO) |
Fair Value Hierarchy as of Period End (continued)
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Corporate Bonds (continued) |
||||||||||||||||
| Health Care Technology |
$ | — | $ | 227,530 | $ | — | $ | 227,530 | ||||||||
| Hotels, Restaurants & Leisure |
— | 10,273,357 | — | 10,273,357 | ||||||||||||
| Household Durables |
— | 8,971,479 | — | 8,971,479 | ||||||||||||
| Independent Power and Renewable Electricity Producers |
— | 3,942,677 | — | 3,942,677 | ||||||||||||
| Insurance |
— | 1,096,166 | — | 1,096,166 | ||||||||||||
| Interactive Media & Services |
— | 421,136 | — | 421,136 | ||||||||||||
| Internet & Direct Marketing Retail |
— | 387,439 | — | 387,439 | ||||||||||||
| IT Services |
— | 844,185 | — | 844,185 | ||||||||||||
| Machinery |
— | 518,420 | — | 518,420 | ||||||||||||
| Media |
— | 4,178,822 | — | 4,178,822 | ||||||||||||
| Metals & Mining |
— | 4,125,641 | — | 4,125,641 | ||||||||||||
| Oil, Gas & Consumable Fuels |
— | 10,473,250 | 853,362 | 11,326,612 | ||||||||||||
| Personal Products |
— | 452,476 | — | 452,476 | ||||||||||||
| Pharmaceuticals |
— | 1,983,215 | — | 1,983,215 | ||||||||||||
| Producer Durables: Miscellaneous |
— | 274,503 | — | 274,503 | ||||||||||||
| Real Estate Management & Development |
— | 4,651,660 | 74,400 | 4,726,060 | ||||||||||||
| Road & Rail |
— | 936,935 | — | 936,935 | ||||||||||||
| Semiconductors & Semiconductor Equipment |
163,225 | 387,070 | — | 550,295 | ||||||||||||
| Software |
— | 1,221,613 | — | 1,221,613 | ||||||||||||
| Specialty Retail |
— | 224,056 | — | 224,056 | ||||||||||||
| Technology Hardware, Storage & Peripherals |
— | 236,442 | — | 236,442 | ||||||||||||
| Thrifts & Mortgage Finance |
— | 1,285,549 | — | 1,285,549 | ||||||||||||
| Transportation Infrastructure |
— | 1,304,946 | — | 1,304,946 | ||||||||||||
| Utilities |
— | 3,082,698 | — | 3,082,698 | ||||||||||||
| Wireless Telecommunication Services |
— | 4,961,451 | — | 4,961,451 | ||||||||||||
| Floating Rate Loan Interests |
— | 9,848,754 | 18,129,919 | 27,978,673 | ||||||||||||
| Foreign Agency Obligations |
— | 11,778,958 | — | 11,778,958 | ||||||||||||
| Investment Companies |
1,656,225 | — | — | 1,656,225 | ||||||||||||
| Municipal Bonds |
— | 329,451 | — | 329,451 | ||||||||||||
| Non-Agency Mortgage-Backed Securities |
— | 35,286,628 | 285,200 | 35,571,828 | ||||||||||||
| Preferred Securities |
||||||||||||||||
| Capital Trusts |
— | 16,545,383 | — | 16,545,383 | ||||||||||||
| Preferred Stocks |
— | 338,247 | — | 338,247 | ||||||||||||
| U.S. Government Sponsored Agency Securities |
— | 2,221,774 | — | 2,221,774 | ||||||||||||
| Short-Term Securities |
||||||||||||||||
| Money Market Funds |
8,934,137 | — | — | 8,934,137 | ||||||||||||
| Options Purchased |
||||||||||||||||
| Equity Contracts |
85,073 | — | — | 85,073 | ||||||||||||
| Interest Rate Contracts |
— | — | — | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| $ | 11,750,553 | $ | 235,563,319 | $ | 22,928,104 | $ | 270,241,976 | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Derivative Financial Instruments(a) |
||||||||||||||||
| Assets |
||||||||||||||||
| Credit Contracts |
$ | — | $ | 451,501 | $ | — | $ | 451,501 | ||||||||
| Foreign Currency Exchange Contracts. |
— | 1,030,014 | — | 1,030,014 | ||||||||||||
| Interest Rate Contracts |
701,071 | 238,847 | — | 939,918 | ||||||||||||
| Liabilities |
||||||||||||||||
| Credit Contracts |
— | (2,658,297 | ) | — | (2,658,297 | ) | ||||||||||
| Equity Contracts |
(70,961 | ) | — | — | (70,961 | ) | ||||||||||
| Foreign Currency Exchange Contracts |
— | (1,229 | ) | — | (1,229 | ) | ||||||||||
| Interest Rate Contracts |
(429,207 | ) | (895,533 | ) | — | (1,324,740 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| $ | 200,903 | $ | (1,834,697 | ) | $ | — | $ | (1,633,794 | ) | |||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (a) | Derivative financial instruments are swaps and forward foreign currency exchange contracts. Swaps and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount or face value, including accrued interest, for financial statement purposes. As of period end, reverse repurchase agreements of $54,805,241 are categorized as Level 2 within the fair value hierarchy.
| 30 | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Multi-Sector Opportunities Trust (MSO) |
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:
|
|
||||||||||||||||||||
| Asset-Backed Securities |
Corporate Bonds |
Floating Rate Loan Interests |
Non-Agency Mortgage-Backed |
Total | ||||||||||||||||
|
|
||||||||||||||||||||
| Assets |
||||||||||||||||||||
| Opening balance, as of December 31, 2021 |
$ | 260,152 | $ | 3,510,918 | $ | 16,135,486 | $ | — | $ | 19,906,556 | ||||||||||
| Transfers into Level 3(c) |
— | 87,042 | 65,590 | 310,918 | 463,550 | |||||||||||||||
| Transfers out of Level 3(d) |
— | (3,817 | ) | — | — | (3,817 | ) | |||||||||||||
| Accrued discounts/premiums |
— | 3,447 | 21,705 | — | 25,152 | |||||||||||||||
| Net realized gain (loss) |
— | — | 320 | — | 320 | |||||||||||||||
| Net change in unrealized appreciation (depreciation)(a)(b) |
(83,357 | ) | (104,917 | ) | (416,455 | ) | (25,718 | ) | (630,447 | ) | ||||||||||
| Purchases |
910,706 | 48,302 | 3,228,778 | — | 4,187,786 | |||||||||||||||
| Sales |
— | (115,491 | ) | (905,505 | ) | — | (1,020,996 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Closing balance, as of June 30, 2022 |
$ | 1,087,501 | $ | 3,425,484 | $ | 18,129,919 | $ | 285,200 | $ | 22,928,104 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Net change in unrealized appreciation (depreciation) on investments still held at June 30, 2022(b) |
$ | (83,357 | ) | $ | (104,917 | ) | $ | (417,585 | ) | $ | (25,718 | ) | $ | (631,577 | ) | |||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| (a) | Included in the related net change in unrealized appreciation (depreciation) in the Statements of Operations. |
| (b) | Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at June 30, 2021 is generally due to investments no longer held or categorized as Level 3 at period end. |
| (c) | As of December 31, 2021, the Trust used observable inputs in determining the value of certain investments. As of June 30, 2022, 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. |
| (d) | As of December 31, 2021, the Trust used significant unobservable inputs in determining the value of certain investments. As of June 30, 2022, 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. |
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 $7,761,858. A significant change in third party information could result in a significantly lower or higher value of such Level 3 financial instruments.
| Value | |
Valuation Approach |
|
|
Unobservable Inputs |
|
|
Range of Unobservable Inputs |
|
|
Weighted Average of Unobservable Inputs Based on Fair Value |
| ||||||||
| Assets |
||||||||||||||||||||
| Corporate Bonds |
$ | 3,351,084 | Income | Discount Rate | 6%-12 | % | 9 | % | ||||||||||||
| Floating Rate Loan Interests |
11,815,162 | Income | Discount Rate | 9%-13 | % | 12 | % | |||||||||||||
| Estimated Recovery Value | Discount Rate | 15 | % | — | ||||||||||||||||
|
|
|
|||||||||||||||||||
| $ | 15,166,246 | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| (a) | A significant change in unobservable input would have resulted in a correlated (inverse) significant change to value. |
See notes to financial statements.
| S C H E D U L E O F I N V E S T M E N T S |
31 |
| Schedule of Investments (unaudited) June 30, 2022 |
BlackRock Multi-Sector Opportunities Trust II (MSO2) (Percentages shown are based on Net Assets) |
| Security | Par (000) |
Value | ||||||||||
| Asset-Backed Securities |
||||||||||||
| AGL CLO 9 Ltd., Class E, (3 mo. LIBOR US + 7.26%), 8.32%, 01/20/34(a)(b) |
USD | 250 | $ | 230,846 | ||||||||
| AIMCO CLO 10 Ltd., Series 2019-10A, Class SUB, 0.00%, 07/22/32(a)(b) |
773 | 484,357 | ||||||||||
| Anchorage Capital CLO 7 Ltd., Series 2015-7A, Class D1R2, (3 mo. LIBOR US + 3.50%), 4.74%, 01/28/31(a)(b) |
250 | 235,891 | ||||||||||
| ARES LI CLO Ltd., Series 2019-51A, Class ER, (3 mo. LIBOR US + 6.85%), |
300 | 271,633 | ||||||||||
| Ares LV CLO Ltd., Series 2020-55A, Class DR, (3 mo. LIBOR US + 3.15%), |
750 | 692,326 | ||||||||||
| CarVal CLO I Ltd., Series 2018-1A, Class D, (3 mo. LIBOR US + 2.89%), |
250 | 235,559 | ||||||||||
| CarVal CLO II Ltd., Series 2019-1A, Class DR, (3 mo. LIBOR US + 3.20%), |
2,000 | 1,775,003 | ||||||||||
| CarVal CLO III Ltd., Series 2019-2A, Class E, (3 mo. LIBOR US +
6.44%), |
1,300 | 1,151,870 | ||||||||||
| Cedar Funding XIV CLO Ltd.(a)(b) |
||||||||||||
| Series 2021-14A, Class D, (3 mo. LIBOR US + 3.25%), 4.29%, 07/15/33 |
500 | 463,982 | ||||||||||
| Series 2021-14A, Class E, (3 mo. LIBOR US + 6.34%), 7.38%, 07/15/33 |
375 | 347,278 | ||||||||||
| Series 2021-14A, Class SUB, |
500 | 290,650 | ||||||||||
| Elmwood CLO II Ltd., Series 2019-2A, Class ER, (3 mo. LIBOR US +
6.80%), |
250 | 235,813 | ||||||||||
| Elmwood CLO VII Ltd., Series 2020-4A, Class E, (3 mo. LIBOR US + 7.10%), |
250 | 230,871 | ||||||||||
| Fairstone Financial Issuance Trust I, Series 2020-1A, Class D, |
CAD | 150 | 115,467 | |||||||||
| Generate CLO 3 Ltd., Series 2016-1A, Class DR, (3 mo. LIBOR US +
3.60%), |
USD | 500 | 483,368 | |||||||||
| Generate CLO 4 Ltd., Series 2016-2A, Class ER, (3 mo. LIBOR US +
6.75%), |
250 | 229,862 | ||||||||||
| Gilbert Park CLO Ltd., Series 2017-1A, Class D, (3 mo. LIBOR US +
2.95%), |
750 | 709,123 | ||||||||||
| GoldenTree Loan Management U.S. CLO 1 Ltd., Series 2021-11A, Class E, (3 mo. LIBOR US + 5.35%), 6.41%, 10/20/34(a)(b) |
250 | 220,293 | ||||||||||
| Golub Capital Partners CLO 55B Ltd., Series 2021-55A, Class E, (3 mo. LIBOR US + 6.56%), 7.62%, 07/20/34(a)(b) |
250 | 232,038 | ||||||||||
| GSAA Home Equity Trust, Series 2005-14, Class 1A2, (1 mo. LIBOR US + 0.70%), 2.32%, 12/25/35(a) |
3,371 | 1,575,414 | ||||||||||
| Gulf Stream Meridian 1 Ltd., Series 2020-IA, Class E, (3 mo. LIBOR US + 6.45%), 7.49%, 04/15/33(a)(b) |
250 | 231,577 | ||||||||||
| Gulf Stream Meridian 7 Ltd., |
250 | 235,005 | ||||||||||
| Lending Funding Trust, Series 2020-2A, Class D, 6.77%, 04/21/31(b) |
400 | 387,453 | ||||||||||
| Mariner Finance Issuance Trust(b) |
||||||||||||
| Series 2019-AA, Class D, 5.44%, 07/20/32 |
900 | 857,531 | ||||||||||
| Series 2020-AA, Class D, 5.75%, 08/21/34 |
200 | 184,399 | ||||||||||
| Mosaic Solar Loan Trust, Series 2018-2GS, Class C, 5.97%, 02/22/44(b) |
249 | 238,931 | ||||||||||
| Neuberger Berman Loan Advisers CLO 32 Ltd., Series 2019-32A, Class ER, (3 mo. LIBOR US + 6.10%), 7.14%, 01/20/32(a)(b) |
400 | 368,163 | ||||||||||
| Security | Par (000) |
Value | ||||||||||
| Asset-Backed Securities (continued) |
| |||||||||||
| Neuberger Berman Loan Advisers CLO 37 Ltd., Series 2020-37A, Class ER, (3 mo. LIBOR US +
5.75%), |
USD | 250 | $ | 220,914 | ||||||||
| OCP CLO Ltd.(a)(b) |
||||||||||||
| Series 2013-4A, Class CRR, (3 mo. LIBOR US + 3.00%), 4.18%, 04/24/29 |
300 | 291,179 | ||||||||||
| Series 2014-7A, Class B1RR, (3 mo. LIBOR US + 2.25%), 3.31%, 07/20/29 |
500 | 483,208 | ||||||||||
| Series 2019-17A, Class ER, (3 mo. LIBOR US + 6.50%), 7.56%, 07/20/32 |
1,500 | 1,315,690 | ||||||||||
| Octagon Investment Partners 49 Ltd., Series 2020-5A, Class E, (3 mo. LIBOR US + 6.75%), 7.79%, 01/15/33(a)(b) |
500 | 463,563 | ||||||||||
| OHA Credit Funding 11 Ltd., Series 2022-11A, Class E, (SOFR + 7.25%), 8.35%, 07/19/33(a)(b) |
250 | 235,801 | ||||||||||
| Palmer Square Loan Funding Ltd.(a)(b) |
||||||||||||
| Series 2019-3A, Class C, (3 mo. LIBOR US + 3.40%), 4.88%, 08/20/27 |
1,750 | 1,727,432 | ||||||||||
| Series 2019-4A, Class C, (3 mo. LIBOR US + 3.25%), 4.43%, 10/24/27 |
600 | 589,276 | ||||||||||
| Series 2022-2A, Class D, (SOFR + 6.20%), 7.29%, 10/15/30 |
250 | 240,982 | ||||||||||
| Rad CLO 6 Ltd., Series 2019-6A, Class E, (3 mo. LIBOR US + 7.53%), 8.59%, 01/20/33(a)(b) |
250 | 237,842 | ||||||||||
| Recette CLO Ltd., Series 2015-1A, Class DRR, (3 mo. LIBOR US + 3.25%), 4.31%, 04/20/34(a)(b) |
1,000 | 921,616 | ||||||||||
| Rockford Tower CLO Ltd., Series 2017-3A, Class D, (3 mo. LIBOR US + 2.65%), 3.71%, 10/20/30(a)(b) |
430 | 400,707 | ||||||||||
| Saxon Asset Securities Trust, Series 2007-1, Class M1, (1 mo. LIBOR US + 0.29%), 1.91%, 01/25/47(a) |
2,766 | 2,702,132 | ||||||||||
| Signal Peak CLO 7 Ltd., Series 2019-1A, Class E, (3 mo. LIBOR US + 6.89%), 8.18%, 04/30/32(a)(b) |
1,250 | 1,125,468 | ||||||||||
| Sofi Professional Loan Program LLC, Series 2016-B, Class RC, 0.00%, 04/25/37(b)(c) |
— | (d) | 65,163 | |||||||||
| TICP CLO XII Ltd., Series 2018-12A, Class ER, (3 mo. LIBOR US + 6.25%), 7.29%, 07/15/34(a)(b) |
250 | 220,158 | ||||||||||
| Trestles CLO II Ltd., Series 2018-2A, Class D, (3 mo. LIBOR US + 5.75%), 6.93%, 07/25/31(a)(b) |
250 | 221,172 | ||||||||||
| Trestles CLO III Ltd., Series 2020-3A, Class SUB, 0.00%, 01/20/33(a)(b) |
250 | 177,747 | ||||||||||
| Trestles CLO Ltd., Series 2017-1A, Class CR, (3 mo. LIBOR US + 2.90%), 4.08%, 04/25/32(a)(b) |
1,000 | 935,928 | ||||||||||
| Trinitas CLO XV Ltd., Series 2021-15A, Class E2, (3 mo. LIBOR US + 7.45%), 8.59%, 04/22/34(a)(b) |
250 | 225,463 | ||||||||||
| Whitebox CLO III Ltd., Series 2021-3A, Class E, (3 mo. LIBOR US + 6.85%), 7.89%, 10/15/34(a)(b) |
250 | 232,502 | ||||||||||
|
|
|
|||||||||||
| Total Asset-Backed Securities — 26.7% |
25,748,646 | |||||||||||
|
|
|
|||||||||||
| Shares | ||||||||||||
| Common Stocks |
||||||||||||
| Equity Real Estate Investment Trusts (REITs) — 0.0% | ||||||||||||
| Service Properties Trust |
2,000 | 10,460 | ||||||||||
|
|
|
|||||||||||
| 32 | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Multi-Sector Opportunities Trust II (MSO2) (Percentages shown are based on Net Assets) |
| Security |
Shares |
Value |
||||||||||
| Hotels, Restaurants & Leisure — 0.1% | ||||||||||||
| Caesars Entertainment, Inc.(e) |
1,350 | $ | 51,705 | |||||||||
|
|
|
|||||||||||
| Oil, Gas & Consumable Fuels — 0.3% | ||||||||||||
| California Resources Corp.(f) |
7,618 | 293,293 | ||||||||||
|
|
|
|||||||||||
| Total Common Stocks — 0.4% |
355,458 | |||||||||||
|
|
|
|||||||||||
| Par (000) |
||||||||||||
| Corporate Bonds |
||||||||||||
| Advertising Agencies — 0.1% | ||||||||||||
| Interpublic Group of Cos., Inc., 3.38%, 03/01/41 |
USD | 73 | 54,744 | |||||||||
|
|
|
|||||||||||
| Aerospace & Defense — 1.3% | ||||||||||||
| Embraer Netherlands Finance BV, 6.95%, 01/17/28(b)(g) |
250 | 242,000 | ||||||||||
| TransDigm, Inc. |
||||||||||||
| 6.25%, 03/15/26(b)(g) |
870 | 838,463 | ||||||||||
| 6.38%, 06/15/26 |
142 | 132,770 | ||||||||||
|
|
|
|||||||||||
| 1,213,233 | ||||||||||||
| Airlines — 2.7% | ||||||||||||
| Air France-KLM, 3.88%, 07/01/26(h) |
EUR | 100 | 84,884 | |||||||||
| American Airlines, Inc., 3.93%, 12/15/25(a)(c) |
USD | 71 | 68,464 | |||||||||
| Avianca Midco 2 Ltd., 9.00%, 12/01/28(b) |
2,658 | 2,295,781 | ||||||||||
| Deutsche Lufthansa AG, 2.88%, 05/16/27(h) |
EUR | 100 | 82,694 | |||||||||
| Gol Finance SA, 7.00%, 01/31/25(b)(g) |
USD | 200 | 124,287 | |||||||||
|
|
|
|||||||||||
| 2,656,110 | ||||||||||||
| Auto Components — 0.7% | ||||||||||||
| Aptiv PLC, 3.10%, 12/01/51(g) |
109 | 70,298 | ||||||||||
| Clarios Global LP/Clarios U.S. Finance Co., 6.25%, 05/15/26(b)(g) |
130 | 125,125 | ||||||||||
| Dana, Inc., 5.63%, 06/15/28 |
144 | 123,952 | ||||||||||
| IHO Verwaltungs GmbH, (4.5% PIK), 3.75%, 09/15/26(h)(i) |
EUR | 100 | 86,875 | |||||||||
| ZF Finance GmbH(h) |
||||||||||||
| 2.00%, 05/06/27 |
200 | 161,300 | ||||||||||
| 3.75%, 09/21/28 |
100 | 82,221 | ||||||||||
|
|
|
|||||||||||
| 649,771 | ||||||||||||
| Automobiles — 0.9% | ||||||||||||
| Constellation Automotive Financing PLC, 4.88%, 07/15/27(h) |
GBP | 100 | 95,558 | |||||||||
| Ford Motor Credit Co. LLC, 5.58%, 03/18/24(g) |
USD | 597 | 594,015 | |||||||||
| General Motors Co., 5.95%, 04/01/49(g) |
125 | 116,077 | ||||||||||
| Jaguar Land Rover Automotive PLC, 4.50%, 07/15/28(h) |
EUR | 100 | 74,810 | |||||||||
|
|
|
|||||||||||
| 880,460 | ||||||||||||
| Banks — 1.1% | ||||||||||||
| Commerzbank AG, (5 year EUR Swap + 6.36%), 6.13%(a)(h)(j) |
200 | 189,155 | ||||||||||
| Freedom Mortgage Corp., 8.25%, 04/15/25(b) |
USD | 144 | 121,203 | |||||||||
| Grupo Aval Ltd., 4.38%, 02/04/30(b)(g) |
200 | 155,788 | ||||||||||
| Intesa Sanpaolo SpA, (5 year EUR Swap + 6.09%), 5.88%(a)(h)(j) |
EUR | 250 | 203,868 | |||||||||
| Security | Par (000) |
Value | ||||||||||
| Banks (continued) | ||||||||||||
| Kasikornbank PCL, (5 year CMT + 1.70%), 3.34%, 10/02/31(a)(h) |
USD | 200 | $ | 180,287 | ||||||||
| NBK Tier 1 Ltd., 3.63%(a)(b)(g)(j) |
277 | 248,486 | ||||||||||
|
|
|
|||||||||||
| 1,098,787 | ||||||||||||
| Beverages — 1.0% | ||||||||||||
| Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc., 4.70%, 02/01/36 |
63 | 60,356 | ||||||||||
| Anheuser-Busch InBev Worldwide, Inc., 4.50%, 06/01/50(g) |
107 | 96,190 | ||||||||||
| Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc., 4.75%, 07/15/27(h) |
GBP | 100 | 87,320 | |||||||||
| Ball Corp. |
||||||||||||
| 5.25%, 07/01/25 |
USD | 17 | 17,012 | |||||||||
| 4.88%, 03/15/26 |
13 | 12,789 | ||||||||||
| Coca-Cola Co., 2.50%, 03/15/51 |
9 | 6,518 | ||||||||||
| Mauser Packaging Solutions Holding Co., 5.50%, 04/15/24(b)(g) |
402 | 383,910 | ||||||||||
| OI European Group BV, 2.88%, 02/15/25(h) |
EUR | 100 | 94,900 | |||||||||
| Trivium Packaging Finance BV, 5.50%, 08/15/26(b) |
USD | 200 | 188,942 | |||||||||
|
|
|
|||||||||||
| 947,937 | ||||||||||||
| Biotechnology — 0.3% | ||||||||||||
| Amgen, Inc. |
||||||||||||
| 3.00%, 01/15/52(g) |
160 | 113,454 | ||||||||||
| 2.77%, 09/01/53 |
9 | 6,072 | ||||||||||
| Cidron Aida Finco SARL, 6.25%, 04/01/28(h) |
GBP | 100 | 99,514 | |||||||||
| Gilead Sciences, Inc., 2.80%, 10/01/50(g) |
USD | 164 | 114,446 | |||||||||
|
|
|
|||||||||||
| 333,486 | ||||||||||||
| Building Materials — 0.1% | ||||||||||||
| Cemex SAB de CV, 3.13%, 03/19/26(h) |
EUR | 100 | 97,119 | |||||||||
| Masonite International Corp., Class C, 5.38%, 02/01/28(b) |
USD | 9 | 8,145 | |||||||||
| Standard Industries, Inc.(b) |
||||||||||||
| 5.00%, 02/15/27 |
9 | 8,033 | ||||||||||
| 4.75%, 01/15/28(g) |
35 | 29,925 | ||||||||||
|
|
|
|||||||||||
| 143,222 | ||||||||||||
| Building Products — 0.3% | ||||||||||||
| Home Depot, Inc. |
||||||||||||
| 2.38%, 03/15/51 |
9 | 6,086 | ||||||||||
| 2.75%, 09/15/51 |
130 | 94,471 | ||||||||||
| 3.63%, 04/15/52 |
42 | 36,026 | ||||||||||
| Lowe’s Cos., Inc. |
||||||||||||
| 3.00%, 10/15/50(g) |
169 | 117,756 | ||||||||||
| 4.25%, 04/01/52 |
41 | 35,504 | ||||||||||
| SRS Distribution, Inc., 4.63%, 07/01/28(b) |
11 | 9,625 | ||||||||||
|
|
|
|||||||||||
| 299,468 | ||||||||||||
| Capital Markets(h) — 0.2% | ||||||||||||
| Kane Bidco Ltd., 6.50%, 02/15/27 |
GBP | 100 | 106,294 | |||||||||
| Sherwood Financing PLC, 6.00%, 11/15/26 |
100 | 97,450 | ||||||||||
|
|
|
|||||||||||
| 203,744 | ||||||||||||
| Chemicals — 1.9% | ||||||||||||
| Alpek SAB de CV, 3.25%, 02/25/31(b)(g) |
USD | 200 | 160,225 | |||||||||
| Axalta Coating Systems Dutch Holding B BV, 3.75%, 01/15/25(h) |
EUR | 100 | 94,577 | |||||||||
| Braskem Idesa SAPI, 6.99%, 02/20/32(b)(g) |
USD | 200 | 155,000 | |||||||||
| Braskem Netherlands Finance BV, (5 year CMT + 8.22%), 8.50%, 01/23/81(a)(b)(g) |
245 | 245,276 | ||||||||||
| Chemours Co., 4.00%, 05/15/26 |
EUR | 100 | 92,744 | |||||||||
| S C H E D U L E O F I N V E S T M E N T S |
33 |
| Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Multi-Sector Opportunities Trust II (MSO2) (Percentages shown are based on Net Assets) |
| Security | Par (000) |
Value | ||||||||||
| Chemicals (continued) | ||||||||||||
| International Flavors & Fragrances, Inc., 3.47%, 12/01/50(b) |
USD | 65 | $ | 47,356 | ||||||||
| LYB International Finance III LLC, 4.20%, 05/01/50(g) |
80 | 65,002 | ||||||||||
| NOVA Chemicals Corp., 4.88%, 06/01/24(b)(g) |
621 | 590,259 | ||||||||||
| OCI NV, 3.63%, 10/15/25(h) |
EUR | 90 | 92,094 | |||||||||
| Sasol Financing USA LLC, 6.50%, 09/27/28(g) |
USD | 287 | 260,686 | |||||||||
| Sherwin-Williams Co., 2.90%, 03/15/52(g) |
80 | 54,486 | ||||||||||
|
|
|
|||||||||||
| 1,857,705 | ||||||||||||
| Commercial Services & Supplies — 0.9% | ||||||||||||
| AMN Healthcare, Inc., 4.63%, 10/01/27(b)(g) |
99 | 90,760 | ||||||||||
| Avis Budget Finance PLC, 4.13%, 11/15/24(h) |
EUR | 100 | 99,707 | |||||||||
| Loxam SAS, 3.75%, 07/15/26(h) |
100 | 89,736 | ||||||||||
| United Rentals North America, Inc. |
||||||||||||
| 5.50%, 05/15/27 |
USD | 8 | 7,845 | |||||||||
| 4.88%, 01/15/28(g) |
479 | 452,885 | ||||||||||
| 5.25%, 01/15/30 |
13 | 12,058 | ||||||||||
| Verisure Midholding AB, 5.25%, 02/15/29(h) |
EUR | 100 | 79,653 | |||||||||
|
|
|
|||||||||||
| 832,644 | ||||||||||||
| Construction & Engineering — 0.1% | ||||||||||||
| Ferrovial Netherlands BV, (5 year EUR Swap + 2.13%), 2.12%(a)(h)(j) |
100 | 86,589 | ||||||||||
|
|
|
|||||||||||
| Construction Materials — 0.4% | ||||||||||||
| KAR Auction Services, Inc., 5.13%, 06/01/25(b)(g) |
USD | 444 | 422,204 | |||||||||
|
|
|
|||||||||||
| Consumer Discretionary — 0.1% | ||||||||||||
| Atento Luxco 1 SA, 8.00%, 02/10/26(b)(g) |
200 | 141,413 | ||||||||||
|
|
|
|||||||||||
| Consumer Finance — 0.4% | ||||||||||||
| Encore Capital Group, Inc., 4.88%, 10/15/25(h) |
EUR | 100 | 100,865 | |||||||||
| Moody’s Corp. |
||||||||||||
| 2.55%, 08/18/60 |
USD | 2 | 1,246 | |||||||||
| 3.10%, 11/29/61 |
7 | 4,800 | ||||||||||
| Muthoot Finance Ltd., 6.13%, 10/31/22(b)(g) |
250 | 248,625 | ||||||||||
| Visa, Inc., 2.00%, 08/15/50 |
9 | 5,969 | ||||||||||
|
|
|
|||||||||||
| 361,505 | ||||||||||||
| Containers & Packaging — 0.6% | ||||||||||||
| Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC, 3.25%, 09/01/28(b) |
201 | 171,567 | ||||||||||
| Klabin Austria GmbH, 3.20%, 01/12/31(b)(g) |
200 | 152,250 | ||||||||||
| Suzano Austria GmbH(g) |
||||||||||||
| 3.13%, 01/15/32 |
150 | 112,688 | ||||||||||
| 7.00%, 03/16/47(b) |
200 | 190,475 | ||||||||||
|
|
|
|||||||||||
| 626,980 | ||||||||||||
| Diversified Consumer Services — 0.1% | ||||||||||||
| Rekeep SpA, 7.25%, 02/01/26(h) |
EUR | 100 | 90,293 | |||||||||
|
|
|
|||||||||||
| Diversified Financial Services — 2.5% | ||||||||||||
| ASG Finance Designated Activity Co., 7.88%, 12/03/24(b)(g) |
USD | 214 | 200,625 | |||||||||
| Bank of America Corp.(a) |
||||||||||||
| (3 mo. LIBOR US + 3.15%), 4.08%, 03/20/51(g) |
130 | 112,042 | ||||||||||
| (SOFR + 1.56%), 2.97%, 07/21/52 |
9 | 6,390 | ||||||||||
| Garfunkelux Holdco 3 SA, 7.75%, 11/01/25(h) |
GBP | 100 | 108,948 | |||||||||
| Goldman Sachs Group, Inc., 4.80%, 07/08/44(g) |
USD | 85 | 80,311 | |||||||||
| Intercontinental Exchange, Inc., 3.00%, 09/15/60 |
9 | 6,064 | ||||||||||
| JPMorgan Chase & Co.(a) |
||||||||||||
| (SOFR + 1.51%), 2.53%, 11/19/41 |
9 | 6,439 | ||||||||||
| (SOFR + 1.58%), 3.33%, 04/22/52 |
100 | 76,019 | ||||||||||
| Lloyds Banking Group PLC, (5 year USD Swap + 4.76%), 7.50%(a)(f)(j) |
200 | 194,000 | ||||||||||
| Security | Par (000) |
Value | ||||||||||
| Diversified Financial Services (continued) | ||||||||||||
| Morgan Stanley, (SOFR + 1.43%), 2.80%, 01/25/52(a) |
USD | 9 | $ | 6,248 | ||||||||
| Oafit A Note Upsize, 1.00%, 03/28/24(c) |
AUD | 480 | 327,609 | |||||||||
| Oceana Australian Trust, 10.00%, 08/31/23(c) |
966 | 675,116 | ||||||||||
| Operadora de Servicios Mega SA de CV Sofom ER, 8.25%, 02/11/25(b)(g) |
USD | 400 | 259,575 | |||||||||
| Shriram Transport Finance Co. Ltd., 5.95%, 10/24/22(h) |
200 | 197,440 | ||||||||||
| Sun Country Airlines Holdings, Inc., 7.00%, 12/15/23(c) |
202 | 196,904 | ||||||||||
|
|
|
|||||||||||
| 2,453,730 | ||||||||||||
| Diversified Telecommunication Services — 1.1% | ||||||||||||
| Level 3 Financing, Inc.(b) |
||||||||||||
| 4.63%, 09/15/27 |
17 | 14,493 | ||||||||||
| 4.25%, 07/01/28(g) |
426 | 341,333 | ||||||||||
| 3.63%, 01/15/29(g) |
381 | 293,771 | ||||||||||
| Oi SA, (10.00% Cash or 8.00% Cash + 4.00% PIK), 10.00%, 07/27/25(g)(i) |
200 | 92,000 | ||||||||||
| SoftBank Group Corp.(h) |
||||||||||||
| 4.75%, 07/30/25 |
EUR | 100 | 92,914 | |||||||||
| 5.00%, 04/15/28 |
100 | 83,123 | ||||||||||
| Verizon Communications, Inc. |
||||||||||||
| 2.88%, 11/20/50(g) |
USD | 80 | 56,769 | |||||||||
| 3.55%, 03/22/51(g) |
84 | 67,340 | ||||||||||
| 2.99%, 10/30/56 |
9 | 6,248 | ||||||||||
|
|
|
|||||||||||
| 1,047,991 | ||||||||||||
| Electric Utilities(b) — 1.0% | ||||||||||||
| Empresas Publicas de Medellin ESP, 4.25%, 07/18/29(g) |
253 | 197,862 | ||||||||||
| Talen Energy Supply LLC(e)(k) |
||||||||||||
| 7.25%, 05/15/27 |
501 | 493,310 | ||||||||||
| 6.63%, 01/15/28 |
274 | 265,306 | ||||||||||
|
|
|
|||||||||||
| 956,478 | ||||||||||||
| Energy Equipment & Services — 0.7% | ||||||||||||
| Petroleos Mexicanos |
||||||||||||
| 8.75%, 06/02/29(b) |
176 | 157,443 | ||||||||||
| 6.70%, 02/16/32(g) |
245 | 185,588 | ||||||||||
| Transocean Phoenix 2 Ltd., 7.75%, 10/15/24(b)(g) |
329 | 312,896 | ||||||||||
| Vallourec SA, 8.50%, 06/30/26(h) |
EUR | 17 | 16,452 | |||||||||
|
|
|
|||||||||||
| 672,379 | ||||||||||||
| Environmental, Maintenance & Security Service — 0.1% | ||||||||||||
| Clean Harbors, Inc., 4.88%, 07/15/27(b) |
USD | 9 | 8,235 | |||||||||
| Republic Services, Inc., 3.05%, 03/01/50 |
135 | 100,243 | ||||||||||
|
|
|
|||||||||||
| 108,478 | ||||||||||||
| Equity Real Estate Investment Trusts (REITs) — 1.2% | ||||||||||||
| American Tower Corp., 3.10%, 06/15/50(g)(l) |
89 | 61,525 | ||||||||||
| Crown Castle International Corp., 2.90%, 04/01/41(g) |
85 | 61,264 | ||||||||||
| Equinix, Inc. |
||||||||||||
| 3.00%, 07/15/50(l) |
4 | 2,739 | ||||||||||
| 2.95%, 09/15/51(g) |
85 | 57,352 | ||||||||||
| MGM Growth Properties Operating Partnership LP/MGP Finance Co.-Issuer, Inc., 5.63%, 05/01/24 |
450 | 452,925 | ||||||||||
| Mid-America Apartments LP, 2.88%, 09/15/51 |
12 | 8,322 | ||||||||||
| MPT Operating Partnership LP/MPT Finance Corp. |
||||||||||||
| 5.25%, 08/01/26 |
9 | 8,500 | ||||||||||
| 4.63%, 08/01/29(g) |
16 | 14,040 | ||||||||||
| Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance Co.Issuer, 4.88%, 05/15/29(b) |
37 | 31,771 | ||||||||||
| RHP Hotel Properties LP/RHP Finance Corp., 4.75%, 10/15/27 |
12 | 10,645 | ||||||||||
| Service Properties Trust 4.50%, 06/15/23(g) |
386 | 358,835 | ||||||||||
| 34 | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Multi-Sector Opportunities Trust II (MSO2) (Percentages shown are based on Net Assets) |
| Security | Par (000) |
Value | ||||||||||
| Equity Real Estate Investment Trusts (REITs) (continued) | ||||||||||||
| Service Properties Trust (continued) |
||||||||||||
| 7.50%, 09/15/25 |
USD | 33 | $ | 30,236 | ||||||||
| XHR LP(b) |
||||||||||||
| 6.38%, 08/15/25 |
68 | 65,576 | ||||||||||
| 4.88%, 06/01/29 |
11 | 9,437 | ||||||||||
|
|
|
|||||||||||
| 1,173,167 | ||||||||||||
| Food & Staples Retailing — 0.5% | ||||||||||||
| Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC(b) |
||||||||||||
| 4.63%, 01/15/27 |
147 | 131,318 | ||||||||||
| 5.88%, 02/15/28 |
13 | 12,150 | ||||||||||
| 4.88%, 02/15/30(g) |
17 | 14,583 | ||||||||||
| Bellis Acquisition Co. PLC, 3.25%, 02/16/26(h) |
GBP | 100 | 94,341 | |||||||||
| General Mills, Inc., 3.00%, 02/01/51 |
USD | 125 | 90,825 | |||||||||
| Market Bidco Finco PLC, 5.50%, 11/04/27(h) |
GBP | 100 | 92,515 | |||||||||
| Picard Groupe SAS, 3.88%, 07/01/26(h) |
EUR | 100 | 85,388 | |||||||||
| Walmart, Inc., 2.65%, 09/22/51 |
USD | 9 | 6,766 | |||||||||
|
|
|
|||||||||||
| 527,886 | ||||||||||||
| Food Products — 0.2% | ||||||||||||
| Aramark Services, Inc., 5.00%, 02/01/28(b)(g) |
20 | 18,124 | ||||||||||
| Darling Ingredients, Inc., 5.25%, 04/15/27(b) |
9 | 8,707 | ||||||||||
| Louis Dreyfus Co. Finance BV, 1.63%, 04/28/28(h) |
EUR | 100 | 89,342 | |||||||||
| Tereos Finance Groupe I SA, 7.50%, 10/30/25(h) |
100 | 102,855 | ||||||||||
|
|
|
|||||||||||
| 219,028 | ||||||||||||
| Health Care Equipment & Supplies — 0.1% | ||||||||||||
| Becton Dickinson & Co., 3.79%, 05/20/50(g) |
USD | 85 | 70,135 | |||||||||
| Danaher Corp., 2.80%, 12/10/51 |
9 | 6,483 | ||||||||||
|
|
|
|||||||||||
| 76,618 | ||||||||||||
| Health Care Providers & Services — 2.9% | ||||||||||||
| Acadia Healthcare Co., Inc., 5.50%, 07/01/28(b) |
20 | 18,686 | ||||||||||
| Elevance Health, Inc., 3.13%, 05/15/50(g) |
80 | 60,389 | ||||||||||
| HCA, Inc. |
||||||||||||
| 5.38%, 09/01/26(g) |
17 | 16,857 | ||||||||||
| 3.50%, 09/01/30(g) |
308 | 262,019 | ||||||||||
| 5.25%, 06/15/49(g) |
85 | 73,206 | ||||||||||
| 3.50%, 07/15/51 |
9 | 6,146 | ||||||||||
| Medline Borrower LP, 3.88%, 04/01/29(b)(g) |
415 | 353,460 | ||||||||||
| Phoenix PIB Dutch Finance BV, 2.38%, 08/05/25(h) |
EUR | 100 | 95,363 | |||||||||
| Select Medical Corp., 6.25%, 08/15/26(b)(g) |
USD | 360 | 336,046 | |||||||||
| Tenet Healthcare Corp.(b) |
||||||||||||
| 4.63%, 09/01/24(g) |
384 | 368,640 | ||||||||||
| 4.88%, 01/01/26(g) |
654 | 601,680 | ||||||||||
| 6.25%, 02/01/27(g) |
26 | 23,931 | ||||||||||
| 5.13%, 11/01/27(g) |
26 | 23,400 | ||||||||||
| 4.63%, 06/15/28 |
23 | 20,028 | ||||||||||
| 4.25%, 06/01/29(g) |
507 | 427,001 | ||||||||||
| 4.38%, 01/15/30 |
44 | 37,225 | ||||||||||
| UnitedHealth Group, Inc., 2.90%, 05/15/50 |
9 | 6,740 | ||||||||||
| Universal Health Services, Inc., 2.65%, 10/15/30(b) |
63 | 50,384 | ||||||||||
|
|
|
|||||||||||
| 2,781,201 | ||||||||||||
| Health Care Technology — 0.2% | ||||||||||||
| CAB SELAS, 3.38%, 02/01/28(h) |
EUR | 200 | 167,887 | |||||||||
| Charles River Laboratories International, Inc., 4.25%, 05/01/28(b) |
USD | 9 | 8,085 | |||||||||
| Roche Holdings, Inc., 2.61%, 12/13/51(b) |
9 | 6,534 | ||||||||||
|
|
|
|||||||||||
| 182,506 | ||||||||||||
| Security | Par (000) |
Value | ||||||||||
| Hotels, Restaurants & Leisure — 4.8% | ||||||||||||
| 1011778 BC ULC/New Red Finance, Inc., 3.88%, 01/15/28(b) |
USD | 13 | $ | 11,283 | ||||||||
| Affinity Gaming, 6.88%, 12/15/27(b) |
147 | 123,486 | ||||||||||
| Boyd Gaming Corp., 4.75%, 12/01/27(g) |
331 | 299,555 | ||||||||||
| Caesars Entertainment, Inc.(b)(g) |
||||||||||||
| 6.25%, 07/01/25 |
228 | 219,730 | ||||||||||
| 8.13%, 07/01/27 |
146 | 141,073 | ||||||||||
| Caesars Resort Collection LLC/CRC Finco, Inc., 5.75%, 07/01/25(b) |
68 | 65,029 | ||||||||||
| Cedar Fair LP, 5.25%, 07/15/29 |
9 | 7,937 | ||||||||||
| Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Op |
||||||||||||
| 5.50%, 05/01/25(b)(g) |
102 | 98,940 | ||||||||||
| 5.38%, 04/15/27 |
9 | 8,529 | ||||||||||
| Churchill Downs, Inc.(b) |
||||||||||||
| 5.50%, 04/01/27 |
10 | 9,500 | ||||||||||
| 4.75%, 01/15/28 |
9 | 8,010 | ||||||||||
| CPUK Finance Ltd., 6.50%, 08/28/26(h) |
GBP | 100 | 114,461 | |||||||||
| Full House Resorts, Inc., 8.25%, 02/15/28(b) |
USD | 13 | 10,391 | |||||||||
| Golden Entertainment, Inc., 7.63%, 04/15/26(b)(g) |
34 | 33,660 | ||||||||||
| Hilton Domestic Operating Co., Inc., 4.88%, 01/15/30(g) |
17 | 15,364 | ||||||||||
| Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Esc, 5.00%, 06/01/29(b) |
147 | 119,070 | ||||||||||
| International Game Technology PLC, 6.50%, 02/15/25(b)(g) |
582 | 579,090 | ||||||||||
| IRB Holding Corp., 7.00%, 06/15/25(b) |
72 | 70,477 | ||||||||||
| Marriott International, Inc. |
||||||||||||
| Series FF, 4.63%, 06/15/30 |
50 | 47,934 | ||||||||||
| Series GG, 3.50%, 10/15/32(g) |
232 | 200,117 | ||||||||||
| Marriott Ownership Resorts, Inc.(b) |
||||||||||||
| 6.13%, 09/15/25(g) |
133 | 131,617 | ||||||||||
| 4.50%, 06/15/29 |
151 | 125,583 | ||||||||||
| Melco Resorts Finance Ltd., 5.25%, 04/26/26(h) |
200 | 140,000 | ||||||||||
| MGM China Holdings Ltd., 5.88%, 05/15/26(g)(h) |
200 | 151,850 | ||||||||||
| MGM Resorts International |
||||||||||||
| 5.75%, 06/15/25(g) |
12 | 11,430 | ||||||||||
| 4.63%, 09/01/26(f) |
152 | 134,925 | ||||||||||
| 5.50%, 04/15/27(g) |
154 | 138,217 | ||||||||||
| Midwest Gaming Borrower LLC/Midwest Gaming Finance Corp., 4.88%, 05/01/29(b)(g) |
102 | 83,130 | ||||||||||
| Peninsula Pacific Entertainment LLC/Peninsula Pacific Entertainment Finance, Inc., 8.50%, 11/15/27(b)(g) |
344 | 361,062 | ||||||||||
| Scientific Games International, Inc., 7.00%, 05/15/28(b)(g) |
194 | 182,055 | ||||||||||
| SeaWorld Parks & Entertainment, Inc., 8.75%, 05/01/25(b)(g) |
310 | 320,850 | ||||||||||
| Stonegate Pub Co. Financing PLC, 8.25%, 07/31/25(h) |
GBP | 100 | 111,170 | |||||||||
| Travel & Leisure
Co., |
USD | 90 | 85,332 | |||||||||
| Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.(b)(g) |
||||||||||||
| 5.50%, 03/01/25 |
173 | 158,295 | ||||||||||
| 5.25%, 05/15/27 |
16 | 13,704 | ||||||||||
| Wynn Macau Ltd., 5.50%, 01/15/26(g)(h) |
200 | 138,250 | ||||||||||
| Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., 5.13%, 10/01/29(b)(g) |
213 | 167,759 | ||||||||||
|
|
|
|||||||||||
| 4,638,865 | ||||||||||||
| Household Durables — 3.9% | ||||||||||||
| Ashton Woods USA LLC/Ashton Woods Finance Co.(b) |
||||||||||||
| 6.63%, 01/15/28(g) |
216 | 183,600 | ||||||||||
| 4.63%, 08/01/29 |
30 | 22,500 | ||||||||||
| S C H E D U L E O F I N V E S T M E N T S |
35 |
| Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Multi-Sector Opportunities Trust II (MSO2) (Percentages shown are based on Net Assets) |
| Security | Par (000) |
Value | ||||||||||
| Household Durables (continued) | ||||||||||||
| Brookfield Residential Properties, Inc./Brookfield Residential U.S. LLC(b) |
||||||||||||
| 6.25%, 09/15/27(g) |
USD | 234 | $ | 193,973 | ||||||||
| 5.00%, 06/15/29 |
10 | 7,561 | ||||||||||
| Century Communities, Inc., 6.75%, 06/01/27(g) |
44 | 42,205 | ||||||||||
| Controladora Mabe SA de
CV, |
400 | 406,200 | ||||||||||
| Forestar Group, Inc.(b)(g) |
||||||||||||
| 3.85%, 05/15/26 |
244 | 200,514 | ||||||||||
| 5.00%, 03/01/28 |
319 | 260,536 | ||||||||||
| Lennar Corp., 4.75%, 11/29/27(g) |
16 | 15,534 | ||||||||||
| M/I Homes, Inc., 4.95%, 02/01/28(g) |
225 | 191,260 | ||||||||||
| Mattamy Group Corp., 5.25%, 12/15/27(b) |
9 | 7,349 | ||||||||||
| Newell Brands, Inc., 4.45%, 04/01/26(g) |
35 | 33,338 | ||||||||||
| Taylor Morrison Communities, Inc.(b)(g) |
||||||||||||
| 5.88%, 06/15/27 |
270 | 248,862 | ||||||||||
| 5.75%, 01/15/28 |
914 | 820,097 | ||||||||||
| Tri Pointe Homes, Inc. |
||||||||||||
| 5.25%, 06/01/27(g) |
705 | 616,271 | ||||||||||
| 5.70%, 06/15/28 |
18 | 15,534 | ||||||||||
| William Lyon Homes, Inc., 6.63%, 07/15/27(b)(g) |
527 | 504,813 | ||||||||||
|
|
|
|||||||||||
| 3,770,147 | ||||||||||||
| Independent Power and Renewable Electricity Producers — 2.2% | ||||||||||||
| Calpine Corp.(b)(g) |
||||||||||||
| 4.50%, 02/15/28 |
652 | 591,936 | ||||||||||
| 5.13%, 03/15/28 |
578 | 508,813 | ||||||||||
| Continuum Energy Levanter Pte. Ltd., 4.50%, 02/09/27(b)(g) |
197 | 153,855 | ||||||||||
| Greenko Solar Mauritius Ltd., 5.95%, 07/29/26(h) |
200 | 176,500 | ||||||||||
| India Green Energy
Holdings, |
250 | 233,750 | ||||||||||
| Investment Energy Resources Ltd., 6.25%, 04/26/29(b)(g) |
200 | 169,600 | ||||||||||
| NRG Energy, Inc. |
||||||||||||
| 5.75%, 01/15/28 |
14 | 12,725 | ||||||||||
| 5.25%, 06/15/29(b) |
13 | 11,603 | ||||||||||
| SCC Power PLC(b)(i) |
||||||||||||
| (4% PIK), 4.00%, 05/17/32 |
265 | 31,455 | ||||||||||
| (8.00% Cash or 4.00% Cash + 4.00% PIK), 8.00%, 12/31/28 |
489 | 211,351 | ||||||||||
|
|
|
|||||||||||
| 2,101,588 | ||||||||||||
| Insurance — 0.4% | ||||||||||||
| American International Group, Inc., 4.38%, 06/30/50(g) |
100 | 88,674 | ||||||||||
| Prudential PLC, (5 year CMT + 1.52%), 2.95%, 11/03/33(a)(h) |
300 | 251,775 | ||||||||||
|
|
|
|||||||||||
| 340,449 | ||||||||||||
| Interactive Media & Services — 0.2% | ||||||||||||
| Alphabet, Inc., 2.25%, 08/15/60 |
4 | 2,599 | ||||||||||
| United Group BV(h) |
||||||||||||
| 4.88%, 07/01/24 |
EUR | 100 | 95,155 | |||||||||
| (3 mo. EURIBOR + 4.88%), 4.88%, 02/01/29(a) |
100 | 91,840 | ||||||||||
|
|
|
|||||||||||
| 189,594 | ||||||||||||
| Internet & Direct Marketing Retail — 0.1% | ||||||||||||
| Amazon.com, Inc. |
||||||||||||
| 3.10%, 05/12/51 |
USD | 115 | 90,558 | |||||||||
| 2.70%, 06/03/60 |
9 | 6,096 | ||||||||||
|
|
|
|||||||||||
| 96,654 | ||||||||||||
| IT Services — 0.3% | ||||||||||||
| Centurion Bidco SpA, 5.88%, 09/30/26(h) |
EUR | 100 | 91,764 | |||||||||
| Security |
Par (000) |
Value | ||||||||||
| IT Services (continued) | ||||||||||||
| Fidelity National Information Services, Inc., 4.50%, 08/15/46 |
USD | 65 | $ | 57,290 | ||||||||
| International Business Machines Corp., 2.95%, 05/15/50(g) |
109 | 78,920 | ||||||||||
| La Financiere Atalian SASU, 6.63%, 05/15/25(h) |
GBP | 100 | 92,194 | |||||||||
|
|
|
|||||||||||
| 320,168 | ||||||||||||
| Machinery — 0.4% | ||||||||||||
| TK Elevator Midco GmbH(h) |
||||||||||||
| 4.38%, 07/15/27 |
EUR | 100 | 90,280 | |||||||||
| (3 mo. EURIBOR + 4.75%), 4.75%, 07/15/27(a) |
100 | 98,444 | ||||||||||
| TK Elevator U.S. Newco, Inc., 5.25%, 07/15/27(b)(g) |
USD | 200 | 178,313 | |||||||||
|
|
|
|||||||||||
| 367,037 | ||||||||||||
| Media — 1.9% | ||||||||||||
| Altice Financing SA(h) |
||||||||||||
| 2.25%, 01/15/25 |
EUR | 100 | 91,706 | |||||||||
| 4.25%, 08/15/29 |
100 | 78,858 | ||||||||||
| AMC Networks, Inc., 5.00%, 04/01/24 |
USD | 7 | 7,377 | |||||||||
| Charter Communications Operating LLC/Charter Communications Operating Capital |
||||||||||||
| 3.90%, 06/01/52 |
80 | 55,537 | ||||||||||
| 3.85%, 04/01/61 |
9 | 5,919 | ||||||||||
| Clear Channel Outdoor Holdings, Inc., 5.13%, 08/15/27(b)(g) |
306 | 258,365 | ||||||||||
| Comcast Corp. |
||||||||||||
| 2.89%, 11/01/51(g) |
105 | 75,009 | ||||||||||
| 2.45%, 08/15/52 |
9 | 5,973 | ||||||||||
| iHeartCommunications, Inc. |
||||||||||||
| 6.38%, 05/01/26 |
14 | 12,884 | ||||||||||
| 5.25%, 08/15/27(b) |
13 | 11,126 | ||||||||||
| 4.75%, 01/15/28(b) |
9 | 7,417 | ||||||||||
| Lamar Media Corp., 3.75%, 02/15/28 |
10 | 8,877 | ||||||||||
| Liquid Telecommunications Financing PLC, 5.50%, 09/04/26(b)(g) |
200 | 175,000 | ||||||||||
| Lorca Telecom Bondco SA, 4.00%, 09/18/27(h) |
EUR | 100 | 87,474 | |||||||||
| Nexstar Media, Inc., 5.63%, 07/15/27(b)(g) |
USD | 300 | 273,750 | |||||||||
| Outfront Media Capital LLC/Outfront Media Capital Corp.(b) |
||||||||||||
| 5.00%, 08/15/27 |
11 | 9,611 | ||||||||||
| 4.63%, 03/15/30 |
9 | 7,091 | ||||||||||
| Sable International Finance Ltd., 5.75%, 09/07/27(g)(h) |
226 | 207,152 | ||||||||||
| SES SA, (5 year EUR Swap + 5.40%), 5.63%(a)(h)(j) |
EUR | 100 | 101,222 | |||||||||
| Sirius XM Radio, Inc.(b)(g) |
||||||||||||
| 5.00%, 08/01/27 |
USD | 54 | 50,086 | |||||||||
| 5.50%, 07/01/29 |
48 | 43,740 | ||||||||||
| Summer BC Holdco B SARL, 5.75%, 10/31/26(h) |
EUR | 100 | 91,292 | |||||||||
| TEGNA, Inc.(g) |
||||||||||||
| 4.63%, 03/15/28 |
USD | 150 | 140,250 | |||||||||
| 5.00%, 09/15/29 |
19 | 17,971 | ||||||||||
| Walt Disney Co., 2.75%, 09/01/49 |
9 | 6,424 | ||||||||||
|
|
|
|||||||||||
| 1,830,111 | ||||||||||||
| Metals & Mining — 0.8% | ||||||||||||
| Commercial Metals Co., 3.88%, 02/15/31 |
156 | 124,772 | ||||||||||
| FMG Resources August 2006 Pty. Ltd., 4.50%, 09/15/27(b) |
10 | 8,925 | ||||||||||
| Freeport-McMoRan, Inc. |
||||||||||||
| 5.00%, 09/01/27 |
10 | 9,922 | ||||||||||
| 5.25%, 09/01/29 |
10 | 9,550 | ||||||||||
| Nexa Resources SA, 5.38%, 05/04/27(b)(g) |
200 | 184,788 | ||||||||||
| 36 | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Multi-Sector Opportunities Trust II (MSO2) (Percentages shown are based on Net Assets) |
| Security | Par (000) |
Value | ||||||||||
| Metals & Mining (continued) | ||||||||||||
| Periama Holdings LLC, 5.95%, 04/19/26(h) |
USD | 200 | $ | 178,000 | ||||||||
| thyssenkrupp AG, 1.88%, 03/06/23(h) |
EUR | 43 | 43,904 | |||||||||
| Vedanta Resources Finance II PLC, 13.88%, 01/21/24(h) |
USD | 200 | 178,000 | |||||||||
|
|
|
|||||||||||
| 737,861 | ||||||||||||
| Oil, Gas & Consumable Fuels — 4.9% | ||||||||||||
| BP Capital Markets PLC, (5 year EUR Swap + 4.12%), 3.63%(a)(h)(j) |
EUR | 150 | 130,928 | |||||||||
| Buckeye Partners LP |
||||||||||||
| 4.13%, 03/01/25(b)(g) |
USD | 87 | 80,547 | |||||||||
| 3.95%, 12/01/26 |
10 | 8,747 | ||||||||||
| California Resources Corp., 7.13%, 02/01/26(b) |
137 | 133,963 | ||||||||||
| Centennial Resource Production LLC(b)(g) |
||||||||||||
| 5.38%, 01/15/26 |
834 | 752,317 | ||||||||||
| 6.88%, 04/01/27 |
51 | 48,431 | ||||||||||
| Cheniere Energy Partners LP |
||||||||||||
| 4.50%, 10/01/29(g) |
165 | 147,296 | ||||||||||
| 3.25%, 01/31/32(b) |
16 | 12,600 | ||||||||||
| Cheniere Energy, Inc., 4.63%, 10/15/28 |
50 | 45,029 | ||||||||||
| Chesapeake Energy Corp.(b) |
||||||||||||
| 5.50%, 02/01/26 |
51 | 48,566 | ||||||||||
| 5.88%, 02/01/29 |
19 | 17,917 | ||||||||||
| Citgo Holding, Inc., 9.25%, 08/01/24(b)(g) |
38 | 36,765 | ||||||||||
| CrownRock LP/CrownRock Finance, Inc., 5.63%, 10/15/25(b)(g) |
42 | 39,480 | ||||||||||
| DCP Midstream Operating LP |
||||||||||||
| 5.38%, 07/15/25(g) |
14 | 13,615 | ||||||||||
| 5.13%, 05/15/29 |
10 | 9,000 | ||||||||||
| Ecopetrol SA, 4.63%, 11/02/31 |
40 | 30,200 | ||||||||||
| EG Global Finance PLC, 4.38%, 02/07/25(h) |
EUR | 200 | 186,535 | |||||||||
| Endeavor Energy Resources LP/EER Finance, Inc., 5.75%, 01/30/28(b) |
USD | 17 | 16,195 | |||||||||
| Geopark Ltd., 5.50%, 01/17/27(b)(g) |
200 | 166,325 | ||||||||||
| Hilong Holding Ltd., 9.75%, 11/18/24(h) |
207 | 112,466 | ||||||||||
| HTA Group Ltd., 7.00%, 12/18/25(b)(g) |
200 | 166,787 | ||||||||||
| IHS Holding Ltd., 6.25%, 11/29/28(b)(g) |
200 | 159,500 | ||||||||||
| Kinetik Holdings LP, 5.88%, 06/15/30(b) |
20 | 19,052 | ||||||||||
| Leviathan Bonds Ltd., 5.75%, 06/30/23(b)(g) |
108 | 106,591 | ||||||||||
| Matador Resources Co., 5.88%, 09/15/26(g) |
18 | 17,303 | ||||||||||
| MC Brazil Downstream Trading SARL, 7.25%, 06/30/31(b)(g) |
200 | 160,000 | ||||||||||
| Medco Oak Tree Pte. Ltd., 7.38%, 05/14/26(h) |
200 | 181,500 | ||||||||||
| NGPL PipeCo LLC, 7.77%, 12/15/37(b)(g) |
346 | 376,530 | ||||||||||
| Oil & Gas Holding Co., 7.63%, 11/07/24(h) |
200 | 205,725 | ||||||||||
| OQ SAOC, 5.13%, 05/06/28(b)(g) |
200 | 188,350 | ||||||||||
| PDC Energy, Inc., 5.75%, 05/15/26 |
10 | 9,328 | ||||||||||
| Petroleos Mexicanos |
||||||||||||
| 6.50%, 03/13/27(g) |
279 | 240,847 | ||||||||||
| 5.95%, 01/28/31(g) |
205 | 149,568 | ||||||||||
| 6.38%, 01/23/45(g) |
185 | 111,231 | ||||||||||
| 6.75%, 09/21/47 |
41 | 25,113 | ||||||||||
| Puma International Financing SA, 5.13%, 10/06/24(b) |
200 | 181,000 | ||||||||||
| SM Energy Co., 6.75%, 09/15/26 |
139 | 131,127 | ||||||||||
| Sunoco LP/Sunoco Finance Corp. |
||||||||||||
| 6.00%, 04/15/27(g) |
21 | 20,021 | ||||||||||
| 4.50%, 05/15/29 |
32 | 26,377 | ||||||||||
| 4.50%, 04/30/30(b)(g) |
172 | 138,870 | ||||||||||
| Security | Par (000) |
Value | ||||||||||
| Oil, Gas & Consumable Fuels (continued) | ||||||||||||
| Targa Resources Partners LP/Targa Resources Partners Finance Corp. |
||||||||||||
| 6.50%, 07/15/27 |
USD | 13 | $ | 13,317 | ||||||||
| 5.00%, 01/15/28 |
13 | 12,376 | ||||||||||
| Transocean Guardian
Ltd., |
59 | 54,362 | ||||||||||
|
|
|
|||||||||||
| 4,731,797 | ||||||||||||
| Personal Products(b) — 0.3% | ||||||||||||
| Coty, Inc., 6.50%, 04/15/26 |
40 | 36,878 | ||||||||||
| GSK Consumer Healthcare Capital U.S. LLC, 4.00%, 03/24/52 |
250 | 214,053 | ||||||||||
|
|
|
|||||||||||
| 250,931 | ||||||||||||
| Pharmaceuticals — 0.9% | ||||||||||||
| AbbVie, Inc., 4.88%, 11/14/48(g) |
120 | 114,994 | ||||||||||
| AstraZeneca PLC |
||||||||||||
| 2.13%, 08/06/50 |
9 | 6,009 | ||||||||||
| 3.00%, 05/28/51(g) |
125 | 99,183 | ||||||||||
| Bausch Health Cos., Inc.(b) |
||||||||||||
| 5.50%, 11/01/25(g) |
30 | 26,349 | ||||||||||
| 5.75%, 08/15/27 |
9 | 7,455 | ||||||||||
| 4.88%, 06/01/28 |
18 | 14,086 | ||||||||||
| Bristol-Myers Squibb Co., 2.55%, 11/13/50 |
9 | 6,367 | ||||||||||
| Cheplapharm Arzneimittel GmbH, 4.38%, 01/15/28(h) |
EUR | 100 | 89,040 | |||||||||
| Cigna Corp., 3.40%, 03/15/51(g) |
USD | 80 | 61,535 | |||||||||
| CVS Health Corp., 5.05%, 03/25/48(g) |
85 | 81,366 | ||||||||||
| Elanco Animal Health, Inc., 6.40%, 08/28/28 |
13 | 12,375 | ||||||||||
| Eli Lilly & Co., 2.25%, 05/15/50 |
184 | 130,050 | ||||||||||
| Johnson & Johnson, 2.25%, 09/01/50 |
9 | 6,284 | ||||||||||
| Merck & Co., Inc. |
||||||||||||
| 2.45%, 06/24/50 |
9 | 6,321 | ||||||||||
| 2.75%, 12/10/51 |
38 | 28,062 | ||||||||||
| Nidda Healthcare Holding GmbH, 3.50%, 09/30/24(h) |
EUR | 100 | 92,587 | |||||||||
| Rossini SARL, 6.75%, 10/30/25(h) |
100 | 100,612 | ||||||||||
|
|
|
|||||||||||
| 882,675 | ||||||||||||
| Producer Durables: Miscellaneous — 0.1% | ||||||||||||
| Salesforce, Inc., 2.90%, 07/15/51 |
USD | 139 | 105,113 | |||||||||
|
|
|
|||||||||||
| Real Estate — 0.0% | ||||||||||||
| VICI Properties LP/VICI Note Co., Inc., 5.75%, 02/01/27(b) |
13 | 12,336 | ||||||||||
|
|
|
|||||||||||
| Real Estate Management & Development — 2.6% | ||||||||||||
| Adler Group SA, 3.25%, 08/05/25(h) |
EUR | 100 | 56,468 | |||||||||
| Agile Group Holdings
Ltd., |
USD | 200 | 68,000 | |||||||||
| Arabian Centres Sukuk II Ltd., 5.63%, 10/07/26(b)(g) |
270 | 244,654 | ||||||||||
| China Aoyuan Group
Ltd., |
200 | 18,350 | ||||||||||
| China Evergrande
Group, |
200 | 16,663 | ||||||||||
| CIFI Holdings Group Co. Ltd., 5.95%, 10/20/25(g)(h) |
200 | 118,000 | ||||||||||
| DEMIRE Deutsche Mittelstand Real Estate AG, 1.88%, 10/15/24(h) |
EUR | 100 | 86,519 | |||||||||
| Dexin China Holdings Co. Ltd., 9.95%, 12/03/22(h) |
USD | 200 | 120,287 | |||||||||
| DIC Asset AG, 2.25%, 09/22/26(h) |
EUR | 100 | 69,689 | |||||||||
| Fantasia Holdings Group Co. Ltd., 11.75%, 04/17/22(e)(h)(k) |
USD | 200 | 16,500 | |||||||||
| Five Point Operating Co. LP/Five Point Capital Corp., 7.88%, 11/15/25(b)(g) |
467 | 391,696 | ||||||||||
| Howard Hughes Corp., 5.38%, 08/01/28(b)(g) |
451 | 377,712 | ||||||||||
| JGC Ventures Pte. Ltd.(i) |
||||||||||||
| (3.00% PIK), 3.00%, 06/30/25(e)(h)(k) |
239 | 113,063 | ||||||||||
| (3.00% PIK), 3.00%, 06/30/25 |
4 | 1,630 | ||||||||||
| (3.00% PIK), 3.00%, 06/30/25 |
— | (d) | 119 | |||||||||
| S C H E D U L E O F I N V E S T M E N T S |
37 |
| Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Multi-Sector Opportunities Trust II (MSO2) (Percentages shown are based on Net Assets) |
| Security | Par (000) |
Value | ||||||||||
| Real Estate Management & Development (continued) | ||||||||||||
| Kaisa Group Holdings
Ltd., |
USD | 200 | $ | 27,163 | ||||||||
| KWG Group Holdings Ltd., 7.40%, 03/05/24(h) |
200 | 41,000 | ||||||||||
| MAF Sukuk Ltd., 4.64%, 05/14/29(h) |
267 | 267,133 | ||||||||||
| Modern Land China Co. Ltd., 11.50%, 11/13/22(c)(e)(h)(k) |
200 | 32,000 | ||||||||||
| Redsun Properties Group Ltd., 10.50%, 10/03/22(h) |
200 | 48,000 | ||||||||||
| RKPF Overseas Ltd., Series 2019-A, 6.00%, 09/04/25(h) |
200 | 98,000 | ||||||||||
| Sunac China Holdings
Ltd., |
200 | 28,000 | ||||||||||
| Theta Capital Pte. Ltd., 8.13%, 01/22/25(h) |
200 | 172,000 | ||||||||||
| Times China Holdings Ltd., 6.20%, 03/22/26(h) |
200 | 28,000 | ||||||||||
| Yango Justice International Ltd., 8.25%, 11/25/23(e)(h)(k) |
200 | 12,000 | ||||||||||
| Yuzhou Group Holdings Co. Ltd., 7.38%, 01/13/26(e)(h)(k) |
200 | 13,000 | ||||||||||
|
|
|
|||||||||||
| 2,465,646 | ||||||||||||
| Road & Rail — 0.3% | ||||||||||||
| CMA CGM SA, 7.50%, 01/15/26(h) |
EUR | 100 | 107,082 | |||||||||
| CSX Corp., 2.50%, 05/15/51 |
USD | 9 | 6,055 | |||||||||
| Getlink SE, 3.50%, 10/30/25(h) |
EUR | 100 | 99,913 | |||||||||
| Norfolk Southern Corp., 2.90%, 08/25/51 |
USD | 135 | 96,670 | |||||||||
|
|
|
|||||||||||
| 309,720 | ||||||||||||
| Semiconductors & Semiconductor Equipment — 0.2% | ||||||||||||
| Analog Devices, Inc., 2.95%, 10/01/51 |
42 | 32,045 | ||||||||||
| Broadcom, Inc., 3.75%, 02/15/51(b)(g) |
165 | 122,243 | ||||||||||
| Intel Corp., 3.10%, 02/15/60 |
2 | 1,428 | ||||||||||
| NXP BV/NXP Funding LLC/NXP USA, Inc., 3.25%, 11/30/51 |
9 | 6,232 | ||||||||||
|
|
|
|||||||||||
| 161,948 | ||||||||||||
| Software — 0.6% | ||||||||||||
| Boxer Parent Co., Inc., 6.50%, 10/02/25(h) |
EUR | 100 | 98,130 | |||||||||
| Microsoft Corp. |
||||||||||||
| 2.92%, 03/17/52 |
USD | 120 | 94,658 | |||||||||
| 2.68%, 06/01/60 |
9 | 6,453 | ||||||||||
| Oracle Corp. |
||||||||||||
| 3.60%, 04/01/50(g) |
294 | 204,229 | ||||||||||
| 3.95%, 03/25/51 |
23 | 16,893 | ||||||||||
| Playtika Holding Corp., 4.25%, 03/15/29(b) |
182 | 150,150 | ||||||||||
|
|
|
|||||||||||
| 570,513 | ||||||||||||
| Specialty Retail — 0.1% | ||||||||||||
| Goldstory SASU, 5.38%, 03/01/26(h) |
EUR | 100 | 88,211 | |||||||||
|
|
|
|||||||||||
| Technology Hardware, Storage & Peripherals — 0.1% | ||||||||||||
| Apple, Inc. |
||||||||||||
| 2.40%, 08/20/50 |
USD | 9 | 6,316 | |||||||||
| 2.65%, 02/08/51(g) |
80 | 58,961 | ||||||||||
| Dell International LLC/EMC Corp. |
||||||||||||
| 8.35%, 07/15/46 |
21 | 26,152 | ||||||||||
| 3.45%, 12/15/51(b) |
9 | 6,089 | ||||||||||
|
|
|
|||||||||||
| 97,518 | ||||||||||||
| Textiles, Apparel & Luxury Goods — 0.0% | ||||||||||||
| Under Armour, Inc., 3.25%, 06/15/26 |
10 | 8,605 | ||||||||||
|
|
|
|||||||||||
| Thrifts & Mortgage Finance — 0.6% | ||||||||||||
| doValue SpA, 3.38%, 07/31/26(h) |
EUR | 102 | 92,094 | |||||||||
| Jerrold Finco PLC, 4.88%, 01/15/26(h) |
GBP | 100 | 106,879 | |||||||||
| Nationstar Mortgage Holdings, Inc., 6.00%, 01/15/27(b) |
USD | 11 | 9,542 | |||||||||
| Security | Par (000) |
Value | ||||||||||
| Thrifts & Mortgage Finance (continued) | ||||||||||||
| Rocket Mortgage LLC/Rocket Mortgage Co.-Issuer, Inc.(b) |
||||||||||||
| 3.63%, 03/01/29 |
USD | 228 | $ | 179,281 | ||||||||
| 3.88%, 03/01/31 |
56 | 41,960 | ||||||||||
| United Wholesale Mortgage LLC, 5.75%, 06/15/27(b) |
153 | 122,669 | ||||||||||
|
|
|
|||||||||||
| 552,425 | ||||||||||||
| Transportation Infrastructure — 0.6% | ||||||||||||
| Aeropuerto Internacional de Tocumen SA, 5.13%, 08/11/61(b)(g) |
200 | 157,413 | ||||||||||
| Aeropuertos Dominicanos Siglo XXI SA, 6.75%, 03/30/29(b)(g) |
200 | 180,375 | ||||||||||
| FedEx Corp., 4.05%, 02/15/48(g) |
80 | 66,951 | ||||||||||
| GMR Hyderabad International Airport Ltd., 4.25%, 10/27/27(h) |
200 | 167,850 | ||||||||||
|
|
|
|||||||||||
| 572,589 | ||||||||||||
| Utilities — 1.4% | ||||||||||||
| Genneia SA, 8.75%, 09/02/27(b) |
93 | 87,334 | ||||||||||
| Inkia Energy Ltd., 5.88%, 11/09/27(b) |
200 | 181,850 | ||||||||||
| Mong Duong Finance Holdings BV, 5.13%, 05/07/29(h) |
250 | 201,141 | ||||||||||
| Orano SA, 2.75%, 03/08/28(h) |
EUR | 100 | 88,421 | |||||||||
| Star Energy Geothermal Darajat II/Star Energy Geothermal Salak, 4.85%, 10/14/38(b)(g) |
USD | 240 | 203,370 | |||||||||
| Veolia Environnement SA, (5 year EUR Swap + 2.84%), 2.50%(a)(h)(j) |
EUR | 300 | 237,390 | |||||||||
| Vistra Operations Co. LLC(b)(g) |
||||||||||||
| 5.50%, 09/01/26 |
USD | 17 | 16,054 | |||||||||
| 5.63%, 02/15/27 |
23 | 21,626 | ||||||||||
| 5.00%, 07/31/27 |
343 | 311,825 | ||||||||||
|
|
|
|||||||||||
| 1,349,011 | ||||||||||||
| Wireless Telecommunication Services — 1.6% | ||||||||||||
| Altice France SA(h) |
||||||||||||
| 2.50%, 01/15/25 |
EUR | 200 | 182,732 | |||||||||
| 2.13%, 02/15/25 |
100 | 90,388 | ||||||||||
| 5.88%, 02/01/27 |
100 | 90,805 | ||||||||||
| GLP Capital LP/GLP Financing II, Inc., 4.00%, 01/15/31(g) |
USD | 164 | 141,438 | |||||||||
| Kenbourne Invest SA, 6.88%, 11/26/24(b)(g) |
234 | 212,838 | ||||||||||
| Millicom International Cellular SA, 5.13%, 01/15/28(h) |
242 | 206,390 | ||||||||||
| T-Mobile USA, Inc., 3.30%, 02/15/51(g) |
165 | 120,150 | ||||||||||
| VICI Properties LP/VICI Note Co., Inc.(b) |
||||||||||||
| 3.50%, 02/15/25 |
13 | 12,161 | ||||||||||
| 4.63%, 06/15/25 |
59 | 56,124 | ||||||||||
| 4.50%, 09/01/26 |
9 | 8,280 | ||||||||||
| 4.25%, 12/01/26 |
22 | 20,093 | ||||||||||
| 3.75%, 02/15/27 |
13 | 11,434 | ||||||||||
| 4.63%, 12/01/29(g) |
200 | 178,791 | ||||||||||
| 4.13%, 08/15/30 |
17 | 14,670 | ||||||||||
| Vmed O2 U.K. Financing I PLC(h) |
||||||||||||
| 3.25%, 01/31/31 |
EUR | 100 | 80,494 | |||||||||
| 4.50%, 07/15/31 |
GBP | 100 | 95,862 | |||||||||
|
|
|
|||||||||||
| 1,522,650 | ||||||||||||
|
|
|
|||||||||||
| Total Corporate Bonds — 53.0% |
51,173,919 | |||||||||||
|
|
|
|||||||||||
| 38 | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Multi-Sector Opportunities Trust II (MSO2) (Percentages shown are based on Net Assets) |
| Security | Par (000) |
Value | ||||||||||
| Floating Rate Loan Interests(a) |
| |||||||||||
| Air Freight & Logistics — 0.0% | ||||||||||||
| Kestrel Bidco, Inc., Term Loan B, (3 mo. LIBOR + 3.00%, 1.00% Floor), 5.03%, 12/11/26 |
USD | — | (d) | $ | 172 | |||||||
|
|
|
|||||||||||
| Airlines — 0.6% | ||||||||||||
| Allegiant Travel Co., 2020 Term Loan, (3 mo. LIBOR + 3.00%), 4.44%, 02/05/24 |
597 | 576,000 | ||||||||||
|
|
|
|||||||||||
| Building Materials — 0.5% | ||||||||||||
| Cornerstone Building Brands, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.25%,), 4.57%, 04/12/28 |
612 | 504,923 | ||||||||||
| MI Windows & Doors LLC, 2022 Term Loan, (SOFR + 3.50%), 5.13%, 12/18/27 |
30 | 28,197 | ||||||||||
|
|
|
|||||||||||
| 533,120 | ||||||||||||
| Building Products — 0.0% | ||||||||||||
| Advanced Drainage Systems, Inc., Term Loan B, (SOFR + 2.25%), 3.40%, 07/31/26 |
— | (d) | 75 | |||||||||
|
|
|
|||||||||||
| Chemicals — 0.1% | ||||||||||||
| SCIH Salt Holdings, Inc., 2021 Incremental Term Loan B, (6 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 03/16/27 |
107 | 94,952 | ||||||||||
|
|
|
|||||||||||
| Commercial Services & Supplies — 0.4% | ||||||||||||
| Interface Security Systems LLC, Term Loan, (1.00% PIK), 1.00%, 08/07/23(c)(i) |
431 | 417,434 | ||||||||||
|
|
|
|||||||||||
| Diversified Consumer Services — 0.3% | ||||||||||||
| Spectacle Gary Holdings LLC, 2021 Term Loan B, (1 mo. LIBOR + 4.25%, 0.75% Floor), 5.92%, 11/19/28 |
345 | 334,504 | ||||||||||
|
|
|
|||||||||||
| Diversified Financial Services — 4.4% | ||||||||||||
| Credito Real SAB de CV Sofom ENR, Term Loan B, (3 mo. LIBOR + 3.75%), 5.25%, 02/17/23(c) |
42 | 4,620 | ||||||||||
| LBM Acquisition LLC, Term Loan B, (1 mo. LIBOR + 3.75%, 0.75% Floor), 5.42%, 12/18/27 |
47 | 38,430 | ||||||||||
| Luxembourg Life Fund, 2021 Term Loan, |
2,805 | 2,790,975 | ||||||||||
| Oafit A Note Upsize, (1 mo. LIBOR + 5.50%), 8.00%, 01/21/24(c) |
AUD | 1,740 | 1,187,584 | |||||||||
| White Cap Buyer LLC, Term Loan B, |
USD | 200 | 183,714 | |||||||||
|
|
|
|||||||||||
| 4,205,323 | ||||||||||||
| Health Care Providers & Services — 0.1% | ||||||||||||
| Select Medical Corp., 2017 Term Loan B, |
102 | 97,013 | ||||||||||
|
|
|
|||||||||||
| Hotels, Restaurants & Leisure — 0.7% | ||||||||||||
| Aimbridge Acquisition Co., Inc., 2019 Term Loan B, (1 mo. LIBOR + 3.75%), 5.42%, 02/02/26 |
169 | 150,290 | ||||||||||
| Caesars Resort Collection LLC, 2020 Term Loan B1, (1 mo. LIBOR + 3.50%), 5.17%, 07/20/25 |
159 | 153,077 | ||||||||||
| ECL Entertainment LLC, Term Loan, (3 mo. LIBOR + 7.50%, 0.75% Floor), 9.75%, 05/01/28 |
109 | 106,110 | ||||||||||
| Fertitta Entertainment LLC, 2022 Term Loan B, (SOFR + 4.00%), 5.53%, 01/27/29 |
249 | 228,410 | ||||||||||
|
|
|
|||||||||||
| 637,887 | ||||||||||||
| Security | Par (000) |
Value | ||||||||||
| Media — 0.7% | ||||||||||||
| Connect Finco SARL, 2021 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.17%, 12/12/26 |
USD | 351 | $ | 321,813 | ||||||||
| Diamond Sports Group LLC, Term Loan, (PRIME + 2.25%), 7.00%, 08/24/26 |
601 | 138,248 | ||||||||||
| PCI Gaming Authority, Term Loan, (1 mo. LIBOR + 2.50%), 4.17%, 05/29/26 |
231 | 220,611 | ||||||||||
|
|
|
|||||||||||
| 680,672 | ||||||||||||
| Oil, Gas & Consumable Fuels — 0.2% | ||||||||||||
| Citgo Holding, Inc., 2019 Term Loan B, (1 mo. LIBOR + 7.00%, 1.00% Floor), 8.67%, 08/01/23 |
150 | 148,113 | ||||||||||
|
|
|
|||||||||||
| Pharmaceuticals — 0.3% | ||||||||||||
| Grifols Worldwide Operations USA, Inc., USD 2019 Term Loan B, (1 mo. LIBOR + 2.00%), 3.67%, 11/15/27 |
329 | 310,010 | ||||||||||
|
|
|
|||||||||||
| Trading Companies & Distributors — 0.2% | ||||||||||||
| Foundation Building Materials Holding Co. LLC, 2021 Term Loan, (3 mo. LIBOR + 3.25%), 4.49%, 01/31/28(c) |
30 | 26,302 | ||||||||||
| The Enterprise Development Authority, Term Loan B, (1 mo. LIBOR + 4.25%, 0.75% Floor), 5.92%, 02/28/28 |
164 | 156,047 | ||||||||||
|
|
|
|||||||||||
| 182,349 | ||||||||||||
|
|
|
|||||||||||
| Total Floating Rate Loan Interests — 8.5% |
|
8,217,624 | ||||||||||
|
|
|
|||||||||||
| Foreign Agency Obligations |
||||||||||||
| Argentina — 0.1% | ||||||||||||
| Argentine Republic Government International Bond, 2.50%, 07/09/41(g)(m) |
262 | 67,358 | ||||||||||
|
|
|
|||||||||||
| Bahrain — 0.2% | ||||||||||||
| Bahrain Government International Bond, 6.75%, 09/20/29(h) |
200 | 190,975 | ||||||||||
|
|
|
|||||||||||
| Chile — 0.2% | ||||||||||||
| Chile Government International Bond, 4.34%, 03/07/42 |
200 | 178,500 | ||||||||||
|
|
|
|||||||||||
| Colombia — 0.4% | ||||||||||||
| Colombia Government International Bond(g) |
||||||||||||
| 3.13%, 04/15/31 |
340 | 252,195 | ||||||||||
| 4.13%, 05/15/51 |
200 | 120,100 | ||||||||||
|
|
|
|||||||||||
| 372,295 | ||||||||||||
| Dominican Republic — 0.4% | ||||||||||||
| Dominican Republic International Bond |
||||||||||||
| 5.50%, 02/22/29(b) |
175 | 152,064 | ||||||||||
| 4.88%, 09/23/32(b)(g) |
155 | 119,137 | ||||||||||
| 6.40%, 06/05/49(h) |
150 | 111,544 | ||||||||||
|
|
|
|||||||||||
| 382,745 | ||||||||||||
| Egypt — 0.2% | ||||||||||||
| Egypt Government International Bond, 8.50%, 01/31/47(g)(h) |
284 | 166,850 | ||||||||||
|
|
|
|||||||||||
| S C H E D U L E O F I N V E S T M E N T S |
39 |
| Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Multi-Sector Opportunities Trust II (MSO2) (Percentages shown are based on Net Assets) |
| Security | Par (000) |
Value | ||||||||||
| Guatemala — 0.4% | ||||||||||||
| Guatemala Government Bond |
||||||||||||
| 4.50%, 05/03/26(h) |
USD | 200 | $ | 192,162 | ||||||||
| 5.38%, 04/24/32(b)(g) |
200 | 184,163 | ||||||||||
|
|
|
|||||||||||
| 376,325 | ||||||||||||
| Hungary — 0.2% | ||||||||||||
| Hungary Government International Bond, 5.25%, 06/16/29(b) |
200 | 199,271 | ||||||||||
|
|
|
|||||||||||
| Indonesia — 0.5% | ||||||||||||
| Indonesia Government International Bond(g) |
||||||||||||
| 3.50%, 01/11/28 |
265 | 252,545 | ||||||||||
| 4.75%, 02/11/29 |
200 | 201,772 | ||||||||||
|
|
|
|||||||||||
| 454,317 | ||||||||||||
| Ivory Coast — 0.2% | ||||||||||||
| Ivory Coast Government International Bond, 6.38%, 03/03/28(h) |
200 | 176,787 | ||||||||||
|
|
|
|||||||||||
| Mexico — 0.1% | ||||||||||||
| Mexico Government International Bond, 4.35%, 01/15/47(g) |
200 | 152,538 | ||||||||||
|
|
|
|||||||||||
| Morocco — 0.2% | ||||||||||||
| Morocco Government International Bond, 3.00%, 12/15/32(b) |
261 | 185,310 | ||||||||||
|
|
|
|||||||||||
| Nigeria — 0.1% | ||||||||||||
| Nigeria Government International Bond, 7.88%, 02/16/32(h) |
200 | 138,500 | ||||||||||
|
|
|
|||||||||||
| Oman — 0.3% | ||||||||||||
| Oman Government International Bond, 6.50%, 03/08/47(h) |
306 | 256,657 | ||||||||||
|
|
|
|||||||||||
| Panama — 0.2% | ||||||||||||
| Panama Government International Bond, 4.50%, 04/16/50(g) |
200 | 163,413 | ||||||||||
|
|
|
|||||||||||
| Paraguay — 0.2% | ||||||||||||
| Paraguay Government International Bond, 5.40%, 03/30/50(b)(g) |
300 | 231,994 | ||||||||||
|
|
|
|||||||||||
| Peru — 0.1% | ||||||||||||
| Peruvian Government International Bond, 3.30%, 03/11/41(g) |
170 | 128,010 | ||||||||||
|
|
|
|||||||||||
| Romania — 0.4% | ||||||||||||
| Romanian Government International Bond(b) |
||||||||||||
| 5.25%, 11/25/27 |
174 | 165,735 | ||||||||||
| 3.00%, 02/14/31(g) |
124 | 95,387 | ||||||||||
| 3.63%, 03/27/32(g) |
238 | 185,833 | ||||||||||
|
|
|
|||||||||||
| 446,955 | ||||||||||||
| Saudi Arabia — 0.2% | ||||||||||||
| Saudi Government International Bond, 3.75%, 01/21/55(h) |
200 | 163,750 | ||||||||||
|
|
|
|||||||||||
| South Africa — 0.5% | ||||||||||||
| Republic of South Africa Government Bond, 8.50%, 01/31/37 |
ZAR | 4,125 | 200,282 | |||||||||
| Security | Par (000) |
Value | ||||||||||
| South Africa (continued) | ||||||||||||
| Republic of South Africa Government International Bond |
||||||||||||
| 4.85%, 09/30/29 |
USD | 200 | $ | 170,725 | ||||||||
| 5.88%, 04/20/32 |
200 | 169,000 | ||||||||||
|
|
|
|||||||||||
| 540,007 | ||||||||||||
| Sri Lanka — 0.1% | ||||||||||||
| Sri Lanka Government International Bond, 6.85%, 03/14/24(e)(h)(k) |
400 | 112,044 | ||||||||||
|
|
|
|||||||||||
| Ukraine — 0.2% | ||||||||||||
| Ukraine Government International Bond |
||||||||||||
| 8.99%, 02/01/24(g)(h) |
200 | 50,000 | ||||||||||
| 7.75%, 09/01/25(h) |
110 | 27,225 | ||||||||||
| 7.25%, 03/15/33(b)(g) |
400 | 98,000 | ||||||||||
|
|
|
|||||||||||
| 175,225 | ||||||||||||
|
|
|
|||||||||||
| Total Foreign Agency Obligations — 5.4% |
|
5,259,826 | ||||||||||
|
|
|
|||||||||||
| Municipal Bonds |
| |||||||||||
| Puerto Rico(a) — 0.1% | ||||||||||||
| Commonwealth of Puerto Rico, GO |
||||||||||||
| 0.00%, 11/01/43 |
21 | 10,441 | ||||||||||
| 0.00%, 11/01/51 |
215 | 92,450 | ||||||||||
| Commonwealth of Puerto Rico, RB, 0.00%, 11/01/51 |
85 | 26,001 | ||||||||||
|
|
|
|||||||||||
| 128,892 | ||||||||||||
|
|
|
|||||||||||
| Total Municipal Bonds — 0.1% |
|
128,892 | ||||||||||
|
|
|
|||||||||||
| Non-Agency Mortgage-Backed Securities |
| |||||||||||
| Banks — 3.6% | ||||||||||||
| Western Alliance Bank, 7.70%, 12/28/24 |
3,510 | 3,507,962 | ||||||||||
|
|
|
|||||||||||
| Collateralized Mortgage Obligations(b) — 5.1% | ||||||||||||
| Cascade Funding Mortgage Trust, Series 2019-RM3, Class C, 4.00%, 06/25/69(a) |
1,037 | 990,665 | ||||||||||
| Connecticut Avenue Securities Trust(a) |
||||||||||||
| Series 2021-R01, Class 1B2, (30 day SOFR + 6.00%), 6.93%, 10/25/41 |
137 | 113,928 | ||||||||||
| Series 2022-R01, Class 1B2, (30 day SOFR + 6.00%), 6.93%, 12/25/41 |
169 | 137,641 | ||||||||||
| Credit Suisse Mortgage Capital Certificates Trust |
||||||||||||
| Series 2021-JR1, Class A2, 3.50%, 09/27/66(a) |
507 | 461,472 | ||||||||||
| Series 2021-JR1, Class B2, 25.21%, 09/27/66 |
877 | 762,177 | ||||||||||
| Series 2021-JR1, Class PT2, 8.94%, 07/26/60(a)(c) |
766 | 268,256 | ||||||||||
| Structured Asset Securities Corp. Mortgage Loan Trust, Series 2006-RF3, Class 1A2, 6.00%, 10/25/36 |
1,902 | 1,187,445 | ||||||||||
| Voyager OPTONE Delaware Trust, Series 2009-1, Class SAA7, (1 mo. LIBOR), 6.98%, 02/25/38(a) |
3,514 | 1,007,798 | ||||||||||
|
|
|
|||||||||||
| 4,929,382 | ||||||||||||
| Commercial Mortgage-Backed Securities — 10.3% | ||||||||||||
| Ashford Hospitality Trust, Series 2018-ASHF, Class E, (1 mo. LIBOR US + 3.10%), 4.42%, 04/15/35(a)(b) |
125 | 113,698 | ||||||||||
| BX Commercial Mortgage Trust, Series 2019-XL, Class J, (1 mo. LIBOR US + 2.65%), 3.97%, 10/15/36(a)(b) |
1,445 | 1,358,323 | ||||||||||
| 40 | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Multi-Sector Opportunities Trust II (MSO2) (Percentages shown are based on Net Assets) |
| Security | Par (000) |
Value | ||||||||||
| Commercial Mortgage-Backed Securities (continued) | ||||||||||||
| BX Trust(a)(b) |
||||||||||||
| Series 2021-MFM1, Class G, (1 mo. LIBOR US + 3.90%), 5.22%, 01/15/34 |
USD | 100 | $ | 92,585 | ||||||||
| Series 2021-VIEW, Class E, (1 mo. LIBOR US + 3.60%), 4.92%, 06/15/36 |
130 | 120,372 | ||||||||||
| Citigroup Commercial Mortgage Trust(a)(b) |
||||||||||||
| Series 2019-PRM, Class E, 4.89%, 05/10/36 |
500 | 502,763 | ||||||||||
| Series 2019-PRM, Class F, 4.89%, 05/10/36 |
750 | 751,978 | ||||||||||
| Cold Storage Trust, Series 2020-ICE5, Class F, |
127 | 120,454 | ||||||||||
| Commercial Mortgage Trust, Series 2013-GAM, Class E, 3.53%, 02/10/28(a)(b) |
250 | 225,054 | ||||||||||
| Credit Suisse Mortgage Capital Certificates Trust(a)(b) |
||||||||||||
| Class E, (1 mo. LIBOR US + 3.50%), 4.83%, 11/15/38 |
250 | 235,668 | ||||||||||
| Series 2020-FACT, Class F, (1 mo. LIBOR US + 6.16%), 7.48%, 10/15/37 |
300 | 284,735 | ||||||||||
| Series 2020-NET, Class E, 3.83%, 08/15/37 |
750 | 674,561 | ||||||||||
| CSAIL Commercial Mortgage Trust, Series 2018-C14, Class C, 5.09%, 11/15/51(a) |
750 | 674,421 | ||||||||||
| DBUBS Mortgage Trust, Series 2017-BRBK, Class F, 3.65%, 10/10/34(a)(b) |
275 | 250,392 | ||||||||||
| ELP Commercial Mortgage Trust, Series 2021-ELP, Class J, (1 mo. LIBOR US + 3.61%), 4.94%, 11/15/38(a)(b) |
125 | 114,464 | ||||||||||
| GS Mortgage Securities Corp. Trust, Series 2021-DM, Class F, (1 mo. LIBOR US + 3.44%), 4.76%, 11/15/36(a)(b) |
120 | 112,063 | ||||||||||
| HONO Mortgage Trust, Series 2021-LULU, |
125 | 117,648 | ||||||||||
| Hudson Yards Mortgage Trust, Series 2019-55HY, Class F, 3.04%, 12/10/41(a)(b) |
700 | 541,305 | ||||||||||
| JP Morgan Chase Commercial Mortgage Securities Trust, Series 2022-NLP, Class F, |
100 | 91,995 | ||||||||||
| MED Trust, Class G, (1 mo. LIBOR US + 5.25%), 6.58%, 11/15/38(a)(b) |
120 | 108,037 | ||||||||||
| MF1 Trust, Series 2021-W10, Class G, |
120 | 110,400 | ||||||||||
| Morgan Stanley Capital I, Series 2017-HR2, Class D, 2.73%, 12/15/50(b) |
625 | 482,561 | ||||||||||
| Morgan Stanley Capital I Trust(b) |
||||||||||||
| Series 2014-150E, Class F, 4.44%, 09/09/32(a) |
700 | 622,594 | ||||||||||
| Series 2017-H1, Class D, 2.55%, 06/15/50 |
378 | 290,611 | ||||||||||
| Series 2018-MP, Class E, 4.42%, 07/11/40(a) |
372 | 290,387 | ||||||||||
| Series 2019-H7, Class D, 3.00%, 07/15/52 |
750 | 555,155 | ||||||||||
| Series 2019-NUGS, Class E, (1 mo. LIBOR US + 2.24%), 3.74%, 12/15/36(a) |
400 | 377,721 | ||||||||||
| MTN Commercial Mortgage Trust, Class F, (30 day SOFR + 5.29%), 6.56%, 03/15/39(a)(b) |
100 | 94,446 | ||||||||||
| SREIT Trust, Series 2021-MFP2, Class J, (1 mo. LIBOR US + 3.92%), 5.24%, 11/15/36(a)(b) |
100 | 93,314 | ||||||||||
| Security | Par (000) |
Value | ||||||||||
| Commercial Mortgage-Backed Securities (continued) | ||||||||||||
| TPGI Trust, Series 2021-DGWD, Class G, |
USD | 130 | $ | 118,987 | ||||||||
| UBS-Barclays Commercial Mortgage Trust, |
270 | 268,869 | ||||||||||
| Wells Fargo Commercial Mortgage Trust, Series 2020- SDAL, Class E, (1 mo. LIBOR US + 2.74%), 4.06%, 02/15/37(a)(b) |
150 | 139,839 | ||||||||||
|
|
|
|||||||||||
| 9,935,400 | ||||||||||||
|
|
|
|||||||||||
| Total Non-Agency Mortgage-Backed Securities — 19.0% |
|
18,372,744 | ||||||||||
|
|
|
|||||||||||
| Preferred Securities |
| |||||||||||
| Capital Trusts — 6.4%(a) | ||||||||||||
| Automobiles(h)(j) — 0.3% | ||||||||||||
| Volkswagen International Finance NV |
||||||||||||
| 4.38% |
EUR | 100 | 84,083 | |||||||||
| 3.88% |
200 | 173,546 | ||||||||||
|
|
|
|||||||||||
| 257,629 | ||||||||||||
| Banks(j) — 1.8% | ||||||||||||
| ABN AMRO Bank NV, 4.75%(h) |
200 | 178,655 | ||||||||||
| AIB Group PLC, 6.25%(h) |
400 | 389,787 | ||||||||||
| Banco Mercantil del Norte SA(b)(g) |
||||||||||||
| 5.88% |
USD | 200 | 166,788 | |||||||||
| 6.75% |
300 | 281,625 | ||||||||||
| CaixaBank SA, 6.38%(h) |
EUR | 200 | 207,494 | |||||||||
| Credit Agricole SA, 4.75%(b)(g) |
USD | 440 | 341,953 | |||||||||
| TMBThanachart Bank PCL, 4.90%(h) |
200 | 182,412 | ||||||||||
|
|
|
|||||||||||
| 1,748,714 | ||||||||||||
| Chemicals(h)(j) — 0.4% | ||||||||||||
| Lenzing AG, 5.75% |
EUR | 100 | 99,872 | |||||||||
| Solvay SA, 2.50% |
300 | 269,192 | ||||||||||
|
|
|
|||||||||||
| 369,064 | ||||||||||||
| Diversified Financial Services(j) — 1.4% | ||||||||||||
| Banco Santander SA, 3.63%(h) |
200 | 145,204 | ||||||||||
| Barclays PLC |
||||||||||||
| 8.00% |
USD | 200 | 196,500 | |||||||||
| 6.13%(g) |
200 | 185,695 | ||||||||||
| 8.88%(h) |
GBP | 200 | 241,453 | |||||||||
| Credit Suisse Group AG, 6.25%(b)(g) |
USD | 200 | 182,000 | |||||||||
| NatWest Group PLC, 8.00%(f) |
200 | 197,850 | ||||||||||
| UBS Group AG(b) |
||||||||||||
| 4.88%(g) |
220 | 184,021 | ||||||||||
| 7.00% |
50 | 48,706 | ||||||||||
|
|
|
|||||||||||
| 1,381,429 | ||||||||||||
| Diversified Telecommunication Services — 0.7% | ||||||||||||
| British Telecommunications PLC, 4.25%, 11/23/81(b)(g) |
200 | 174,087 | ||||||||||
| Telefonica Europe BV(h)(j) |
||||||||||||
| 4.38% |
EUR | 100 | 99,939 | |||||||||
| 2.38% |
500 | 370,256 | ||||||||||
|
|
|
|||||||||||
| 644,282 | ||||||||||||
| S C H E D U L E O F I N V E S T M E N T S |
41 |
| Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Multi-Sector Opportunities Trust II (MSO2) (Percentages shown are based on Net Assets) |
| Security | Par (000) |
Value | ||||||||||
|
|
||||||||||||
| Electric Utilities — 0.2% | ||||||||||||
| Iberdrola International BV, 1.83%(h)(j) |
EUR | 200 | $ | 152,456 | ||||||||
|
|
|
|||||||||||
| Insurance(h)(j) — 0.3% | ||||||||||||
| Allianz SE, 3.20% |
USD | 200 | 146,000 | |||||||||
| BUPA Finance PLC, 4.00% |
GBP | 200 | 162,393 | |||||||||
|
|
|
|||||||||||
| 308,393 | ||||||||||||
| Internet & Direct Marketing Retail — 0.1% | ||||||||||||
| Rakuten Group, Inc., 4.25%(h)(j) |
EUR | 200 | 144,642 | |||||||||
|
|
|
|||||||||||
| Media — 0.1% | ||||||||||||
| SES SA, 2.88%(h)(j) |
100 | 87,504 | ||||||||||
|
|
|
|||||||||||
| Oil, Gas & Consumable Fuels(h)(j) — 0.3% | ||||||||||||
| Eni SpA, Series NC9, 2.75% |
200 | 154,027 | ||||||||||
| Repsol International Finance BV |
||||||||||||
| 3.75% |
100 | 94,347 | ||||||||||
| 4.25% |
100 | 89,600 | ||||||||||
|
|
|
|||||||||||
| 337,974 | ||||||||||||
| Pharmaceuticals — 0.2% | ||||||||||||
| Bayer AG, 3.13%, 11/12/79(h) |
300 | 239,325 | ||||||||||
|
|
|
|||||||||||
| Real Estate Management & Development — 0.2% | ||||||||||||
| NWD Finance BVI Ltd., 4.13%(h)(j) |
USD | 200 | 169,000 | |||||||||
|
|
|
|||||||||||
| Tobacco(h)(j) — 0.2% | ||||||||||||
| British American Tobacco PLC |
||||||||||||
| Series 5.25, 3.00% |
EUR | 100 | 75,512 | |||||||||
| Series NC8, 3.75% |
100 | 72,748 | ||||||||||
|
|
|
|||||||||||
| 148,260 | ||||||||||||
| Utilities — 0.1% | ||||||||||||
| Electricite de France SA, 3.38%(h)(j) |
200 | 136,225 | ||||||||||
|
|
|
|||||||||||
| Wireless Telecommunication Services — 0.1% | ||||||||||||
| Vodafone Group PLC, 4.20%, 10/03/78(h) |
100 | 92,220 | ||||||||||
|
|
|
|||||||||||
| 6,217,117 | ||||||||||||
|
|
|
|||||||||||
| Total Preferred Securities — 6.4% |
6,217,117 | |||||||||||
|
|
|
|||||||||||
| U.S. Government Sponsored Agency Securities |
| |||||||||||
| Commercial Mortgage-Backed Securities(a)(b) — 1.1% | ||||||||||||
| FREMF Mortgage Trust |
||||||||||||
| Series 2017-KGX1, Class BFX, 3.71%, 10/25/27 |
USD | 130 | 120,226 | |||||||||
| Series 2019-K99, Class C, 3.76%, 10/25/52 |
1,000 | 904,292 | ||||||||||
|
|
|
|||||||||||
| 1,024,518 | ||||||||||||
|
|
|
|||||||||||
| Total U.S. Government Sponsored Agency |
|
1,024,518 | ||||||||||
|
|
|
|||||||||||
| Total Long-Term Investments — 120.6% |
116,498,744 | |||||||||||
|
|
|
|||||||||||
|
Security |
Shares | Value | ||||||
|
|
||||||||
| Short-Term Securities |
| |||||||
| Money Market Funds — 4.1% | ||||||||
| BlackRock Liquidity Funds, T-Fund, Institutional Class, 1.33%(n)(o) |
3,973,620 | $ | 3,973,620 | |||||
|
|
|
|||||||
| Total Short-Term Securities — 4.1% |
|
3,973,620 | ||||||
|
|
|
|||||||
| Options Purchased — 0.1% |
|
34,343 | ||||||
|
|
|
|||||||
| Total Investments Before Options Written — 124.8% |
|
120,506,707 | ||||||
|
|
|
|||||||
| Options Written — (0.0)% |
|
(28,090 | ) | |||||
|
|
|
|||||||
| Total Investments, Net of Options Written — 124.8% |
|
120,478,617 | ||||||
| Liabilities in Excess of Other Assets — (24.8)% |
|
(23,903,225 | ) | |||||
|
|
|
|||||||
| Net Assets — 100.0% |
$ | 96,575,392 | ||||||
|
|
|
|||||||
| (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) | Rounds to less than 1,000. |
| (e) | Non-income producing security. |
| (f) | All or a portion of the security has been pledged and/or segregated as collateral in connection with outstanding exchange-traded options written. |
| (g) | All or a portion of the security has been pledged as collateral in connection with outstanding reverse repurchase agreements. |
| (h) | This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933. |
| (i) | 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. |
| (j) | Perpetual security with no stated maturity date. |
| (k) | Issuer filed for bankruptcy and/or is in default. |
| (l) | When-issued security. |
| (m) | Step coupon security. Coupon rate will either increase (step-up bond) or decrease (step-down bond) at regular intervals until maturity. Interest rate shown reflects the rate currently in effect. |
| (n) | Affiliate of the Trust. |
| (o) | 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.
| 42 | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Multi-Sector Opportunities Trust II (MSO2) |
Affiliates
Investments in issuers considered to be affiliate(s) of the Trust during the six months ended June 30, 2022 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
| Affiliated Issuer | Value at 12/31/21 |
Purchases at Cost |
Proceeds from Sales |
Net Realized Gain (Loss) |
Change in Unrealized Appreciation (Depreciation) |
Value at 06/30/22 |
Shares Held at 06/30/22 |
Income | Capital Gain Distributions from Underlying Funds |
|||||||||||||||||||||||||||
| BlackRock Liquidity Funds, T-Fund, Institutional Class |
$ | 4,817,225 | $ | — | $ | (843,605 | )(a) | $ | — | $ | — | $ | 3,973,620 | 3,973,620 | $ | 6,238 | $ | — | ||||||||||||||||||
| iShares iBoxx $ High Yield Corporate Bond ETF(b) |
2,806,508 | — | (2,514,562 | ) | (98,058 | ) | (193,888 | ) | — | — | 40,365 | — | ||||||||||||||||||||||||
| iShares iBoxx $ Investment Grade Corporate Bond ETF(b) |
— | 4,365,308 | (4,464,705 | ) | 99,397 | — | — | — | — | — | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| $ | 1,339 | $ | (193,888 | ) | $ | 3,973,620 | $ | 46,603 | $ | — | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| (a) | Represents net amount purchased (sold). |
| (b) | As of period end, the entity is no longer held. |
Reverse Repurchase Agreements
|
|
||||||||||||||||||||||||||
| Counterparty | |
Interest Rate |
|
|
Trade Date |
|
|
Maturity Date |
(a) |
Face Value |
|
Face Value Including Accrued Interest |
|
Type of Non-Cash Underlying Collateral |
|
Remaining Contractual Maturity of the Agreements |
(a) | |||||||||
|
|
||||||||||||||||||||||||||
| Barclays Capital, Inc. |
1.70 | %(b) | 06/29/21 | Open | $ | 142,212 | $ | 142,927 | Foreign Agency Obligations | Open/Demand | ||||||||||||||||
| Barclays Capital, Inc. |
2.00 | (b) | 06/29/21 | Open | 285,106 | 286,866 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
2.00 | (b) | 06/29/21 | Open | 28,178 | 28,351 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
2.05 | (b) | 06/29/21 | Open | 185,750 | 186,991 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
2.05 | (b) | 06/29/21 | Open | 231,875 | 233,424 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
2.05 | (b) | 06/29/21 | Open | 180,000 | 181,203 | Capital Trusts | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
2.10 | (b) | 06/29/21 | Open | 247,569 | 249,654 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
2.15 | (b) | 06/29/21 | Open | 181,148 | 182,543 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
1.60 | (b) | 07/16/21 | Open | 191,719 | 192,452 | Foreign Agency Obligations | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
1.80 | (b) | 07/16/21 | Open | 122,381 | 122,869 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
1.80 | (b) | 07/16/21 | Open | 94,500 | 94,876 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
2.00 | (b) | 07/16/21 | Open | 10,384 | 10,445 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
2.00 | (b) | 07/16/21 | Open | 523,320 | 526,413 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
2.00 | (b) | 07/16/21 | Open | 8,100 | 8,148 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
2.00 | (b) | 07/16/21 | Open | 540,646 | 543,841 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
2.00 | (b) | 07/16/21 | Open | 650,520 | 654,364 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
2.00 | (b) | 07/16/21 | Open | 14,896 | 14,984 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
2.00 | (b) | 07/16/21 | Open | 13,366 | 13,445 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
2.00 | (b) | 07/16/21 | Open | 351,312 | 353,389 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
2.00 | (b) | 07/16/21 | Open | 12,200 | 12,272 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
2.00 | (b) | 07/16/21 | Open | 843,165 | 848,148 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
2.00 | (b) | 07/16/21 | Open | 10,815 | 10,879 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
2.00 | (b) | 07/16/21 | Open | 7,800 | 7,846 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
2.00 | (b) | 07/16/21 | Open | 600,600 | 604,149 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
2.00 | (b) | 07/16/21 | Open | 9,945 | 10,004 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
2.00 | (b) | 07/16/21 | Open | 10,005 | 10,064 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
2.00 | (b) | 07/16/21 | Open | 14,040 | 14,123 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
2.00 | (b) | 07/16/21 | Open | 13,876 | 13,958 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
2.00 | (b) | 07/16/21 | Open | 13,040 | 13,117 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
2.00 | (b) | 07/16/21 | Open | 164,145 | 165,115 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
2.00 | (b) | 07/16/21 | Open | 288,300 | 290,004 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
2.00 | (b) | 07/16/21 | Open | 13,685 | 13,766 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
2.15 | (b) | 07/16/21 | Open | 562,005 | 566,139 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| RBC Capital Markets LLC |
1.90 | (b) | 07/16/21 | Open | 380,250 | 382,131 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| RBC Capital Markets LLC |
1.90 | (b) | 07/16/21 | Open | 364,080 | 365,881 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| RBC Capital Markets LLC |
1.90 | (b) | 07/16/21 | Open | 615,994 | 619,040 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| RBC Capital Markets LLC |
1.90 | (b) | 07/16/21 | Open | 236,857 | 238,029 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| RBC Capital Markets LLC |
1.90 | (b) | 07/16/21 | Open | 398,701 | 400,673 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| RBC Capital Markets LLC |
1.90 | (b) | 07/16/21 | Open | 193,480 | 194,437 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| RBC Capital Markets LLC |
1.90 | (b) | 07/16/21 | Open | 391,806 | 393,744 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| RBC Capital Markets LLC |
1.90 | (b) | 07/16/21 | Open | 254,625 | 255,884 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| RBC Capital Markets LLC |
1.90 | (b) | 07/16/21 | Open | 170,500 | 171,343 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| RBC Capital Markets LLC |
1.90 | (b) | 07/16/21 | Open | 255,510 | 256,774 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| S C H E D U L E O F I N V E S T M E N T S |
43 |
| Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Multi-Sector Opportunities Trust II (MSO2) |
Reverse Repurchase Agreements (continued)
|
|
||||||||||||||||||||||||||
| Counterparty | |
Interest Rate |
|
|
Trade Date |
|
|
Maturity Date |
(a) |
Face Value |
|
Face Value Including Accrued Interest |
|
Type of Non-Cash Underlying Collateral |
|
Remaining Contractual Maturity of the Agreements |
(a) | |||||||||
|
|
||||||||||||||||||||||||||
| RBC Capital Markets LLC |
1.90 | %(b) | 07/16/21 | Open | $ | 329,640 | $ | 331,270 | Corporate Bonds | Open/Demand | ||||||||||||||||
| RBC Capital Markets LLC |
1.90 | (b) | 07/16/21 | Open | 311,355 | 312,895 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| RBC Capital Markets LLC |
1.90 | (b) | 07/16/21 | Open | 270,800 | 272,139 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
2.00 | (b) | 09/23/21 | Open | 424,235 | 426,347 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
1.75 | (b) | 10/19/21 | Open | 227,272 | 227,923 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
1.75 | (b) | 10/19/21 | Open | 169,250 | 169,734 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
1.75 | (b) | 10/19/21 | Open | 171,750 | 172,241 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
1.80 | (b) | 10/19/21 | Open | 260,887 | 261,726 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
2.00 | (b) | 10/19/21 | Open | 188,250 | 189,122 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| RBC Capital Markets LLC |
1.90 | (b) | 01/25/22 | Open | 251,020 | 251,729 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
1.75 | (b) | 02/08/22 | Open | 201,500 | 201,988 | Foreign Agency Obligations | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
1.80 | (b) | 02/08/22 | Open | 75,915 | 76,088 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
1.80 | (b) | 02/08/22 | Open | 64,700 | 64,847 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
1.80 | (b) | 02/08/22 | Open | 135,300 | 135,608 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
1.80 | (b) | 02/08/22 | Open | 80,006 | 80,188 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
1.80 | (b) | 02/08/22 | Open | 77,700 | 77,877 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
1.80 | (b) | 02/08/22 | Open | 128,800 | 129,093 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
1.80 | (b) | 02/08/22 | Open | 123,000 | 123,280 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
2.00 | (b) | 02/08/22 | Open | 160,658 | 161,150 | Capital Trusts | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
2.00 | (b) | 02/08/22 | Open | 169,250 | 169,768 | Capital Trusts | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
2.00 | (b) | 02/08/22 | Open | 76,820 | 77,055 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
1.77 | (b) | 02/08/22 | Open | 147,675 | 147,993 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
1.77 | (b) | 02/08/22 | Open | 134,700 | 134,990 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
1.77 | (b) | 02/08/22 | Open | 70,100 | 70,251 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
1.77 | (b) | 02/08/22 | Open | 65,400 | 65,541 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
1.77 | (b) | 02/08/22 | Open | 80,375 | 80,548 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
1.77 | (b) | 02/08/22 | Open | 70,869 | 71,022 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
1.77 | (b) | 02/08/22 | Open | 147,500 | 147,818 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
1.77 | (b) | 02/08/22 | Open | 71,719 | 71,873 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
1.77 | (b) | 02/08/22 | Open | 146,200 | 146,515 | Foreign Agency Obligations | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
1.78 | (b) | 02/08/22 | Open | 180,548 | 180,944 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
1.78 | (b) | 02/08/22 | Open | 92,650 | 92,853 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
1.80 | (b) | 02/08/22 | Open | 215,985 | 216,476 | Foreign Agency Obligations | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
1.80 | (b) | 02/08/22 | Open | 388,850 | 389,734 | Capital Trusts | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
1.80 | (b) | 02/08/22 | Open | 185,250 | 185,671 | Foreign Agency Obligations | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
1.98 | (b) | 02/08/22 | Open | 185,750 | 186,304 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
1.98 | (b) | 02/08/22 | Open | 188,925 | 189,489 | Capital Trusts | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
1.98 | (b) | 02/08/22 | Open | 174,500 | 175,021 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
1.98 | (b) | 02/08/22 | Open | 183,250 | 183,797 | Capital Trusts | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
1.98 | (b) | 02/08/22 | Open | 85,553 | 85,808 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| RBC Capital Markets LLC |
1.75 | (b) | 02/08/22 | Open | 72,000 | 72,150 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| RBC Capital Markets LLC |
1.75 | (b) | 02/08/22 | Open | 108,375 | 108,600 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| RBC Capital Markets LLC |
1.75 | (b) | 02/08/22 | Open | 66,600 | 66,738 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| RBC Capital Markets LLC |
1.75 | (b) | 02/08/22 | Open | 69,594 | 69,738 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| RBC Capital Markets LLC |
1.75 | (b) | 02/08/22 | Open | 97,856 | 98,059 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| RBC Capital Markets LLC |
1.75 | (b) | 02/08/22 | Open | 80,000 | 80,166 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| RBC Capital Markets LLC |
1.75 | (b) | 02/08/22 | Open | 93,925 | 94,120 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| RBC Capital Markets LLC |
1.75 | (b) | 02/08/22 | Open | 136,013 | 136,295 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| RBC Capital Markets LLC |
1.75 | (b) | 02/08/22 | Open | 67,800 | 67,941 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| RBC Capital Markets LLC |
1.75 | (b) | 02/08/22 | Open | 136,600 | 136,884 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| RBC Capital Markets LLC |
1.87 | (b) | 02/08/22 | Open | 77,288 | 77,485 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| RBC Capital Markets LLC |
1.87 | (b) | 02/08/22 | Open | 200,317 | 200,828 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| RBC Capital Markets LLC |
1.87 | (b) | 02/08/22 | Open | 136,310 | 136,658 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| RBC Capital Markets LLC |
1.87 | (b) | 02/08/22 | Open | 119,250 | 119,554 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
2.05 | (b) | 02/11/22 | Open | 18,000 | 18,057 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
2.05 | (b) | 02/11/22 | Open | 132,495 | 132,917 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
2.05 | (b) | 02/11/22 | Open | 40,645 | 40,774 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
2.05 | (b) | 02/11/22 | Open | 88,234 | 88,515 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
2.05 | (b) | 02/11/22 | Open | 496,357 | 497,938 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
2.05 | (b) | 02/11/22 | Open | 44,816 | 44,959 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
2.05 | (b) | 02/11/22 | Open | 568,177 | 569,986 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
2.05 | (b) | 02/11/22 | Open | 176,282 | 176,844 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| 44 | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Multi-Sector Opportunities Trust II (MSO2) |
Reverse Repurchase Agreements (continued)
|
|
||||||||||||||||||||||||||
| Counterparty | |
Interest Rate |
|
|
Trade Date |
|
|
Maturity Date |
(a) |
Face Value |
|
Face Value Including Accrued Interest |
|
Type of Non-Cash Underlying Collateral |
|
Remaining Contractual Maturity of the Agreements |
(a) | |||||||||
|
|
||||||||||||||||||||||||||
| BNP Paribas S.A. |
2.05 | %(b) | 02/11/22 | Open | $ | 201,780 | $ | 202,422 | Corporate Bonds | Open/Demand | ||||||||||||||||
| BNP Paribas S.A. |
2.05 | (b) | 02/11/22 | Open | 93,585 | 93,883 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
2.05 | (b) | 02/11/22 | Open | 201,162 | 201,803 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
2.05 | (b) | 02/11/22 | Open | 173,610 | 174,163 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
2.15 | (b) | 02/11/22 | Open | 127,533 | 127,987 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
1.80 | (b) | 02/14/22 | Open | 215,760 | 216,240 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
2.05 | (b) | 02/14/22 | Open | 65,975 | 66,184 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
2.05 | (b) | 02/14/22 | Open | 28,481 | 28,572 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
2.05 | (b) | 02/14/22 | Open | 33,250 | 33,355 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
2.05 | (b) | 02/14/22 | Open | 217,271 | 217,960 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
2.08 | (b) | 02/14/22 | Open | 270,856 | 271,745 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
2.15 | (b) | 02/14/22 | Open | 266,693 | 267,639 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
2.15 | (b) | 02/14/22 | Open | 177,250 | 177,879 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
2.15 | (b) | 02/14/22 | Open | 19,320 | 19,389 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
2.15 | (b) | 02/14/22 | Open | 223,125 | 223,916 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
2.15 | (b) | 02/14/22 | Open | 49,140 | 49,314 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
2.15 | (b) | 02/14/22 | Open | 16,554 | 16,612 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
2.15 | (b) | 02/14/22 | Open | 205,942 | 206,673 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
2.15 | (b) | 02/14/22 | Open | 163,000 | 163,578 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
2.15 | (b) | 02/14/22 | Open | 82,750 | 83,043 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
2.15 | (b) | 02/14/22 | Open | 30,538 | 30,646 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
2.15 | (b) | 02/14/22 | Open | 20,269 | 20,341 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
2.15 | (b) | 02/14/22 | Open | 30,000 | 30,106 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
2.15 | (b) | 02/14/22 | Open | 293,807 | 294,849 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
2.15 | (b) | 02/14/22 | Open | 27,338 | 27,434 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
2.15 | (b) | 02/14/22 | Open | 20,039 | 20,110 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
2.15 | (b) | 02/14/22 | Open | 42,525 | 42,676 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
2.15 | (b) | 02/14/22 | Open | 26,318 | 26,411 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
1.75 | (b) | 02/22/22 | Open | 226,582 | 227,087 | Foreign Agency Obligations | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
2.15 | (b) | 03/01/22 | Open | 124,475 | 124,883 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
1.70 | (b) | 03/03/22 | Open | 161,170 | 161,483 | Foreign Agency Obligations | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
1.80 | (b) | 03/03/22 | Open | 245,625 | 246,182 | Foreign Agency Obligations | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
1.85 | (b) | 03/03/22 | Open | 241,019 | 241,560 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
1.95 | (b) | 03/03/22 | Open | 188,250 | 188,735 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
1.95 | (b) | 03/03/22 | Open | 127,750 | 128,079 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
2.00 | (b) | 03/03/22 | Open | 189,810 | 190,331 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
2.00 | (b) | 03/03/22 | Open | 12,285 | 12,319 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
2.00 | (b) | 03/03/22 | Open | 31,866 | 31,954 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
2.00 | (b) | 03/03/22 | Open | 541,031 | 542,515 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
2.00 | (b) | 03/03/22 | Open | 151,000 | 151,414 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
2.00 | (b) | 03/03/22 | Open | 22,783 | 22,845 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
2.00 | (b) | 03/03/22 | Open | 22,945 | 23,008 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
2.00 | (b) | 03/03/22 | Open | 15,045 | 15,086 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
2.00 | (b) | 03/03/22 | Open | 170,500 | 170,968 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
2.00 | (b) | 03/03/22 | Open | 168,250 | 168,712 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
2.00 | (b) | 03/03/22 | Open | 73,733 | 73,935 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
2.00 | (b) | 03/03/22 | Open | 222,750 | 223,361 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
2.00 | (b) | 03/03/22 | Open | 310,500 | 311,352 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
2.00 | (b) | 03/03/22 | Open | 31,445 | 31,531 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
2.00 | (b) | 03/03/22 | Open | 30,770 | 30,854 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
2.00 | (b) | 03/03/22 | Open | 141,860 | 142,249 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
2.00 | (b) | 03/03/22 | Open | 42,060 | 42,175 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
2.00 | (b) | 03/03/22 | Open | 161,955 | 162,399 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
2.00 | (b) | 03/03/22 | Open | 174,115 | 174,593 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
2.00 | (b) | 03/03/22 | Open | 36,908 | 37,009 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
2.05 | (b) | 03/03/22 | Open | 190,066 | 190,619 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
2.05 | (b) | 03/03/22 | Open | 153,750 | 154,197 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
2.05 | (b) | 03/03/22 | Open | 29,000 | 29,084 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
2.05 | (b) | 03/03/22 | Open | 209,751 | 210,361 | Capital Trusts | Open/Demand | ||||||||||||||||||
| RBC Capital Markets LLC |
1.78 | (b) | 03/03/22 | Open | 439,420 | 440,306 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
1.97 | (b) | 03/04/22 | Open | 431,584 | 432,708 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
1.97 | (b) | 03/04/22 | Open | 165,250 | 165,680 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| S C H E D U L E O F I N V E S T M E N T S |
45 |
| Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Multi-Sector Opportunities Trust II (MSO2) |
Reverse Repurchase Agreements (continued)
|
|
||||||||||||||||||||||||||
| Counterparty | |
Interest Rate |
|
|
Trade Date |
|
|
Maturity Date |
(a) |
Face Value |
|
Face Value Including Accrued Interest |
|
Type of Non-Cash Underlying Collateral |
|
Remaining Contractual Maturity of the Agreements |
(a) | |||||||||
|
|
||||||||||||||||||||||||||
| Barclays Capital, Inc. |
1.55 | %(b) | 03/08/22 | Open | $ | 93,775 | $ | 93,906 | Foreign Agency Obligations | Open/Demand | ||||||||||||||||
| BNP Paribas S.A. |
1.75 | (b) | 03/08/22 | Open | 223,725 | 224,146 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
2.05 | (b) | 03/08/22 | Open | 125,519 | 125,874 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
1.60 | (b) | 03/16/22 | Open | 128,250 | 128,440 | Foreign Agency Obligations | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
2.15 | (b) | 03/16/22 | Open | 173,750 | 174,272 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
2.15 | (b) | 03/16/22 | Open | 168,500 | 169,006 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| RBC Capital Markets LLC |
1.80 | (b) | 03/16/22 | Open | 180,000 | 180,355 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| RBC Capital Markets LLC |
1.90 | (b) | 03/16/22 | Open | 151,119 | 151,462 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
2.00 | (b) | 03/17/22 | Open | 137,250 | 137,612 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
1.80 | (b) | 03/17/22 | Open | 401,144 | 401,969 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Credit Suisse Securities (USA) LLC |
1.85 | (b) | 03/17/22 | Open | 236,725 | 237,246 | Foreign Agency Obligations | Open/Demand | ||||||||||||||||||
| Credit Suisse Securities (USA) LLC |
1.95 | (b) | 03/17/22 | Open | 87,885 | 88,104 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Credit Suisse Securities (USA) LLC |
1.95 | (b) | 03/17/22 | Open | 177,300 | 177,742 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Credit Suisse Securities (USA) LLC |
2.00 | (b) | 03/17/22 | Open | 67,479 | 67,657 | Foreign Agency Obligations | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
2.00 | (b) | 03/30/22 | Open | 162,250 | 162,634 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
1.75 | (b) | 04/08/22 | Open | 100,625 | 100,472 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Barclays Capital, Inc. |
1.60 | (b) | 04/11/22 | Open | 228,231 | 228,512 | Foreign Agency Obligations | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
1.97 | (b) | 04/12/22 | Open | 236,184 | 236,664 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
2.05 | (b) | 04/12/22 | Open | 231,875 | 232,387 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
1.96 | (b) | 04/13/22 | Open | 154,345 | 154,652 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| Credit Suisse Securities (USA) LLC |
2.00 | (b) | 04/13/22 | Open | 69,362 | 69,506 | Foreign Agency Obligations | Open/Demand | ||||||||||||||||||
| RBC Capital Markets LLC |
1.90 | (b) | 05/03/22 | Open | 170,729 | 170,985 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| RBC Capital Markets LLC |
1.90 | (b) | 05/03/22 | Open | 107,357 | 107,518 | Corporate Bonds | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
1.99 | (b) | 05/10/22 | Open | 195,000 | 195,347 | Foreign Agency Obligations | Open/Demand | ||||||||||||||||||
| BNP Paribas S.A. |
1.77 | (b) | 06/07/22 | Open | 73,631 | 73,683 | Corporate Bonds | Open/Demand | ||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||||
| $ | 32,460,431 | $ | 32,579,282 | |||||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||||
| (a) | Certain agreements have no stated maturity and can be terminated by either party at any time. |
| (b) | Variable rate security. Rate as of period end and maturity is the date the principal owed can be recovered through demand. |
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 |
80 | 09/21/22 | $ | 9,469 | $ | (130,555 | ) | |||||||||
| U.S. Long Bond |
8 | 09/21/22 | 1,105 | (23,766 | ) | |||||||||||
|
|
|
|||||||||||||||
| (154,321 | ) | |||||||||||||||
|
|
|
|||||||||||||||
| Short Contracts |
||||||||||||||||
| Euro BTP |
1 | 09/08/22 | 129 | (3,616 | ) | |||||||||||
| 10-Year Japanese Government Treasury Bonds |
1 | 09/12/22 | 1,095 | 3,314 | ||||||||||||
| 10-Year U.S. Ultra Long Treasury Note |
98 | 09/21/22 | 12,452 | 203,532 | ||||||||||||
| Ultra U.S. Treasury Bond |
7 | 09/21/22 | 1,080 | 3,671 | ||||||||||||
| 2-Year U.S. Treasury Note |
23 | 09/30/22 | 4,826 | 23,298 | ||||||||||||
| 5-Year U.S. Treasury Note |
60 | 09/30/22 | 6,728 | 21,691 | ||||||||||||
|
|
|
|||||||||||||||
| 251,890 | ||||||||||||||||
|
|
|
|||||||||||||||
| $ | 97,569 | |||||||||||||||
|
|
|
|||||||||||||||
Forward Foreign Currency Exchange Contracts
| Currency Purchased | Currency Sold | Counterparty | Settlement Date |
Unrealized (Depreciation) |
||||||||||||||||||||
| EUR | 100,000 | USD | 105,004 | JPMorgan Chase Bank N.A. | 09/21/22 | $ | 374 | |||||||||||||||||
| EUR | 257,603 | USD | 269,791 | Morgan Stanley & Co. International PLC | 09/21/22 | 1,666 | ||||||||||||||||||
| 46 | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Multi-Sector Opportunities Trust II (MSO2) |
Forward Foreign Currency Exchange Contracts (continued)
| Currency Purchased | Currency Sold | Counterparty | Settlement Date |
Unrealized (Depreciation) |
||||||||||||||||||||||
| EUR | 1,537,925 | USD | 1,614,471 | UBS AG | 09/21/22 | $ | 6,167 | |||||||||||||||||||
| GBP | 114,341 | USD | 137,280 | Morgan Stanley & Co. International PLC | 09/21/22 | 2,116 | ||||||||||||||||||||
| USD | 1,952,383 | AUD | 2,706,000 | Deutsche Bank AG | 09/21/22 | 83,349 | ||||||||||||||||||||
| USD | 343,656 | AUD | 480,000 | UBS AG | 09/21/22 | 12,120 | ||||||||||||||||||||
| USD | 104,781 | CAD | 134,000 | JPMorgan Chase Bank N.A. | 09/21/22 | 664 | ||||||||||||||||||||
| USD | 6,857,699 | EUR | 6,368,000 | BNP Paribas S.A. | 09/21/22 | 147,215 | ||||||||||||||||||||
| USD | 5,179,919 | EUR | 4,811,234 | Deutsche Bank AG | 09/21/22 | 109,926 | ||||||||||||||||||||
| USD | 242,812 | GBP | 197,000 | Deutsche Bank AG | 09/21/22 | 2,645 | ||||||||||||||||||||
| USD | 880,619 | GBP | 710,000 | Deutsche Bank AG | 09/21/22 | 15,042 | ||||||||||||||||||||
| USD | 874,365 | GBP | 697,000 | Morgan Stanley & Co. International PLC | 09/21/22 | 24,638 | ||||||||||||||||||||
| USD | 24,194 | IDR | 352,392,110 | JPMorgan Chase Bank N.A. | 09/21/22 | 694 | ||||||||||||||||||||
| USD | 76,975 | ZAR | 1,192,178 | Morgan Stanley & Co. International PLC | 09/21/22 | 4,277 | ||||||||||||||||||||
| USD | 155,000 | ZAR | 2,402,147 | Morgan Stanley & Co. International PLC | 09/21/22 | 8,519 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||
| 419,412 | ||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||
| EUR | 431,694 | USD | 458,868 | Bank of America N.A. | 09/21/22 | (3,957 | ) | |||||||||||||||||||
| USD | 101,055 | AUD | 147,000 | Morgan Stanley & Co. International PLC | 09/21/22 | (478 | ) | |||||||||||||||||||
|
|
|
|||||||||||||||||||||||||
| (4,435 | ) | |||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||
| $ | 414,977 | |||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||
Exchange-Traded Options Purchased
| Description | Number of Contracts |
Expiration Date |
Exercise Price | Notional Amount (000) |
Value | |||||||||||||||
| Put |
241 | 08/19/22 | USD | 108.00 | USD | 2,652 | $ | 34,343 | ||||||||||||
|
|
|
|||||||||||||||||||
OTC Interest Rate Swaptions Purchased
| Paid by the Trust | Received by the Trust | Expiration | Exercise | Notional | ||||||||||||||||||||||||||||||
| Description | Rate | Frequency | Rate | Frequency | Counterparty | Date | Rate | Amount (000) | Value | |||||||||||||||||||||||||
| Call |
||||||||||||||||||||||||||||||||||
| 30-Year Interest Rate Swap, 07/08/52 |
|
3-Month LIBOR, 2.29 |
% |
Quarterly | 1.55 | % | Semi-Annual | Deutsche Bank AG | 07/06/22 | 1.55 | % | USD | 345 | $ | — | |||||||||||||||||||
| 30-Year Interest Rate Swap, 07/08/52 |
|
3-Month LIBOR, |
|
Quarterly | 1.55 | % | Semi-Annual | Deutsche Bank AG | 07/06/22 | 1.55 | USD | 345 | — | |||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||||
| $ | 0 | |||||||||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||||
Exchange-Traded Options Written
| Description | Number of Contracts |
Expiration Date |
Exercise Price | Notional Amount (000) |
Value | |||||||||||||||||||||||
| Put |
115 | 08/19/22 | USD | 72.00 | USD | 847 | $ | (17,365 | ) | |||||||||||||||||||
| iShares iBoxx $ Investment Grade Corporate Bond ETF |
241 | 08/19/22 | USD | 103.00 | USD | 2,652 | (10,725 | ) | ||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
| $ | (28,090 | ) | ||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
| S C H E D U L E O F I N V E S T M E N T S |
47 |
| Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Multi-Sector Opportunities Trust II (MSO2) |
Centrally Cleared Credit Default Swaps — Sell Protection
| Reference Obligation/Index |
|
Financing Rate Received by the Trust |
|
|
Payment Frequency |
|
|
Termination Date |
|
|
Credit Rating |
(a) |
|
Notional Amount (000) |
(b) |
Value |
|
Upfront Premium Paid (Received) |
|
|
Unrealized Appreciation (Depreciation) |
| ||||||||||
| CDX.NA.HY.33.V13 |
5.00 | % | Quarterly | 12/20/24 | CC- | USD 6,380 | $ | 74,753 | $ | (4,012 | ) | $ | 78,765 | |||||||||||||||||||
| CDX.NA.HY.34.V10 |
5.00 | Quarterly | 06/20/25 | CC | USD 5,278 | 7,095 | (3,376 | ) | 10,471 | |||||||||||||||||||||||
| CDX.NA.HY.38.V2 |
5.00 | Quarterly | 06/20/27 | B+ | USD 317 | (8,803 | ) | (9,028 | ) | 225 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| $ | 73,045 | $ | (16,416 | ) | $ | 89,461 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| (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. |
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) | |||||||||||||||||||||||||||
| 0.52% |
Semi-Annual | 3-Month LIBOR, 2.29% | Quarterly | N/A | 06/21/24 | USD | 2,250 | $ | 118,451 | $ | 82,495 | $ | 35,956 | |||||||||||||||||||||||
| 3-Month LIBOR, 2.29% |
Quarterly | 1.42% | Semi-Annual | N/A | 01/11/27 | USD | 2,585 | (167,928 | ) | (115,179 | ) | (52,749 | ) | |||||||||||||||||||||||
| 1-Day SOFR, 0.82% | Annual | 1.56% | Annual | N/A | 03/08/27 | USD | 2,933 | (147,721 | ) | (80,701 | ) | (67,020 | ) | |||||||||||||||||||||||
| 1.54% | Semi-Annual | 3-Month LIBOR, 2.29% | Quarterly | N/A | 05/28/31 | USD | 88 | 10,422 | 6,359 | 4,063 | ||||||||||||||||||||||||||
| 1.97% | Semi-Annual | 3-Month LIBOR, 2.29% | Quarterly | N/A | 05/28/51 | USD | 42 | 8,124 | 3,623 | 4,501 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||
| $ | (178,652 | ) | $ | (103,403 | ) | $ | (75,249 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||
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) |
|
|||||||||||||||||||||
|
|
CMA CGM SA |
5.00 | % | Quarterly | JPMorgan Chase Bank N.A. |
06/20/27 | BB+ | EUR | 4 | $ | (182 | ) | $ | 153 | $ | (335 | ) | |||||||||||||||||||||||||||
| CMA CGM SA |
5.00 | Quarterly | JPMorgan Chase Bank N.A. |
06/20/27 | BB+ | EUR | 4 | (172 | ) | 143 | (315 | ) | ||||||||||||||||||||||||||||||||
| CMA CGM SA |
5.00 | Quarterly | JPMorgan Chase Bank N.A. |
06/20/27 | BB+ | EUR | 2 | (81 | ) | 68 | (149 | ) | ||||||||||||||||||||||||||||||||
| CMBX.NA.9 |
3.00 | Monthly | Morgan Stanley & Co. International PLC |
09/17/58 | N/R | USD | 5,000 | (854,607 | ) | (7,713 | ) | (846,894 | ) | |||||||||||||||||||||||||||||||
| CMBX.NA.9 |
3.00 | Monthly | Morgan Stanley & Co. International PLC |
09/17/58 | N/R | USD | 5,000 | (854,607 | ) | (19,776 | ) | (834,831 | ) | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||||||||
| $ | (1,709,649 | ) | $ | (27,125 | ) | $ | (1,682,524 | ) | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||||||||
| (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. |
OTC Total Return Swaps
| Paid by the Trust |
Received by the Trust |
Upfront Premium |
Unrealized | |||||||||||||||||||||||||||||||||
| Rate/Reference | Frequency | Rate/Reference | Frequency | Counterparty | Effective Date |
Termination Date |
Notional Amount (000) |
Value | Paid (Received) |
Appreciation (Depreciation) |
||||||||||||||||||||||||||
| 1-Day SOFR minus 2.00%, 0.82% |
Monthly | iShares iBoxx $ High Yield Corporate Bond ETF |
Monthly | BNP Paribas SA | N/A | 08/05/22 | USD | 1,960 | $ | (97,529 | ) | $ | — | $ | (97,529 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||
| 48 | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Multi-Sector Opportunities Trust II (MSO2) |
Balances Reported in the Statements of Assets and Liabilities for Centrally Cleared Swaps, OTC Swaps and Options Written
| Description | Swap Premiums Paid |
Swap Premiums Received |
Unrealized Appreciation |
Unrealized Depreciation |
Value | |||||||||||||||
| Centrally Cleared Swaps(a) |
$ | 92,477 | $ | (212,296 | ) | $ | 133,981 | $ | (119,769 | ) | $ | — | ||||||||
| OTC Swaps |
364 | (27,489 | ) | — | (1,780,053 | ) | — | |||||||||||||
| Options Written |
N/A | N/A | 17,417 | (6,927 | ) | (28,090 | ) | |||||||||||||
| (a) | Includes cumulative appreciation (depreciation) on centrally cleared swaps, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities and is net of any previously paid (received) swap premium amounts. |
Derivative Financial Instruments Categorized by Risk Exposure
As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:
| Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Currency Exchange Contracts |
Interest Rate Contracts |
Other Contracts |
Total | ||||||||||||||||||||||
| Assets — Derivative Financial Instruments |
||||||||||||||||||||||||||||
| Futures contracts |
||||||||||||||||||||||||||||
| Unrealized appreciation on futures contracts(a) |
$ | — | $ | — | $ | — | $ | — | $ | 255,506 | $ | — | $ | 255,506 | ||||||||||||||
| Forward foreign currency exchange contracts |
||||||||||||||||||||||||||||
| Unrealized appreciation on forward foreign currency exchange contracts |
— | — | — | 419,412 | — | — | 419,412 | |||||||||||||||||||||
| Options purchased |
||||||||||||||||||||||||||||
| Investments at value — unaffiliated(b) |
— | — | 34,343 | — | — | — | 34,343 | |||||||||||||||||||||
| Swaps — centrally cleared |
||||||||||||||||||||||||||||
| Unrealized appreciation on centrally cleared swaps(a) |
— | 89,461 | — | — | 44,520 | — | 133,981 | |||||||||||||||||||||
| Swaps — OTC |
||||||||||||||||||||||||||||
| Unrealized appreciation on OTC swaps; Swap premiums paid |
— | 364 | — | — | — | — | 364 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
| $ | — | $ | 89,825 | $ | 34,343 | $ | 419,412 | $ | 300,026 | $ | — | $ | 843,606 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
| Liabilities — Derivative Financial Instruments |
||||||||||||||||||||||||||||
| Futures contracts |
||||||||||||||||||||||||||||
| Unrealized depreciation on futures contracts(a) |
$ | — | $ | — | $ | — | $ | — | $ | 157,937 | $ | — | $ | 157,937 | ||||||||||||||
| Forward foreign currency exchange contracts |
||||||||||||||||||||||||||||
| Unrealized depreciation on forward foreign currency exchange contracts |
— | — | — | 4,435 | — | — | 4,435 | |||||||||||||||||||||
| Options written |
||||||||||||||||||||||||||||
| Options written at value |
— | — | 28,090 | — | — | — | 28,090 | |||||||||||||||||||||
| Swaps — centrally cleared |
||||||||||||||||||||||||||||
| Unrealized depreciation on centrally cleared swaps(a) |
— | — | — | — | 119,769 | — | 119,769 | |||||||||||||||||||||
| Swaps — OTC |
||||||||||||||||||||||||||||
| Unrealized depreciation on OTC swaps; Swap premiums received |
— | 1,710,013 | 97,529 | — | — | — | 1,807,542 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
| $ | — | $ | 1,710,013 | $ | 125,619 | $ | 4,435 | $ | 277,706 | $ | — | $ | 2,117,773 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
| (a) | Net cumulative unrealized appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, are reported in the Schedule of Investments. In the Statements of Assets and Liabilities, only current day’s variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in accumulated earnings (loss). |
| (b) | Includes options purchased at value as reported in the Schedule of Investments. |
For the period ended June 30, 2022, the effect of derivative financial instruments in the Statements of Operations was as follows:
| Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Currency Exchange Contracts |
Interest Rate Contracts |
Other Contracts |
Total |
||||||||||||||||||||||
| Net Realized Gain (Loss) from: |
||||||||||||||||||||||||||||
| Futures contracts |
$ | — | $ | — | $ | — | $ | — | $ | 1,562,606 | $ | — | $ | 1,562,606 | ||||||||||||||
| Forward foreign currency exchange contracts |
— | — | — | 918,108 | — | — | 918,108 | |||||||||||||||||||||
| Options purchased(a) |
— | — | 301,490 | (36,725 | ) | — | — | 264,765 | ||||||||||||||||||||
| Options written |
— | — | (81,781 | ) | 13,545 | 6,043 | — | (62,193 | ) | |||||||||||||||||||
| Swaps |
— | 750,981 | 7,751 | — | (160,104 | ) | — | 598,628 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
| $ | — | $ | 750,981 | $ | 227,460 | $ | 894,928 | $ | 1,408,545 | $ | — | $ | 3,281,914 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
| S C H E D U L E O F I N V E S T M E N T S |
49 |
| Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Multi-Sector Opportunities Trust II (MSO2) |
| Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Currency Exchange Contracts |
Interest Rate Contracts |
Other Contracts |
Total | ||||||||||||||||||||||
| Net Change in Unrealized Appreciation (Depreciation) on: |
||||||||||||||||||||||||||||
| Futures contracts |
$ | — | $ | — | $ | — | $ | — | $ | 132,482 | $ | — | $ | 132,482 | ||||||||||||||
| Forward foreign currency exchange contracts |
— | — | — | 582,055 | — | — | 582,055 | |||||||||||||||||||||
| Options purchased(b) |
— | — | (16,739 | ) | — | (21,547 | ) | — | (38,286 | ) | ||||||||||||||||||
| Options written |
— | — | 2,340 | — | (2,980 | ) | — | (640 | ) | |||||||||||||||||||
| Swaps |
— | (2,019,200 | ) | (97,529 | ) | — | (102,505 | ) | — | (2,219,234 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
| $ | — | $ | (2,019,200 | ) | $ | (111,928 | ) | $ | 582,055 | $ | 5,450 | $ | — | $ | (1,543,623 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
| (a) | Options purchased are included in net realized gain (loss) from investments — unaffiliated. |
| (b) | Options purchased are included in net change in unrealized appreciation (depreciation) on investments — unaffiliated. |
Average Quarterly Balances of Outstanding Derivative Financial Instruments
| Futures contracts: |
||||
| Average notional value of contracts — long |
$ | 18,216,961 | ||
| Average notional value of contracts — short |
$ | 27,649,528 | ||
| Forward foreign currency exchange contracts: |
||||
| Average amounts purchased — in USD |
$ | 19,728,498 | ||
| Average amounts sold — in USD |
$ | 4,974,529 | ||
| Options: |
||||
| Average value of option contracts purchased |
$ | 68,723 | ||
| Average value of option contracts written |
$ | 26,308 | ||
| Average notional value of swaption contracts purchased |
$ | 689,324 | ||
| Average notional value of swaption contracts written |
$ | — | (a) | |
| Credit default swaps: |
||||
| Average notional value — sell protection |
$ | 21,886,890 | ||
| Interest rate swaps: |
||||
| Average notional value — pays fixed rate |
$ | 2,380,011 | ||
| Average notional value — receives fixed rate |
$ | 6,168,860 | ||
| Total return swaps: |
||||
| Average notional value |
$ | 980,083 | ||
| (a) | Derivative not held at any quarter-end. The risk exposure table serves as an indicator of activity during the period. |
For more information about the Trust’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.
Derivative Financial Instruments — Offsetting as of Period End
The Trust’s derivative assets and liabilities (by type) were as follows:
| Assets | Liabilities | |||||||
| Derivative Financial Instruments |
||||||||
| Futures contracts |
$ | 76,897 | $ | 163,509 | ||||
| Forward foreign currency exchange contracts |
419,412 | 4,435 | ||||||
| Options |
34,343 | (a) | 28,090 | |||||
| Swaps — centrally cleared |
23,641 | — | ||||||
| Swaps — OTC(b) |
364 | 1,807,542 | ||||||
|
|
|
|
|
|||||
| Total derivative assets and liabilities in the Statements of Assets and Liabilities |
554,657 | 2,003,576 | ||||||
|
|
|
|
|
|||||
| Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) |
(134,881 | ) | (191,599 | ) | ||||
|
|
|
|
|
|||||
| Total derivative assets and liabilities subject to an MNA |
$ | 419,776 | $ | 1,811,977 | ||||
|
|
|
|
|
|||||
| (a) | Includes options purchased at value which is included in Investments at value — unaffiliated in the Statements of Assets and Liabilities and reported in the Schedule of Investments. |
| (b) | Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums (paid/received) in the Statements of Assets and Liabilities. |
| 50 | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Multi-Sector Opportunities Trust II (MSO2) |
The following table presents the Trust’s derivative assets and liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral received (and pledged) by the Trust:
| Counterparty |
|
Derivative Assets Subject to an MNA by Counterparty |
|
|
Derivatives Available for Offset |
(a) |
|
Non-Cash Collateral Received |
|
|
Cash Collateral Received |
|
|
Net Amount of Derivative Assets |
(b)(c) | |||||
| BNP Paribas S.A. |
$ | 147,215 | $ | — | $ | — | $ | — | $ | 147,215 | ||||||||||
| Deutsche Bank AG |
210,962 | — | — | — | 210,962 | |||||||||||||||
| JPMorgan Chase Bank N.A. |
2,096 | (799 | ) | — | — | 1,297 | ||||||||||||||
| Morgan Stanley & Co. International PLC |
41,216 | (41,216 | ) | — | — | — | ||||||||||||||
| UBS AG |
18,287 | — | — | — | 18,287 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| $ | 419,776 | $ | (42,015 | ) | $ | — | $ | — | $ | 377,761 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Counterparty |
|
Derivative Liabilities Subject to an MNA by Counterparty |
|
|
Derivatives Available for Offset |
(a) |
|
Non-Cash Collateral Pledged |
|
|
Cash Collateral Pledged |
|
|
Net Amount of Derivative Liabilities |
(b)(d) | |||||
| Bank of America N.A. |
$ | 3,957 | $ | — | $ | — | $ | — | $ | 3,957 | ||||||||||
| BNP Paribas SA |
97,529 | — | — | — | 97,529 | |||||||||||||||
| JPMorgan Chase Bank N.A. |
799 | (799 | ) | — | — | — | ||||||||||||||
| Morgan Stanley & Co. International PLC |
1,709,692 | (41,216 | ) | — | (1,550,000 | ) | 118,476 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| $ | 1,811,977 | $ | (42,015 | ) | $ | — | $ | (1,550,000 | ) | $ | 219,962 | |||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| (a) | The amount of derivatives available for offset is limited to the amount of derivative asset and/or liabilities that are subject to an MNA. |
| (b) | Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized. |
| (c) | Net amount represents the net amount receivable from the counterparty in the event of default. |
| (d) | Net amount represents the net amount payable due to counterparty in the event of default. Net amount may be offset further by the options written receivable/payable on the Statements of Assets and Liabilities. |
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of financial instruments. For a description of the input levels and information about the Trust’s policy regarding valuation of financial instruments, refer to the Notes to 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 |
$ | — | $ | 25,683,483 | $ | 65,163 | $ | 25,748,646 | ||||||||
| Common Stocks |
355,458 | — | — | 355,458 | ||||||||||||
| Corporate Bonds |
— | 49,873,826 | 1,300,093 | 51,173,919 | ||||||||||||
| Floating Rate Loan Interests |
— | 3,790,709 | 4,426,915 | 8,217,624 | ||||||||||||
| Foreign Agency Obligations |
— | 5,259,826 | — | 5,259,826 | ||||||||||||
| Municipal Bonds |
— | 128,892 | — | 128,892 | ||||||||||||
| Non-Agency Mortgage-Backed Securities |
— | 17,994,088 | 378,656 | 18,372,744 | ||||||||||||
| Preferred Securities Capital Trusts |
— | 6,217,117 | — | 6,217,117 | ||||||||||||
| U.S. Government Sponsored Agency Securities |
— | 1,024,518 | — | 1,024,518 | ||||||||||||
| Short-Term Securities |
||||||||||||||||
| Money Market Funds |
3,973,620 | — | — | 3,973,620 | ||||||||||||
| Options Purchased |
||||||||||||||||
| Equity Contracts |
34,343 | — | — | 34,343 | ||||||||||||
| Interest Rate Contracts |
— | — | — | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| $ | 4,363,421 | $ | 109,972,459 | $ | 6,170,827 | $ | 120,506,707 | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| S C H E D U L E O F I N V E S T M E N T S |
51 |
| Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Multi-Sector Opportunities Trust II (MSO2) |
Fair Value Hierarchy as of Period End (continued)
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Derivative Financial Instruments(a) |
||||||||||||||||
| Assets |
||||||||||||||||
| Credit Contracts |
$ | — | $ | 89,461 | $ | — | $ | 89,461 | ||||||||
| Foreign Currency Exchange Contracts |
— | 419,412 | — | 419,412 | ||||||||||||
| Interest Rate Contracts |
255,506 | 44,520 | — | 300,026 | ||||||||||||
| Liabilities |
||||||||||||||||
| Credit Contracts |
— | (1,682,524 | ) | — | (1,682,524 | ) | ||||||||||
| Equity Contracts |
(28,090 | ) | (97,529 | ) | — | (125,619 | ) | |||||||||
| Foreign Currency Exchange Contracts |
— | (4,435 | ) | — | (4,435 | ) | ||||||||||
| Interest Rate Contracts |
(157,937 | ) | (119,769 | ) | — | (277,706 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| $ | 69,479 | $ | (1,350,864 | ) | $ | — | $ | (1,281,385 | ) | |||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (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. |
The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount or face value, including accrued interest, for financial statement purposes. As of period end, reverse repurchase agreements of $32,579,282 are categorized as Level 2 within the fair value hierarchy.
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:
|
Asset-Backed Securities |
Corporate Bonds |
Floating Rate Loan Interests |
Non-Agency Mortgage-Backed Securities |
Total | ||||||||||||||||
| Assets |
||||||||||||||||||||
| Opening balance, as of December 31, 2021 |
$ | 65,038 | $ | 1,005,613 | $ | 3,280,642 | $ | 786,988 | $ | 5,138,281 | ||||||||||
| Transfers into Level 3 |
— | 35,938 | 30,146 | 120,355 | 186,439 | |||||||||||||||
| Transfers out of Level 3 |
— | — | — | (491,044 | ) | (491,044 | ) | |||||||||||||
| Accrued discounts/premiums |
— | — | 8,224 | 11 | 8,235 | |||||||||||||||
| Net realized gain (loss) |
— | — | 78 | 27,705 | 27,783 | |||||||||||||||
| Net change in unrealized appreciation (depreciation)(a)(b) |
125 | (71,701 | ) | (118,879 | ) | (17,221 | ) | (207,676 | ) | |||||||||||
| Purchases |
— | 361,271 | 1,258,018 | — | 1,619,289 | |||||||||||||||
| Sales |
— | (31,028 | ) | (31,314 | ) | (48,138 | ) | (110,480 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Closing balance, as of June 30, 2022 |
$ | 65,163 | $ | 1,300,093 | $ | 4,426,915 | $ | 378,656 | $ | 6,170,827 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Net change in unrealized appreciation (depreciation) on investments still held at June 30, 2022(b) |
$ | 125 | $ | (71,701 | ) | $ | (119,346 | ) | $ | (17,221 | ) | $ | (208,143 | ) | ||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| (a) | Included in the related net change in unrealized appreciation (depreciation) in the Statements of Operations. |
| (b) | Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at June 30, 2022 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 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 $506,741. A significant change in third party information could result in a significantly lower or higher value of such Level 3 financial instruments.
| Value | |
Valuation Approach |
|
Unobservable Inputs |
|
Range of Unobservable Inputs Utilized |
(a) |
|
Weighted Average of Unobservable Inputs Based on Fair Value |
| ||||||||
| Assets |
||||||||||||||||||
| Corporate Bonds |
$ | 1,268,093 | Income | Discount Rate | 6% - 9 | % | 9 | % | ||||||||||
| Floating Rate Loan Interests |
4,395,993 | Income | Discount Rate | 9% - 13 | % | 12 | % | |||||||||||
|
|
|
|||||||||||||||||
| $ | 5,664,086 | |||||||||||||||||
|
|
|
|||||||||||||||||
| (a) | A significant change in unobservable input would have resulted in a correlated (inverse) significant change to value. |
See notes to financial statements.
| 52 | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Statements of Assets and Liabilities (unaudited)
June 30, 2022
| BlackRock Multi-Sector Opportunities Trust |
BlackRock Multi-Sector Opportunities Trust II |
|||||||
|
|
||||||||
| ASSETS |
||||||||
| Investments, at value — unaffiliated(a) |
$ | 259,651,614 | $ | 116,533,087 | ||||
| Investments, at value — affiliated(b) |
10,590,362 | 3,973,620 | ||||||
| Cash pledged: |
||||||||
| Collateral — reverse repurchase agreements |
5,366,306 | 3,640,401 | ||||||
| Collateral — exchange-traded options written |
— | 40,000 | ||||||
| Collateral — OTC derivatives |
4,922,000 | 1,550,000 | ||||||
| Futures contracts |
903,000 | 363,000 | ||||||
| Centrally cleared swaps |
2,730,000 | 1,067,000 | ||||||
| Foreign currency, at value(c) |
534,417 | 157,092 | ||||||
| Receivables: |
||||||||
| Investments sold |
10,335,996 | 2,948,975 | ||||||
| Swaps |
— | 7,751 | ||||||
| Dividends — affiliated |
11,885 | 3,654 | ||||||
| Interest — unaffiliated |
3,563,233 | 1,388,997 | ||||||
| Variation margin on futures contracts |
208,545 | 76,897 | ||||||
| Variation margin on centrally cleared swaps |
224,032 | 23,641 | ||||||
| Swap premiums paid |
710 | 364 | ||||||
| Unrealized appreciation on forward foreign currency exchange contracts |
1,030,014 | 419,412 | ||||||
| Prepaid expenses |
1,238 | 498 | ||||||
|
|
|
|
|
|||||
| Total assets |
300,073,352 | 132,194,389 | ||||||
|
|
|
|
|
|||||
| LIABILITIES |
||||||||
| Bank overdraft |
308,750 | 516,667 | ||||||
| Options written, at value(d) |
70,961 | 28,090 | ||||||
| Reverse repurchase agreements, at value |
54,805,241 | 32,579,282 | ||||||
| Payables: |
||||||||
| Investments purchased |
47,001 | 10,200 | ||||||
| Reverse repurchase agreements |
— | 209,368 | ||||||
| Accounting services fees |
45,993 | 26,767 | ||||||
| Custodian fees |
44,108 | 25,347 | ||||||
| Investment advisory fees |
309,931 | 110,652 | ||||||
| Trustees’ and Officer’s fees |
5,246 | 2,335 | ||||||
| Other accrued expenses |
109,513 | 39,095 | ||||||
| Principal payups |
34,281 | 24,516 | ||||||
| Professional fees |
53,946 | 43,709 | ||||||
| Distribution fees |
— | 24,376 | ||||||
| Transfer agent fees |
26,368 | 3,107 | ||||||
| Variation margin on futures contracts |
411,781 | 163,509 | ||||||
| Swap premiums received |
3,325,532 | 27,489 | ||||||
| Unrealized depreciation on: |
||||||||
| Forward foreign currency exchange contracts |
1,229 | 4,435 | ||||||
| OTC swaps |
2,658,297 | 1,780,053 | ||||||
|
|
|
|
|
|||||
| Total liabilities |
62,258,178 | 35,618,997 | ||||||
|
|
|
|
|
|||||
| NET ASSETS |
$ | 237,815,174 | $ | 96,575,392 | ||||
|
|
|
|
|
|||||
| F I N A N C I A L S T A T E M E N T S |
53 |
Statements of Assets and Liabilities (unaudited) (continued)
June 30, 2022
| BlackRock Multi-Sector Opportunities Trust |
BlackRock Multi-Sector Opportunities Trust II |
|||||||
|
|
||||||||
| NET ASSETS CONSIST OF |
||||||||
| Paid-in capital(e)(f)(g) |
$ | 345,799,404 | $ | 133,412,452 | ||||
| Accumulated loss |
(107,984,230 | ) | (36,837,060 | ) | ||||
|
|
|
|
|
|||||
| NET ASSETS |
$ | 237,815,174 | $ | 96,575,392 | ||||
|
|
|
|
|
|||||
| Net asset value |
$ | 69.08 | $ | 71.53 | ||||
|
|
|
|
|
|||||
| (a) Investments, at cost — unaffiliated |
$ | 312,171,029 | $ | 134,703,961 | ||||
| (b) Investments, at cost — affiliated |
$ | 10,721,715 | $ | 3,973,620 | ||||
| (c) Foreign currency, at cost |
$ | 536,530 | $ | 157,802 | ||||
| (d) Premiums received |
$ | 96,397 | $ | 38,580 | ||||
| (e) Shares outstanding |
3,442,799 | 1,350,226 | ||||||
| (f) Shares authorized |
Unlimited | Unlimited | ||||||
| (g) Par value |
$ | 0.001 | $ | 0.001 | ||||
See notes to financial statements.
| 54 | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Statements of Operations (unaudited)
Six Months Ended June 30, 2022
| BlackRock Multi-Sector Opportunities Trust |
BlackRock Multi-Sector Opportunities Trust II |
|||||||
|
|
||||||||
| INVESTMENT INCOME |
||||||||
| Dividends — unaffiliated |
$ | 52,907 | $ | 42,995 | ||||
| Dividends — affiliated |
69,072 | 46,603 | ||||||
| Interest — unaffiliated |
9,285,262 | 4,111,094 | ||||||
| Foreign taxes withheld |
— | (120 | ) | |||||
|
|
|
|
|
|||||
| Total investment income |
9,407,241 | 4,200,572 | ||||||
|
|
|
|
|
|||||
| EXPENSES |
||||||||
| Investment advisory |
2,137,604 | 949,735 | ||||||
| Professional |
69,025 | 62,893 | ||||||
| Transfer agent |
54,487 | 6,422 | ||||||
| Accounting services |
33,720 | 19,900 | ||||||
| Custodian |
30,382 | 20,127 | ||||||
| Trustees and Officer |
8,138 | 3,733 | ||||||
| Distribution |
— | 140,269 | ||||||
| Miscellaneous |
80,326 | 29,985 | ||||||
|
|
|
|
|
|||||
| Total expenses excluding interest expense |
2,413,682 | 1,233,064 | ||||||
| Interest expense |
219,364 | 129,784 | ||||||
|
|
|
|
|
|||||
| Total expenses |
2,633,046 | 1,362,848 | ||||||
| Less: |
||||||||
| Fees waived and/or reimbursed by the Manager |
(17,166 | ) | (202,455 | ) | ||||
|
|
|
|
|
|||||
| Total expenses after fees waived and/or reimbursed |
2,615,880 | 1,160,393 | ||||||
|
|
|
|
|
|||||
| Net investment income |
6,791,361 | 3,040,179 | ||||||
|
|
|
|
|
|||||
| REALIZED AND UNREALIZED GAIN (LOSS) |
||||||||
| Net realized gain (loss) from: |
||||||||
| Investments — unaffiliated |
(18,243,386 | ) | (6,945,054 | ) | ||||
| Investments — affiliated |
238,144 | 1,339 | ||||||
| Forward foreign currency exchange contracts |
2,552,400 | 918,108 | ||||||
| Foreign currency transactions |
(175,711 | ) | (37,110 | ) | ||||
| Futures contracts |
3,363,367 | 1,562,606 | ||||||
| Options written |
(147,208 | ) | (62,193 | ) | ||||
| Swaps |
625,426 | 598,628 | ||||||
|
|
|
|
|
|||||
| (11,786,968 | ) | (3,963,676 | ) | |||||
|
|
|
|
|
|||||
| Net change in unrealized appreciation (depreciation) on: |
||||||||
| Investments — unaffiliated |
(34,981,888 | ) | (15,343,549 | ) | ||||
| Investments — affiliated |
(350,924 | ) | (193,888 | ) | ||||
| Forward foreign currency exchange contracts |
1,272,227 | 582,055 | ||||||
| Foreign currency translations |
(13,851 | ) | (6,129 | ) | ||||
| Futures contracts |
323,248 | 132,482 | ||||||
| Options written |
(3,873 | ) | (640 | ) | ||||
| Swaps |
(4,953,621 | ) | (2,219,234 | ) | ||||
| Unfunded floating rate loan interests |
— | (558 | ) | |||||
|
|
|
|
|
|||||
| (38,708,682 | ) | (17,049,461 | ) | |||||
|
|
|
|
|
|||||
| Net realized and unrealized loss |
(50,495,650 | ) | (21,013,137 | ) | ||||
|
|
|
|
|
|||||
| NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS |
$ | (43,704,289 | ) | $ | (17,972,958 | ) | ||
|
|
|
|
|
|||||
See notes to financial statements.
| F I N A N C I A L S T A T E M E N T S |
55 |
Statements of Changes in Net Assets
|
BlackRock Multi-Sector Opportunities Trust |
BlackRock Multi-Sector Opportunities Trust II |
|||||||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||||
| Six Months Ended 06/30/22 (unaudited) |
Year Ended 12/31/21 |
Six Months Ended 06/30/22 (unaudited) |
Year Ended 12/31/21 |
|||||||||||||||||||||||
|
|
||||||||||||||||||||||||||
| INCREASE (DECREASE) IN NET ASSETS |
|
|||||||||||||||||||||||||
| OPERATIONS |
||||||||||||||||||||||||||
| Net investment income |
$ | 6,791,361 | $ | 19,949,959 | $ | 3,040,179 | $ | 7,053,350 | ||||||||||||||||||
| Net realized gain (loss) |
(11,786,968 | ) | 7,665,337 | (3,963,676 | ) | 2,675,616 | ||||||||||||||||||||
| Net change in unrealized appreciation (depreciation) |
(38,708,682 | ) | (15,180,207 | ) | (17,049,461 | ) | (4,590,221 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| Net increase (decrease) in net assets resulting from operations |
(43,704,289 | ) | 12,435,089 | (17,972,958 | ) | 5,138,745 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| DISTRIBUTIONS TO SHAREHOLDERS(a) |
||||||||||||||||||||||||||
| From net investment income |
(10,705,022 | )(b) | (24,880,519 | ) | (4,302,091 | )(b) | (9,296,750 | ) | ||||||||||||||||||
| Return of capital |
— | — | — | (108,369 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| Decrease in net assets resulting from distributions to shareholders |
(10,705,022 | ) | (24,880,519 | ) | (4,302,091 | ) | (9,405,119 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| CAPITAL SHARE TRANSACTIONS |
||||||||||||||||||||||||||
| Reinvestment of distributions |
1,373,915 | 3,875,358 | 2,216,775 | 4,434,742 | ||||||||||||||||||||||
| Repurchase of shares resulting from tender offers |
(25,733,334 | ) | (35,196,527 | ) | (11,699,510 | ) | (13,991,330 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| Net decrease in net assets derived from capital share transactions |
(24,359,419 | ) | (31,321,169 | ) | (9,482,735 | ) | (9,556,588 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| NET ASSETS |
||||||||||||||||||||||||||
| Total decrease in net assets |
(78,768,730 | ) | (43,766,599 | ) | (31,757,784 | ) | (13,822,962 | ) | ||||||||||||||||||
| Beginning of period |
316,583,904 | 360,350,503 | 128,333,176 | 142,156,138 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| End of period |
$ | 237,815,174 | $ | 316,583,904 | $ | 96,575,392 | $ | 128,333,176 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| (a) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
| (b) | A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year-end. |
See notes to financial statements.
| 56 | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Statements of Cash Flows (unaudited)
Six Months Ended June 30, 2022
| BlackRock Multi-Sector Opportunities Trust |
BlackRock Multi-Sector Opportunities Trust II |
|||||||
|
|
||||||||
| CASH PROVIDED BY (USED FOR) OPERATING ACTIVITIES |
||||||||
| Net decrease in net assets resulting from operations |
$ | (43,704,289 | ) | $ | (17,972,958 | ) | ||
| Adjustments to reconcile net decrease in net assets resulting from operations to net cash provided by operating activities: |
||||||||
| Proceeds from sales of long-term investments and principal paydowns/payups |
102,451,602 | 48,084,531 | ||||||
| Purchases of long-term investments |
(62,551,069 | ) | (25,527,629 | ) | ||||
| Net proceeds from sales of short-term securities |
15,543,461 | 843,605 | ||||||
| Amortization of premium and accretion of discount on investments and other fees |
152,008 | (72,682 | ) | |||||
| Premiums paid on closing options written |
(495,686 | ) | (200,494 | ) | ||||
| Premiums received from options written |
449,516 | 178,897 | ||||||
| Net realized loss on investments and options written |
18,152,450 | 7,005,908 | ||||||
| Net unrealized depreciation on investments, options written, swaps, foreign currency translations and unfunded floating rate loan interests |
36,881,494 | 15,832,218 | ||||||
| (Increase) Decrease in Assets |
||||||||
| Receivables |
||||||||
| Dividends — affiliated |
(11,762 | ) | (3,636 | ) | ||||
| From the Manager |
1,797 | — | ||||||
| Interest — unaffiliated |
608,575 | 437,292 | ||||||
| Swaps |
— | (7,751 | ) | |||||
| Variation margin on futures contracts |
(193,545 | ) | (70,834 | ) | ||||
| Variation margin on centrally cleared swaps |
(186,975 | ) | (8,773 | ) | ||||
| Swap premiums paid |
588 | (364 | ) | |||||
| Prepaid expenses |
1,419 | 570 | ||||||
| Increase (Decrease) in Liabilities |
||||||||
| Payables |
||||||||
| Accounting services fees |
21,762 | 12,964 | ||||||
| Custodian fees |
20,156 | 13,797 | ||||||
| Interest expense |
5,326 | 7,414 | ||||||
| Investment advisory fees |
(111,605 | ) | (71,164 | ) | ||||
| Trustees’ and Officer’s fees |
3,581 | 1,677 | ||||||
| Other accrued expenses |
31,443 | 1,854 | ||||||
| Professional fees |
(39,673 | ) | (34,117 | ) | ||||
| Distribution fees |
— | (6,626 | ) | |||||
| Transfer agent fees |
10,660 | (1,086 | ) | |||||
| Variation margin on futures contracts |
356,916 | 142,896 | ||||||
| Swap premiums received |
(139,691 | ) | (248 | ) | ||||
| Other liabilities |
(38,893 | ) | — | |||||
|
|
|
|
|
|||||
| Net cash provided by operating activities |
67,219,566 | 28,585,261 | ||||||
|
|
|
|
|
|||||
| CASH PROVIDED BY (USED FOR) FINANCING ACTIVITIES |
||||||||
| Cash dividends paid to shareholders |
(9,331,107 | ) | (2,085,316 | ) | ||||
| Net payments on redemption of capital shares including change in redemptions payable |
(25,733,334 | ) | (11,699,510 | ) | ||||
| Increase in bank overdraft |
308,750 | 516,667 | ||||||
| Net borrowing of reverse repurchase agreements |
(27,542,901 | ) | (12,041,677 | ) | ||||
|
|
|
|
|
|||||
| Net cash used for financing activities |
(62,298,592 | ) | (25,309,836 | ) | ||||
|
|
|
|
|
|||||
| CASH IMPACT FROM FOREIGN EXCHANGE FLUCTUATIONS |
||||||||
| Cash impact from foreign exchange fluctuations |
(6,475 | ) | (2,480 | ) | ||||
|
|
|
|
|
|||||
| CASH AND FOREIGN CURRENCY |
||||||||
| Net increase in restricted and unrestricted cash and foreign currency |
4,914,499 | 3,272,945 | ||||||
| Restricted and unrestricted cash and foreign currency at beginning of period |
9,541,224 | 3,544,548 | ||||||
|
|
|
|
|
|||||
| Restricted and unrestricted cash and foreign currency at end of period |
$ | 14,455,723 | $ | 6,817,493 | ||||
|
|
|
|
|
|||||
| SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION |
||||||||
| Cash paid during the period for interest expense. |
$ | 214,038 | $ | 122,370 | ||||
|
|
|
|
|
|||||
| NON-CASH FINANCING ACTIVITIES |
||||||||
| Reinvestment of distributions |
$ | 1,373,915 | $ | 2,216,775 | ||||
|
|
|
|
|
|||||
| F I N A N C I A L S T A T E M E N T S |
57 |
Statements of Cash Flows (unaudited) (continued)
Six Months Ended June 30, 2022
| BlackRock Multi-Sector Opportunities Trust |
BlackRock Multi-Sector Opportunities Trust II |
|||||||
|
|
||||||||
| RECONCILIATION OF RESTRICTED AND UNRESTRICTED CASH AND FOREIGN CURRENCY AT THE END OF PERIOD TO THE STATEMENTS OF ASSETS AND LIABILITIES |
||||||||
| Cash pledged |
||||||||
| Collateral — reverse repurchase agreements |
$ | 5,366,306 | $ | 3,640,401 | ||||
| Collateral — exchange-traded options written |
— | 40,000 | ||||||
| Collateral — OTC derivatives |
4,922,000 | 1,550,000 | ||||||
| Futures contracts |
903,000 | 363,000 | ||||||
| Centrally cleared swaps |
2,730,000 | 1,067,000 | ||||||
| Foreign currency at value |
534,417 | 157,092 | ||||||
|
|
|
|
|
|||||
| $ | 14,455,723 | $ | 6,817,493 | |||||
|
|
|
|
|
|||||
See notes to financial statements.
| 58 | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
(For a share outstanding throughout each period)
| BlackRock Multi-Sector Opportunities Trust | ||||||||||||||||||||||||
| Six Months Ended | Period from | |||||||||||||||||||||||
| 06/30/22 | Year Ended December 31, | 02/23/18 | (a) | |||||||||||||||||||||
|
|
(unaudited) | 2021 | 2020 | 2019 | to 12/31/18 | |||||||||||||||||||
| Net asset value, beginning of period |
$ | 84.34 | $ | 87.75 | $ | 98.42 | $ | 90.55 | $ | 100.00 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
| Net investment income(b) |
1.89 | 5.09 | 5.41 | 5.99 | 4.29 | |||||||||||||||||||
| Net realized and unrealized gain (loss) |
(14.11 | ) | (2.06 | ) | (8.93 | ) | 9.38 | (8.11 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
| Net increase (decrease) from investment operations |
(12.22 | ) | 3.03 | (3.52 | ) | 15.37 | (3.82 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
| Distributions(c) |
||||||||||||||||||||||||
| From net investment income |
(3.04 | )(d) | (6.44 | ) | (5.86 | ) | (7.32 | ) | (4.19 | ) | ||||||||||||||
| From net realized gain |
— | — | — | (0.18 | ) | (1.44 | ) | |||||||||||||||||
| Return of capital |
— | — | (1.29 | ) | — | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
| Total distributions |
(3.04 | ) | (6.44 | ) | (7.15 | ) | (7.50 | ) | (5.63 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
| Net asset value, end of period |
$ | 69.08 | $ | 84.34 | $ | 87.75 | $ | 98.42 | $ | 90.55 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
| Total Return(e) |
||||||||||||||||||||||||
| Based on net asset value |
(14.65 | )%(f) | 3.40 | % | (2.50 | )% | 17.35 | % | (3.95 | )%(f)(g) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
| Ratios to Average Net Assets(h) |
||||||||||||||||||||||||
| Total expenses |
1.90 | %(i) | 1.93 | % | 2.29 | % | 2.67 | % | 1.78 | %(i)(j) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
| Total expenses after fees waived and/or reimbursed |
1.89 | %(i) | 1.92 | % | 2.28 | % | 2.67 | % | 1.77 | %(i) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
| Total expenses after fees waived and/or reimbursed and excluding interest expense, fees and amortization of offering costs |
1.73 | %(i) | 1.76 | % | 1.83 | % | 1.75 | % | 1.50 | %(i) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
| Net investment income |
4.90 | %(i) | 5.77 | % | 6.42 | % | 6.20 | % | 5.23 | %(i) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
| Supplemental Data |
||||||||||||||||||||||||
| Net assets, end of period (000) |
$ | 237,815 | $ | 316,584 | $ | 360,351 | $ | 430,922 | $ | 421,764 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
| Borrowings outstanding, end of period (000) |
$ | 54,805 | $ | 81,697 | $ | 106,756 | $ | 160,085 | $ | 117,177 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
| Portfolio turnover rate |
19 | % | 34 | % | 31 | % | 47 | % | 57 | % | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
| (a) | Commencement of operations. |
| (b) | Based on average shares outstanding. |
| (c) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
| (d) | A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year-end. |
| (e) | Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions. |
| (f) | Aggregate total return. |
| (g) | Includes proceeds received from a settlement of litigation, which had no impact on the Trust’s total return. |
| (h) | Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. |
| (i) | Annualized. |
| (j) | Audit costs were not annualized in the calculation of the expense ratio. If these expenses were annualized, the total expenses would have been 1.78%. |
See notes to financial statements.
| F I N A N C I A L H I G H L I G H T S |
59 |
Financial Highlights (continued)
(For a share outstanding throughout each period)
| BlackRock Multi-Sector Opportunities Trust II | ||||||||||||||||||||
| Six Months Ended | Period from | |||||||||||||||||||
| 06/30/22 | Year Ended December 31, | 04/16/19 | (a) | |||||||||||||||||
| (unaudited) | 2021 | 2020 | to 12/31/19 | |||||||||||||||||
| Net asset value, beginning of period |
$ | 87.63 | $ | 90.65 | $ | 101.48 | $ | 100.00 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||
| Net investment income(b) |
2.18 | 4.68 | 4.68 | 3.07 | ||||||||||||||||
| Net realized and unrealized gain (loss) |
(15.12 | ) | (1.39 | ) | (8.31 | ) | 2.84 | |||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||
| Net increase (decrease) from investment operations |
(12.94 | ) | 3.29 | (3.63 | ) | 5.91 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||
| Distributions(c) |
||||||||||||||||||||
| From net investment income |
(3.16 | )(d) | (6.24 | ) | (5.13 | ) | (3.69 | ) | ||||||||||||
| From net realized gain |
— | — | — | (0.18 | ) | |||||||||||||||
| Return of capital |
— | (0.07 | ) | (2.07 | ) | (0.56 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total distributions |
(3.16 | ) | (6.31 | ) | (7.20 | ) | (4.43 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||
| Net asset value, end of period |
$ | 71.53 | $ | 87.63 | $ | 90.65 | $ | 101.48 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total Return(e) |
||||||||||||||||||||
| Based on net asset value |
(14.94 | )%(f) | 3.61 | % | (2.45 | )% | 5.99 | %(f) | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||
| Ratios to Average Net Assets(g) |
||||||||||||||||||||
| Total expenses |
2.43 | %(h) | 2.36 | % | 2.63 | % | 2.07 | %(h)(i) | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total expenses after fees waived and/or reimbursed |
2.07 | %(h) | 2.34 | % | 2.60 | % | 2.04 | %(h) | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total expenses after fees waived and/or reimbursed and excluding interest expense, fees and amortization of offering costs |
1.83 | %(h) | 2.13 | % | 2.11 | % | 1.77 | %(h) | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||
| Net investment income |
5.42 | %(h) | 5.11 | % | 5.41 | % | 4.30 | %(h) | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||
| Supplemental Data |
||||||||||||||||||||
| Net assets, end of period (000) |
$ | 96,575 | $ | 128,333 | $ | 142,156 | $ | 160,697 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||
| Borrowings outstanding, end of period (000) |
$ | 32,579 | $ | 44,417 | $ | 48,543 | $ | 55,798 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||
| Portfolio turnover rate |
17 | % | 39 | % | 39 | % | 29 | % | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||
| (a) | Commencement of operations. |
| (b) | Based on average shares outstanding. |
| (c) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
| (d) | A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year-end. |
| (e) | Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions. |
| (f) | Aggregate total return. |
| (g) | Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. |
| (h) | Annualized. |
| (i) | Audit costs were not annualized in the calculation of the expense ratio. If these expenses were annualized, the expense ratio would have been 2.09%. |
See notes to financial statements.
| 60 | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Notes to Financial Statements (unaudited)
| 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”:
|
| ||||||||||
| Trust Name | Herein Referred To As | Organized | Diversification Classification | |||||||
|
| ||||||||||
| BlackRock Multi-Sector Opportunities Trust |
MSO | Delaware | Diversified | |||||||
| BlackRock Multi-Sector Opportunities Trust II |
MSO2 | Delaware | Diversified* | |||||||
|
| ||||||||||
| * | The Trust’s classification changed from non-diversified to diversified during the reporting period. |
The Boards of Trustees of the Trusts are collectively referred to throughout this report as the “Board,” and the 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 open-end non-index fixed-income funds and all BlackRock-advised closed-end funds referred to as the BlackRock Fixed-Income Complex.
| 2. | SIGNIFICANT ACCOUNTING POLICIES |
The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. Each Trust is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:
Investment Transactions and Income Recognition: For financial reporting purposes, investment transactions are recorded on the dates the transactions are executed. Realized gains and losses on investment transactions are determined using the specific identification method. Dividend income and capital gain distributions, if any, are recorded on the ex-dividend dates. Non-cash dividends, if any, are recorded on the ex-dividend dates at fair value. Dividends from foreign securities where the ex-dividend dates may have passed are subsequently recorded when the Trusts are informed of the ex-dividend dates. 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, a portion 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 daily on an accrual basis.
Foreign Currency Translation: Each Trust’s books and records are maintained in U.S. dollars. Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates determined as of the close of trading on the New York Stock Exchange (“NYSE”). Purchases and sales of investments are recorded at the rates of exchange prevailing on the respective dates of such transactions. Generally, when the U.S. dollar rises in value against a foreign currency, the investments denominated in that currency will lose value; the opposite effect occurs if the U.S. dollar falls in relative value.
Each Trust does not isolate the effect of fluctuations in foreign exchange rates from the effect of fluctuations in the market prices of investments for financial reporting purposes. Accordingly, the effects of changes in exchange rates on investments are not segregated in the Statements of Operations from the effects of changes in market prices of those investments, but are included as a component of net realized and unrealized gain (loss) from investments. Each Trust reports realized currency gains (losses) on foreign currency related transactions as components of net realized gain (loss) for financial reporting purposes, whereas such components are generally treated as ordinary income for U.S. federal income tax purposes.
Foreign Taxes: The Trusts may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, capital gains on investments, or certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which each Trust invests. These foreign taxes, if any, are paid by each Trust and are reflected in its Statements of Operations as follows: foreign taxes withheld at source are presented as a reduction of income, foreign taxes on securities lending income are presented as a reduction of securities lending income, foreign taxes on stock dividends are presented as “Foreign taxes withheld”, and foreign taxes on capital gains from sales of investments and foreign taxes on foreign currency transactions are included in their respective net realized gain (loss) categories. Foreign taxes payable or deferred as of June 30, 2022, if any, are disclosed in the Statements of Assets and Liabilities.
The Trusts file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. The Trusts may record a reclaim receivable based on collectability, which includes factors such as the jurisdiction’s applicable laws, payment history and market convention. The Statements of Operations include tax reclaims recorded as well as professional and other fees, if any, associated with recovery of foreign withholding taxes.
Segregation and Collateralization: In cases where a Trust enters into certain investments (e.g., futures contracts, forward foreign currency exchange contracts, options written and swaps) or certain borrowings (e.g., reverse repurchase transactions) that would be treated as “senior securities” for 1940 Act purposes, a Trust may segregate or designate on its books and records cash or liquid assets having a market value at least equal to the amount of its future obligations under such investments or borrowings. Doing so allows the investments or borrowings to be excluded from treatment as a “senior security.” Furthermore, if required by an exchange or counterparty agreement, the Trusts may be required to deliver/deposit cash and/or securities to/with an exchange, or broker-dealer or custodian as collateral for certain investments or obligations.
Distributions: Distributions from net investment income are declared and paid quarterly. Distributions of capital gains are recorded on the ex-dividend dates and made at least annually. The portion of distributions, if any, that exceeds a fund’s current and accumulated earnings and profits, as measured on a tax basis, constitute a non-taxable return of capital. The character and timing of distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.
| N O T E S T O F I N A N C I A L S T A T E M E N T S |
61 |
Notes to Financial Statements (unaudited) (continued)
Deferred Compensation Plan: Under the Deferred Compensation Plan (the “Plan”) approved by each Trust’s Board, the trustees who are not “interested persons” of the Trusts, as defined in the 1940 Act (“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 funds in the BlackRock Fixed-Income Complex 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 funds in the BlackRock Fixed-Income Complex.
The Plan is not funded and obligations thereunder represent general unsecured claims against the general assets of each Trust, as applicable. Deferred compensation liabilities, if any, are included in the Trustees’ and Officer’s fees payable in the Statements of Assets and Liabilities and will remain as a liability of the Trusts until such amounts are distributed in accordance with the Plan. Net appreciation (depreciation) in the value of participants’ deferral accounts is allocated among the participating funds in the Fixed-Income Complex and reflected as Trustees and Officer expense on the Statements of Operations. The Trustees and Officer expense may be negative as a result of a decrease in value of the deferred accounts.
Indemnifications: In the normal course of business, a Trust enters into contracts that contain a variety of representations that provide general indemnification. A Trust’s maximum exposure under these arrangements is unknown because it involves future potential claims against a Trust, which cannot be predicted with any certainty.
Other: Expenses directly related to a Trust are charged to that Trust. Other operating expenses shared by several funds, including other funds managed by the Manager, are prorated among those funds on the basis of relative net assets or other appropriate methods.
| 3. | INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS |
Investment Valuation Policies: Each Trust’s investments are valued at fair value (also referred to as “market value” within the financial statements) each day that the Trust is open for business and, for financial reporting purposes, as of the report date. U.S. GAAP defines fair value as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. Each Trust determines the fair values of its financial instruments using various independent dealers or pricing services under policies approved by the Board. If a security’s market price is not readily available or does not otherwise accurately represent the fair value of the security, the security will be valued in accordance with a policy approved by the Board as reflecting fair value. The BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) is the committee formed by management to develop global pricing policies and procedures and to oversee the pricing function for all financial instruments.
Fair Value Inputs and Methodologies: The following methods and inputs are used to establish the fair value of each Trust’s assets and liabilities:
| • | Equity investments traded on a recognized securities exchange are valued at that day’s official closing price, as applicable, on the exchange where the stock is primarily traded. 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. |
| • | Fixed-income investments for which market quotations are readily available are generally valued using the last available bid price or current market quotations provided by independent dealers or third-party pricing services. Floating rate loan interests are valued at the mean of the bid prices from one or more independent brokers or dealers as obtained from a third-party pricing service. Pricing services generally value fixed-income securities assuming orderly transactions of an institutional round lot size, but a fund may hold or transact in such securities in smaller, odd lot sizes. Odd lots may trade at lower prices than institutional round lots. The pricing services may use matrix pricing or valuation models that utilize certain inputs and assumptions to derive values, including transaction data (e.g., recent representative bids and offers), market data, credit quality information, perceived market movements, news, and other relevant information. Certain fixed-income securities, including asset-backed and mortgage related securities may be valued based on valuation models that consider the estimated cash flows of each tranche of the entity, establish a benchmark yield and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche. The amortized cost method of valuation may be used with respect to debt obligations with sixty days or less remaining to maturity unless the Manager determines such method does not represent fair value. |
| • | Exchange-traded funds (“ETFs”) and closed-end funds traded on a recognized securities exchange are valued at that day’s official closing price, as applicable, on the exchange where the stock is primarily traded. ETFs and closed-end funds 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. |
| • | Investments in open-end U.S. mutual funds (including money market funds) are valued at that day’s published NAV. |
| • | Futures contracts are valued based on that day’s last reported settlement or trade price on the exchange where the contract is traded. |
| • | 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 based on that day’s prevailing forward exchange rate for the underlying currencies. |
| • | Exchange-traded options are valued at the mean between the last bid and ask prices at the close of the options market in which the options trade. An exchange-traded option for which there is no mean price is valued at the last bid (long positions) or ask (short positions) price. If no bid or ask price is available, the prior day’s price will be used, unless it is determined that the prior day’s price no longer reflects the fair value of the option. OTC options and options on swaps (“swaptions”) are valued by an independent pricing service using a mathematical model, which incorporates a number of market data factors, such as the trades and prices of the underlying instruments. |
| • | Swap agreements are valued utilizing quotes received daily by independent pricing services or through brokers, which are derived using daily swap curves and models that incorporate a number of market data factors, such as discounted cash flows, trades and values of the underlying reference instruments. |
| 62 | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Notes to Financial Statements (unaudited) (continued)
Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of trading on the NYSE. Each business day, the Trusts use current market factors supplied by independent pricing services to value certain foreign instruments (“Systematic Fair Value Price”). The Systematic Fair Value Price is designed to value such foreign securities at fair value as of the close of trading on the NYSE, which follows the close of the local markets.
If events (e.g., market volatility, company announcement or a natural disaster) occur that are expected to materially affect the value of such investment, or in the event that application of these methods of valuation results in a price for an investment that is deemed not to be representative of the market value of such investment, or if a price is not available, the investment will be valued by the Global Valuation Committee, or its delegate, in accordance with a policy approved by the Board as reflecting fair value (“Fair Valued Investments”). The fair valuation approaches that may be used by the Global Valuation Committee include market approach, income approach and cost approach. Valuation techniques such as discounted cash flow, use of market comparables and matrix pricing are types of valuation approaches and are typically used in determining fair value. When determining the price for Fair Valued Investments, the Global Valuation Committee, or its delegate, seeks to determine the price that each Trust might reasonably expect to receive or pay from the current sale or purchase of that asset or liability in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the Global Valuation Committee, or its delegate, deems relevant and consistent with the principles of fair value measurement. The pricing of all Fair Valued Investments is subsequently reported to the Board or a committee thereof on a quarterly basis.
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 the Global Valuation Committee and 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. Enterprise valuation techniques such as an option pricing model (“OPM”), a probability weighted expected return model (“PWERM”), current value method or a hybrid of those techniques are used as deemed appropriate under the circumstances. The use of these valuation 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 applicable to 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 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 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); and |
| • | Level 3 – Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including 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 Private Companies that may not have a secondary market and/or may have 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.
| N O T E S T O F I N A N C I A L S T A T E M E N T S |
63 |
Notes to Financial Statements (unaudited) (continued)
| 4. | SECURITIES AND OTHER INVESTMENTS |
Asset-Backed and Mortgage-Backed Securities: Asset-backed securities are generally issued as pass-through certificates or as debt instruments. Asset-backed securities issued as pass-through certificates represent undivided fractional ownership interests in an underlying pool of assets. Asset-backed securities issued as debt instruments, which are also known as collateralized obligations, are typically issued as the debt of a special purpose entity organized solely for the purpose of owning such assets and issuing such debt. Asset-backed securities are often backed by a pool of assets representing the obligations of a number of different parties. The yield characteristics of certain asset-backed securities may differ from traditional debt securities. One such major difference is that all or a principal part of the obligations may be prepaid at any time because the underlying assets (i.e., loans) may be prepaid at any time. As a result, a decrease in interest rates in the market may result in increases in the level of prepayments as borrowers, particularly mortgagors, refinance and repay their loans. An increased prepayment rate with respect to an asset-backed security will have the effect of shortening the maturity of the security. In addition, a fund may subsequently have to reinvest the proceeds at lower interest rates. If a fund has purchased such an asset-backed security at a premium, a faster than anticipated prepayment rate could result in a loss of principal to the extent of the premium paid.
For mortgage pass-through securities (the “Mortgage Assets”) there are a number of important differences among the agencies and instrumentalities of the U.S. Government that issue mortgage-related securities and among the securities that they issue. For example, mortgage-related securities guaranteed by Ginnie Mae are guaranteed as to the timely payment of principal and interest by Ginnie Mae and such guarantee is backed by the full faith and credit of the United States. However, mortgage-related securities issued by Freddie Mac and Fannie Mae, including Freddie Mac and Fannie Mae guaranteed mortgage pass-through certificates, which are solely the obligations of Freddie Mac and Fannie Mae, are not backed by or entitled to the full faith and credit of the United States, but are supported by the right of the issuer to borrow from the U.S. Treasury.
Non-agency mortgage-backed securities are securities issued by non-governmental issuers and have no direct or indirect government guarantees of payment and are subject to various risks. Non-agency mortgage loans are obligations of the borrowers thereunder only and are not typically insured or guaranteed by any other person or entity. The ability of a borrower to repay a loan is dependent upon the income or assets of the borrower. A number of factors, including a general economic downturn, acts of God, terrorism, social unrest and civil disturbances, may impair a borrower’s ability to repay its loans.
Collateralized Debt Obligations: Collateralized debt obligations (“CDOs”), including collateralized bond obligations (“CBOs”) and collateralized loan obligations (“CLOs”), are types of asset-backed securities. A CDO is an entity that is backed by a diversified pool of debt securities (CBOs) or syndicated bank loans (CLOs). The cash flows of the CDO can be split into multiple segments, called “tranches,” which will vary in risk profile and yield. The riskiest segment is the subordinated or “equity” tranche. This tranche bears the greatest risk of defaults from the underlying assets in the CDO and serves to protect the other, more senior, tranches from default in all but the most severe circumstances. Since it is shielded from defaults by the more junior tranches, a “senior” tranche will typically have higher credit ratings and lower yields than their underlying securities, and often receive investment grade ratings from one or more of the nationally recognized rating agencies. Despite the protection from the more junior tranches, senior tranches can experience substantial losses due to actual defaults, increased sensitivity to future defaults and the disappearance of one or more protecting tranches as a result of changes in the credit profile of the underlying pool of assets.
Multiple Class Pass-Through Securities: Multiple class pass-through securities, including collateralized mortgage obligations (“CMOs”) and commercial mortgage-backed securities, may be issued by Ginnie Mae, U.S. Government agencies or instrumentalities or by trusts formed by private originators of, or investors in, mortgage loans. In general, CMOs are debt obligations of a legal entity that are collateralized by a pool of residential or commercial mortgage loans or Mortgage Assets. The payments on these are used to make payments on the CMOs or multiple pass-through securities. Multiple class pass-through securities represent direct ownership interests in the Mortgage Assets. Classes of CMOs include interest only (“IOs”), principal only (“POs”), planned amortization classes and targeted amortization classes. IOs and POs are stripped mortgage-backed securities representing interests in a pool of mortgages, the cash flow from which has been separated into interest and principal components. IOs receive the interest portion of the cash flow while POs receive the principal portion. IOs and POs can be extremely volatile in response to changes in interest rates. As interest rates rise and fall, the value of IOs tends to move in the same direction as interest rates. POs perform best when prepayments on the underlying mortgages rise since this increases the rate at which the principal is returned and the yield to maturity on the PO. When payments on mortgages underlying a PO are slower than anticipated, the life of the PO is lengthened and the yield to maturity is reduced. If the underlying Mortgage Assets experience greater than anticipated prepayments of principal, a fund’s initial investment in the IOs may not fully recoup.
Stripped Mortgage-Backed Securities: Stripped mortgage-backed securities are typically issued by the U.S. Government, its agencies and instrumentalities. Stripped mortgage-backed securities are usually structured with two classes that receive different proportions of the interest (IOs) and principal (POs) distributions on a pool of Mortgage Assets. Stripped mortgage-backed securities may be privately issued.
Zero-Coupon Bonds: Zero-coupon bonds are normally issued at a significant discount from face value and do not provide for periodic interest payments. These bonds may experience greater volatility in market value than other debt obligations of similar maturity which provide for regular interest payments.
Capital Securities and Trust Preferred Securities: Capital securities, including trust preferred securities, are typically issued by corporations, generally in the form of interest-bearing notes with preferred securities characteristics. In the case of trust preferred securities, an affiliated business trust of a corporation issues these securities, generally in the form of beneficial interests in subordinated debentures or similarly structured securities. The securities can be structured with either a fixed or adjustable coupon that can have either a perpetual or stated maturity date. For trust preferred securities, the issuing bank or corporation pays interest to the trust, which is then distributed to holders of these securities as a dividend. Dividends can be deferred without creating an event of default or acceleration, although maturity cannot take place unless all cumulative payment obligations have been met. The deferral of payments does not affect the purchase or sale of these securities in the open market. These securities generally are rated below that of the issuing company’s senior debt securities and are freely callable at the issuer’s option.
Preferred Stocks: Preferred stock has a preference over common stock in liquidation (and generally in receiving dividends as well), but is subordinated to the liabilities of the issuer in all respects. As a general rule, the market value of preferred stock with a fixed dividend rate and no conversion element varies inversely with interest rates and perceived credit risk, while the market price of convertible preferred stock generally also reflects some element of conversion value. Because preferred stock is junior to debt securities and other obligations of the issuer, deterioration in the credit quality of the issuer will cause greater changes in the value of a preferred stock than in a more senior
| 64 | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Notes to Financial Statements (unaudited) (continued)
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.
Floating Rate Loan Interests: Floating rate loan interests are typically issued to companies (the “borrower”) by banks, other financial institutions, or privately and publicly offered corporations (the “lender”). Floating rate loan interests are generally non-investment grade, often involve borrowers whose financial condition is troubled or uncertain and companies that are highly leveraged or in bankruptcy proceedings. In addition, transactions in floating rate loan interests may settle on a delayed basis, which may result in proceeds from the sale not being readily available for a fund to make additional investments or meet its redemption obligations. Floating rate loan interests may include fully funded term loans or revolving lines of credit. Floating rate loan interests are typically senior in the corporate capital structure of the borrower. Floating rate loan interests generally pay interest at rates that are periodically determined by reference to a base lending rate plus a premium. Since the rates reset only periodically, changes in prevailing interest rates (and particularly sudden and significant changes) can be expected to cause some fluctuations in the NAV of a fund to the extent that it invests in floating rate loan interests. The base lending rates are generally the lending rate offered by one or more European banks, such as the London Interbank Offered Rate (“LIBOR”), the prime rate offered by one or more U.S. banks or the certificate of deposit rate. Floating rate loan interests may involve foreign borrowers, and investments may be denominated in foreign currencies. These investments are treated as investments in debt securities for purposes of a fund’s investment policies.
When a fund purchases a floating rate loan interest, it may receive a facility fee and when it sells a floating rate loan interest, it may pay a facility fee. On an ongoing basis, a fund may receive a commitment fee based on the undrawn portion of the underlying line of credit amount of a floating rate loan interest. Facility and commitment fees are typically amortized to income over the term of the loan or term of the commitment, respectively. Consent and amendment fees are recorded to income as earned. Prepayment penalty fees, which may be received by a fund upon the prepayment of a floating rate loan interest by a borrower, are recorded as realized gains. A fund may invest in multiple series or tranches of a loan. A different series or tranche may have varying terms and carry different associated risks.
Floating rate loan interests are usually freely callable at the borrower’s option. A fund may invest in such loans in the form of participations in loans (“Participations”) or assignments (“Assignments”) of all or a portion of loans from third parties. Participations typically will result in a fund having a contractual relationship only with the lender, not with the borrower. A fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the Participation and only upon receipt by the lender of the payments from the borrower. In connection with purchasing Participations, a fund generally will have no right to enforce compliance by the borrower with the terms of the loan agreement, nor any rights of offset against the borrower. A fund may not benefit directly from any collateral supporting the loan in which it has purchased the Participation. As a result, a fund assumes the credit risk of both the borrower and the lender that is selling the Participation. A fund’s investment in loan participation interests involves the risk of insolvency of the financial intermediaries who are parties to the transactions. In the event of the insolvency of the lender selling the Participation, a fund may be treated as a general creditor of the lender and may not benefit from any offset between the lender and the borrower. Assignments typically result in a fund having a direct contractual relationship with the borrower, and a fund may enforce compliance by the borrower with the terms of the loan agreement.
Forward Commitments, When-Issued and Delayed Delivery Securities: The Trusts may purchase securities on a when-issued basis and may purchase or sell securities on a forward commitment basis. Settlement of such transactions normally occurs within a month or more after the purchase or sale commitment is made. The Trusts may purchase securities under such conditions with the intention of actually acquiring them but may enter into a separate agreement to sell the securities before the settlement date. Since the value of securities purchased may fluctuate prior to settlement, the Trusts may be required to pay more at settlement than the security is worth. In addition, a fund is not entitled to any of the interest earned prior to settlement. When purchasing a security on a delayed delivery basis, the Trusts assume the rights and risks of ownership of the security, including the risk of price and yield fluctuations. In the event of default by the counterparty, the Trusts’ maximum amount of loss is the unrealized appreciation of unsettled when-issued transactions.
Reverse Repurchase Agreements: Reverse repurchase agreements are agreements with qualified third-party broker dealers in which a fund sells securities to a bank or broker-dealer and agrees to repurchase the same securities at a mutually agreed upon date and price. A fund receives cash from the sale to use for other investment purposes. During the term of the reverse repurchase agreement, a fund continues to receive the principal and interest payments on the securities sold. Certain agreements have no stated maturity and can be terminated by either party at any time. Interest on the value of the reverse repurchase agreements issued and outstanding is based upon competitive market rates determined at the time of issuance. A fund may utilize reverse repurchase agreements when it is anticipated that the interest income to be earned from the investment of the proceeds of the transaction is greater than the interest expense of the transaction. Reverse repurchase agreements involve leverage risk. If a fund suffers a loss on its investment of the transaction proceeds from a reverse repurchase agreement, a fund would still be required to pay the full repurchase price. Further, a fund remains subject to the risk that the market value of the securities repurchased declines below the repurchase price. In such cases, a fund would be required to return a portion of the cash received from the transaction or provide additional securities to the counterparty.
Cash received in exchange for securities delivered plus accrued interest due to the counterparty is recorded as a liability in the Statements of Assets and Liabilities at face value including accrued interest. Due to the short-term nature of the reverse repurchase agreements, face value approximates fair value. Interest payments made by a fund to the counterparties are recorded as a component of interest expense in the Statements of Operations. In periods of increased demand for the security, a fund may receive a fee for the use of the security by the counterparty, which may result in interest income to a fund.
For the six months ended June 30, 2022, the average daily amount of reverse repurchase agreements outstanding and the weighted average interest rate for the Trusts were as follows:
| Trust Name | Average Amount Outstanding |
Weighted Average Interest Rate |
||||||
| MSO |
$ | 65,076,815 | 0.68 | % | ||||
| MSO2 |
39,938,966 | 0.66 | ||||||
Reverse repurchase transactions are entered into by a fund under Master Repurchase Agreements (each, an “MRA”), which permit a fund, under certain circumstances, including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and create one single net payment due to or from a fund. With reverse repurchase transactions, typically a fund and counterparty under an MRA are permitted to sell, re-pledge,
| N O T E S T O F I N A N C I A L S T A T E M E N T S |
65 |
Notes to Financial Statements (unaudited) (continued)
or use the collateral associated with the transaction. Bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of the MRA counterparty’s bankruptcy or insolvency. Pursuant to the terms of the MRA, a fund receives or posts securities and cash as collateral with a market value in excess of the repurchase price to be paid or received by a fund upon the maturity of the transaction. Upon a bankruptcy or insolvency of the MRA counterparty, a fund is considered an unsecured creditor with respect to excess collateral and, as such, the return of excess collateral may be delayed.
As of period end, the following table is a summary of the Trusts’ open reverse repurchase agreements by counterparty which are subject to offset under an MRA on a net basis:
| Trust Name/Counterparty | |
Reverse Repurchase Agreements |
|
|
Fair Value of Non-Cash Collateral Pledged Including Accrued Interest |
(a) |
|
Cash Collateral Pledged/Received |
(a) |
Net Amount | ||||||
| MSO |
||||||||||||||||
| Barclays Capital, Inc. |
$ | (23,662,981 | ) | $ | 23,662,981 | $ | — | $ | — | |||||||
| BNP Paribas S.A. |
(17,472,584 | ) | 17,472,584 | — | — | |||||||||||
| Credit Suisse Securities (USA) LLC |
(865,067 | ) | 865,067 | — | — | |||||||||||
| RBC Capital Markets LLC |
(12,804,609 | ) | 12,804,609 | — | — | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| $ | (54,805,241 | ) | $ | 54,805,241 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (a) | Collateral, if any, with a value of $63,028,754 has been pledged in connection with open reverse repurchase agreements. Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes. |
| Trust Name/Counterparty | |
Reverse Repurchase Agreements |
|
|
Fair Value of Non-Cash Collateral Pledged Including Accrued Interest |
(a) |
|
Cash Collateral Pledged/Received |
(a) |
Net Amount | ||||||
| MSO2 |
||||||||||||||||
| Barclays Capital, Inc. |
$ | (14,881,655 | ) | $ | 14,881,655 | $ | — | $ | — | |||||||
| BNP Paribas S.A. |
(10,095,561 | ) | 10,095,561 | — | — | |||||||||||
| Credit Suisse Securities (USA) LLC |
(640,255 | ) | 640,255 | — | — | |||||||||||
| RBC Capital Markets LLC |
(6,961,811 | ) | 6,961,811 | — | — | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| $ | (32,579,282 | ) | $ | 32,579,282 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (a) | Collateral, if any, with a value of $35,570,568 has been pledged in connection with open reverse repurchase agreements. Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes. |
In the event the counterparty of securities under an MRA files for bankruptcy or becomes insolvent, a fund’s use of the proceeds from the agreement may be restricted while the counterparty, or its trustee or receiver, determines whether or not to enforce a fund’s obligation to repurchase the securities.
| 5. | DERIVATIVE FINANCIAL INSTRUMENTS |
The Trusts engage in various portfolio investment strategies using derivative contracts both to increase the returns of the Trusts and/or to manage their exposure to certain risks such as credit risk, equity risk, interest rate risk, foreign currency exchange rate risk, commodity price risk or other risks (e.g., inflation risk). Derivative financial instruments categorized by risk exposure are included in the Schedules of Investments. These contracts may be transacted on an exchange or OTC.
Futures Contracts: Futures contracts are purchased or sold to gain exposure to, or manage exposure to, changes in interest rates (interest rate risk) and changes in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk).
Futures contracts are exchange-traded agreements between the Trusts and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and on a specified date. Depending on the terms of a contract, it is settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash amount on the settlement date. Upon entering into a futures contract, the Trusts are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on a contract’s size and risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract. Amounts pledged, which are considered restricted, are included in cash pledged for futures contracts in the Statements of Assets and Liabilities.
Securities deposited as initial margin are designated in the Schedules of Investments and cash deposited, if any, are shown as cash pledged for futures contracts in the Statements of Assets and Liabilities. Pursuant to the contract, the Trusts agree to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation) and, if any, shown as variation margin receivable (or payable) on futures contracts in the Statements of Assets and Liabilities. When the contract is closed, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the notional amount of the contract at the time it was opened and the notional amount at the time it was closed. The use of futures contracts involves the risk of an imperfect correlation in the movements in the price of futures contracts and interest rates, foreign currency exchange rates or underlying assets.
Forward Foreign Currency Exchange Contracts: Forward foreign currency exchange contracts are entered into to gain or reduce exposure to foreign currencies (foreign currency exchange rate risk).
A forward foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a specified date. These contracts help to manage the overall exposure to the currencies in which some of the investments held by the Trusts are denominated and in some cases, may be used to obtain exposure to a particular market. The contracts are traded OTC and not on an organized exchange.
| 66 | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Notes to Financial Statements (unaudited) (continued)
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, and such value may exceed the amount(s) reflected in the Statements of Assets and Liabilities. Cash amounts pledged for forward foreign currency exchange contracts are considered restricted and are included in cash pledged as collateral for OTC derivatives in the Statements of Assets and Liabilities. A Trust’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by the Trust.
Options: The Trusts may purchase and write call and put options to increase or decrease their exposure to the risks of underlying instruments, including equity risk, interest rate risk and/or commodity price risk and/or, in the case of options written, to generate gains from options premiums.
A call option gives the purchaser (holder) of the option the right (but not the obligation) to buy, and obligates the seller (writer) to sell (when the option is exercised) the underlying instrument at the exercise or strike price at any time or at a specified time during the option period. A put option gives the holder the right to sell and obligates the writer to buy the underlying instrument at the exercise or strike price at any time or at a specified time during the option period.
Premiums paid on options purchased and premiums received on options written, as well as the daily fluctuation in market value, are included in investments at value –unaffiliated and options written at value, respectively, in the Statements of Assets and Liabilities. When an instrument is purchased or sold through the exercise of an option, the premium is offset against the cost or proceeds of the underlying instrument. When an option expires, a realized gain or loss is recorded in the Statements of Operations to the extent of the premiums received or paid. When an option is closed or sold, a gain or loss is recorded in the Statements of Operations to the extent the cost of the closing transaction exceeds the premiums received or paid. When the Trusts write a call option, such option is typically “covered,” meaning that they hold the underlying instrument subject to being called by the option counterparty. When the Trusts write a put option, cash is segregated in an amount sufficient to cover the obligation. These amounts, which are considered restricted, are included in cash pledged as collateral for options written in the Statements of Assets and Liabilities.
| • | Swaptions — The Trusts may purchase and write options on swaps (“swaptions”) primarily to preserve a return or spread on a particular investment or portion of the Trusts’ holdings, as a duration management technique or to protect against an increase in the price of securities it anticipates purchasing at a later date. The purchaser and writer of a swaption is buying or granting the right to enter into a previously agreed upon interest rate or credit default swap agreement (interest rate risk and/or credit risk) at any time before the expiration of the option. |
In purchasing and writing options, the Trusts bear the risk of an unfavorable change in the value of the underlying instrument or the risk that they may not be able to enter into a closing transaction due to an illiquid market. Exercise of a written option could result in the Trusts purchasing or selling a security when they otherwise would not, or at a price different from the current market value.
Swaps: Swap contracts are entered into to manage exposure to issuers, markets and securities. Such contracts are agreements between the Trusts and a counterparty to make periodic net payments on a specified notional amount or a net payment upon termination. Swap agreements are privately negotiated in the OTC market and may be entered into as a bilateral contract (“OTC swaps”) or centrally cleared (“centrally cleared swaps”).
For OTC swaps, any upfront premiums paid and any upfront fees received are shown as swap premiums paid and swap premiums received, respectively, in the Statements of Assets and Liabilities and amortized over the term of the contract. The daily fluctuation in market value is recorded as unrealized appreciation (depreciation) on OTC Swaps in the Statements of Assets and Liabilities. Payments received or paid are recorded in the Statements of Operations as realized gains or losses, respectively. When an OTC swap is terminated, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the proceeds from (or cost of) the closing transaction and the Trusts’ basis in the contract, if any. Generally, the basis of the contract is the premium received or paid.
In a centrally cleared swap, immediately following execution of the swap contract, the swap contract is novated to a central counterparty (the “CCP”) and the CCP becomes the Trusts’ counterparty on the swap. Each Trust is required to interface with the CCP through the broker. Upon entering into a centrally cleared swap, each Trust is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Securities deposited as initial margin are designated in the Schedules of Investments and cash deposited is shown as cash pledged for centrally cleared swaps in the Statements of Assets and Liabilities. Amounts pledged, which are considered restricted cash, are included in cash pledged for centrally cleared swaps in the Statements of Assets and Liabilities. Pursuant to the contract, each Trust agrees 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 shown as variation margin receivable (or payable) on centrally cleared swaps in the Statements of Assets and Liabilities. Payments received from (paid to) the counterparty are amortized over the term of the contract and recorded as realized gains (losses) in the Statements of Operations, including those at termination.
| • | Credit default swaps — Credit default swaps are entered into to manage exposure to the market or certain sectors of the market, to reduce risk exposure to defaults of corporate and/or sovereign issuers or to create exposure to corporate and/or sovereign issuers to which a fund is not otherwise exposed (credit risk). |
The Trusts may either buy or sell (write) credit default swaps on single-name issuers (corporate or sovereign), a combination or basket of single-name issuers or traded indexes. Credit default swaps are agreements in which the protection buyer pays fixed periodic payments to the seller in consideration for a promise from the protection seller to make a specific payment should a negative credit event take place with respect to the referenced entity (e.g., bankruptcy, failure to pay, obligation acceleration, repudiation, moratorium or restructuring). As a buyer, if an underlying credit event occurs, the Trusts will either (i) receive from the seller an amount equal to the notional amount of the swap and deliver the referenced security or underlying securities comprising the index, or (ii) receive a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index. As a seller (writer), if an underlying credit event occurs, the Trusts will either pay the buyer an amount equal to the notional amount of the swap and take delivery of the referenced security or underlying securities comprising the index or pay a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index.
| N O T E S T O F I N A N C I A L S T A T E M E N T S |
67 |
Notes to Financial Statements (unaudited) (continued)
| • | Interest rate swaps — Interest rate swaps are entered into to gain or reduce exposure to interest rates or to manage duration, the yield curve or interest rate (interest rate risk). |
Interest rate swaps are agreements in which one party pays a stream of interest payments, either fixed or floating, in exchange for another party’s stream of interest payments, either fixed or floating, on the same notional amount for a specified period of time. In more complex interest rate swaps, the notional principal amount may decline (or amortize) over time.
Swap transactions involve, to varying degrees, elements of interest rate, credit and market risk in excess of the amounts recognized in the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorable changes in interest rates and/or market values associated with these transactions.
Master Netting Arrangements: In order to define its contractual rights and to secure rights that will help it mitigate its counterparty risk, a Trust may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its counterparties. An ISDA Master Agreement is a bilateral agreement between a 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, a 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. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events.
Collateral Requirements: For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the 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 in the Statements of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively. Non-cash collateral pledged by the Trusts, if any, is noted in the Schedules of Investments. Generally, the amount of collateral due from or to a counterparty is subject to a certain minimum transfer amount threshold before a transfer is required, which is determined at the close of business of the Trusts. Any additional required collateral is delivered to/pledged by the Trusts on the next business day. Typically, the counterparty is not permitted to sell, re-pledge or use cash and non-cash collateral it receives. A Trust generally agrees not to use non-cash collateral that it receives but may, absent default or certain other circumstances defined in the underlying ISDA Master Agreement, be permitted to use cash collateral received. In such cases, interest may be paid pursuant to the collateral arrangement with the counterparty. To the extent amounts due to the Trusts from the counterparties are not fully collateralized, each Trust bears 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, each Trust bears 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 |
Investment Advisory: Each Trust entered into an Investment Advisory Agreement with the Manager, the Trusts’ investment adviser and an indirect, wholly-owned subsidiary of BlackRock, Inc. (“BlackRock”), to provide investment advisory and administrative services. The Manager is responsible for the management of each Trust’s portfolio and provides the personnel, facilities, equipment and certain other services necessary to the operations of each Trust.
For such services, each Trust pays the Manager a monthly fee at an annual rate equal to 1.25% of the average daily value of each Trust’s managed assets. For purposes of calculating these fees, “managed assets” are determined as total assets of each Trust (including any assets attributable to money borrowed for investment purposes) less the sum of its accrued liabilities (other than money borrowed for investment purposes).
With respect to each Trust, the Manager entered into separate sub-advisory agreements with BlackRock International Limited (“BIL”) and BlackRock (Singapore) Limited (“BSL”) (collectively, the “Sub-Advisers”), each an affiliate of the Manager. The Manager pays BIL and BSL for services they provide for that portion of each Trust for which BIL and BSL, as applicable, acts as sub-adviser, a monthly fee that is equal to a percentage of the investment advisory fees paid by each Trust to the Manager.
Service and Distribution Fees: MSO2 entered into a Distribution Agreement with BlackRock Investments, LLC (“BRIL”), an affiliate of the Manager. Pursuant to the Distribution Agreement, MSO2 pays BRIL ongoing service fees. The fees are accrued daily and paid monthly at an annual rate of 0.25% based upon the month-end net assets of the common shares of MSO2.
BRIL and broker-dealers, pursuant to sub-agreements with BRIL, provide shareholder servicing to the Trusts. The ongoing service fee compensates BRIL and each broker-dealer for providing shareholder servicing related services to shareholders.
Expense Waivers: With respect to MSO2, the Manager voluntarily agreed to waive a portion of its investment advisory fees equal to the annual rate of 0.25% of the Trust’s average daily managed assets, plus the proceeds of any outstanding borrowings used for leverage. This amount is included in fees waived and/or reimbursed by the Manager in the Statements of Operations. During the six months ended June 30, 2022, the Manager waived $189,944 pursuant to this agreement.
| 68 | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Notes to Financial Statements (unaudited) (continued)
With respect to each Trust, the Manager contractually agreed to waive its investment advisory fees by the amount of investment advisory fees each Trust pays to the Manager indirectly through its investment in affiliated money market funds (the “affiliated money market fund waiver”) through June 30, 2023. The contractual agreement may be terminated upon 90 days’ notice by a majority of the Independent Trustees, or by a vote of a majority of the outstanding voting securities of a Trust. These amounts are included in fees waived and/or reimbursed by the Manager in the Statements of Operations. For the six months ended June 30, 2022, the amounts waived were as follows:
|
|
||||
| Trust Name | Fees Waived and/or Reimbursed by the Manager |
|||
|
|
||||
| MSO |
$ | 3,228 | ||
| MSO2 |
781 | |||
|
|
||||
The Manager contractually agreed to waive its investment advisory fee with respect to any portion of each Trust’s assets invested in affiliated equity and fixed-income mutual funds and affiliated exchange-traded funds that have a contractual management fee through June 30, 2023. The agreement can be renewed for annual periods thereafter, and may be terminated on 90 days’ notice, each subject to approval by a majority of the Trusts’ Independent Trustees. These amounts are included in fees waived and/or reimbursed by the Manager in the Statements of Operations. For the six months ended June 30, 2022, the amounts waived in investment advisory fees pursuant to these arrangements were as follows:
| Trust Name | Fees Waived and/or Reimbursed by the Manager |
|||
| MSO |
$ | 13,938 | ||
| MSO2 |
11,730 | |||
Trustees and Officers: Certain trustees and/or officers of the Trusts are directors and/or officers of BlackRock or its affiliates. The Trusts reimburse the Manager for a portion of the compensation paid to the Trusts’ Chief Compliance Officer, which is included in Trustees and Officer in the Statements of Operations.
Other Transactions: The Trusts may purchase securities from, or sell securities to, an affiliated fund provided the affiliation is due solely to having a common investment adviser, common officers, or common trustees. For the six months ended June 30, 2022, the purchase and sale transactions and any net realized gains (losses) with affiliated funds in compliance with Rule 17a-7 under the 1940 Act were as follows:
|
|
||||||||||||
| Trust Name | Purchases | Sales | Net Realized Gain (Loss) |
|||||||||
|
|
||||||||||||
| MSO |
$ | 416,405 | $ | 298,811 | $ | (215,460 | ) | |||||
| MSO2 |
103,287 | 182,775 | (20,750 | ) | ||||||||
|
|
||||||||||||
| 7. | PURCHASES AND SALES |
For the six months ended June 30, 2022, purchases and sales of investments, including paydowns/payups and excluding short-term investments, were as follows:
|
|
||||||||
| Trust Name | Purchases | Sales | ||||||
|
|
||||||||
| MSO |
$ | 60,124,172 | $ | 109,413,795 | ||||
| MSO2 |
24,597,509 | 48,606,717 | ||||||
|
|
||||||||
| 8. | INCOME TAX INFORMATION |
It is each Trust’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of its taxable income to its shareholders. Therefore, no U.S. federal income tax provision is required.
Each Trust files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on each Trust’s U.S. federal tax returns generally remains open for a period of three years after they are filed. The statutes of limitations on each Trust’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.
Management has analyzed tax laws and regulations and their application to the Trusts as of June 30, 2022, 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.
As of December 31, 2021, the Trusts had non-expiring capital loss carryforwards available to offset future realized capital gains as follows:
|
|
||||
| Trust Name | Non-Expiring | |||
|
|
||||
| MSO |
$ | 36,774,116 | ||
| MSO2 |
11,552,669 | |||
|
|
||||
| N O T E S T O F I N A N C I A L S T A T E M E N T S |
69 |
Notes to Financial Statements (unaudited) (continued)
As of June 30, 2022, gross unrealized appreciation and depreciation based on cost of investments (including short positions and derivatives, if any) for U.S. federal income tax purposes were as follows:
|
|
||||||||||||||||
| Trust Name | Tax Cost | Gross Unrealized Appreciation |
Gross Unrealized Depreciation |
Net Unrealized Appreciation (Depreciation) |
||||||||||||
|
|
||||||||||||||||
| MSO |
$ | 323,665,221 | $ | 3,585,091 | $ | (58,545,733 | ) | $ | (54,960,642 | ) | ||||||
| MSO2 |
138,974,476 | 1,782,949 | (21,493,523 | ) | (19,710,574 | ) | ||||||||||
|
|
||||||||||||||||
| 9. | BANK BORROWINGS |
Each Trust is a party to an existing 364-day, $2.50 billion credit agreement with a group of lenders, along with certain other funds managed by the Manager and its affiliates (“Participating Funds”). Under this agreement, the Trusts may borrow to fund shareholder tender offers. Excluding commitments designated for certain individual funds, the Participating Funds, including the Trusts, can borrow up to an aggregate commitment amount of $1.75 billion at any time outstanding, subject to asset coverage and other limitations as specified in the agreement. The credit agreement has the following terms: a fee of 0.10% per annum on unused commitment amounts and interest at a rate equal to the higher of (a) one-month Overnight Bank Fund Rate (but, in any event, not less than 0.00%) on the date the loan is made plus 0.80% per annum, (b) the Fed Funds rate (but, in any event, not less than 0.00%) in effect from time to time plus 0.80% per annum on amounts borrowed, or (c) the sum of (x) Daily Simple Secured Overnight Financing Rate (but, in any event, not less than 0.00%) on the date the loan is made plus 0.10% and (y) 0.80% per annum. The agreement expires in April 2023 unless extended or renewed. During the six months ended June 30, 2022, the Trusts did not borrow under the credit agreement.
| 10. | PRINCIPAL RISKS |
In the normal course of business, the Trusts invest in securities or other instruments and may enter into certain transactions, and such activities subject each Trust to various risks, including among others, fluctuations in the market (market risk) or failure of an issuer to meet all of its obligations. The value of securities or other instruments may also be affected by various factors, including, without limitation: (i) the general economy; (ii) the overall market as well as local, regional or global political and/or social instability; (iii) regulation, taxation or international tax treaties between various countries; or (iv) currency, interest rate and price fluctuations. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues, recessions, or other events could have a significant impact on the Trusts and their investments.
MSO will terminate at the close of business on February 22, 2024; however, the Board may, without shareholder approval, extend the Termination Date by up to one year to a date on or before February 22, 2025. MSO2 will terminate at the close of business on February 28, 2025; however, the Board may, without shareholder approval, extend the Termination Date by up to one year to a date on or before February 28, 2026. Each Trust is not a target term fund and thus does not seek to return its initial public offering price of $100 per common share upon termination. The final distribution of net assets upon termination may be more than, equal to or less than $100 per common share. Because each Trust does not list its common shares on any securities exchange, an investment in the Trust, unlike an investment in a traditional listed closed-end fund, should be considered illiquid.
The Trusts may invest without limitation in illiquid or less liquid investments or investments in which no secondary market is readily available or which are otherwise illiquid, including private placement securities. The Trusts may not be able to readily dispose of such investments at prices that approximate those at which the Trusts could sell such investments if they were more widely traded and, as a result of such illiquidity, the Trusts may have to sell other investments or engage in borrowing transactions if necessary to raise funds to meet their obligations. Limited liquidity can also affect the market price of investments, thereby adversely affecting each Trust’s NAV and ability to make dividend distributions. Privately issued debt securities are often of below investment grade quality, frequently are unrated and present many of the same risks as investing in below investment grade public debt securities.
Market Risk: Each Trust may be exposed to prepayment risk, which is the risk that borrowers may exercise their option to prepay principal earlier than scheduled during periods of declining interest rates, which would force each Trust to reinvest in lower yielding securities. Each Trust may also be exposed to reinvestment risk, which is the risk that income from each Trust’s portfolio will decline if each Trust invests the proceeds from matured, traded or called fixed-income securities at market interest rates that are below each Trust portfolio’s current earnings rate.
Municipal securities are subject to the risk that litigation, legislation or other political events, local business or economic conditions, credit rating downgrades, or the bankruptcy of the issuer could have a significant effect on an issuer’s ability to make payments of principal and/or interest or otherwise affect the value of such securities. Municipal securities can be significantly affected by political or economic changes, including changes made in the law after issuance of the securities, as well as uncertainties in the municipal market related to, taxation, legislative changes or the rights of municipal security holders, including in connection with an issuer insolvency. Municipal securities backed by current or anticipated revenues from a specific project or specific assets can be negatively affected by the discontinuance of the tax benefits supporting the project or assets or the inability to collect revenues for the project or from the assets. Municipal securities may be less liquid than taxable bonds, and there may be less publicly available information on the financial condition of municipal security issuers than for issuers of other securities.
An outbreak of respiratory disease caused by a novel coronavirus has developed into a global pandemic and has resulted in closing borders, quarantines, disruptions to supply chains and customer activity, as well as general concern and uncertainty. The impact of this pandemic, and other global health crises that may arise in the future, could affect the economies of many nations, individual companies and the market in general in ways that cannot necessarily be foreseen at the present time. This pandemic may result in substantial market volatility and may adversely impact the prices and liquidity of a fund’s investments. Although vaccines have been developed and approved for use by various governments, the duration of this pandemic and its effects cannot be determined with certainty.
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.
| 70 | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Notes to Financial Statements (unaudited) (continued)
A Trust may invest in illiquid investments. An illiquid investment is any investment that a Trust reasonably expects cannot be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. A Trust may experience difficulty in selling illiquid 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 a Trust invests.
The price a Trust could receive upon the sale of any particular portfolio investment may differ from a 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 a 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. A 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: 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, including making timely interest and/or principal payments or otherwise honoring its obligations. 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.
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 each Trust deposits collateral with its counterparty to a written option.
With exchange-traded options purchased and exchange-traded futures and centrally cleared swaps, there is less counterparty credit risk to the Trusts since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, a Trust does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency). Additionally, credit risk exists in exchange-traded futures and centrally cleared swaps 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: A diversified portfolio, where this is appropriate and consistent with a fund’s objectives, minimizes the risk that a price change of a particular investment will have a material impact on the NAV of a fund. The investment concentrations within each Trust’s portfolio are disclosed in its Schedule of Investments.
The Trusts invest a significant portion of their assets in high yield securities. High yield securities that are rated below investment-grade (commonly referred to as “junk bonds”) or are unrated may be deemed speculative, involve greater levels of risk than higher-rated securities of similar maturity and are more likely to default. High yield securities may be issued by less creditworthy issuers, and issuers of high yield securities may be unable to meet their interest or principal payment obligations. High yield securities are subject to extreme price fluctuations, may be less liquid than higher rated fixed-income securities, even under normal economic conditions, and frequently have redemption features.
The Trusts invest a significant portion of their assets in fixed-income securities and/or use derivatives tied to the fixed-income markets. Changes in market interest rates or economic conditions may affect the value and/or liquidity of such investments. Interest rate risk is the risk that prices of bonds and other fixed-income securities will increase as interest rates fall and decrease as interest rates rise. The Trusts may be subject to a greater risk of rising interest rates due to the current period of historically low rates.
The Trusts invest a significant portion of their assets in securities backed by commercial or residential mortgage loans or in issuers that hold mortgage and other asset-backed securities. When a Trust concentrates its investments in this manner, it assumes a greater risk of prepayment or payment extension by securities issuers. Changes in economic conditions, including delinquencies and/or defaults on assets underlying these securities, can affect the value, income and/or liquidity of such positions. Investment percentages in these securities are presented in the Schedules of Investments.
LIBOR Transition Risk: The United Kingdom’s Financial Conduct Authority announced a phase out of the LIBOR. Although many LIBOR rates ceased to be published or no longer are representative of the underlying market they seek to measure after December 31, 2021, a selection of widely used USD LIBOR rates will continue to be published through June 2023 in order to assist with the transition. The Trusts may be exposed to financial instruments tied to LIBOR to determine payment obligations, financing terms, hedging strategies or investment value. The transition process away from LIBOR might lead to increased volatility and illiquidity in markets for, and reduce the effectiveness of new hedges placed against instruments whose terms currently include LIBOR. The ultimate effect of the LIBOR transition process on the Trusts is uncertain.
| N O T E S T O F I N A N C I A L S T A T E M E N T S |
71 |
Notes to Financial Statements (unaudited) (continued)
| 11. | CAPITAL SHARE TRANSACTIONS |
Each Trust is authorized to issue an unlimited number of shares, all of which were initially classified as Common Shares. Each Board is authorized, however, to reclassify any unissued Common Shares to Preferred Shares without the approval of Common Shareholders.
With respect to MSO, for the period ended June 30, 2022, common shares issued and outstanding had a net decrease of 310,975 as a result of 18,737 shares issued from dividend reinvestment and 329,712 shares repurchased in tender offers. For the year ended December 31, 2021, common shares issued and outstanding had a net decrease of 352,700 as a result of 44,414 shares issued from dividend reinvestment and 397,114 shares repurchased in tender offers.
With respect to MSO2, for the period ended June 30, 2022, common shares issued and outstanding had a net decrease of 114,341 as a result of 29,128 shares issued from dividend reinvestment and 143,469 shares repurchased in tender offers. For the year ended December 31, 2021, common shares issued and outstanding had a net decrease of 103,615 as a result of 49,167 shares issued from dividend reinvestment and 152,782 shares repurchased in tender offers.
Each Trust intends, but is not obligated, to conduct quarterly tender offers for up to 5% of the common shares then outstanding in the sole discretion of its Board until it adopts a plan of liquidation. In a tender offer, each Trust repurchases outstanding common shares at its NAV on the valuation date for the tender offer. In any given year, the Advisor may or may not recommend to the Board that a Trust conduct tender offers. Accordingly, there may be years in which no tender offer is made. Therefore, common shares will not be redeemable at an investor’s option nor will they be exchangeable for shares of any other trust.
With respect to MSO, tender offers for the periods shown were as follows:
| Commencement Date of Tender Offer Period(a) |
Valuation Date |
Number of Shares Tendered |
Tendered Shares as a Percentage of Outstanding Shares |
Number of Tendered Shares Purchased |
Tendered Shares Purchased as a Percentage of Outstanding Shares |
Purchase Price | Total Amount of Purchases |
|||||||||||||||||||||
| January 7, 2022 |
February 7, 2022 | 149,010 | 4.0 | % | 149,010 | 4.0 | % | $82.1200 | $12,236,702 | |||||||||||||||||||
| April 8, 2022 |
May 9, 2022 | 225,663 | 6.2 | 180,702 | 5.0 | 74.6900 | 13,496,632 | |||||||||||||||||||||
| Commencement Date of Tender Offer Period(a) |
Valuation Date |
Number of Shares Tendered |
Tendered Shares as a Percentage of Outstanding Shares |
Number of Tendered Shares Purchased |
Tendered Shares Purchased as a Percentage of Outstanding Shares |
Purchase Price | Total Amount of Purchases |
|||||||||||||||||||||
| January 8, 2021 |
February 8, 2021 | 164,362 | 4.0 | % | 102,661 | 2.5 | % | $89.1600 | $9,153,256 | |||||||||||||||||||
| April 9, 2021 |
May 10, 2021 | 155,811 | 3.9 | 100,379 | 2.5 | 89.6500 | 8,998,977 | |||||||||||||||||||||
| July 9, 2021 |
August 25, 2021 | 131,180 | 3.4 | 98,133 | 2.5 | 89.4600 | 8,778,977 | |||||||||||||||||||||
| October 8, 2021 |
November 9, 2021 | 109,042 | 2.9 | 95,941 | 2.5 | 86.1500 | 8,265,317 | |||||||||||||||||||||
| (a) | Date the tender offer period began. |
With respect to MSO2, tender offers for the periods shown were as follows:
| Commencement Date of Tender Offer Period(a) |
Valuation Date |
Number of Shares Tendered |
Tendered Shares as a Percentage of Outstanding Shares |
Number of Tendered Shares Purchased |
Tendered Shares Purchased as a Percentage of Outstanding Shares |
Purchase Price | Total Amount of Purchases |
|||||||||||||||||||||
| January 7, 2022 |
February 7, 2022 | 195,090 | 13.3 | % | 73,217 | 5.0 | % | $85.2000 | $6,238,115 | |||||||||||||||||||
| April 8, 2022 |
May 9, 2022 | 169,160 | 12.0 | 70,252 | 5.0 | 77.7400 | 5,461,395 | |||||||||||||||||||||
| Commencement Date of Tender Offer Period(a) |
Valuation Date |
Number of Shares Tendered |
Tendered Shares as a Percentage of Outstanding Shares |
Number of Tendered Shares Purchased |
Tendered Shares as a Percentage of Outstanding Shares |
Purchase Price | Total Amount of Purchases |
|||||||||||||||||||||
| January 8, 2021 |
February 8, 2021 | 262,893 | 16.8 | % | 39,197 | 2.5 | % | $91.9500 | $3,604,198 | |||||||||||||||||||
| April 9, 2021 |
May 10, 2021 | 217,341 | 14.1 | 38,513 | 2.5 | 92.6100 | 3,566,673 | |||||||||||||||||||||
| July 9, 2021 |
August 25, 2021 | 205,045 | 13.5 | 37,851 | 2.5 | 92.3200 | 3,494,425 | |||||||||||||||||||||
| October 8, 2021 |
November 9, 2021 | 191,535 | 12.9 | 37,221 | 2.5 | 89.3600 | 3,326,034 | |||||||||||||||||||||
| (a) | Date the tender offer period began. |
Tendered share amounts are shown as repurchase of shares resulting from tender offers in the Statements of Changes in Net Assets.
As of June 30, 2022, BlackRock Financial Management, Inc., an affiliate of MSO2, owned 1,274 shares of MSO2.
| 12. | 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:
| 72 | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Notes to Financial Statements (unaudited) (continued)
MSO and MSO2 each conducted a quarterly tender offer for up to 5% of its issued and outstanding common shares.
The results of MSO’s tender offer were as follows:
| Commencement Date of Tender Offer Period(a) |
Valuation Date |
Number of Shares Tendered |
Tendered Shares as a Percentage of Outstanding Shares |
Number of Tendered Shares to be Purchased |
Tendered Shares to be Purchased as a Percentage of Outstanding Shares |
Purchase Price | Total Amount of Purchases |
|||||||||||||||||||||
| July 8, 2022 |
August 9, 2022 | 116,018 | 3.4 | % | 116,018 | 3.4 | % | $71.6300 | $8,310,369 | |||||||||||||||||||
| (a) | Date the tender offer period began. |
The results of MSO2’s tender offer were as follows:
| Commencement Date of Tender Offer Period(a) |
Valuation Date |
Number of Shares Tendered |
Tendered Shares as a Percentage of Outstanding Shares |
Number of Tendered Shares to be Purchased |
Tendered Shares to be Purchased as a Percentage of Outstanding Shares |
Purchase Price | Total Amount of Purchases |
|||||||||||||||||||||
| July 8, 2022 |
August 9, 2022 | 121,244 | 9.0 | % | 67,509 | 5.0 | % | $74.1000 | $5,002,393 | |||||||||||||||||||
| (a) | Date the tender offer period began. |
| N O T E S T O F I N A N C I A L S T A T E M E N T S |
73 |
Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements
The Boards of Trustees (together, the “Board,” the members of which are referred to as “Board Members”) of BlackRock Multi-Sector Opportunities Trust (“MSO”) and BlackRock Multi-Sector Opportunities Trust II (“MSO II” and together with MSO, the “Funds” and each, a “Fund”) met on April 14, 2022 (the “April Meeting”) and May 19-20, 2022 (the “May Meeting”) to consider the approval to continue the investment advisory agreements (the “Advisory Agreements”) between each Fund and BlackRock Advisors, LLC (the “Manager”), each Fund’s investment advisor. The Board also considered the approval to continue the sub-advisory agreements (the “Sub-Advisory Agreements”) between (1) the Manager, BlackRock International Limited (“BIL”) and each Fund and (2) the Manager, BlackRock (Singapore) Limited (“BRS” and together with BIL, the “Sub-Advisors”) and each Fund. The Manager and the Sub-Advisors are referred to herein as “BlackRock.” The Advisory Agreements and the Sub-Advisory Agreements are referred to herein as the “Agreements.”
The Approval Process
Consistent with the requirements of the Investment Company Act of 1940 (the “1940 Act”), the Board considers the approval of the continuation of the Agreements for each Fund on an annual basis. The Board members who are not “interested persons” of each Fund as defined in the 1940 Act, are considered independent Board members (the “Independent Board Members”). The Board’s consideration entailed a year-long deliberative process during which the Board and its committees assessed BlackRock’s various services to each Fund, including through the review of written materials and oral presentations, and the review of additional information provided in response to requests from the Independent Board Members. The Board had four quarterly meetings per year, each typically extending for two days, as well as additional ad hoc meetings and executive sessions throughout the year, as needed. The committees of the Board similarly met throughout the year. The Board also had an additional one-day meeting to consider specific information surrounding the renewal of the Agreements. In particular, the Board assessed, among other things, the nature, extent and quality of the services provided to each Fund by BlackRock, BlackRock’s personnel and affiliates, including (as applicable): investment management services; accounting oversight; administrative and shareholder services; oversight of each Fund’s service providers; risk management and oversight; and legal, regulatory and compliance services. Throughout the year, including during the contract renewal process, the Independent Board Members were advised by independent legal counsel, and met with independent legal counsel in various executive sessions outside of the presence of BlackRock’s management.
During the year, the Board, acting directly and through its committees, considered information that was relevant to its annual consideration of the renewal of the Agreements, including the services and support provided by BlackRock to each Fund and its shareholders. BlackRock also furnished additional information to the Board in response to specific questions from the Board. Among the matters the Board considered were: (a) investment performance for one-year, three-year, five-year, and/or since inception periods, as applicable, against peer funds, relevant benchmarks, and other performance metrics, as applicable, as well as BlackRock senior management’s and portfolio managers’ analyses of the reasons for any outperformance or underperformance relative to its peers, benchmarks, and other performance metrics, as applicable; (b) leverage management, as applicable; (c) fees, including advisory, administration, if applicable, and other amounts paid to BlackRock and its affiliates by each Fund for services; (d) Fund operating expenses and how BlackRock allocates expenses to each Fund; (e) the resources devoted to risk oversight of, and compliance reports relating to, implementation of each Fund’s investment objective, policies and restrictions, and meeting regulatory requirements; (f) BlackRock’s and each Fund’s adherence to applicable compliance policies and procedures; (g) the nature, character and scope of non-investment management services provided by BlackRock and its affiliates and the estimated cost of such services, as available; (h) BlackRock’s and other service providers’ internal controls and risk and compliance oversight mechanisms; (i) BlackRock’s implementation of the proxy voting policies approved by the Board; (j) execution quality of portfolio transactions (k) BlackRock’s implementation of each Fund’s valuation and liquidity procedures; (l) an analysis of management fees paid to BlackRock for products with similar investment mandates across the open-end fund, closed-end fund, sub-advised mutual fund, collective investment trust and institutional separate account product channels, as applicable, and the similarities and differences between these products and the services provided as compared to each Fund; (m) BlackRock’s compensation methodology for its investment professionals and the incentives and accountability it creates, along with investment professionals’ investments in the fund(s) they manage; (n) periodic updates on BlackRock’s business; and (o) each Fund’s market discount/premium compared to peer funds.
Prior to and in preparation for the April Meeting, the Board received and reviewed materials specifically relating to the renewal of the Agreements. The Independent Board Members are continuously engaged in a process with their independent legal counsel and BlackRock to review the nature and scope of the information provided to the Board to better assist its deliberations. The materials provided in connection with the April Meeting included, among other things: (a) information independently compiled and prepared by Broadridge Financial Solutions, Inc. (“Broadridge”), based on Lipper classifications, regarding each Fund’s fees and expenses as compared with a peer group of funds as determined by Broadridge (“Expense Peers”) and the investment performance of each Fund as compared with a peer group of funds (“Performance Peers”); (b) information on the composition of the Expense Peers and Performance Peers and a description of Broadridge’s methodology; (c) information on the estimated profits realized by BlackRock and its affiliates pursuant to the Agreements and a discussion of fall-out benefits to BlackRock and its affiliates; (d) a general analysis provided by BlackRock concerning investment management fees received in connection with other types of investment products, such as institutional accounts, sub-advised mutual funds, closed-end funds, and open-end funds, under similar investment mandates, as applicable; (e) a review of non-management fees; (f) the existence, impact and sharing of potential economies of scale, if any, with each Fund; (g) a summary of aggregate amounts paid by each Fund to BlackRock; and (h) various additional information requested by the Board as appropriate regarding BlackRock’s and each Fund’s operations.
At the April Meeting, the Board reviewed materials relating to its consideration of the Agreements and the Independent Board Members presented BlackRock with questions and requests for additional information. BlackRock responded to these questions and requests with additional written information in advance of the May Meeting.
At the May Meeting, the Board concluded its assessment of, among other things: (a) the nature, extent and quality of the services provided by BlackRock; (b) the investment performance of each Fund as compared to its Performance Peers and to other metrics, as applicable; (c) the advisory fee and the estimated cost of the services and estimated profits realized by BlackRock and its affiliates from their relationship with each Fund; (d) each Fund’s fees and expenses compared to its Expense Peers; (e) the existence and sharing of potential economies of scale; (f) any fall-out benefits to BlackRock and its affiliates as a result of BlackRock’s relationship with each Fund; and (g) other factors deemed relevant by the Board Members.
The Board also considered other matters it deemed important to the approval process, such as other payments made to BlackRock or its affiliates relating to securities lending and cash management, and BlackRock’s services related to the valuation and pricing of Fund portfolio holdings. The Board noted the willingness of BlackRock’s personnel to engage in open, candid discussions with the Board. The Board Members evaluated the information available to it on a fund-by-fund basis. The following paragraphs provide
| 74 | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Disclosure of Investment Advisory Agreement and Sub-Advisory Agreement (continued)
more information about some of the primary factors that were relevant to the Board’s decision. The Board Members did not identify any particular information, or any single factor as determinative, and each Board Member may have attributed different weights to the various items and factors considered.
A. Nature, Extent and Quality of the Services Provided by BlackRock
The Board, including the Independent Board Members, reviewed the nature, extent and quality of services provided by BlackRock, including the investment advisory services, and the resulting performance of each Fund. Throughout the year, the Board compared Fund performance to the performance of a comparable group of closed-end funds, relevant benchmarks, and performance metrics, as applicable. The Board met with BlackRock’s senior management personnel responsible for investment activities, including the senior investment officers. The Board also reviewed the materials provided by each Fund’s portfolio management team discussing each Fund’s performance, investment strategies and outlook.
The Board considered, among other factors, with respect to BlackRock: the number, education and experience of investment personnel generally and each Fund’s portfolio management team; research capabilities; investments by portfolio managers in the funds they manage; portfolio trading capabilities; use of technology; commitment to compliance; credit analysis capabilities; risk analysis and oversight capabilities; and the approach to training and retaining portfolio managers and other research, advisory and management personnel. The Board also considered BlackRock’s overall risk management program, including the continued efforts of BlackRock and its affiliates to address cybersecurity risks and the role of BlackRock’s Risk & Quantitative Analysis Group. The Board engaged in a review of BlackRock’s compensation structure with respect to each Fund’s portfolio management team and BlackRock’s ability to attract and retain high-quality talent and create performance incentives.
In addition to investment advisory services, the Board considered the nature and quality of the administrative and other non-investment advisory services provided to each Fund. BlackRock and its affiliates provide each Fund with certain administrative, shareholder and other services (in addition to any such services provided to each Fund by third parties) and officers and other personnel as are necessary for the operations of each Fund. In particular, BlackRock and its affiliates provide each Fund with administrative services including, among others: (i) responsibility for disclosure documents and periodic shareholder reports; (ii) oversight of daily accounting and pricing; (iii) responsibility for periodic filings with regulators; (iv) overseeing and coordinating the activities of third-party service providers including, among others, each Fund’s custodian, fund accountant, transfer agent, and auditor; (v) organizing Board meetings and preparing the materials for such Board meetings; (vi) providing legal and compliance support; (vii) furnishing analytical and other support to assist the Board in its consideration of strategic issues such as the merger, consolidation or repurposing of certain closed-end funds; and (vii) performing or managing administrative functions necessary for the operation of each Fund, such as tax reporting, expense management, fulfilling regulatory filing requirements, and shareholder call center and other services. The Board reviewed the structure and duties of BlackRock’s fund administration, shareholder services, and legal and compliance departments and considered BlackRock’s policies and procedures for assuring compliance with applicable laws and regulations. The Board considered the operation of BlackRock’s business continuity plans, including in light of the ongoing COVID-19 pandemic.
B. The Investment Performance of each Fund and BlackRock
The Board, including the Independent Board Members, reviewed and considered the performance history of each Fund throughout the year and at the April Meeting. In preparation for the April Meeting, the Board was provided with reports independently prepared by Broadridge, which included an analysis of each Fund’s performance as of December 31, 2021, as compared to its Performance Peers. The performance information is based on net asset value (NAV), and utilizes Lipper data. Lipper’s methodology calculates a fund’s total return assuming distributions are reinvested on the ex-date at a fund’s ex-date NAV. Broadridge ranks funds in quartiles, ranging from first to fourth, where first is the most desirable quartile position and fourth is the least desirable. In connection with its review, the Board received and reviewed information regarding the investment performance of each Fund as compared to its Performance Peers and, in light of each Fund’s outcome-oriented investment objective, certain performance metrics (“Outcome-Oriented Performance Metrics”). The Board and its Performance Oversight Committee regularly review and meet with Fund management to discuss the performance of each Fund throughout the year.
In evaluating performance, the Board focused particular attention on funds with less favorable performance records. The Board also noted that while it found the data provided by Broadridge generally useful, it recognized the limitations of such data, including in particular, that notable differences may exist between a fund and its Performance Peers (for example, the investment objectives and strategies). Further, the Board recognized that the performance data reflects a snapshot of a period as of a particular date and that selecting a different performance period could produce significantly different results. The Board also acknowledged that long-term performance could be impacted by even one period of significant outperformance or underperformance, and that a single investment theme could have the ability to disproportionately affect long-term performance.
The Board reviewed and considered MSO’s performance relative to MSO’s Outcome-Oriented Performance Metrics, including a total return target. The Board noted that for each of the one-, three-year and since-inception periods reported, MSO underperformed its total return target. The Board noted that BlackRock believes that the Outcome-Oriented Performance Metrics are an appropriate performance metric for MSO, and that BlackRock has explained its rationale for this belief to the Board. The Board and BlackRock reviewed MSO’s underperformance relative to its total return target during the applicable periods.
The Board reviewed and considered MSO II’s performance relative to MSO II’s Outcome-Oriented Performance Metrics, including a total return target. The Board noted that for each of the one-year and since-inception periods reported, MSO II underperformed its total return target. The Board noted that BlackRock believes that the Outcome-Oriented Performance Metrics are an appropriate performance metric for MSO II, and that BlackRock has explained its rationale for this belief to the Board. The Board and BlackRock reviewed MSO II’s underperformance relative to its total return target during the applicable periods.
C. Consideration of the Advisory/Management Fees and the Estimated Cost of the Services and Estimated Profits Realized by BlackRock and its Affiliates from their Relationship with each Fund
The Board, including the Independent Board Members, reviewed each Fund’s contractual management fee rate compared with those of its Expense Peers. The contractual management fee rate represents a combination of the advisory fee and any administrative fees, before taking into account any reimbursements or fee waivers. The Board also compared each Fund’s total expense ratio, as well as its actual management fee rate as a percentage of managed assets, which is the total assets of each Fund (including any assets attributable to money borrowed for investment purposes) minus the sum of each Fund’s accrued liabilities (other than money borrowed for investment purposes) to those of its Expense Peers. The total expense ratio represents a fund’s total net operating expenses, excluding any investment related expenses. The total expense ratio gives
| D I S C L O S U R E O F I N V E S T M E N T A D V I S O R Y A G R E E M E N T S A N D S U B - A D V I S O R Y A G R E E M E N T S |
75 |
Disclosure of Investment Advisory Agreement and Sub-Advisory Agreement (continued)
effect to any expense reimbursements or fee waivers, and the actual management fee rate gives effect to any management fee reimbursements or waivers. The Board considered the services provided and the fees charged by BlackRock and its affiliates to other types of clients with similar investment mandates, as applicable, including institutional accounts and sub-advised mutual funds (including mutual funds sponsored by third parties).
The Board received and reviewed statements relating to BlackRock’s financial condition. The Board reviewed BlackRock’s profitability methodology and was also provided with an estimated profitability analysis that detailed the revenues earned and the expenses incurred by BlackRock for services provided to each Fund. The Board reviewed BlackRock’s estimated profitability with respect to each Fund and other funds the Board currently oversees for the year ended December 31, 2021 compared to available aggregate estimated profitability data provided for the prior two years. The Board reviewed BlackRock’s estimated profitability with respect to certain other U.S. fund complexes managed by the Manager and/or its affiliates. The Board reviewed BlackRock’s assumptions and methodology of allocating expenses in the estimated profitability analysis, noting the inherent limitations in allocating costs among various advisory products. The Board recognized that profitability may be affected by numerous factors including, among other things, fee waivers and expense reimbursements by the Manager, the types of funds managed, precision of expense allocations and business mix. The Board thus recognized that calculating and comparing profitability at the individual fund level is difficult.
The Board noted that, in general, individual fund or product line profitability of other advisors is not publicly available. The Board reviewed BlackRock’s overall operating margin, in general, compared to that of certain other publicly traded asset management firms. The Board considered the differences between BlackRock and these other firms, including the contribution of technology at BlackRock, BlackRock’s expense management, and the relative product mix.
The Board considered whether BlackRock has the financial resources necessary to attract and retain high quality investment management personnel to perform its obligations under the Agreements and to continue to provide the high quality of services that is expected by the Board. The Board further considered factors including but not limited to BlackRock’s commitment of time, assumption of risk, and liability profile in servicing each Fund, including in contrast to what is required of BlackRock with respect to other products with similar investment mandates across the open-end fund, closed-end fund, sub-advised mutual fund, collective investment trust, and institutional separate account product channels, as applicable.
The Board noted that MSO’s contractual management fee rate ranked in the fourth quartile, and that the actual management fee rate and total expense ratio each ranked in the fourth quartile, relative to the Expense Peers. The Board also noted, however, that given the comparability limitations of the Expense Peers, BlackRock provided the Board a supplemental peer group consisting of funds that BlackRock believes are generally similar to MSO. The Board noted that each Fund’s contractual management fee rate and total expense ratio each ranked second out of four funds relative to the supplemental peer group.
The Board noted that MSO II’s contractual management fee rate ranked in the fourth quartile, and that the actual management fee rate and total expense ratio each ranked in the fourth quartile, relative to the Expense Peers. The Board also noted, however, that given the comparability limitations of the Expense Peers, BlackRock provided the Board a supplemental peer group consisting of funds that BlackRock believes are generally similar to MSO II. The Board noted that MSO II’s contractual management fee rate and total expense ratio ranked second out of four funds and third out of four funds, respectively, relative to the supplemental peer group.
D. Economies of Scale
The Board, including the Independent Board Members, considered the extent to which economies of scale might be realized as the assets of each Fund increase. The Board also considered the extent to which each Fund benefits from such economies of scale in a variety of ways, and whether there should be changes in the advisory fee rate or breakpoint structure in order to enable each Fund to more fully participate in these economies of scale. The Board considered each Fund’s asset levels and whether the current fee was appropriate.
Based on the Board’s review and consideration of the issue, the Board concluded that most closed-end funds do not have fund level breakpoints because closed-end funds generally do not experience substantial growth after the initial public offering. Closed-end funds are typically priced at scale at a fund’s inception.
E. Other Factors Deemed Relevant by the Board Members
The Board, including the Independent Board Members, also took into account other ancillary or “fall-out” benefits that BlackRock or its affiliates may derive from BlackRock’s respective relationships with each Fund, both tangible and intangible, such as BlackRock’s ability to leverage its investment professionals who manage other portfolios and its risk management personnel, an increase in BlackRock’s profile in the investment advisory community, and the engagement of BlackRock’s affiliates as service providers to each Fund, including for administrative, securities lending and cash management services. The Board also considered BlackRock’s overall operations and its efforts to expand the scale of, and improve the quality of, its operations. The Board also noted that, subject to applicable law, BlackRock may use and benefit from third-party research obtained by soft dollars generated by certain registered fund transactions to assist in managing all or a number of its other client accounts.
In connection with its consideration of the Agreements, the Board also received information regarding BlackRock’s brokerage and soft dollar practices. The Board received reports from BlackRock which included information on brokerage commissions and trade execution practices throughout the year.
The Board also considered the various notable initiatives and projects BlackRock performed in connection with its closed-end fund product line. These initiatives included developing equity shelf programs; efforts to eliminate product overlap with fund mergers; ongoing services to manage leverage that has become increasingly complex; periodic evaluation of share repurchases and other support initiatives for certain BlackRock funds; and continued communication efforts with shareholders, fund analysts and financial advisers. With respect to the latter, the Independent Board Members noted BlackRock’s continued commitment to supporting the secondary market for the common shares of its closed-end funds through a comprehensive secondary market communication program designed to raise investor and analyst awareness and understanding of closed-end funds. BlackRock’s support services included, among other things: sponsoring and participating in conferences; communicating with closed-end fund analysts covering the BlackRock funds throughout the year; providing marketing and product updates for the closed-end funds; and maintaining and enhancing its closed-end fund website.
| 76 | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Disclosure of Investment Advisory Agreement and Sub-Advisory Agreement (continued)
Conclusion
At the May Meeting, as a result of the discussions that occurred during the April Meeting, and as a culmination of the Board’s year-long deliberative process, the Board, including the Independent Board Members, approved, by unanimous vote of those present, the continuation of the Advisory Agreements between the Manager and each Fund for a one-year term ending June 30, 2023, and the Sub-Advisory Agreements among the Manager, the Sub-Advisors and each Fund for a one-year term ending June 30, 2023. Based upon its evaluation of all of the aforementioned factors in their totality, as well as other information, the Board, including the Independent Board Members, was satisfied that the terms of the Agreements were fair and reasonable and in the best interest of each Fund and its shareholders. In arriving at its decision to approve the Agreements, the Board did not identify any single factor or group of factors as all-important or controlling, but considered all factors together, and different Board Members may have attributed different weights to the various factors considered. The Independent Board Members were also assisted by the advice of independent legal counsel in making this determination.
| D I S C L O S U R E O F I N V E S T M E N T A D V I S O R Y A G R E E M E N T S A N D S U B - A D V I S O R Y A G R E E M E N T S |
77 |
Regulation Regarding Derivatives
On October 28, 2020, the Securities and Exchange Commission (the “SEC”) adopted regulations governing the use of derivatives by registered investment companies (“Rule 18f-4”). The Trusts will be required to implement and comply with Rule 18f-4 by August 19, 2022. Once implemented, Rule 18f-4 will impose limits on the amount of derivatives a fund can enter into, eliminate the asset segregation framework currently used by funds to comply with Section 18 of the 1940 Act, treat derivatives as senior securities and require funds whose use of derivatives is more than a limited specified exposure amount to establish and maintain a comprehensive derivatives risk management program and appoint a derivatives risk manager.
Environmental, Social and Governance (“ESG”) Integration
Although a Trust does not seek to implement a specific ESG, impact or sustainability strategy unless otherwise disclosed, Trust management will consider ESG characteristics as part of the investment process for actively managed Trusts. These considerations will vary depending on a Trust’s particular investment strategies and may include consideration of third-party research as well as consideration of proprietary BlackRock research across the ESG risks and opportunities regarding an issuer. Trust management will consider those ESG characteristics it deems relevant or additive when making investment decisions for a Trust. The ESG characteristics utilized in a Trust’s investment process are anticipated to evolve over time and one or more characteristics may not be relevant with respect to all issuers that are eligible for investment. ESG characteristics are not the sole considerations when making investment decisions for a Trust. Further, investors can differ in their views of what constitutes positive or negative ESG characteristics. As a result, a Trust may invest in issuers that do not reflect the beliefs and values with respect to ESG of any particular investor. ESG considerations may affect a Trust’s exposure to certain companies or industries and a Trust may forego certain investment opportunities. While Trust management views ESG considerations as having the potential to contribute to a Trust’s long-term performance, there is no guarantee that such results will be achieved.
Dividend Policy
Each Trust’s dividend policy is to distribute all or a portion of its net investment income to its shareholders on a quarterly basis. In order to provide shareholders with a more stable level of dividend distributions, the distributions paid by a Trust for any particular quarter may be more or less than the amount of net investment income earned by a Trust during such quarter. The portion of distributions that exceeds a Trust current and accumulated earnings and profits, which are measured on a tax basis, will constitute a nontaxable return of capital. The Trusts’ current accumulated but undistributed net investment income, if any, is disclosed as accumulated earnings (loss) in the Statements of Assets and Liabilities, which comprises part of the financial information included in this report.
General Information
The Trusts do not make available copies of their Statements of Additional Information because the Trusts’ shares are not continuously offered, which means that the Statement of Additional Information of each Trust has 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.
For the taxable year ended December 31, 2021 and all prior taxable years, MSO2 has been treated as a “publicly offered regulated investment company.” To be treated as a “publicly offered regulated investment company,” MSO2’s shares must, among other things, be held by or for at least 500 persons at all times during the taxable year. As of June 30, 2022, MSO2’s shares were held by 507 persons. This number could decrease below 500 persons during the taxable year ended December 31, 2022 or in a future taxable year as a result of shareholders’ shares being repurchased in one or more quarterly tender offers.
The failure of MSO2 to be treated as a “publicly offered regulated investment company” in a given taxable year could have potential adverse tax consequences for U.S. shareholders that are individuals, trusts, estates, and certain other pass-through entities. In such situation, each affected shareholder will be treated as receiving a distribution equal to that shareholder’s allocable share of management fees and certain other expenses paid by MSO2 (“MSO2 Fees and Expenses”), but will not be able to take an offsetting deduction. MSO2 Fees and Expenses will be treated as miscellaneous itemized deductions, which are currently not deductible by such U.S. shareholders.
Investors should consult with their tax advisors regarding the potential individual tax consequences should MSO2 fail to be treated as a “publicly offered regulated investment company” in a given taxable year. Each U.S. shareholder’s share of MSO2 Fees and Expenses, if applicable, would be reported on a Form 1099-DIV.
To mitigate any potential economic impact should MSO2 fail to be treated as a “publicly offered regulated investment company”, effective January 1, 2022, BlackRock Advisors, LLC (the “Manager”) has voluntarily agreed to waive its annual management fee rate by 0.25%, such that MSO2 will be subject to a net management fee at an annual rate of 1.00% of the average daily value of MSO2’s managed assets. The Manager may terminate this voluntary waiver at any time without notice. The fees waived under the voluntary management fee waiver are not subject to recoupment by the Manager.
The following information is a summary of certain changes since December 31, 2021. This information may not reflect all of the changes that have occurred since you purchased the relevant Trust.
Except if noted otherwise herein, there were no changes 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.
In accordance with Section 23(c) of the Investment Company Act of 1940, each Trust may from time to time purchase shares of its common stock in the open market or in private transactions.
Quarterly performance, semi-annual and annual reports, current net asset value and other information regarding the Trusts may be found on BlackRock’s website, which can be accessed at 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.
| 78 | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Additional Information (continued)
Electronic Delivery
Shareholders can sign up for e-mail notifications of quarterly statements, annual and semi-annual shareholder reports by enrolling in the electronic delivery program. Electronic copies of shareholder reports are available on BlackRock’s website.
To enroll in electronic delivery:
Shareholders Who Hold Accounts with Investment Advisers, Banks or Brokerages:
Please contact your financial adviser. Please note that not all investment advisers, banks or brokerages may offer this service.
Householding
The Trusts will mail only one copy of shareholder documents, annual and semi-annual reports, Rule 30e-3 notices 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 schedules of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to their reports on Form N-PORT. The Trusts’ Forms N-PORT are available on the SEC’s website at sec.gov. Additionally, each Trust makes its portfolio holdings for the first and third quarters of each fiscal year available at blackrock.com/fundreports.
Availability of Proxy Voting Policies, Procedures and Voting Records
A description of the policies and procedures that the Trusts use to determine how to vote proxies relating to portfolio securities and information about how the Trusts voted proxies relating to securities held in the Trusts’ portfolios during the most recent 12-month period ended June 30 is available without charge, upon request (1) by calling (800) 882-0052; (2) on the BlackRock website at blackrock.com; and (3) on the SEC’s website at 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 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.
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.
| A D D I T I O N A L I N F O R M A T I O N |
79 |
Additional Information (continued)
Trust and Service Providers
Investment Adviser
BlackRock Advisors, LLC
Wilmington, DE 19809
Sub-Adviser
BlackRock International Limited
Edinburgh, EH3 8BL
United Kingdom
BlackRock (Singapore) Limited
079912 Singapore
Accounting Agent and Custodian
State Street Bank and Trust Company
Boston, MA 02111
Transfer Agent
Computershare Trust Company, N.A.(a)
Canton, MA 02021
BNY Mellon Investment Servicing (US) Inc.(b)
Wilmington, DE 19809
(a) For MSO.
(b) For MSO2.
Independent Registered Public Accounting Firm
Deloitte & Touche LLP
Boston, MA 02116
Legal Counsel
Willkie Farr & Gallagher LLP
New York, NY 10019
Address of the Trusts
100 Bellevue Parkway
Wilmington, DE 19809
| 80 | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Glossary of Terms Used in this Report
| Currency Abbreviation | ||
| AUD | Australian Dollar | |
| CAD | Canadian Dollar | |
| EUR | Euro | |
| GBP | British Pound | |
| IDR | Indonesian Rupiah | |
| USD | United States Dollar | |
| ZAR | South African Rand | |
| Portfolio Abbreviation | ||
| 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 | |
| GO | General Obligation Bonds | |
| LIBOR | London Interbank Offered Rate | |
| MTN | Medium-Term Note | |
| PCL | Public Company Limited | |
| PIK | Payment-in-Kind | |
| RB | Revenue Bond | |
| SAB | Special Assessment Bonds | |
| SOFR | Secured Overnight Financing Rate | |
| G L O S S A R Y O F T E R M S U S E D I N T H I S R E P O R T |
81 |
Want to know more?
blackrock.com | 800-882-0052
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.
MSO-06/22-SAR
|
|
|
(b) Not Applicable
| Item 2 – | Code of Ethics – Not Applicable to this semi-annual report |
| Item 3 – | Audit Committee Financial Expert – Not Applicable to this semi-annual report |
| Item 4 – | Principal Accountant Fees and Services – Not Applicable to this semi-annual report |
| Item 5 – | Audit Committee of Listed Registrants – Not Applicable |
| Item 6 – | Investments |
(a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1(a) of this Form.
(b) Not Applicable due to no such divestments during the semi-annual period covered since the previous Form N-CSR filing.
| Item 7 – | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – Not Applicable to this semi-annual report |
| Item 8 – | Portfolio Managers of Closed-End Management Investment Companies |
(a) Not Applicable to this semi-annual report
(b) As of the date of this filing, there have been no changes in any of the portfolio managers identified in the most recent annual report on Form N-CSR.
| Item 9 – | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers — Not Applicable due to no applicable 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 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 period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
| Item 12 – | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies – Not Applicable to this semi-annual report |
| Item 13 – | Exhibits attached hereto |
(a)(1) Code of Ethics – Not Applicable to this semi-annual report
(a)(2) Section 302 Certifications are attached
(a)(3) Any written solicitation to purchase securities under Rule 23c-1 – Not Applicable
(a)(4) Change in Registrant’s independent public accountant – Not Applicable
(b) Section 906 Certifications are attached
| 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 Multi-Sector Opportunities Trust II | ||||
| By: | /s/ John M. Perlowski | |||
| John M. Perlowski | ||||
| Chief Executive Officer (principal executive officer) of BlackRock Multi-Sector Opportunities Trust II | ||||
| Date: August 19, 2022 | ||||
| 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 Multi-Sector Opportunities Trust II | ||||
| Date: August 19, 2022 | ||||
| By: | /s/ Trent Walker | |||
| Trent Walker | ||||
| Chief Financial Officer (principal financial officer) of BlackRock Multi-Sector Opportunities Trust II | ||||
| Date: August 19, 2022 | ||||