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: 811-23564
Name of Fund: BlackRock Capital Allocation Trust (BCAT)
Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809
Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Capital Allocation Trust,
55 East 52nd Street, New York, NY 10055
Registrant’s telephone number, including area code: (800) 882-0052, Option 4
Date of fiscal year end: 12/31/2022
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 Capital Allocation Trust (BCAT)
BlackRock ESG Capital Allocation Trust (ECAT)
Not FDIC Insured • May Lose Value • No Bank Guarantee
|
Supplemental Information (unaudited)
Section 19(a) Notices
BlackRock Capital Allocation Trust’s (BCAT) and BlackRock ESG Capital Allocation Trust’s (ECAT) (collectively, the “Trusts” or individually, a “Trust”) amounts and sources of distributions reported are estimates and are being provided to you pursuant to regulatory requirements and are not being provided for tax reporting purposes. The actual amounts and sources for tax reporting purposes will depend upon each Trust’s investment experience during the remainder of its fiscal year and may be subject to changes based on tax regulations. Each Trust will provide a Form 1099-DIV each calendar year that will tell you how to report these distributions for U.S. federal income tax purposes.
June 30, 2022
|
||||||||||||||||||||||||||||||||||||||||||||||
Total Cumulative Distributions for the Fiscal Period |
% Breakdown of the Total Cumulative Distributions for the Fiscal Period |
|||||||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|||||||||||||||||||||||||||||||||||||||||||
Trust Name |
|
Net Income |
|
|
Net Realized Capital Gains Short-Term |
|
|
Net Realized Capital Gains Long-Term |
|
|
Return of Capital |
(a) |
|
Total Per Common Share |
|
|
Net Income |
|
|
Net Realized Capital Gains Short-Term |
|
|
Net Realized Capital Gains Long-Term |
|
|
Return of Capital |
|
|
Total Per Common Share |
|
||||||||||||||||
|
||||||||||||||||||||||||||||||||||||||||||||||
BCAT |
$ | 0.278866 | $ — | $ — | $ | 0.345734 | $ | 0.624600 | 45 | % | — | % | — | % | 55 | % | 100% | |||||||||||||||||||||||||||||
|
ECAT |
0.082176 | — | — | 0.517824 | 0.600000 | 14 | — | — | 86 | 100 | |||||||||||||||||||||||||||||||||||
|
(a) | Each Trust estimates that it has distributed more than its net income and net realized capital gains; therefore, a portion of the distribution may be a return of capital. A return of capital may occur, for example, when some or all of the shareholder’s investment in a Trust is returned to the shareholder. A return of capital does not necessarily reflect a Trust’s investment performance and should not be confused with “yield” or “income.” When distributions exceed total return performance, the difference will reduce a Trust’s net asset value per share. |
Section 19(a) notices for the Trusts, as applicable, are available on the BlackRock website at blackrock.com.
Section 19(b) Disclosure
The Trusts, acting pursuant to a U.S. Securities and Exchange Commission (“SEC”) exemptive order and with the approval of each Trust’s Board of Trustees (the “Board”), each have adopted a managed distribution plan, consistent with its investment objectives and policies to support a level distribution of income, capital gains and/or return of capital (the “Plan”). In accordance with the Plans, the Trusts currently distribute the following fixed amounts per share on a monthly basis:
Exchange Symbol | Amount Per Common Share |
|||
BCAT |
$ | 0.1041 | ||
ECAT |
0.1000 |
The fixed amounts distributed per share are subject to change at the discretion of each Trust’s Board. Under its Plan, each Trust will distribute all available net income to its shareholders as required by the Internal Revenue Code of 1986, as amended (the “Code”). If sufficient income (inclusive of net income and short-term capital gains) is not earned on a monthly basis, the Trusts will distribute long-term capital gains and/or return of capital to shareholders in order to maintain a level distribution. Each monthly distribution to shareholders is expected to be at the fixed amount established by the Board; however, each Trust may make additional distributions from time to time, including additional capital gain distributions at the end of the taxable year, if required to meet requirements imposed by the Code and/or the Investment Company Act of 1940, as amended (the “1940 Act”).
Shareholders should not draw any conclusions about each Trust’s investment performance from the amount of these distributions or from the terms of the Plan. Each Trust’s total return performance is presented in its financial highlights table.
The Board may amend, suspend or terminate a Trust’s Plan at any time without prior notice to the Trust’s shareholders if it deems such actions to be in the best interests of the Trust or its shareholders. The suspension or termination of the Plan could have the effect of creating a trading discount (if the Trust’s stock is trading at or above net asset value) or widening an existing trading discount. The Trusts are subject to risks that could have an adverse impact on their ability to maintain level distributions. Examples of potential risks include, but are not limited to, economic downturns impacting the markets, changes in interest rates, decreased market volatility, companies suspending or decreasing corporate dividend distributions and changes in the Code.
2 | 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 |
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 |
(19.96)% | (10.62)% | ||
U.S. small cap equities |
(23.43) | (25.20) | ||
International equities |
(19.57) | (17.77) | ||
Emerging market equities (MSCI Emerging Markets Index) |
(17.63) | (25.28) | ||
3-month Treasury
bills |
0.15 | 0.18 | ||
U.S. Treasury securities |
(11.34) | (10.94) | ||
U.S. investment grade bonds (Bloomberg U.S. Aggregate Bond Index) |
(10.35) | (10.29) | ||
Tax-exempt municipal
bonds |
(8.98) | (8.57) | ||
U.S. high yield bonds |
(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.
|
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 |
3 |
Page | ||||
|
||||
2 | ||||
3 | ||||
Semi-Annual Report: |
||||
5 | ||||
6 | ||||
6 | ||||
7 | ||||
Financial Statements: |
||||
11 | ||||
67 | ||||
69 | ||||
70 | ||||
71 | ||||
73 | ||||
75 | ||||
Disclosure of Investment Advisory Agreement and Sub-Advisory Agreement |
88 | |||
91 | ||||
94 |
4 |
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 the Trusts’ investment adviser will be higher than if the Trusts did not use leverage.
Each Trust may utilize leverage through a credit facility or 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. In addition, a Trust may also be subject to certain asset coverage, leverage or portfolio composition requirements imposed by its credit facility, which may be more stringent than those imposed by 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.
T H E B E N E F I T S A N D R I S K S O F L E V E R A G I N G |
5 |
Option Over-Writing Strategy |
Overview
In general, the goal of each of the Trusts is to provide total return through a combination of current income and realized and unrealized gains (capital appreciation). The Trusts seek to pursue these goals primarily by investing in a portfolio of equity securities and also by employing a strategy of writing (selling) call and put options in an effort to generate current gains from option premiums and to enhance each Trust’s risk-adjusted return. Each Trust’s objectives cannot be achieved in all market conditions.
Each Trust primarily writes single stock covered call options and may also from time to time write single stock put options. When writing (selling) a covered call option, a Trust holds an underlying equity security and enters into an option transaction which allows the counterparty to purchase the equity security at an agreed-upon price (“strike price”) within an agreed-upon time period. The Trust receives cash premiums from the counterparties upon writing (selling) the option, which along with net investment income and net realized gains, if any, are generally available to support current or future distributions paid by the Trust. During the option term, the counterparty may elect to exercise the option if the market value of the equity security rises above the strike price, and the Trust is obligated to sell the equity security to the counterparty at the strike price, realizing a gain or loss. Premiums received increase gains or reduce losses realized on the sale of the equity security. If the option remains unexercised upon its expiration, the Trust realizes gains equal to the premiums received. Alternatively, an option may be closed out by an offsetting purchase or sale of an option prior to expiration. The Trust realizes a capital gain from a closing purchase or sale transaction if the premium paid is less than the premium received from writing the option. The Trust realizes a capital loss from a closing purchase or sale transaction if the premium received is less than the premium paid to purchase the option.
Writing covered call options entails certain risks, which include, but are not limited to, the following: an increase in the value of the underlying equity security above the strike price can result in the exercise of a written option (sale by a Trust to the counterparty) when the Trust might not otherwise have sold the security; exercise of the option by the counterparty may result in a sale below the current market value and a gain or loss being realized by the Trust; and limiting the potential appreciation that could be realized on the underlying equity security to the extent of the strike price of the option. The premium that a Trust receives from writing a covered call option may not be sufficient to offset the potential appreciation on the underlying equity security above the strike price of the option that could have otherwise been realized by the Trust. As such, an option over-writing strategy may outperform the general equity market in flat or falling markets but underperform in rising markets.
Option Over-Writing Strategy Illustration
To illustrate these concepts, assume the following: (1) a common stock purchased at and currently trading at $37.15 per share; (2) a three-month call option is written by a Trust with a strike price of $40 (i.e., 7.7% higher than the current market price); and (3) the Trust receives $2.45, or 6.6% of the common stock’s value, as a premium. If the stock price remains unchanged, the option expires and there would be a 6.6% return for the three-month period. If the stock were to decline in price by 6.6% (i.e., decline to $34.70 per share), the option strategy would “break-even” from an economic perspective resulting in neither a gain nor a loss. If the stock were to climb to a price of $40 or above, the option would be exercised and the stock would return 7.7% coupled with the option premium received of 6.6% for a total return of 14.3%. Under this scenario, the Trust loses the benefit of any appreciation of the stock above $40, and thus is limited to a 14.3% total return. The premium from writing the call option serves to offset some of the unrealized loss on the stock in the event that the price of the stock declines, but if the stock were to decline more than 6.6% under this scenario, the Trust’s downside protection is eliminated and the stock could eventually become worthless.
Each Trust intends to write covered call and other options to varying degrees depending upon market conditions. Please refer to each Trust’s Schedule of Investments and the Notes to Financial Statements for details of written options.
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.
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 Capital Allocation Trust (BCAT) |
Investment Objective
BlackRock Capital Allocation Trust’s (BCAT) (the “Trust”) investment objectives are to provide total return and income through a combination of current income, current gains and long-term capital appreciation. The Trust invests in a portfolio of equity and debt securities. Generally, the Trust’s portfolio will include both equity and debt securities. At any given time, however, the Trust may emphasize either debt securities or equity securities. The Trust utilizes an option writing (selling) strategy in an effort to generate current gains from options premiums and to enhance the Trust’s risk-adjusted returns.
No assurance can be given that the Trust’s investment objective will be achieved.
Trust Information
Symbol on New York Stock Exchange |
BCAT | |
Initial Offering Date |
September 28, 2020 | |
Current Distribution Rate on Closing Market Price as of June 30, 2022 ($14.65)(a) |
8.53% | |
Current Monthly Distribution per Common Share(b) |
$0.1041 | |
Current Annualized Distribution per Common Share(b) |
$1.2492 | |
Leverage as of June 30, 2022(c) |
5% |
(a) | Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate may consist of income, net realized gains and/or a return of capital. Past performance is not an indication of future results. |
(b) | The distribution rate is not constant and is subject to change. A portion of the distribution may be deemed a return of capital or net realized gain. |
(c) | Represents reverse repurchase agreements and bank borrowings 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. |
Market Price and Net Asset Value Per Share Summary
06/30/22 | 12/31/21 | Change | High | Low | ||||||||||||||||
Closing Market Price |
$ | 14.65 | $ | 19.45 | (24.68 | )% | $ | 19.53 | $ | 14.23 | ||||||||||
Net Asset Value |
17.27 | 20.90 | (17.37 | ) | 20.96 | 17.27 |
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)(c) |
(14.15 | )% | (15.15 | )% | (2.45 | )% | ||||||
Trust at Market Price(b)(c) |
(21.75 | ) | (28.26 | ) | (11.19 | ) | ||||||
MSCI ACWI(d) |
(20.18 | ) | (15.75 | ) | 4.90 | |||||||
Bloomberg U.S. Aggregate Bond Index(e) |
(10.35 | ) | (10.29 | ) | (6.53 | ) |
(a) | BCAT commenced operations on September 28, 2020. |
(b) | All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices. Performance results reflect the Trust’s use of leverage. |
(c) | The Trust’s discount to NAV widened during the period, which accounts for the difference between performance based on market price and performance based on NAV. |
(d) | An index that captures large- and mid-cap representation across certain developed and emerging markets. |
(e) | A broad-based flagship benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market. |
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.
The following discussion relates to the Trust’s absolute performance based on NAV:
What factors influenced performance?
Due to the nature of the Trust’s mandate, performance is reviewed on an absolute return basis. The Trust has an unconstrained approach (i.e., flexibility to invest across all equity and fixed- income asset classes, spanning public and private markets). As such, the Trust is not managed specifically to a benchmark. The index returns listed above are for reference purposes only. Performance information below is expressed on a contribution to return basis.
Holdings in index-related equity futures (mainly as a risk-management strategy during periods of heightened market volatility) contributed to performance, as did positioning in the energy sector. Positioning in interest-rate derivatives had a positive impact on results in fixed income.
T R U S T S U M M A R Y |
7 |
Trust Summary as of June 30, 2022 (continued) | BlackRock Capital Allocation Trust (BCAT) |
The Trust’s holdings in equities, particularly in the information technology, consumer discretionary and industrials sectors, detracted from performance. Positions in credit-sensitive investments were the primary detractors in bonds.
The Trust used derivatives, which may include options, futures, swaps and forward contracts, in an effort to enhance returns and manage the risk of adverse market movements. In the aggregate, the Trust’s use of derivatives contributed to performance. The Trust used an options overlay strategy in which calls were written on a portion of the portfolio’s holdings. The Trust’s options overlay strategy contributed to performance.
Describe recent portfolio activity.
The Trust’s allocation to equities decreased, with the largest reductions occurring in information technology, consumer discretionary, healthcare, financials, and industrials. The total allocation to fixed income also declined, with the largest reductions in high yield bonds and emerging market sovereign bonds. The Trust’s holdings in cash increased as result of these changes.
The use of leverage, primarily deployed within fixed income, decreased. The Trust uses leverage to seek to enhance both the income and total return of the portfolio.
Describe portfolio positioning at period end.
The Trust had a 40% weighting in equities. It had allocations to all sectors, with the largest absolute weightings in information technology, consumer discretionary, health care and financials. Within equities, the Trust used options as an additional source of income. As of June 30, 2022, the Trust had sold options on approximately 17% of the equity portion of the portfolio.
The Trust finished the period with a weighting of 54% in fixed income, comprised predominately of high yield bonds, securitized assets and to a lesser extent, investment-grade corporate bonds and emerging market sovereign bonds. The investment adviser sought to hold securities with attractive yields relative to the associated interest-rate risk.
The Trust held approximately 10.8% of its total assets in 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
TEN LARGEST HOLDINGS |
| |||
Security(a) | Percent of Total Investments |
|||
Microsoft Corp. |
1.4 | % | ||
Humana, Inc. |
0.9 | |||
Amazon.com, Inc. |
0.8 | |||
Enbridge, Inc. |
0.8 | |||
UnitedHealth Group, Inc. |
0.8 | |||
EQT Corp. |
0.8 | |||
Galaxy Universal LLC |
0.7 | |||
Sempra Energy |
0.7 | |||
Abbott Laboratories |
0.7 | |||
Western Alliance Bank |
0.7 |
GEOGRAPHIC ALLOCATION |
| |||
Country/Geographic Region(a) | 06/30/22 | |||
United States |
68.8 | % | ||
Cayman Islands |
6.1 | |||
United Kingdom |
2.9 | |||
Germany |
2.6 | |||
Netherlands |
2.1 | |||
Canada |
1.5 | |||
France |
1.5 | |||
Luxembourg |
1.0 | |||
Other# |
13.5 |
(a) | Excludes short-term securities. |
# | Includes holdings within countries/geographic regions that are less than 1.0% of total investments. Please refer to the Consolidated Schedule of Investments for such countries/geographic regions. |
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 |
Trust Summary as of June 30, 2022 | BlackRock ESG Capital Allocation Trust (ECAT) |
Investment Objective
BlackRock ESG Capital Allocation Trust’s (the “Trust”) investment objectives are to provide total return and income through a combination of current income, current gains and long-term capital appreciation. The Trust will invest in a portfolio of equity and debt securities. Generally, the Trust’s portfolio will include both equity and debt securities. At any given time, however, the Trust may emphasize either debt securities or equity securities. In addition, the Trust may invest without limit in “junk bonds,” corporate loans and distressed securities. The Trust will invest at least 80% of its total assets in securities that, in the investment adviser’s assessment, meet certain environmental, social and governance (“ESG”) criteria. The Trust utilizes an option writing (selling) strategy in an effort to generate current gains from options premiums and to enhance the Trust’s risk-adjusted returns.
No assurance can be given that the Trust’s investment objective will be achieved.
Trust Information
Symbol on New York Stock Exchange |
ECAT | |
Initial Offering Date |
September 27, 2021 | |
Current Distribution Rate on Closing Market Price as of June 30, 2022 ($14.31)(a) |
8.39% | |
Current Monthly Distribution per Common Share(b) |
$0.1000 | |
Current Annualized Distribution per Common Share(b) |
$1.2000 |
(a) | Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate may consist of income, net realized gains and/or a return of capital. Past performance is not an indication of future results. |
(b) | The distribution rate is not constant and is subject to change. A portion of the distribution may be deemed a return of capital or net realized gain. |
Market Price and Net Asset Value Per Share Summary
06/30/22 | 12/31/21 | Change | High | Low | ||||||||||||||||
Closing Market Price |
$ | 14.31 | $ | 18.65 | (23.27 | )% | $ | 18.94 | $ | 13.52 | ||||||||||
Net Asset Value |
16.92 | 20.69 | (18.22 | ) | 20.69 | 16.67 |
Performance
Returns for the period ended June 30, 2022 were as follows:
Total Returns | ||||||||
|
| |||||||
6-month | |
Since Inception |
(a) | |||||
Trust at NAV(b)(c) |
(15.02 | )% | (11.62 | )% | ||||
Trust at Market Price(b)(c) |
(20.27 | ) | (25.26 | ) | ||||
MSCI ACWI(d) |
(20.18 | ) | (17.07 | ) | ||||
Bloomberg U.S. Aggregate Bond Index(e) |
(10.35 | ) | (10.58 | ) |
(a) | ECAT commenced operations on September 27, 2021. |
(b) | All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices. |
(c) | The Trust’s discount to NAV widened during the period, which accounts for the difference between performance based on market price and performance based on NAV. |
(d) | An index that captures large- and mid-cap representation across certain developed and emerging markets. |
(e) | A broad-based flagship benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market. |
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.
The following discussion relates to the Trust’s absolute performance based on NAV:
What factors influenced performance?
Due to the nature of the Trust’s mandate, performance is reviewed on an absolute return basis. The Trust has an unconstrained approach (i.e., flexibility to invest across all equity and fixed-income asset classes, spanning public and private markets) with ESG considerations. As such, the Trust is not managed specifically to a benchmark. The index returns listed above are for reference purposes only. Performance information below is expressed on a contribution to return basis.
Positioning in interest-rate derivatives in fixed income contributed positively to performance. The Trust’s holdings in equities, particularly in the information technology, health care, industrials and consumer discretionary sectors, detracted from performance. Positions in credit-sensitive investments were the primary detractors in bonds.
T R U S T S U M M A R Y |
9 |
Trust Summary as of June 30, 2022 (continued) | BlackRock ESG Capital Allocation Trust (ECAT) |
The Trust used derivatives, which may include options, futures, swaps and forward contracts, in an effort to enhance returns and manage the risk of adverse market movements. In the aggregate, the Trust’s use of derivatives modestly contributed to performance. The Trust used an options overlay strategy in which calls were written on a portion of the portfolio’s holdings. The Trust’s options overlay strategy contributed to performance.
Given the current environment, the Trust sought to maintain an elevated exposure to cash equivalents as the team remains patient in deploying capital amid heightened market volatility. The Trust’s cash position did not have a material impact on performance.
Describe recent portfolio activity.
The Trust continued its initial ramp-up following its launch in September 2021, with about 83% of net assets invested across equity and fixed-income markets. The Trust’s allocation to equities fell slightly, mainly due to market movements, with the largest decreases in information technology, financials and utilities. This was partially offset by additions in health care and materials. The Trust’s fixed-income weighting increased, with the largest additions in investment-grade and high yield corporate bonds.
Describe portfolio positioning at period end.
The Trust had a 54% weighting in equities. It had allocations to all sectors, with the largest absolute weightings in information technology, health care, consumer discretionary and financials. Within equities, the Trust used options as an additional source of income. As of June 30, 2022, the Trust had sold options on approximately 12% of the equity portfolio.
The Trust finished the period with a weighting of 29% in fixed income, comprised predominately of investment-grade corporate bonds, high yield bonds and securitized assets. The investment adviser sought to hold securities with attractive yields relative to the associated interest-rate risk.
The Trust held approximately 3.5% of its total assets in 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
TEN LARGEST HOLDINGS |
| |||
Security(a) | Percent of Total Investments |
|||
Marsh & McLennan Cos., Inc. |
3.5 | % | ||
NextEra Energy, Inc. |
3.5 | |||
Thermo Fisher Scientific, Inc. |
3.5 | |||
American Tower Corp. |
3.1 | |||
Microsoft Corp. |
3.0 | |||
Invesco QQQ Trust |
2.9 | |||
Boston Scientific Corp. |
2.7 | |||
Alphabet, Inc. |
2.5 | |||
Salesforce, Inc. |
2.2 | |||
ServiceNow, Inc. |
2.1 |
GEOGRAPHIC ALLOCATION |
| |||
Country/Geographic Region(a) | 06/30/22 | |||
United States |
81.3 | % | ||
France |
4.0 | |||
Germany |
2.5 | |||
Cayman Islands |
2.1 | |||
United Kingdom |
1.8 | |||
Netherlands |
1.6 | |||
Finland |
1.3 | |||
South Korea |
1.1 | |||
Taiwan |
1.0 | |||
Other# |
3.3 |
(a) | Excludes short-term securities. |
# | Includes holdings within countries/geographic regions that are less than 1.0% of total investments. Please refer to the Schedule of Investments for such countries/geographic regions. |
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 |
Consolidated Schedule of Investments (unaudited) June 30, 2022 |
BlackRock Capital Allocation Trust (BCAT) (Percentages shown are based on Net Assets) |
Security | Par (000) |
Value | ||||||||||
Asset-Backed Securities |
||||||||||||
Canada — 0.1% | ||||||||||||
Fairstone Financial Issuance Trust I, Series 2020-1A, Class D, 6.87%, 10/20/39(a) |
CAD | 1,270 | $ | 977,625 | ||||||||
|
|
|||||||||||
Cayman Islands(a)(b) — 5.4% | ||||||||||||
522 Funding CLO Ltd., Series 2019-4A, Class DR, (3 mo. LIBOR US + 3.65%), 4.71%, 04/20/30 |
USD | 1,950 | 1,872,317 | |||||||||
AGL CLO 3 Ltd., Series 2020-3A, Class D, |
550 | 481,439 | ||||||||||
AGL CLO 5 Ltd., Series 2020-5A, Class ER, |
3,000 | 2,671,054 | ||||||||||
AGL CLO 7 Ltd. |
||||||||||||
Series 2020-7A, Class DR, (3 mo. LIBOR US + 3.10%), 4.14%, 07/15/34 |
250 | 230,903 | ||||||||||
Series 2020-9A, Class D, (3 mo. LIBOR US + 6.35%), 7.39%, 07/15/34 |
250 | 220,486 | ||||||||||
AGL CLO 9 Ltd., Series 2020-9A, Class D, |
850 | 804,224 | ||||||||||
AIG CLO LLC, Series 2020-1A, Class ER, |
500 | 445,616 | ||||||||||
AIMCO CLO, 2017-AA, Class DR, |
250 | 231,769 | ||||||||||
ALM Ltd., Series 2020-1A, Class D, |
950 | 836,228 | ||||||||||
Apidos CLO XXII, 2015-22A, Class CR, |
250 | 231,597 | ||||||||||
Apidos CLO XXXII, Series 2019-32A, Class D, |
250 | 236,517 | ||||||||||
Apidos CLO XXXV, Series 2021-35A, Class E, (3 mo. LIBOR US + 5.75%), 6.81%, 04/20/34 |
375 | 349,461 | ||||||||||
Apidos CLO XXXVII, Series 2021-37A, Class E, (3 mo. LIBOR US
+ 6.30%), |
750 | 675,941 | ||||||||||
Apres Static CLO Ltd., Series 2019-1A, Class CR, (3 mo. LIBOR US
+ 4.25%), |
3,000 | 2,974,458 | ||||||||||
Ares LIX CLO Ltd., Series 2021-59A, Class E, |
700 | 624,006 | ||||||||||
Ares Loan Funding I Ltd. |
||||||||||||
Series 2021-ALFA, Class E, (3 mo. LIBOR US + 6.70%), 7.74%, 10/15/34 |
1,250 | 1,137,330 | ||||||||||
Series 2021-ALFA, Class SUB, |
2,150 | 1,624,440 | ||||||||||
Ares LV CLO Ltd., Series 2020-55A, Class DR, (3 mo. LIBOR US + 3.15%), 4.19%, 07/15/34 |
1,500 | 1,384,651 | ||||||||||
Ares LVI CLO Ltd., Series 2020-56A, Class ER, (3 mo. LIBOR US + 6.50%), 7.68%, 10/25/34 |
625 | 571,357 | ||||||||||
Balboa Bay Loan Funding Ltd., Series 2021-1A, Class E, (3 mo. LIBOR US + 6.16%), 7.22%, 07/20/34 |
250 | 217,689 | ||||||||||
Ballyrock CLO Ltd. |
||||||||||||
Series 2016-1A, Class DR2, (3 mo. LIBOR US + 3.15%), 4.19%, 10/15/28 |
500 | 489,996 | ||||||||||
Series 2019-1A, Class CR, (3 mo. LIBOR US + 3.05%), 4.09%, 07/15/32 |
2,700 | 2,530,593 | ||||||||||
Bardot CLO Ltd., Series 2019-2A, Class DR, |
250 | 233,045 | ||||||||||
Battalion CLO IX Ltd., Series 2015-9A, Class DR, (3 mo. LIBOR US + 3.25%), 4.29%, 07/15/31 |
250 | 229,540 |
Security | Par (000) |
Value | ||||||||||
Cayman Islands (continued) | ||||||||||||
Benefit Street Partners CLO XX Ltd., Series 2020-20A, Class ER, (3 mo. LIBOR US + 6.75%), 7.79%, 07/15/34 |
USD | 250 | $ | 234,813 | ||||||||
Birch Grove CLO 2 Ltd. |
||||||||||||
Series 2021-2A, Class D1, (3 mo. LIBOR US + 3.30%), 4.34%, 10/19/34 |
750 | 714,436 | ||||||||||
Series 2021-2A, Class E, (3 mo. LIBOR US + 6.95%), 7.99%, 10/19/34 |
500 | 455,188 | ||||||||||
Birch Grove CLO Ltd., Series 19A, Class DR, |
1,500 | 1,416,371 | ||||||||||
BlueMountain CLO Ltd., Series 2016-2A, Class C1R2, (3 mo. LIBOR US + 3.10%), 4.58%, 08/20/32 |
1,000 | 918,953 | ||||||||||
Canyon CLO Ltd., Series 2020-3A, Class E, |
250 | 231,110 | ||||||||||
CarVal CLO II Ltd., Series 2019-1A, Class DR, |
1,425 | 1,264,689 | ||||||||||
CarVal CLO VC Ltd., Series 2021-2A, Class E, |
500 | 456,443 | ||||||||||
CIFC Funding Ltd. |
||||||||||||
Series 2014-2RA, Class B1, (3 mo. LIBOR US + 2.80%), 3.98%, 04/24/30 |
1,000 | 941,309 | ||||||||||
Series 2019-3A, Class CR, (3 mo. LIBOR US + 3.05%), 4.09%, 10/16/34 |
1,000 | 932,337 | ||||||||||
Crown City CLO I, Series 2020-1A, Class DR, |
625 | 546,447 | ||||||||||
Crown City CLO III |
||||||||||||
Series 2021-1A, Class C, (3 mo. LIBOR US + 3.30%), 4.36%, 07/20/34 |
1,250 | 1,131,441 | ||||||||||
Series 2021-1A, Class D, (3 mo. LIBOR US + 6.75%), 7.81%, 07/20/34 |
500 | 444,526 | ||||||||||
Crown Point CLO 9 Ltd., Series 2020-9A, Class DR, (3 mo. LIBOR
US + 3.75%), |
500 | 470,388 | ||||||||||
Diameter Capital CLO 2 Ltd., Series 2021-2A, Class D, (3 mo. LIBOR US + 6.06%), 7.10%, 10/15/36 |
250 | 235,198 | ||||||||||
Eaton Vance CLO Ltd., Series 2019-1A, Class ER, (3 mo. LIBOR US
+ 6.50%), |
500 | 459,492 | ||||||||||
Elevation CLO Ltd., Series 2021-12A, Class E, |
500 | 445,622 | ||||||||||
Elmwood CLO I Ltd. |
||||||||||||
Series 2019-1A, Class DR, (3 mo. LIBOR US + 4.40%), 5.46%, 10/20/33 |
5,750 | 5,267,717 | ||||||||||
Series 2019-1A, Class ER, (3 mo. LIBOR US + 7.71%), 8.77%, 10/20/33 |
2,375 | 2,276,388 | ||||||||||
Elmwood CLO II Ltd. |
||||||||||||
Series 2019-2A, Class ER, (3 mo. LIBOR US + 6.80%), 7.86%, 04/20/34 |
3,000 | 2,829,751 | ||||||||||
Series 2019-2A, Class SUB, 0.00%, 04/20/34 |
1,000 | 718,777 | ||||||||||
Elmwood CLO V Ltd., Series 2020-2A, Class ER, |
250 | 226,695 | ||||||||||
Elmwood CLO VIII Ltd., Series 2021-1A, Class E1, (3 mo. LIBOR US
+ 6.00%), |
500 | 448,825 | ||||||||||
Elmwood CLO X Ltd., Series 2021-3A, Class E, |
1,000 | 875,680 | ||||||||||
Flatiron CLO 19 Ltd., Series 2019-1A, Class DR, |
700 | 648,824 | ||||||||||
GoldenTree Loan Management U.S. CLO 1 Ltd., Series 2021-9A, Class E, (3 mo. LIBOR US + 4.75%), 5.81%, 01/20/33 |
1,000 | 813,560 |
S C H E D U L E O F I N V E S T M E N T S |
11 |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Capital Allocation Trust (BCAT) (Percentages shown are based on Net Assets) |
Security | Par (000) |
Value | ||||||||||
Cayman Islands (continued) | ||||||||||||
GoldenTree Loan Opportunities X Ltd., Series 2015-10A, Class DR, (3 mo. LIBOR US + 3.05%), 4.11%, 07/20/31 |
USD | 750 | $ | 695,440 | ||||||||
Golub Capital Partners CLO 53B Ltd., Series 2021-53A, Class E, (3 mo. LIBOR US + 6.70%), 7.76%, 07/20/34 |
250 | 213,257 | ||||||||||
Golub Capital Partners CLO 55B Ltd., Series 2021-55A, Class E, (3 mo. LIBOR US + 6.56%), 7.62%, 07/20/34 |
1,000 | 928,153 | ||||||||||
Gulf Stream Meridian 1 Ltd., Series 2020-IA, Class E, (3 mo. LIBOR US + 6.45%), 7.49%, 04/15/33 |
2,625 | 2,431,564 | ||||||||||
Gulf Stream Meridian 6 Ltd., Series 2021-6A, Class D, (3 mo. LIBOR US + 6.36%), 7.40%, 01/15/37 |
250 | 219,655 | ||||||||||
Gulf Stream Meridian 7 Ltd., Series 2022-7A, Class D, (SOFR + 6.85%), 7.15%, 07/15/35 |
750 | 705,014 | ||||||||||
Madison Park Funding LVII Ltd., Series 2018-1A, Class D, (3 mo. LIBOR US + 3.10%), 4.14%, 10/15/31 |
250 | 230,173 | ||||||||||
Madison Park Funding XLIX Ltd., Series 2021-49A, Class E, (3 mo. LIBOR US + 6.25%), 7.29%, 10/19/34 |
250 | 224,067 | ||||||||||
Madison Park Funding XXIX Ltd., Series 2018-29A, Class E, (3 mo. LIBOR US + 5.70%), 6.74%, 10/18/30 |
500 | 439,133 | ||||||||||
Niagara Park CLO Ltd., Series 2019-1A, Class ER, (3 mo. LIBOR US + 5.95%), 6.99%, 07/17/32 |
1,000 | 877,197 | ||||||||||
Northwoods Capital 20 Ltd., Series 2019-20A, Class ER, (3 mo. LIBOR US + 7.85%), 9.03%, 01/25/32 |
1,250 | 1,222,878 | ||||||||||
OCP CLO Ltd. |
||||||||||||
Series 2019-16A, Class ER, (3 mo. LIBOR US + 6.35%), 7.34%, 04/10/33 |
400 | 347,143 | ||||||||||
Series 2020-18A, Class DR, (3 mo. LIBOR US + 3.20%), 4.26%, 07/20/32 |
500 | 461,511 | ||||||||||
Series 2020-20A, Class D1, (3 mo. LIBOR US + 3.95%), 4.94%, 10/09/33 |
3,500 | 3,444,441 | ||||||||||
Series 2020-20A, Class E, (3 mo. LIBOR US + 7.66%), 8.65%, 10/09/33 |
2,250 | 2,092,730 | ||||||||||
Octagon 54 Ltd., Series 2021-1A, Class D, (3 mo. LIBOR US + 3.05%), 4.09%, 07/15/34 |
250 | 233,054 | ||||||||||
OSD CLO Ltd., Series 2021-23A, Class E, (3 mo. LIBOR US + 6.00%), 7.04%, 04/17/31 |
250 | 221,528 | ||||||||||
Palmer Square CLO Ltd. |
||||||||||||
Series 2018-2A, Class D, (3 mo. LIBOR US + 5.60%), 6.66%, 07/16/31 |
250 | 219,221 | ||||||||||
Series 2021-2A, Class E, (3 mo. LIBOR US + 6.35%), 7.39%, 07/15/34 |
250 | 232,436 | ||||||||||
Palmer Square Loan Funding Ltd. |
||||||||||||
Series 2019-3A, Class C, (3 mo. LIBOR US + 3.40%), 4.88%, 08/20/27 |
1,900 | 1,875,498 | ||||||||||
Series 2019-3A, Class D, (3 mo. LIBOR US + 5.35%), 6.83%, 08/20/27 |
750 | 740,899 | ||||||||||
Series 2019-4A, Class D, (3 mo. LIBOR US + 5.90%), 7.08%, 10/24/27 |
600 | 596,193 | ||||||||||
Series 2020-1A, Class D, (3 mo. LIBOR US + 4.85%), 6.33%, 02/20/28 |
250 | 243,014 | ||||||||||
Series 2020-4A, Class C, (3 mo. LIBOR US + 3.60%), 5.12%, 11/25/28 |
1,000 | 978,194 |
Security | Par (000) |
Value | ||||||||||
Cayman Islands (continued) | ||||||||||||
Series 2021-1A, Class D, (3 mo. LIBOR US + 6.00%), 7.06%, 04/20/29 |
USD | 1,250 | $ | 1,193,546 | ||||||||
Series 2021-3A, Class C, (3 mo. LIBOR US + 2.50%), 3.56%, 07/20/29 |
250 | 232,437 | ||||||||||
Series 2021-3A, Class D, (3 mo. LIBOR US + 5.00%), 6.06%, 07/20/29 |
250 | 218,501 | ||||||||||
Series 2021-4A, Class D, (3 mo. LIBOR US + 5.00%), 6.04%, 10/15/29 |
750 | 643,277 | ||||||||||
Series 2021-4A, Class E, (3 mo. LIBOR US + 7.51%), 8.55%, 10/15/29 |
500 | 467,274 | ||||||||||
Park Avenue Institutional Advisers CLO Ltd. |
||||||||||||
Series 2021-1A, Class D, (3 mo. LIBOR US + 7.30%), 8.36%, 01/20/34 |
600 | 544,909 | ||||||||||
Series 2021-2A, Class D, (3 mo. LIBOR US + 3.40%), 4.44%, 07/15/34 |
1,000 | 947,249 | ||||||||||
Series 2021-2A, Class E, (3 mo. LIBOR US + 7.01%), 8.05%, 07/15/34 |
600 | 535,110 | ||||||||||
Pikes Peak CLO 4, Series 2019-4A, Class DR, (3 mo. LIBOR US + 3.25%), 4.29%, 07/15/34 |
1,000 | 933,057 | ||||||||||
Pikes Peak CLO 6, Series 2020-6A, Class ER2, (3 mo. LIBOR US + 6.43%), 7.89%, 05/18/34 |
500 | 453,515 | ||||||||||
Post CLO Ltd. |
||||||||||||
Series 2018-1A, Class D, (3 mo. LIBOR US + 2.95%), 3.99%, 04/16/31 |
500 | 472,672 | ||||||||||
Series 2021-1A, Class E, (3 mo. LIBOR US + 6.45%), 7.49%, 10/15/34 |
750 | 703,782 | ||||||||||
Rad CLO 3 Ltd., Series 2019-3A, Class DR, (3 mo. LIBOR US + 2.75%), 3.79%, 04/15/32 |
250 | 232,683 | ||||||||||
Rad CLO 9 Ltd., Series 2020-9A, Class E, (3 mo. LIBOR US + 7.59%), 8.63%, 01/15/34 |
5,000 | 4,715,883 | ||||||||||
Regatta XVII Funding Ltd. |
||||||||||||
Series 2020-1A, Class D, (3 mo. LIBOR US + 4.15%), 5.19%, 10/15/33 |
750 | 728,893 | ||||||||||
Series 2020-1A, Class E, (3 mo. LIBOR US + 7.61%), 8.65%, 10/15/33 |
250 | 236,082 | ||||||||||
Regatta XX Funding Ltd., Series 2021-2A, Class D, (3 mo. LIBOR US + 3.10%), 4.14%, 10/15/34 |
1,500 | 1,397,979 | ||||||||||
Regatta XXIV Funding Ltd., Series 2021-5A, Class E, (3 mo. LIBOR US + 6.80%), 7.86%, 01/20/35 |
500 | 456,995 | ||||||||||
Romark CLO IV Ltd., Series 2021-4A, Class D, (3 mo. LIBOR US + 6.95%), 7.94%, 07/10/34 |
750 | 687,983 | ||||||||||
RR 19 Ltd., Series 2021-19A, Class D, (3 mo. LIBOR US + 6.50%), 7.54%, 10/15/35 |
250 | 230,555 | ||||||||||
Sixth Street CLO XIX Ltd., Series 2021-19A, Class E, (3 mo. LIBOR US + 5.90%), 6.96%, 07/20/34 |
3,750 | 3,310,627 | ||||||||||
Sixth Street CLO XVI Ltd., Series 2020-16A, Class E, (3 mo. LIBOR US + 7.32%), 8.38%, 10/20/32 |
1,480 | 1,421,603 | ||||||||||
Sound Point CLO XXVI Ltd., Series 2020-1A, Class DR, (3 mo. LIBOR US + 3.35%), 4.41%, 07/20/34 |
250 | 234,913 | ||||||||||
Stratus CLO Ltd. |
||||||||||||
Series 2021-1A, Class E, (3 mo. LIBOR US + 5.00%), 5.09%, 12/29/29 |
1,500 | 1,272,191 | ||||||||||
Series 2021-1A, Class SUB, 0.00%, 12/29/29 |
1,000 | 395,200 | ||||||||||
Series 2021-2A, Class E, (3 mo. LIBOR US + 5.75%), 5.84%, 12/28/29 |
1,000 | 882,019 | ||||||||||
Series 2021-3A, Class E, (3 mo. LIBOR US + 5.75%), 5.97%, 12/29/29 |
500 | 439,516 |
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 |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Capital Allocation Trust (BCAT) (Percentages shown are based on Net Assets) |
Security | Par (000) |
Value | ||||||||||
Cayman Islands (continued) | ||||||||||||
Symphony CLO XXI Ltd., Series 2019-21A, Class DR, (3 mo. LIBOR US + 3.30%), 4.34%, 07/15/32 |
USD | 500 | $ | 462,691 | ||||||||
Symphony CLO XXIII Ltd., Series 2020-23A, Class ER, (3 mo. LIBOR US + 6.15%), 7.19%, 01/15/34 |
500 | 454,832 | ||||||||||
TICP CLO II-2 Ltd., Series 2018-IIA, Class C, (3 mo. LIBOR US + 2.95%), 4.01%, 04/20/28 |
250 | 242,686 | ||||||||||
TICP CLO IX Ltd., Series 2017-9A, Class D, (3 mo. LIBOR US + 2.90%), 3.96%, 01/20/31 |
500 | 471,569 | ||||||||||
TICP CLO VII Ltd., Series 2017-7A, Class ER, (3 mo. LIBOR US + 7.05%), 8.09%, 04/15/33 |
250 | 223,193 | ||||||||||
TICP CLO XI Ltd. |
||||||||||||
Series 2018-11A, Class D, (3 mo. LIBOR US + 3.05%), 4.11%, 10/20/31 |
250 | 233,668 | ||||||||||
Series 2018-11A, Class E, (3 mo. LIBOR US + 6.00%), 7.06%, 10/20/31 |
500 | 446,864 | ||||||||||
TICP CLO XV Ltd., Series 2020-15A, Class E, (3 mo. LIBOR US + 6.15%), 7.21%, 04/20/33 |
500 | 448,684 | ||||||||||
Trestles CLO Ltd., Series 2017-1A, Class CR, (3 mo. LIBOR US + 2.90%), 4.08%, 04/25/32 |
500 | 467,964 | ||||||||||
Trimaran Cavu Ltd., Series 2019-1A, Class D, (3 mo. LIBOR US + 4.15%), 5.21%, 07/20/32 |
1,750 | 1,716,942 | ||||||||||
Trinitas CLO XVI Ltd., Series 2021-16A, Class E, (3 mo. LIBOR US + 7.00%), 8.06%, 07/20/34 |
1,500 | 1,312,229 | ||||||||||
Voya CLO Ltd., Series 2019-2A, Class E, (3 mo. LIBOR US + 6.60%), 7.66%, 07/20/32 |
250 | 220,440 | ||||||||||
Whitebox CLO I Ltd. |
||||||||||||
Series 2019-1A, Class CR, (3 mo. LIBOR US + 3.05%), 4.23%, 07/24/32 |
250 | 224,055 | ||||||||||
Series 2019-1A, Class DR, (3 mo. LIBOR US + 6.40%), 7.58%, 07/24/32 |
1,300 | 1,191,250 | ||||||||||
Series 2019-1A, Class SUB, 0.00%, 07/24/32 |
1,000 | 596,700 | ||||||||||
Whitebox CLO II Ltd., Series 2020-2A, Class DR, (3 mo. LIBOR US + 3.35%), 4.53%, 10/24/34 |
2,750 | 2,590,039 | ||||||||||
Whitebox CLO III Ltd. |
||||||||||||
Series 2021-3A, Class D, (3 mo. LIBOR US + 3.35%), 4.39%, 10/15/34 |
500 | 471,011 | ||||||||||
Series 2021-3A, Class E, (3 mo. LIBOR US + 6.85%), 7.89%, 10/15/34 |
500 | 465,004 | ||||||||||
|
|
|||||||||||
102,810,302 | ||||||||||||
Ireland(a)(b) — 0.8% | ||||||||||||
Anchorage Capital Europe CLO DAC, Series 4A, Class D, (3 mo. EURIBOR + 3.20%), |
EUR | 868 | 821,935 | |||||||||
Avoca CLO XXII DAC |
||||||||||||
Series 22A, Class D, (3 mo. EURIBOR + 2.90%), 2.90%, 04/15/35 |
1,500 | 1,390,864 | ||||||||||
Series 22A, Class E, (3 mo. EURIBOR + 5.23%), 5.23%, 04/15/35 |
1,500 | 1,245,249 | ||||||||||
BlueMountain EUR CLO DAC, Series 2021-1A, Class E, (3 mo. EURIBOR + 5.41%), 5.41%, 04/15/34 |
3,000 | 2,485,365 | ||||||||||
CIFC European Funding CLO III DAC, Series 3A, Class D, (3 mo. EURIBOR + 3.60%), 3.60%, 01/15/34 |
700 | 655,838 | ||||||||||
CVC Cordatus Loan Fund XIX DAC, Series 19A, Class D, (3 mo. EURIBOR + 3.80%), 3.80%, 12/23/33 |
2,300 | 2,227,720 |
Security | Par (000) |
Value | ||||||||||
Ireland (continued) | ||||||||||||
CVC Cordatus Loan Fund XVIII DAC, Series 18A, Class ER, (3 mo. EURIBOR + 6.06%), 6.06%, 07/29/34 |
EUR | 1,000 | $ | 840,033 | ||||||||
Dartry Park CLO DAC, Series 1A, Class CRR, (3 mo. EURIBOR + 3.35%), 3.35%, 01/28/34 |
1,000 | 940,673 | ||||||||||
Henley CLO IV DAC, Series 4A, Class D, (3 mo. EURIBOR + 3.00%), 3.00%, 04/25/34(c) |
1,000 | 983,061 | ||||||||||
Invesco Euro CLO V DAC, (3 mo. EURIBOR + 3.80%), 3.80%, 01/15/34 |
3,150 | 3,068,868 | ||||||||||
Prodigy Finance DAC |
||||||||||||
Series 2021-1A, Class C, (1 mo. LIBOR US + 3.75%), 5.37%, 07/25/51 |
USD | 340 | 335,587 | |||||||||
Series 2021-1A, Class D, (1 mo. LIBOR US + 5.90%), 7.52%, 07/25/51 |
340 | 335,047 | ||||||||||
|
|
|||||||||||
15,330,240 | ||||||||||||
Netherlands(b) — 0.3% | ||||||||||||
Alme Loan Funding V DAC, (3 mo. EURIBOR + 5.41%), 5.41%, 07/15/31(a) |
EUR | 2,250 | 1,988,031 | |||||||||
Ares European CLO VII DAC, Series 7X, Class DR, (3 mo. EURIBOR + 5.26%), 5.26%, 10/15/30(d) |
500 | 446,230 | ||||||||||
Ares European CLO VIII DAC, Series 8X, Class DR, (3 mo. EURIBOR + 3.80%), 3.80%, 04/17/32(d) |
1,905 | 1,857,860 | ||||||||||
Ares European CLO XII DAC, Series 12X, Class E, (3 mo. EURIBOR + 6.10%), 6.10%, 04/20/32(d) |
675 | 595,688 | ||||||||||
|
|
|||||||||||
4,887,809 | ||||||||||||
United Kingdom — 0.0% | ||||||||||||
Ares European CLO XII DAC, Series 12A, Class DR, (3 mo. EURIBOR + 3.00%), 3.00%, 04/20/32(a)(b) |
875 | 829,807 | ||||||||||
|
|
|||||||||||
United States — 4.1% | ||||||||||||
510 Loan Acquisition Trust, Series 2020-1, Class A, 5.11%, 09/25/60(a) |
USD | 4,943 | 4,762,199 | |||||||||
Ajax Mortgage Loan Trust(a) |
||||||||||||
Series 2020-C, Class A, 2.25%, 09/27/60 |
308 | 301,658 | ||||||||||
Series 2020-C, Class B, 5.00%, 09/27/60 |
375 | 360,117 | ||||||||||
Series 2020-C, Class C, 0.00%, 09/27/60 |
1,177 | 1,044,558 | ||||||||||
Series 2020-D, Class B, 5.00%, 06/25/60 |
525 | 502,683 | ||||||||||
Series 2020-D, Class C, 0.00%, 06/25/60 |
1,240 | 1,082,214 | ||||||||||
Series 2021-E, Class B3, 3.91%, 12/25/60(b) |
955 | 640,839 | ||||||||||
Series 2021-E, Class SA, 0.00%, 12/25/60(b) |
16 | 7,604 | ||||||||||
Series 2021-E, Class XS, 0.00%, 12/25/60(b) |
14,704 | 587,050 | ||||||||||
AMSR Trust, Series 2020-SFR5, Class G, 4.11%, 11/17/37(a) |
2,899 | 2,702,060 | ||||||||||
Citigroup Mortgage Loan Trust(b) |
||||||||||||
Series 2007-AHL2, Class A3B, (1 mo. LIBOR US + 0.20%), 1.82%, 05/25/37 |
4,657 | 3,417,311 | ||||||||||
Series 2007-AHL3, Class A3B, (1 mo. LIBOR US + 0.17%), 1.79%, 07/25/45 |
3,527 | 2,657,298 | ||||||||||
College Ave Student Loans LLC, Series 2021-A, Class D, 4.12%, 07/25/51(a) |
310 | 283,312 | ||||||||||
Credit Suisse ABS Repackaging Trust, Series 2013-A, Class R1, 0.00%, 04/25/43(a)(c) |
5 | 3,700,320 | ||||||||||
Home Partners of America Trust, Series 2021-2, Class F, 3.80%, 12/17/26(a) |
2,454 | 2,134,033 | ||||||||||
Lending Funding Trust(a) |
||||||||||||
Series 2020-2A, Class C, 4.30%, 04/21/31 |
980 | 930,037 | ||||||||||
Series 2020-2A, Class D, 6.77%, 04/21/31 |
2,830 | 2,741,230 | ||||||||||
Lendmark Funding Trust, Series 2021-1A, Class D, 5.05%, 11/20/31(a) |
2,320 | 1,877,828 | ||||||||||
Litigation Fee Residual Funding Trust, 4.00%, 10/30/27(c) |
4,386 | 4,194,521 |
S C H E D U L E O F I N V E S T M E N T S |
13 |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Capital Allocation Trust (BCAT) (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value |
||||||||||
United States (continued) |
||||||||||||
Mariner Finance Issuance Trust(a) |
||||||||||||
Series 2021-BA, Class E, |
USD | 540 | $ | 447,969 | ||||||||
Series 2022-AA, Class E, |
1,420 | 1,280,263 | ||||||||||
Navient Private Education Refi Loan Trust, |
||||||||||||
Series 2021-DA, Class D, |
1,340 | 1,202,153 | ||||||||||
Nelnet Student Loan Trust(a) |
||||||||||||
Series 2021-A, Class D, |
1,670 | 1,504,840 | ||||||||||
Series 2021-BA, Class D, |
340 | 296,310 | ||||||||||
Series 2021-CA, Class D, |
110 | 93,055 | ||||||||||
OneMain Financial Issuance Trust, |
||||||||||||
Series 2019-1A, Class E, |
850 | 847,952 | ||||||||||
Oportun Issuance Trust(a) |
||||||||||||
Series 2021-B, Class D, |
2,362 | 2,233,599 | ||||||||||
Series 2021-C, Class D, |
250 | 223,987 | ||||||||||
Progress Residential(a) |
||||||||||||
Series 2021-SFR1, Class G, |
4,826 | 4,227,996 | ||||||||||
Series 2021-SFR1, Class H, |
750 | 671,529 | ||||||||||
Series 2021-SFR3, Class G, |
3,190 | 2,820,928 | ||||||||||
Series 2021-SFR3, Class H, |
1,140 | 1,011,198 | ||||||||||
Progress Residential Trust, Class G, |
4,555 | 4,076,003 | ||||||||||
Regional Management Issuance Trust (a) |
4,780 | 4,565,823 | ||||||||||
Series 2020-1, Class D, |
2,050 | 1,950,710 | ||||||||||
Republic Finance Issuance Trust(a) |
||||||||||||
Series 2020-A, Class D, |
5,110 | 4,871,765 | ||||||||||
Series 2021-A, Class D, |
800 | 728,192 | ||||||||||
Residential Mortgage Loan Trust, Series 2020-1,
Class B1, |
400 | 355,670 | ||||||||||
SMB Private Education Loan Trust(a) |
||||||||||||
Series 2021-A, Class D1, |
3,500 | 3,274,997 | ||||||||||
Series 2021-A, Class D2, |
1,910 | 1,773,857 | ||||||||||
Series 2021-C, Class D, |
780 | 711,982 | ||||||||||
SoFi Professional Loan Program LLC(a) |
||||||||||||
Series 2017-A, Class R, |
105 | 1,238,000 | ||||||||||
Series 2018-A, Class R1, |
115 | 2,281,798 | ||||||||||
Structured Asset Securities Corp. Mortgage Loan Trust, Series
2005-WF2, Class M8, (1 mo. LIBOR US + 1.80%), |
182 | 168,466 | ||||||||||
Tricon Residential Trust(a) |
||||||||||||
Series 2021-SFR1, Class F, |
1,375 | 1,220,555 | ||||||||||
Series 2021-SFR1, Class G, |
887 | 781,129 | ||||||||||
|
|
|||||||||||
78,787,598 | ||||||||||||
|
|
|||||||||||
Total Asset-Backed Securities — 10.7% |
203,623,381 | |||||||||||
|
|
|||||||||||
Shares | ||||||||||||
Common Stocks | ||||||||||||
Australia — 0.3% | ||||||||||||
Glencore PLC |
1,090,087 | 5,904,386 | ||||||||||
|
|
|||||||||||
Brazil — 0.0% | ||||||||||||
NU Holdings Ltd., Class A(e) |
140,205 | 524,367 | ||||||||||
|
|
|||||||||||
Canada — 1.0% | ||||||||||||
Cenovus Energy, Inc. |
194,649 | 3,703,351 |
Security |
Shares |
Value | ||||||||||
Canada (continued) |
||||||||||||
Enbridge, Inc. |
363,355 | $ | 15,344,918 | |||||||||
Shopify, Inc., Class A(e) |
10,000 | 312,400 | ||||||||||
|
|
|||||||||||
19,360,669 | ||||||||||||
Cayman Islands — 0.1% |
||||||||||||
Hedosophia European Growth(e) |
2 | 20 | ||||||||||
Salt Payments, Inc., Series C, |
1,235 | 1,460,104 | ||||||||||
|
|
|||||||||||
1,460,124 | ||||||||||||
China — 0.6% |
||||||||||||
Alibaba Group Holding Ltd., ADR(e) |
23,974 | 2,725,364 | ||||||||||
Kindstar Globalgene Technology, Inc.(a)(e) |
2,024,500 | 559,309 | ||||||||||
Li Auto, Inc., ADR(e) |
51,389 | 1,968,713 | ||||||||||
Tencent Holdings Ltd. |
119,988 | 5,431,272 | ||||||||||
|
|
|||||||||||
10,684,658 | ||||||||||||
Denmark — 0.0% |
||||||||||||
Pandora A/S |
2,853 | 181,258 | ||||||||||
|
|
|||||||||||
Finland — 0.2% |
||||||||||||
Aiven Series D Preferred |
37,890 | 4,241,407 | ||||||||||
|
|
|||||||||||
France — 1.5% |
||||||||||||
Arkema SA |
52,880 | 4,730,245 | ||||||||||
BNP Paribas SA |
47,545 | 2,274,170 | ||||||||||
Cie de Saint-Gobain |
86,776 | 3,749,524 | ||||||||||
Danone SA |
57,439 | 3,216,710 | ||||||||||
Hermes International |
2,400 | 2,701,026 | ||||||||||
LVMH Moet Hennessy Louis Vuitton SE |
18,298 | 11,214,434 | ||||||||||
Societe Generale SA |
9,760 | 215,791 | ||||||||||
|
|
|||||||||||
28,101,900 | ||||||||||||
Germany — 2.1% |
||||||||||||
Auto1 Group SE(a)(e) |
169,548 | 1,248,614 | ||||||||||
Commerzbank AG(e) |
35,179 | 249,600 | ||||||||||
Deutsche Telekom AG, Registered Shares |
293,232 | 5,832,163 | ||||||||||
Mercedes-Benz Group AG, Registered Shares |
177,557 | 10,312,213 | ||||||||||
SAP SE |
79,002 | 7,201,064 | ||||||||||
Siemens AG, Registered Shares |
83,578 | 8,591,525 | ||||||||||
Vantage Towers AG |
214,732 | 6,008,250 | ||||||||||
|
|
|||||||||||
39,443,429 | ||||||||||||
Hong Kong — 0.3% |
||||||||||||
AIA Group Ltd. |
457,770 | 5,001,853 | ||||||||||
|
|
|||||||||||
India — 0.4% |
||||||||||||
Think & Learn Private Ltd., |
2,279 | 8,749,963 | ||||||||||
|
|
|||||||||||
Ireland — 0.0% |
||||||||||||
Icon PLC(e) |
1,838 | 398,295 | ||||||||||
|
|
|||||||||||
Israel — 0.4% |
||||||||||||
Nice Ltd., ADR(e) |
39,840 | 7,667,208 | ||||||||||
|
|
|||||||||||
Italy — 0.4% |
||||||||||||
Ariston Holding NV |
476,063 | 3,898,827 | ||||||||||
Intesa Sanpaolo SpA |
2,083,399 | 3,899,017 | ||||||||||
|
|
|||||||||||
7,797,844 | ||||||||||||
Japan — 0.6% |
||||||||||||
FANUC Corp. |
39,263 | 6,154,053 | ||||||||||
Hoya Corp. |
37,686 | 3,225,277 | ||||||||||
Keyence Corp. |
1,500 | 514,407 | ||||||||||
Kose Corp. |
10,098 | 920,291 | ||||||||||
|
|
|||||||||||
10,814,028 |
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 |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Capital Allocation Trust (BCAT) (Percentages shown are based on Net Assets) |
Security | Shares |
Value | ||||||||||
Netherlands — 1.5% |
||||||||||||
Adyen NV(a)(e) |
3,795 | $ | 5,476,686 | |||||||||
Akzo Nobel NV |
51,083 | 3,340,719 | ||||||||||
ASML Holding NV |
13,267 | 6,267,834 | ||||||||||
ING Groep NV |
903,653 | 8,902,428 | ||||||||||
Shell PLC |
193,990 | 5,033,562 | ||||||||||
|
|
|||||||||||
29,021,229 | ||||||||||||
South Korea — 0.4% |
||||||||||||
Amorepacific Corp. |
26,343 | 2,647,767 | ||||||||||
Coupang, Inc.(e) |
45,647 | 581,999 | ||||||||||
LG Energy Solution Ltd.(e) |
14,421 | 4,159,559 | ||||||||||
|
|
|||||||||||
7,389,325 | ||||||||||||
Spain — 0.4% |
||||||||||||
Cellnex Telecom SA(a) |
203,163 | 7,906,731 | ||||||||||
|
|
|||||||||||
Sweden — 0.3% |
||||||||||||
Volvo AB, B Shares |
396,700 | 6,172,406 | ||||||||||
|
|
|||||||||||
Switzerland — 0.5% |
||||||||||||
Cie Financiere Richemont SA, Class A, Registered Shares |
22,068 | 2,373,702 | ||||||||||
On Holding AG, Class A(e) |
104,674 | 1,851,683 | ||||||||||
TE Connectivity Ltd. |
54,432 | 6,158,981 | ||||||||||
|
|
|||||||||||
10,384,366 | ||||||||||||
Taiwan — 0.4% |
||||||||||||
Taiwan Semiconductor Manufacturing Co. Ltd., ADR |
86,068 | 7,036,059 | ||||||||||
|
|
|||||||||||
United Kingdom — 1.9% |
||||||||||||
Alphawave IP Group PLC(e) |
400,901 | 655,895 | ||||||||||
AstraZeneca PLC |
61,925 | 8,169,253 | ||||||||||
BP PLC, ADR |
120,235 | 1,486,639 | ||||||||||
Compass Group PLC |
245,820 | 5,047,025 | ||||||||||
Exscientia PLC, (Acquired
03/31/22, |
200,700 | 2,185,623 | ||||||||||
Genius Sports Ltd.(e) |
238,281 | 536,132 | ||||||||||
Hedosophia European Growth(e) |
139,284 | 1,401,242 | ||||||||||
Lloyds Banking Group PLC |
19,525,007 | 10,045,744 | ||||||||||
Unilever PLC |
161,866 | 7,377,818 | ||||||||||
|
|
|||||||||||
36,905,371 | ||||||||||||
United States — 29.5% |
||||||||||||
Abbott Laboratories(g) |
112,982 | 12,275,494 | ||||||||||
AbbVie, Inc. |
60,083 | 9,202,312 | ||||||||||
ACV Auctions, Inc., Class A(e) |
191,733 | 1,253,933 | ||||||||||
Adobe, Inc.(e) |
1,416 | 518,341 | ||||||||||
Air Products & Chemicals, Inc. |
35,799 | 8,608,944 | ||||||||||
Albemarle Corp. |
28,293 | 5,912,671 | ||||||||||
Alcoa Corp. |
6,218 | 283,416 | ||||||||||
Align Technology, Inc.(e) |
1,829 | 432,869 | ||||||||||
Alkami Technology, Inc.(e) |
114,063 | 1,584,335 | ||||||||||
Alphabet, Inc., Class A(e) |
36 | 78,453 | ||||||||||
Alphabet, Inc., Class C(e) |
4,742 | 10,372,888 | ||||||||||
AltC Acquisition Corp., Class A(e) |
115,008 | 1,109,827 | ||||||||||
Altice USA, Inc., Class A(e) |
3,693 | 34,160 | ||||||||||
Altus Power, Inc., (Acquired
01/21/22, |
121,750 | 768,243 | ||||||||||
Amazon.com, Inc.(e)(g) |
145,900 | 15,496,039 | ||||||||||
American Tower Corp. |
41,010 | 10,481,746 | ||||||||||
Apple, Inc. |
48,498 | 6,630,647 | ||||||||||
Applied Materials, Inc. |
43,337 | 3,942,800 | ||||||||||
Aptiv PLC(e) |
38,867 | 3,461,884 |
Security | Shares |
Value | ||||||||||
United States (continued) |
||||||||||||
Archer-Daniels-Midland Co. |
84,041 | $ | 6,521,582 | |||||||||
Astra Space, Inc., (Acquired 08/20/21, |
205,519 | 267,175 | ||||||||||
Autodesk, Inc.(e) |
6,700 | 1,152,132 | ||||||||||
Bank of America Corp. |
228,415 | 7,110,559 | ||||||||||
Bath & Body Works, Inc. |
22,330 | 601,124 | ||||||||||
Blend Labs, Inc., Class A(e) |
24,434 | 57,664 | ||||||||||
Booking Holdings, Inc.(e) |
340 | 594,657 | ||||||||||
Boston Scientific Corp.(e)(g) |
176,350 | 6,572,564 | ||||||||||
Bunge Ltd. |
49,720 | 4,509,107 | ||||||||||
California Resources Corp. |
47,698 | 1,836,373 | ||||||||||
Cano Health, Inc., (Acquired
09/02/21, |
277,311 | 1,214,622 | ||||||||||
Capri Holdings Ltd.(e) |
56,281 | 2,308,084 | ||||||||||
CareMax, Inc., (Acquired 07/22/21, |
60,750 | 220,523 | ||||||||||
CF Industries Holdings, Inc. |
106,389 | 9,120,729 | ||||||||||
Charles Schwab Corp.(g) |
129,215 | 8,163,804 | ||||||||||
Charter Communications, Inc., Class A(e) |
8,523 | 3,993,281 | ||||||||||
Chesapeake Energy Corp. |
13,724 | 1,113,016 | ||||||||||
Chevron Corp. |
5,876 | 850,727 | ||||||||||
Clarify Health(c) |
345,315 | 3,090,569 | ||||||||||
Comcast Corp., Class A |
76,417 | 2,998,603 | ||||||||||
ConocoPhillips |
63,497 | 5,702,666 | ||||||||||
Costco Wholesale Corp. |
13,266 | 6,358,128 | ||||||||||
Crowdstrike Holdings, Inc., Class A(e) |
4,161 | 701,378 | ||||||||||
Crown PropTech Acquisitions(e) |
133,056 | 1,309,271 | ||||||||||
Crown Proptech Acquisitions Pvt Ltd.(c) |
51,000 | 164,220 | ||||||||||
CSX Corp. |
57,475 | 1,670,224 | ||||||||||
D.R. Horton, Inc. |
50,143 | 3,318,965 | ||||||||||
Datadog, Inc., Class A(e) |
1,991 | 189,623 | ||||||||||
Davidson Kempner Merchant Co-investment Fund LP, (Acquired
04/01/21, |
5,016,900 | 5,259,718 | ||||||||||
Deere & Co. |
15,973 | 4,783,434 | ||||||||||
Delta Air Lines, Inc.(e) |
5,751 | 166,606 | ||||||||||
Devon Energy Corp. |
11,042 | 608,525 | ||||||||||
DexCom, Inc.(e) |
35,188 | 2,622,562 | ||||||||||
Diversey Holdings Ltd.(e) |
490,148 | 3,234,977 | ||||||||||
Domino’s Pizza, Inc. |
932 | 363,210 | ||||||||||
Dynatrace, Inc.(e) |
83,278 | 3,284,484 | ||||||||||
Edwards Lifesciences Corp.(e) |
13,140 | 1,249,483 | ||||||||||
Element Solutions, Inc. |
49,065 | 873,357 | ||||||||||
Eli Lilly & Co. |
5,516 | 1,788,453 | ||||||||||
Energy Transfer LP |
89,788 | 896,084 | ||||||||||
Enterprise Products Partners LP |
301,414 | 7,345,459 | ||||||||||
Epic Games, Inc., (Acquired
03/29/21, |
2,824 | 2,626,320 | ||||||||||
EQT Corp.(g) |
419,059 | 14,415,630 | ||||||||||
Excelerate Energy, Inc., Class A(e) |
62,026 | 1,235,558 | ||||||||||
Exxon Mobil Corp. |
49,478 | 4,237,296 | ||||||||||
F5, Inc.(e) |
25,930 | 3,968,327 | ||||||||||
Fanatics Holdings, Inc., (Acquired 12/15/21, |
126,282 | 7,632,484 | ||||||||||
Ford Motor Co. |
108,661 | 1,209,397 | ||||||||||
Fortive Corp. |
146,967 | 7,992,065 | ||||||||||
Freeport-McMoRan, Inc.(g) |
269,826 | 7,895,109 | ||||||||||
Generac Holdings, Inc.(e) |
4,639 | 976,881 | ||||||||||
General Motors Co.(e) |
106,220 | 3,373,547 | ||||||||||
Globalfoundries, Inc.(e) |
67,419 | 2,719,682 | ||||||||||
Green Plains, Inc.(e) |
46,023 | 1,250,445 | ||||||||||
Halliburton Co. |
7,596 | 238,211 |
S C H E D U L E O F I N V E S T M E N T S |
15 |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Capital Allocation Trust (BCAT) (Percentages shown are based on Net Assets) |
Security | Shares |
Value | ||||||||||
United States (continued) |
||||||||||||
Highland Transcend Partners I Corp., Class A(e) |
96,960 | $ | 956,026 | |||||||||
Hillenbrand, Inc.(c) |
296,456 | 2,163,595 | ||||||||||
Hilton Worldwide Holdings, Inc. |
23,181 | 2,583,291 | ||||||||||
Home Depot, Inc. |
16,457 | 4,513,661 | ||||||||||
Humana, Inc. |
34,382 | 16,093,183 | ||||||||||
Informatica, Inc., Class A(e) |
55,545 | 1,153,670 | ||||||||||
International Flavors & Fragrances, Inc. |
40,817 | 4,862,121 | ||||||||||
Intuit, Inc. |
2,796 | 1,077,690 | ||||||||||
Intuitive Surgical, Inc.(e) |
9,658 | 1,938,457 | ||||||||||
IQVIA Holdings, Inc.(e) |
1,873 | 406,422 | ||||||||||
Johnson & Johnson |
37,925 | 6,732,067 | ||||||||||
Khosla Ventures Acquisition Co.(e) |
122,505 | 1,194,424 | ||||||||||
KINS Technology Group, Inc.(c) |
117,311 | 80,945 | ||||||||||
Latch, Inc., (Acquired 07/12/21, Cost: $1,422,730)(f) |
142,273 | 162,191 | ||||||||||
Liberty Broadband Corp., Class C(e) |
36,310 | 4,198,888 | ||||||||||
Liberty Media Acquisition Corp.(e) |
267,290 | 2,651,517 | ||||||||||
Liberty Media Corp.-Liberty SiriusXM, Class C(e) |
254,348 | 9,169,245 | ||||||||||
Lions Gate Entertainment Corp., Class A(e) |
49,432 | 460,212 | ||||||||||
LyondellBasell Industries NV, Class A |
47,466 | 4,151,376 | ||||||||||
Marqeta, Inc., Class A(e) |
84,708 | 686,982 | ||||||||||
Marsh & McLennan Cos., Inc. |
66,673 | 10,350,983 | ||||||||||
Masco Corp. |
18,600 | 941,160 | ||||||||||
Mastercard, Inc., Class A |
38,662 | 12,197,088 | ||||||||||
McDonald’s Corp. |
2,074 | 512,029 | ||||||||||
Merck & Co., Inc. |
74,217 | 6,766,364 | ||||||||||
MGM Resorts International |
12,128 | 351,106 | ||||||||||
Micron Technology, Inc. |
91,920 | 5,081,338 | ||||||||||
Microsoft Corp.(g) |
100,130 | 25,716,388 | ||||||||||
Mirion Technologies, Inc., (Acquired 11/04/21, Cost: $4,773,900)(f) |
477,390 | 2,749,766 | ||||||||||
Mirion Technologies, Inc.(e) |
200,869 | 1,157,005 | ||||||||||
Morgan Stanley |
73,499 | 5,590,334 | ||||||||||
Mosaic Co. |
10,449 | 493,506 | ||||||||||
Mr. Cooper Group, Inc.(e) |
15,882 | 583,505 | ||||||||||
NextEra Energy, Inc.(g) |
109,781 | 8,503,636 | ||||||||||
Nielsen Holdings PLC |
10,855 | 252,053 | ||||||||||
NIKE, Inc., Class B |
6,594 | 673,907 | ||||||||||
Northrop Grumman Corp. |
22,198 | 10,623,297 | ||||||||||
Offerpad Solutions, Inc., (Acquired 10/01/21, Cost: $2,025,910)(f) |
202,591 | 441,648 | ||||||||||
Otis Worldwide Corp. |
6,650 | 469,956 | ||||||||||
Park Hotels & Resorts, Inc. |
35,866 | 486,702 | ||||||||||
Planet Labs, Inc., (Acquired 01/06/22, Cost: $1,567,200)(f) |
156,720 | 678,598 | ||||||||||
Playstudios, Inc., (Acquired 07/30/21, Cost: $2,269,240)(f) |
226,924 | 971,235 | ||||||||||
Proof Acquisition Corp.(c) |
29,114 | 32,317 | ||||||||||
Raymond James Financial, Inc. |
52,128 | 4,660,764 | ||||||||||
ResMed, Inc. |
9,028 | 1,892,540 | ||||||||||
Rocket Lab USA, Inc.(e) |
122,062 | 462,615 | ||||||||||
Rotor Acquisition Corp.(c) |
23,869 | 57,286 | ||||||||||
Salesforce, Inc.(e) |
72,296 | 11,931,732 | ||||||||||
Sarcos Technology & Robotics Corp., (Acquired 10/21/21, Cost: $9,644,590)(f) |
964,459 | 2,565,461 | ||||||||||
Sarcos Technology & Robotics Corp.(e) |
45,102 | 119,971 | ||||||||||
Schlumberger NV |
4,639 | 165,891 | ||||||||||
Seagen, Inc.(e) |
22,020 | 3,896,219 | ||||||||||
Sempra Energy |
85,778 | 12,889,860 | ||||||||||
ServiceNow, Inc.(e) |
12,445 | 5,917,846 |
Security | Shares |
Value | ||||||||||
United States (continued) |
||||||||||||
Signet Jewelers Ltd. |
10,549 | $ | 563,950 | |||||||||
Snorkel AI, Inc., (Acquired 06/30/21, Cost: $189,563)(c)(f) |
12,621 | 120,657 | ||||||||||
Sonder Holdings, Inc., Class A, (Acquired 02/09/22, Cost: $2,005,501)(f) |
223,319 | 232,252 | ||||||||||
Sonos, Inc.(e) |
25,912 | 467,452 | ||||||||||
Starbucks Corp. |
55,767 | 4,260,041 | ||||||||||
Starwood Property Trust, Inc. |
31,333 | 654,546 | ||||||||||
Stryker Corp. |
16,336 | 3,249,720 | ||||||||||
Sun Country Airlines Holdings, Inc., (Acquired 09/17/21, Cost: $3,969,094)(f) |
175,935 | 3,226,648 | ||||||||||
SVF Investment Corp., (Acquired 06/07/22, Cost: $389,000)(c)(f) |
38,900 | 375,690 | ||||||||||
Taboola.com Ltd., (Acquired 09/02/21, Cost: $647,700)(f) |
64,770 | 163,868 | ||||||||||
Target Corp. |
3,500 | 494,305 | ||||||||||
Tesla, Inc.(e) |
4,820 | 3,245,884 | ||||||||||
Thermo Fisher Scientific, Inc. |
11,864 | 6,445,474 | ||||||||||
Tishman Speyer Innovation Corp. II, Class A, Class A(e) |
212,535 | 2,080,718 | ||||||||||
TJX Cos., Inc. |
77,617 | 4,334,909 | ||||||||||
Toast, Inc., Class A(e) |
50,102 | 648,320 | ||||||||||
TPB Acquisition Corp. I, Class A(e) |
77,043 | 745,006 | ||||||||||
Tractor Supply Co. |
12,145 | 2,354,308 | ||||||||||
Twilio, Inc., Class A(e) |
2,000 | 167,620 | ||||||||||
U.S. Steel Corp. |
29,333 | 525,354 | ||||||||||
United Parcel Service, Inc., Class B |
56,193 | 10,257,470 | ||||||||||
United Rentals, Inc.(e) |
2,774 | 673,832 | ||||||||||
UnitedHealth Group, Inc.(g) |
28,680 | 14,730,908 | ||||||||||
Valero Energy Corp. |
41,865 | 4,449,412 | ||||||||||
Vertiv Holdings Co. |
361,167 | 2,968,793 | ||||||||||
Vulcan Materials Co. |
47,993 | 6,819,805 | ||||||||||
Walmart, Inc. |
38,885 | 4,727,638 | ||||||||||
Walt Disney Co.(e) |
52,006 | 4,909,366 | ||||||||||
Wells Fargo & Co. |
93,954 | 3,680,178 | ||||||||||
Western Digital Corp.(e) |
5,644 | 253,021 | ||||||||||
WillScot Mobile Mini Holdings Corp.(e) |
24,898 | 807,193 | ||||||||||
Workday, Inc., Class A(e) |
3,000 | 418,740 | ||||||||||
XPO Logistics, Inc.(e) |
45,153 | 2,174,568 | ||||||||||
|
|
|||||||||||
563,055,391 | ||||||||||||
|
|
|||||||||||
Total Common Stocks — 42.8% |
818,202,267 | |||||||||||
|
|
|||||||||||
Par (000) |
||||||||||||
Corporate Bonds | ||||||||||||
Argentina(a) — 0.0% |
||||||||||||
Genneia SA, 8.75%, 09/02/27 |
USD | 522 | 490,672 | |||||||||
YPF SA, 4.00%, 02/12/26(j) |
413 | 321,965 | ||||||||||
|
|
|||||||||||
812,637 | ||||||||||||
Australia(c) — 0.3% |
||||||||||||
Oceana Australian Trust |
||||||||||||
10.00%, 08/31/23 |
AUD | 4,163 | 2,909,430 | |||||||||
10.25%, 08/31/25 |
4,163 | 3,002,820 | ||||||||||
|
|
|||||||||||
5,912,250 |
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 |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Capital Allocation Trust (BCAT) (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value | ||||||||||
Austria — 0.1% |
||||||||||||
BRF GmbH, 4.35%, 09/29/26(d) |
USD | 200 | $ | 179,975 | ||||||||
Klabin Austria GmbH, |
619 | 471,214 | ||||||||||
Suzano Austria GmbH, |
636 | 477,795 | ||||||||||
|
|
|||||||||||
1,128,984 | ||||||||||||
Bahamas — 0.0% |
||||||||||||
Intercorp Peru Ltd., |
560 | 465,150 | ||||||||||
|
|
|||||||||||
Bahrain(d) — 0.1% |
||||||||||||
BBK BSC, 5.50%, 07/09/24 |
453 | 448,555 | ||||||||||
Oil & Gas Holding Co., |
766 | 787,927 | ||||||||||
|
|
|||||||||||
|
1,236,482 |
| ||||||||||
Bermuda — 0.1% |
||||||||||||
Geopark Ltd., 5.50%, 01/17/27(a) |
448 | 372,568 | ||||||||||
Investment Energy Resources Ltd., 6.25%, 04/26/29(a) |
586 | 496,928 | ||||||||||
Luye Pharma Group Ltd., |
785 | 786,765 | ||||||||||
Star Energy Geothermal Darajat II/Star Energy Geothermal Salak, |
1,192 | 1,010,071 | ||||||||||
|
|
|||||||||||
|
2,666,332 |
| ||||||||||
Brazil — 0.2% | ||||||||||||
Braskem Netherlands Finance BV, (5 year CMT + 8.22%), |
1,291 | 1,292,453 | ||||||||||
BRF SA, 4.88%, 01/24/30(d) |
383 | 303,719 | ||||||||||
Gol Finance SA, 7.00%, 01/31/25(a) |
1,036 | 643,809 | ||||||||||
Oi SA, (10.00% Cash or 8.00% Cash + 4.00% PIK), |
1,279 | 588,340 | ||||||||||
Suzano Austria GmbH, |
453 | 365,888 | ||||||||||
|
|
|||||||||||
3,194,209 | ||||||||||||
Canada(a) — 0.1% | ||||||||||||
Bausch Health Cos., Inc., |
1,683 | 1,317,015 | ||||||||||
Brookfield Residential Properties, Inc./Brookfield Residential U.S. LLC, 5.00%, 06/15/29 |
334 | 252,527 | ||||||||||
|
|
|||||||||||
1,569,542 | ||||||||||||
Cayman Islands — 0.4% | ||||||||||||
Agile Group Holdings Ltd., |
350 | 119,000 | ||||||||||
China Aoyuan Group Ltd., |
410 | 38,899 | ||||||||||
China Evergrande Group, |
500 | 41,344 | ||||||||||
China SCE Group Holdings Ltd., 7.00%, 05/02/25(d) |
380 | 106,400 | ||||||||||
Fantasia Holdings Group Co. |
320 | 26,860 | ||||||||||
9.25%, 07/28/23 |
1,200 | 99,000 | ||||||||||
Hilong Holding Ltd., |
410 | 222,758 | ||||||||||
IHS Holding Ltd., |
569 | 453,777 | ||||||||||
Jingrui Holdings Ltd.(d) |
370 | 57,089 | ||||||||||
12.75%, 09/09/23 |
355 | 55,320 | ||||||||||
MAF Global Securities Ltd., (5 year CMT + 3.54%), 6.38%(b)(d)(n) |
366 | 352,344 | ||||||||||
MAF Sukuk Ltd., 3.93%, 02/28/30(d) |
990 | 946,873 | ||||||||||
Melco Resorts Finance Ltd., |
1,050 | 624,750 | ||||||||||
Modern Land China Co. Ltd., |
680 | 108,800 | ||||||||||
Oryx Funding Ltd., |
574 | 541,999 | ||||||||||
Powerlong Real Estate Holdings Ltd., 6.25%, 08/10/24(d) |
700 | 119,000 | ||||||||||
Ronshine China Holdings Ltd.(d) |
200 | 25,000 | ||||||||||
7.10%, 01/25/25 |
400 | 40,000 | ||||||||||
Sable International Finance Ltd., 5.75%, 09/07/27(d) |
1,083 | 992,678 |
Security | Par (000) |
Value | ||||||||||
Cayman Islands (continued) |
||||||||||||
Shelf Drilling Holdings Ltd., |
USD | 96 | $ | 93,600 | ||||||||
Shimao Group Holdings Ltd., |
560 | 58,800 | ||||||||||
Shui On Development Holding Ltd., |
467 | 352,585 | ||||||||||
Sinic Holdings Group Co. Ltd.(c)(e)(m) |
1,100 | 22,000 | ||||||||||
10.50%, 12/18/22 |
200 | 4,000 | ||||||||||
Sitka Holdings LLC, (3 mo. LIBOR US + 4.50%), |
2,385 | 2,307,383 | ||||||||||
Sunac China Holdings Ltd., |
654 | 91,560 | ||||||||||
Times China Holdings Ltd., |
880 | 118,800 | ||||||||||
Yuzhou Group Holdings Co. |
1,251 | 81,315 | ||||||||||
6.35%, 01/13/27 |
633 | 41,145 | ||||||||||
Zhenro Properties Group Ltd., |
233 | 15,145 | ||||||||||
|
|
|||||||||||
|
8,158,224 |
| ||||||||||
Chile — 0.1% |
||||||||||||
Kenbourne Invest SA, |
1,397 | 1,270,659 | ||||||||||
VTR Comunicaciones SpA |
696 | 515,823 | ||||||||||
5.13%, 01/15/28(d) |
434 | 321,648 | ||||||||||
4.38%, 04/15/29(a) |
627 | 424,792 | ||||||||||
|
|
|||||||||||
|
2,532,922 |
| ||||||||||
China(d) — 0.1% |
||||||||||||
China Aoyuan Group Ltd., |
359 | 32,310 | ||||||||||
CIFI Holdings Group Co. Ltd., |
850 | 501,500 | ||||||||||
Easy Tactic Ltd., 9.13%, 07/28/22 |
366 | 96,258 | ||||||||||
Fantasia Holdings Group Co. Ltd., |
520 | 42,900 | ||||||||||
Fortune Star BVI Ltd., |
744 | 442,680 | ||||||||||
Kaisa Group Holdings Ltd., |
700 | 95,506 | ||||||||||
KWG Group Holdings Ltd., |
472 | 115,640 | ||||||||||
RKPF Overseas Ltd., Series 2020-A, 5.20%, 01/12/26 |
530 | 241,150 | ||||||||||
Wanda Group Overseas Ltd., |
334 | 323,980 | ||||||||||
|
|
|||||||||||
|
1,891,924 |
| ||||||||||
Colombia — 0.2% |
||||||||||||
Banco GNB Sudameris SA, (5 year CMT + 6.66%), |
||||||||||||
Ecopetrol SA |
337 | 285,039 | ||||||||||
6.88%, 04/29/30 |
367 | 322,593 | ||||||||||
4.63%, 11/02/31 |
1,080 | 815,400 | ||||||||||
Empresas Publicas de Medellin ESP, 4.25%, 07/18/29(a) |
1,280 | 1,001,040 | ||||||||||
Grupo Aval Ltd., 4.38%, 02/04/30(a) |
682 | 531,235 | ||||||||||
Millicom International Cellular SA, 5.13%, 01/15/28(d) |
746 | 636,050 | ||||||||||
|
|
|||||||||||
|
3,591,357 |
| ||||||||||
Dominican Republic — 0.0% |
||||||||||||
Aeropuertos Dominicanos Siglo XXI SA, 6.75%, 03/30/29(a) |
791 | 713,383 | ||||||||||
|
|
|||||||||||
France — 0.0% |
||||||||||||
Altice France SA, 5.50%, 01/15/28(a) |
283 | 228,058 | ||||||||||
|
|
|||||||||||
Germany — 0.3% |
||||||||||||
Adler Pelzer Holding GmbH, |
EUR | 3,303 | 2,639,301 | |||||||||
APCOA Parking Holdings GmbH, |
852 | 808,032 | ||||||||||
Douglas GmbH, 6.00%, 04/08/26(a) |
1,102 | 889,228 |
S C H E D U L E O F I N V E S T M E N T S |
17 |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Capital Allocation Trust (BCAT) (Percentages shown are based on Net Assets) |
Security | Par (000) |
Value | ||||||||||
Germany (continued) |
||||||||||||
Kirk Beauty SUN GmbH, |
EUR | 820 | $ | 494,396 | ||||||||
KME SE, 6.75%, 02/01/23(d) |
917 | 930,928 | ||||||||||
|
|
|||||||||||
5,761,885 | ||||||||||||
Hong Kong — 0.0% | ||||||||||||
Yango Justice International Ltd.(e)(m) |
USD | 1,200 | 79,350 | |||||||||
7.50%, 04/15/24(d) |
2,000 | 120,000 | ||||||||||
Yanlord Land HK Co. Ltd., |
400 | 296,000 | ||||||||||
|
|
|||||||||||
495,350 | ||||||||||||
India — 0.3% | ||||||||||||
GMR Hyderabad International Airport Ltd., 4.25%, 10/27/27(d) |
600 | 503,550 | ||||||||||
HPCL-Mittal Energy Ltd., |
600 | 561,000 | ||||||||||
Manappuram Finance Ltd., |
1,000 | 980,000 | ||||||||||
Muthoot Finance Ltd., |
1,118 | 1,111,851 | ||||||||||
ReNew Power Pvt Ltd., |
518 | 469,535 | ||||||||||
Shriram Transport Finance Co. Ltd., 5.10%, 07/16/23(d) |
1,000 | 960,000 | ||||||||||
Vedanta Resources Finance II PLC, 13.88%, 01/21/24(d) |
1,100 | 979,000 | ||||||||||
|
|
|||||||||||
5,564,936 | ||||||||||||
Indonesia(d) — 0.2% | ||||||||||||
Medco Oak Tree Pte. Ltd., |
1,000 | 907,500 | ||||||||||
Pertamina Persero PT, |
950 | 868,062 | ||||||||||
Theta Capital Pte. Ltd., |
1,400 | 1,204,000 | ||||||||||
|
|
|||||||||||
2,979,562 | ||||||||||||
Israel — 0.1% | ||||||||||||
Leviathan Bonds Ltd., 5.75%, 06/30/23(a)(d) |
1,110 | 1,092,611 | ||||||||||
|
|
|||||||||||
Italy(a) — 0.3% | ||||||||||||
Forno d’Asolo SpA, (3 mo. EURIBOR + 5.50%), |
EUR | 3,040 | 2,930,907 | |||||||||
Marcolin SpA, 6.13%, 11/15/26 |
928 | 840,207 | ||||||||||
Shiba Bidco SpA, 4.50%, 10/31/28 |
1,882 | 1,617,238 | ||||||||||
|
|
|||||||||||
5,388,352 | ||||||||||||
Japan — 0.0% | ||||||||||||
Takeda Pharmaceutical Co. Ltd., 3.18%, 07/09/50 |
USD | 272 | 203,580 | |||||||||
|
|
|||||||||||
Jersey — 0.1% | ||||||||||||
Aptiv PLC, 3.10%, 12/01/51 |
328 | 211,538 | ||||||||||
Galaxy Pipeline Assets Bidco Ltd., 2.63%, 03/31/36(d) |
436 | 352,424 | ||||||||||
Wheel Bidco Ltd., |
GBP | 360 | 349,356 | |||||||||
|
|
|||||||||||
913,318 | ||||||||||||
Kuwait — 0.1% | ||||||||||||
NBK Tier 1 Ltd., 3.63%(a)(b)(n) |
USD | 1,161 | 1,041,490 | |||||||||
|
|
|||||||||||
Luxembourg — 0.5% | ||||||||||||
Atento Luxco 1 SA, 8.00%, 02/10/26(a) |
202 | 142,827 | ||||||||||
FEL Energy VI SARL, 5.75%, 12/01/40(d) |
577 | 419,609 | ||||||||||
Garfunkelux Holdco 3 SA(a) |
EUR | 2,286 | 2,125,398 | |||||||||
7.75%, 11/01/25 |
GBP | 3,885 | 4,232,644 | |||||||||
Gol Finance SA, 8.00%, 06/30/26(a) |
USD | 423 | 281,295 | |||||||||
Herens Midco SARL, |
EUR | 1,006 | 687,869 | |||||||||
Kenbourne Invest SA, |
USD | 340 | 263,033 | |||||||||
MC Brazil Downstream Trading SARL, 7.25%, 06/30/31(a) |
688 | 550,400 |
Security | Par (000) |
Value | ||||||||||
Luxembourg (continued) |
||||||||||||
Picard Bondsco SA, |
EUR | 750 | $ | 703,009 | ||||||||
Sani/Ikos Financial Holdings 1 SARL, 5.63%, 12/15/26(a) |
718 | 648,969 | ||||||||||
|
|
|||||||||||
10,055,053 | ||||||||||||
Macau — 0.1% | ||||||||||||
Champion Path Holdings Ltd., 4.85%, 01/27/28(d) |
USD | 390 | 222,983 | |||||||||
MGM China Holdings Ltd., |
1,150 | 873,137 | ||||||||||
Studio City Finance Ltd., |
997 | 497,129 | ||||||||||
Wynn Macau Ltd., |
1,500 | 1,036,875 | ||||||||||
|
|
|||||||||||
2,630,124 | ||||||||||||
Mauritius — 0.2% | ||||||||||||
Azure Power Energy Ltd., |
373 | 306,753 | ||||||||||
CA Magnum Holdings, |
1,000 | 865,000 | ||||||||||
HTA Group Ltd., 7.00%, 12/18/25(a) |
1,143 | 953,191 | ||||||||||
India Cleantech Energy, |
418 | 332,017 | ||||||||||
India Green Energy Holdings, 5.38%, 04/29/24(a) |
562 | 525,470 | ||||||||||
Network i2i Ltd., (5 year CMT + 4.27%), 5.65%(b)(d)(n) |
750 | 694,125 | ||||||||||
UPL Corp. Ltd., (5 year CMT + 3.87%), 5.25%(b)(d)(n) |
700 | 535,631 | ||||||||||
|
|
|||||||||||
4,212,187 | ||||||||||||
Mexico — 0.6% | ||||||||||||
Alpek SAB de CV, |
734 | 588,026 | ||||||||||
Axtel SAB de CV, |
620 | 545,910 | ||||||||||
Braskem Idesa SAPI |
668 | 517,700 | ||||||||||
6.99%, 02/20/32(d) |
407 | 315,425 | ||||||||||
Cemex SAB de CV, |
428 | 322,370 | ||||||||||
Comision Federal de Electricidad, 4.88%, 01/15/24(d) |
983 | 978,085 | ||||||||||
Controladora Mabe SA de CV, 5.60%, 10/23/28(a) |
585 | 594,067 | ||||||||||
Grupo Bimbo SAB de CV, (5 year CMT + 3.28%), 5.95%(a)(b)(n) |
585 | 571,837 | ||||||||||
Grupo KUO SAB De CV, |
585 | 527,962 | ||||||||||
Metalsa S A P I De Cv, |
485 | 341,319 | ||||||||||
Mexico City Airport Trust(d) |
391 | 357,765 | ||||||||||
5.50%, 07/31/47 |
613 | 417,147 | ||||||||||
Operadora de Servicios Mega SA de CV Sofom ER, 8.25%, 02/11/25(a) |
1,475 | 957,183 | ||||||||||
Petroleos Mexicanos |
882 | 761,386 | ||||||||||
8.75%, 06/02/29(a) |
972 | 869,515 | ||||||||||
5.95%, 01/28/31 |
1,189 | 867,494 | ||||||||||
6.70%, 02/16/32 |
1,116 | 845,370 | ||||||||||
6.38%, 01/23/45 |
833 | 500,841 | ||||||||||
6.75%, 09/21/47 |
281 | 172,113 | ||||||||||
7.69%, 01/23/50 |
563 | 375,803 | ||||||||||
Trust Fibra Uno, 5.25%, 01/30/26(a) |
495 | 465,702 | ||||||||||
|
|
|||||||||||
11,893,020 | ||||||||||||
MultiNational — 0.1% | ||||||||||||
Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC, 6.00%, 06/15/27(a) |
456 | 451,317 | ||||||||||
Connect Finco SARL/Connect U.S. Finco LLC, 6.75%, 10/01/26(a) |
500 | 449,315 | ||||||||||
Mongolian Mining Corp./Energy Resources LLC, |
390 | 262,470 | ||||||||||
Promigas SA ESP/Gases del Pacifico SAC, |
200 | 160,125 | ||||||||||
|
|
|||||||||||
1,323,227 |
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 |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Capital Allocation Trust (BCAT) (Percentages shown are based on Net Assets) |
Security | Par (000) |
Value | ||||||||||
Netherlands — 0.3% | ||||||||||||
Equate Petrochemical BV, 2.63%, 04/28/28(a) |
USD | 405 | $ | 357,412 | ||||||||
Metinvest BV(d) |
||||||||||||
8.50%, 04/23/26 |
669 | 345,104 | ||||||||||
7.65%, 10/01/27 |
682 | 353,702 | ||||||||||
NXP BV/NXP Funding LLC/NXP USA, Inc., |
328 | 227,117 | ||||||||||
Titan Holdings II BV, 5.13%, 07/15/29(a) |
EUR | 566 | 490,230 | |||||||||
Trivium Packaging Finance BV, 5.50%, 08/15/26(a) |
USD | 2,830 | 2,673,529 | |||||||||
Vivo Energy Investments BV, 5.13%, 09/24/27(a) |
1,540 | 1,451,450 | ||||||||||
|
|
|||||||||||
5,898,544 | ||||||||||||
Oman — 0.0% | ||||||||||||
OQ SAOC, 5.13%, 05/06/28(a) |
592 | 557,516 | ||||||||||
|
|
|||||||||||
Panama — 0.0% | ||||||||||||
Aeropuerto Internacional de Tocumen SA, |
677 | 532,841 | ||||||||||
|
|
|||||||||||
Paraguay — 0.0% | ||||||||||||
Frigorifico Concepcion SA, 7.70%, 07/21/28(a) |
316 | 249,403 | ||||||||||
|
|
|||||||||||
Peru — 0.1% | ||||||||||||
Inkia Energy Ltd., 5.88%, 11/09/27(d) |
1,262 | 1,147,474 | ||||||||||
Nexa Resources SA, 5.38%, 05/04/27(a) |
585 | 540,503 | ||||||||||
|
|
|||||||||||
1,687,977 | ||||||||||||
Saudi Arabia — 0.1% | ||||||||||||
Arabian Centres Sukuk II Ltd., 5.63%, 10/07/26(a) |
1,562 | 1,415,367 | ||||||||||
|
|
|||||||||||
Singapore — 0.2% | ||||||||||||
Continuum Energy Levanter Pte. Ltd., |
849 | 662,346 | ||||||||||
LMIRT Capital Pte. Ltd., 7.25%, 06/19/24(d) |
1,000 | 870,000 | ||||||||||
Puma International Financing SA |
585 | 529,425 | ||||||||||
5.00%, 01/24/26(d) |
719 | 623,193 | ||||||||||
TML Holdings Pte. Ltd., 4.35%, 06/09/26(d) |
700 | 611,756 | ||||||||||
|
|
|||||||||||
3,296,720 | ||||||||||||
South Africa — 0.1% | ||||||||||||
Eskom Holdings SOC Ltd., 8.45%, 08/10/28(d) |
373 | 299,169 | ||||||||||
Sasol Financing USA LLC, 6.50%, 09/27/28 |
1,198 | 1,088,159 | ||||||||||
|
|
|||||||||||
1,387,328 | ||||||||||||
Ukraine — 0.0% | ||||||||||||
NPC Ukrenergo, 6.88%, 11/09/26(a) |
513 | 123,120 | ||||||||||
|
|
|||||||||||
United Arab Emirates(d) — 0.1% | ||||||||||||
DP World Salaam, (5 year CMT + 5.75%), 6.00%(b)(n) |
1,407 | 1,410,957 | ||||||||||
MAF Sukuk Ltd., 4.64%, 05/14/29 |
847 | 847,424 | ||||||||||
|
|
|||||||||||
2,258,381 | ||||||||||||
United Kingdom — 0.7% | ||||||||||||
AstraZeneca PLC, 2.13%, 08/06/50 |
328 | 219,001 | ||||||||||
Avianca Midco 2 Ltd., 9.00%, 12/01/28(a) |
763 | 863,570 | ||||||||||
BCP V Modular Services Finance II PLC, |
GBP | 2,355 | 2,234,625 | |||||||||
BCP V Modular Services Finance PLC, |
EUR | 3,137 | 2,391,597 | |||||||||
Constellation Automotive Financing PLC, |
GBP | 317 | 302,919 | |||||||||
Deuce Finco PLC, 5.50%, 06/15/27(a) |
1,978 | 1,907,860 | ||||||||||
Inspired Entertainment Financing PLC, |
675 | 798,630 | ||||||||||
Kane Bidco Ltd. (a) |
EUR | 615 | 569,447 |
Security | Par (000) |
Value | ||||||||||
United Kingdom (continued) | ||||||||||||
Kane Bidco Ltd. (a) (continued) |
GBP | 699 | $ | 743,000 | ||||||||
Liquid Telecommunications Financing PLC, |
USD | 806 | 705,250 | |||||||||
MARB BondCo PLC, 3.95%, 01/29/31(d) |
439 | 335,405 | ||||||||||
Royalty Pharma PLC |
2,470 | 1,927,302 | ||||||||||
3.55%, 09/02/50 |
235 | 164,085 | ||||||||||
Vedanta Resources Finance II PLC, |
701 | 553,790 | ||||||||||
Vodafone Group PLC, 4.25%, 09/17/50 |
205 | 171,286 | ||||||||||
|
|
|||||||||||
13,887,767 | ||||||||||||
United States — 10.2% | ||||||||||||
AbbVie, Inc., 4.25%, 11/21/49 |
164 | 145,588 | ||||||||||
Acadia Healthcare Co., Inc., 5.00%, 04/15/29(a) |
153 | 137,353 | ||||||||||
Affinity Gaming, 6.88%, 12/15/27(a) |
1,000 | 840,040 | ||||||||||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons |
||||||||||||
LP/Albertsons LLC, 4.63%, 01/15/27(a) |
458 | 409,141 | ||||||||||
Allegiant Travel Co., 8.50%, 02/05/24(a) |
5,000 | 4,937,500 | ||||||||||
Alphabet, Inc., 2.25%, 08/15/60 |
170 | 110,451 | ||||||||||
Amazon.com, Inc. |
249 | 175,493 | ||||||||||
3.10%, 05/12/51 |
502 | 395,307 | ||||||||||
2.70%, 06/03/60 |
328 | 222,164 | ||||||||||
American Tower Corp. |
629 | 434,821 | ||||||||||
2.95%, 01/15/51 |
252 | 170,625 | ||||||||||
Amgen, Inc., 2.77%, 09/01/53 |
328 | 221,297 | ||||||||||
AMN Healthcare, Inc., 4.00%, 04/15/29(a) |
141 | 119,145 | ||||||||||
Anheuser-Busch InBev Worldwide, Inc., |
361 | 324,530 | ||||||||||
Apple, Inc. |
328 | 230,188 | ||||||||||
2.65%, 02/08/51 |
244 | 179,832 | ||||||||||
Ardagh Metal Packaging Finance USA LLC/Ardagh |
||||||||||||
Metal Packaging Finance PLC, 3.25%, 09/01/28(a) . |
1,180 | 1,007,211 | ||||||||||
Ashton Woods USA LLC/Ashton Woods Finance Co., 4.63%, 08/01/29(a) |
242 | 181,500 | ||||||||||
Avaya, Inc., 6.13%, 09/15/28(a) |
65 | 42,413 | ||||||||||
Azul Investments LLP 5.88%, 10/26/24(d)(o) |
295 | 223,057 | ||||||||||
7.25%, 06/15/26(a) |
495 | 343,808 | ||||||||||
Bank of America Corp.(b) |
||||||||||||
(3 mo. LIBOR US + 3.15%), 4.08%, 03/20/51 |
316 | 272,347 | ||||||||||
(SOFR + 1.56%), 2.97%, 07/21/52 |
328 | 232,871 | ||||||||||
Series N, (SOFR + 1.65%), 3.48%, 03/13/52 |
277 | 216,614 | ||||||||||
Bausch Health Cos., Inc., 9.00%, 12/15/25(a) |
129 | 95,312 | ||||||||||
Baxter International, Inc., 3.13%, 12/01/51 |
1,355 | 979,319 | ||||||||||
Blue Racer Midstream LLC/Blue Racer Finance Corp., 7.63%, 12/15/25(a) |
250 | 236,292 | ||||||||||
Boyd Gaming Corp. |
1,803 | 1,631,715 | ||||||||||
4.75%, 06/15/31(a) |
1,831 | 1,547,232 | ||||||||||
Bristol-Myers Squibb Co., 2.55%, 11/13/50 |
328 | 232,049 | ||||||||||
Broadcom, Inc. (a) |
3,660 | 2,940,585 | ||||||||||
3.75%, 02/15/51 |
517 | 383,028 | ||||||||||
Buckeye Partners LP, 4.50%, 03/01/28(a) |
475 | 400,009 | ||||||||||
Caesars Entertainment, Inc., 6.25%, 07/01/25(a) |
1,265 | 1,219,118 | ||||||||||
California Resources Corp., 7.13%, 02/01/26(a) |
2,293 | 2,242,164 | ||||||||||
Calpine Corp., 4.50%, 02/15/28(a) |
2,024 | 1,837,544 |
S C H E D U L E O F I N V E S T M E N T S |
19 |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Capital Allocation Trust (BCAT) (Percentages shown are based on Net Assets) |
Security | Par (000) |
Value | ||||||||||
United States (continued) | ||||||||||||
Carrier Global Corp., 3.38%, 04/05/40 |
USD | 2,445 | $ | 1,916,684 | ||||||||
Carrols Restaurant Group, Inc., 5.88%, 07/01/29(a) |
140 | 102,200 | ||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp., |
1,322 | 1,181,656 | ||||||||||
CDI Escrow Issuer, Inc., 5.75%, 04/01/30(a) |
591 | 537,810 | ||||||||||
Centene Corp. |
1,524 | 1,271,077 | ||||||||||
2.63%, 08/01/31 |
1,017 | 809,024 | ||||||||||
Centennial Resource Production LLC, |
94 | 84,794 | ||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital |
||||||||||||
3.50%, 06/01/41 |
234 | 163,777 | ||||||||||
3.70%, 04/01/51 |
297 | 200,978 | ||||||||||
3.85%, 04/01/61 |
328 | 215,704 | ||||||||||
Cheniere Energy, Inc., 4.63%, 10/15/28 |
925 | 833,027 | ||||||||||
Chesapeake Energy Corp. (a) |
864 | 822,770 | ||||||||||
5.88%, 02/01/29 |
158 | 148,994 | ||||||||||
6.75%, 04/15/29 |
1,668 | 1,613,006 | ||||||||||
Cinemark Holdings, Inc., 4.50%, 08/15/25(k) |
4,035 | 5,195,062 | ||||||||||
Citgo Holding, Inc., 9.25%, 08/01/24(a) |
874 | 845,595 | ||||||||||
Citigroup, Inc., (SOFR + 4.55%), 5.32%, 03/26/41(b) |
221 | 221,992 | ||||||||||
Coca-Cola Co., 2.50%, 03/15/51 |
328 | 237,544 | ||||||||||
Colgate Energy Partners III LLC (a) |
151 | 143,546 | ||||||||||
5.88%, 07/01/29 |
125 | 109,531 | ||||||||||
Comcast Corp., 2.45%, 08/15/52 |
328 | 217,698 | ||||||||||
Commercial Metals Co., 4.38%, 03/15/32 |
724 | 593,009 | ||||||||||
Covanta Holding Corp., 4.88%, 12/01/29(a) |
320 | 260,390 | ||||||||||
Crown Castle International Corp., 3.25%, 01/15/51 |
198 | 142,032 | ||||||||||
CSC Holdings LLC (a) |
1,374 | 1,188,510 | ||||||||||
7.50%, 04/01/28 |
1,342 | 1,120,570 | ||||||||||
CSX Corp., 2.50%, 05/15/51 |
328 | 220,676 | ||||||||||
CVS Health Corp., 5.05%, 03/25/48 |
152 | 145,502 | ||||||||||
Dana, Inc. |
1,390 | 1,196,485 | ||||||||||
4.25%, 09/01/30 |
174 | 135,059 | ||||||||||
Danaher Corp., 2.80%, 12/10/51 |
328 | 236,285 | ||||||||||
Dave & Buster’s, Inc., 7.63%, 11/01/25(a) |
154 | 152,075 | ||||||||||
Dell International LLC/EMC Corp. |
37 | 46,077 | ||||||||||
3.45%, 12/15/51(a) |
328 | 221,918 | ||||||||||
Earthstone Energy Holdings LLC, 8.00%, 04/15/27(a) |
2,445 | 2,313,581 | ||||||||||
Elevance Health, Inc., 3.13%, 05/15/50 |
289 | 218,156 | ||||||||||
Eli Lilly & Co., 2.25%, 05/15/50 |
328 | 231,828 | ||||||||||
Equinix, Inc. |
164 | 112,282 | ||||||||||
2.95%, 09/15/51 |
257 | 173,407 | ||||||||||
Five Point Operating Co. LP/Five Point Capital Corp., |
2,464 | 2,066,680 | ||||||||||
Flyr Convertible Notes, 8.00%, 07/20/23(c) |
2,119 | 2,187,867 | ||||||||||
Flyr Secured Notes, 10.00%, 01/20/27(c) |
1,113 | 1,120,680 | ||||||||||
Ford Motor Co., 3.25%, 02/12/32 |
636 | 475,664 | ||||||||||
Forestar Group, Inc. (a) |
740 | 608,115 | ||||||||||
5.00%, 03/01/28 |
5,535 | 4,520,593 | ||||||||||
Freed Co. Ltd., 10.00%, 12/02/23(c) |
5,965 | 5,756,225 |
Security | Par (000) |
Value | ||||||||||
United States (continued) | ||||||||||||
Freedom Mortgage Corp. (a) |
USD | 1,409 | $ | 1,215,488 | ||||||||
8.25%, 04/15/25 |
2,575 | 2,167,341 | ||||||||||
FreeWire Technologies, Inc., 13.00%, 03/31/25(c) |
2,255 | 2,308,218 | ||||||||||
Fresh Market, Inc., 9.75%, 05/01/23(a) |
3,000 | 3,000,000 | ||||||||||
Frontier Communications Holdings LLC (a) |
1,128 | 1,014,188 | ||||||||||
6.75%, 05/01/29 |
821 | 675,273 | ||||||||||
8.75%, 05/15/30 |
155 | 156,703 | ||||||||||
Full House Resorts, Inc., 8.25%, 02/15/28(a) |
230 | 183,834 | ||||||||||
General Motors Co., 5.95%, 04/01/49 |
319 | 296,228 | ||||||||||
General Motors Financial Co., Inc., 2.35%, 01/08/31 |
2,485 | 1,926,581 | ||||||||||
Genesis Energy LP/Genesis Energy Finance Corp., |
286 | 253,110 | ||||||||||
Gilead Sciences, Inc., 2.80%, 10/01/50 |
578 | 403,351 | ||||||||||
Goldman Sachs Group, Inc., |
1,335 | 974,780 | ||||||||||
Greenland Global Investment Ltd., |
240 | 79,200 | ||||||||||
HCA, Inc. |
881 | 876,384 | ||||||||||
3.50%, 09/01/30 |
814 | 692,478 | ||||||||||
3.50%, 07/15/51 |
328 | 224,003 | ||||||||||
Hilton Grand Vacations Borrower Escrow |
||||||||||||
5.00%, 06/01/29 |
918 | 743,580 | ||||||||||
4.88%, 07/01/31 |
1,417 | 1,081,578 | ||||||||||
Home Depot, Inc., 2.38%, 03/15/51 |
328 | 221,810 | ||||||||||
Homes By West Bay LLC, 9.50%, 04/30/27(c) |
5,256 | 4,960,613 | ||||||||||
Howard Hughes Corp. (a) |
1,002 | 772,830 | ||||||||||
4.38%, 02/01/31 |
1,102 | 815,571 | ||||||||||
Howmet Aerospace, Inc., 6.88%, 05/01/25 |
115 | 118,140 | ||||||||||
Intel Corp., 3.10%, 02/15/60 |
62 | 44,270 | ||||||||||
Intercontinental Exchange, Inc., 3.00%, 09/15/60 |
328 | 220,997 | ||||||||||
International Business Machines Corp. |
194 | 171,439 | ||||||||||
2.95%, 05/15/50 |
328 | 237,484 | ||||||||||
Johnson & Johnson, 2.25%, 09/01/50 |
328 | 229,022 | ||||||||||
JPMorgan Chase & Co.(b) |
||||||||||||
(SOFR + 1.51%), 2.53%, 11/19/41 |
328 | 234,667 | ||||||||||
(SOFR + 2.44%), 3.11%, 04/22/51 |
292 | 214,011 | ||||||||||
Kinetik Holdings LP, 5.88%, 06/15/30(a) |
562 | 535,370 | ||||||||||
Legends Hospitality Holding Co. LLC/Legends |
||||||||||||
Hospitality Co-Issuer, Inc., 5.00%, 02/01/26(a) |
77 | 64,526 | ||||||||||
Level 3 Financing, Inc. (a) |
1,880 | 1,602,700 | ||||||||||
4.25%, 07/01/28 |
988 | 791,635 | ||||||||||
3.63%, 01/15/29 |
1,030 | 794,184 | ||||||||||
Lightning eMotors, Inc., 7.50%, 05/15/24(a)(k) |
945 | 666,225 | ||||||||||
Lions Gate Capital Holdings LLC, 5.50%, 04/15/29(a) |
90 | 70,200 | ||||||||||
LogMeIn, Inc., 5.50%, 09/01/27(a) |
575 | 400,353 | ||||||||||
Lowe’s Cos., Inc., 3.00%, 10/15/50 |
624 | 434,790 | ||||||||||
LYB International Finance III LLC |
2,465 | 1,897,763 | ||||||||||
3.63%, 04/01/51 |
188 | 138,935 | ||||||||||
Marriott Ownership Resorts, Inc. |
1,374 | 1,191,802 | ||||||||||
4.50%, 06/15/29(a) |
942 | 783,441 | ||||||||||
MCM Trust, 1.00%, 01/01/59(c) |
5,744 | 5,622,085 | ||||||||||
Medline Borrower LP, 3.88%, 04/01/29(a) |
3,316 | 2,824,270 |
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 |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Capital Allocation Trust (BCAT) (Percentages shown are based on Net Assets) |
Security | Par (000) |
Value | ||||||||||
United States (continued) | ||||||||||||
Merck & Co., Inc., 2.45%, 06/24/50 |
USD | 328 | $ | 230,346 | ||||||||
MGM Resorts International |
1,806 | 1,603,116 | ||||||||||
5.50%, 04/15/27 |
1,770 | 1,588,599 | ||||||||||
Microsoft Corp., 2.68%, 06/01/60 |
328 | 235,162 | ||||||||||
Midwest Gaming Borrower LLC/Midwest Gaming |
||||||||||||
Finance Corp., 4.88%, 05/01/29(a) |
764 | 622,660 | ||||||||||
Moody’s Corp. |
80 | 49,852 | ||||||||||
3.10%, 11/29/61 |
248 | 170,050 | ||||||||||
Morgan Stanley, (SOFR + 1.43%), 2.80%, 01/25/52(b) . |
712 | 494,317 | ||||||||||
Motorola Solutions, Inc. |
700 | 565,627 | ||||||||||
5.50%, 09/01/44 |
185 | 172,203 | ||||||||||
Nationstar Mortgage Holdings, Inc. (a) |
242 | 209,920 | ||||||||||
5.50%, 08/15/28 |
2,056 | 1,649,197 | ||||||||||
5.13%, 12/15/30 |
1,318 | 985,245 | ||||||||||
5.75%, 11/15/31 |
488 | 373,662 | ||||||||||
New Home Co., Inc., 7.25%, 10/15/25(a) |
618 | 505,215 | ||||||||||
Novartis Capital Corp., 2.75%, 08/14/50 |
1,275 | 992,595 | ||||||||||
NRG Energy, Inc., 3.38%, 02/15/29(a) |
1,477 | 1,191,068 | ||||||||||
Oncor Electric Delivery Co. LLC, 2.70%, 11/15/51 |
1,365 | 997,498 | ||||||||||
Oracle Corp. |
328 | 227,848 | ||||||||||
3.95%, 03/25/51 |
749 | 550,138 | ||||||||||
Pacific Gas & Electric Co., 4.50%, 07/01/40 |
43 | 32,939 | ||||||||||
Paramount Global, 4.95%, 05/19/50 |
189 | 158,413 | ||||||||||
Park Intermediate Holdings LLC/PK Domestic |
||||||||||||
Property LLC/PK Finance Co.Issuer, 4.88%, 05/15/29(a) |
1,126 | 966,857 | ||||||||||
Parsley Energy LLC/Parsley Finance Corp., |
1,275 | 1,160,539 | ||||||||||
Peninsula Pacific Entertainment LLC/Peninsula |
||||||||||||
Pacific Entertainment Finance, Inc., 8.50%, 11/15/27(a) |
5,448 | 5,718,221 | ||||||||||
Pitney Bowes, Inc. (a) |
2,000 | 1,588,427 | ||||||||||
7.25%, 03/15/29 |
2,000 | 1,513,080 | ||||||||||
Playtika Holding Corp., 4.25%, 03/15/29(a) |
575 | 474,375 | ||||||||||
Rattler Midstream LP, 5.63%, 07/15/25(a) |
283 | 282,878 | ||||||||||
Roche Holdings, Inc., 2.61%, 12/13/51(a) |
328 | 238,150 | ||||||||||
Rocket Mortgage LLC/Rocket Mortgage Co.-Issuer, Inc.
(a) |
1,485 | 1,167,685 | ||||||||||
3.88%, 03/01/31 |
1,282 | 960,590 | ||||||||||
Salesforce, Inc., 2.90%, 07/15/51 |
328 | 248,036 | ||||||||||
Sasol Financing USA LLC |
799 | 696,313 | ||||||||||
5.50%, 03/18/31 |
954 | 729,333 | ||||||||||
Service Properties Trust |
1,335 | 1,241,049 | ||||||||||
7.50%, 09/15/25 |
83 | 76,049 | ||||||||||
5.50%, 12/15/27 |
226 | 183,060 | ||||||||||
Sirius XM Radio, Inc., 5.50%, 07/01/29(a) |
2,321 | 2,115,011 | ||||||||||
Southern California Edison Co., 2.95%, 02/01/51 |
1,450 | 983,144 | ||||||||||
SRS Distribution, Inc., 4.63%, 07/01/28(a) |
182 | 159,250 | ||||||||||
Steel Dynamics, Inc., 3.25%, 10/15/50 |
238 | 163,667 | ||||||||||
Stem, Inc., 0.50%, 12/01/28(a)(k) |
200 | 122,948 |
Security | Par (000) |
Value | ||||||||||
United States (continued) | ||||||||||||
Stillwater Mining Co., 4.50%, 11/16/29(a) |
USD | 425 | $ | 333,625 | ||||||||
Sunoco LP/Sunoco Finance Corp. |
1,715 | 1,413,647 | ||||||||||
4.50%, 04/30/30(a) |
737 | 595,042 | ||||||||||
Talen Energy Supply LLC (a)(e)(m) |
2,829 | 2,785,575 | ||||||||||
6.63%, 01/15/28 |
2,138 | 2,070,164 | ||||||||||
Tap Rock Resources LLC, 7.00%, 10/01/26(a) |
2,783 | 2,627,760 | ||||||||||
Taylor Morrison Communities, Inc., |
2,249 | 2,072,926 | ||||||||||
Tenet Healthcare Corp. (a) |
4,566 | 3,845,531 | ||||||||||
4.38%, 01/15/30 |
963 | 814,727 | ||||||||||
6.13%, 06/15/30 |
1,314 | 1,212,270 | ||||||||||
Texas Capital Bank NA, (3 mo. LIBOR US + 4.50%), |
3,800 | 3,645,602 | ||||||||||
T-Mobile USA, Inc. |
251 | 222,713 | ||||||||||
3.30%, 02/15/51 |
241 | 175,492 | ||||||||||
TransDigm, Inc., 6.25%, 03/15/26(a) |
2,177 | 2,098,084 | ||||||||||
Travel & Leisure Co., 4.63%, 03/01/30(a) |
467 | 361,925 | ||||||||||
United Wholesale Mortgage LLC (a) |
2,517 | 2,156,037 | ||||||||||
5.75%, 06/15/27 |
1,429 | 1,145,715 | ||||||||||
UnitedHealth Group, Inc. |
618 | 462,835 | ||||||||||
3.13%, 05/15/60 |
230 | 167,807 | ||||||||||
Venture Global Calcasieu Pass LLC, |
559 | 461,175 | ||||||||||
Verizon Communications, Inc. |
302 | 214,302 | ||||||||||
3.55%, 03/22/51 |
351 | 281,387 | ||||||||||
2.99%, 10/30/56 |
328 | 227,721 | ||||||||||
VICI Properties LP |
3,771 | 3,553,564 | ||||||||||
5.63%, 05/15/52 |
1,378 | 1,254,214 | ||||||||||
VICI Properties LP/VICI Note Co., Inc. (a) |
3,880 | 3,690,850 | ||||||||||
4.25%, 12/01/26 |
1,200 | 1,095,972 | ||||||||||
Visa, Inc., 2.00%, 08/15/50 |
328 | 217,543 | ||||||||||
Vistra Operations Co. LLC, 5.00%, 07/31/27(a) |
3,221 | 2,928,243 | ||||||||||
Walmart, Inc., 2.65%, 09/22/51 |
328 | 246,580 | ||||||||||
Walt Disney Co., 2.75%, 09/01/49 |
328 | 234,124 | ||||||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.
(a) |
1,776 | 1,625,040 | ||||||||||
5.25%, 05/15/27(o) |
1,363 | 1,167,396 | ||||||||||
Xerox Holdings Corp. (a) |
2,000 | 1,860,360 | ||||||||||
5.50%, 08/15/28 |
1,185 | 990,741 | ||||||||||
XHR LP (a) |
861 | 830,312 | ||||||||||
4.88%, 06/01/29 |
170 | 145,836 | ||||||||||
|
|
|||||||||||
195,592,418 |
S C H E D U L E O F I N V E S T M E N T S |
21 |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Capital Allocation Trust (BCAT) (Percentages shown are based on Net Assets) |
Security | Par (000) |
Value | ||||||||||
Vietnam — 0.1% | ||||||||||||
Mong Duong Finance Holdings BV, |
USD | 1,500 | $ | 1,206,844 | ||||||||
|
|
|||||||||||
Total Corporate Bonds — 16.5% |
315,750,375 | |||||||||||
|
|
|||||||||||
Floating Rate Loan Interests(b) |
||||||||||||
Australia(c) — 0.0% | ||||||||||||
Oafit A Note Upsize |
AUD | 100 | 67,817 | |||||||||
(1 mo. LIBOR + 5.50%), 8.00%, 01/21/24 |
810 | 552,841 | ||||||||||
|
|
|||||||||||
620,658 | ||||||||||||
Belgium — 0.2% | ||||||||||||
Apollo Finco, 2021 EUR Term Loan B, |
EUR | 3,566 | 3,419,345 | |||||||||
|
|
|||||||||||
Canada — 0.0% | ||||||||||||
Great Canadian Gaming Corp., 2021 Term Loan, (3 mo. LIBOR + 4.00%, 0.75% Floor), 6.10%, 11/01/26 |
USD | 276 | 259,026 | |||||||||
Kronos Acquisition Holdings, Inc., 2021 1st Lien Term Loan, (SOFR + 6.00%, 1.00% Floor), 7.65%, 12/22/26 |
519 | 508,353 | ||||||||||
|
|
|||||||||||
767,379 | ||||||||||||
Cayman Islands — 0.3% | ||||||||||||
Vita Global Finco Ltd., Term Loan B, |
EUR | 5,046 | 5,175,769 | |||||||||
|
|
|||||||||||
Jersey — 0.2% | ||||||||||||
Vita Global FinCo Ltd., GBP Incremental Term Loan, (SONIA + 7.00%), |
GBP | 3,028 | 3,607,308 | |||||||||
|
|
|||||||||||
Luxembourg — 0.5% | ||||||||||||
Luxembourg Life Fund (c) 2021 1st Lien Term Loan, (3 mo. LIBOR + 9.25%), 11.50%, 05/27/26 |
USD | 3,397 | 3,346,044 | |||||||||
2021 Term Loan, (3 mo. LIBOR + 9.25%), |
2,896 | 2,881,520 | ||||||||||
Pronovias SL |
||||||||||||
EUR Term Loan B1, (EURIBOR + 4.50%), |
EUR | 1,473 | 1,060,226 | |||||||||
EUR Term Loan B3, (EURIBOR + 4.50%), |
3,720 | 2,676,635 | ||||||||||
|
|
|||||||||||
9,964,425 | ||||||||||||
United Kingdom — 0.1% | ||||||||||||
Constellation Automative Ltd., (SONIA + 7.50%), 8.69%, 07/30/29 |
GBP | 750 | 812,548 | |||||||||
GVC Holdings Ltd., 2021 USD Term Loan B4, (3 mo. LIBOR + 2.25%), |
USD | 1,260 | 1,202,812 | |||||||||
|
|
|||||||||||
2,015,360 | ||||||||||||
United States — 7.1% | ||||||||||||
ACProducts Holdings, Inc., 2021 Term Loan B, (3 mo. LIBOR + 4.25%), |
3,885 | 2,991,050 | ||||||||||
Altar Bidco, Inc., 2021 Term Loan, (SOFR + 3.35%), 5.51%, 02/01/29 |
852 | 781,284 | ||||||||||
American Auto Auction Group LLC, 2021 Term Loan B, (SOFR + 5.00%, 0.75% Floor), 7.05%, 12/30/27 |
2,984 | 2,782,585 |
Security | Par (000) |
Value | ||||||||||
United States (continued) | ||||||||||||
American Rock Salt Co. LLC, 2021 Term Loan, |
USD | 430 | $ | 386,923 | ||||||||
AMF MF Portfolio, Term Loan, (Fixed + 6.69%), 6.67%, 11/01/28(c) |
2,975 | 2,975,000 | ||||||||||
Avaya, Inc. 5.57%, 12/15/27 |
257 | 192,615 | ||||||||||
2021 Term Loan B2, (1 mo. LIBOR + 4.00%), 5.32%, 12/15/27 |
170 | 128,350 | ||||||||||
City Brewing Co. LLC, Closing Date Term Loan, (3 mo. LIBOR + 3.50%), |
704 | 623,240 | ||||||||||
CML Hyatt Lost Pines, Term Loan, (1 mo. LIBOR + 3.43%), 4.63%, 09/09/26(c) |
5,000 | 4,925,000 | ||||||||||
CML La Quinta Resort, Term Loan, (1 mo. LIBOR + 3.56%), 3.60%, 12/09/26(c) |
6,800 | 6,726,985 | ||||||||||
CML ST Regis Aspen, Term Loan, (3 mo. LIBOR + 2.90%, 1.00% Floor), |
4,526 | 4,446,016 | ||||||||||
Cobham Ultra U.S. Co-Borrower LLC, |
276 | 261,971 | ||||||||||
Conair Holdings LLC, Term Loan B, (3 mo. LIBOR + 3.75%), 6.00%, 05/17/28 |
422 | 351,613 | ||||||||||
ConnectWise LLC, 2021 Term Loan B, |
794 | 722,872 | ||||||||||
Cypher Bidco, (EURIBOR + 4.50%), |
EUR | 1,828 | 1,776,447 | |||||||||
Digital Room Holdings, Inc., 2021 Term Loan, |
USD | 982 | 981,226 | |||||||||
Directv Financing LLC, Term Loan, |
1,653 | 1,517,425 | ||||||||||
DS Parent, Inc., Term Loan, (3 mo. LIBOR + 5.75%, 0.75% Floor), 8.00%, 12/10/28 |
1,535 | 1,468,154 | ||||||||||
Dun & Bradstreet Corp., Term Loan, (1 mo. LIBOR + 3.25%), 4.87%, 02/06/26 |
254 | 239,557 | ||||||||||
ECL Entertainment LLC, Term Loan, (3 mo. LIBOR + 7.50%, 0.75% Floor), |
3,624 | 3,531,533 | ||||||||||
Emerald Electronics Manufacturing Services, Term Loan, (SOFR + 6.25%, 1.00% Floor), |
1,175 | 1,127,264 | ||||||||||
Fanatics Commerce Intermediate Holdco LLC, Term Loan B, (1 mo. LIBOR + 3.25%), 4.92%, 11/24/28 |
967 | 911,234 | ||||||||||
Foundation Building Materials Holding Co. LLC, 2021 Term Loan, (3 mo. LIBOR + 3.25%), 4.49%, 01/31/28(c) |
829 | 720,843 | ||||||||||
Galaxy Universal LLC, 1st Lien Term Loan, |
13,258 | 12,926,522 | ||||||||||
GoTo Group, Inc., Term Loan B, (1 mo. LIBOR + 4.75%), 6.35%, 08/31/27 |
865 | 655,333 | ||||||||||
Green Plains Operating Co. LLC, Term Loan, |
7,098 | 6,965,267 | ||||||||||
Herschend Entertainment Co. LLC, 2021 Term Loan, (1 mo. LIBOR + 3.75%), |
390 | 370,526 | ||||||||||
Hilton Grand Vacations Borrower LLC, 2021 Term Loan B, (1 mo. LIBOR + 3.00%), 4.67%, 08/02/28 |
931 | 865,625 | ||||||||||
Hydrofarm Holdings LLC, 2021 Term Loan, |
1,926 | 1,772,214 | ||||||||||
IPS Corp., 2021 Term Loan, (1 mo. LIBOR + 3.50%), 5.17%, 10/02/28 |
632 | 579,429 |
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 |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Capital Allocation Trust (BCAT) (Percentages shown are based on Net Assets) |
Security | Par (000) |
Value | ||||||||||
United States (continued) | ||||||||||||
ITT Holdings LLC, 2021 Term Loan, (1 mo. LIBOR + 2.75%), |
USD | 688 | $ | 657,294 | ||||||||
J&J Ventures Gaming LLC, Term Loan, |
1,440 | 1,370,154 | ||||||||||
Jack Ohio Finance LLC, (1 mo. LIBOR + 4.75%, 0.75% Floor), |
572 | 537,270 | ||||||||||
Jeld-Wen, Inc., 2021 Term Loan B, (1 mo. LIBOR +
2.25%), |
3,125 | 2,958,983 | ||||||||||
LBM Acquisition LLC, Term Loan B, |
4,070 | 3,325,718 | ||||||||||
LSF11 A5 Holdco LLC, Term Loan, (SOFR + 3.50%), |
1,434 | 1,338,486 | ||||||||||
Maverick Gaming LLC, Term Loan B, |
940 | 856,876 | ||||||||||
Medical Solutions Holdings, Inc., 2021 2nd Lien Term Loan, |
1,052 | 967,840 | ||||||||||
Medline Borrower LP, USD Term Loan B, |
3,670 | 3,397,430 | ||||||||||
MI Windows & Doors LLC, 2022 Term Loan, |
538 | 503,520 | ||||||||||
MIP V Waste Holdings LLC, Term Loan B, |
1,509 | 1,456,395 | ||||||||||
Naked Juice LLC, 2nd Lien Term Loan, (SOFR + 6.00%), |
141 | 126,900 | ||||||||||
Opendoor GP II LLC, Term Loan, 10.00%, 01/23/26(c) . |
6,663 | 6,310,108 | ||||||||||
OVG Business Services LLC, Initial Term Loan, |
5,234 | 4,906,765 | ||||||||||
Park River Holdings, Inc., Term Loan, (3 mo. LIBOR + 3.25%), |
2,200 | 1,790,154 | ||||||||||
Profrac Services LLC, (SOFR + 8.50%, 1.00% Floor), |
1,651 | 1,736,167 | ||||||||||
Project Ruby Ultimate Parent Corp., 2021 Term Loan, |
921 | 861,736 | ||||||||||
Redstone Holdco 2 LP 8.97%, 04/27/29 |
620 | 530,720 | ||||||||||
2021 Term Loan, (3 mo. LIBOR + 4.75%), |
1,129 | 967,579 | ||||||||||
Scientific Games Holdings LP, 2022 USD Term Loan B, |
1,608 | 1,485,390 | ||||||||||
SCIH Salt Holdings, Inc., 2021 Incremental Term Loan B, |
863 | 768,454 | ||||||||||
SeaWorld Parks & Entertainment, Inc., 2021 Term Loan B, |
3,177 | 2,977,568 | ||||||||||
Signal Parent, Inc., Term Loan B, (1 mo. LIBOR + 3.50%), |
2,865 | 2,186,807 | ||||||||||
Sonder Secured Notes, 01/19/27(c)(p) |
8,568 | 7,754,040 | ||||||||||
Sovos Brands Intermediate, Inc., 2021 Term Loan, |
336 | 316,587 | ||||||||||
Springs Windows Fashions LLC, 2021 Term Loan B, |
549 | 449,187 | ||||||||||
SRS Distribution, Inc., 2021 Term Loan B, |
1,863 | 1,715,195 | ||||||||||
Talen Energy Supply LLC, 2022 DIP Term Loan, |
4,613 | 4,553,907 |
Security | Par (000) |
Value | ||||||||||
United States (continued) | ||||||||||||
The Enterprise Development Authority, Term Loan B, |
||||||||||||
5.92%, 02/28/28 |
USD | 4,267 | $ | 4,059,360 | ||||||||
Triton Water Holdings, Inc., Term Loan, |
1,182 | 1,042,289 | ||||||||||
Twin River Worldwide Holdings, Inc., 2021 Term |
||||||||||||
4.37%, 10/02/28 |
2,486 | 2,301,262 | ||||||||||
Ultimate Software Group, Inc., 2021 Term Loan, |
408 | 381,090 | ||||||||||
Vaco Holdings LLC, 2022 Term Loan, |
1,160 | 1,112,800 | ||||||||||
Valcour Packaging LLC, 2021 1st Lien Term Loan, |
427 | 398,112 | ||||||||||
VS Buyer LLC, Term Loan B, (1 mo. LIBOR + 3.00%), |
254 | 238,537 | ||||||||||
White Cap Buyer LLC, Term Loan B, |
4,264 | 3,917,734 | ||||||||||
|
|
|||||||||||
134,962,517 | ||||||||||||
|
|
|||||||||||
Total Floating Rate Loan Interests — 8.4% |
160,532,761 | |||||||||||
|
|
|||||||||||
Foreign Agency Obligations |
||||||||||||
Argentina — 0.0% | ||||||||||||
Argentine Republic Government International Bond, |
1,752 | 451,116 | ||||||||||
|
|
|||||||||||
Austria — 0.1% | ||||||||||||
Republic of Austria Government Bond, |
EUR | 1,408 | 1,246,062 | |||||||||
|
|
|||||||||||
Bahrain — 0.1% | ||||||||||||
Bahrain Government International Bond |
USD | 744 | 710,427 | |||||||||
5.63%, 09/30/31(a) |
321 | 276,120 | ||||||||||
5.45%, 09/16/32(d) |
457 | 383,537 | ||||||||||
|
|
|||||||||||
1,370,084 | ||||||||||||
Brazil — 0.4% | ||||||||||||
Brazil Letras do Tesouro Nacional, 0.00%, 07/01/24(q) |
BRL | 54,542 | 8,155,033 | |||||||||
|
|
|||||||||||
Chile — 0.1% | ||||||||||||
Chile Government International Bond |
USD | 694 | 619,395 | |||||||||
4.00%, 01/31/52 |
290 | 240,265 | ||||||||||
|
|
|||||||||||
859,660 | ||||||||||||
Colombia — 0.2% | ||||||||||||
Colombia Government International Bond |
1,733 | 1,529,156 | ||||||||||
3.13%, 04/15/31 |
2,643 | 1,960,445 | ||||||||||
|
|
|||||||||||
3,489,601 | ||||||||||||
Dominican Republic — 0.2% | ||||||||||||
Dominican Republic International Bond |
1,307 | 1,248,022 | ||||||||||
6.00%, 07/19/28(d) |
342 | 316,948 | ||||||||||
5.50%, 02/22/29(a) |
646 | 561,334 | ||||||||||
4.50%, 01/30/30(a) |
1,312 | 1,046,976 | ||||||||||
4.88%, 09/23/32(a) |
656 | 504,218 | ||||||||||
6.40%, 06/05/49(d) |
790 | 587,464 | ||||||||||
|
|
|||||||||||
4,264,962 |
S C H E D U L E O F I N V E S T M E N T S |
23 |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Capital Allocation Trust (BCAT) (Percentages shown are based on Net Assets) |
Security | Par (000) |
Value | ||||||||||
Egypt(a) — 0.1% |
||||||||||||
Egypt Government International Bond |
USD | 572 | $ | 510,510 | ||||||||
8.50%, 01/31/47 |
400 | 235,000 | ||||||||||
7.50%, 02/16/61 |
400 | 221,000 | ||||||||||
|
|
|||||||||||
966,510 | ||||||||||||
Guatemala — 0.1% |
||||||||||||
Guatemala Government Bond |
487 | 467,916 | ||||||||||
5.38%, 04/24/32(a) |
735 | 676,797 | ||||||||||
3.70%, 10/07/33(d) |
596 | 458,287 | ||||||||||
4.65%, 10/07/41(a) |
551 | 401,644 | ||||||||||
|
|
|||||||||||
2,004,644 | ||||||||||||
Hungary — 0.1% |
||||||||||||
Hungary Government International Bond, |
973 | 969,456 | ||||||||||
|
|
|||||||||||
Indonesia — 0.2% |
||||||||||||
Indonesia Government International Bond |
487 | 464,111 | ||||||||||
4.10%, 04/24/28 |
688 | 675,874 | ||||||||||
3.40%, 09/18/29 |
1,079 | 1,001,312 | ||||||||||
Perusahaan Penerbit SBSN Indonesia III, |
510 | 506,175 | ||||||||||
|
|
|||||||||||
2,647,472 | ||||||||||||
Ivory Coast — 0.1% |
||||||||||||
Ivory Coast Government International Bond, |
906 | 800,847 | ||||||||||
|
|
|||||||||||
Mexico — 0.1% |
||||||||||||
Mexico Government International Bond |
200 | 197,100 | ||||||||||
4.50%, 04/22/29 |
1,050 | 1,019,550 | ||||||||||
2.66%, 05/24/31 |
1,724 | 1,418,852 | ||||||||||
|
|
|||||||||||
2,635,502 | ||||||||||||
Mongolia — 0.0% |
||||||||||||
Mongolia Government International Bond, |
827 | 736,121 | ||||||||||
|
|
|||||||||||
Morocco — 0.1% |
||||||||||||
Morocco Government International Bond, |
1,221 | 866,910 | ||||||||||
|
|
|||||||||||
Nigeria — 0.0% |
||||||||||||
Nigeria Government International Bond |
460 | 348,450 | ||||||||||
7.88%, 02/16/32(d) |
561 | 388,493 | ||||||||||
|
|
|||||||||||
736,943 | ||||||||||||
Oman(d) — 0.1% |
||||||||||||
Oman Government International Bond |
909 | 762,424 | ||||||||||
6.75%, 01/17/48 |
1,588 | 1,365,680 | ||||||||||
7.00%, 01/25/51 |
316 | 278,080 | ||||||||||
|
|
|||||||||||
2,406,184 | ||||||||||||
Panama — 0.1% |
||||||||||||
Panama Government International Bond |
940 | 897,289 |
Security | Par (000) |
Value | ||||||||||
Panama (continued) |
||||||||||||
Panama Government International Bond (continued) |
|
|||||||||||
9.38%, 04/01/29 |
USD | 498 | $ | 607,062 | ||||||||
3.16%, 01/23/30 |
878 | 782,133 | ||||||||||
|
|
|||||||||||
2,286,484 | ||||||||||||
Paraguay — 0.1% |
||||||||||||
Paraguay Government International Bond |
916 | 878,673 | ||||||||||
5.60%, 03/13/48(d) |
529 | 415,860 | ||||||||||
5.40%, 03/30/50(a) |
643 | 497,240 | ||||||||||
|
|
|||||||||||
1,791,773 | ||||||||||||
Peru — 0.1% |
||||||||||||
Peruvian Government International Bond |
497 | 423,009 | ||||||||||
1.86%, 12/01/32 |
850 | 646,425 | ||||||||||
3.00%, 01/15/34 |
504 | 413,532 | ||||||||||
|
|
|||||||||||
1,482,966 | ||||||||||||
Qatar — 0.0% |
||||||||||||
Qatar Government International Bond |
316 | 319,160 | ||||||||||
4.40%, 04/16/50(d) |
200 | 191,750 | ||||||||||
|
|
|||||||||||
510,910 | ||||||||||||
Romania(a) — 0.1% |
||||||||||||
Romanian Government International Bond |
972 | 925,830 | ||||||||||
3.00%, 02/14/31 |
74 | 56,924 | ||||||||||
3.63%, 03/27/32 |
1,440 | 1,124,370 | ||||||||||
|
|
|||||||||||
2,107,124 | ||||||||||||
Saudi Arabia — 0.1% |
||||||||||||
Saudi Government International Bond |
452 | 457,650 | ||||||||||
4.50%, 04/17/30(d) |
489 | 498,780 | ||||||||||
2.25%, 02/02/33(d) |
1,770 | 1,469,100 | ||||||||||
|
|
|||||||||||
2,425,530 | ||||||||||||
South Africa — 0.3% |
||||||||||||
Republic of South Africa Government Bond, |
ZAR | 82,500 | 4,005,636 | |||||||||
Republic of South Africa Government International Bond |
||||||||||||
4.85%, 09/30/29 |
USD | 440 | 375,595 | |||||||||
5.88%, 04/20/32 |
1,080 | 912,600 | ||||||||||
|
|
|||||||||||
5,293,831 | ||||||||||||
Spain(a)(d) — 0.2% |
||||||||||||
Spain Government Bond |
EUR | 1,487 | 1,315,836 | |||||||||
3.45%, 07/30/66 |
2,868 | 3,118,228 | ||||||||||
|
|
|||||||||||
4,434,064 | ||||||||||||
Sri Lanka(d) — 0.0% |
||||||||||||
Sri Lanka Government International Bond |
USD | 900 | 279,731 | |||||||||
6.85%, 03/14/24(e)(m) |
900 | 252,099 | ||||||||||
6.35%, 06/28/24 |
335 | 93,837 | ||||||||||
|
|
|||||||||||
625,667 |
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 |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Capital Allocation Trust (BCAT) (Percentages shown are based on Net Assets) |
Security | Par (000) |
Value | ||||||||||
Ukraine — 0.0% |
||||||||||||
Ukraine Government International Bond |
USD | 515 | $ | 159,650 | ||||||||
8.99%, 02/01/24(d) |
1,113 | 278,250 | ||||||||||
7.25%, 03/15/33(a) |
955 | 233,975 | ||||||||||
|
|
|||||||||||
671,875 | ||||||||||||
Uruguay — 0.0% |
||||||||||||
Uruguay Government International Bond, 4.38%, 10/27/27 |
470 | 475,376 | ||||||||||
|
|
|||||||||||
Total Foreign Agency Obligations — 3.0% |
|
56,712,707 | ||||||||||
|
|
|||||||||||
Shares | ||||||||||||
Investment Companies |
|
|||||||||||
United States — 1.1% |
||||||||||||
Invesco QQQ Trust, Series 1 |
14,100 | 3,951,948 | ||||||||||
iShares China Large-Cap ETF(r) |
9,792 | 332,047 | ||||||||||
iShares iBoxx $ High Yield Corporate Bond ETF(r) |
98,937 | 7,282,753 | ||||||||||
iShares MSCI Brazil ETF(r) |
23,271 | 637,393 | ||||||||||
iShares Russell 2000 ETF(r) |
9,800 | 1,659,727 | ||||||||||
KraneShares CSI China Internet ETF |
40,520 | 1,327,435 | ||||||||||
SPDR Bloomberg High Yield Bond ETF |
54,412 | 4,935,712 | ||||||||||
VanEck Semiconductor ETF |
2,681 | 546,200 | ||||||||||
|
|
|||||||||||
Total Investment Companies — 1.1% |
20,673,215 | |||||||||||
|
|
|||||||||||
Par (000) |
||||||||||||
Municipal Bonds |
||||||||||||
Puerto Rico(b) — 0.1% |
||||||||||||
Commonwealth of Puerto Rico, GO |
USD | 443 | 220,253 | |||||||||
0.00%, 11/01/51 |
4,628 | 1,990,040 | ||||||||||
Commonwealth of Puerto Rico, RB, 0.00%, 11/01/51 |
1,841 | 561,446 | ||||||||||
|
|
|||||||||||
Total Municipal Bonds — 0.1% |
2,771,739 | |||||||||||
|
|
|||||||||||
Non-Agency Mortgage-Backed Securities |
|
|||||||||||
United States — 11.3% |
||||||||||||
245 Park Avenue Trust, Series 2017-245P, Class E, 3.78%, 06/05/37(a)(b) |
2,000 | 1,635,000 | ||||||||||
Ajax Mortgage Loan Trust(a) |
||||||||||||
Series 2021-G, Class A, |
5,586 | 5,178,243 | ||||||||||
Series 2021-G, Class B, |
706 | 638,740 | ||||||||||
Series 2021-G, Class C, |
1,277 | 1,153,145 | ||||||||||
BAMLL Commercial Mortgage Securities Trust(a)(b) |
||||||||||||
Class D, (1 mo. LIBOR US + 1.70%), 3.02%, 09/15/34 |
2,000 | 1,890,811 | ||||||||||
Series 2015-200P, Class F, |
3,000 | 2,702,937 | ||||||||||
Series 2017-SCH, Class AL, (1 mo. |
|
2,000 | 1,882,358 | |||||||||
Banc of America Commercial Mortgage Trust, |
||||||||||||
Series 2007-4, Class H, |
543 | 542,646 |
Security | Par (000) |
Value | ||||||||||
United States (continued) |
||||||||||||
BFLD Trust, (1 mo. LIBOR US + 3.70%), |
USD | 4,000 | $ | 3,760,004 | ||||||||
BX Commercial Mortgage Trust(a)(b) |
||||||||||||
Series 2019-XL, Class J, (1 mo. LIBOR US + 2.65%), 3.97%, 10/15/36 |
3,400 | 3,196,054 | ||||||||||
Series 2020-VIVA, Class D, 3.67%, 03/11/44 |
2,006 | 1,618,770 | ||||||||||
Series 2020-VKNG, Class G, (1 mo. LIBOR |
1,729 | 1,604,865 | ||||||||||
Series 2021-VINO, Class G, (1 mo. LIBOR |
450 | 402,387 | ||||||||||
BX Trust(a)(b) |
||||||||||||
Series 2021-ARIA, Class G, (1 mo. LIBOR |
2,350 | 2,121,237 | ||||||||||
Series 2021-LBA, Class GJV, (1 mo. LIBOR |
1,320 | 1,209,161 | ||||||||||
Series 2021-LBA, Class GV, (1 mo. LIBOR |
1,030 | 933,292 | ||||||||||
Series 2021-MFM1, Class F, (1 mo. LIBOR |
750 | 696,836 | ||||||||||
Series 2021-MFM1, Class G, (1 mo. LIBOR |
1,780 | 1,648,009 | ||||||||||
Series 2021-SDMF, Class J, (1 mo. LIBOR |
2,410 | 2,215,242 | ||||||||||
Series 2021-VIEW, Class E, (1 mo. LIBOR |
2,455 | 2,273,188 | ||||||||||
CFCRE Commercial Mortgage Trust(a) |
||||||||||||
Series 2018-TAN, Class C, 5.29%, 02/15/33 |
1,500 | 1,484,640 | ||||||||||
Series 2018-TAN, Class E, |
1,100 | 1,085,610 | ||||||||||
CFMT LLC, Series 2020-HB4, Class M4, |
3,400 | 3,296,860 | ||||||||||
Citigroup Commercial Mortgage Trust(b) |
||||||||||||
Series 2015-GC27, Class C, |
1,000 | 944,295 | ||||||||||
Series 2016-C1, Class C, 5.11%, 05/10/49 |
1,735 | 1,668,406 | ||||||||||
Series 2019-PRM, Class E, |
2,000 | 2,011,051 | ||||||||||
Cold Storage Trust, Series 2020-ICE5, Class F, (1 mo. LIBOR US + 3.49%), |
3,932 | 3,734,999 | ||||||||||
COMM Mortgage Trust(b) |
||||||||||||
Series 2015-CR25, Class C, |
2,000 | 1,841,974 | ||||||||||
Series 2019-GC44, Class 180B, |
1,900 | 1,675,916 | ||||||||||
Credit Suisse Mortgage Capital Certificates
Trust (a) |
3,400 | 3,367,564 | ||||||||||
Class E, (1 mo. LIBOR US + 3.50%), |
2,500 | 2,356,675 | ||||||||||
Series 2019-ICE4, Class F, (1 mo. LIBOR |
4,400 | 4,180,337 | ||||||||||
Series 2020-FACT, Class E, (1 mo. LIBOR |
1,000 | 949,636 | ||||||||||
Series 2020-FACT, Class F, (1 mo. LIBOR |
1,700 | 1,613,496 | ||||||||||
Series 2020-NET, Class D, |
1,275 | 1,153,082 | ||||||||||
Series 2021-980M, Class E, |
2,410 | 2,026,274 | ||||||||||
CSAIL Commercial Mortgage Trust, Series 2018- CX12, Class C, 4.90%, 08/15/51(b) |
2,300 | 2,098,869 | ||||||||||
Deephaven Residential Mortgage Trust, |
||||||||||||
Series 2021-1, Class B2, 3.96%, |
|
1,550 | 1,405,213 | |||||||||
ELP Commercial Mortgage Trust, Series 2021-ELP, Class J, (1 mo. LIBOR US + 3.61%), 4.94%, 11/15/38(a)(b) |
2,400 | 2,197,707 |
S C H E D U L E O F I N V E S T M E N T S |
25 |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Capital Allocation Trust (BCAT) (Percentages shown are based on Net Assets) |
Security | Par (000) |
Value | ||||||||||
United States (continued) |
||||||||||||
Freddie Mac STACR REMIC Trust(a)(b) |
||||||||||||
Series 2020-DNA5, Class B1, (30 day SOFR + 4.80%), 5.73%, 10/25/50 |
USD | 2,500 | $ | 2,527,296 | ||||||||
Series 2020-DNA6, Class B2, (30 day SOFR + 5.65%), 6.58%, 12/25/50 |
2,000 | 1,695,196 | ||||||||||
Series 2021-DNA5, Class B2, (30 day SOFR + 5.50%), 6.43%, 01/25/34 |
4,000 | 3,087,062 | ||||||||||
Series 2021-HQA1, Class B2, (30 day SOFR + 5.00%), 5.93%, 08/25/33 |
3,251 | 2,494,774 | ||||||||||
Series 2021-HQA3, Class B2, (30 day SOFR + 6.25%), 7.18%, 09/25/41 |
1,167 | 924,810 | ||||||||||
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2020-HQA5, Class B1, (30 day SOFR +
4.00%), |
3,650 | 3,437,407 | ||||||||||
Grace Trust, Series 2020-GRCE, Class F, |
2,000 | 1,347,081 | ||||||||||
GS Mortgage Securities Corp. Trust(a)(b) |
||||||||||||
Series 2020-TWN3, Class D, (1 mo. LIBOR US + 3.70%), 5.02%, 11/15/37 |
2,500 | 2,445,400 | ||||||||||
Series 2021-IP, Class E, (1 mo. LIBOR US + 3.55%), 4.87%, 10/15/36 |
1,540 | 1,426,419 | ||||||||||
HONO Mortgage Trust(a)(b) |
||||||||||||
Series 2021-LULU, Class E, (1 mo. LIBOR US + 3.35%), 4.67%, 10/15/36 |
1,080 | 1,020,039 | ||||||||||
Series 2021-LULU, Class F, (1 mo. LIBOR US + 4.40%), 5.72%, 10/15/36 |
1,305 | 1,228,240 | ||||||||||
Imperial Fund Mortgage Trust, Series 2020-NQM1, Class B1, 4.00%, 10/25/55(a)(b) |
3,603 | 3,295,121 | ||||||||||
InTown Hotel Portfolio Trust, Series 2018-STAY, Class E, (1 mo. LIBOR US + 3.50%), 4.83%, 01/15/33(a)(b) |
1,790 | 1,763,138 | ||||||||||
JP Morgan Chase Commercial Mortgage Securities Trust, Series
2019-MFP, Class F, (1 mo. LIBOR US + 3.00%), |
2,320 | 2,131,994 | ||||||||||
JP Morgan Mortgage Trust(a)(b) |
||||||||||||
Series 2021-1, Class A3X, 0.50%, 06/25/51 |
53,941 | 1,403,595 | ||||||||||
Series 2021-1, Class AX1, 0.13%, 06/25/51 |
218,893 | 1,348,533 | ||||||||||
Series 2021-1, Class AX4, 0.40%, 06/25/51 |
13,978 | 288,358 | ||||||||||
Series 2021-1, Class B4, 3.03%, 06/25/51 |
834 | 572,555 | ||||||||||
Series 2021-1, Class B5, 3.03%, 06/25/51 |
1,001 | 636,906 | ||||||||||
Series 2021-1, Class B6, 3.03%, 06/25/51 |
1,536 | 410,224 | ||||||||||
Series 2021-4, Class B4, 2.90%, 08/25/51 |
1,245 | 919,461 | ||||||||||
Series 2021-4, Class B5, 2.90%, 08/25/51 |
934 | 593,912 | ||||||||||
Series 2021-4, Class B6, 2.90%, 08/25/51 |
2,229 | 561,581 | ||||||||||
Lehman Brothers Small Balance Commercial Mortgage Trust, Series 2007-2A, Class M2, (1 mo. LIBOR US + 0.60%), 2.22%, 06/25/37(a)(b) |
2,735 | 2,342,958 | ||||||||||
MCM Trust, 3.00%, 08/25/28(c) |
2,382 | 1,595,934 | ||||||||||
MED Trust, Class G, (1 mo. LIBOR US + 5.25%), 6.58%, 11/15/38(a)(b) |
7,203 | 6,484,943 | ||||||||||
Mello Warehouse Securitization Trust(a)(b) |
||||||||||||
Series 2020-2, Class F, (1 mo. LIBOR US + 3.25%), 4.87%, 11/25/53 |
1,368 | 1,347,708 | ||||||||||
Series 2020-2, Class G, (1 mo. LIBOR US + 4.75%), 6.37%, 11/25/53 |
822 | 809,815 | ||||||||||
Series 2021-1, Class G, (1 mo. LIBOR US + 4.38%), 5.04%, 02/25/55 |
4,560 | 4,517,904 |
Security | Par (000) |
Value | ||||||||||
United States (continued) |
||||||||||||
Morgan Stanley Capital I Trust(b) |
||||||||||||
Series 2017-H1, Class C, 4.28%, 06/15/50 |
USD | 5,000 | $ | 4,568,319 | ||||||||
Series 2018-H4, Class C, 5.24%, 12/15/51 |
1,150 | 1,046,342 | ||||||||||
MSCG Trust, Series 2018-SELF, Class F, |
3,000 | 2,839,199 | ||||||||||
New Residential Mortgage Loan Trust(a)(b) |
||||||||||||
Series 2019-RPL2, Class B3, |
9,329 | 9,173,704 | ||||||||||
Series 2021-NQ1R, Class B1, |
1,370 | 1,230,287 | ||||||||||
Series 2021-NQ1R, Class B2, |
1,022 | 910,076 | ||||||||||
One New York Plaza Trust, Series 2020-1NYP, Class D, (1 mo. LIBOR US + 2.75%), 4.07%, 01/15/36(a)(b) |
630 | 599,331 | ||||||||||
Seasoned Credit Risk Transfer Trust, Series 2020-3, Class BXS, 7.65%, 05/25/60(a)(b) |
7,658 | 3,887,715 | ||||||||||
Seasoned Loans Structured Transaction Trust(a)(b) |
||||||||||||
Series 2020-2, Class M1, 4.75%, 09/25/60 |
10,000 | 9,589,987 | ||||||||||
Series 2020-3, Class M1, 4.75%, 04/26/60 |
8,000 | 7,684,427 | ||||||||||
SREIT Trust(a)(b) |
||||||||||||
Series 2021-MFP2, Class J, (1 mo. LIBOR US + 3.92%), 5.24%, 11/15/36 |
2,500 | 2,332,854 | ||||||||||
Series 2021-PALM, Class G, (1 mo. LIBOR US + 3.62%), 4.94%, 10/15/34 |
1,220 | 1,146,160 | ||||||||||
STAR Trust, 3.52%, 05/25/65(a)(b) |
3,759 | 3,571,559 | ||||||||||
Starwood Mortgage Residential Trust(a) |
||||||||||||
Series 2020-INV, Class B1, |
2,540 | 2,448,641 | ||||||||||
Series 2020-INV, Class B2, |
1,225 | 1,178,350 | ||||||||||
TPGI Trust, Series 2021-DGWD, Class G, (1 mo. LIBOR US + 3.85%), |
2,435 | 2,228,724 | ||||||||||
TVC DSCR, 2.38%, 02/01/51(c) |
6,614 | 6,786,222 | ||||||||||
UBS Commercial Mortgage Trust, Series 2018-C11, Class C, 5.07%, 06/15/51(b) |
671 | 606,317 | ||||||||||
UBS-Barclays Commercial Mortgage Trust, |
||||||||||||
Series 2012-C3, Class D, |
2,400 | 2,389,947 | ||||||||||
Verus Securitization Trust(a)(b) |
||||||||||||
Series 2020-5, Class B1, 3.71%, 05/25/65 |
2,400 | 2,153,313 | ||||||||||
Series 2020-5, Class B2, 4.71%, 05/25/65 |
1,400 | 1,243,486 | ||||||||||
Series 2021-R2, Class B1, 3.25%, 02/25/64 |
2,735 | 2,611,270 | ||||||||||
WaMu Mortgage Pass-Through Certificates Trust, Series 2007-OA6, Class 1A, (12 mo. MTA + 0.81%), 1.29%, 07/25/47(b) |
1,245 | 1,043,904 | ||||||||||
Wells Fargo Commercial Mortgage Trust(b) |
||||||||||||
Series 2019-C50, Class XA, |
24,279 | 1,705,405 | ||||||||||
Series 2021-FCMT, Class D, (1 mo. LIBOR US + 3.50%), 4.82%, 05/15/31(a) |
750 | 707,729 | ||||||||||
Western Alliance Bank, 7.70%, 12/28/24(a) |
12,230 | 12,222,899 | ||||||||||
|
|
|||||||||||
Total Non-Agency Mortgage-Backed Securities —
11.3% |
|
214,960,060 | ||||||||||
|
|
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 |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Capital Allocation Trust (BCAT) (Percentages shown are based on Net Assets) |
Security | Benefical Interest (000) |
Value | ||||||||||
Other Interests |
||||||||||||
Canada — 0.3% |
||||||||||||
Sprott Private Resource Streaming & Royalty LP(c)(s) |
USD | 4,640 | $ | 6,136,864 | ||||||||
|
|
|||||||||||
Total Other Interests — 0.3% |
6,136,864 | |||||||||||
|
|
|||||||||||
Par (000) |
||||||||||||
Preferred Securities |
||||||||||||
Capital Trusts — 0.1%(a)(b)(n) |
||||||||||||
Mexico — 0.1% |
||||||||||||
Banco Mercantil del Norte SA, 6.75% |
USD | 913 | 857,079 | |||||||||
|
|
|||||||||||
United States — 0.0% |
||||||||||||
Vistra Corp., 7.00% |
800 | 726,000 | ||||||||||
|
|
|||||||||||
1,583,079 | ||||||||||||
Shares | ||||||||||||
Preferred Stocks — 2.7% |
||||||||||||
Germany — 0.3% |
||||||||||||
Porsche Automobil Holding SE, Preference Shares |
9,786 | 650,877 | ||||||||||
Volkswagen AG, Preference Shares |
4,443 | 598,204 | ||||||||||
Volocopter GMBH, (Acquired 03/03/21, |
780 | 4,229,355 | ||||||||||
|
|
|||||||||||
5,478,436 | ||||||||||||
|
|
|||||||||||
Sweden — 0.0% |
||||||||||||
Volta(c) |
2,732 | 192,680 | ||||||||||
United Kingdom — 0.1% |
||||||||||||
10x Future Technologies Holdings Ltd., (Acquired 05/13/21, Cost: $4,334,124)(c)(f) |
114,500 | 1,871,885 | ||||||||||
United States(c) — 2.3% |
||||||||||||
Breeze Aviation Group, Inc., Series B, (Acquired 07/30/21, Cost: $3,044,600)(f) |
5,637 | 2,023,796 | ||||||||||
ByteDance Ltd., Series E-1, (Acquired 11/11/20, Cost: $4,444,110)(f) |
40,558 | 6,712,997 | ||||||||||
Caresyntax, Inc. |
7,084 | 497,155 | ||||||||||
Cruise, Series G, (Acquired 03/25/21, Cost: $1,886,159)(f) |
71,581 | 1,337,133 | ||||||||||
Databricks, Inc., Series G, (Acquired 02/01/21, Cost: $2,392,693)(f) |
13,490 | 2,474,605 | ||||||||||
Deep Instinct Ltd., Series D-2, (Acquired 03/19/21, Cost: $2,130,236)(f) |
350,490 | 1,717,401 | ||||||||||
Dream Finders Homes, Inc. |
10,172 | 9,574,395 | ||||||||||
Exo Imaging, Inc., Series C, (Acquired 06/24/21, Cost: $1,482,935)(f) |
253,147 | 989,805 | ||||||||||
Jumpcloud, Inc., Series E-1, (Acquired 10/30/20, Cost: $2,052,443)(f) |
1,125,428 | 5,672,157 | ||||||||||
JumpCloud, Inc., (Acquired 09/03/21, Cost: $443,302)(f) |
74,023 | 373,076 | ||||||||||
Lesson Nine GmbH, Series B |
489,075 | 4,465,255 | ||||||||||
MNTN Digital, Inc., (Acquired 11/05/21, Cost: $1,353,207)(f) |
58,924 | 853,809 |
Security |
Shares |
Value | ||||||||||
United States (continued) |
||||||||||||
Mythic AI, Inc., Series C, (Acquired 01/26/21, Cost: $560,518)(f) |
81,588 | $ 420,994 | ||||||||||
Noodle Partners, Inc., Series C, (Acquired 08/26/21, Cost: $1,751,669)(f) |
196,272 | 1,132,489 | ||||||||||
PsiQuantum Corp., Series C, (Acquired 05/21/21, Cost: $945,402)(f) |
36,048 | 921,387 | ||||||||||
Relativity Space, Inc., Series E, (Acquired 05/27/21, Cost: $814,688)(f) |
35,677 | 616,142 | ||||||||||
SambaNova Systems, Inc., Series D, (Acquired 04/09/21, Cost: $1,250,247)(f) |
13,158 | 999,745 | ||||||||||
Snorkel AI, Inc., Series C, (Acquired 06/30/21, Cost: $678,934)(f) |
45,203 | 432,141 | ||||||||||
Ursa Major Technologies, Inc., (Acquired 09/13/21, Cost: $1,732,297)(f) |
290,420 | 1,475,333 | ||||||||||
Verge Genomics, Inc., (Acquired 11/05/21, Cost: $1,626,608)(f) |
305,363 | 1,447,421 | ||||||||||
|
|
|||||||||||
44,137,236 | ||||||||||||
|
|
|||||||||||
51,680,237 | ||||||||||||
|
|
|||||||||||
Total Preferred Securities — 2.8% |
53,263,316 | |||||||||||
|
|
|||||||||||
Par (000) |
||||||||||||
U.S. Government Sponsored Agency Securities |
| |||||||||||
Collateralized Mortgage Obligations — 0.1% |
|
|||||||||||
Freddie Mac STACR REMIC Trust, Series 2020- DNA6, Class B1, (30 day SOFR + 3.00%), 3.93%, 12/25/50(a)(b) |
USD | 2,000 | 1,671,928 | |||||||||
|
|
|||||||||||
Mortgage-Backed Securities — 0.1% |
||||||||||||
Freddie Mac Multifamily Structured Pass Through Certificates, 1.36%, 12/25/29 |
18,250 | 1,347,976 | ||||||||||
|
|
|||||||||||
Total U.S. Government Sponsored Agency Securities — 0.2% |
|
3,019,904 | ||||||||||
|
|
|||||||||||
U.S. Treasury Obligations |
||||||||||||
U.S. Treasury Bonds |
||||||||||||
1.75%, 08/15/41(t) |
4,453 | 3,387,161 | ||||||||||
2.38%, 02/15/42 |
2,816 | 2,387,880 | ||||||||||
2.00%, 08/15/51(t) |
6,354 | 4,910,467 | ||||||||||
1.88%, 11/15/51(t) |
11,615 | 8,715,029 | ||||||||||
U.S. Treasury Notes, 1.38%, 11/15/31(t) |
6,232 | 5,405,720 | ||||||||||
|
|
|||||||||||
Total U.S. Treasury Obligations — 1.3% |
24,806,257 | |||||||||||
|
|
|||||||||||
Shares | ||||||||||||
Warrants |
||||||||||||
Israel — 0.0% |
||||||||||||
Innovid Corp., (Expires: 11/30/26)(e) |
8,959 | 1,434 | ||||||||||
|
|
|||||||||||
United Kingdom(e) — 0.0% |
||||||||||||
Genius Sports Ltd., (Expires: 12/31/28) |
42,127 | 18,540 | ||||||||||
Hedosophia European Growth, (Expires: 05/13/27) |
46,897 | 6,389 | ||||||||||
|
|
|||||||||||
24,929 |
S C H E D U L E O F I N V E S T M E N T S |
27 |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Capital Allocation Trust (BCAT) (Percentages shown are based on Net Assets) |
Security | Shares |
Value | ||||||||||
United States — 0.0% |
||||||||||||
Altus Power, Inc., (Expires: 12/31/27)(e) |
18,421 | $ | 23,947 | |||||||||
Cano Health, Inc., (Expires: 06/03/26)(e) |
33,630 | 22,868 | ||||||||||
Climate Real Impact Solutions II Acquisition Corp., (Expires: 12/31/27)(e) |
9,558 | 1,625 | ||||||||||
Crown Proptech Acquisitions Pvt Ltd., (Expires: 02/01/26)(c) |
74,120 | 8,894 | ||||||||||
Embark Technology, Inc., (Expires: 12/31/27)(e) |
34,926 | 4,460 | ||||||||||
EVgo, Inc., (Expires: 09/15/25)(e) |
40,220 | 50,275 | ||||||||||
Gores Holdings VIII, Inc., Class A, (Expires: 12/31/27)(e) |
13,238 | 7,478 | ||||||||||
Highland Transcend Partners I Corp., (Expires: 12/31/27)(e) |
32,320 | 3,907 | ||||||||||
Hippo Holdings, Inc., (Expires: 07/30/26)(e) |
11,689 | 2,221 | ||||||||||
KINS Private Placement, (Expires: 12/31/25)(c) |
184,016 | 18,402 | ||||||||||
KINS Technology Group, Inc., Class A, (Expires: 12/31/25)(e) |
156,413 | 18,770 | ||||||||||
Latch, Inc., (Expires: 06/04/26)(e) |
10,196 | 1,224 | ||||||||||
Lightning eMotors, Inc., (Expires: 05/18/25) |
82,174 | 53,977 | ||||||||||
Offerpad Solutions, Inc., (Expires: 09/01/26)(e) |
60,706 | 15,583 | ||||||||||
Pear Therapeutics, Inc., (Expires: 02/04/26)(e) |
9,900 | 1,204 | ||||||||||
Proof Acquisition Corp., (Expires: 10/01/26)(c) |
72,784 | 5,095 | ||||||||||
Rotor Acquisition Corp., (Expires: 06/15/27) |
25,291 | 10,116 | ||||||||||
Sarcos Technology & Robotics Corp., Class A, (Expires: 06/15/27)(e) |
68,671 | 37,433 | ||||||||||
Science Strategic Acquisition Corp. Alpha, (Expires: 12/31/27)(e) |
11,388 | 1,032 | ||||||||||
Sonder Holdings, Inc., (Expires: 11/19/26)(c) |
126,000 | 2,520 | ||||||||||
Tishman Speyer Innovation Corp. II, Class A, (Expires: 12/31/27)(e) |
42,507 | 5,568 | ||||||||||
TPB Acquisition Corp. I, Class A, (Expires: 02/19/23)(e) |
25,681 | 5,136 | ||||||||||
TPG Pace Beneficial Finance Corp., Class A, (Expires: 10/09/27)(e) |
17,970 | 5,298 | ||||||||||
Volta, Inc., Series C, (Expires: 08/26/26)(e) |
41,430 | 12,843 | ||||||||||
|
|
|||||||||||
319,876 | ||||||||||||
|
|
|||||||||||
Total Warrants — 0.0% |
346,239 | |||||||||||
|
|
|||||||||||
Total Long-Term Investments — 98.5% |
1,880,799,085 | |||||||||||
|
|
|||||||||||
Short-Term Securities |
||||||||||||
Money Market Funds — 2.2% |
||||||||||||
BlackRock Liquidity Funds, T-Fund, Institutional |
42,287,816 | 42,287,816 | ||||||||||
|
|
|||||||||||
Total Short-Term Securities — 2.2% |
42,287,816 | |||||||||||
|
|
|||||||||||
Options Purchased — 0.4% |
7,672,735 | |||||||||||
|
|
|||||||||||
Total Investments Before Options Written — 101.1% |
|
1,930,759,636 | ||||||||||
|
|
|||||||||||
Options Written — (0.6)% |
(12,541,371 | ) | ||||||||||
|
|
|||||||||||
Total Investments, Net of Options Written — 100.5% (Cost: $2,136,666,590) |
1,918,218,265 | |||||||||||
Liabilities in Excess of Other Assets — (0.5)% |
(9,110,111 | ) | ||||||||||
|
|
|||||||||||
Net Assets — 100.0% |
$ | 1,909,108,154 | ||||||||||
|
|
(a) | 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. |
(b) | 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. |
(c) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
(d) | This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933. |
(e) | Non-income producing security. |
(f) | Restricted security as to resale, excluding 144A securities. The Trust held restricted securities with a current value of $77,774,460, representing 4.1% of its net assets as of period end, and an original cost of $95,872,537. |
(g) | All or a portion of the security has been pledged and/or segregated as collateral in connection with outstanding exchange-traded options written. |
(h) | All or a portion of the security is held by a wholly-owned subsidiary. See Note 1 of the Notes to Financial Statements for details on the wholly-owned subsidiary. |
(i) | When-issued security. |
(j) | 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. |
(k) | Convertible security. |
(l) | 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. |
(m) | Issuer filed for bankruptcy and/or is in default. |
(n) | Perpetual security with no stated maturity date. |
(o) | All or a portion of the security has been pledged as collateral in connection with outstanding reverse repurchase agreements. |
(p) | 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. |
(q) | Zero-coupon bond. |
(r) | Affiliate of the Trust. |
(s) | Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities. |
(t) | All or a portion of the security has been pledged as collateral in connection with outstanding OTC derivatives. |
(u) | Annualized 7-day yield as of period end. |
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 |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Capital Allocation Trust (BCAT) |
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 |
Income | Capital Gain Distributions from Underlying Funds |
|||||||||||||||||||||||||||
BlackRock Liquidity Funds, T-Fund, Institutional Class |
$ 37,246,671 | $ 5,041,145 | (a) | $ | — | $ | — | $ | — | $ | 42,287,816 | 42,287,816 | $ | 110,969 | $ | — | ||||||||||||||||||||
iShares China Large-Cap ETF |
358,191 | — | — | — | (26,144 | ) | 332,047 | 9,792 | 1,429 | — | ||||||||||||||||||||||||||
iShares iBoxx $ High Yield Corporate Bond ETF |
— | 14,226,439 | (5,976,191 | ) | (451,009 | ) | (516,486 | ) | 7,282,753 | 98,937 | 70,019 | — | ||||||||||||||||||||||||
iShares iBoxx $ Investment Grade Corporate Bond ETF(b) |
— | 13,335,589 | (13,639,509 | ) | 303,920 | — | — | — | — | — | ||||||||||||||||||||||||||
iShares MSCI Brazil ETF |
653,217 | — | — | — | (15,824 | ) | 637,393 | 23,271 | 34,886 | — | ||||||||||||||||||||||||||
iShares Russell 2000 ETF |
2,180,010 | 3,400,130 | (3,685,878 | ) | 63,669 | (298,204 | ) | 1,659,727 | 9,800 | 8,759 | — | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
$ | (83,420 | ) | $ | (856,658 | ) | $ | 52,199,736 | $ | 226,062 | $ | — | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
(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) | |||||||
BNP Paribas S.A |
1.00 | %(b) | 06/01/22 | Open | $ 207,975 | $ | 208,021 | Corporate Bonds | Open/Demand | |||||||||||||||||
Credit Suisse Securities (USA) LLC |
(0.50 | )(b) | 06/22/22 | Open | 875,728 | 875,630 | Corporate Bonds | Open/Demand | ||||||||||||||||||
|
|
|
||||||||||||||||||||||||
$1,083,703 | $ | 1,083,651 | ||||||||||||||||||||||||
|
|
|
(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 |
||||||||||||||||
Euro BOBL |
76 | 09/08/22 | $ | 9,891 | $ | 145,188 | ||||||||||
FTSE 100 Index |
3 | 09/16/22 | 261 | (1,094 | ) | |||||||||||
FTSE/MIB Index |
10 | 09/16/22 | 1,114 | (28,506 | ) | |||||||||||
MSCI Emerging Markets Index |
10 | 09/16/22 | 501 | (427 | ) | |||||||||||
10-Year U.S. Treasury Note |
778 | 09/21/22 | 92,084 | (528,061 | ) | |||||||||||
U.S. Long Bond |
105 | 09/21/22 | 14,500 | (113,749 | ) | |||||||||||
Ultra U.S. Treasury Bond |
228 | 09/21/22 | 35,190 | (172,065 | ) | |||||||||||
5-Year U.S. Treasury Note |
1,465 | 09/30/22 | 164,263 | (653,113 | ) | |||||||||||
|
|
|||||||||||||||
(1,351,827 | ) | |||||||||||||||
|
|
|||||||||||||||
Short Contracts |
||||||||||||||||
30-Year Euro Buxl Bond |
33 | 09/08/22 | 5,656 | 320,547 | ||||||||||||
Euro BTP |
180 | 09/08/22 | 23,224 | 254,507 | ||||||||||||
Euro Bund |
86 | 09/08/22 | 13,409 | (8,359 | ) | |||||||||||
Euro-Schatz |
131 | 09/08/22 | 14,984 | (154,071 | ) | |||||||||||
Euro Stoxx 50 Index |
407 | 09/16/22 | 14,713 | 145,657 | ||||||||||||
NASDAQ 100 E-Mini Index |
135 | 09/16/22 | 31,130 | (548,308 | ) | |||||||||||
Russell 2000 E-Mini Index |
8 | 09/16/22 | 683 | 3,098 | ||||||||||||
S&P 500 E-Mini Index |
436 | 09/16/22 | 82,611 | (765,981 | ) | |||||||||||
10-Year U.S. Ultra Long Treasury Note |
1,841 | 09/21/22 | 233,922 | 2,427,774 |
S C H E D U L E O F I N V E S T M E N T S |
29 |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Capital Allocation Trust (BCAT) |
Futures Contracts (continued)
Description | Number of Contracts |
Expiration Date |
Notional Amount (000) |
Value/ Unrealized Appreciation (Depreciation) |
||||||||||||
Short Contracts (continued) |
||||||||||||||||
Long Gilt. |
61 | 09/28/22 | $ | 8,464 | $ | 248,700 | ||||||||||
2-Year U.S. Treasury Note |
530 | 09/30/22 | 111,217 | 402,805 | ||||||||||||
|
|
|||||||||||||||
2,326,369 | ||||||||||||||||
|
|
|||||||||||||||
$ | 974,542 | |||||||||||||||
|
|
Forward Foreign Currency Exchange Contracts
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) |
||||||||||||||||||||
USD |
43,947,450 | EUR | 40,548,325 | Morgan Stanley & Co. International PLC | 07/21/22 | $ | 1,410,773 | |||||||||||||||||
USD |
445,722 | EUR | 420,880 | State Street Bank and Trust Co. | 08/16/22 | 3,398 | ||||||||||||||||||
USD |
3,260,958 | EUR | 3,071,614 | State Street Bank and Trust Co. | 08/18/22 | 32,364 | ||||||||||||||||||
USD |
5,136,506 | EUR | 4,851,293 | State Street Bank and Trust Co. | 08/18/22 | 37,279 | ||||||||||||||||||
USD |
17,351,107 | CAD | 21,945,749 | Morgan Stanley & Co. International PLC | 09/14/22 | 299,312 | ||||||||||||||||||
USD |
300,117,305 | EUR | 280,265,798 | JPMorgan Chase Bank N.A. | 09/14/22 | 4,932,656 | ||||||||||||||||||
USD |
57,871,045 | GBP | 46,184,276 | JPMorgan Chase Bank N.A. | 09/14/22 | 1,575,043 | ||||||||||||||||||
CAD |
738,639 | USD | 570,226 | Deutsche Bank AG | 09/15/22 | 3,694 | ||||||||||||||||||
CAD |
776,261 | USD | 600,073 | Deutsche Bank AG | 09/15/22 | 3,080 | ||||||||||||||||||
CAD |
6,811,061 | USD | 5,272,439 | State Street Bank and Trust Co. | 09/15/22 | 19,734 | ||||||||||||||||||
CNH |
22,996,444 | USD | 3,393,915 | UBS AG | 09/15/22 | 40,212 | ||||||||||||||||||
EUR |
10,851,801 | USD | 11,373,589 | Bank of America N.A. | 09/15/22 | 56,719 | ||||||||||||||||||
EUR |
29,581,320 | USD | 31,147,604 | Deutsche Bank AG | 09/15/22 | 10,690 | ||||||||||||||||||
EUR |
74,251,868 | USD | 77,819,225 | UBS AG | 09/15/22 | 390,993 | ||||||||||||||||||
GBP |
1,470,179 | USD | 1,770,414 | Barclays Bank PLC | 09/15/22 | 21,688 | ||||||||||||||||||
HKD |
53,269,393 | USD | 6,802,164 | Goldman Sachs International | 09/15/22 | 862 | ||||||||||||||||||
JPY |
54,318,494 | USD | 401,404 | State Street Bank and Trust Co. | 09/15/22 | 923 | ||||||||||||||||||
USD |
5,681,475 | EUR | 5,380,469 | Bank of America N.A. | 09/15/22 | 14,174 | ||||||||||||||||||
USD |
384,610 | EUR | 361,300 | State Street Bank and Trust Co. | 09/15/22 | 4,049 | ||||||||||||||||||
USD |
193,541 | JPY | 25,938,032 | Bank of America N.A. | 09/15/22 | 1,423 | ||||||||||||||||||
USD |
9,798,440 | JPY | 1,310,624,995 | Bank of America N.A. | 09/15/22 | 90,892 | ||||||||||||||||||
USD |
12,898,900 | JPY | 1,733,510,350 | Barclays Bank PLC | 09/15/22 | 59,121 | ||||||||||||||||||
USD |
7,508,972 | SEK | 76,291,498 | Bank of America N.A. | 09/15/22 | 28,830 | ||||||||||||||||||
EUR |
1,825,591 | USD | 1,921,133 | BNP Paribas S.A. | 09/21/22 | 2,642 | ||||||||||||||||||
MXN |
149,307,718 | USD | 7,187,240 | Bank of America N.A. | 09/21/22 | 131,464 | ||||||||||||||||||
USD |
2,942,493 | EUR | 2,788,188 | Barclays Bank PLC | 09/21/22 | 4,350 | ||||||||||||||||||
USD |
1,989,954 | EUR | 1,870,585 | BNP Paribas S.A. | 09/21/22 | 18,765 | ||||||||||||||||||
USD |
1,468,335 | ZAR | 23,843,556 | UBS AG | 09/21/22 | 14,372 | ||||||||||||||||||
USD |
3,070,000 | ZAR | 49,852,195 | UBS AG | 09/21/22 | 30,049 | ||||||||||||||||||
|
|
|
|
|
|
|
||||||||||||||||||
|
|
|
|
|
9,239,551 | |||||||||||||||||||
|
|
|||||||||||||||||||||||
EUR |
69,347,995 | USD | 74,259,705 | Morgan Stanley & Co. International PLC | 09/14/22 | (1,220,242 | ) | |||||||||||||||||
USD |
23,001,778 | HKD | 180,119,998 | Morgan Stanley & Co. International PLC | 09/14/22 | (874 | ) | |||||||||||||||||
BRL |
19,495,221 | USD | 3,874,018 | Morgan Stanley & Co. International PLC | 09/15/22 | (224,917 | ) | |||||||||||||||||
DKK |
113,841 | USD | 16,143 | Morgan Stanley & Co. International PLC | 09/15/22 | (19 | ) | |||||||||||||||||
DKK |
1,315,164 | USD | 187,046 | State Street Bank and Trust Co. | 09/15/22 | (768 | ) | |||||||||||||||||
EUR |
44,200 | USD | 46,958 | State Street Bank and Trust Co. | 09/15/22 | (403 | ) | |||||||||||||||||
JPY |
402,048,658 | USD | 3,019,523 | HSBC Bank USA N.A. | 09/15/22 | (41,625 | ) | |||||||||||||||||
USD |
6,243,521 | AUD | 9,060,251 | Bank of America N.A. | 09/15/22 | (14,101 | ) | |||||||||||||||||
USD |
1,948,877 | CHF | 1,880,000 | Bank of America N.A. | 09/15/22 | (30,436 | ) | |||||||||||||||||
USD |
1,186,471 | CHF | 1,177,709 | Morgan Stanley & Co. International PLC | 09/15/22 | (53,452 | ) | |||||||||||||||||
USD |
11,671,988 | CNH | 78,961,000 | Deutsche Bank AG | 09/15/22 | (119,490 | ) | |||||||||||||||||
USD |
808,320 | DKK | 5,736,291 | Deutsche Bank AG | 09/15/22 | (4,157 | ) | |||||||||||||||||
USD |
4,628,081 | EUR | 4,402,536 | State Street Bank and Trust Co. | 09/15/22 | (9,153 | ) | |||||||||||||||||
USD |
343,657 | MXN | 7,212,007 | Goldman Sachs International | 09/15/22 | (10,267 | ) | |||||||||||||||||
USD |
188,914 | NOK | 1,881,150 | Bank of America N.A. | 09/15/22 | (2,375 | ) |
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 |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Capital Allocation Trust (BCAT) |
Forward Foreign Currency Exchange Contracts (continued)
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) |
||||||||||||||||||||
JPY |
1,275,123,416 | USD | 9,670,979 | JPMorgan Chase Bank N.A. | 09/21/22 | $ | (221,586 | ) | ||||||||||||||||
USD |
7,816,000 | MXN | 164,353,285 | Citibank N.A. | 09/21/22 |
|
(240,201
|
)
| ||||||||||||||||
|
|
|||||||||||||||||||||||
|
(2,194,066
|
)
| ||||||||||||||||||||||
|
|
|||||||||||||||||||||||
$ | 7,045,485 | |||||||||||||||||||||||
|
|
Exchange-Traded Options Purchased
Description | Number of Contracts |
Expiration Date |
Exercise Price | Notional Amount (000) |
Value | |||||||||||||||
Call |
||||||||||||||||||||
Alcoa Corp. |
99 | 07/15/22 | USD | 100.00 | USD | 451 | $ | 347 | ||||||||||||
Alphabet Inc., Class C |
11 | 07/15/22 | USD | 2,200.00 | USD | 2,406 | 72,545 | |||||||||||||
Alphabet Inc., Class C |
2 | 07/15/22 | USD | 2,400.00 | USD | 437 | 2,080 | |||||||||||||
Amazon.com, Inc. |
40 | 07/15/22 | USD | 115.00 | USD | 425 | 4,180 | |||||||||||||
Compagnie Financiere Richemont SA |
53 | 07/15/22 | CHF | 130.00 | CHF | 539 | 1,138 | |||||||||||||
Devon Energy Corp. |
645 | 07/15/22 | USD | 70.00 | USD | 3,555 | 5,483 | |||||||||||||
Devon Energy Corp. |
1,131 | 07/15/22 | USD | 80.00 | USD | 6,233 | 2,828 | |||||||||||||
Diamondback Energy, Inc. |
453 | 07/15/22 | USD | 157.65 | USD | 5,488 | 6,795 | |||||||||||||
Intuit, Inc. |
14 | 07/15/22 | USD | 390.00 | USD | 540 | 15,610 | |||||||||||||
InvesCo QQQ Trust, Series 1 |
55 | 07/15/22 | USD | 320.00 | USD | 1,542 | 825 | |||||||||||||
InvesCo QQQ Trust, Series 1 |
37 | 07/15/22 | USD | 315.00 | USD | 1,037 | 944 | |||||||||||||
InvesCo QQQ Trust, Series 1 |
150 | 07/15/22 | USD | 325.00 | USD | 4,204 | 1,425 | |||||||||||||
Marathon Oil Corp. |
1,222 | 07/15/22 | USD | 27.00 | USD | 2,747 | 18,330 | |||||||||||||
Marathon Oil Corp. |
1,114 | 07/15/22 | USD | 30.00 | USD | 2,504 | 6,127 | |||||||||||||
Marathon Oil Corp. |
1,168 | 07/15/22 | USD | 33.00 | USD | 2,626 | 3,504 | |||||||||||||
Occidental Petroleum Corp. |
494 | 07/15/22 | USD | 70.00 | USD | 2,909 | 15,561 | |||||||||||||
Occidental Petroleum Corp. |
122 | 07/15/22 | USD | 75.00 | USD | 718 | 1,403 | |||||||||||||
Raymond James Financial, Inc. |
51 | 07/15/22 | USD | 100.00 | USD | 456 | 3,698 | |||||||||||||
SPDR S&P 500 ETF Trust |
349 | 07/15/22 | USD | 450.00 | USD | 13,166 | 524 | |||||||||||||
10-Year U.S. Treasury Note Future |
292 | 07/22/22 | USD | 118.00 | USD | 34,561 | 360,437 | |||||||||||||
CF Industries Holdings, Inc. |
136 | 08/19/22 | USD | 115.00 | USD | 1,166 | 9,860 | |||||||||||||
CSX Corp. |
198 | 08/19/22 | USD | 40.00 | USD | 575 | 1,485 | |||||||||||||
Daimler AG |
94 | 08/19/22 | EUR | 70.00 | EUR | 519 | 887 | |||||||||||||
Eli Lilly & Co. |
35 | 08/19/22 | USD | 320.00 | USD | 1,135 | 65,975 | |||||||||||||
Generac Holdings, Inc. |
18 | 08/19/22 | USD | 300.00 | USD | 379 | 2,745 | |||||||||||||
Halliburton Co. |
136 | 08/19/22 | USD | 39.00 | USD | 426 | 7,208 | |||||||||||||
Northrop Grumman Corp. |
18 | 08/19/22 | USD | 500.00 | USD | 861 | 22,410 | |||||||||||||
SPDR S&P 500 ETF Trust |
63 | 08/19/22 | USD | 450.00 | USD | 2,377 | 914 | |||||||||||||
SPDR S&P Biotech ETF |
237 | 08/19/22 | USD | 80.00 | USD | 1,760 | 71,574 | |||||||||||||
Domino’s Pizza, Inc. |
11 | 09/16/22 | USD | 400.00 | USD | 429 | 22,825 | |||||||||||||
General Motors Co. |
422 | 09/16/22 | USD | 45.00 | USD | 1,340 | 6,330 | |||||||||||||
General Motors Co. |
119 | 09/16/22 | USD | 38.00 | USD | 378 | 9,699 | |||||||||||||
Mosaic Co. |
245 | 09/16/22 | USD | 70.00 | USD | 1,157 | 15,190 | |||||||||||||
Pandora A/S |
25 | 09/16/22 | DKK | 696.25 | DKK | 1,127 | 530 | |||||||||||||
Eli Lilly & Co. |
12 | 10/21/22 | USD | 330.00 | USD | 389 | 26,520 | |||||||||||||
Dynatrace, Inc. |
111 | 11/18/22 | USD | 45.00 | USD | 438 | 38,295 | |||||||||||||
Commerzbank AG |
447 | 12/16/22 | EUR | 9.00 | EUR | 299 | 97,668 | |||||||||||||
LVMH Moet Hennessy Louis Vuitton SE |
18 | 12/16/22 | EUR | 640.00 | EUR | 1,047 | 48,101 | |||||||||||||
SAP Investor Relations, ADR |
71 | 12/16/22 | USD | 100.00 | USD | 644 | 30,885 | |||||||||||||
Abbott Laboratories |
100 | 01/20/23 | USD | 125.00 | USD | 1,087 | 30,850 | |||||||||||||
Adobe, Inc. |
18 | 01/20/23 | USD | 480.00 | USD | 659 | 19,035 | |||||||||||||
Align Technology, Inc. |
26 | 01/20/23 | USD | 290.00 | USD | 615 | 56,030 | |||||||||||||
Alphabet Inc., Class C |
8 | 01/20/23 | USD | 2,500.00 | USD | 1,750 | 96,800 | |||||||||||||
Booking Holdings, Inc. |
6 | 01/20/23 | USD | 2,600.00 | USD | 1,049 | 17,160 | |||||||||||||
Dynatrace, Inc. |
112 | 01/20/23 | USD | 45.00 | USD | 442 | 48,720 | |||||||||||||
Eli Lilly & Co. |
35 | 01/20/23 | USD | 340.00 | USD | 1,135 | 88,287 | |||||||||||||
Eli Lilly & Co. |
35 | 01/20/23 | USD | 320.00 | USD | 1,135 | 122,062 | |||||||||||||
Glencore International PLC |
112 | 01/20/23 | GBP | 5.80 | GBP | 503 | 20,291 | |||||||||||||
Humana, Inc. |
17 | 01/20/23 | USD | 500.00 | USD | 796 | 50,830 | |||||||||||||
Intuit, Inc. |
19 | 01/20/23 | USD | 450.00 | USD | 732 | 45,410 |
S C H E D U L E O F I N V E S T M E N T S |
31 |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Capital Allocation Trust (BCAT) |
Exchange-Traded Options Purchased (continued)
Description | Number of Contracts |
Expiration Date |
Exercise Price | Notional Amount (000) |
Value | |||||||||||||||
Call (continued) |
||||||||||||||||||||
Nike, Inc., Class B |
94 | 01/20/23 | USD | 135.00 | USD | 961 | $ | 18,941 | ||||||||||||
Otis Worldwide Corp. |
117 | 01/20/23 | USD | 85.00 | USD | 827 | 17,258 | |||||||||||||
salesforce.com, Inc. |
61 | 01/20/23 | USD | 200.00 | USD | 1,007 | 55,052 | |||||||||||||
salesforce.com, Inc. |
61 | 01/20/23 | USD | 210.00 | USD | 1,007 | 41,023 | |||||||||||||
ServiceNow, Inc. |
21 | 01/20/23 | USD | 550.00 | USD | 999 | 84,945 | |||||||||||||
SPDR S&P 500 ETF Trust |
260 | 01/20/23 | USD | 430.00 | USD | 9,809 | 177,970 | |||||||||||||
XPO Logistics, Inc. |
78 | 01/20/23 | USD | 57.50 | USD | 376 | 30,810 | |||||||||||||
|
|
|||||||||||||||||||
|
2,024,359 |
| ||||||||||||||||||
|
|
|||||||||||||||||||
Put |
||||||||||||||||||||
Alibaba Group Holding Ltd. |
186 | 07/15/22 | USD | 85.00 | USD | 2,114 | 3,999 | |||||||||||||
Clorox Co. |
83 | 07/15/22 | USD | 120.00 | USD | 1,170 | 2,283 | |||||||||||||
Coca-Cola Co. |
476 | 07/15/22 | USD | 60.00 | USD | 2,995 | 17,374 | |||||||||||||
Coca-Cola Co. |
595 | 07/15/22 | USD | 57.50 | USD | 3,743 | 9,818 | |||||||||||||
Consumer Staples Select Sector SPDR Fund |
2,079 | 07/15/22 | USD | 68.00 | USD | 15,006 | 72,765 | |||||||||||||
InvesCo QQQ Trust |
324 | 07/15/22 | USD | 325.00 | USD | 9,081 | 1,477,926 | |||||||||||||
iShares China Large-Cap ETF |
754 | 07/15/22 | USD | 32.00 | USD | 2,557 | 25,259 | |||||||||||||
iShares iBoxx $ Investment Grade Corporate Bond ETF |
683 | 07/15/22 | USD | 109.00 | USD | 7,515 | 52,249 | |||||||||||||
iShares Russell 2000 ETF |
196 | 07/15/22 | USD | 175.00 | USD | 3,319 | 151,116 | |||||||||||||
iShares Russell 2000 ETF |
59 | 07/15/22 | USD | 165.00 | USD | 999 | 16,078 | |||||||||||||
Kraft Heinz Co. |
705 | 07/15/22 | USD | 35.00 | USD | 2,689 | 9,870 | |||||||||||||
Micron Technology, Inc. |
131 | 07/15/22 | USD | 67.50 | USD | 724 | 168,662 | |||||||||||||
Procter & Gamble Co. |
288 | 07/15/22 | USD | 130.00 | USD | 4,141 | 8,064 | |||||||||||||
Apple, Inc. |
360 | 08/19/22 | USD | 130.00 | USD | 4,922 | 174,600 | |||||||||||||
ConocoPhillips |
92 | 08/19/22 | USD | 90.00 | USD | 826 | 64,170 | |||||||||||||
FedEx Corp. |
78 | 08/19/22 | USD | 210.00 | USD | 1,768 | 50,505 | |||||||||||||
InvesCo QQQ Trust |
200 | 08/19/22 | USD | 255.00 | USD | 5,606 | 115,400 | |||||||||||||
iShares iBoxx $ Investment Grade Corporate Bond ETF |
733 | 08/19/22 | USD | 108.00 | USD | 8,065 | 104,452 | |||||||||||||
Kroger Co. |
529 | 08/19/22 | USD | 45.00 | USD | 2,504 | 75,382 | |||||||||||||
Procter & Gamble Co. |
192 | 08/19/22 | USD | 135.00 | USD | 2,761 | 48,288 | |||||||||||||
10-Year U.S. Treasury Note Future |
226 | 08/26/22 | USD | 115.00 | USD | 26,749 | 102,406 | |||||||||||||
Consumer Staples Select Sector SPDR Fund |
1,663 | 09/16/22 | USD | 73.00 | USD | 12,004 | 503,057 | |||||||||||||
Dollar Tree, Inc. |
119 | 09/16/22 | USD | 145.00 | USD | 1,855 | 85,382 | |||||||||||||
Exxon Mobil Corp. |
127 | 09/16/22 | USD | 100.00 | USD | 1,088 | 215,582 | |||||||||||||
Sherwin-Williams Co. (The) |
73 | 09/16/22 | USD | 240.00 | USD | 1,635 | 162,425 | |||||||||||||
SPDR S&P 500 ETF Trust |
179 | 12/16/22 | USD | 350.00 | USD | 6,753 | 284,341 | |||||||||||||
ConocoPhillips |
94 | 01/20/23 | USD | 90.00 | USD | 844 | 122,670 | |||||||||||||
Energy Select Sector SPDR Fund |
235 | 01/20/23 | USD | 65.00 | USD | 1,680 | 136,887 | |||||||||||||
EQT Corp. |
235 | 01/20/23 | USD | 35.00 | USD | 808 | 163,325 | |||||||||||||
Exxon Mobil Corp. |
106 | 01/20/23 | USD | 80.00 | USD | 908 | 79,765 | |||||||||||||
Valero Energy Corp. |
83 | 01/20/23 | USD | 105.00 | USD | 882 | 128,650 | |||||||||||||
|
|
|||||||||||||||||||
|
4,632,750 |
| ||||||||||||||||||
|
|
|||||||||||||||||||
$ |
6,657,109 |
| ||||||||||||||||||
|
|
OTC Barrier Options Purchased
Description | Type of Option | Counterparty | Number of Contracts |
Expiration Date |
Exercise Price |
Barrier Price/Range |
Notional Amount (000) |
Value | ||||||||||||||||||||||||||||||||
Call |
||||||||||||||||||||||||||||||||||||||||
USD Currency |
One Touch | Bank of America N.A. | — | 07/01/22 | CNH | 7.13 | CNH | 7.13 | USD | 228 | $ | — | ||||||||||||||||||||||||||||
USD Currency |
Up-and-out | Bank of America N.A. | — | 07/01/22 | CNH | 7.13 | CNH | 7.13 | USD | 9,281 | 9 | |||||||||||||||||||||||||||||
|
|
|||||||||||||||||||||||||||||||||||||||
9 | ||||||||||||||||||||||||||||||||||||||||
|
|
|||||||||||||||||||||||||||||||||||||||
Put |
||||||||||||||||||||||||||||||||||||||||
JPY Currency |
One Touch | HSBC Bank PLC | — | 08/24/22 | JPY | 118.00 | JPY | 118.00 | USD | 229 | 3,525 | |||||||||||||||||||||||||||||
|
|
|||||||||||||||||||||||||||||||||||||||
$ |
3,534 |
| ||||||||||||||||||||||||||||||||||||||
|
|
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 |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Capital Allocation Trust (BCAT) |
OTC Options Purchased
Description | Counterparty | Expiration Date |
Exercise Price | Notional Amount (000) |
Value | |||||||||||||
Call |
||||||||||||||||||
USD Currency |
Bank of America N.A. | 07/14/22 | CNH | 7.00 | USD | 7,784 | $ | 156 | ||||||||||
USD Currency |
JPMorgan Chase Bank N.A. | 07/21/22 | CNH | 6.70 | USD | 9,123 | 43,655 | |||||||||||
|
|
|||||||||||||||||
43,811 | ||||||||||||||||||
|
|
|||||||||||||||||
Put |
||||||||||||||||||
EUR Currency |
Bank of America N.A. | 07/11/22 | USD | 1.03 | EUR | 14,076 | 25,195 | |||||||||||
EUR Currency |
JPMorgan Chase Bank N.A. | 07/11/22 | USD | 1.00 | EUR | 14,076 | 4,012 | |||||||||||
EUR Currency |
JPMorgan Chase Bank N.A. | 07/21/22 | CHF | 1.00 | EUR | 11,404 | 89,429 | |||||||||||
EUR Currency |
JPMorgan Chase Bank N.A. | 07/29/22 | CHF | 0.99 | EUR | 11,404 | 61,272 | |||||||||||
EUR Currency |
Morgan Stanley & Co. International PLC | 08/12/22 | USD | 1.03 | EUR | 30,729 | 207,154 | |||||||||||
USD Currency |
Goldman Sachs International | 09/08/22 | JPY | 130.00 | USD | 13,893 | 132,397 | |||||||||||
|
|
|||||||||||||||||
519,459 | ||||||||||||||||||
|
|
|||||||||||||||||
$ | 563,270 | |||||||||||||||||
|
|
OTC Interest Rate Swaptions Purchased
|
Paid by the Trust | Received by the Trust |
|
|
|
|
|
|||||||||||||||||||||||||
Description | Rate | Frequency | Rate | Frequency | Counterparty | Expiration Date |
Exercise Rate |
Notional Amount (000) |
Value | |||||||||||||||||||||||
Call |
||||||||||||||||||||||||||||||||
30-Year Interest Rate Swap, 07/07/52. |
|
3-Month LIBOR, 2.29% |
|
Quarterly | 1.52% | Semi-Annual | Citibank N.A. | 07/05/22 | 1.52 | % | USD | 9,679 | $ | — | ||||||||||||||||||
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 | 2,043 | — | ||||||||||||||||||||
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 | 2,043 | — | ||||||||||||||||||||
1-Year Interest Rate Swap, 03/18/24. |
|
3-Month LIBOR, 2.29% |
|
Quarterly | 0.80% | Semi-Annual | Morgan Stanley & Co. International PLC | 03/16/23 | 0.80 | USD | 124,708 | 21,732 | ||||||||||||||||||||
|
|
|||||||||||||||||||||||||||||||
21,732 | ||||||||||||||||||||||||||||||||
|
|
|||||||||||||||||||||||||||||||
Put |
||||||||||||||||||||||||||||||||
5-Year Interest Rate Swap, 07/07/27. |
2.91% | Semi-Annual | |
1-Day SOFR, 0.82% |
|
Quarterly | Morgan Stanley & Co. International PLC | 07/05/22 | 2.91 | USD | 23,669 | 28,848 | ||||||||||||||||||||
1-Year Interest Rate Swap, 04/03/24. |
2.47% | Annual | |
1-Day SONIA, 0.94% |
|
Annual | Goldman Sachs International | 04/03/23 | 2.47 | GBP | 46,645 | 398,242 | ||||||||||||||||||||
|
|
|||||||||||||||||||||||||||||||
427,090 | ||||||||||||||||||||||||||||||||
|
|
|||||||||||||||||||||||||||||||
$ | 448,822 | |||||||||||||||||||||||||||||||
|
|
Exchange-Traded Options Written
Description | Number of Contracts |
Expiration Date |
Exercise Price | Notional Amount (000) |
Value | |||||||||||||||||||
Call | ||||||||||||||||||||||||
InvesCo QQQ Trust, Series 1 |
150 | 07/15/22 | USD | 340.00 | USD | 4,204 | $ | (525 | ) | |||||||||||||||
10-Year U.S. Treasury Note Future |
292 | 07/22/22 | USD | 120.00 | USD | 34,561 | (100,375 | ) | ||||||||||||||||
Alphabet Inc., Class C |
4 | 08/19/22 | USD | 2,500.00 | USD | 875 | (13,460 | ) | ||||||||||||||||
Amazon.com, Inc. |
26 | 08/19/22 | USD | 125.00 | USD | 276 | (10,732 | ) | ||||||||||||||||
American Tower Corp. |
41 | 08/19/22 | USD | 280.00 | USD | 1,048 | (13,940 | ) | ||||||||||||||||
Applied Materials, Inc. |
42 | 08/19/22 | USD | 105.00 | USD | 382 | (8,148 | ) | ||||||||||||||||
Archer-Daniels-Midland Co. |
71 | 08/19/22 | USD | 80.00 | USD | 551 | (20,767 | ) | ||||||||||||||||
Bank of America Corp. |
228 | 08/19/22 | USD | 35.00 | USD | 710 | (9,576 | ) | ||||||||||||||||
Boston Scientific Corp. |
177 | 08/19/22 | USD | 42.00 | USD | 660 | (8,850 | ) | ||||||||||||||||
CF Industries Holdings, Inc. |
85 | 08/19/22 | USD | 95.00 | USD | 729 | (30,600 | ) | ||||||||||||||||
Comcast Corp., Class A |
77 | 08/19/22 | USD | 42.50 | USD | 302 | (4,543 | ) | ||||||||||||||||
ConocoPhillips |
534 | 08/19/22 | USD | 120.00 | USD | 4,796 | (25,365 | ) | ||||||||||||||||
ConocoPhillips |
57 | 08/19/22 | USD | 105.00 | USD | 512 | (9,091 | ) | ||||||||||||||||
Costco Wholesale Corp. |
13 | 08/19/22 | USD | 510.00 | USD | 623 | (12,025 | ) | ||||||||||||||||
EQT Corp. |
750 | 08/19/22 | USD | 55.00 | USD | 2,580 | (13,125 | ) | ||||||||||||||||
EQT Corp. |
402 | 08/19/22 | USD | 41.00 | USD | 1,383 | (57,285 | ) | ||||||||||||||||
Exxon Mobil Corp. |
81 | 08/19/22 | USD | 105.00 | USD | 694 | (4,374 | ) |
S C H E D U L E O F I N V E S T M E N T S |
33 |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Capital Allocation Trust (BCAT) |
Exchange-Traded Options Written (continued)
Description | Number of Contracts |
Expiration Date |
Exercise Price | Notional Amount (000) |
Value | |||||||||||||||||||
Call (continued) | ||||||||||||||||||||||||
Fortive Corp. |
147 | 08/19/22 | USD | 60.00 | USD | 799 | $ | (9,923 | ) | |||||||||||||||
Home Depot, Inc. |
47 | 08/19/22 | USD | 325.00 | USD | 1,289 | (4,865 | ) | ||||||||||||||||
Home Depot, Inc. |
16 | 08/19/22 | USD | 300.00 | USD | 439 | (7,240 | ) | ||||||||||||||||
InvesCo QQQ Trust |
100 | 08/19/22 | USD | 315.00 | USD | 2,803 | (19,050 | ) | ||||||||||||||||
Mastercard, Inc., Class A |
39 | 08/19/22 | USD | 350.00 | USD | 1,230 | (19,792 | ) | ||||||||||||||||
Microsoft Corp. |
100 | 08/19/22 | USD | 280.00 | USD | 2,568 | (42,500 | ) | ||||||||||||||||
Morgan Stanley |
73 | 08/19/22 | USD | 80.00 | USD | 555 | (16,936 | ) | ||||||||||||||||
Nice Ltd. |
40 | 08/19/22 | USD | 230.00 | USD | 770 | (6,600 | ) | ||||||||||||||||
ServiceNow, Inc. |
11 | 08/19/22 | USD | 550.00 | USD | 523 | (12,485 | ) | ||||||||||||||||
Starbucks Corp. |
47 | 08/19/22 | USD | 80.00 | USD | 359 | (12,267 | ) | ||||||||||||||||
TE Connectivity Ltd. |
51 | 08/19/22 | USD | 125.00 | USD | 577 | (9,818 | ) | ||||||||||||||||
Thermo Fisher Scientific, Inc. |
12 | 08/19/22 | USD | 580.00 | USD | 652 | (14,880 | ) | ||||||||||||||||
United Parcel Service, Inc., Class B |
56 | 08/19/22 | USD | 190.00 | USD | 1,022 | (34,300 | ) | ||||||||||||||||
Valero Energy Corp. |
42 | 08/19/22 | USD | 125.00 | USD | 446 | (10,374 | ) | ||||||||||||||||
Vulcan Materials Co. |
51 | 08/19/22 | USD | 160.00 | USD | 725 | (10,965 | ) | ||||||||||||||||
Walt Disney Co. |
52 | 08/19/22 | USD | 105.00 | USD | 491 | (10,036 | ) | ||||||||||||||||
Exxon Mobil Corp. |
127 | 09/16/22 | USD | 115.00 | USD | 1,088 | (4,572 | ) | ||||||||||||||||
General Motors Co. |
422 | 09/16/22 | USD | 52.50 | USD | 1,340 | (1,688 | ) | ||||||||||||||||
AbbVie, Inc. |
106 | 01/20/23 | USD | 165.00 | USD | 1,623 | (70,225 | ) | ||||||||||||||||
ConocoPhillips |
94 | 01/20/23 | USD | 125.00 | USD | 844 | (27,260 | ) | ||||||||||||||||
EQT Corp. |
235 | 01/20/23 | USD | 50.00 | USD | 808 | (57,575 | ) | ||||||||||||||||
Exxon Mobil Corp. |
106 | 01/20/23 | USD | 110.00 | USD | 908 | (26,182 | ) | ||||||||||||||||
LyondellBasell Industries, NV Ordinary Shares Class |
144 | 01/20/23 | USD | 124.80 | USD | 1,259 | (9,360 | ) | ||||||||||||||||
Merck & Co., Inc. |
164 | 01/20/23 | USD | 100.00 | USD | 1,495 | (49,200 | ) | ||||||||||||||||
Valero Energy Corp. |
83 | 01/20/23 | USD | 150.00 | USD | 882 | (31,747 | ) | ||||||||||||||||
|
|
|||||||||||||||||||||||
(862,621 | ) | |||||||||||||||||||||||
|
|
|||||||||||||||||||||||
Put | ||||||||||||||||||||||||
Alcoa Corp. |
99 | 07/15/22 | USD | 70.00 | USD | 451 | (242,055 | ) | ||||||||||||||||
Alibaba Group Holding Ltd. |
279 | 07/15/22 | USD | 70.00 | USD | 3,172 | (1,395 | ) | ||||||||||||||||
Alphabet Inc., Class C |
21 | 07/15/22 | USD | 2,100.00 | USD | 4,594 | (76,440 | ) | ||||||||||||||||
Alphabet Inc., Class C |
9 | 07/15/22 | USD | 1,800.00 | USD | 1,969 | (2,903 | ) | ||||||||||||||||
Alphabet Inc., Class C |
2 | 07/15/22 | USD | 2,000.00 | USD | 437 | (3,490 | ) | ||||||||||||||||
Amazon.com, Inc. |
220 | 07/15/22 | USD | 121.00 | USD | 2,337 | (327,800 | ) | ||||||||||||||||
Apple, Inc. |
98 | 07/15/22 | USD | 140.00 | USD | 1,340 | (54,390 | ) | ||||||||||||||||
Apple, Inc. |
97 | 07/15/22 | USD | 125.00 | USD | 1,326 | (8,488 | ) | ||||||||||||||||
Coca-Cola Co. |
476 | 07/15/22 | USD | 55.00 | USD | 2,995 | (4,998 | ) | ||||||||||||||||
Coca-Cola Co. |
595 | 07/15/22 | USD | 52.50 | USD | 3,743 | (3,868 | ) | ||||||||||||||||
Compagnie Financiere Richemont SA |
53 | 07/15/22 | CHF | 100.00 | CHF | 539 | (18,571 | ) | ||||||||||||||||
Consumer Staples Select Sector SPDR Fund |
2,079 | 07/15/22 | USD | 63.00 | USD | 15,006 | (37,422 | ) | ||||||||||||||||
Freeport-McMoRan, Inc. |
273 | 07/15/22 | USD | 32.00 | USD | 799 | (90,772 | ) | ||||||||||||||||
InvesCo QQQ Trust |
324 | 07/15/22 | USD | 310.00 | USD | 9,081 | (1,000,836 | ) | ||||||||||||||||
InvesCo QQQ Trust, Series 1 |
55 | 07/15/22 | USD | 265.00 | USD | 1,542 | (16,170 | ) | ||||||||||||||||
InvesCo QQQ Trust, Series 1 |
37 | 07/15/22 | USD | 260.00 | USD | 1,037 | (7,641 | ) | ||||||||||||||||
iShares China Large-Cap ETF |
754 | 07/15/22 | USD | 29.00 | USD | 2,557 | (3,770 | ) | ||||||||||||||||
iShares iBoxx $ High Yield Corporate Bond ETF |
706 | 07/15/22 | USD | 77.00 | USD | 5,197 | (270,045 | ) | ||||||||||||||||
iShares iBoxx $ Investment Grade Corporate Bond ETF |
683 | 07/15/22 | USD | 105.00 | USD | 7,515 | (7,855 | ) | ||||||||||||||||
Kraft Heinz Co. |
705 | 07/15/22 | USD | 32.50 | USD | 2,689 | (3,173 | ) | ||||||||||||||||
Micron Technology, Inc. |
263 | 07/15/22 | USD | 60.00 | USD | 1,454 | (152,540 | ) | ||||||||||||||||
Nike, Inc., Class B |
177 | 07/15/22 | USD | 95.00 | USD | 1,809 | (17,169 | ) | ||||||||||||||||
Procter & Gamble Co. |
288 | 07/15/22 | USD | 115.00 | USD | 4,141 | (5,472 | ) | ||||||||||||||||
Raymond James Financial, Inc. |
51 | 07/15/22 | USD | 85.00 | USD | 456 | (6,503 | ) | ||||||||||||||||
Alphabet Inc., Class C |
21 | 08/19/22 | USD | 1,900.00 | USD | 4,594 | (88,725 | ) | ||||||||||||||||
Amazon.com, Inc. |
220 | 08/19/22 | USD | 95.00 | USD | 2,337 | (81,950 | ) | ||||||||||||||||
Amazon.com, Inc. |
200 | 08/19/22 | USD | 90.00 | USD | 2,124 | (78,477 | ) | ||||||||||||||||
Apple, Inc. |
191 | 08/19/22 | USD | 120.00 | USD | 2,611 | (46,222 | ) | ||||||||||||||||
Apple, Inc. |
614 | 08/19/22 | USD | 115.00 | USD | 8,395 | (98,854 | ) | ||||||||||||||||
ConocoPhillips |
92 | 08/19/22 | USD | 75.00 | USD | 826 | (18,124 | ) | ||||||||||||||||
CSX Corp. |
198 | 08/19/22 | USD | 30.00 | USD | 575 | (36,135 | ) | ||||||||||||||||
Daimler AG |
94 | 08/19/22 | EUR | 60.00 | EUR | 519 | (59,351 | ) | ||||||||||||||||
Eli Lilly & Co. |
35 | 08/19/22 | USD | 260.00 | USD | 1,135 | (6,965 | ) | ||||||||||||||||
FedEx Corp. |
78 | 08/19/22 | USD | 180.00 | USD | 1,768 | (13,377 | ) |
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 |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Capital Allocation Trust (BCAT) |
Exchange-Traded Options Written (continued)
Description | Number of Contracts |
Expiration Date |
Exercise Price | Notional Amount (000) |
Value | |||||||||||||||||||
Put (continued) | ||||||||||||||||||||||||
Generac Holdings, Inc. |
18 | 08/19/22 | USD | 220.00 | USD | 379 | $ | (46,260 | ) | |||||||||||||||
Halliburton Co. |
136 | 08/19/22 | USD | 30.00 | USD | 426 | (27,404 | ) | ||||||||||||||||
Home Depot, Inc. |
47 | 08/19/22 | USD | 250.00 | USD | 1,289 | (27,377 | ) | ||||||||||||||||
InvesCo QQQ Trust |
300 | 08/19/22 | USD | 215.00 | USD | 8,408 | (36,750 | ) | ||||||||||||||||
iShares iBoxx $ High Yield Corporate Bond ETF |
934 | 08/19/22 | USD | 72.00 | USD | 6,875 | (141,034 | ) | ||||||||||||||||
iShares iBoxx $ Investment Grade Corporate Bond ETF |
733 | 08/19/22 | USD | 103.00 | USD | 8,065 | (32,618 | ) | ||||||||||||||||
Kroger Co. |
529 | 08/19/22 | USD | 40.00 | USD | 2,504 | (21,160 | ) | ||||||||||||||||
Microsoft Corp. |
76 | 08/19/22 | USD | 220.00 | USD | 1,952 | (23,788 | ) | ||||||||||||||||
Microsoft Corp. |
108 | 08/19/22 | USD | 215.00 | USD | 2,774 | (27,702 | ) | ||||||||||||||||
Northrop Grumman Corp. |
18 | 08/19/22 | USD | 400.00 | USD | 861 | (5,535 | ) | ||||||||||||||||
Procter & Gamble Co. |
192 | 08/19/22 | USD | 120.00 | USD | 2,761 | (14,976 | ) | ||||||||||||||||
10-Year U.S. Treasury Note Future |
452 | 08/26/22 | USD | 113.00 | USD | 53,498 | (84,750 | ) | ||||||||||||||||
Albemarle Corp. |
95 | 09/16/22 | USD | 180.00 | USD | 1,985 | (94,050 | ) | ||||||||||||||||
Amazon.com, Inc. |
120 | 09/16/22 | USD | 85.00 | USD | 1,275 | (51,436 | ) | ||||||||||||||||
Consumer Staples Select Sector SPDR Fund |
1,663 | 09/16/22 | USD | 66.00 | USD | 12,004 | (315,138 | ) | ||||||||||||||||
Dollar Tree, Inc. |
119 | 09/16/22 | USD | 125.00 | USD | 1,855 | (32,963 | ) | ||||||||||||||||
Domino’s Pizza, Inc. |
11 | 09/16/22 | USD | 300.00 | USD | 429 | (4,070 | ) | ||||||||||||||||
Exxon Mobil Corp. |
127 | 09/16/22 | USD | 90.00 | USD | 1,088 | (118,110 | ) | ||||||||||||||||
General Motors Co. |
422 | 09/16/22 | USD | 32.00 | USD | 1,340 | (125,756 | ) | ||||||||||||||||
General Motors Co. |
119 | 09/16/22 | USD | 30.00 | USD | 378 | (24,811 | ) | ||||||||||||||||
Pandora A/S |
25 | 09/16/22 | DKK | 550.00 | DKK | 1,116 | (40,419 | ) | ||||||||||||||||
Eli Lilly & Co. |
12 | 10/21/22 | USD | 260.00 | USD | 389 | (6,030 | ) | ||||||||||||||||
Dynatrace, Inc. |
111 | 11/18/22 | USD | 35.00 | USD | 438 | (37,185 | ) | ||||||||||||||||
Commerzbank AG |
447 | 12/16/22 | EUR | 7.20 | EUR | 299 | (54,338 | ) | ||||||||||||||||
LVMH Moet Hennessy Louis Vuitton SE |
18 | 12/16/22 | EUR | 520.00 | EUR | 1,047 | (55,080 | ) | ||||||||||||||||
SAP Investor Relations, ADR |
71 | 12/16/22 | USD | 80.00 | USD | 644 | (26,625 | ) | ||||||||||||||||
SPDR S&P 500 ETF Trust |
268 | 12/16/22 | USD | 310.00 | USD | 10,110 | (202,742 | ) | ||||||||||||||||
Abbott Laboratories |
100 | 01/20/23 | USD | 105.00 | USD | 1,087 | (71,250 | ) | ||||||||||||||||
Adobe, Inc. |
18 | 01/20/23 | USD | 400.00 | USD | 659 | (108,495 | ) | ||||||||||||||||
Align Technology, Inc. |
26 | 01/20/23 | USD | 230.00 | USD | 615 | (93,210 | ) | ||||||||||||||||
Alphabet Inc., Class C |
12 | 01/20/23 | USD | 1,600.00 | USD | 2,625 | (56,220 | ) | ||||||||||||||||
Alphabet Inc., Class C |
8 | 01/20/23 | USD | 2,000.00 | USD | 1,750 | (112,480 | ) | ||||||||||||||||
Amazon.com, Inc. |
240 | 01/20/23 | USD | 80.00 | USD | 2,549 | (93,600 | ) | ||||||||||||||||
Apple, Inc. |
171 | 01/20/23 | USD | 100.00 | USD | 2,338 | (52,155 | ) | ||||||||||||||||
Booking Holdings, Inc. |
6 | 01/20/23 | USD | 2,000.00 | USD | 1,049 | (220,920 | ) | ||||||||||||||||
Dynatrace, Inc. |
112 | 01/20/23 | USD | 35.00 | USD | 442 | (44,800 | ) | ||||||||||||||||
Eli Lilly & Co. |
35 | 01/20/23 | USD | 280.00 | USD | 1,135 | (49,612 | ) | ||||||||||||||||
Eli Lilly & Co. |
35 | 01/20/23 | USD | 260.00 | USD | 1,135 | (33,687 | ) | ||||||||||||||||
Glencore International PLC |
112 | 01/20/23 | GBP | 4.50 | GBP | 503 | (85,462 | ) | ||||||||||||||||
Humana, Inc. |
17 | 01/20/23 | USD | 390.00 | USD | 796 | (28,135 | ) | ||||||||||||||||
Intuit, Inc. |
19 | 01/20/23 | USD | 370.00 | USD | 732 | (74,860 | ) | ||||||||||||||||
Microsoft Corp. |
94 | 01/20/23 | USD | 200.00 | USD | 2,414 | (58,985 | ) | ||||||||||||||||
Nike, Inc., Class B |
94 | 01/20/23 | USD | 110.00 | USD | 961 | (141,470 | ) | ||||||||||||||||
Otis Worldwide Corp. |
117 | 01/20/23 | USD | 65.00 | USD | 827 | (45,045 | ) | ||||||||||||||||
salesforce.com, Inc. |
122 | 01/20/23 | USD | 160.00 | USD | 2,013 | (211,060 | ) | ||||||||||||||||
ServiceNow, Inc. |
21 | 01/20/23 | USD | 450.00 | USD | 999 | (112,350 | ) | ||||||||||||||||
XPO Logistics, Inc. |
78 | 01/20/23 | USD | 45.00 | USD | 376 | (43,290 | ) | ||||||||||||||||
|
|
|||||||||||||||||||||||
(6,307,139 | ) | |||||||||||||||||||||||
|
|
|||||||||||||||||||||||
$ | (7,169,760 | ) | ||||||||||||||||||||||
|
|
S C H E D U L E O F I N V E S T M E N T S |
35 |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Capital Allocation Trust (BCAT) |
OTC Options Written
Description | Counterparty | Number of Contracts |
Expiration Date |
Exercise Price | Notional Amount (000) |
Value | ||||||||||||||||||||||||
Call |
||||||||||||||||||||||||||||||
USD Currency |
JPMorgan Chase Bank N.A. | — | 07/21/22 | CNH | 6.90 | USD | 9,123 | $ | (2,637 | ) | ||||||||||||||||||||
|
|
|||||||||||||||||||||||||||||
Put | ||||||||||||||||||||||||||||||
EUR Currency |
Bank of America N.A. | — | 07/11/22 | USD | 1.00 | EUR | 14,076 | (4,012 | ) | |||||||||||||||||||||
EUR Currency |
JPMorgan Chase Bank N.A. | — | 07/21/22 | CHF | 1.00 | EUR | 11,404 | (89,428 | ) | |||||||||||||||||||||
EUR Currency |
JPMorgan Chase Bank N.A. | — | 07/29/22 | CHF | 0.97 | EUR | 11,404 | (20,185 | ) | |||||||||||||||||||||
EUR Currency |
Morgan Stanley & Co. International PLC | — | 08/12/22 | USD | 1.00 | EUR | 15,364 | (35,551 | ) | |||||||||||||||||||||
EUR Currency |
Morgan Stanley & Co. International PLC | — | 08/12/22 | USD | 1.00 | EUR | 15,364 | (39,093 | ) | |||||||||||||||||||||
USD Currency |
Goldman Sachs International | — | 09/08/22 | JPY | 125.00 | USD | 13,893 | (57,071 | ) | |||||||||||||||||||||
S&P 500 Index |
Citibank N.A. | 1,565 | 09/16/22 | USD | 3,700.00 | USD | 5,924 | (222,102 | ) | |||||||||||||||||||||
|
|
|||||||||||||||||||||||||||||
|
(467,442 |
) | ||||||||||||||||||||||||||||
|
|
|||||||||||||||||||||||||||||
$ | (470,079 | ) | ||||||||||||||||||||||||||||
|
|
OTC Credit Default Swaptions Written
Description | Paid by the Trust |
Received by the Trust |
Frequency |
Counterparty | Expiration Date |
Credit Rating(a) |
Exercise Price |
Notional Amount (000)(b) |
Value | |||||||||||||||||||
Rate/Reference | Rate/Reference | |||||||||||||||||||||||||||
Call |
||||||||||||||||||||||||||||
Buy Protection 5-Year Credit Default Swap, 06/20/27 |
CDX.NA.HY.38.V2 | 5.00% | Quarterly | JPMorgan Chase Bank N.A. | 09/21/22 | N/R | USD103.00 | USD 3,708 | $ (3,921) | |||||||||||||||||||
|
(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 Interest Rate Swaptions Written
Description | Paid by the Trust | Received by the Trust | Counterparty | Expiration Date |
Exercise Rate |
Notional Amount (000) |
Value | |||||||||||||||||||||||
Rate | Frequency | Rate | Frequency | |||||||||||||||||||||||||||
Call |
||||||||||||||||||||||||||||||
2-Year Interest Rate Swap, |
1.40% | Semi-Annual | |
1-Day SOFR, 0.82% |
|
Quarterly | Morgan Stanley & Co. International PLC |
02/15/23 | 1.40 | % | USD | 47,688 | $ | (47,763 | ) | |||||||||||||||
1-Year Interest Rate Swap, |
0.40% | Semi-Annual | |
3-Month LIBOR, 2.29% |
|
Quarterly | Morgan Stanley & Co. International PLC |
03/16/23 | 0.40 | USD | 124,708 | (13,485 | ) | |||||||||||||||||
1-Year Interest Rate Swap, |
0.60% | Semi-Annual | |
3-Month LIBOR, 2.29% |
|
Quarterly | Morgan Stanley & Co. International PLC |
03/16/23 | 0.60 | USD | 124,708 | (17,067 | ) | |||||||||||||||||
|
|
|||||||||||||||||||||||||||||
(78,315 | ) | |||||||||||||||||||||||||||||
|
|
|||||||||||||||||||||||||||||
Put | ||||||||||||||||||||||||||||||
10-Year Interest Rate Swap, |
|
1-Day SOFR, 0.82% |
|
Quarterly | 3.20% | Semi-Annual | Goldman Sachs International |
08/12/22 | 3.20 | USD | 5,845 | (24,132 | ) | |||||||||||||||||
10-Year Interest Rate Swap, |
|
1-Day SOFR, 0.82% |
|
Quarterly | 3.23% | Semi-Annual | Citibank N.A. |
08/17/22 | 3.23 | USD | 11,245 | (47,965 | ) | |||||||||||||||||
10-Year Interest Rate Swap, |
|
1-Day SOFR, 0.82% |
|
Quarterly | 3.10% | Semi-Annual | Morgan Stanley & Co. International PLC |
08/24/22 | 3.10 | USD | 22,802 | (171,980 | ) | |||||||||||||||||
10-Year Interest Rate Swap, |
|
1-Day SOFR, 0.82% |
|
Quarterly | 3.00% | Semi-Annual | Morgan Stanley & Co. International PLC |
08/31/22 | 3.00 | USD | 11,824 | (131,222 | ) | |||||||||||||||||
10-Year Interest Rate Swap, |
|
1-Day SOFR, 0.82% |
|
Quarterly | 3.00% | Semi-Annual | Morgan Stanley & Co. International PLC |
08/31/22 | 3.00 | USD | 11,645 | (129,226 | ) | |||||||||||||||||
10-Year Interest Rate Swap, |
|
1-Day SOFR, 0.82% |
|
Quarterly | 3.45% | Semi-Annual | Citibank N.A. |
09/23/22 | 3.45 | USD | 16,651 | (78,701 | ) | |||||||||||||||||
5-Year Interest Rate Swap, |
|
1-Day SOFR, 0.82% |
|
Quarterly | 2.91% | Semi-Annual | Morgan Stanley & Co. International PLC |
10/04/22 | 2.91 | USD | 23,669 | (272,756 | ) | |||||||||||||||||
10-Year Interest Rate Swap, |
|
1-Day SOFR, 0.82% |
|
Quarterly | 3.20% | Semi-Annual | Goldman Sachs International |
11/23/22 | 3.20 | USD | 10,953 | (148,456 | ) | |||||||||||||||||
10-Year Interest Rate Swap, |
|
1-Day SOFR, 0.82% |
|
Quarterly | 3.35% | Semi-Annual | Morgan Stanley & Co. International PLC |
12/08/22 | 3.35 | USD | 23,452 | (262,076 | ) | |||||||||||||||||
2-Year Interest Rate Swap, |
|
1-Day SOFR, 0.82% |
|
Quarterly | 2.60% | Semi-Annual | Morgan Stanley & Co. International PLC |
02/15/23 | 2.60 | USD | 47,688 | (616,671 | ) | |||||||||||||||||
2-Year Interest Rate Swap, 02/17/25 |
|
1-Day SOFR, 0.82% |
|
Quarterly | 2.70% | Semi-Annual | Morgan Stanley & Co. International PLC |
02/15/23 | 2.70 | USD | 47,688 | (562,839 | ) |
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 |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Capital Allocation Trust (BCAT) |
OTC Interest Rate Swaptions Written (continued)
Description | Paid by the Trust | Received by the Trust | Counterparty | Expiration Date |
Exercise Rate |
Notional Amount (000) |
Value | |||||||||||||||||||||||
Rate | Frequency | Rate | Frequency | |||||||||||||||||||||||||||
Put (continued) |
||||||||||||||||||||||||||||||
10-Year Interest Rate Swap, 03/25/33 |
|
1-Day SOFR, 0.82% |
|
Quarterly | 3.27% | Semi-Annual | Goldman Sachs International |
03/23/23 | 3.27 | % | USD | 35,297 | $ | (636,860 | ) | |||||||||||||||
10-Year Interest Rate Swap, 03/26/33 |
|
1-Day SOFR, 0.82% |
|
Quarterly | 3.28% | Semi-Annual | Goldman Sachs International |
03/24/23 | 3.28 | USD | 11,452 | (204,297 | ) | |||||||||||||||||
1-Year Interest Rate Swap, 04/03/24 |
|
1-Day SONIA, 0.94% |
|
Annual | 3.22% | Annual | Goldman Sachs International |
04/03/23 | 3.22 | GBP | 93,289 | (434,365 | ) | |||||||||||||||||
10-Year Interest Rate Swap, 04/08/33 |
|
1-Day SOFR, 0.82% |
|
Quarterly | 3.40% | Semi-Annual | Morgan Stanley & Co. International PLC |
04/06/23 | 3.40 | USD | 11,867 | (186,240 | ) | |||||||||||||||||
10-Year Interest Rate Swap, 04/20/33 |
|
1-Day SOFR, 0.82% |
|
Quarterly | 3.45% | Semi-Annual | Morgan Stanley & Co. International PLC |
04/18/23 | 3.45 | USD | 11,735 | (177,675 | ) | |||||||||||||||||
10-Year Interest Rate Swap, 05/07/33 |
|
1-Day SOFR, 0.82% |
|
Quarterly | 3.75% | Semi-Annual | Citibank N.A. |
05/05/23 | 3.75 | USD | 11,690 | (126,119 | ) | |||||||||||||||||
10-Year Interest Rate Swap, 05/13/33 |
|
1-Day SOFR, 0.82% |
|
Quarterly | 3.57% | Semi-Annual | Goldman Sachs International |
05/11/23 | 3.57 | USD | 33,633 | (460,837 | ) | |||||||||||||||||
10-Year Interest Rate Swap, 06/25/33 |
|
1-Day SOFR, 0.82% |
|
Quarterly | 3.67% | Semi-Annual | Citibank N.A. |
06/23/23 | 3.67 | USD | 11,101 | (146,879 | ) | |||||||||||||||||
|
|
|||||||||||||||||||||||||||||
|
(4,819,296
|
)
| ||||||||||||||||||||||||||||
|
|
|||||||||||||||||||||||||||||
$
|
(4,897,611
|
)
| ||||||||||||||||||||||||||||
|
|
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.34.V10 |
5.00 | % | Quarterly | 06/20/25 | CC | USD | 20,020 | $ | 26,911 | $ | 596,570 | $ | (569,659 | ) | ||||||||||||||||
CDX.NA.HY.35.V2 |
5.00 | Quarterly | 12/20/25 | CCC | USD | 9,121 | (25,861 | ) | 533,270 | (559,131 | ) | |||||||||||||||||||
ITRAXX.XO.34.V2 |
5.00 | Quarterly | 12/20/25 | CCC | EUR | 29,059 | 118,549 | 2,910,638 | (2,792,089 | ) | ||||||||||||||||||||
ITRAXX.XO.35.V1 |
5.00 | Quarterly | 06/20/26 | CCC+ | EUR | 4,639 | (40,618 | ) | 559,304 | (599,922 | ) | |||||||||||||||||||
CDX.NA.HY.38.V2 |
5.00 | Quarterly | 06/20/27 | B+ | USD | 64,871 | (1,802,605 | ) | (653,742 | ) | (1,148,863 | ) | ||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||
$
|
(1,723,624
|
)
|
$
|
3,946,040
|
|
$
|
(5,669,664
|
)
| ||||||||||||||||||||||
|
|
|
|
|
|
(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 Date |
Termination Date |
Notional Amount (000) |
Value | Upfront (Received) |
Unrealized (Depreciation) |
|||||||||||||||||||||||||
Rate | Frequency | Rate | Frequency | |||||||||||||||||||||||||||||
1-Month MXIBOR, 8.03% | Monthly | 4.42% | Monthly | N/A | 02/28/23 | MXN | 88,484 | $ | (140,530 | ) | $ | 4 | $ | (140,534 | ) | |||||||||||||||||
1-Month MXIBOR, 8.03% | Monthly | 4.50% | Monthly | N/A | 03/03/23 | MXN | 88,456 | (139,043 | ) | 5 | (139,048 | ) | ||||||||||||||||||||
1-Month MXIBOR, 8.03% | Monthly | 4.68% | Monthly | N/A | 02/27/24 | MXN | 62,782 | (237,465 | ) | 8 | (237,473 | ) | ||||||||||||||||||||
1-Month MXIBOR, 8.03% | Monthly | 4.86% | Monthly | N/A | 03/01/24 | MXN | 62,782 | (229,194 | ) | 8 | (229,202 | ) | ||||||||||||||||||||
1-Day SOFR, 0.82% | Annual | 1.13% | Annual | N/A | 03/07/24 | USD | 51,255 | (1,514,878 | ) | 191 | (1,515,069 | ) | ||||||||||||||||||||
1-Day SOFR, 0.82% | Annual | 1.13% | Annual | N/A | 03/08/24 | USD | 77,139 | (2,285,667 | ) | 288 | (2,285,955 | ) | ||||||||||||||||||||
1-Day SOFR, 0.82% | Annual | 1.08% | Annual | N/A | 03/18/24 | USD | 103,986 | (3,260,365 | ) | 395 | (3,260,760 | ) | ||||||||||||||||||||
0.57% | Semi-Annual | 3-Month LIBOR, 2.29% | Quarterly | N/A | 06/28/24 | USD | 17,798 | 926,683 | 91 | 926,592 | ||||||||||||||||||||||
0.51% | Semi-Annual | 3-Month LIBOR, 2.29% | Quarterly | N/A | 07/13/24 | USD | 16,466 | 885,112 | 85 | 885,027 | ||||||||||||||||||||||
0.55% | Semi-Annual | 3-Month LIBOR, 2.29% | Quarterly | N/A | 07/20/24 | USD | 24,485 | 1,295,079 | 128 | 1,294,951 | ||||||||||||||||||||||
0.49% | Semi-Annual | 3-Month LIBOR, 2.29% | Quarterly | N/A | 07/23/24 | USD | 16,158 | 879,996 | 85 | 879,911 | ||||||||||||||||||||||
0.49% | Semi-Annual | 3-Month LIBOR, 2.29% | Quarterly | N/A | 07/23/24 | USD | 16,158 | 881,170 | 85 | 881,085 | ||||||||||||||||||||||
0.56% | Semi-Annual | 3-Month LIBOR, 2.29% | Quarterly | N/A | 08/12/24 | USD | 24,674 | 1,330,159 | 133 | 1,330,026 | ||||||||||||||||||||||
0.55% | Semi-Annual | 3-Month LIBOR, 2.29% | Quarterly | N/A | 08/13/24 | USD | 16,080 | 869,502 | 87 | 869,415 | ||||||||||||||||||||||
0.57% | Semi-Annual | 3-Month LIBOR, 2.29% | Quarterly | N/A | 08/27/24 | USD | 8,071 | 437,895 | 44 | 437,851 | ||||||||||||||||||||||
0.57% | Semi-Annual | 3-Month LIBOR, 2.29% | Quarterly | N/A | 08/27/24 | USD | 8,071 | 437,407 | 44 | 437,363 | ||||||||||||||||||||||
0.57% | Semi-Annual | 3-Month LIBOR, 2.29% | Quarterly | N/A | 08/27/24 | USD | 7,990 | 432,744 | 44 | 432,700 | ||||||||||||||||||||||
0.57% | Semi-Annual | 3-Month LIBOR, 2.29% | Quarterly | N/A | 08/27/24 | USD | 8,111 | 438,968 | 45 | 438,923 |
S C H E D U L E O F I N V E S T M E N T S |
37 |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Capital Allocation Trust (BCAT)
|
Centrally Cleared Interest Rate Swaps (continued)
Paid by the Trust |
Received by the Trust | Effective Date |
Termination Date |
Notional Amount (000) |
Value | Upfront (Received) |
Unrealized (Depreciation) |
|||||||||||||||||||||||||||||
Rate | Frequency | Rate | Frequency | |||||||||||||||||||||||||||||||||
0.57% | Semi-Annual | 3-Month LIBOR, 2.29% | Quarterly | N/A | 08/27/24 | USD | 8,111 | $ | 438,595 | $ | 45 | $ | 438,550 | |||||||||||||||||||||||
2.00% | Annual | 1-Day SOFR, 0.82% | Annual | 02/17/23 | (a) | 02/17/25 | USD | 13,415 | 245,947 | 59 | 245,888 | |||||||||||||||||||||||||
0.68% | Semi-Annual | 3-Month LIBOR, 2.29% | Quarterly | N/A | 02/19/26 | USD | 15,214 | 1,233,066 | 102 | 1,232,964 | ||||||||||||||||||||||||||
0.70% | Semi-Annual | 3-Month LIBOR, 2.29% | Quarterly | N/A | 02/22/26 | USD | 4,158 | 334,743 | 28 | 334,715 | ||||||||||||||||||||||||||
3-Month LIBOR, 2.29% | Quarterly | 0.83% | Semi-Annual | N/A | 03/08/26 | USD | 48,830 | (3,703,018 | ) | 333 | (3,703,351 | ) | ||||||||||||||||||||||||
0.63% | Semi-Annual | 3-Month LIBOR, 2.29% | Quarterly | N/A | 05/26/26 | USD | 70,700 | 6,347,348 | 517 | 6,346,831 | ||||||||||||||||||||||||||
0.64% | Semi-Annual | 3-Month LIBOR, 2.29% | Quarterly | N/A | 05/27/26 | USD | 106,500 | 9,526,182 | 778 | 9,525,404 | ||||||||||||||||||||||||||
0.85% | Semi-Annual | 3-Month LIBOR, 2.29% | Quarterly | N/A | 05/27/26 | USD | 35,500 | 2,894,794 | 259 | 2,894,535 | ||||||||||||||||||||||||||
3-Month LIBOR, 2.29% | Quarterly | 0.98% | Semi-Annual | N/A | 06/28/26 | USD | 10,679 | (843,565 | ) | 80 | (843,645 | ) | ||||||||||||||||||||||||
3-Month LIBOR, 2.29% | Quarterly | 0.87% | Semi-Annual | N/A | 07/13/26 | USD | 9,703 | (788,424 | ) | 72 | (788,496 | ) | ||||||||||||||||||||||||
0.94% | Semi-Annual | 3-Month LIBOR, 2.29% | Quarterly | N/A | 10/14/26 | USD | 5,628 | 480,720 | 44 | 480,676 | ||||||||||||||||||||||||||
1.17% | Semi-Annual | 3-Month LIBOR, 2.29% | Quarterly | N/A | 10/14/26 | USD | 8,887 | 674,683 | 71 | 674,612 | ||||||||||||||||||||||||||
1.15% | Semi-Annual | 3-Month LIBOR, 2.29% | Quarterly | N/A | 11/10/26 | USD | 23,695 | 1,845,141 | 192 | 1,844,949 | ||||||||||||||||||||||||||
3-Month LIBOR, 2.29% | Quarterly | 1.39% | Semi-Annual | N/A | 01/07/27 | USD | 37,639 | (2,494,732 | ) | 314 | (2,495,046 | ) | ||||||||||||||||||||||||
3-Month LIBOR, 2.29% | Quarterly | 1.42% | Semi-Annual | N/A | 01/10/27 | USD | 15,327 | (995,677 | ) | 128 | (995,805 | ) | ||||||||||||||||||||||||
3-Month LIBOR, 2.29% | Quarterly | 1.47% | Semi-Annual | N/A | 01/14/27 | USD | 5,554 | (348,874 | ) | 47 | (348,921 | ) | ||||||||||||||||||||||||
3-Month LIBOR, 2.29% | Quarterly | 1.63% | Semi-Annual | N/A | 02/09/27 | USD | 50,827 | (2,876,416 | ) | 433 | (2,876,849 | ) | ||||||||||||||||||||||||
1-Day SOFR, 0.82% | Annual | 1.56% | Annual | N/A | 03/07/27 | USD | 25,627 | (1,290,508 | ) | 222 | (1,290,730 | ) | ||||||||||||||||||||||||
1.17% | Semi-Annual | 3-Month LIBOR, 2.29% | Quarterly | N/A | 02/04/31 | USD | 5,187 | 727,331 | 73 | 727,258 | ||||||||||||||||||||||||||
1.20% | Semi-Annual | 3-Month LIBOR, 2.29% | Quarterly | N/A | 02/05/31 | USD | 3,049 | 422,593 | 43 | 422,550 | ||||||||||||||||||||||||||
3-Month LIBOR, 2.29% | Quarterly | 1.40% | Semi-Annual | N/A | 04/07/31 | USD | 22,642 | (2,887,743 | ) | 328 | (2,888,071 | ) | ||||||||||||||||||||||||
3-Month LIBOR, 2.29% | Quarterly | 1.42% | Semi-Annual | N/A | 04/08/31 | USD | 13,011 | (1,639,472 | ) | 188 | (1,639,660 | ) | ||||||||||||||||||||||||
1.57% | Semi-Annual | 3-Month LIBOR, 2.29% | Quarterly | N/A | 05/27/31 | USD | 8,424 | 978,490 | 124 | 978,366 | ||||||||||||||||||||||||||
1.54% | Semi-Annual | 3-Month LIBOR, 2.29% | Quarterly | N/A | 05/28/31 | USD | 1,495 | 177,362 | 22 | 177,340 | ||||||||||||||||||||||||||
0.02% | Annual | 6-Month EURIBOR, 0.26% | Semi-Annual | N/A | 08/26/31 | EUR | 9,317 | 1,695,253 | 174 | 1,695,079 | ||||||||||||||||||||||||||
1.40% | Semi-Annual | 3-Month LIBOR, 2.29% | Quarterly | N/A | 10/12/31 | USD | 7,217 | 972,397 | 108 | 972,289 | ||||||||||||||||||||||||||
1.38% | Semi-Annual | 3-Month LIBOR, 2.29% | Quarterly | N/A | 10/14/31 | USD | 4,388 | 597,508 | 66 | 597,442 | ||||||||||||||||||||||||||
1.38% | Semi-Annual | 3-Month LIBOR, 2.29% | Quarterly | N/A | 10/14/31 | USD | 6,391 | 871,839 | 96 | 871,743 | ||||||||||||||||||||||||||
3-Month LIBOR, 2.29% | Quarterly | 1.59% | Semi-Annual | N/A | 10/14/31 | USD | 33,197 | (3,947,408 | ) | 504 | (3,947,912 | ) | ||||||||||||||||||||||||
3-Month LIBOR, 2.29% | Quarterly | 1.62% | Semi-Annual | N/A | 11/19/31 | USD | 22,524 | (2,658,245 | ) | 345 | (2,658,590 | ) | ||||||||||||||||||||||||
1.44% | Semi-Annual | 3-Month LIBOR, 2.29% | Quarterly | N/A | 11/26/31 | USD | 3,858 | 513,239 | 58 | 513,181 | ||||||||||||||||||||||||||
1.41% | Semi-Annual | 3-Month LIBOR, 2.29% | Quarterly | N/A | 11/30/31 | USD | 2,669 | 362,425 | 40 | 362,385 | ||||||||||||||||||||||||||
3-Month LIBOR, 2.29% | Quarterly | 1.76% | Semi-Annual | N/A | 01/28/32 | USD | 35,747 | (3,715,282 | ) | 555 | (3,715,837 | ) | ||||||||||||||||||||||||
2.38% | Annual | 1-Day SOFR, 0.82% | Annual | N/A | 04/08/32 | USD | 2,085 | 64,982 | 33 | 64,949 | ||||||||||||||||||||||||||
2.58% | Annual | 1-Day SOFR, 0.82% | Annual | N/A | 05/24/32 | USD | 14,246 | 237,018 | (13,914 | ) | 250,932 | |||||||||||||||||||||||||
2.60% | Annual | 1-Day SOFR, 0.82% | Annual | N/A | 05/26/32 | USD | 2,456 | 36,841 | 39 | 36,802 | ||||||||||||||||||||||||||
1.70% | Semi-Annual | 3-Month LIBOR, 2.29% | Quarterly | N/A | 11/26/41 | USD | 2,070 | 441,418 | 48 | 441,370 | ||||||||||||||||||||||||||
1.45% | Semi-Annual | 3-Month LIBOR, 2.29% | Quarterly | N/A | 12/11/50 | USD | 2,193 | 646,283 | 66 | 646,217 | ||||||||||||||||||||||||||
1.45% | Semi-Annual | 3-Month LIBOR, 2.29% | Quarterly | N/A | 01/07/51 | USD | 7,090 | 2,070,482 | 212 | 2,070,270 | ||||||||||||||||||||||||||
1.52% | Semi-Annual | 3-Month LIBOR, 2.29% | Quarterly | N/A | 01/08/51 | USD | 2,422 | 671,202 | 73 | 671,129 | ||||||||||||||||||||||||||
1.63% | Semi-Annual | 3-Month LIBOR, 2.29% | Quarterly | N/A | 01/25/51 | USD | 5,110 | 1,310,004 | 153 | 1,309,851 | ||||||||||||||||||||||||||
1.58% | Semi-Annual | 3-Month LIBOR, 2.29% | Quarterly | N/A | 02/01/51 | USD | 5,275 | 1,405,678 | 158 | 1,405,520 | ||||||||||||||||||||||||||
1.66% | Semi-Annual | 3-Month LIBOR, 2.29% | Quarterly | N/A | 02/04/51 | USD | 2,952 | 737,164 | 89 | 737,075 | ||||||||||||||||||||||||||
1.68% | Semi-Annual | 3-Month LIBOR, 2.29% | Quarterly | N/A | 02/05/51 | USD | 3,049 | 749,649 | 92 | 749,557 | ||||||||||||||||||||||||||
1.91% | Semi-Annual | 3-Month LIBOR, 2.29% | Quarterly | N/A | 02/22/51 | USD | 1,179 | 235,261 | 35 | 235,226 | ||||||||||||||||||||||||||
2.01% | Semi-Annual | 3-Month LIBOR, 2.29% | Quarterly | N/A | 05/27/51 | USD | 4,357 | 807,113 | 134 | 806,979 | ||||||||||||||||||||||||||
1.97% | Semi-Annual | 3-Month LIBOR, 2.29% | Quarterly | N/A | 05/28/51 | USD | 718 | 138,260 | 22 | 138,238 | ||||||||||||||||||||||||||
2.04% | Semi-Annual | 3-Month LIBOR, 2.29% | Quarterly | N/A | 06/07/51 | USD | 1,360 | 245,308 | 42 | 245,266 | ||||||||||||||||||||||||||
3-Month LIBOR, 2.29% | Quarterly | 1.83% | Semi-Annual | N/A | 06/22/51 | USD | 3,001 | (668,619 | ) | 92 | (668,711 | ) | ||||||||||||||||||||||||
1.63% | Semi-Annual | 3-Month LIBOR, 2.29% | Quarterly | N/A | 08/23/51 | USD | 1,036 | 266,922 | 31 | 266,891 | ||||||||||||||||||||||||||
1.85% | Semi-Annual | 3-Month LIBOR, 2.29% | Quarterly | N/A | 10/15/51 | USD | 1,453 | 314,790 | 45 | 314,745 | ||||||||||||||||||||||||||
1.82% | Semi-Annual | 3-Month LIBOR, 2.29% | Quarterly | N/A | 10/18/51 | USD | 2,257 | 502,488 | 70 | 502,418 | ||||||||||||||||||||||||||
3-Month LIBOR, 2.29% | Quarterly | 1.84% | Semi-Annual | N/A | 11/08/51 | USD | 2,452 | (540,019 | ) | 76 | (540,095 | ) | ||||||||||||||||||||||||
1.71% | Semi-Annual | 3-Month LIBOR, 2.29% | Quarterly | N/A | 11/30/51 | USD | 978 | 241,106 | 30 | 241,076 | ||||||||||||||||||||||||||
1.96% | Semi-Annual | 3-Month LIBOR, 2.29% | Quarterly | N/A | 01/21/52 | USD | 9,600 | 1,822,255 | 296 | 1,821,959 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||||||||
$ | 15,893,451 | $ | (3,860 | ) | $ | 15,897,311 | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
(a) | Forward Swap. |
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 |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Capital Allocation Trust (BCAT)
|
OTC Credit Default Swaps — Sell Protection
Reference Obligation/Index | Financing Rate Received by the Trust |
Payment Frequency |
Counterparty | Termination Date |
Credit Rating(a) |
Notional Amount (000)(b) |
Value | Upfront Premium Paid (Received) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||||||||||
CMBX.NA.9 |
3.00 | % | Monthly | Morgan Stanley & Co. International PLC | 09/17/58 | N/R | USD | 2,000 | $ | (341,843 | ) | $ | (446,788 | ) | $ | 104,945 | ||||||||||||||||||||
CMBX.NA.9 |
3.00 | Monthly | Morgan Stanley & Co. International PLC | 09/17/58 | N/R | USD | 2,000 | (341,843 | ) | (436,166 | ) | 94,323 | ||||||||||||||||||||||||
CMBX.NA.9 |
3.00 | Monthly | Morgan Stanley & Co. International PLC | 09/17/58 | N/R | USD | 1,500 | (256,382 | ) | (166,709 | ) | (89,673 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||||||||
$ | (940,068 | ) | $ | (1,049,663 | ) | $ | 109,595 | |||||||||||||||||||||||||||||
|
|
|
|
|
|
(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 Interest Rate Swaps
Paid by the Trust |
Received by the Trust |
Counterparty |
Effective Date |
Termination Date |
Notional |
Value |
Upfront (Received) |
Unrealized (Depreciation) |
||||||||||||||||||||||||
Rate | Frequency | Rate | Frequency | |||||||||||||||||||||||||||||
China Fixing Repo Rates 7-Day, 2.50% |
Quarterly | 2.60% | Quarterly | Morgan Stanley & Co. International PLC |
N/A | 09/15/26 | CNY | 157,107 | $ | 43,249 | $ | — | $ | 43,249 | ||||||||||||||||||
|
|
|
|
|
|
OTC Total Return Swaps
Paid by the Trust | Received by the Trust |
Counterparty | Effective Date |
Termination Date |
Notional Amount (000) |
Value | Upfront (Received) |
Unrealized (Depreciation) |
||||||||||||||||||||||||
Rate/Reference | Frequency | Rate/Reference | Frequency | |||||||||||||||||||||||||||||
1-Day SOFR minus 2.25%,0.82% |
Monthly | iShares iBoxx $ High |
Monthly | BNP Paribas S.A. | N/A | 07/15/22 | USD | 3,638 | $ | (95,303 | ) | $ | — | $ | (95,303 | ) | ||||||||||||||||
1-Day SOFR minus 2.10%,0.82% |
Quarterly | iShares iBoxx $ High |
Monthly | Goldman Sachs International |
N/A | 07/15/22 | USD | 4,990 | 36,655 | — | 36,655 | |||||||||||||||||||||
1-Day SOFR minus 2.25%,0.82% |
Monthly | iShares iBoxx $ High Yield Corporate |
Monthly | JPMorgan Chase Bank N.A. |
N/A | 07/15/22 | USD | 2,645 | 19,344 | — | 19,344 | |||||||||||||||||||||
1-Day SOFR minus 2.30%,0.82% |
Monthly | iShares iBoxx $ High Yield Corporate |
Monthly | Merrill Lynch International |
N/A | 07/15/22 | USD | 1,993 | (52,171 | ) | — | (52,171 | ) | |||||||||||||||||||
1-Day SOFR minus 1.20%,0.82% |
Monthly | SPDR Bloomberg High Yield Bond ETF |
Monthly | Citibank N.A. | N/A | 07/15/22 | USD | 1,888 | 8,096 | — | 8,096 | |||||||||||||||||||||
iShares iBoxx $ Investment Grade Corporate Bond ETF |
Monthly | 1-Day SOFR minus 0.90%, 0.82% |
Monthly | Citibank N.A. | N/A | 07/19/22 | USD | 2,443 | 74,816 | — | 74,816 | |||||||||||||||||||||
iShares iBoxx $ Investment Grade Corporate Bond ETF |
Monthly | 1-Day SOFR minus 0.90%, 0.82% |
Monthly | Citibank N.A. | N/A | 07/19/22 | USD | 1,207 | 36,703 | — | 36,703 | |||||||||||||||||||||
PPG Industries Inc |
Quarterly | 1-Day SOFR minus 0.13%, 0.82% |
Quarterly | BNP Paribas S.A. | N/A | 09/02/22 | USD | 726 | 81,898 | — | 81,898 | |||||||||||||||||||||
PPG Industries Inc |
Quarterly | 1-Day SOFR minus 0.12%, 0.82% |
Quarterly | BNP Paribas S.A. | N/A | 09/02/22 | USD | 26 | 2,933 | — | 2,933 | |||||||||||||||||||||
Sherwin Williams |
Quarterly | 1-Day SOFR minus 0.10%, 0.82% |
Quarterly | BNP Paribas S.A. | N/A | 09/02/22 | USD | 67 | 11,342 | — | 11,342 | |||||||||||||||||||||
PPG Industries Inc |
Quarterly | 1-Day SOFR minus 0.08%, 0.82% |
Quarterly | BNP Paribas S.A. | N/A | 09/02/22 | USD | 655 | 73,876 | — | 73,876 | |||||||||||||||||||||
Sherwin Williams |
Quarterly | 1-Day SOFR minus 0.08%, 0.82% |
Monthly | BNP Paribas S.A. | N/A | 09/02/22 | USD | 685 | 116,311 | — | 116,311 |
S C H E D U L E O F I N V E S T M E N T S |
39 |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Capital Allocation Trust (BCAT)
|
OTC Total Return Swaps (continued)
Paid by the Trust | Received by the Trust |
Counterparty | Effective Date |
Termination Date |
Notional Amount (000) |
Value | Upfront (Received) |
Unrealized (Depreciation) |
||||||||||||||||||||||||||
Rate/Reference | Frequency | Rate/Reference | Frequency | |||||||||||||||||||||||||||||||
1-Day SOFR minus 1.65%,0.82% |
Quarterly | iShares iBoxx $ High Yield Corporate Bond ETF |
Quarterly | BNP Paribas S.A. | N/A | 09/16/22 | USD | 2,916 | $ | (7,635 | ) | $ | — | $ | (7,635 | ) | ||||||||||||||||||
1-Day SOFR minus 1.60%,0.82% |
Quarterly | iShares iBoxx $ High Yield Corporate Bond ETF |
Quarterly | |
Goldman Sachs International |
|
N/A | 09/16/22 | USD | 2,520 | (7,068 | ) | — | (7,068 | ) | |||||||||||||||||||
1-Day SOFR minus 1.85%,0.82% |
Quarterly | iShares iBoxx $ High Yield Corporate Bond ETF |
Quarterly | |
JPMorgan Chase Bank N.A. |
|
N/A | 09/16/22 | USD | 7,191 | (18,601 | ) | — | (18,601 | ) | |||||||||||||||||||
1-Day SOFR minus 1.75%,0.82% |
Monthly | iShares iBoxx $ High Yield Corporate Bond ETF |
Monthly | |
Merrill Lynch International |
|
N/A | 09/16/22 | USD | 973 | (26,432 | ) | — | (26,432 | ) | |||||||||||||||||||
1-Day SOFR minus 1.25%,0.82% |
Monthly | SPDR Bloomberg High Yield Bond ETF |
Monthly | BNP Paribas S.A. | N/A | 09/16/22 | USD | 9,678 | (153,871 | ) | — | (153,871 | ) | |||||||||||||||||||||
1-Day SOFR minus 0.90%,0.82% |
Monthly | SPDR Bloomberg High Yield Bond ETF |
Monthly | Citibank N.A. | N/A | 09/16/22 | USD | 944 | 3,861 | — | 3,861 | |||||||||||||||||||||||
Snap Inc., Class A |
Monthly | 1-Day SOFR minus 0.18%, 0.82% |
Monthly | BNP Paribas S.A. | N/A | 09/16/22 | USD | 308 | (17,534 | ) | — | (17,534 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||||||
$ | 87,220 | $ | — | $ | 87,220 | |||||||||||||||||||||||||||||
|
|
|
|
|
|
OTC Total Return Swaps
Reference Entity | Payment Frequency |
Counterparty(a) | Termination Date |
Net Notional |
Accrued Unrealized Appreciation (Depreciation) |
Net Value of Reference Entity |
Gross Notional Amount Net Asset Percentage |
|||||||||||||||||||
Equity Securities Long. |
Monthly | Citibank N.A. | (b) | 10/11/23 | $ | 6,606,040 | $ | 13,348 | (c) | $ | 6,534,160 | 0.3 | % | |||||||||||||
|
|
|
|
|
|
(a) | The Trust receives the total return on a portfolio of long positions underlying the total return swap. The Trust pays the total return on a portfolio of short positions underlying the total return swap. In addition, the Trust pays or receives a variable rate of interest, based on a specified benchmark. The benchmark and spread are determined based upon the country and/or currency of the individual underlying positions. |
(c) | Amount includes $85,228 of net dividends and financing fees. |
The following are the specified benchmarks (plus or minus a range) used in determining the variable rate of interest:
(b) | ||
Range: |
26 basis points | |
Benchmarks: |
USD - 1D Overnight Bank Funding Rate (OBFR01) |
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 |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Capital Allocation Trust (BCAT) |
The following table represents the individual long positions and related values of the equity securities underlying the total return swap with Citibank N.A. as of period end, termination date October 11, 2023:
Security | Shares | Value | % of Basket Value |
|||||||||
Reference Entity — Long |
||||||||||||
Common Stocks | ||||||||||||
Italy | ||||||||||||
Leonardo SpA |
644,026 | $ | 6,534,160 | 100.0 | % | |||||||
|
|
|
|
|||||||||
Net Value of Reference Entity — Citibank N.A |
$ | 6,534,160 | ||||||||||
|
|
Balances Reported in the Consolidated Statement 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) |
$ | 4,609,836 | $ | (667,656 | ) | $ | 53,107,071 | $ | (42,879,424 | ) | $ | — | ||||||||
OTC Swaps |
— | (1,049,663 | ) | 721,700 | (468,288 | ) | — | |||||||||||||
Options Written |
N/A | N/A | 2,626,842 | (4,415,254 | ) | (12,541,371 | ) |
(a) | Includes cumulative appreciation (depreciation) on centrally cleared swaps, as reported in the Consolidated Schedule of Investments. Only current day’s variation margin is reported within the Consolidated Statement 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 Consolidated Statement 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) |
$ | — | $ | — | $ | 148,755 | $ | — | $ | 3,799,521 | $ | — | $ | 3,948,276 | ||||||||||||||
Forward foreign currency exchange contracts |
||||||||||||||||||||||||||||
Unrealized appreciation on forward foreign currency exchange contracts. |
— | — | — | 9,239,551 | — | — | 9,239,551 | |||||||||||||||||||||
Options purchased |
||||||||||||||||||||||||||||
Investments at value — unaffiliated(b) |
— | — | 6,194,266 | 566,804 | 911,665 | — | 7,672,735 | |||||||||||||||||||||
Swaps — centrally cleared |
||||||||||||||||||||||||||||
Unrealized appreciation on centrally cleared swaps(a) |
— | — | — | — | 53,107,071 | — | 53,107,071 | |||||||||||||||||||||
Swaps — OTC |
||||||||||||||||||||||||||||
Unrealized appreciation on OTC swaps; Swap premiums paid |
— | 199,268 | 479,183 | — | 43,249 | — | 721,700 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
$ | — | $ | 199,268 | $ | 6,822,204 | $ | 9,806,355 | $ | 57,861,506 | $ | — | $ | 74,689,333 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Liabilities — Derivative Financial Instruments | ||||||||||||||||||||||||||||
Futures contracts |
||||||||||||||||||||||||||||
Unrealized depreciation on futures contracts(a) |
$ | — | $ | — | $ | 1,344,316 | $ | — | $ | 1,629,418 | $ | — | $ | 2,973,734 | ||||||||||||||
Forward foreign currency exchange contracts |
||||||||||||||||||||||||||||
Unrealized depreciation on forward foreign currency exchange contracts |
— | — | — | 2,194,066 | — | — | 2,194,066 | |||||||||||||||||||||
Options written |
||||||||||||||||||||||||||||
Options written at value |
— | 3,921 | 7,206,737 | 247,977 | 5,082,736 | — | 12,541,371 |
S C H E D U L E O F I N V E S T M E N T S |
41 |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Capital Allocation Trust (BCAT) |
Derivative Financial Instruments Categorized by Risk Exposure (continued)
Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Currency Exchange Contracts |
Interest Rate Contracts |
Other Contracts |
Total | ||||||||||||||||||||||
Swaps — centrally cleared |
||||||||||||||||||||||||||||
Unrealized depreciation on centrally cleared swaps(a) |
$ | — | $ | 5,669,664 | $ | — | $ | — | $ | 37,209,760 | $ | — | $ | 42,879,424 | ||||||||||||||
Swaps — OTC |
||||||||||||||||||||||||||||
Unrealized depreciation on OTC swaps; Swap premiums received |
— | 1,139,336 | 378,615 | — | — | — | 1,517,951 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
$ | — | $ | 6,812,921 | $ | 8,929,668 | $ | 2,442,043 | $ | 43,921,914 | $ | — | $ | 62,106,546 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) | Net cumulative unrealized appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, are reported in the Consolidated Schedule of Investments. In the Consolidated Statement 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 Consolidated Schedule of Investments. |
For the period ended June 30, 2022, the effect of derivative financial instruments in the Consolidated Statement 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 |
$ | (681,967 | ) | $ | — | $ | 38,214,628 | $ | — | $ | 9,550,048 | $ | — | $ | 47,082,709 | |||||||||||||
Forward foreign currency exchange contracts. |
— | — | — | 21,048,590 | — | — | 21,048,590 | |||||||||||||||||||||
Options purchased(a) |
— | — | (5,136,505 | ) | 943,838 | (698,396 | ) | — | (4,891,063 | ) | ||||||||||||||||||
Options written |
— | — | 5,865,266 | 184,580 | (632,191 | ) | — | 5,417,655 | ||||||||||||||||||||
Swaps |
— | 922,805 | 2,815,300 | — | 2,389,395 | — | 6,127,500 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
$ | (681,967 | ) | $ | 922,805 | $ | 41,758,689 | $ | 22,177,008 | $ | 10,608,856 | $ | — | $ | 74,785,391 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on: |
||||||||||||||||||||||||||||
Futures contracts. |
$ | 138,541 | $ | — | $ | 1,378,279 | $ | — | $ | 1,426,899 | $ | — | $ | 2,943,719 | ||||||||||||||
Forward foreign currency exchange contracts. |
— | — | — | 9,029,801 | — | — | 9,029,801 | |||||||||||||||||||||
Options purchased(b) |
— | — | (1,766,871 | ) | 41,647 | (142,352 | ) | — | (1,867,576 | ) | ||||||||||||||||||
Options written |
— | 13,186 | (2,525,436 | ) | (26,142 | ) | (1,623,537 | ) | — | (4,161,929 | ) | |||||||||||||||||
Swaps |
— | (8,206,105 | ) | 402,863 | — | 6,474,199 | — | (1,329,043 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
$ | 138,541 | $ | (8,192,919 | ) | $ | (2,511,165 | ) | $ | 9,045,306 | $ | 6,135,209 | $ | — | $ | 4,614,972 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(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 |
$ | 331,897,711 | ||
Average notional value of contracts — short |
$ | 507,678,855 | ||
Forward foreign currency exchange contracts: |
||||
Average amounts purchased — in USD. |
$ | 546,813,224 | ||
Average amounts sold — in USD |
$ | 221,029,936 | ||
Options: |
||||
Average value of option contracts purchased. |
$ | 8,176,748 | ||
Average value of option contracts written |
$ | 6,798,211 | ||
Average notional value of swaption contracts purchased. |
$ | 197,212,740 | ||
Average notional value of swaption contracts written |
$ | 635,047,927 | ||
Credit default swaps: |
||||
Average notional value — sell protection |
$ | 106,320,262 | ||
Interest rate swaps: |
||||
Average notional value — pays fixed rate |
$ | 599,203,354 | ||
Average notional value — receives fixed rate |
$ | 613,866,188 | ||
Total return swaps: |
||||
Average notional value. |
$ | 41,743,777 |
For more information about the Trust’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.
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 |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Capital Allocation Trust (BCAT)
|
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 |
$ | 3,592,242 | $ | 2,754,611 | ||||
Forward foreign currency exchange contracts |
9,239,551 | 2,194,066 | ||||||
Options |
7,672,735 | (a) | 12,541,371 | |||||
Swaps — centrally cleared |
— | 449,450 | ||||||
Swaps — OTC(b) |
721,700 | 1,517,951 | ||||||
|
|
|
|
|||||
Total derivative assets and liabilities in the Consolidated Statement of Assets and Liabilities |
21,226,228 | 19,457,449 | ||||||
|
|
|
|
|||||
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) |
(10,249,351 | ) | (10,373,821 | ) | ||||
|
|
|
|
|||||
Total derivative assets and liabilities subject to an MNA |
$ | 10,976,877 | $ | 9,083,628 | ||||
|
|
|
|
(a) | Includes options purchased at value which is included in Investments at value — unaffiliated in the Consolidated Statement of Assets and Liabilities and reported in the Consolidated Schedule of Investments. |
(b) | Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums (paid/received) in the Consolidated Statement 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 |
(b) |
|
Net Amount of Derivative Assets |
(c)(d) | |||||
Bank of America N.A. |
$ | 348,862 | $ | (50,924 | ) | $ | — | $ | (297,938 | ) | $ | — | ||||||||
Barclays Bank PLC |
85,159 | — | — | — | 85,159 | |||||||||||||||
BNP Paribas S.A. |
307,767 | (274,343 | ) | — | (33,424 | ) | — | |||||||||||||
Citibank N.A. |
136,824 | (136,824 | ) | — | — | — | ||||||||||||||
Deutsche Bank AG |
17,464 | (17,464 | ) | — | — | — | ||||||||||||||
Goldman Sachs International |
568,156 | (568,156 | ) | — | — | — | ||||||||||||||
HSBC Bank PLC |
3,525 | — | — | — | 3,525 | |||||||||||||||
JPMorgan Chase Bank N.A. |
6,725,411 | (356,358 | ) | — | (6,369,053 | ) | — | |||||||||||||
Morgan Stanley & Co. International PLC |
2,210,336 | (2,210,336 | ) | — | — | — | ||||||||||||||
State Street Bank and Trust Co. |
97,747 | (10,324 | ) | — | — | 87,423 | ||||||||||||||
UBS AG |
475,626 | — | — | — | 475,626 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
$ | 10,976,877 | $ | (3,624,729 | ) | $ | — | $ | (6,700,415 | ) | $ | 651,733 | |||||||||
|
|
|
|
|
|
|
|
|
|
Counterparty | |
Derivative Liabilities Subject to an MNA by Counterparty |
|
|
Derivatives Available for Offset |
(a) |
|
Non-Cash Collateral Pledged |
(b) |
|
Cash Collateral Pledged |
|
|
Net Amount of Derivative Liabilities |
(c)(e) | |||||
Bank of America N.A. |
$ | 50,924 | $ | (50,924 | ) | $ | — | $ | — | $ | — | |||||||||
BNP Paribas S.A. |
274,343 | (274,343 | ) | — | — | — | ||||||||||||||
Citibank N.A. |
861,967 | (136,824 | ) | (725,143 | ) | — | — | |||||||||||||
Deutsche Bank AG |
123,647 | (17,464 | ) | — | — | 106,183 | ||||||||||||||
Goldman Sachs International |
1,983,353 | (568,156 | ) | (1,415,197 | ) | — | — | |||||||||||||
HSBC Bank USA N.A. |
41,625 | — | — | — | 41,625 | |||||||||||||||
JPMorgan Chase Bank N.A. |
356,358 | (356,358 | ) | — | — | — | ||||||||||||||
Merrill Lynch International |
78,603 | — | — | — | 78,603 | |||||||||||||||
Morgan Stanley & Co. International PLC |
5,302,484 | (2,210,336 | ) | (3,092,148 | ) | — | — | |||||||||||||
State Street Bank and Trust Co. |
10,324 | (10,324 | ) | — | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
$ | 9,083,628 | $ | (3,624,729 | ) | $ | (5,232,488 | ) | $ | — | $ | 226,411 | |||||||||
|
|
|
|
|
|
|
|
|
|
(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) | Excess of collateral received/pledged, if any, from the individual counterparty is not shown for financial reporting purposes. |
(c) | Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized. |
(d) | Net amount represents the net amount receivable from the counterparty in the event of default. |
(e) | 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 Consolidated Statement of Assets and Liabilities. |
S C H E D U L E O F I N V E S T M E N T S |
43 |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Capital Allocation Trust (BCAT)
|
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 Consolidated Schedule of Investments above.
|
||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
|
||||||||||||||||
Assets |
||||||||||||||||
Investments |
||||||||||||||||
Long-Term Investments |
||||||||||||||||
Asset-Backed Securities |
$ | — | $ | 188,941,656 | $ | 14,681,725 | $ | 203,623,381 | ||||||||
Common Stocks |
||||||||||||||||
Australia |
— | 5,904,386 | — | 5,904,386 | ||||||||||||
Brazil |
524,367 | — | — | 524,367 | ||||||||||||
Canada |
19,360,669 | — | — | 19,360,669 | ||||||||||||
Cayman Islands |
20 | — | 1,460,104 | 1,460,124 | ||||||||||||
China |
4,694,077 | 5,990,581 | — | 10,684,658 | ||||||||||||
Denmark |
— | 181,258 | — | 181,258 | ||||||||||||
Finland |
— | 4,241,407 | — | 4,241,407 | ||||||||||||
France |
— | 28,101,900 | — | 28,101,900 | ||||||||||||
Germany |
— | 39,443,429 | — | 39,443,429 | ||||||||||||
Hong Kong |
— | 5,001,853 | — | 5,001,853 | ||||||||||||
India |
— | — | 8,749,963 | 8,749,963 | ||||||||||||
Ireland |
398,295 | — | — | 398,295 | ||||||||||||
Israel |
7,667,208 | — | — | 7,667,208 | ||||||||||||
Italy |
3,898,827 | 3,899,017 | — | 7,797,844 | ||||||||||||
Japan |
— | 10,814,028 | — | 10,814,028 | ||||||||||||
Netherlands |
— | 29,021,229 | — | 29,021,229 | ||||||||||||
South Korea |
581,999 | 6,807,326 | — | 7,389,325 | ||||||||||||
Spain |
— | 7,906,731 | — | 7,906,731 | ||||||||||||
Sweden |
— | 6,172,406 | — | 6,172,406 | ||||||||||||
Switzerland |
8,010,664 | 2,373,702 | — | 10,384,366 | ||||||||||||
Taiwan |
7,036,059 | — | — | 7,036,059 | ||||||||||||
United Kingdom |
3,698,380 | 33,206,991 | — | 36,905,371 | ||||||||||||
United States |
527,789,360 | 13,662,230 | 16,344,083 | 557,795,673 | ||||||||||||
Corporate Bonds |
||||||||||||||||
Argentina |
— | 812,637 | — | 812,637 | ||||||||||||
Australia |
— | — | 5,912,250 | 5,912,250 | ||||||||||||
Austria |
— | 1,128,984 | — | 1,128,984 | ||||||||||||
Bahamas |
— | 465,150 | — | 465,150 | ||||||||||||
Bahrain |
— | 1,236,482 | — | 1,236,482 | ||||||||||||
Bermuda |
786,765 | 1,879,567 | — | 2,666,332 | ||||||||||||
Brazil |
— | 3,194,209 | — | 3,194,209 | ||||||||||||
Canada |
— | 1,569,542 | — | 1,569,542 | ||||||||||||
Cayman Islands |
— | 8,023,424 | 134,800 | 8,158,224 | ||||||||||||
Chile |
— | 2,532,922 | — | 2,532,922 | ||||||||||||
China |
— | 1,891,924 | — | 1,891,924 | ||||||||||||
Colombia |
— | 3,591,357 | — | 3,591,357 | ||||||||||||
Dominican Republic |
— | 713,383 | — | 713,383 | ||||||||||||
France |
— | 228,058 | — | 228,058 | ||||||||||||
Germany |
— | 5,761,885 | — | 5,761,885 | ||||||||||||
Hong Kong |
— | 495,350 | — | 495,350 | ||||||||||||
India |
— | 5,564,936 | — | 5,564,936 | ||||||||||||
Indonesia |
— | 2,979,562 | — | 2,979,562 | ||||||||||||
Israel |
— | 1,092,611 | — | 1,092,611 | ||||||||||||
Italy |
— | 5,388,352 | — | 5,388,352 | ||||||||||||
Japan |
— | 203,580 | — | 203,580 | ||||||||||||
Jersey |
— | 913,318 | — | 913,318 | ||||||||||||
Kuwait |
— | 1,041,490 | — | 1,041,490 | ||||||||||||
Luxembourg |
— | 10,055,053 | — | 10,055,053 | ||||||||||||
Macau |
— | 2,630,124 | — | 2,630,124 | ||||||||||||
Mauritius |
— | 4,212,187 | — | 4,212,187 | ||||||||||||
Mexico |
— | 11,893,020 | — | 11,893,020 | ||||||||||||
MultiNational |
— | 1,323,227 | — | 1,323,227 |
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 |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Capital Allocation Trust (BCAT)
|
Fair Value Hierarchy as of Period End (continued)
|
||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
|
||||||||||||||||
Corporate Bonds (continued) |
||||||||||||||||
Netherlands |
$ | — | $ | 5,898,544 | $ | — | $ | 5,898,544 | ||||||||
Oman |
— | 557,516 | — | 557,516 | ||||||||||||
Panama |
— | 532,841 | — | 532,841 | ||||||||||||
Paraguay |
— | 249,403 | — | 249,403 | ||||||||||||
Peru |
— | 1,687,977 | — | 1,687,977 | ||||||||||||
Saudi Arabia |
— | 1,415,367 | — | 1,415,367 | ||||||||||||
Singapore |
— | 3,296,720 | — | 3,296,720 | ||||||||||||
South Africa |
— | 1,387,328 | — | 1,387,328 | ||||||||||||
Ukraine |
— | 123,120 | — | 123,120 | ||||||||||||
United Arab Emirates |
— | 2,258,381 | — | 2,258,381 | ||||||||||||
United Kingdom |
— | 13,887,767 | — | 13,887,767 | ||||||||||||
United States |
— | 173,636,730 | 21,955,688 | 195,592,418 | ||||||||||||
Vietnam |
— | 1,206,844 | — | 1,206,844 | ||||||||||||
Floating Rate Loan Interests |
— | 84,804,571 | 75,728,190 | 160,532,761 | ||||||||||||
Foreign Agency Obligations |
— | 56,712,707 | — | 56,712,707 | ||||||||||||
Investment Companies |
20,673,215 | — | — | 20,673,215 | ||||||||||||
Municipal Bonds |
— | 2,771,739 | — | 2,771,739 | ||||||||||||
Non-Agency Mortgage-Backed Securities |
— | 206,577,904 | 8,382,156 | 214,960,060 | ||||||||||||
Other Interests |
— | — | 6,136,864 | 6,136,864 | ||||||||||||
Preferred Securities |
||||||||||||||||
Capital Trusts |
— | 1,583,079 | — | 1,583,079 | ||||||||||||
Preferred Stocks |
— | 1,249,081 | 50,431,156 | 51,680,237 | ||||||||||||
U.S. Government Sponsored Agency Securities |
— | 3,019,904 | — | 3,019,904 | ||||||||||||
U.S. Treasury Obligations |
— | 24,806,257 | — | 24,806,257 | ||||||||||||
Warrants |
||||||||||||||||
Israel |
1,434 | — | — | 1,434 | ||||||||||||
United Kingdom |
24,929 | — | — | 24,929 | ||||||||||||
United States |
220,872 | 64,093 | 34,911 | 319,876 | ||||||||||||
Short-Term Securities |
||||||||||||||||
Money Market Funds |
42,287,816 | — | — | 42,287,816 | ||||||||||||
Options Purchased |
||||||||||||||||
Equity Contracts |
6,187,471 | 6,795 | — | 6,194,266 | ||||||||||||
Foreign Currency Exchange Contracts |
— | 566,804 | — | 566,804 | ||||||||||||
Interest Rate Contracts |
462,843 | 448,822 | — | 911,665 | ||||||||||||
Unfunded Floating Rate Loan Interests(a) |
— | — | — | — | ||||||||||||
Liabilities |
||||||||||||||||
Unfunded Floating Rate Loan Interests(a) |
— | (10,619 | ) | — | (10,619 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
$ | 654,305,270 | $ | 1,061,232,139 | $ | 209,951,890 | 1,925,489,299 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Investments Valued at NAV(b) |
5,259,718 | |||||||||||||||
|
|
|||||||||||||||
$ 1,930,749,017 | ||||||||||||||||
|
|
|||||||||||||||
Derivative Financial Instruments(c) |
||||||||||||||||
Assets |
||||||||||||||||
Credit Contracts |
$ | — | $ | 199,268 | $ | — | $ | 199,268 | ||||||||
Equity Contracts |
3,098 | 624,840 | — | 627,938 | ||||||||||||
Foreign Currency Exchange Contracts |
— | 9,239,551 | — | 9,239,551 | ||||||||||||
Interest Rate Contracts |
3,799,521 | 53,150,320 | — | 56,949,841 | ||||||||||||
Liabilities |
||||||||||||||||
Credit Contracts |
— | (5,763,258 | ) | — | (5,763,258 | ) | ||||||||||
Equity Contracts |
(8,299,351 | ) | (630,317 | ) | — | (8,929,668 | ) | |||||||||
Foreign Currency Exchange Contracts |
— | (2,442,043 | ) | — | (2,442,043 | ) | ||||||||||
Interest Rate Contracts |
(1,814,543 | ) | (42,107,371 | ) | — | (43,921,914 | ) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
$ | (6,311,275 | ) | $ | 12,270,990 | $ | — | $ | 5,959,715 | ||||||||
|
|
|
|
|
|
|
|
(a) | Unfunded floating rate loan interests are valued at the unrealized appreciation (depreciation) on the commitment. |
(b) | Certain investments of the Trust were fair valued using NAV per share as no quoted market value is available and therefore have been excluded from the fair value hierarchy. |
(c) | 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 $1,083,651 are categorized as Level 2 within the fair value hierarchy.
S C H E D U L E O F I N V E S T M E N T S |
45 |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Capital Allocation Trust (BCAT)
|
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 |
Common Stocks |
Corporate Bonds |
Floating Rate Loan Interests |
Non-Agency Mortgage-Backed Securities |
Other Interests |
Preferred Stocks |
Unfunded Floating Rate Loan Interests |
Unfunded SPAC PIPE Commitments |
Warrants | Total | ||||||||||||||||||||||||||||||||||
Assets |
||||||||||||||||||||||||||||||||||||||||||||
Opening balance, as of December 31, 2021 |
$ | 23,774,997 | $ | 21,433,988 | $ | 19,416,491 | $ | 70,215,893 | $ | 8,778,680 | $ | 5,373,584 | $ | 54,495,679 | $ | (518 | ) | $ | 227,689 | $ | 298,880 | $ | 204,015,363 | |||||||||||||||||||||
Transfers into Level 3 |
— | — | 182,038 | 5,503,703 | — | — | — | — | — | — | 5,685,741 | |||||||||||||||||||||||||||||||||
Transfers out of Level 3 |
(4,553,749 | ) | — | — | (13,240,863 | ) | (1,202,284 | ) | — | — | 518 | — | — | (18,996,378 | ) | |||||||||||||||||||||||||||||
Accrued discounts/premiums |
4,674 | — | 42,429 | 77,700 | 34,124 | — | — | — | — | — | 158,927 | |||||||||||||||||||||||||||||||||
Net realized gain (loss) |
(885,473 | ) | — | (170,952 | ) | (31,818 | ) | — | — | — | — | — | — | (1,088,243 | ) | |||||||||||||||||||||||||||||
Net change in unrealized appreciation (depreciation)(a)(b) |
(29,985 | ) | (651,148 | ) | (313,487 | ) | (2,852,489 | ) | (132,813 | ) | 763,280 | (9,054,247 | ) | — | (227,689 | ) | (152,129 | ) | (12,650,707 | ) | ||||||||||||||||||||||||
Purchases |
— | 5,771,589 | 8,856,219 | 18,607,339 | 904,449 | — | 4,989,724 | — | — | — | 39,129,320 | |||||||||||||||||||||||||||||||||
Sales |
(3,628,739 | ) | (279 | ) | (10,000 | ) | (2,551,275 | ) | — | — | — | — | — | (111,840 | ) | (6,302,133 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
Closing balance, as of June 30, 2022 |
$ | 14,681,725 | $ | 26,554,150 | $ | 28,002,738 | $ | 75,728,190 | $ | 8,382,156 | $ | 6,136,864 | $ | 50,431,156 | $ | — | $ | — | $ | 34,911 | $ | 209,951,890 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
Net change in unrealized appreciation (depreciation) on investments still held at June 30, 2022(b) |
$ | (800,680 | ) | $ | (634,737 | ) | $ | (313,487 | ) | $ | (2,852,489 | ) | $ | (132,813 | ) | $ | 763,280 | $ | (9,054,247 | ) | $ | — | $ | — | $ | (168,424 | ) | $ | (13,193,597 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) | Included in the related net change in unrealized appreciation (depreciation) in the Consolidated Statement 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 $49,366,440. 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 |
||||||||||||||||||||
Common Stocks |
$ | 26,178,459 | Market | Revenue Multiple | 3.38x - 15.50x | 7.08x | ||||||||||||||
Volatility | 41% - 88% | 63% | ||||||||||||||||||
Time to Exit | 0.3 - 1.9 years | 1.4 years | ||||||||||||||||||
Asset Backed Securities |
4,194,521 | Income | Discount Rate | 8% | — | |||||||||||||||
Corporate Bonds |
22,245,855 | Income | Discount Rate | 9% - 35% | 15% | |||||||||||||||
Floating Rate Loan Interests |
51,363,684 | Income | Discount Rate | 6% - 13% | 10% | |||||||||||||||
Other Interests |
6,136,864 | Income | Discount Rate | 6% | — | |||||||||||||||
Preferred Stocks(b) |
50,431,156 | Market | Revenue Multiple | 0.10x - 29.00x | 9.35x | |||||||||||||||
EBITDA Multiple | 4.25x | — | ||||||||||||||||||
Time to Exit | 1.5 - 5.0 years | 3.9 years | ||||||||||||||||||
Volatility | 50% - 85% | 67% | ||||||||||||||||||
Income | Discount Rate | 11% | — | |||||||||||||||||
Warrants |
34,911 | Market | Time to Exit | 0.6 - 1.0 year | 0.7 year | |||||||||||||||
Volatility | 45% - 76% | 53% | ||||||||||||||||||
160,585,450 | ||||||||||||||||||||
|
|
(a) | A significant change in unobservable input would have resulted in a correlated (inverse) significant change to value. |
(b) | For the period end June 30, 2022, the valuation technique for investments classified as Preferred Stock amounting to $9,574,395 changed to Discount Cash Flow approach. The investments were previously valued utilizing a recent transaction. The change was due to consideration of the information that was available at the time the investments were valued. |
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 |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Capital Allocation Trust (BCAT) |
The Trust valued certain of its Level 3 investments using recent prior transaction prices as the best approximation of fair value. The value of Level 3 investments obtained using recent prior transaction process, for which inputs are unobservable is $2,163,595 as of June 30, 2022.
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 |
47 |
Schedule of Investments (unaudited) June 30, 2022 |
BlackRock ESG Capital Allocation Trust (ECAT)
(Percentages shown are based on Net Assets) |
Security | Par (000) |
Value | ||||||||||
|
||||||||||||
Asset-Backed Securities |
||||||||||||
Cayman Islands(b) — 2.0% |
| |||||||||||
ALM Ltd., Series 2020-1A, Class D, (3 mo. LIBOR US + 6.00%), 7.04%, 10/15/29(a) |
USD | 325 | $ | 286,078 | ||||||||
Apidos CLO XXXVI, Series 2021-36A, Class B, 2.66%, 07/20/34 |
250 | 235,596 | ||||||||||
Apidos CLO XXXVIII, Series 2021-38A, Class E2, (3 mo. LIBOR US + 7.75%), 7.99%, 01/21/34(a) |
500 | 471,159 | ||||||||||
Ares LIX CLO Ltd., Series 2021-59A, Class E, (3 mo. LIBOR US + 6.25%), 7.43%, 04/25/34(a) |
250 | 222,859 | ||||||||||
Ares LVI CLO Ltd., Series 2020-56A, Class ER, (3 mo. LIBOR US + 6.50%), 7.68%, 10/25/34(a) |
250 | 228,543 | ||||||||||
Battalion CLO IX Ltd., Series 2015-9A, Class DR, (3 mo. LIBOR US + 3.25%), 4.29%, 07/15/31(a) |
250 | 229,540 | ||||||||||
Birch Grove CLO 3 Ltd., Series 2021-3A, Class D1, (3 mo. LIBOR US + 3.20%), 3.40%, 01/19/35(a) |
500 | 472,380 | ||||||||||
Birch Grove CLO Ltd., Series 19A, Class DR, (3 mo. LIBOR US + 3.35%), 5.18%, 06/15/31(a) |
500 | 472,124 | ||||||||||
BlueMountain CLO Ltd., Series 2013-2A, Class A1R, (3 mo. LIBOR US + 1.18%), 2.32%, 10/22/30(a) |
245 | 242,160 | ||||||||||
Carlyle U.S. CLO 2018-4 Ltd., Class A2, 2.86%, 01/20/31 |
500 | 484,685 | ||||||||||
CarVal CLO VC Ltd.(a) |
||||||||||||
Series 2021-2A, Class D, (3 mo. LIBOR US + 3.25%), 3.41%, 10/15/34 |
250 | 235,627 | ||||||||||
Series 2021-2A, Class E, (3 mo. LIBOR US + 6.75%), 6.91%, 10/15/34 |
250 | 228,222 | ||||||||||
Cedar Funding IX CLO Ltd., Series 2018-9A, Class D, (3 mo. LIBOR US + 2.60%), 3.66%, 04/20/31(a) |
250 | 229,192 | ||||||||||
Cedar Funding XIV CLO Ltd.(a) |
||||||||||||
Series 2021-14A, Class B, (3 mo. LIBOR US + 1.60%), 2.64%, 07/15/33 |
500 | 476,181 | ||||||||||
Series 2021-14A, Class E, (3 mo. LIBOR US + 6.34%), 7.38%, 07/15/33 |
250 | 231,519 | ||||||||||
CIFC Funding Ltd., Series 2013-1A, Class CR, (3 mo. LIBOR US + 3.55%), 4.59%, 07/16/30(a) |
500 | 474,583 | ||||||||||
Elevation CLO Ltd., Series 2021-12A, Class E, (3 mo. LIBOR US + 7.27%), 8.33%, 04/20/32(a) |
500 | 445,622 | ||||||||||
Elmwood CLO I Ltd., (3 mo. LIBOR US + 1.45%), 2.51%, 10/20/33(a) |
250 | 245,490 | ||||||||||
Elmwood CLO II Ltd., Series 2019-2A, Class ER, (3 mo. LIBOR US + 6.80%), 7.86%, 04/20/34(a) |
750 | 707,438 | ||||||||||
Elmwood CLO IV Ltd., Series 2020-1A, Class B, (3 mo. LIBOR US + 1.70%), 2.74%, 04/15/33(a) |
500 | 475,563 | ||||||||||
Elmwood CLO VII Ltd., Series 2020-4A, Class SUB, 0.00%, 01/17/34(a) |
1,000 | 736,197 | ||||||||||
Generate CLO 6 Ltd., Series 6A, Class DR, (3 mo. LIBOR US + 3.50%), 4.64%, 01/22/35(a) |
750 | 698,444 | ||||||||||
GoldenTree Loan Management U.S. CLO 1 Ltd.(a) |
|
|||||||||||
Series 2021-11A, Class E, (3 mo. LIBOR US + 5.35%), 6.41%, 10/20/34 |
1,500 | 1,321,759 | ||||||||||
Series 2021-11A, Class EJ, (3 mo. LIBOR US + 7.75%), 8.81%, 10/20/34 |
1,000 | 954,637 | ||||||||||
Series 2021-9A, Class E, (3 mo. LIBOR US + 4.75%), 5.81%, 01/20/33 |
750 | 610,170 | ||||||||||
GoldenTree Loan Management U.S. CLO 5 Ltd., |
|
|||||||||||
Series 2019-5A, Class BR, (3 mo. LIBOR US + 1.55%), 2.61%, 10/20/32(a) |
250 | 235,079 |
Security | Par (000) |
Value | ||||||||||
|
||||||||||||
Cayman Islands (continued) |
| |||||||||||
Golub Capital Partners CLO 53B Ltd., Series 2021-53A, Class E, (3 mo. LIBOR US + 6.70%), 7.76%, 07/20/34(a) |
USD | 250 | $ | 213,257 | ||||||||
Golub Capital Partners CLO 55B Ltd., Series 2021-55A, Class E, (3 mo. LIBOR US + 6.56%), 7.62%, 07/20/34(a) |
250 | 232,038 | ||||||||||
Gulf Stream Meridian 1 Ltd., Series 2020-IA, Class E, (3 mo. LIBOR US + 6.45%), 7.49%, 04/15/33(a) |
375 | 347,366 | ||||||||||
Gulf Stream Meridian 6 Ltd., Series 2021-6A, Class D, (3 mo. LIBOR US + 6.36%), 7.40%, 01/15/37(a) |
250 | 219,655 | ||||||||||
Gulf Stream Meridian 7 Ltd., Series 2022-7A, Class D, (SOFR + 6.85%), 7.15%, 07/15/35(a) |
250 | 235,005 | ||||||||||
Harbor Park CLO 18-1 Ltd., Series 2018-1A, Class E, (3 mo. LIBOR US + 5.60%), 6.66%, 01/20/31(a) |
250 | 221,608 | ||||||||||
Madison Park Funding XLIX Ltd., Series 2021-49A, Class E, (3 mo. LIBOR US + 6.25%), 7.29%, 10/19/34(a) |
500 | 448,134 | ||||||||||
Madison Park Funding XXIX Ltd., Series 2018-29A, Class E, (3 mo. LIBOR US + 5.70%), 6.74%, 10/18/30(a) |
250 | 219,566 | ||||||||||
Madison Park Funding XXXIV Ltd., Series 2019-34A, Class DR, (3 mo. LIBOR US + 3.35%), 4.53%, 04/25/32(a) |
250 | 235,495 | ||||||||||
Madison Park Funding XXXVIII Ltd., Series 2021-38A, Class B, (3 mo. LIBOR US + 1.65%), 2.69%, 07/17/34(a) |
500 | 472,433 | ||||||||||
Marble Point CLO XXIII Ltd., Series 2021-4A, Class D1, (3 mo. LIBOR US + 3.65%), 4.79%, 01/22/35(a) |
250 | 242,135 | ||||||||||
Mill City Solar Loan Ltd. |
||||||||||||
Series 2019-1A, Class C, 5.92%, 03/20/43 |
1,476 | 1,431,948 | ||||||||||
Series 2019-1A, Class D, 7.14%, 03/20/43 |
2,258 | 2,118,872 | ||||||||||
Myers Park CLO Ltd., Series 2018-1A, Class E, (3 mo. LIBOR US + 5.50%), 6.56%, 10/20/30(a) |
250 | 215,240 | ||||||||||
Neuberger Berman CLO XIV Ltd., Series 14A, Class AR2, (3 mo. LIBOR US + 1.03%), 2.27%, 01/28/30(a) |
248 | 244,166 | ||||||||||
Neuberger Berman Loan Advisers CLO 46 Ltd., Class B, 2.71%, 01/20/36 |
250 | 235,769 | ||||||||||
Octagon 54 Ltd., Series 2021-1A, Class D, (3 mo. LIBOR US + 3.05%), 4.09%, 07/15/34(a) |
1,500 | 1,398,321 | ||||||||||
OHA Credit Partners XIII Ltd., Series 2016-13A, Class BR, (3 mo. LIBOR US + 1.70%), 2.80%, 10/25/34(a) |
250 | 236,226 | ||||||||||
OHA Loan Funding Ltd., Series 2013-2A, Class AR, (3 mo. LIBOR US + 1.04%), 2.54%, 05/23/31(a) |
500 | 489,929 | ||||||||||
Palmer Square CLO 2013-2 Ltd., Series 2013-2A, Class A2R3, (3 mo. LIBOR US + 1.50%), 2.54%, 10/17/31(a) |
250 | 236,522 | ||||||||||
Palmer Square CLO 2020-3 Ltd., Class A2R, 3.01%, 11/15/31 |
500 | 480,163 | ||||||||||
Palmer Square Loan Funding Ltd.(a) |
||||||||||||
Series 2019-4A, Class C, (3 mo. LIBOR US + 3.25%), 4.43%, 10/24/27 |
250 | 245,532 | ||||||||||
Series 2021-4A, Class E, (3 mo. LIBOR US + 7.51%), 8.55%, 10/15/29 |
500 | 467,274 |
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 ESG Capital Allocation Trust (ECAT (Percentages shown are based on Net Assets) |
Security | Par (000) |
Value | ||||||||||
|
||||||||||||
Cayman Islands (continued) |
| |||||||||||
Park Avenue Institutional Advisers CLO Ltd., Series 2021-2A,
Class D, |
USD | 1,650 | $ | 1,562,961 | ||||||||
Pikes Peak CLO 11, Class A1, 3.35%, 07/25/34 |
1,500 | 1,496,250 | ||||||||||
Rad CLO 15 Ltd., Series 2021-15A, Class E, |
250 | 222,331 | ||||||||||
Regatta XVII Funding Ltd., Series 2020-1A, Class E, |
250 | 236,082 | ||||||||||
Regatta XXIV Funding Ltd.(a) |
||||||||||||
Series 2021-5A, Class D, (3 mo. LIBOR US + 3.10%), |
250 | 230,061 | ||||||||||
Series 2021-5A, Class E, |
250 | 228,497 | ||||||||||
Sixth Street CLO XVI Ltd., |
750 | 737,442 | ||||||||||
Sixth Street CLO XVII Ltd., Series 2021-17A, Class E, |
750 | 685,109 | ||||||||||
Stratus CLO Ltd.(a) |
||||||||||||
Series 2021-1A, Class E, |
1,250 | 1,060,160 | ||||||||||
Series 2021-1A, Class SUB, 0.00%, 12/29/29 |
1,250 | 494,000 | ||||||||||
Series 2021-2A, Class E, |
300 | 264,606 | ||||||||||
Series 2021-3A, Class E, |
250 | 219,758 | ||||||||||
Symphony CLO XXIII Ltd., Series 2020-23A, Class ER, |
500 | 454,832 | ||||||||||
TICP CLO I-2 Ltd., Series
2018-IA, Class C, |
250 | 243,850 | ||||||||||
TICP CLO IX Ltd., Series 2017-9A, Class D, |
250 | 235,784 | ||||||||||
TICP CLO XIV Ltd., Series 2019-14A, Class DR, |
500 | 460,054 | ||||||||||
TRESTLES CLO V Ltd., Series 2021-5A, Class E, |
1,000 | 919,467 | ||||||||||
Trimaran Cavu Ltd.(a) |
||||||||||||
Series 2019-1A, Class E, |
500 | 440,175 | ||||||||||
Series 2021-2A, Class D1, |
550 | 514,477 | ||||||||||
Voya CLO 2019-3 Ltd., Series
2019-3A, Class BR, |
250 | 237,586 | ||||||||||
Whitebox CLO II Ltd., Series 2020-2A, Class ER, |
250 | 235,206 | ||||||||||
Whitebox CLO III Ltd.(a) |
||||||||||||
Series 2021-3A, Class D, |
1,000 | 942,021 | ||||||||||
Series 2021-3A, Class E, |
1,250 | 1,162,511 | ||||||||||
|
|
|||||||||||
35,820,721 | ||||||||||||
United States(b) — 1.7% |
||||||||||||
FirstKey Homes Trust, Series 2022-SFR1, |
3,000 | 2,790,565 | ||||||||||
Gulf Stream Meridian 1 Ltd., Series 2020-IA, Class A1, |
500 | 485,789 |
Security | Par (000) |
Value | ||||||||||
|
||||||||||||
United States (continued) |
| |||||||||||
Home Partners of America Trust |
||||||||||||
Series 2021-2, Class F, 3.80%, 12/17/26 |
USD | 2,455 | $ | 2,134,033 | ||||||||
Series 2021-3, Class F, 4.24%, 01/17/41 |
3,839 | 3,348,271 | ||||||||||
Mariner Finance Issuance Trust, |
470 | 389,899 | ||||||||||
Mosaic Solar Loan Trust, |
447 | 428,641 | ||||||||||
New Residential Mortgage Loan Trust, |
3,000 | 2,698,914 | ||||||||||
Oportun Issuance Trust, |
160 | 143,515 | ||||||||||
Progress Residential Trust |
||||||||||||
Series 2021-SFR10, Class F, 4.61%, 12/17/38 |
3,000 | 2,498,755 | ||||||||||
Series 2021-SFR11, Class G, 4.69%, 01/17/39 |
3,000 | 2,580,706 | ||||||||||
Series 2021-SFR9, Class F, 4.05%, 11/17/40 |
2,400 | 1,936,986 | ||||||||||
Series 2022-SFR1, Class F, 4.88%, 02/17/41 |
2,000 | 1,747,125 | ||||||||||
Series 2022-SFR1, Class G, 5.52%, 02/17/41 |
2,000 | 1,733,037 | ||||||||||
Series 2022-SFR3, Class E1, 5.20%, 04/17/39 |
2,700 | 2,539,276 | ||||||||||
Republic Finance Issuance Trust |
||||||||||||
Series 2020-A, Class D, 7.00%, 11/20/30 |
600 | 572,027 | ||||||||||
Series 2021-A, Class D, 5.23%, 12/22/31 |
800 | 728,192 | ||||||||||
Tricon Residential Trust |
||||||||||||
Series 2021-SFR1, Class F, 3.69%, 07/17/38 |
1,375 | 1,220,555 | ||||||||||
Series 2021-SFR1, Class G, 4.13%, 07/17/38 |
887 | 781,129 | ||||||||||
Series 2022-SFR1, Class E2, 5.74%, 04/17/39 |
1,200 | 1,152,472 | ||||||||||
|
|
|||||||||||
29,909,887 | ||||||||||||
|
|
|||||||||||
Total Asset-Backed Securities — 3.7% |
65,730,608 | |||||||||||
|
|
|||||||||||
Shares | ||||||||||||
Common Stocks | ||||||||||||
Brazil — 0.0% |
||||||||||||
NU Holdings Ltd., Class A(c) |
134,540 | 503,180 | ||||||||||
|
|
|||||||||||
Cayman Islands — 0.0% |
||||||||||||
Salt Payments, Inc., Series C, (Acquired 11/16/21, Cost: $1,099,370)(d)(e) |
566 | 669,165 | ||||||||||
|
|
|||||||||||
China — 0.6% |
||||||||||||
BYD Co. Ltd., Class H |
277,500 | 11,185,878 | ||||||||||
|
|
|||||||||||
Finland — 1.3% |
||||||||||||
Aiven Series D Preferred |
35,053 | 3,923,833 | ||||||||||
Neste OYJ |
424,405 | 18,877,950 | ||||||||||
22,801,783 | ||||||||||||
|
|
|||||||||||
France — 4.0% |
||||||||||||
BNP Paribas SA |
331,245 | 15,844,097 | ||||||||||
Cie de Saint-Gobain |
422,695 | 18,264,325 | ||||||||||
Hermes International |
2,200 | 2,182,671 | ||||||||||
LVMH Moet Hennessy Louis Vuitton SE |
26,757 | 16,398,766 | ||||||||||
Schneider Electric SE |
145,507 | 17,337,955 | ||||||||||
|
|
|||||||||||
70,027,814 | ||||||||||||
Germany — 2.4% |
||||||||||||
Commerzbank AG(c) |
32,290 | 229,102 | ||||||||||
Infineon Technologies AG |
199,586 | 4,855,030 |
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 ESG Capital Allocation Trust (ECAT) (Percentages shown are based on Net Assets) |
Security | Shares | Value | ||||||||||
|
||||||||||||
Germany (continued) |
||||||||||||
Mercedes-Benz Group AG, Registered Shares |
393,821 | $ | 22,872,463 | |||||||||
SAP SE |
146,667 | 13,368,756 | ||||||||||
|
|
|||||||||||
41,325,351 | ||||||||||||
Ireland — 0.3% |
||||||||||||
Icon PLC(c) |
1,714 | 371,424 | ||||||||||
Trane Technologies PLC |
36,019 | 4,677,787 | ||||||||||
|
|
|||||||||||
5,049,211 | ||||||||||||
Italy — 0.2% |
||||||||||||
Ariston Holding NV. |
445,371 | 3,647,468 | ||||||||||
|
|
|||||||||||
Netherlands — 1.1% |
||||||||||||
ASML Holding NV |
12,092 | 5,712,720 | ||||||||||
ING Groep NV |
1,447,295 | 14,258,171 | ||||||||||
|
|
|||||||||||
19,970,891 | ||||||||||||
South Korea — 1.1% |
||||||||||||
LG Energy Solution Ltd.(c) |
32,134 | 9,268,655 | ||||||||||
Samsung SDI Co. Ltd. |
25,776 | 10,629,631 | ||||||||||
|
|
|||||||||||
19,898,286 | ||||||||||||
Sweden — 0.3% |
||||||||||||
Volvo AB, B Shares |
306,357 | 4,766,725 | ||||||||||
|
|
|||||||||||
Switzerland — 0.4% |
||||||||||||
TE Connectivity Ltd. |
57,127 | 6,463,920 | ||||||||||
|
|
|||||||||||
Taiwan — 1.0% |
||||||||||||
Taiwan Semiconductor Manufacturing Co. Ltd., ADR |
203,733 | 16,655,173 | ||||||||||
|
|
|||||||||||
United Kingdom — 1.2% |
||||||||||||
AstraZeneca PLC |
4,000 | 527,687 | ||||||||||
Linde PLC(c) |
13,062 | 3,755,717 | ||||||||||
Lloyds Banking Group PLC |
33,968,824 | 17,477,183 | ||||||||||
|
|
|||||||||||
21,760,587 | ||||||||||||
United States — 35.1% |
||||||||||||
Abbott Laboratories(f) |
236,854 | 25,734,187 | ||||||||||
Adobe, Inc.(c) |
1,303 | 476,976 | ||||||||||
Air Products & Chemicals, Inc. |
19,202 | 4,617,697 | ||||||||||
Alcoa Corp. |
26,138 | 1,191,370 | ||||||||||
Align Technology, Inc.(c) |
1,679 | 397,369 | ||||||||||
Alphabet, Inc., Class C(c) |
16,537 | 36,173,861 | ||||||||||
American Tower Corp.(f) |
170,267 | 43,518,543 | ||||||||||
Apple, Inc. |
35,000 | 4,785,200 | ||||||||||
Applied Materials, Inc. |
132,515 | 12,056,215 | ||||||||||
Archer-Daniels-Midland Co. |
126,245 | 9,796,612 | ||||||||||
Autodesk, Inc.(c) |
11,429 | 1,965,331 | ||||||||||
Booking Holdings, Inc.(c) |
313 | 547,434 | ||||||||||
Boston Scientific Corp.(c) |
1,020,763 | 38,043,837 | ||||||||||
Bunge Ltd. |
7,552 | 684,891 | ||||||||||
Capri Holdings Ltd.(c) |
3,444 | 141,238 | ||||||||||
Carrier Global Corp. |
163,443 | 5,828,377 | ||||||||||
CF Industries Holdings, Inc. |
27,558 | 2,362,547 | ||||||||||
Clarify Health(d) |
318,926 | 2,854,388 | ||||||||||
Crowdstrike Holdings, Inc., Class A(c) |
1,060 | 178,674 | ||||||||||
CSX Corp. |
1,006 | 29,234 | ||||||||||
Datadog, Inc., Class A(c) |
1,818 | 173,146 | ||||||||||
Deere & Co. |
10,053 | 3,010,572 | ||||||||||
DexCom, Inc.(c) |
63,548 | 4,736,232 | ||||||||||
Domino’s Pizza, Inc. |
857 | 333,981 | ||||||||||
Dynatrace, Inc.(c) |
20,785 | 819,760 | ||||||||||
Edwards Lifesciences Corp.(c) |
95,421 | 9,073,583 |
Security | Shares | Value | ||||||||||
|
||||||||||||
United States (continued) |
||||||||||||
Eli Lilly & Co. |
11,531 | $ | 3,738,696 | |||||||||
Globalfoundries, Inc.(c) |
63,790 | 2,573,289 | ||||||||||
Halliburton Co. |
6,959 | 218,234 | ||||||||||
Hillenbrand, Inc.(d) |
272,067 | 1,985,599 | ||||||||||
Home Depot, Inc. |
79,430 | 21,785,266 | ||||||||||
Humana, Inc. |
32,300 | 15,118,661 | ||||||||||
Intuit, Inc. |
2,571 | 990,966 | ||||||||||
Intuitive Surgical, Inc.(c) |
83,369 | 16,732,992 | ||||||||||
IQVIA Holdings, Inc.(c) |
1,747 | 379,082 | ||||||||||
Johnson Controls International PLC |
90,439 | 4,330,219 | ||||||||||
LyondellBasell Industries NV, Class A |
2,893 | 253,022 | ||||||||||
Marsh & McLennan Cos., Inc. |
322,009 | 49,991,897 | ||||||||||
Masco Corp. |
545,223 | 27,588,284 | ||||||||||
Mastercard, Inc., Class A |
33,186 | 10,469,519 | ||||||||||
Merck & Co., Inc. |
90,096 | 8,214,052 | ||||||||||
Microsoft Corp.(f) |
165,205 | 42,429,600 | ||||||||||
Mosaic Co. |
9,743 | 460,162 | ||||||||||
Mr. Cooper Group, Inc.(c) |
14,649 | 538,204 | ||||||||||
Netflix, Inc.(c) |
10,000 | 1,748,700 | ||||||||||
NextEra Energy, Inc.(f) |
645,230 | 49,979,516 | ||||||||||
Nielsen Holdings PLC |
9,973 | 231,573 | ||||||||||
NIKE, Inc., Class B |
6,075 | 620,865 | ||||||||||
NVIDIA Corp. |
30,520 | 4,626,527 | ||||||||||
Otis Worldwide Corp. |
6,128 | 433,066 | ||||||||||
Proof Acquisition Corp.(d) |
24,722 | 27,441 | ||||||||||
Quest Diagnostics, Inc. |
64,830 | 8,621,093 | ||||||||||
Raymond James Financial, Inc. |
6,047 | 540,662 | ||||||||||
Rivian Automotive, Inc., Class A(c) |
78,665 | 2,024,837 | ||||||||||
Salesforce, Inc.(c)(f) |
193,164 | 31,879,787 | ||||||||||
Schlumberger NV |
4,352 | 155,628 | ||||||||||
ServiceNow, Inc.(c)(f) |
63,780 | 30,328,666 | ||||||||||
Signet Jewelers Ltd. |
1,471 | 78,640 | ||||||||||
SVF Investment Corp., (Acquired 06/07/22, Cost: $363,000)(d)(e) |
36,300 | 350,580 | ||||||||||
Thermo Fisher Scientific, Inc.(f) |
91,254 | 49,576,473 | ||||||||||
Toast, Inc., Class A(c) |
48,000 | 621,120 | ||||||||||
TripAdvisor, Inc.(c) |
85,000 | 1,513,000 | ||||||||||
U.S. Steel Corp. |
3,496 | 62,613 | ||||||||||
Walt Disney Co.(c) |
43,687 | 4,124,053 | ||||||||||
Williams-Sonoma, Inc. |
141,146 | 15,660,149 | ||||||||||
XPO Logistics, Inc.(c) |
5,166 | 248,795 | ||||||||||
|
|
|||||||||||
620,782,783 | ||||||||||||
|
|
|||||||||||
Total Common Stocks — 49.0% (Cost: $1,061,667,015) |
865,508,215 | |||||||||||
|
|
|||||||||||
Par (000) |
||||||||||||
Corporate Bonds | ||||||||||||
Argentina — 0.0% |
||||||||||||
YPF SA, 4.00%, 02/12/26(b)(g) |
USD | 380 | 296,643 | |||||||||
|
|
|||||||||||
Australia — 0.1% |
||||||||||||
FMG Resources August 2006 Pty. Ltd., |
1,257 | 1,131,300 | ||||||||||
|
|
|||||||||||
Canada — 0.3% |
||||||||||||
Bausch Health Cos., Inc., 4.88%, 06/01/28(b) |
1,309 | 1,024,345 | ||||||||||
|
|
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 ESG Capital Allocation Trust (ECAT) (Percentages shown are based on Net Assets) |
Security | Par (000) |
Value | ||||||||||
|
||||||||||||
Canada (continued) |
||||||||||||
Mattamy Group Corp., 5.25%, 12/15/27(b) |
USD | 938 | $ | 765,992 | ||||||||
Toronto-Dominion Bank |
4,020 | 3,936,726 | ||||||||||
2.00%, 09/10/31 |
119 | 96,639 | ||||||||||
|
|
|||||||||||
5,823,702 | ||||||||||||
Cayman Islands — 0.0% |
||||||||||||
MAF Global Securities Ltd., (5 year CMT + 3.54%), 6.38%(a)(h)(i) |
337 | 324,426 | ||||||||||
|
|
|||||||||||
Chile — 0.0% |
||||||||||||
VTR Comunicaciones SpA, 5.13%, 01/15/28(i) |
400 | 296,450 | ||||||||||
|
|
|||||||||||
Colombia — 0.1% |
||||||||||||
Bancolombia SA, (5 year CMT + 2.93%), 4.88%, 10/18/27(a) |
348 | 322,596 | ||||||||||
Ecopetrol SA, 6.88%, 04/29/30 |
338 | 297,102 | ||||||||||
|
|
|||||||||||
619,698 | ||||||||||||
France — 0.0% |
||||||||||||
Altice France SA, 5.50%, 01/15/28(b) |
267 | 215,165 | ||||||||||
|
|
|||||||||||
Germany — 0.2% |
||||||||||||
Deutsche Bank AG, 1.69%, 03/19/26 |
3,250 | 2,914,372 | ||||||||||
|
|
|||||||||||
Japan — 0.2% |
||||||||||||
Mizuho Financial Group, Inc., (1 year CMT + |
2,040 | 1,828,751 | ||||||||||
Takeda Pharmaceutical Co. Ltd., 3.18%, 07/09/50 |
2,655 | 1,987,155 | ||||||||||
|
|
|||||||||||
3,815,906 | ||||||||||||
Jersey — 0.2% |
||||||||||||
Aptiv PLC, 3.10%, 12/01/51 |
2,605 | 1,680,052 | ||||||||||
Aptiv PLC/Aptiv Corp., 2.40%, 02/18/25 |
1,099 | 1,049,544 | ||||||||||
Galaxy Pipeline Assets Bidco Ltd., 2.63%, 03/31/36(i) |
402 | 324,942 | ||||||||||
|
|
|||||||||||
3,054,538 | ||||||||||||
Mexico(i) — 0.1% |
||||||||||||
Braskem Idesa SAPI, 6.99%, 02/20/32 |
375 | 290,625 | ||||||||||
Cemex SAB de CV, 3.88%, 07/11/31 |
395 | 297,514 | ||||||||||
Metalsa S A P I De Cv, 3.75%, 05/04/31 |
447 | 314,576 | ||||||||||
Mexico City Airport Trust, 4.25%, 10/31/26 |
360 | 329,400 | ||||||||||
|
|
|||||||||||
1,232,115 | ||||||||||||
MultiNational — 0.0% |
||||||||||||
Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC, 6.00%, 06/15/27(b) |
418 | 413,707 | ||||||||||
|
|
|||||||||||
Netherlands — 0.4% |
||||||||||||
LYB International Finance II BV, 3.50%, 03/02/27 |
1,020 | 973,365 | ||||||||||
NXP BV/NXP Funding LLC/NXP USA, Inc. |
1,626 | 1,567,566 | ||||||||||
3.25%, 11/30/51 |
3,380 | 2,340,411 | ||||||||||
Trivium Packaging Finance BV, 5.50%, 08/15/26(b) |
2,654 | 2,507,260 | ||||||||||
|
|
|||||||||||
7,388,602 | ||||||||||||
Switzerland — 0.0% |
||||||||||||
UBS Group AG, (1 year CMT + 1.00%), 2.10%, 02/11/32(a)(b) |
120 | 95,278 | ||||||||||
|
|
|||||||||||
United Arab Emirates — 0.0% |
||||||||||||
DP World Salaam, (5 year CMT + 5.75%), 6.00%(a)(h)(i) |
320 | 320,900 | ||||||||||
|
|
Security | Par (000) |
Value | ||||||||||
|
||||||||||||
United Kingdom — 0.5% |
||||||||||||
AstraZeneca PLC |
USD | 3,000 | $ | 2,970,688 | ||||||||
1.38%, 08/06/30 |
119 | 97,677 | ||||||||||
2.13%, 08/06/50 |
605 | 403,950 | ||||||||||
Barclays PLC, (1 year CMT + 1.30%), |
119 | 95,650 | ||||||||||
Deuce Finco PLC, 5.50%, 06/15/27(b) |
GBP | 586 | 565,221 | |||||||||
MARB BondCo PLC, 3.95%, 01/29/31(i) |
USD | 405 | 309,428 | |||||||||
Royalty Pharma PLC |
2,250 | 1,917,998 | ||||||||||
2.15%, 09/02/31 |
1,249 | 974,575 | ||||||||||
Vodafone Group PLC, 4.13%, 05/30/25 |
2,000 | 2,007,479 | ||||||||||
|
|
|||||||||||
9,342,666 | ||||||||||||
United States — 15.5% |
||||||||||||
AbbVie, Inc. |
975 | 965,634 | ||||||||||
3.20%, 11/21/29 |
1,000 | 919,941 | ||||||||||
4.25%, 11/21/49 |
1,795 | 1,593,478 | ||||||||||
Acadia Healthcare Co., Inc., 5.00%, 04/15/29(b) |
2,176 | 1,953,470 | ||||||||||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC, 4.63%, 01/15/27(b) |
431 | 385,021 | ||||||||||
Alexandria Real Estate Equities, Inc. |
119 | 89,476 | ||||||||||
2.95%, 03/15/34 |
792 | 659,033 | ||||||||||
Allstate Corp., 1.45%, 12/15/30 |
119 | 94,539 | ||||||||||
Ally Financial, Inc., 3.88%, 05/21/24 |
2,090 | 2,071,553 | ||||||||||
Alphabet, Inc. |
121 | 99,308 | ||||||||||
2.25%, 08/15/60 |
313 | 203,361 | ||||||||||
Amazon.com, Inc., 2.70%, 06/03/60 |
605 | 409,784 | ||||||||||
American Express Co., 2.25%, 03/04/25 |
616 | 591,770 | ||||||||||
American Honda Finance Corp., 2.25%, 01/12/29 |
1,000 | 881,113 | ||||||||||
American Tower Corp. |
2,250 | 1,967,854 | ||||||||||
2.75%, 01/15/27 |
3,000 | 2,743,535 | ||||||||||
1.88%, 10/15/30 |
119 | 92,577 | ||||||||||
3.10%, 06/15/50 |
605 | 418,230 | ||||||||||
Amgen, Inc. |
2,389 | 1,944,336 | ||||||||||
3.00%, 01/15/52 |
2,590 | 1,836,540 | ||||||||||
2.77%, 09/01/53 |
605 | 408,185 | ||||||||||
Amphenol Corp., 2.20%, 09/15/31 |
119 | 97,140 | ||||||||||
Anheuser-Busch InBev Worldwide, Inc. |
1,890 | 1,922,817 | ||||||||||
3.50%, 06/01/30 |
2,000 | 1,874,726 | ||||||||||
Apple, Inc. |
605 | 424,584 | ||||||||||
2.70%, 08/05/51 |
2,415 | 1,801,179 | ||||||||||
Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC, 3.25%, 09/01/28(b) |
1,111 | 948,315 | ||||||||||
Ashton Woods USA LLC/Ashton Woods Finance Co., 4.63%, 08/01/29(b) |
2,661 | 1,995,750 | ||||||||||
AT&T, Inc. |
1,990 | 1,840,604 | ||||||||||
2.30%, 06/01/27 |
1,000 | 912,844 | ||||||||||
Bank of America Corp.(a) |
||||||||||||
(SOFR + 0.67%), 1.84%, 02/04/25 |
1,142 | 1,100,843 | ||||||||||
(SOFR + 0.91%), 0.98%, 09/25/25 |
2,230 | 2,063,176 | ||||||||||
(SOFR + 1.37%), 1.92%, 10/24/31 |
119 | 95,056 | ||||||||||
(SOFR + 1.56%), 2.97%, 07/21/52 |
605 | 429,534 |
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 ESG Capital Allocation Trust (ECAT) (Percentages shown are based on Net Assets) |
Security | Par (000) |
Value | ||||||||||
|
||||||||||||
United States (continued) |
||||||||||||
Bank of New York Mellon Corp., |
USD | 119 | $ | 96,316 | ||||||||
Baxalta, Inc., 4.00%, 06/23/25 |
1,970 | 1,958,562 | ||||||||||
Baxter International, Inc. |
1,130 | 1,060,809 | ||||||||||
1.92%, 02/01/27 |
2,155 | 1,929,860 | ||||||||||
Becton Dickinson & Co. |
4,035 | 3,899,251 | ||||||||||
1.96%, 02/11/31 |
119 | 96,054 | ||||||||||
Berry Global, Inc., 1.57%, 01/15/26 |
2,782 | 2,480,764 | ||||||||||
Blackstone Holdings Finance Co. LLC, |
119 | 94,553 | ||||||||||
Boston Properties LP, 2.55%, 04/01/32 |
119 | 94,705 | ||||||||||
Bristol-Myers Squibb Co. |
119 | 97,764 | ||||||||||
2.55%, 11/13/50 |
605 | 428,018 | ||||||||||
Broadcom, Inc., 2.45%, 02/15/31(b) |
4,589 | 3,686,979 | ||||||||||
Calpine Corp., 4.50%, 02/15/28(b) |
860 | 780,775 | ||||||||||
Carrier Global Corp. |
444 | 403,929 | ||||||||||
3.38%, 04/05/40 |
2,240 | 1,755,980 | ||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp., 5.38%, 06/01/29(b) |
1,245 | 1,112,831 | ||||||||||
Charles Schwab Corp., 1.65%, 03/11/31 |
119 | 95,343 | ||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital |
119 | 95,302 | ||||||||||
3.85%, 04/01/61 |
605 | 397,870 | ||||||||||
Cigna Corp., 3.05%, 10/15/27 |
2,000 | 1,878,922 | ||||||||||
Citigroup, Inc.(a) |
2,500 | 2,335,829 | ||||||||||
(SOFR + 0.69%), 2.01%, 01/25/26 |
1,433 | 1,342,445 | ||||||||||
Clorox Co., 1.80%, 05/15/30 |
119 | 97,320 | ||||||||||
Coca-Cola Co. |
119 | 96,866 | ||||||||||
2.50%, 03/15/51 |
605 | 438,153 | ||||||||||
Comcast Corp. |
119 | 95,639 | ||||||||||
2.45%, 08/15/52 |
605 | 401,546 | ||||||||||
Commercial Metals Co., 4.38%, 03/15/32 |
1,987 | 1,627,499 | ||||||||||
Costco Wholesale Corp., 1.75%, 04/20/32 |
119 | 97,891 | ||||||||||
Covanta Holding Corp., 4.88%, 12/01/29(b) |
3,233 | 2,630,757 | ||||||||||
Crown Castle International Corp. |
1,980 | 1,901,023 | ||||||||||
2.50%, 07/15/31 |
119 | 97,377 | ||||||||||
CSC Holdings LLC(b) |
1,294 | 1,119,310 | ||||||||||
7.50%, 04/01/28 |
1,264 | 1,055,440 | ||||||||||
CSX Corp., 2.50%, 05/15/51 |
605 | 407,040 | ||||||||||
CVS Health Corp. |
2,965 | 2,946,802 | ||||||||||
1.75%, 08/21/30 |
2,619 | 2,097,665 | ||||||||||
Dana, Inc. |
1,309 | 1,126,762 | ||||||||||
4.25%, 09/01/30 |
383 | 297,286 | ||||||||||
Danaher Corp., 2.80%, 12/10/51 |
605 | 435,830 | ||||||||||
Deere & Co., 2.88%, 09/07/49 |
1,175 | 923,316 | ||||||||||
Dell International LLC/EMC Corp., |
605 | 409,331 | ||||||||||
DR Horton, Inc., 1.30%, 10/15/26 |
3,345 | 2,889,647 | ||||||||||
Duke Realty LP, 2.25%, 01/15/32 |
119 | 99,106 | ||||||||||
eBay, Inc., 1.90%, 03/11/25 |
2,070 | 1,944,404 |
Security | Par (000) |
Value | ||||||||||
|
||||||||||||
United States (continued) |
||||||||||||
Elevance Health, Inc. |
USD | 1,965 | $ | 1,944,613 | ||||||||
3.60%, 03/15/51 |
2,400 | 1,947,525 | ||||||||||
Eli Lilly & Co. |
605 | 427,610 | ||||||||||
2.50%, 09/15/60 |
1,355 | 925,460 | ||||||||||
Equinix, Inc. |
2,000 | 1,858,682 | ||||||||||
3.20%, 11/18/29 |
2,095 | 1,861,068 | ||||||||||
3.00%, 07/15/50 |
303 | 207,449 | ||||||||||
2.95%, 09/15/51 |
1,390 | 937,881 | ||||||||||
Exelon Corp. |
420 | 392,610 | ||||||||||
4.70%, 04/15/50 |
1,175 | 1,100,974 | ||||||||||
Expedia Group, Inc., 2.95%, 03/15/31 |
119 | 94,652 | ||||||||||
Fidelity National Information Services, Inc., 1.15%, 03/01/26 |
2,230 | 1,971,774 | ||||||||||
Flyr Convertible Notes, 8.00%, 07/20/23(d) |
1,973 | 2,037,123 | ||||||||||
Flyr Secured Notes, 10.00%, 01/20/27(d) |
1,036 | 1,043,148 | ||||||||||
Ford Motor Co., 3.25%, 02/12/32 |
2,518 | 1,883,212 | ||||||||||
Forestar Group, Inc., 3.85%, 05/15/26(b) |
399 | 327,889 | ||||||||||
Freed Co. Ltd., 10.00%, 12/02/23(d) |
3,135 | 3,025,275 | ||||||||||
Freedom Mortgage Corp.(b) |
1,307 | 1,127,497 | ||||||||||
8.25%, 04/15/25 |
2,408 | 2,026,779 | ||||||||||
FreeWire Technologies, Inc., 13.00%, 03/31/25(d) |
3,175 | 3,249,930 | ||||||||||
General Mills, Inc., 4.00%, 04/17/25 |
1,965 | 1,963,454 | ||||||||||
General Motors Financial Co., Inc. |
2,000 | 1,744,843 | ||||||||||
2.70%, 08/20/27 |
2,165 | 1,904,977 | ||||||||||
2.35%, 01/08/31 |
2,394 | 1,856,030 | ||||||||||
Gilead Sciences, Inc. |
2,945 | 2,892,143 | ||||||||||
2.95%, 03/01/27 |
1,050 | 994,769 | ||||||||||
1.65%, 10/01/30 |
119 | 97,507 | ||||||||||
2.80%, 10/01/50 |
3,320 | 2,316,827 | ||||||||||
Goldman Sachs Group, Inc. |
2,500 | 2,416,748 | ||||||||||
(SOFR + 0.80%), 1.43%, 03/09/27(a) |
2,500 | 2,216,030 | ||||||||||
(SOFR + 0.82%), 1.54%, 09/10/27(a) |
1,000 | 877,804 | ||||||||||
(SOFR + 1.25%), 2.38%, 07/21/32(a) |
119 | 96,230 | ||||||||||
(SOFR + 1.47%), 2.91%, 07/21/42(a) |
119 | 86,890 | ||||||||||
Series VAR, (SOFR + 0.79%), |
1,000 | 890,659 | ||||||||||
GSK Consumer Healthcare Capital U.S. LLC, |
7,585 | 7,471,607 | ||||||||||
HCA, Inc. |
1,960 | 1,950,046 | ||||||||||
2.38%, 07/15/31 |
119 | 92,786 | ||||||||||
3.50%, 07/15/51 |
3,350 | 2,287,836 | ||||||||||
Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Esc(b) |
865 | 700,650 | ||||||||||
4.88%, 07/01/31 |
1,335 | 1,018,989 | ||||||||||
Home Depot, Inc. |
119 | 95,871 | ||||||||||
2.38%, 03/15/51 |
605 | 409,132 | ||||||||||
2.75%, 09/15/51 |
2,460 | 1,787,679 | ||||||||||
HP, Inc., 3.40%, 06/17/30 |
1,045 | 911,488 | ||||||||||
Intel Corp., 3.10%, 02/15/60 |
115 | 82,113 | ||||||||||
Intercontinental Exchange, Inc. |
119 | 92,942 |
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 |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock ESG Capital Allocation Trust (ECAT) (Percentages shown are based on Net Assets) |
Security | Par (000) |
Value | ||||||||||
|
||||||||||||
United States (continued) |
||||||||||||
Intercontinental Exchange, Inc. (continued) |
USD | 605 | $ | 407,631 | ||||||||
International Business Machines Corp. |
3,100 | 3,023,542 | ||||||||||
3.50%, 05/15/29 |
750 | 713,040 | ||||||||||
2.95%, 05/15/50 |
605 | 438,043 | ||||||||||
Johnson & Johnson, 2.25%, 09/01/50 |
605 | 422,433 | ||||||||||
JPMorgan Chase & Co.(a) |
2,500 | 2,192,652 | ||||||||||
(SOFR + 1.02%), 2.07%, 06/01/29 |
2,170 | 1,866,257 | ||||||||||
(SOFR + 1.11%), 1.76%, 11/19/31 |
119 | 94,100 | ||||||||||
(SOFR + 1.51%), 2.53%, 11/19/41 |
724 | 517,984 | ||||||||||
KB Home, 4.80%, 11/15/29 |
2,081 | 1,735,506 | ||||||||||
Keurig Dr. Pepper, Inc. |
479 | 482,749 | ||||||||||
3.35%, 03/15/51 |
1,305 | 970,869 | ||||||||||
Kilroy Realty LP, 2.50%, 11/15/32 |
119 | 92,877 | ||||||||||
Kimco Realty Corp., 2.25%, 12/01/31 |
119 | 95,663 | ||||||||||
Kraft Heinz Foods Co., 4.38%, 06/01/46 |
2,785 | 2,321,034 | ||||||||||
Level 3 Financing, Inc.(b) |
1,770 | 1,508,925 | ||||||||||
4.25%, 07/01/28 |
931 | 745,964 | ||||||||||
3.63%, 01/15/29 |
970 | 747,921 | ||||||||||
Lowe’s Cos., Inc. |
1,950 | 1,956,440 | ||||||||||
1.70%, 09/15/28 |
1,000 | 851,360 | ||||||||||
1.70%, 10/15/30 |
119 | 95,425 | ||||||||||
3.00%, 10/15/50 |
605 | 421,551 | ||||||||||
4.25%, 04/01/52 |
2,265 | 1,961,372 | ||||||||||
LYB International Finance III LLC, |
2,255 | 1,736,088 | ||||||||||
Magallanes, Inc., 3.43%, 03/15/24(b) |
2,985 | 2,926,291 | ||||||||||
Marriott Ownership Resorts, Inc. |
1,294 | 1,122,410 | ||||||||||
4.50%, 06/15/29(b) |
888 | 738,530 | ||||||||||
Medline Borrower LP, 3.88%, 04/01/29(b) |
2,264 | 1,928,271 | ||||||||||
Merck & Co., Inc. |
1,134 | 975,446 | ||||||||||
2.45%, 06/24/50 |
605 | 424,875 | ||||||||||
2.90%, 12/10/61 |
1,300 | 923,066 | ||||||||||
Microsoft Corp. |
1,240 | 913,293 | ||||||||||
2.68%, 06/01/60 |
605 | 433,759 | ||||||||||
Mondelez International, Inc., 1.50%, 02/04/31 |
119 | 93,298 | ||||||||||
Moody’s Corp. |
148 | 92,226 | ||||||||||
3.10%, 11/29/61 |
1,787 | 1,225,323 | ||||||||||
Morgan Stanley |
2,000 | 1,937,118 | ||||||||||
(SOFR + 0.53%), 0.79%, 05/30/25(a) |
1,045 | 972,807 | ||||||||||
(SOFR + 1.00%), 2.48%, 01/21/28(a) |
1,087 | 988,129 | ||||||||||
(SOFR + 1.03%), 1.79%, 02/13/32(a) |
119 | 93,605 | ||||||||||
(SOFR + 1.14%), 2.70%, 01/22/31(a) |
2,500 | 2,165,300 | ||||||||||
(SOFR + 1.43%), 2.80%, 01/25/52(a) |
605 | 420,031 | ||||||||||
Series F, 3.88%, 04/29/24 |
2,000 | 2,002,547 | ||||||||||
Motorola Solutions, Inc., 4.60%, 02/23/28 |
1,000 | 967,100 | ||||||||||
Nationstar Mortgage Holdings, Inc.(b) |
224 | 194,307 | ||||||||||
5.50%, 08/15/28 |
1,921 | 1,540,909 | ||||||||||
5.13%, 12/15/30 |
961 | 718,376 | ||||||||||
5.75%, 11/15/31 |
454 | 347,628 | ||||||||||
Nestle Holdings, Inc., 2.50%, 09/14/41(b) |
119 | 90,627 |
Security | Par (000) |
Value | ||||||||||
|
||||||||||||
United States (continued) |
||||||||||||
NextEra Energy Capital Holdings, Inc., |
USD | 745 | $ | 620,475 | ||||||||
Norfolk Southern Corp. |
2,000 | 2,003,886 | ||||||||||
2.90%, 08/25/51 |
2,515 | 1,800,928 | ||||||||||
Northern States Power Co., 2.90%, 03/01/50 |
1,225 | 920,786 | ||||||||||
Novartis Capital Corp., 2.75%, 08/14/50 |
1,190 | 926,422 | ||||||||||
NRG Energy, Inc., 3.38%, 02/15/29(b) |
1,391 | 1,121,716 | ||||||||||
NVIDIA Corp., 1.55%, 06/15/28 |
2,180 | 1,909,667 | ||||||||||
Oncor Electric Delivery Co. LLC, |
1,275 | 931,729 | ||||||||||
Oracle Corp., 3.60%, 04/01/50 |
2,135 | 1,483,095 | ||||||||||
Procter & Gamble Co., 2.45%, 11/03/26 |
2,030 | 1,956,880 | ||||||||||
Qualcomm, Inc., 1.65%, 05/20/32 |
119 | 96,108 | ||||||||||
Reliance Steel & Aluminum Co., |
3,000 | 2,731,968 | ||||||||||
Republic Services, Inc. |
3,010 | 2,914,483 | ||||||||||
3.95%, 05/15/28 |
3,000 | 2,941,001 | ||||||||||
1.45%, 02/15/31 |
119 | 93,418 | ||||||||||
Roche Holdings, Inc., 2.61%, 12/13/51(b) |
605 | 439,271 | ||||||||||
Rocket Mortgage LLC/Rocket Mortgage |
1,398 | 1,099,275 | ||||||||||
Roper Technologies, Inc., 1.75%, 02/15/31 |
119 | 92,725 | ||||||||||
Ryder System, Inc., 2.90%, 12/01/26 |
2,110 | 1,966,507 | ||||||||||
S&P Global, Inc., 1.25%, 08/15/30 |
119 | 94,194 | ||||||||||
Salesforce, Inc., 2.90%, 07/15/51 |
1,820 | 1,376,298 | ||||||||||
Sasol Financing USA LLC, 4.38%, 09/18/26 |
364 | 317,219 | ||||||||||
Sherwin-Williams Co. |
1,980 | 1,951,587 | ||||||||||
2.95%, 08/15/29 |
2,000 | 1,789,317 | ||||||||||
2.20%, 03/15/32 |
119 | 95,760 | ||||||||||
Sonoco Products Co., 2.25%, 02/01/27 |
807 | 725,820 | ||||||||||
Southern California Edison Co., |
1,355 | 918,732 | ||||||||||
Steel Dynamics, Inc., 3.45%, 04/15/30 |
2,030 | 1,807,763 | ||||||||||
Stem, Inc., 0.50%, 12/01/28(b) |
275 | 169,053 | ||||||||||
Stillwater Mining Co., 4.50%, 11/16/29(b) |
392 | 307,720 | ||||||||||
Taylor Morrison Communities, Inc., |
1,643 | 1,514,370 | ||||||||||
Tenet Healthcare Corp.(b) |
2,081 | 1,752,639 | ||||||||||
6.13%, 06/15/30 |
1,206 | 1,112,631 | ||||||||||
Thermo Fisher Scientific, Inc., |
2,070 | 1,961,092 | ||||||||||
T-Mobile USA, Inc. |
2,750 | 2,648,029 | ||||||||||
3.88%, 04/15/30 |
2,020 | 1,885,177 | ||||||||||
2.25%, 11/15/31 |
119 | 96,582 | ||||||||||
3.40%, 10/15/52 |
1,360 | 1,004,318 | ||||||||||
Toyota Motor Credit Corp., 1.90%, 09/12/31 |
119 | 97,592 | ||||||||||
Travel & Leisure Co., 4.63%, 03/01/30(b) |
440 | 341,000 | ||||||||||
Truist Bank, 2.15%, 12/06/24 |
4,070 | 3,914,880 | ||||||||||
United Wholesale Mortgage LLC(b) |
1,304 | 1,116,993 | ||||||||||
5.75%, 06/15/27 |
1,346 | 1,079,169 | ||||||||||
UnitedHealth Group, Inc., 2.90%, 05/15/50 |
605 | 453,099 | ||||||||||
Verizon Communications, Inc. |
2,965 | 2,871,661 | ||||||||||
1.68%, 10/30/30 |
119 | 95,904 | ||||||||||
3.55%, 03/22/51 |
1,215 | 974,032 | ||||||||||
2.99%, 10/30/56 |
605 | 420,035 | ||||||||||
Visa, Inc. |
119 | 95,200 | ||||||||||
2.00%, 08/15/50 |
605 | 401,260 |
S C H E D U L E O F I N V E S T M E N T S |
53 |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock ESG Capital Allocation Trust (ECAT) (Percentages shown are based on Net Assets) |
Security | Par (000) |
Value | ||||||||||
|
||||||||||||
United States (continued) |
||||||||||||
VMware, Inc. |
USD | 750 | $ | 746,124 | ||||||||
4.70%, 05/15/30 |
1,500 | 1,446,283 | ||||||||||
2.20%, 08/15/31 |
2,369 | 1,865,414 | ||||||||||
Walmart, Inc., 2.65%, 09/22/51 |
605 | 454,820 | ||||||||||
Walt Disney Co., 2.75%, 09/01/49 |
605 | 431,845 | ||||||||||
Waste Management, Inc. |
119 | 94,678 | ||||||||||
2.50%, 11/15/50 |
2,660 | 1,789,075 | ||||||||||
Workday, Inc., 3.50%, 04/01/27 |
6,020 | 5,756,898 | ||||||||||
WRKCo, Inc., 3.90%, 06/01/28 |
1,000 | 963,865 | ||||||||||
|
|
|||||||||||
|
273,464,544 |
| ||||||||||
|
|
|||||||||||
Total Corporate Bonds — 17.6% |
310,750,012 | |||||||||||
|
|
|||||||||||
Floating Rate Loan Interests(a) | ||||||||||||
Australia(d) — 0.3% |
||||||||||||
Oafit A Note Upsize |
AUD | 690 | 467,938 | |||||||||
(1 mo. LIBOR + 5.50%), |
7,570 | 5,166,672 | ||||||||||
|
|
|||||||||||
|
5,634,610 |
| ||||||||||
Belgium — 0.2% |
||||||||||||
Apollo Finco, 2021 EUR Term Loan B, |
EUR | 3,116 | 2,987,852 | |||||||||
|
|
|||||||||||
United States — 2.1% |
||||||||||||
ACProducts Holdings, Inc., 2021 Term Loan B, (3 mo. LIBOR + 4.25%), |
USD | 995 | 766,131 | |||||||||
American Auto Auction Group LLC, 2021 Term Loan B, (SOFR + 5.00%, 0.75% Floor), 7.05%, 12/30/27 |
2,741 | 2,556,192 | ||||||||||
AMF MF Portfolio, Term Loan, (Fixed + 6.69%), 6.67%, 11/01/28(d) |
4,075 | 4,075,000 | ||||||||||
CML Paradise Plaza, Term Loan, |
5,409 | 5,319,218 | ||||||||||
Emerald Electronics Manufacturing Services, Term Loan, (SOFR + 6.25%, 1.00% Floor), 7.88%, 12/29/27 |
1,088 | 1,044,293 | ||||||||||
Galaxy Universal LLC 1st Lien Term Loan, |
6,257 | 6,100,558 | ||||||||||
2022 Delayed Draw Term Loan, (SOFR + 5.75%), 5.92%, 09/26/22 |
265 | 264,536 | ||||||||||
Hydrofarm Holdings LLC, 2021 Term Loan, (1 mo. LIBOR + 5.50%), |
1,127 | 1,037,148 | ||||||||||
IPS Corp., 2021 Term Loan, (1 mo. LIBOR + 3.50%), 5.17%, 10/02/28 |
831 | 761,633 | ||||||||||
MIP V Waste Holdings LLC, Term Loan B, |
3,074 | 2,966,695 | ||||||||||
OVG Business Services LLC, Initial Term Loan, (1 mo. LIBOR + 6.25%, |
4,543 | 4,258,701 | ||||||||||
Park River Holdings, Inc., Term Loan, |
998 | 811,699 |
Security | Par (000) |
Value | ||||||||||
|
||||||||||||
United States (continued) |
||||||||||||
Signal Parent, Inc., Term Loan B, (1 mo. LIBOR + 3.50%), |
USD | 995 | $ | 759,494 | ||||||||
Sonder Secured Notes, (10.00% PIK), 10.00%, 01/19/27(d)(j)(k) |
5,117 | 4,631,193 | ||||||||||
Vaca Morada Partners LP, |
1,630 | 1,625,895 | ||||||||||
|
|
|||||||||||
|
36,978,386 |
| ||||||||||
|
|
|||||||||||
Total Floating Rate Loan Interests — 2.6% |
45,600,848 | |||||||||||
|
|
|||||||||||
Shares | ||||||||||||
Investment Companies | ||||||||||||
United States — 4.2% |
||||||||||||
Invesco QQQ Trust, Series 1 |
148,400 | 41,593,552 | ||||||||||
Invesco Senior Loan ETF(l) |
985,000 | 19,965,950 | ||||||||||
iShares iBoxx $ High Yield Corporate Bond ETF(m) |
117,963 | 8,683,256 | ||||||||||
SPDR Bloomberg High Yield Bond ETF |
35,942 | 3,260,299 | ||||||||||
|
|
|||||||||||
Total Investment Companies — 4.2% |
73,503,057 | |||||||||||
|
|
|||||||||||
Par (000) |
||||||||||||
Municipal Bonds | ||||||||||||
Puerto Rico(a) — 0.1% |
||||||||||||
Commonwealth of Puerto Rico, GO |
USD | 406 | 201,857 | |||||||||
0.00%, 11/01/51 |
4,259 | 1,831,370 | ||||||||||
Commonwealth of Puerto Rico, RB, 0.00%, 11/01/51 |
1,702 | 519,039 | ||||||||||
|
|
|||||||||||
Total Municipal Bonds — 0.1% |
2,552,266 | |||||||||||
|
|
|||||||||||
Non-Agency Mortgage-Backed Securities | ||||||||||||
United States(a)(b) — 3.1% |
||||||||||||
Barclays Mortgage Loan Trust, Series 2021-NQM1, Class B1, 4.38%, 09/25/51 |
2,047 | 1,654,959 | ||||||||||
CHNGE Mortgage Trust |
2,000 | 1,772,661 | ||||||||||
Series 2022-2, Class M1, |
5,000 | 4,604,672 | ||||||||||
Connecticut Avenue Securities Trust |
||||||||||||
Series 2021-R01, Class 1B2, (30 day SOFR + 6.00%), 6.93%, 10/25/41 |
2,512 | 2,088,680 | ||||||||||
Series 2022-R01, Class 1B2, (30 day SOFR + 6.00%), 6.93%, 12/25/41 |
2,537 | 2,064,627 | ||||||||||
DBUBS Mortgage Trust, Series 2017-BRBK, Class F, 3.65%, 10/10/34 |
2,040 | 1,857,455 | ||||||||||
Freddie Mac STACR REMIC Trust, Series 2021- HQA4, Class B2, (30 day SOFR + 7.00%), 7.93%, 12/25/41 |
2,000 | 1,607,049 |
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 |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock ESG Capital Allocation Trust (ECAT) (Percentages shown are based on Net Assets) |
Security | Par (000) |
Value | ||||||||||
|
||||||||||||
United States (continued) |
||||||||||||
Grace Trust, Series 2020-GRCE, Class D, 2.77%, 12/10/40 |
USD | 2,000 | $ | 1,541,503 | ||||||||
GS Mortgage Securities Corp. Trust |
||||||||||||
Series 2021-DM, Class E, (1 mo. LIBOR US +
2.94%), |
2,150 | 2,017,112 | ||||||||||
Series 2021-DM, Class F, (1 mo. LIBOR US +
3.44%), |
2,150 | 2,007,801 | ||||||||||
Hudson Yards Mortgage Trust, Series 2019-55HY, Class F, 3.04%, 12/10/41 |
2,000 | 1,546,585 | ||||||||||
JP Morgan Chase Commercial Mortgage Securities Trust |
||||||||||||
Series 2021-MHC, Class E, (1 mo. LIBOR US +
2.45%), |
2,270 | 2,098,970 | ||||||||||
Series 2021-NYAH, Class E, (1 mo. LIBOR US + 1.84%), |
4,000 | 3,662,093 | ||||||||||
Series 2022-NLP, Class F, (30 day SOFR + 3.54%), 4.82%, 04/15/37 |
2,000 | 1,839,900 | ||||||||||
Series 2022-OPO, Class D, |
860 | 720,726 | ||||||||||
Manhattan West Mortgage Trust, Series 2020-1MW, Class D, 2.41%, 09/10/39 |
2,250 | 1,874,795 | ||||||||||
MFRA Trust, Class M1, 4.57%, 09/25/56 |
4,000 | 3,638,555 | ||||||||||
MHC Commercial Mortgage Trust, Series 2021-MHC, Class F, (1 mo. LIBOR US + 2.60%), 3.93%, 04/15/38 |
2,000 | 1,859,412 | ||||||||||
RIAL Issuer Ltd., Series 2022-FL8, Class A, (30 day SOFR + 2.25%), 3.76%, 01/19/37 |
3,835 | 3,807,561 | ||||||||||
RMF Buyout Issuance Trust, Series 2021-HB1, Class M4, 4.70%, 11/25/31 |
3,500 | 3,202,313 | ||||||||||
SREIT Trust, Series 2021-PALM, Class G, (1 mo. LIBOR US + 3.62%), |
1,050 | 986,449 | ||||||||||
STWD Mortgage Trust |
||||||||||||
Series 2021-LIH, Class F, (1 mo. LIBOR US +
3.55%), |
2,500 | 2,294,712 | ||||||||||
Series 2021-LIH, Class G, (1 mo. LIBOR US +
4.20%), |
750 | 690,500 | ||||||||||
SUMIT Mortgage Trust, Series 2022-BVUE, Class D, 2.99%, 02/12/41 |
650 | 507,759 | ||||||||||
Taubman Centers Commercial Mortgage Trust, |
|
|||||||||||
Series 2022-DPM, Class A, (30 day SOFR + 2.19%), 3.46%, 05/15/37 |
2,410 | 2,344,074 | ||||||||||
Velocity Commercial Capital Loan Trust, Series 2021-4,
Class M4, |
2,933 | 2,558,019 | ||||||||||
|
|
|||||||||||
Total Non-Agency Mortgage-Backed Securities —
3.1% |
|
54,848,942 | ||||||||||
|
|
|||||||||||
Preferred Securities | ||||||||||||
Capital Trust — 0.0% |
||||||||||||
United States — 0.0% |
||||||||||||
Vistra Corp., 7.00%(a)(b)(h) |
1,120 | 1,016,400 | ||||||||||
|
|
|||||||||||
|
1,016,400 |
| ||||||||||
Shares | ||||||||||||
Preferred Stocks — 0.4%(d) |
||||||||||||
Sweden — 0.0% |
||||||||||||
Volta |
2,492 | 175,753 | ||||||||||
|
|
Security |
Shares | Value | ||||||||||
|
||||||||||||
United States — 0.4% |
||||||||||||
Lesson Nine GmbH, Series B |
456,729 | $ | 4,169,936 | |||||||||
MNTN Digital, Inc., (Acquired 11/05/21, Cost: $1,239,070)(e) |
53,954 | 781,793 | ||||||||||
Verge Genomics, Inc., (Acquired 11/05/21, Cost: $1,437,421)(e) |
269,847 | 1,279,075 | ||||||||||
|
|
|||||||||||
|
6,230,804 |
| ||||||||||
|
|
|||||||||||
|
6,406,557 |
| ||||||||||
|
|
|||||||||||
Total Preferred Securities — 0.4% |
7,422,957 | |||||||||||
|
|
|||||||||||
Warrants | ||||||||||||
United States — 0.0% |
||||||||||||
Altus Power, Inc., (Expires: 12/31/27)(c) |
24,178 | 31,432 | ||||||||||
Gores Holdings VIII, Inc., Class A, |
21,128 | 11,935 | ||||||||||
Proof Acquisition Corp., |
61,805 | 4,326 | ||||||||||
Sonder Holdings, Inc., |
75,255 | 1,505 | ||||||||||
|
|
|||||||||||
Total Warrants — 0.0% |
49,198 | |||||||||||
|
|
|||||||||||
Total Long-Term Investments — 80.7% |
|
1,425,966,103 | ||||||||||
|
|
|||||||||||
Short-Term Securities | ||||||||||||
Money Market Funds — 18.6% |
||||||||||||
BlackRock Liquidity Funds, T-Fund, Institutional Class, 1.33%(m)(n) |
319,500,346 | 319,500,346 | ||||||||||
SL Liquidity Series, LLC, Money Market Series, 1.73%(m)(n)(o) |
8,271,716 | 8,270,062 | ||||||||||
|
|
|||||||||||
Total Short-Term Securities — 18.6% |
327,770,408 | |||||||||||
|
|
|||||||||||
Options Purchased — 0.2% |
4,341,848 | |||||||||||
|
|
|||||||||||
Total Investments Before Options Written — 99.5% (Cost: $2,014,997,455) |
|
1,758,078,359 | ||||||||||
Investments Sold Short | ||||||||||||
Common Stocks | ||||||||||||
United Kingdom — (0.0)% |
||||||||||||
BP PLC, ADR |
(1,900 | ) | (53,865 | ) | ||||||||
|
|
|||||||||||
Total Investments Sold Short — (0.0)% |
|
(53,865 | ) | |||||||||
|
|
|||||||||||
Options Written — (0.4)% |
(6,474,050 | ) | ||||||||||
|
|
|||||||||||
Total Investments, Net of Options Written — 99.1% (Cost: $2,009,729,169) |
|
1,751,550,444 | ||||||||||
Other Assets Less Liabilities — 0.9% |
15,312,608 | |||||||||||
|
|
|||||||||||
Net Assets — 100.0% |
$ | 1,766,863,052 | ||||||||||
|
|
(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. |
S C H E D U L E O F I N V E S T M E N T S |
55 |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock ESG Capital Allocation Trust (ECAT)
|
(c) | Non-income producing security. |
(d) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
(e) | Restricted security as to resale, excluding 144A securities. The Trust held restricted securities with a current value of $3,080,613, representing 0.2% of its net assets as of period end, and an original cost of $4,138,861. |
(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) | 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. |
(h) | Perpetual security with no stated maturity date. |
(i) | This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933. |
(j) | 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. |
(k) | 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. |
(l) | All or a portion of this security is on loan. |
(m) | Affiliate of the Trust. |
(n) | Annualized 7-day yield as of period end. |
(o) | All or a portion of this security was purchased with the cash collateral from loaned securities. |
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 |
Income | Capital Gain Distributions from Underlying Funds |
|||||||||||||||||||||||||||
BlackRock Liquidity Funds, T-Fund, |
||||||||||||||||||||||||||||||||||||
Institutional Class |
$ | 800,242,110 | $ | — | $ | (480,741,764 | )(a) | $ | — | $ | — | $ | 319,500,346 | 319,500,346 | $ | 689,365 | $ | — | ||||||||||||||||||
iShares iBoxx $ High Yield Corporate Bond |
||||||||||||||||||||||||||||||||||||
ETF |
— | 12,680,472 | (2,945,167 | ) | (84,811 | ) | (967,238 | ) | 8,683,256 | 117,963 | 83,484 | — | ||||||||||||||||||||||||
iShares Russell 2000 ETF(b) |
— | 3,218,179 | (3,471,885 | ) | 253,706 | — | — | — | — | — | ||||||||||||||||||||||||||
SL Liquidity Series, LLC, Money Market |
||||||||||||||||||||||||||||||||||||
Series. |
— | 8,274,915 | (a) | — | (4,055 | ) | (798 | ) | 8,270,062 | 8,271,716 | 60,656 | (c) | — | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
$ | 164,840 | $ | (968,036 | ) | $ | 336,453,664 | $ | 833,505 | $ | — | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
(a) | Represents net amount purchased (sold). |
(b) | As of period end, the entity is no longer held. |
(c) | All or a portion represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities. |
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
Description | Number of Contracts |
Expiration Date |
Notional Amount (000) |
Value/ Unrealized Appreciation (Depreciation) |
||||||||||||
Long Contracts |
||||||||||||||||
NASDAQ 100 E-Mini Index |
165 | 09/16/22 | $ | 38,047 | $ | 416,221 | ||||||||||
S&P 500 E-Mini Index |
19 | 09/16/22 | 3,600 | (108,531 | ) | |||||||||||
|
|
|||||||||||||||
307,690 | ||||||||||||||||
|
|
|||||||||||||||
Short Contracts |
||||||||||||||||
Russell 2000 E-Mini Index |
24 | 09/16/22 | 2,050 | 9,293 | ||||||||||||
10-Year U.S. Treasury Note |
278 | 09/21/22 | 32,904 | 343,586 | ||||||||||||
10-Year U.S. Ultra Long Treasury Note |
115 | 09/21/22 | 14,612 | 214,614 | ||||||||||||
U.S. Long Bond |
46 | 09/21/22 | 6,352 | 101,253 | ||||||||||||
Ultra U.S. Treasury Bond |
230 | 09/21/22 | 35,499 | 337,592 | ||||||||||||
2-Year U.S. Treasury Note |
1 | 09/30/22 | 210 | 893 | ||||||||||||
5-Year U.S. Treasury Note |
305 | 09/30/22 | 34,198 | 302,626 | ||||||||||||
|
|
|||||||||||||||
1,309,857 | ||||||||||||||||
|
|
|||||||||||||||
$ | 1,617,547 | |||||||||||||||
|
|
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 |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock ESG Capital Allocation Trust (ECAT)
|
Forward Foreign Currency Exchange Contracts
Currency Purchased |
Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) |
||||||||||||||||||||||
EUR |
14,933,329 | USD | 15,724,025 | Deutsche Bank AG |
09/15/22 | $ | 5,396 | |||||||||||||||||||
USD |
31,357 | EUR | 29,642 | Bank of America N.A. |
09/15/22 | 135 | ||||||||||||||||||||
USD |
5,909,582 | EUR | 5,598,193 | BNP Paribas S.A. |
09/15/22 | 12,950 | ||||||||||||||||||||
USD |
782,369 | EUR | 734,298 | Deutsche Bank AG |
09/15/22 | 8,926 | ||||||||||||||||||||
USD |
52,432 | GBP | 42,886 | Deutsche Bank AG |
09/15/22 | 156 | ||||||||||||||||||||
USD |
5,566,066 | SEK | 56,534,122 | Bank of America N.A. |
09/15/22 | 23,073 | ||||||||||||||||||||
|
|
|||||||||||||||||||||||||
50,636 | ||||||||||||||||||||||||||
|
|
|||||||||||||||||||||||||
GBP |
4,677 | USD | 5,756 | Westpac Banking Corp. |
09/15/22 | (54 | ) | |||||||||||||||||||
USD |
5,692,330 | AUD | 8,260,000 | BNY Mellon |
09/15/22 | (12,585 | ) | |||||||||||||||||||
USD |
10,096 | DKK | 71,647 | Deutsche Bank AG |
09/15/22 | (52 | ) | |||||||||||||||||||
USD |
3,634,476 | EUR | 3,457,609 | BNY Mellon |
09/15/22 | (7,457 | ) | |||||||||||||||||||
USD |
170,659,506 | EUR | 162,836,203 | UBS AG |
09/15/22 | (857,458 | ) | |||||||||||||||||||
USD |
19,169,273 | GBP | 15,918,282 | BNY Mellon |
09/15/22 | (234,612 | ) | |||||||||||||||||||
USD |
8,836,075 | HKD | 69,197,570 | JPMorgan Chase Bank N.A. |
09/15/22 | (1,137 | ) | |||||||||||||||||||
|
|
|||||||||||||||||||||||||
(1,113,355 | ) | |||||||||||||||||||||||||
|
|
|||||||||||||||||||||||||
$ | (1,062,719 | ) | ||||||||||||||||||||||||
|
|
Exchange-Traded Options Purchased
Description | Number of Contracts |
Expiration Date |
Exercise Price | Notional Amount (000) |
Value | |||||||||||||||||||||||
Call |
||||||||||||||||||||||||||||
Alcoa Corp. |
91 | 07/15/22 | USD | 100.00 | USD | 415 | $ | 319 | ||||||||||||||||||||
Alphabet Inc., Class C |
11 | 07/15/22 | USD | 2,200.00 | USD | 2,406 | 72,545 | |||||||||||||||||||||
Alphabet Inc., Class C |
2 | 07/15/22 | USD | 2,400.00 | USD | 437 | 2,080 | |||||||||||||||||||||
Intuit, Inc. |
12 | 07/15/22 | USD | 390.00 | USD | 463 | 13,380 | |||||||||||||||||||||
InvesCo QQQ Trust, Series 1 |
50 | 07/15/22 | USD | 320.00 | USD | 1,401 | 750 | |||||||||||||||||||||
InvesCo QQQ Trust, Series 1 |
34 | 07/15/22 | USD | 315.00 | USD | 953 | 867 | |||||||||||||||||||||
InvesCo QQQ Trust, Series 1 |
139 | 07/15/22 | USD | 325.00 | USD | 3,896 | 1,321 | |||||||||||||||||||||
Raymond James Financial, Inc. |
47 | 07/15/22 | USD | 100.00 | USD | 420 | 3,408 | |||||||||||||||||||||
SPDR S&P 500 ETF Trust |
320 | 07/15/22 | USD | 450.00 | USD | 12,072 | 480 | |||||||||||||||||||||
CF Industries Holdings, Inc. |
124 | 08/19/22 | USD | 115.00 | USD | 1,063 | 8,990 | |||||||||||||||||||||
CSX Corp. |
182 | 08/19/22 | USD | 40.00 | USD | 529 | 1,365 | |||||||||||||||||||||
Daimler AG |
87 | 08/19/22 | EUR | 70.00 | EUR | 480 | 821 | |||||||||||||||||||||
Eli Lilly & Co. |
32 | 08/19/22 | USD | 320.00 | USD | 1,038 | 60,320 | |||||||||||||||||||||
Generac Holdings, Inc. |
16 | 08/19/22 | USD | 300.00 | USD | 337 | 2,440 | |||||||||||||||||||||
Halliburton Co. |
125 | 08/19/22 | USD | 39.00 | USD | 392 | 6,625 | |||||||||||||||||||||
SPDR S&P 500 ETF Trust |
58 | 08/19/22 | USD | 450.00 | USD | 2,188 | 841 | |||||||||||||||||||||
Domino’s Pizza, Inc. |
10 | 09/16/22 | USD | 400.00 | USD | 390 | 20,750 | |||||||||||||||||||||
Mosaic Co. |
223 | 09/16/22 | USD | 70.00 | USD | 1,053 | 13,826 | |||||||||||||||||||||
Pandora A/S |
23 | 09/16/22 | DKK | 696.25 | DKK | 1,037 | 488 | |||||||||||||||||||||
Eli Lilly & Co. |
11 | 10/21/22 | USD | 330.00 | USD | 357 | 24,310 | |||||||||||||||||||||
Dynatrace, Inc. |
102 | 11/18/22 | USD | 45.00 | USD | 402 | 35,190 | |||||||||||||||||||||
Commerzbank AG |
410 | 12/16/22 | EUR | 9.00 | EUR | 274 | 89,584 | |||||||||||||||||||||
LVMH Moet Hennessy Louis Vuitton SE |
16 | 12/16/22 | EUR | 640.00 | EUR | 931 | 42,756 | |||||||||||||||||||||
SAP Investor Relations, ADR |
65 | 12/16/22 | USD | 100.00 | USD | 590 | 28,275 | |||||||||||||||||||||
Abbott Laboratories |
92 | 01/20/23 | USD | 125.00 | USD | 1,000 | 28,382 | |||||||||||||||||||||
Adobe, Inc. |
17 | 01/20/23 | USD | 480.00 | USD | 622 | 17,977 | |||||||||||||||||||||
Align Technology, Inc. |
24 | 01/20/23 | USD | 290.00 | USD | 568 | 51,720 | |||||||||||||||||||||
Alphabet Inc., Class C |
8 | 01/20/23 | USD | 2,500.00 | USD | 1,750 | 96,800 | |||||||||||||||||||||
Booking Holdings, Inc. |
5 | 01/20/23 | USD | 2,600.00 | USD | 874 | 14,300 | |||||||||||||||||||||
Dynatrace, Inc. |
103 | 01/20/23 | USD | 45.00 | USD | 406 | 44,805 | |||||||||||||||||||||
Eli Lilly & Co. |
32 | 01/20/23 | USD | 340.00 | USD | 1,038 | 80,720 | |||||||||||||||||||||
Eli Lilly & Co. |
32 | 01/20/23 | USD | 320.00 | USD | 1,038 | 111,600 | |||||||||||||||||||||
Humana, Inc. |
15 | 01/20/23 | USD | 500.00 | USD | 702 | 44,850 | |||||||||||||||||||||
Intuit, Inc. |
17 | 01/20/23 | USD | 450.00 | USD | 655 | 40,630 | |||||||||||||||||||||
Nike, Inc., Class B |
86 | 01/20/23 | USD | 135.00 | USD | 879 | 17,329 | |||||||||||||||||||||
Otis Worldwide Corp. |
108 | 01/20/23 | USD | 85.00 | USD | 763 | 15,930 | |||||||||||||||||||||
salesforce.com, Inc. |
56 | 01/20/23 | USD | 200.00 | USD | 924 | 50,540 |
S C H E D U L E O F I N V E S T M E N T S |
57 |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock ESG Capital Allocation Trust (ECAT)
|
Exchange-Traded Options Purchased (continued)
Description | Number of Contracts |
Expiration Date |
Exercise Price | Notional Amount (000) |
Value | |||||||||||||||||||||||
Call (continued) |
||||||||||||||||||||||||||||
salesforce.com, Inc. |
56 | 01/20/23 | USD | 210.00 | USD | 924 | $ | 37,660 | ||||||||||||||||||||
ServiceNow, Inc. |
19 | 01/20/23 | USD | 550.00 | USD | 903 | 76,855 | |||||||||||||||||||||
SPDR S&P 500 ETF Trust |
238 | 01/20/23 | USD | 430.00 | USD | 8,979 | 162,911 | |||||||||||||||||||||
XPO Logistics, Inc. |
72 | 01/20/23 | USD | 57.50 | USD | 347 | 28,440 | |||||||||||||||||||||
|
|
|||||||||||||||||||||||||||
1,353,180 | ||||||||||||||||||||||||||||
|
|
|||||||||||||||||||||||||||
Put |
||||||||||||||||||||||||||||
Clorox Co. |
76 | 07/15/22 | USD | 120.00 | USD | 1,071 | 2,090 | |||||||||||||||||||||
Coca-Cola Co. |
435 | 07/15/22 | USD | 60.00 | USD | 2,737 | 15,877 | |||||||||||||||||||||
Coca-Cola Co. |
544 | 07/15/22 | USD | 57.50 | USD | 3,422 | 8,976 | |||||||||||||||||||||
Consumer Staples Select Sector SPDR Fund |
1,902 | 07/15/22 | USD | 68.00 | USD | 13,729 | 66,570 | |||||||||||||||||||||
InvesCo QQQ Trust |
300 | 07/15/22 | USD | 325.00 | USD | 8,408 | 1,368,450 | |||||||||||||||||||||
iShares China Large-Cap ETF |
694 | 07/15/22 | USD | 32.00 | USD | 2,353 | 23,249 | |||||||||||||||||||||
iShares Russell 2000 ETF |
183 | 07/15/22 | USD | 175.00 | USD | 3,099 | 141,093 | |||||||||||||||||||||
iShares Russell 2000 ETF |
50 | 07/15/22 | USD | 165.00 | USD | 847 | 13,625 | |||||||||||||||||||||
Kraft Heinz Co. |
649 | 07/15/22 | USD | 35.00 | USD | 2,475 | 9,086 | |||||||||||||||||||||
Procter & Gamble Co. |
263 | 07/15/22 | USD | 130.00 | USD | 3,782 | 7,364 | |||||||||||||||||||||
Apple, Inc. |
99 | 08/19/22 | USD | 130.00 | USD | 1,354 | 48,015 | |||||||||||||||||||||
FedEx Corp. |
72 | 08/19/22 | USD | 210.00 | USD | 1,632 | 46,620 | |||||||||||||||||||||
InvesCo QQQ Trust |
300 | 08/19/22 | USD | 255.00 | USD | 8,408 | 173,100 | |||||||||||||||||||||
Kroger Co. |
487 | 08/19/22 | USD | 45.00 | USD | 2,305 | 69,397 | |||||||||||||||||||||
Procter & Gamble Co. |
175 | 08/19/22 | USD | 135.00 | USD | 2,516 | 44,012 | |||||||||||||||||||||
Consumer Staples Select Sector SPDR Fund |
1,522 | 09/16/22 | USD | 73.00 | USD | 10,986 | 460,405 | |||||||||||||||||||||
Dollar Tree, Inc. |
110 | 09/16/22 | USD | 145.00 | USD | 1,714 | 78,925 | |||||||||||||||||||||
Sherwin-Williams Co. (The) |
68 | 09/16/22 | USD | 240.00 | USD | 1,523 | 151,300 | |||||||||||||||||||||
SPDR S&P 500 ETF Trust |
164 | 12/16/22 | USD | 350.00 | USD | 6,187 | 260,514 | |||||||||||||||||||||
|
|
|||||||||||||||||||||||||||
2,988,668 | ||||||||||||||||||||||||||||
|
|
|||||||||||||||||||||||||||
$ | 4,341,848 | |||||||||||||||||||||||||||
|
|
|||||||||||||||||||||||||||
Exchange-Traded Options Written
|
||||||||||||||||||||||||||||
Description | Number of Contracts |
Expiration Date |
Exercise Price | Notional Amount (000) |
Value | |||||||||||||||||||||||
Call |
||||||||||||||||||||||||||||
InvesCo QQQ Trust, Series 1 |
139 | 07/15/22 | USD | 340.00 | USD | 3,896 | $ | (487 | ) | |||||||||||||||||||
Alphabet Inc., Class C |
13 | 08/19/22 | USD | 2,500.00 | USD | 2,844 | (43,745 | ) | ||||||||||||||||||||
American Tower Corp. |
170 | 08/19/22 | USD | 280.00 | USD | 4,345 | (57,800 | ) | ||||||||||||||||||||
Applied Materials, Inc. |
132 | 08/19/22 | USD | 105.00 | USD | 1,201 | (25,608 | ) | ||||||||||||||||||||
Archer-Daniels-Midland Co. |
123 | 08/19/22 | USD | 80.00 | USD | 954 | (35,977 | ) | ||||||||||||||||||||
Boston Scientific Corp. |
1,021 | 08/19/22 | USD | 42.00 | USD | 3,805 | (51,050 | ) | ||||||||||||||||||||
Home Depot, Inc. |
43 | 08/19/22 | USD | 325.00 | USD | 1,179 | (4,451 | ) | ||||||||||||||||||||
Home Depot, Inc. |
79 | 08/19/22 | USD | 300.00 | USD | 2,167 | (35,747 | ) | ||||||||||||||||||||
InvesCo QQQ Trust |
150 | 08/19/22 | USD | 315.00 | USD | 4,204 | (28,575 | ) | ||||||||||||||||||||
Mastercard, Inc., Class A |
30 | 08/19/22 | USD | 350.00 | USD | 946 | (15,225 | ) | ||||||||||||||||||||
Microsoft Corp. |
157 | 08/19/22 | USD | 280.00 | USD | 4,032 | (66,725 | ) | ||||||||||||||||||||
ServiceNow, Inc. |
64 | 08/19/22 | USD | 550.00 | USD | 3,043 | (72,640 | ) | ||||||||||||||||||||
TE Connectivity Ltd. |
54 | 08/19/22 | USD | 125.00 | USD | 611 | (10,395 | ) | ||||||||||||||||||||
Thermo Fisher Scientific, Inc. |
91 | 08/19/22 | USD | 580.00 | USD | 4,944 | (112,840 | ) | ||||||||||||||||||||
Walt Disney Co. |
43 | 08/19/22 | USD | 105.00 | USD | 406 | (8,299 | ) | ||||||||||||||||||||
Merck & Co., Inc. |
151 | 01/20/23 | USD | 100.00 | USD | 1,377 | (45,300 | ) | ||||||||||||||||||||
|
|
|||||||||||||||||||||||||||
(614,864 | ) | |||||||||||||||||||||||||||
|
|
|||||||||||||||||||||||||||
Put |
||||||||||||||||||||||||||||
Alcoa Corp. |
91 | 07/15/22 | USD | 70.00 | USD | 415 | (222,495 | ) | ||||||||||||||||||||
Alphabet Inc., Class C |
19 | 07/15/22 | USD | 2,100.00 | USD | 4,156 | (69,160 | ) | ||||||||||||||||||||
Alphabet Inc., Class C |
9 | 07/15/22 | USD | 1,800.00 | USD | 1,969 | (2,903 | ) | ||||||||||||||||||||
Alphabet Inc., Class C |
2 | 07/15/22 | USD | 2,000.00 | USD | 437 | (3,490 | ) | ||||||||||||||||||||
Amazon.com, Inc. |
200 | 07/15/22 | USD | 121.00 | USD | 2,124 | (298,000 | ) | ||||||||||||||||||||
Apple, Inc. |
90 | 07/15/22 | USD | 140.00 | USD | 1,230 | (49,950 | ) | ||||||||||||||||||||
Coca-Cola Co. |
435 | 07/15/22 | USD | 55.00 | USD | 2,737 | (4,568 | ) | ||||||||||||||||||||
Coca-Cola Co. |
544 | 07/15/22 | USD | 52.50 | USD | 3,422 | (3,536 | ) |
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 |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock ESG Capital Allocation Trust (ECAT) |
Exchange-Traded Options Written (continued)
Description | Number of Contracts |
Expiration Date |
Exercise Price | Notional Amount (000) |
Value | |||||||||||||||||||||||
Put (continued) |
||||||||||||||||||||||||||||
Consumer Staples Select Sector SPDR Fund |
1,902 | 07/15/22 | USD | 63.00 | USD | 13,729 | $ | (34,236 | ) | |||||||||||||||||||
InvesCo QQQ Trust |
300 | 07/15/22 | USD | 310.00 | USD | 8,408 | (926,700 | ) | ||||||||||||||||||||
InvesCo QQQ Trust, Series 1 |
50 | 07/15/22 | USD | 265.00 | USD | 1,401 | (14,700 | ) | ||||||||||||||||||||
InvesCo QQQ Trust, Series 1 |
34 | 07/15/22 | USD | 260.00 | USD | 953 | (7,021 | ) | ||||||||||||||||||||
iShares China Large-Cap ETF |
694 | 07/15/22 | USD | 29.00 | USD | 2,353 | (3,470 | ) | ||||||||||||||||||||
iShares iBoxx $ High Yield Corporate Bond ETF |
650 | 07/15/22 | USD | 77.00 | USD | 4,785 | (248,625 | ) | ||||||||||||||||||||
Kraft Heinz Co. |
649 | 07/15/22 | USD | 32.50 | USD | 2,475 | (2,921 | ) | ||||||||||||||||||||
Nike, Inc., Class B |
161 | 07/15/22 | USD | 95.00 | USD | 1,645 | (15,617 | ) | ||||||||||||||||||||
Procter & Gamble Co. |
263 | 07/15/22 | USD | 115.00 | USD | 3,782 | (4,997 | ) | ||||||||||||||||||||
Raymond James Financial, Inc. |
47 | 07/15/22 | USD | 85.00 | USD | 420 | (5,993 | ) | ||||||||||||||||||||
Alphabet Inc., Class C |
8 | 08/19/22 | USD | 1,900.00 | USD | 1,750 | (33,800 | ) | ||||||||||||||||||||
Apple, Inc. |
99 | 08/19/22 | USD | 115.00 | USD | 1,354 | (15,939 | ) | ||||||||||||||||||||
CSX Corp. |
182 | 08/19/22 | USD | 30.00 | USD | 529 | (33,215 | ) | ||||||||||||||||||||
Daimler AG |
87 | 08/19/22 | EUR | 60.00 | EUR | 480 | (54,931 | ) | ||||||||||||||||||||
Eli Lilly & Co. |
32 | 08/19/22 | USD | 260.00 | USD | 1,038 | (6,368 | ) | ||||||||||||||||||||
FedEx Corp. |
72 | 08/19/22 | USD | 180.00 | USD | 1,632 | (12,348 | ) | ||||||||||||||||||||
Generac Holdings, Inc. |
16 | 08/19/22 | USD | 220.00 | USD | 337 | (41,120 | ) | ||||||||||||||||||||
Halliburton Co. |
125 | 08/19/22 | USD | 30.00 | USD | 392 | (25,187 | ) | ||||||||||||||||||||
Home Depot, Inc. |
43 | 08/19/22 | USD | 250.00 | USD | 1,179 | (25,047 | ) | ||||||||||||||||||||
InvesCo QQQ Trust |
450 | 08/19/22 | USD | 215.00 | USD | 12,613 | (55,125 | ) | ||||||||||||||||||||
iShares iBoxx $ High Yield Corporate Bond ETF |
859 | 08/19/22 | USD | 72.00 | USD | 6,323 | (129,709 | ) | ||||||||||||||||||||
Kroger Co. |
487 | 08/19/22 | USD | 40.00 | USD | 2,305 | (19,480 | ) | ||||||||||||||||||||
Microsoft Corp. |
70 | 08/19/22 | USD | 220.00 | USD | 1,798 | (21,910 | ) | ||||||||||||||||||||
Procter & Gamble Co. |
175 | 08/19/22 | USD | 120.00 | USD | 2,516 | (13,650 | ) | ||||||||||||||||||||
Consumer Staples Select Sector SPDR Fund |
1,522 | 09/16/22 | USD | 66.00 | USD | 10,986 | (288,419 | ) | ||||||||||||||||||||
Dollar Tree, Inc. |
110 | 09/16/22 | USD | 125.00 | USD | 1,714 | (30,470 | ) | ||||||||||||||||||||
Domino’s Pizza, Inc. |
10 | 09/16/22 | USD | 300.00 | USD | 390 | (3,700 | ) | ||||||||||||||||||||
Pandora A/S |
23 | 09/16/22 | DKK | 550.00 | DKK | 1,027 | (37,185 | ) | ||||||||||||||||||||
Eli Lilly & Co. |
11 | 10/21/22 | USD | 260.00 | USD | 357 | (5,528 | ) | ||||||||||||||||||||
Dynatrace, Inc. |
102 | 11/18/22 | USD | 35.00 | USD | 402 | (34,170 | ) | ||||||||||||||||||||
Commerzbank AG |
410 | 12/16/22 | EUR | 7.20 | EUR | 274 | (49,840 | ) | ||||||||||||||||||||
LVMH Moet Hennessy Louis Vuitton SE |
16 | 12/16/22 | EUR | 520.00 | EUR | 931 | (48,960 | ) | ||||||||||||||||||||
SAP Investor Relations, ADR |
65 | 12/16/22 | USD | 80.00 | USD | 590 | (24,375 | ) | ||||||||||||||||||||
SPDR S&P 500 ETF Trust |
246 | 12/16/22 | USD | 310.00 | USD | 9,280 | (186,099 | ) | ||||||||||||||||||||
Abbott Laboratories |
92 | 01/20/23 | USD | 105.00 | USD | 1,000 | (65,550 | ) | ||||||||||||||||||||
Adobe, Inc. |
17 | 01/20/23 | USD | 400.00 | USD | 622 | (102,467 | ) | ||||||||||||||||||||
Align Technology, Inc. |
24 | 01/20/23 | USD | 230.00 | USD | 568 | (86,040 | ) | ||||||||||||||||||||
Alphabet Inc., Class C |
11 | 01/20/23 | USD | 1,600.00 | USD | 2,406 | (51,535 | ) | ||||||||||||||||||||
Alphabet Inc., Class C |
8 | 01/20/23 | USD | 2,000.00 | USD | 1,750 | (112,480 | ) | ||||||||||||||||||||
Amazon.com, Inc. |
220 | 01/20/23 | USD | 80.00 | USD | 2,337 | (85,800 | ) | ||||||||||||||||||||
Apple, Inc. |
156 | 01/20/23 | USD | 100.00 | USD | 2,133 | (47,580 | ) | ||||||||||||||||||||
Booking Holdings, Inc. |
5 | 01/20/23 | USD | 2,000.00 | USD | 874 | (184,100 | ) | ||||||||||||||||||||
Dynatrace, Inc. |
103 | 01/20/23 | USD | 35.00 | USD | 406 | (41,200 | ) | ||||||||||||||||||||
Eli Lilly & Co. |
32 | 01/20/23 | USD | 280.00 | USD | 1,038 | (45,360 | ) | ||||||||||||||||||||
Eli Lilly & Co. |
32 | 01/20/23 | USD | 260.00 | USD | 1,038 | (30,800 | ) | ||||||||||||||||||||
Humana, Inc. |
15 | 01/20/23 | USD | 390.00 | USD | 702 | (24,825 | ) | ||||||||||||||||||||
Intuit, Inc. |
17 | 01/20/23 | USD | 370.00 | USD | 655 | (66,980 | ) | ||||||||||||||||||||
Microsoft Corp. |
86 | 01/20/23 | USD | 200.00 | USD | 2,209 | (53,965 | ) | ||||||||||||||||||||
Nike, Inc., Class B |
86 | 01/20/23 | USD | 110.00 | USD | 879 | (129,430 | ) | ||||||||||||||||||||
Otis Worldwide Corp. |
108 | 01/20/23 | USD | 65.00 | USD | 763 | (41,580 | ) | ||||||||||||||||||||
salesforce.com, Inc. |
112 | 01/20/23 | USD | 160.00 | USD | 1,848 | (193,760 | ) | ||||||||||||||||||||
ServiceNow, Inc. |
19 | 01/20/23 | USD | 450.00 | USD | 903 | (101,650 | ) | ||||||||||||||||||||
XPO Logistics, Inc. |
72 | 01/20/23 | USD | 45.00 | USD | 347 | (39,960 | ) | ||||||||||||||||||||
|
|
|||||||||||||||||||||||||||
(4,620,019 | ) | |||||||||||||||||||||||||||
|
|
|||||||||||||||||||||||||||
$ | (5,234,883 | ) | ||||||||||||||||||||||||||
|
|
S C H E D U L E O F I N V E S T M E N T S |
59 |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock ESG Capital Allocation Trust (ECAT) |
OTC Interest Rate Swaptions Written
|
Paid by the Trust | Received by the Trust | Expiration Date |
Exercise Rate |
Notional Amount (000) |
Value |
||||||||||||||||||||||||
Description | Rate | Frequency | Rate | Frequency | Counterparty | |||||||||||||||||||||||||
Put |
||||||||||||||||||||||||||||||
10-Year Interest Rate Swap, |
|
1-Day SOFR, 0.82% |
|
Quarterly | 3.23% | Semi-Annual | Citibank N.A. |
08/17/22 | 3.23 | % | USD | 10,288 | $ | (43,885 | ) | |||||||||||||||
10-Year Interest Rate Swap, |
|
1-Day SOFR, 0.82% |
|
Quarterly | 3.10% | Semi-Annual | Morgan Stanley & Co. International PLC |
08/24/22 | 3.10 | USD | 20,889 | (157,549 | ) | |||||||||||||||||
10-Year Interest Rate Swap, |
|
1-Day SOFR, 0.82% |
|
Quarterly | 3.00% | Semi-Annual | Morgan Stanley & Co. International PLC |
08/31/22 | 3.00 | USD | 10,733 | (119,111 | ) | |||||||||||||||||
10-Year Interest Rate Swap, |
|
1-Day SOFR, 0.82% |
|
Quarterly | 3.00% | Semi-Annual | Deutsche Bank AG |
08/31/22 | 3.00 | USD | 10,800 | (119,855 | ) | |||||||||||||||||
10-Year Interest Rate Swap, |
|
1-Day SOFR, 0.82% |
|
Quarterly | 3.20% | Semi-Annual | Goldman Sachs International |
11/23/22 | 3.20 | USD | 10,016 | (135,757 | ) | |||||||||||||||||
10-Year Interest Rate Swap, |
|
1-Day SOFR, 0.82% |
|
Quarterly | 3.35% | Semi-Annual | Morgan Stanley & Co. International PLC |
12/08/22 | 3.35 | USD | 21,608 | (241,470 | ) | |||||||||||||||||
10-Year Interest Rate Swap, |
|
1-Day SOFR, 0.82% |
|
Quarterly | 3.57% | Semi-Annual | Goldman Sachs International |
05/11/23 | 3.57 | USD | 30,765 | (421,540 | ) | |||||||||||||||||
|
|
|||||||||||||||||||||||||||||
$ | (1,239,167) | |||||||||||||||||||||||||||||
|
|
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.38.V2 |
5.00 | % | Quarterly | 06/20/27 | B+ | USD 38,762 | $ | (1,077,117) | $ | (260,121 | ) | $ | (816,996 | ) | ||||||||||||||||||
|
|
|
|
|
|
(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 Date |
Termination Date |
Notional Amount (000) |
Value |
Upfront (Received) |
Unrealized (Depreciation) |
|||||||||||||||||||||||||
Rate | Frequency | Rate | Frequency | |||||||||||||||||||||||||||||
2.60% | Annual | 1-Day SOFR, 0.82% | Annual | N/A | 05/26/32 | USD | 2,250 | $ | 33,749 | $ | 35 | $ | 33,714 |
OTC Total Return Swaps
Paid by the Trust |
Received by the Trust |
Effective Date |
Termination Date |
Notional Amount (000) |
|
Upfront Premium (Received) |
Unrealized |
|||||||||||||||||||||||||||||||||
Rate/Reference | Frequency | Rate/Reference | Frequency | Counterparty | Value | |||||||||||||||||||||||||||||||||||
1-Day SOFR minus 2.25%,0.82% |
Monthly | iShares iBoxx $ High Yield Corporate Bond ETF |
Monthly | BNP Paribas S.A. | N/A | 07/15/22 | USD | 2,688 | $ | (70,408 | ) | $ | — | $ | (70,408 | ) | ||||||||||||||||||||||||
1-Day SOFR minus 2.10%,0.82% |
Quarterly | iShares iBoxx $ High Yield Corporate Bond ETF |
Monthly | Goldman Sachs International | N/A | 07/15/22 | USD | 2,087 | 15,333 | — | 15,333 | |||||||||||||||||||||||||||||
1-Day SOFR minus 2.25%,0.82% |
Monthly | iShares iBoxx $ High Yield Corporate Bond ETF |
Monthly | JPMorgan Chase Bank N.A. | N/A | 07/15/22 | USD | 7,618 | 55,707 | — | 55,707 | |||||||||||||||||||||||||||||
1-Day SOFR minus 1.20%,0.82% |
Monthly | SPDR Bloomberg High Yield Bond ETF |
Monthly | Citibank N.A. | N/A | 07/15/22 | USD | 1,739 | 7,453 | — | 7,453 | |||||||||||||||||||||||||||||
PPG Industries Inc |
Quarterly | 1-Day SOFR minus 0.13%, 0.82% |
Quarterly | BNP Paribas S.A. | N/A | 09/02/22 | USD | 670 | 75,509 | — | 75,509 | |||||||||||||||||||||||||||||
PPG Industries Inc |
Quarterly | 1-Day SOFR minus 0.12%, 0.00% |
Quarterly | BNP Paribas S.A. | N/A | 09/02/22 | USD | 33 | 3,718 | — | 3,718 | |||||||||||||||||||||||||||||
Sherwin Williams |
Quarterly | 1-Day SOFR minus 0.10%, 0.00% |
Quarterly | BNP Paribas S.A. | N/A | 09/02/22 | USD | 61 | 10,382 | — | 10,382 |
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 |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock ESG Capital Allocation Trust (ECAT) |
OTC Total Return Swaps (continued)
Paid by the Trust |
Received by the Trust |
Effective Date |
Termination Date |
Notional Amount (000) |
|
Upfront Premium (Received) |
Unrealized |
|||||||||||||||||||||||||||||||||
Rate/Reference | Frequency | Rate/Reference | Frequency | Counterparty | Value | |||||||||||||||||||||||||||||||||||
PPG Industries Inc. |
Quarterly | 1-Day SOFR minus 0.08%, 0.82% |
Quarterly | BNP Paribas S.A. | N/A | 09/02/22 | USD | 600 | $ | 67,659 | $ | — | $ | 67,659 | ||||||||||||||||||||||||||
Sherwin Williams |
Quarterly | 1-Day SOFR minus 0.08%, 0.82% |
Monthly | BNP Paribas S.A. | N/A | 09/02/22 | USD | 628 | 106,523 | — | 106,523 | |||||||||||||||||||||||||||||
1-Day SOFR minus 1.65%,0.82% |
Quarterly | iShares iBoxx $ High Yield Corporate Bond ETF |
Quarterly | BNP Paribas S.A. | N/A | 09/16/22 | USD | 2,154 | (5,640 | ) | — | (5,640 | ) | |||||||||||||||||||||||||||
1-Day SOFR minus 1.60%,0.82% |
Quarterly | iShares iBoxx $ High Yield Corporate Bond ETF |
Quarterly | Goldman Sachs International | N/A | 09/16/22 | USD | 1,054 | (2,956 | ) | — | (2,956 | ) | |||||||||||||||||||||||||||
1-Day SOFR minus 1.85%,0.82% |
Quarterly | iShares iBoxx $ High Yield Corporate Bond ETF |
Quarterly | JPMorgan Chase Bank N.A. | N/A | 09/16/22 | USD | 7,571 | (19,584 | ) | — | (19,584 | ) | |||||||||||||||||||||||||||
1-Day SOFR minus 1.25%,0.82% |
Monthly | SPDR Bloomberg High Yield Bond ETF |
Monthly | BNP Paribas S.A. | N/A | 09/16/22 | USD | 17,512 | (278,433 | ) | — | (278,433 | ) | |||||||||||||||||||||||||||
1-Day SOFR minus 0.90%,0.82% |
Monthly | SPDR Bloomberg High Yield Bond ETF |
Monthly | Citibank N.A. | N/A | 09/16/22 | USD | 869 | 3,554 | — | 3,554 | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||||
$ | (31,183 | ) | $ | — | $ | (31,183 | ) | |||||||||||||||||||||||||||||||||
|
|
|
|
|
|
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) |
$ | 35 | $ | (260,121 | ) | $ | 33,714 | $ | (816,996 | ) | $ | — | ||||||||
OTC Swaps |
— | — | 345,838 | (377,021 | ) | — | ||||||||||||||
Options Written |
N/A | N/A | 1,008,267 | (2,269,342 | ) | (6,474,050 | ) |
(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) |
$ | — | $ | — | $ | 425,514 | $ | — | $ | 1,300,564 | $ | — | $ | 1,726,078 | ||||||||||||||
Forward foreign currency exchange contracts |
||||||||||||||||||||||||||||
Unrealized appreciation on forward foreign currency exchange contracts |
— | — | — | 50,636 | — | — | 50,636 | |||||||||||||||||||||
Options purchased |
||||||||||||||||||||||||||||
Investments at value — unaffiliated(b) |
— | — | 4,341,848 | — | — | — | 4,341,848 | |||||||||||||||||||||
Swaps — centrally cleared |
||||||||||||||||||||||||||||
Unrealized appreciation on centrally cleared swaps(a) |
— | — | — | — | 33,714 | — | 33,714 | |||||||||||||||||||||
Swaps — OTC |
||||||||||||||||||||||||||||
Unrealized appreciation on OTC swaps; Swap premiums paid |
— | — | 345,838 | — | — | — | 345,838 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
$ | — | $ | — | $ | 5,113,200 | $ | 50,636 | $ | 1,334,278 | $ | — | $ | 6,498,114 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Liabilities — Derivative Financial Instruments |
||||||||||||||||||||||||||||
Futures contracts |
||||||||||||||||||||||||||||
Unrealized depreciation on futures contracts(a) |
$ | — | $ | — | $ | 108,531 | $ | — | $ | — | $ | — | $ | 108,531 | ||||||||||||||
Forward foreign currency exchange contracts |
||||||||||||||||||||||||||||
Unrealized depreciation on forward foreign currency exchange contracts |
— | — | — | 1,113,355 | — | — | 1,113,355 |
S C H E D U L E O F I N V E S T M E N T S |
61 |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock ESG Capital Allocation Trust (ECAT) |
Derivative Financial Instruments Categorized by Risk Exposure (continued)
Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Currency Exchange Contracts |
Interest Rate Contracts |
Other Contracts |
Total | ||||||||||||||||||||||
Options written |
||||||||||||||||||||||||||||
Options written at value |
$ | — | $ | — | $ | 5,234,883 | $ | — | $ | 1,239,167 | $ | — | $ | 6,474,050 | ||||||||||||||
Swaps — centrally cleared |
||||||||||||||||||||||||||||
Unrealized depreciation on centrally cleared swaps(a) |
— | 816,996 | — | — | — | — | 816,996 | |||||||||||||||||||||
Swaps — OTC |
||||||||||||||||||||||||||||
Unrealized depreciation on OTC swaps; Swap premiums received |
— | — | 377,021 | — | — | — | 377,021 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
$ | — | $ | 816,996 | $ | 5,720,435 | $ | 1,113,355 | $ | 1,239,167 | $ | — | $ | 8,889,953 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(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 |
$ | — | $ | — | $ | (13,784,605 | ) | $ | — | $ | 10,080,701 | $ | — | $ | (3,703,904 | ) | ||||||||||||
Forward foreign currency exchange contracts |
— | — | — | 16,746,469 | — | — | 16,746,469 | |||||||||||||||||||||
Options purchased(a) |
— | — | (2,116,644 | ) | — | (323,472 | ) | — | (2,440,116 | ) | ||||||||||||||||||
Options written |
— | — | 4,507,251 | — | 53,036 | — | 4,560,287 | |||||||||||||||||||||
Swaps |
— | 30,369 | (1,809,312 | ) | — | — | — | (1,778,943 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
$ | — | $ | 30,369 | $ | (13,203,310 | ) | $ | 16,746,469 | $ | 9,810,265 | $ | — | $ | 13,383,793 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on: |
||||||||||||||||||||||||||||
Futures contracts |
$ | — | $ | — | $ | (411,683 | ) | $ | — | $ | 1,206,848 | $ | — | $ | 795,165 | |||||||||||||
Forward foreign currency exchange contracts |
— | — | — | 1,040,672 | — | — | 1,040,672 | |||||||||||||||||||||
Options purchased(b) |
— | — | (1,544,908 | ) | — | — | — | (1,544,908 | ) | |||||||||||||||||||
Options written |
— | — | (1,770,122 | ) | — | 78,242 | — | (1,691,880 | ) | |||||||||||||||||||
Swaps |
— | (816,996 | ) | (31,183 | ) | — | 33,714 | — | (814,465 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
$ | — | $ | (816,996 | ) | $ | (3,757,896 | ) | $ | 1,040,672 | $ | 1,318,804 | $ | — | $ | (2,215,416) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(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 |
$ | 40,277,044 | ||
Average notional value of contracts — short |
$ | 115,802,671 | ||
Forward foreign currency exchange contracts: |
||||
Average amounts purchased — in USD |
$ | 208,340,226 | ||
Average amounts sold — in USD |
$ | 7,868,706 | ||
Options: |
||||
Average value of option contracts purchased |
$ | 2,582,755 | ||
Average value of option contracts written |
$ | 3,952,263 | ||
Average notional value of swaption contracts purchased |
$ | — | (a) | |
Average notional value of swaption contracts written |
$ | 57,549,682 | ||
Credit default swaps: |
||||
Average notional value — sell protection |
$ | 19,381,230 | ||
Interest rate swaps: |
||||
Average notional value — pays fixed rate |
$ | 1,124,794 | ||
Total return swaps: |
||||
Average notional value |
$ | 34,425,852 |
(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.
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 |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock ESG Capital Allocation Trust (ECAT) |
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 |
$ | 12,443,984 | $ | 14,111,441 | ||||
Forward foreign currency exchange contracts |
50,636 | 1,113,355 | ||||||
Options |
4,341,848 | (a) | 6,474,050 | |||||
Swaps — centrally cleared |
— | 198,234 | ||||||
Swaps — OTC(b) |
345,838 | 377,021 | ||||||
|
|
|
|
|||||
Total derivative assets and liabilities in the Statements of Assets and Liabilities |
17,182,306 | 22,274,101 | ||||||
|
|
|
|
|||||
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) |
(16,785,832 | ) | (19,544,558 | ) | ||||
|
|
|
|
|||||
Total derivative assets and liabilities subject to an MNA |
$ | 396,474 | $ | 2,729,543 | ||||
|
|
|
|
(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)(c) | |||||
Bank of America N.A. |
$ | 23,208 | $ | — | $ | — | $ | — | $ | 23,208 | ||||||||||
BNP Paribas S.A. |
276,741 | (276,741 | ) | — | — | — | ||||||||||||||
Citibank N.A. |
11,007 | (11,007 | ) | — | — | — | ||||||||||||||
Deutsche Bank AG |
14,478 | (14,478 | ) | — | — | — | ||||||||||||||
Goldman Sachs International |
15,333 | (15,333 | ) | — | — | — | ||||||||||||||
JPMorgan Chase Bank N.A. |
55,707 | (20,721 | ) | — | — | 34,986 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
$ | 396,474 | $ | (338,280 | ) | $ | — | $ | — | $ | 58,194 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Counterparty | |
Derivative Liabilities Subject to an MNA by |
|
|
Derivatives Available for Offset |
(a) |
|
Non-Cash Collateral Pledged |
|
|
Cash Collateral Pledged |
(d) |
|
Net Amount of Derivative Liabilities |
(b)(e) | |||||
BNP Paribas S.A. |
$ | 354,481 | $ | (276,741 | ) | $ | — | $ | — | $ | 77,740 | |||||||||
BNY Mellon |
254,654 | — | — | — | 254,654 | |||||||||||||||
Citibank N.A. |
43,885 | (11,007 | ) | — | (32,878 | ) | — | |||||||||||||
Deutsche Bank AG |
119,907 | (14,478 | ) | — | — | 105,429 | ||||||||||||||
Goldman Sachs International |
560,253 | (15,333 | ) | — | (544,920 | ) | — | |||||||||||||
JPMorgan Chase Bank N.A. |
20,721 | (20,721 | ) | — | — | — | ||||||||||||||
Morgan Stanley & Co. International PLC |
518,130 | — | — | (518,130 | ) | — | ||||||||||||||
UBS AG |
857,458 | — | — | — | 857,458 | |||||||||||||||
Westpac Banking Corp. |
54 | — | — | — | 54 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
$ | 2,729,543 | $ | (338,280 | ) | $ | — | $ | (1,095,928 | ) | $ | 1,295,335 | |||||||||
|
|
|
|
|
|
|
|
|
|
(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) | Excess of collateral received/pledged, if any, from the individual counterparty is not shown for financial reporting purposes. |
(e) | 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. |
S C H E D U L E O F I N V E S T M E N T S |
63 |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock ESG Capital Allocation Trust (ECAT) |
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 |
$ | — | $ | 65,730,608 | $ | — | $ | 65,730,608 | ||||||||
Common Stocks |
||||||||||||||||
Brazil |
503,180 | — | — | 503,180 | ||||||||||||
Cayman Islands |
— | — | 669,165 | 669,165 | ||||||||||||
China |
— | 11,185,878 | — | 11,185,878 | ||||||||||||
Finland |
— | 22,801,783 | — | 22,801,783 | ||||||||||||
France |
— | 70,027,814 | — | 70,027,814 | ||||||||||||
Germany |
— | 41,325,351 | — | 41,325,351 | ||||||||||||
Ireland |
5,049,211 | — | — | 5,049,211 | ||||||||||||
Italy |
3,647,468 | — | — | 3,647,468 | ||||||||||||
Netherlands |
— | 19,970,891 | — | 19,970,891 | ||||||||||||
South Korea |
— | 19,898,286 | — | 19,898,286 | ||||||||||||
Sweden |
— | 4,766,725 | — | 4,766,725 | ||||||||||||
Switzerland |
6,463,920 | — | — | 6,463,920 | ||||||||||||
Taiwan |
16,655,173 | — | — | 16,655,173 | ||||||||||||
United Kingdom |
3,755,717 | 18,004,870 | — | 21,760,587 | ||||||||||||
United States |
615,564,775 | — | 5,218,008 | 620,782,783 | ||||||||||||
Corporate Bonds |
— | 301,394,536 | 9,355,476 | 310,750,012 | ||||||||||||
Floating Rate Loan Interests |
— | 17,177,226 | 28,423,622 | 45,600,848 | ||||||||||||
Investment Companies |
73,503,057 | — | — | 73,503,057 | ||||||||||||
Municipal Bonds |
— | 2,552,266 | — | 2,552,266 | ||||||||||||
Non-Agency Mortgage-Backed Securities |
— | 54,848,942 | — | 54,848,942 | ||||||||||||
Preferred Securities |
||||||||||||||||
Capital Trust |
— | 1,016,400 | — | 1,016,400 | ||||||||||||
Preferred Stocks |
— | — | 6,406,557 | 6,406,557 | ||||||||||||
Warrants |
43,367 | — | 5,831 | 49,198 | ||||||||||||
Short-Term Securities |
||||||||||||||||
Money Market Funds |
319,500,346 | — | — | 319,500,346 | ||||||||||||
Options Purchased |
||||||||||||||||
Equity Contracts |
4,341,848 | — | — | 4,341,848 | ||||||||||||
Liabilities |
||||||||||||||||
Investments |
||||||||||||||||
Investments Sold Short |
||||||||||||||||
Common Stocks |
(53,865 | ) | — | — | (53,865 | ) | ||||||||||
Unfunded Floating Rate Loan Interests(a) |
— | (14,363 | ) | (2,405 | ) | (16,768 | ) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
$ | 1,048,974,197 | $ | 650,687,213 | $ | 50,076,254 |
|
1,749,737,664 |
| ||||||||
|
|
|
|
|
|
|
|
|||||||||
Investments Valued at NAV(b) |
|
8,270,062 |
| |||||||||||||
|
|
|||||||||||||||
$ |
1,758,007,726 |
| ||||||||||||||
|
|
|||||||||||||||
Derivative Financial Instruments(c) |
||||||||||||||||
Assets |
||||||||||||||||
Equity Contracts |
$ | 425,514 | $ | 345,838 | $ | — | $ | 771,352 | ||||||||
Foreign Currency Exchange Contracts |
— | 50,636 | — | 50,636 | ||||||||||||
Interest Rate Contracts |
1,300,564 | 33,714 | — | 1,334,278 | ||||||||||||
Liabilities |
||||||||||||||||
Credit Contracts |
— | (816,996 | ) | — | (816,996 | ) | ||||||||||
Equity Contracts |
(5,343,414 | ) | (377,021 | ) | — | (5,720,435 | ) |
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 |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock ESG Capital Allocation Trust (ECAT) |
Fair Value Hierarchy as of Period End (continued)
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Derivative Financial Instruments(c) |
||||||||||||||||
Foreign Currency Exchange Contracts |
$ | — | $ | (1,113,355 | ) | $ | — | $ | (1,113,355 | ) | ||||||
Interest Rate Contracts |
— | (1,239,167 | ) | — | (1,239,167 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
$ | (3,617,336 | ) | $ | (3,116,351 | ) | $ | — | $ | (6,733,687 | ) | ||||||
|
|
|
|
|
|
|
|
(a) | Unfunded floating rate loan interests are valued at the unrealized appreciation (depreciation) on the commitment. |
(b) | Certain investments of the Trust were fair valued using NAV per share as no quoted market value is available and therefore have been excluded from the fair value hierarchy. |
(c) | Derivative financial instruments are swaps, futures contracts, forward foreign currency exchange contracts and options written. Swaps, futures contracts and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument and options written are shown at value. |
A reconciliation of Level 3 financial instruments is presented when the Trust had a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:
Asset-Backed Securities |
Common Stocks |
Corporate Bonds |
Floating Rate Loan Interests |
Preferred Stocks |
Unfunded Floating Rate Loan Interests |
Unfunded SPAC PIPE Commitments |
Warrents | Total | ||||||||||||||||||||||||||||
Assets |
||||||||||||||||||||||||||||||||||||
Opening balance, as of December 31, 2021 |
$ | 550,000 | $ | 1,099,494 | $ | 3,056,625 | $ | 16,214,511 | $ | 2,674,909 | $ | — | $ | —(a | ) | $ | 61,805 | $ | 23,657,344 | |||||||||||||||||
Transfers into Level 3 |
— | — | — | 4,013,875 | — | — | — | — | 4,013,875 | |||||||||||||||||||||||||||
Transfers out of Level 3 |
(550,000 | ) | — | — | (4,485,690 | ) | — | — | — | — | (5,035,690 | ) | ||||||||||||||||||||||||
Accrued discounts/premiums |
— | — | 19,768 | 28,336 | — | — | — | — | 48,104 | |||||||||||||||||||||||||||
Net realized gain (loss) |
— | — | — | 719 | — | — | — | — | 719 | |||||||||||||||||||||||||||
Net change in unrealized appreciation (depreciation)(b)(c) |
— | (533,917 | ) | 132,228 | (807,297 | ) | (921,074 | ) | (2,405 | ) | — | (55,974 | ) | (2,188,439 | ) | |||||||||||||||||||||
Purchases |
— | 5,321,596 | 6,146,855 | 13,503,946 | 4,652,722 | — | — | — | 29,625,119 | |||||||||||||||||||||||||||
Sales |
— | — | — | (44,778 | ) | — | — | — | — | (44,778 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Closing balance, as of June 30, 2022 |
$ | — | $ | 5,887,173 | $ | 9,355,476 | $ | 28,423,622 | $ | 6,406,557 | $ | (2,405 | ) | $ | — | $ | 5,831 | $ | 50,076,254 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Net change in unrealized appreciation (depreciation) on investments still held at June 30, 2022(b) |
$ | — | $ | (533,916 | ) | $ | 132,228 | $ | (807,297 | ) | $ | (921,074 | ) | $ | (2,405 | ) | $ | — | $ | (55,974 | ) | $ | (2,188,438 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) | Rounds to less than $1. |
(b) | Included in the related net change in unrealized appreciation (depreciation) in the Statements of Operations. |
(c) | 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 $12,405,436. 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 |
||||||||||||||||||||
Common Stocks |
$ | 5,536,593 | Market | Revenue Multiple | 11.00x - 13.00x | 11.47x | ||||||||||||||
Volatility | 50% | — | ||||||||||||||||||
Time to Exit | 1.9 years | — | ||||||||||||||||||
Corporate Bonds |
9,355,476 | Income | Discount Rate | 12% - 35% | 23% | |||||||||||||||
Floating Rate Loan Interests |
16,366,361 | Income | Discount Rate | 9% - 14% | 11% | |||||||||||||||
Preferred Stocks |
6,406,557 | Market | Revenue Multiple | 0.10x - 4.75x | 2.91x | |||||||||||||||
Time to Exit | 2.5 years | — | ||||||||||||||||||
Volatility | 75% | — | ||||||||||||||||||
Warrants |
5,831 | Market | Time to Exit | 1 year | — | |||||||||||||||
Volatility | 48% - 48% | 48% | ||||||||||||||||||
|
|
|||||||||||||||||||
$ | 37,670,818 | |||||||||||||||||||
|
|
(a) | A significant change in unobservable input would have resulted in a correlated (inverse) significant change to value. |
S C H E D U L E O F I N V E S T M E N T S |
65 |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock ESG Capital Allocation Trust (ECAT) |
The Trust valued certain of its Level 3 investments using recent prior transaction prices as the best approximation of fair value. The value of Level 3 investments obtained using recent prior transaction process, for which inputs are unobservable, is $1,985,599 as of June 30, 2022.
See notes to financial statements.
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 |
Statements of Assets and Liabilities (unaudited)
June 30, 2022
BCAT(a) | ECAT | |||||||
ASSETS |
||||||||
Investments, at value — unaffiliated(b)(c) |
$ | 1,878,559,900 | $ | 1,421,624,695 | ||||
Investments, at value — affiliated(d) |
52,199,736 | 336,453,664 | ||||||
Cash |
167,354 | 3,052,609 | ||||||
Cash pledged: |
||||||||
Collateral — OTC derivatives |
— | 1,550,000 | ||||||
Futures contracts |
12,954,000 | 6,214,000 | ||||||
Centrally cleared swaps |
14,314,000 | 4,043,000 | ||||||
Receivables: |
||||||||
Investments sold |
71,792,020 | 23,139,026 | ||||||
Options written |
258,404 | 8,208 | ||||||
Securities lending income — affiliated |
— | 15,863 | ||||||
Swaps |
187,631 | 1,095 | ||||||
Dividends — unaffiliated |
900,771 | 960,731 | ||||||
Dividends — affiliated |
43,950 | 294,777 | ||||||
Interest — unaffiliated |
12,049,734 | 4,378,996 | ||||||
Principal paydowns |
519 | — | ||||||
Variation margin on futures contracts |
3,592,242 | 12,443,984 | ||||||
Unrealized appreciation on: |
||||||||
Forward foreign currency exchange contracts |
9,239,551 | 50,636 | ||||||
OTC swaps |
721,700 | 345,838 | ||||||
Prepaid expenses |
20,880 | 7,849 | ||||||
|
|
|
|
|||||
Total assets |
2,057,002,392 | 1,814,584,971 | ||||||
|
|
|
|
|||||
LIABILITIES |
||||||||
Investments sold short, at value(e) |
— | 53,865 | ||||||
Foreign bank overdraft(f) |
15,168 | 2,736,040 | ||||||
Cash received: |
||||||||
Collateral — reverse repurchase agreements |
283,001 | — | ||||||
Collateral — OTC derivatives |
7,270,000 | — | ||||||
Collateral on securities loaned |
— | 8,274,915 | ||||||
Options written, at value(g) |
12,541,371 | 6,474,050 | ||||||
Reverse repurchase agreements, at value |
1,083,651 | — | ||||||
Payables: |
||||||||
Investments purchased |
9,988,475 | 8,614,858 | ||||||
Swaps |
282,867 | 51,811 | ||||||
Accounting services fees |
190,205 | 191,220 | ||||||
Bank borrowings |
101,000,000 | — | ||||||
Capital shares redeemed |
2,795,681 | 2,215,309 | ||||||
Custodian fees |
206,236 | 53,248 | ||||||
Deferred foreign capital gain tax |
417,147 | — | ||||||
Income dividend distributions |
2,080,721 | 1,155,733 | ||||||
Interest expense |
253,871 | — | ||||||
Investment advisory fees |
2,129,723 | 1,845,013 | ||||||
Trustees’ and Officer’s fees |
35,892 | 27,285 | ||||||
Options written |
145,109 | 1,387 | ||||||
Other accrued expenses |
67,020 | 23,749 | ||||||
Professional fees |
140,265 | 143,366 | ||||||
Transfer agent fees |
41,138 | 43,251 | ||||||
Variation margin on futures contracts |
2,754,611 | 14,111,441 | ||||||
Variation margin on centrally cleared swaps |
449,450 | 198,234 | ||||||
Swap premiums received |
1,049,663 | — | ||||||
Unrealized depreciation on: |
||||||||
Forward foreign currency exchange contracts |
2,194,066 | 1,113,355 | ||||||
OTC swaps |
468,288 | 377,021 | ||||||
Unfunded floating rate loan interests |
10,619 | 16,768 | ||||||
|
|
|
|
|||||
Total liabilities |
147,894,238 | 47,721,919 | ||||||
|
|
|
|
|||||
NET ASSETS |
$ | 1,909,108,154 | $ | 1,766,863,052 | ||||
|
|
|
|
F I N A N C I A L S T A T E M E N T S |
67 |
Statements of Assets and Liabilities (unaudited) (continued)
June 30, 2022
BCAT(a) | ECAT | |||||||
NET ASSETS CONSIST OF |
||||||||
Paid-in capital(h)(i)(j) |
$ | 2,165,436,604 | $ | 2,095,213,194 | ||||
Accumulated loss |
(256,328,450 | ) | (328,350,142 | ) | ||||
|
|
|
|
|||||
NET ASSETS |
$ | 1,909,108,154 | $ | 1,766,863,052 | ||||
|
|
|
|
|||||
Net asset value |
$ | 17.27 | $ | 16.92 | ||||
|
|
|
|
|||||
(a) Consolidated Statement of Assets and Liabilities. |
||||||||
(b) Investments, at cost — unaffiliated |
$ | 2,094,240,184 | $ | 1,677,575,755 | ||||
(c) Securities loaned, at value |
$ | — | $ | 7,986,380 | ||||
(d) Investments, at cost — affiliated |
$ | 53,179,365 | $ | 337,421,700 | ||||
(e) Proceeds received from investments sold short |
$ | — | $ | 55,311 | ||||
(f) Foreign bank overdraft, at cost |
$ | 77,324 | $ | 2,729,459 | ||||
(g) Premiums received |
$ | 10,752,959 | $ | 5,212,975 | ||||
(h) Shares outstanding |
110,554,805 | 104,426,928 | ||||||
(i) Shares authorized |
Unlimited | Unlimited | ||||||
(j) Par value |
$ | 0.001 | $ | 0.001 |
See notes to financial statements.
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 |
Statements of Operations (unaudited)
Six Months Ended June 30, 2022
BCAT(a) | ECAT | |||||||
INVESTMENT INCOME |
||||||||
Dividends — unaffiliated |
$ | 11,467,349 | $ | 10,771,853 | ||||
Dividends — affiliated |
226,062 | 772,849 | ||||||
Interest — unaffiliated |
35,717,007 | 8,688,415 | ||||||
Securities lending income — affiliated — net |
— | 60,656 | ||||||
Other income — unaffiliated |
223,655 | 181,568 | ||||||
Foreign taxes withheld |
(733,838 | ) | (1,046,910 | ) | ||||
|
|
|
|
|||||
Total investment income |
46,900,235 | 19,428,431 | ||||||
|
|
|
|
|||||
EXPENSES |
||||||||
Investment advisory |
15,121,242 | 12,117,701 | ||||||
Commitment costs |
298,382 | — | ||||||
Accounting services |
154,335 | 167,786 | ||||||
Custodian |
142,321 | 23,107 | ||||||
Trustees and Officer |
56,513 | 57,557 | ||||||
Transfer agent |
51,320 | 46,813 | ||||||
Registration |
36,984 | — | ||||||
Miscellaneous |
373,941 | 138,824 | ||||||
|
|
|
|
|||||
Total expenses excluding interest expense |
16,235,038 | 12,551,788 | ||||||
Interest expense |
1,412,389 | — | ||||||
|
|
|
|
|||||
Total expenses |
17,647,427 | 12,551,788 | ||||||
Less: |
||||||||
Fees waived and/or reimbursed by the Manager |
(62,029 | ) | (184,289 | ) | ||||
|
|
|
|
|||||
Total expenses after fees waived and/or reimbursed |
17,585,398 | 12,367,499 | ||||||
|
|
|
|
|||||
Net investment income |
29,314,837 | 7,060,932 | ||||||
|
|
|
|
|||||
REALIZED AND UNREALIZED GAIN (LOSS) |
||||||||
Net realized gain (loss) from: |
||||||||
Investments — unaffiliated |
(84,610,073 | ) | (32,856,326 | ) | ||||
Investments — affiliated |
(83,420 | ) | 164,840 | |||||
Forward foreign currency exchange contracts |
21,048,590 | 16,746,469 | ||||||
Foreign currency transactions |
2,327,623 | (55,607 | ) | |||||
Futures contracts |
47,082,709 | (3,703,904 | ) | |||||
Options written |
5,417,655 | 4,560,287 | ||||||
Short sales — unaffiliated |
— | (2,107 | ) | |||||
Swaps |
6,127,500 | (1,778,943 | ) | |||||
|
|
|
|
|||||
(2,689,416 | ) | (16,925,291 | ) | |||||
|
|
|
|
|||||
Net change in unrealized appreciation (depreciation) on: |
||||||||
Investments — unaffiliated(b) |
(369,836,305 | ) | (327,003,026 | ) | ||||
Investments — affiliated |
(856,658 | ) | (968,036 | ) | ||||
Forward foreign currency exchange contracts |
9,029,801 | 1,040,672 | ||||||
Foreign currency translations |
(67,036 | ) | (10,393 | ) | ||||
Futures contracts |
2,943,719 | 795,165 | ||||||
Options written |
(4,161,929 | ) | (1,691,880 | ) | ||||
Short sales — unaffiliated |
— | 1,446 | ||||||
Swaps |
(1,329,043 | ) | (814,465 | ) | ||||
Unfunded floating rate loan interests |
(10,101 | ) | (16,768 | ) | ||||
Unfunded SPAC PIPE commitments |
(227,689 | ) | — | |||||
|
|
|
|
|||||
(364,515,241 | ) | (328,667,285 | ) | |||||
|
|
|
|
|||||
Net realized and unrealized loss |
(367,204,657 | ) | (345,592,576 | ) | ||||
|
|
|
|
|||||
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS |
$ | (337,889,820 | ) | $ | (338,531,644 | ) | ||
|
|
|
|
|||||
(a) Consolidated Statement of Operations. |
||||||||
(b) Net of increase in deferred foreign capital gain tax of |
$ | (417,147 | ) | $ | — |
See notes to financial statements.
F I N A N C I A L S T A T E M E N T S |
69 |
Statements of Changes in Net Assets
BCAT | ECAT | |||||||||||||||
|
Six Months Ended |
|
|
Year Ended 12/31/21 |
(a) |
|
Six Months Ended (unaudited |
) |
|
Period from 09/27/21 to 12/31/21 |
(b)
| |||||
|
||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS |
||||||||||||||||
OPERATIONS |
||||||||||||||||
Net investment income (loss) |
$ | 29,314,837 | $ | 59,797,037 | $ | 7,060,932 | $ | (4,236,917 | ) | |||||||
Net realized gain (loss) |
(2,689,416 | ) | 25,010,819 | (16,925,291 | ) | 18,030,217 | ||||||||||
Net change in unrealized appreciation (depreciation) |
(364,515,241 | ) | 36,481,238 | (328,667,285 | ) | 70,201,810 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) in net assets resulting from operations |
(337,889,820 | ) | 121,289,094 | (338,531,644 | ) | 83,995,110 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
DISTRIBUTIONS TO SHAREHOLDERS(c) |
||||||||||||||||
From net investment income and net realized gain |
(69,619,147 | )(d) | (86,919,506 | ) | (63,242,823 | )(d) | (10,570,785 | ) | ||||||||
Return of capital |
— | (53,256,836 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Decrease in net assets resulting from distributions to shareholders |
(69,619,147 | ) | (140,176,342 | ) | (63,242,823 | ) | (10,570,785 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
CAPITAL SHARE TRANSACTIONS |
||||||||||||||||
Net proceeds from the issuance of shares |
— | — | — | 2,114,057,040 | ||||||||||||
Reinvestment of distributions |
— | 16,909,374 | — | — | ||||||||||||
Redemption of shares resulting from share repurchase program (including transaction costs) |
(16,365,874 | ) | (16,734,011 | ) | (18,943,846 | ) | — | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) in net assets derived from capital share transactions |
(16,365,874 | ) | 175,363 | (18,943,846 | ) | 2,114,057,040 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
NET ASSETS |
||||||||||||||||
Total increase (decrease) in net assets |
(423,874,841 | ) | (18,711,885 | ) | (420,718,313 | ) | 2,187,481,365 | |||||||||
Beginning of period |
2,332,982,995 | 2,351,694,880 | 2,187,581,365 | 100,000 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
End of period |
$ | 1,909,108,154 | $ | 2,332,982,995 | $ | 1,766,863,052 | $ | 2,187,581,365 | ||||||||
|
|
|
|
|
|
|
|
(a) | Consolidated Statement of Changes in Net Assets. |
(b) | Commencement of operations. |
(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. |
See notes to financial statements.
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 |
Statements of Cash Flows (unaudited)
Six Months Ended June 30, 2022
BCAT(a) | ECAT | |||||||
CASH PROVIDED BY (USED FOR) OPERATING ACTIVITIES |
||||||||
Net decrease in net assets resulting from operations |
$ | (337,889,820 | ) | $ | (338,531,644 | ) | ||
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 |
1,359,198,099 | 266,975,804 | ||||||
Purchases of long-term investments |
(823,758,978 | ) | (686,510,893 | ) | ||||
Net proceeds from sales (purchases) of short-term securities |
(4,392,775 | ) | 472,466,849 | |||||
Amortization of premium and accretion of discount on investments and other fees |
(1,030,118 | ) | 226,495 | |||||
Premiums paid on closing options written |
(15,024,157 | ) | (1,367,204 | ) | ||||
Premiums received from options written |
28,887,884 | 11,521,564 | ||||||
Net realized loss on investments, options written and short sales |
79,549,546 | 28,133,306 | ||||||
Net unrealized depreciation on investments, options written, swaps, foreign currency translations, short sales, unfunded floating rate loan interests and unfunded SPAC PIPE commitments |
366,532,047 | 328,668,775 | ||||||
(Increase) Decrease in Assets |
||||||||
Receivables |
||||||||
Dividends — affiliated |
(43,808 | ) | (291,024 | ) | ||||
Dividends — unaffiliated |
66,683 | (351,042 | ) | |||||
Interest — unaffiliated |
2,177,666 | (3,278,132 | ) | |||||
Securities lending income — affiliated |
— | (15,863 | ) | |||||
Swaps |
(106,036 | ) | (1,095 | ) | ||||
Variation margin on futures contracts |
(2,642,289 | ) | (12,414,960 | ) | ||||
Prepaid expenses |
35,904 | 8,590 | ||||||
Increase (Decrease) in Liabilities |
||||||||
Cash received |
||||||||
Collateral — reverse repurchase agreements |
(371,972 | ) | — | |||||
Collateral — OTC derivatives |
6,430,000 | — | ||||||
Collateral on securities loaned |
— | 8,274,915 | ||||||
Payables |
||||||||
Swaps |
244,372 | 51,811 | ||||||
Accounting services fees |
103,138 | 147,231 | ||||||
Custodian fees |
95,068 | 14,217 | ||||||
Deferred foreign capital gain tax |
417,147 | — | ||||||
Interest expense |
(322,376 | ) | — | |||||
Investment advisory fees |
(1,054,785 | ) | (458,838 | ) | ||||
Trustees’ and Officer’s fees |
24,881 | 27,285 | ||||||
Other accrued expenses |
2,526 | 12,389 | ||||||
Professional fees |
105,616 | 24,330 | ||||||
Transfer agent fees |
26,656 | 27,009 | ||||||
Variation margin on futures contracts |
2,585,834 | 13,719,251 | ||||||
Variation margin on centrally cleared swaps |
274,224 | 198,234 | ||||||
Swap premiums received |
(417,962 | ) | — | |||||
|
|
|
|
|||||
Net cash provided by operating activities |
659,702,215 | 87,277,360 | ||||||
|
|
|
|
|||||
CASH PROVIDED BY (USED FOR) FINANCING ACTIVITIES |
||||||||
Cash dividends paid to shareholders |
(69,869,225 | ) | (63,312,988 | ) | ||||
Payments for bank borrowings |
(340,000,000 | ) | — | |||||
Net payments on redemption of capital shares including change in redemptions payable. |
(17,216,901 | ) | (16,728,537 | ) | ||||
Increase (decrease) in bank overdraft |
(1,500,877 | ) | 2,730,065 | |||||
Net borrowing of reverse repurchase agreements |
(246,434,879 | ) | — | |||||
|
|
|
|
|||||
Net cash used for financing activities |
(675,021,882 | ) | (77,311,460 | ) | ||||
|
|
|
|
|||||
CASH IMPACT FROM FOREIGN EXCHANGE FLUCTUATIONS |
||||||||
Cash impact from foreign exchange fluctuations |
(19,014 | ) | (6,581 | ) | ||||
|
|
|
|
|||||
CASH AND FOREIGN CURRENCY |
||||||||
Net increase (decrease) in restricted and unrestricted cash and foreign currency |
(15,338,681 | ) | 9,959,319 | |||||
Restricted and unrestricted cash and foreign currency at beginning of period |
42,774,035 | 4,900,290 | ||||||
|
|
|
|
|||||
Restricted and unrestricted cash and foreign currency at end of period |
$ | 27,435,354 | $ | 14,859,609 | ||||
|
|
|
|
|||||
SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION |
||||||||
Cash paid during the period for interest expense. |
$ | 1,734,765 | $ | — | ||||
|
|
|
|
F I N A N C I A L S T A T E M E N T S |
71 |
Statements of Cash Flows (unaudited) (continued)
Six Months Ended June 30, 2022
BCAT(a) | ECAT | |||||||
RECONCILIATION OF RESTRICTED AND UNRESTRICTED CASH AT THE END OF PERIOD TO THE STATEMENTS OF ASSETS AND LIABILITIES |
||||||||
Cash |
$ | 167,354 | $ | 3,052,609 | ||||
Cash pledged |
||||||||
Collateral — OTC derivatives |
— | 1,550,000 | ||||||
Futures contracts |
12,954,000 | 6,214,000 | ||||||
Centrally cleared swaps |
14,314,000 | 4,043,000 | ||||||
|
|
|
|
|||||
$ | 27,435,354 | $ | 14,859,609 | |||||
|
|
|
|
(a) | Consolidated Statement of Cash Flows. |
See notes to financial statements.
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 |
(For a share outstanding throughout each period)
BCAT | ||||||||||||||||
|
Six Months Ended 06/30/22 (unaudited)(a) |
|
|
Year Ended 12/31/21 |
(a) |
|
Period from 09/28/20 to 12/31/20 |
(b)
| ||||||||
|
||||||||||||||||
Net asset value, beginning of period |
$ | 20.90 | $ | 21.05 | $ | 20.00 | ||||||||||
|
|
|
|
|
|
|||||||||||
Net investment income(c) |
0.26 | 0.53 | 0.04 | |||||||||||||
Net realized and unrealized gain (loss) |
(3.27 | ) | 0.57 | 1.11 | ||||||||||||
|
|
|
|
|
|
|||||||||||
Net increase (decrease) from investment operations |
(3.01 | ) | 1.10 | 1.15 | ||||||||||||
|
|
|
|
|
|
|||||||||||
Distributions(d) |
||||||||||||||||
From net investment income |
(0.62 | )(e) | (0.75 | ) | (0.03 | ) | ||||||||||
From net realized gain |
— | (0.03 | ) | (0.07 | ) | |||||||||||
Return of capital |
— | (0.47 | ) | — | ||||||||||||
|
|
|
|
|
|
|||||||||||
Total distributions |
(0.62 | ) | (1.25 | ) | (0.10 | ) | ||||||||||
|
|
|
|
|
|
|||||||||||
Net asset value, end of period |
$ | 17.27 | $ | 20.90 | $ | 21.05 | ||||||||||
|
|
|
|
|
|
|||||||||||
Market price, end of period |
$ | 14.65 | $ | 19.45 | $ | 21.77 | ||||||||||
|
|
|
|
|
|
|||||||||||
Total Return(f) |
||||||||||||||||
Based on net asset value |
(14.15 | )%(g) | 5.44 | % | 5.77 | %(g) | ||||||||||
|
|
|
|
|
|
|||||||||||
Based on market price |
(21.75 | )%(g) | (5.12 | )% | 9.39 | %(g) | ||||||||||
|
|
|
|
|
|
|||||||||||
Ratios to Average Net Assets(h) |
||||||||||||||||
Total expenses |
1.68 | %(i) | 1.61 | % | 1.30 | %(i) | ||||||||||
|
|
|
|
|
|
|||||||||||
Total expenses after fees waived and/or reimbursed |
1.67 | %(i) | 1.60 | % | 1.26 | %(i) | ||||||||||
|
|
|
|
|
|
|||||||||||
Total expenses after fees waived and/or reimbursed and excluding interest expense, fees and amortization of offering costs |
1.54 | %(i) | 1.51 | % | 1.26 | %(i) | ||||||||||
|
|
|
|
|
|
|||||||||||
Net investment income |
2.79 | %(i) | 2.49 | % | 0.84 | %(i) | ||||||||||
|
|
|
|
|
|
|||||||||||
Supplemental Data |
||||||||||||||||
Net assets, end of period (000) |
$ | 1,909,108 | $ | 2,332,983 | $ | 2,351,695 | ||||||||||
|
|
|
|
|
|
|||||||||||
Borrowings outstanding, end of period (000) |
$ | 102,084 | $ | 687,791 | $ | — | ||||||||||
|
|
|
|
|
|
|||||||||||
Asset coverage, end of period per $1,000 of bank borrowings |
$ | 19,902 | $ | 6,290 | $ | — | ||||||||||
|
|
|
|
|
|
|||||||||||
Portfolio turnover rate(j) |
31 | % | 90 | % | 13 | % | ||||||||||
|
|
|
|
|
|
(a) | Consolidated Financial Highlights. |
(b) | Commencement of operations. |
(c) | Based on average shares outstanding. |
(d) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
(e) | A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year-end. |
(f) | Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices. |
(g) | Aggregate total return. |
(h) | Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. |
(i) | Annualized. |
(j) | Includes mortgage dollar roll transactions (“MDRs”). Additional information regarding portfolio turnover rate is as follows: |
|
Six Months Ended 06/30/22 (unaudited) |
|
|
Year Ended 12/31/21 |
(a) |
|
Period from 09/28/20 to 12/31/20 |
(b)
| ||||||||
Portfolio turnover rate (excluding MDRs) |
31 | % | 86 | % | 13 | % | ||||||||||
|
|
|
|
|
|
See notes to financial statements.
F I N A N C I A L H I G H L I G H T S |
73 |
Financial Highlights (continued)
(For a share outstanding throughout each period)
ECAT | ||||||||||||
|
Six Months Ended 06/30/22 (unaudited) |
|
|
Period from 09/27/21 to 12/31/21 |
(a)
| |||||||
Net asset value, beginning of period |
$ | 20.69 | $ | 20.00 | ||||||||
|
|
|
|
|||||||||
Net investment income (loss)(b) |
0.07 | (0.04 | ) | |||||||||
Net realized and unrealized gain (loss) |
(3.24 | ) | 0.83 | |||||||||
|
|
|
|
|||||||||
Net increase (decrease) from investment operations |
(3.17 | ) | 0.79 | |||||||||
|
|
|
|
|||||||||
Distributions(c) |
||||||||||||
From net investment income |
(0.60 | )(d) | (0.05 | ) | ||||||||
From net realized gain |
— | (0.05 | ) | |||||||||
|
|
|
|
|||||||||
Total distributions |
(0.60 | ) | (0.10 | ) | ||||||||
|
|
|
|
|||||||||
Net asset value, end of period |
$ | 16.92 | $ | 20.69 | ||||||||
|
|
|
|
|||||||||
Market price, end of period |
$ | 14.31 | $ | 18.65 | ||||||||
|
|
|
|
|||||||||
Total Return(e) |
||||||||||||
Based on net asset value |
(15.02 | )%(f) | 4.00 | %(f) | ||||||||
|
|
|
|
|||||||||
Based on market price |
(20.27 | )%(f) | (6.25 | )%(f) | ||||||||
|
|
|
|
|||||||||
Ratios to Average Net Assets(g) |
||||||||||||
Total expenses |
1.29 | %(h) | 1.30 | %(h) | ||||||||
|
|
|
|
|||||||||
Total expenses after fees waived and/or reimbursed |
1.28 | %(h) | 1.30 | %(h) | ||||||||
|
|
|
|
|||||||||
Net investment income (loss) |
0.73 | %(h) | (0.77 | )%(h) | ||||||||
|
|
|
|
|||||||||
Supplemental Data |
||||||||||||
Net assets, end of period (000) |
$ | 1,766,863 | $ | 2,187,581 | ||||||||
|
|
|
|
|||||||||
Portfolio turnover rate |
20 | % | 15 | % | ||||||||
|
|
|
|
(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) | Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices. |
(f) | Aggregate total return. |
(g) | Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. |
(h) | Annualized. |
See notes to financial statements.
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 |
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 Capital Allocation Trust |
BCAT | Maryland | Non-diversified | |||||||||
BlackRock ESG Capital Allocation Trust |
ECAT | Maryland | Non-diversified |
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.
Basis of Consolidation: The accompanying consolidated financial statements of BCAT include the account of Cayman Capital Allocation Fund, Ltd. (the “Subsidiary”), which is a wholly-owned subsidiary of BCAT and primarily invests in commodity-related instruments and other derivatives. The Subsidiary enables BCAT to hold these commodity-related instruments and satisfy regulated investment company tax requirements. BCAT may invest up to 25% of its total assets in the Subsidiary. The net assets of the Subsidiary as of period end were $5,325,566, which is 0.3% of BCAT’s consolidated net assets. Intercompany accounts and transactions, if any, have been eliminated. The Subsidiary is subject to the same investment policies and restrictions that apply to BCAT, except that the Subsidiary may invest without limitation in commodity-related instruments.
2. | SIGNIFICANT ACCOUNTING POLICIES |
The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. Each Trust is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:
Investment Transactions and Income Recognition: For financial reporting purposes, investment transactions are recorded on the dates the transactions are 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. Income, expenses and realized and unrealized gains and losses are allocated daily to each class based on its relative net assets. For convertible securities, premiums attributable to the debt instrument are amortized, but premiums attributable to the conversion feature are not amortized.
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., dollar rolls, 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
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 |
75 |
Notes to Financial Statements (unaudited) (continued)
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 paid by the Trusts are recorded on the ex-dividend dates. Subject to the Trusts’ managed distribution plan, the Trusts intend to make monthly cash distributions to shareholders, which may consist of net investment income, and net realized and unrealized gains on investments and/or return of capital.
The character of distributions is determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP. The portion of distributions that exceeds a Trust’s current and accumulated earnings and profits, which are measured on a tax basis, will constitute a non-taxable return of capital.
Net income and realized gains from investments held by BCAT’s Subsidiary are treated as ordinary income for tax purposes. If a net loss is realized by BCAT’s Subsidiary in any taxable year, the loss will generally not be available to offset BCAT’s ordinary income and/or capital gains for that year.
Deferred Compensation Plan: Under the Deferred Compensation Plan (the “Plan”) approved by each Trust’s Board, the 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. |
• | 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. |
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 |
Notes to Financial Statements (unaudited) (continued)
• | 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. Over-the-counter (“OTC”) options and options on swaps (“swaptions”) are valued by an independent pricing service using a mathematical model, which incorporates a number of market data factors, such as the trades and prices of the underlying instruments. |
• | 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. |
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 |
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 |
77 |
Notes to Financial Statements (unaudited) (continued)
• | 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.
As of June 30, 2022, certain investments of the Trusts were fair valued using NAV per share as no quoted market value is available and therefore have been excluded from the fair value hierarchy.
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.
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 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.
Warrants: Warrants entitle a fund to purchase a specified number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date of the warrants, if any. If the price of the underlying stock does not rise above the strike price before the warrant expires, the warrant generally expires without any value and a fund will lose any amount it paid for the warrant. Thus, investments in warrants may involve more risk than investments in common stock. Warrants may trade in the same markets as their underlying stock; however, the price of the warrant does not necessarily move with the price of the underlying stock.
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
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 |
Notes to Financial Statements (unaudited) (continued)
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.
In connection with floating rate loan interests, the Trusts may also enter into unfunded floating rate loan interests (“commitments”). In connection with these commitments, a fund earns a commitment fee, typically set as a percentage of the commitment amount. Such fee income, which is included in interest income in the Statements of Operations, is recognized ratably over the commitment period. Unfunded floating rate loan interests are marked-to-market daily, and any unrealized appreciation (depreciation) is included in the Statements of Assets and Liabilities and Statements of Operations. As of period end, the Trusts had the following unfunded floating rate loan interests:
Trust Name | Borrower | Par | Commitment Amount |
Value | Unrealized Appreciation (Depreciation) |
|||||||||||||
BCAT |
CP Iris Holdco I, Inc. | $ | 126,794 | $ | 126,794 | $ | 116,175 | $ | (10,619) | |||||||||
Opendoor Mezz Commitment | 3,336,739 | 3,336,739 | 3,336,739 | — | ||||||||||||||
ECAT |
CP Iris Holdco I, Inc. | 166,667 | 167,072 | 152,709 | (14,363) | |||||||||||||
Vaca Morada Partners LP | 962,030 | 962,030 | 959,625 | (2,405) |
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.
Mortgage Dollar Roll Transactions: The Trusts may sell TBA mortgage-backed securities and simultaneously contract to repurchase substantially similar (i.e., same type, coupon and maturity) securities on a specific future date at an agreed upon price. During the period between the sale and repurchase, a fund is not entitled to receive interest and principal payments on the securities sold. Mortgage dollar roll transactions are treated as purchases and sales and a fund realizes gains and losses on these transactions. Mortgage dollar rolls involve the risk that the market value of the securities that a fund is required to purchase may decline below the agreed upon repurchase price of those securities.
Commitments: Commitments are agreements to acquire an investment at a future date (subject to conditions) in connection with a potential public or non-public offering. Such agreements may obligate a fund to make future cash payments. As of June 30, 2022, BCAT and ECAT had outstanding commitments of $4,171,000 and $3,783,000, respectively. These commitments are not included in the net assets of each Trust as of June 30, 2022.
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.
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 |
79 |
Notes to Financial Statements (unaudited) (continued)
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 BCAT were $44,753,376 and 0.41%, respectively.
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, 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 BCAT’s open reverse repurchase agreements by counterparty which are subject to offset under an MRA on a net basis:
Counterparty |
|
Reverse Repurchase Agreements |
|
|
Fair Value of Non-Cash Collateral Pledged Including Accrued Interest |
(a) |
|
Cash Collateral Pledged/Received |
(a) |
|
Net Amount |
| ||||
BNP Paribas S.A |
$ | (208,021) | $ | 208,021 | $ | — | $ | — | ||||||||
Credit Suisse Securities (USA) LLC |
(875,630) | 875,630 | — | — | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
$ | (1,083,651) | $ | 1,083,651 | $ | — | $ | — | |||||||||
|
|
|
|
|
|
|
|
(a) | Net collateral, including accrued interest, if any, with a value of $1,119,725 has been pledged/received in connection with open reverse repurchase agreements. Excess of net collateral pledged, if any, 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.
Securities Lending: Certain Trusts may lend their securities to approved borrowers, such as brokers, dealers and other financial institutions. The borrower pledges and maintains with the Trusts collateral consisting of cash, an irrevocable letter of credit issued by a bank, or securities issued or guaranteed by the U.S. Government. The initial collateral received by each Trust is required to have a value of at least 102% of the current value of the loaned securities for securities traded on U.S. exchanges and a value of at least 105% for all other securities. The collateral is maintained thereafter at a value equal to at least 100% of the current market value of the securities on loan. The market value of the loaned securities is determined at the close of each business day of the Trust and any additional required collateral is delivered to the Trust, or excess collateral returned by the Trust, on the next business day. During the term of the loan, the Trusts are entitled to all distributions made on or in respect of the loaned securities, but do not receive interest income on securities received as collateral. Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions.
As of period end, any securities on loan were collateralized by cash and/or U.S. Government obligations. Cash collateral invested by the securities lending agent, BlackRock Investment Management, LLC (“BIM”), if any, is disclosed in the Schedules of Investments. Any non-cash collateral received cannot be sold, re-invested or pledged by the Trust, except in the event of borrower default. The securities on loan, if any, are disclosed in the Trusts’ Schedules of Investments. The market value of any securities on loan and the value of any related collateral are shown separately in the Statements of Assets and Liabilities as a component of investments at value – affiliated and collateral on securities loaned, respectively.
Securities lending transactions are entered into by the Trusts under Master Securities Lending Agreements (each, an “MSLA”), which provide the right, in the event of default (including bankruptcy or insolvency), for the non-defaulting party to liquidate the collateral and calculate a net exposure to the defaulting party or request additional collateral. In the event that a borrower defaults, the Trusts, as lender, would offset the market value of the collateral received against the market value of the securities loaned. When the value of the collateral is greater than that of the market value of the securities loaned, the lender is left with a net amount payable to the defaulting party. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of an MSLA counterparty’s bankruptcy or insolvency. Under the MSLA, absent an event of default, the borrower can resell or re-pledge the loaned securities, and the Trusts can reinvest cash collateral received in connection with loaned securities. Upon an event of default, the parties’ obligations to return the securities or collateral to the other party are extinguished, and the parties can resell or re-pledge the loaned securities or the collateral received in connection with the loaned securities in order to satisfy the defaulting party’s net payment obligation for all transactions under the MSLA. The defaulting party remains liable for any deficiency.
As of period end, the following table is a summary of the ECAT’s securities on loan by counterparty which are subject to offset under an MSLA:
Trust Name/Counterparty |
|
Securities Loaned at Value |
|
|
Cash Collateral Received |
(a) |
|
Non-Cash Collateral Received, at Fair Value |
(a) |
Net Amount | ||||||
ECAT |
||||||||||||||||
Barclays Capital, Inc. |
$ | 4,830,341 | $ | (4,830,341 | ) | $ | — | $ | — |
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 |
Notes to Financial Statements (unaudited) (continued)
Trust Name/Counterparty |
|
Securities Loaned at Value |
|
|
Cash Collateral Received |
(a) |
|
Non-Cash Collateral Received, at Fair Value |
(a) |
|
Net Amount |
| ||||
ECAT (continued) |
||||||||||||||||
BofA Securities, Inc. |
$ | 2,209,430 | $ | (2,209,430 | ) | $ | — | $ | — | |||||||
Toronto-Dominion Bank |
946,609 | (946,609 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
$ | 7,986,380 | $ | (7,986,380 | ) | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
(a) | Collateral received, if any, in excess of the market value of securities on loan is not presented in this table. The total cash collateral received by each Trust is disclosed in the Trust’s Statements of Assets and Liabilities. |
The risks of securities lending include the risk that the borrower may not provide additional collateral when required or may not return the securities when due. To mitigate these risks, the Trusts benefit from a borrower default indemnity provided by BIM. BIM’s indemnity allows for full replacement of the securities loaned to the extent the collateral received does not cover the value on the securities loaned in the event of borrower default. Each Trust could incur a loss if the value of an investment purchased with cash collateral falls below the market value of loaned securities or if the value of an investment purchased with cash collateral falls below the value of the original cash collateral received. Such losses are borne entirely by the Trusts.
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), foreign currencies (foreign currency exchange rate risk) or bitcoin (commodity 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. BCAT may invest in cash-settled bitcoin futures that are traded on commodity exchanges registered with the Commodity Futures Trading Commission. 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.
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
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 |
81 |
Notes to Financial Statements (unaudited) (continued)
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. |
• | Foreign currency options — The Trusts may purchase and write foreign currency options, foreign currency futures and options on foreign currency futures to gain or reduce exposure to foreign currencies (foreign currency exchange rate risk). Foreign currency options give the purchaser the right to buy from or sell to the writer a foreign currency at any time before the expiration of the option. |
• | Barrier options – The Trusts may purchase and write a variety of options with non-standard payout structures or other features (“barrier options”) that are generally traded OTC. |
The Trusts may invest in various types of barrier options, including down-and-out options, down-and-in options, double no-touch options, one-touch options, instant one-touch options, up-and-out options and up-and-in options. Down-and-out options expire worthless to the purchaser if the price of the underlying instrument falls below a specific barrier price level prior to the expiration date. Down-and-in options expire worthless to the purchaser unless the price of the underlying instrument falls below a specific barrier price level prior to the expiration date. Double no-touch options provide the purchaser an agreed-upon payout if the price of the underlying instrument does not reach or surpass predetermined barrier price levels prior to the option’s expiration date. One-touch options and instant one-touch options provide the purchaser an agreed-upon payout if the price of the underlying instrument reaches or surpasses predetermined barrier price levels prior to the expiration date. Up-and-out options expire worthless to the purchaser if the price of the underlying instrument increases beyond a predetermined barrier price level prior to the expiration date. Up-and-in options can only be exercised when the price of the underlying instrument increases beyond a predetermined barrier price level.
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. |
82 | 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)
• | Total return swaps — Total return swaps are entered into to obtain exposure to a security or market without owning such security or investing directly in such market or to exchange the risk/return of one security or market (e.g., fixed-income) with another security or market (e.g., equity or commodity prices) (equity risk, commodity price risk and/or interest rate risk). |
Total return swaps are agreements in which there is an exchange of cash flows whereby one party commits to make payments based on the total return (distributions plus capital gains/losses) of an underlying instrument, or basket of underlying instruments, in exchange for fixed or floating rate interest payments. If the total return of the instrument(s) or index underlying the transaction exceeds or falls short of the offsetting fixed or floating interest rate obligation, the Trusts receive payment from or make a payment to the counterparty. |
Certain total return swaps are designed to function as a portfolio of direct investments in long and short equity positions. This means that the Trust has the ability to trade in and out of these long and short positions within the swap and will receive the economic benefits and risks equivalent to direct investment in these positions, subject to certain adjustments due to events related to the counterparty. Benefits and risks include capital appreciation (depreciation), corporate actions and dividends received and paid, all of which are reflected in the swap’s market value. The market value also includes interest charges and credits (“financing fees”) related to the notional values of the long and short positions and cash balances within the swap. These interest charges and credits are based on a specified benchmark rate plus or minus a specified spread determined based upon the country and/or currency of the positions in the portfolio. |
Positions within the swap and financing fees are reset periodically. During a reset, any unrealized appreciation (depreciation) on positions and accrued financing fees become available for cash settlement between the Trusts and the counterparty. The amounts that are available for cash settlement are recorded as realized gains or losses in the Statements of Operations. Cash settlement in and out of the swap may occur at a reset date or any other date, at the discretion of the Trusts and the counterparty, over the life of the agreement. Certain swaps have no stated expiration and can be terminated by either party at any time. |
• | 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. |
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, 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).
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 |
83 |
Notes to Financial Statements (unaudited) (continued)
With respect to each Trust, the Manager entered into separate sub-advisory agreements with BlackRock (Singapore) Limited (“BSL”), an affiliate of the Manager. The Manager pays BSL for services it provides for that portion of each Trust for which BSL 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.
Expense Waivers and Reimbursements: 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 |
|||
BCAT |
$ | 17,621 | ||
ECAT |
184,289 |
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 |
|||
BCAT |
$ | 44,408 |
Securities Lending: The U.S. Securities and Exchange Commission (“SEC”) has issued an exemptive order which permits BIM, an affiliate of the Manager, to serve as securities lending agent for the Trusts, subject to applicable conditions. As securities lending agent, BIM bears all operational costs directly related to securities lending. The Trusts are responsible for expenses in connection with the investment of cash collateral received for securities on loan (the “collateral investment expenses”). The cash collateral is invested in a private investment company, Money Market Series, managed by the Manager or its affiliates. However, BIM has agreed to cap the collateral investment expenses of the Money Market Series to an annual rate of 0.04%. The investment adviser to the Money Market Series will not charge any advisory fees with respect to shares purchased by the Trusts. The Money Market Series may, under certain circumstances, impose a liquidity fee of up to 2% of the value withdrawn or temporarily restrict withdrawals for up to 10 business days during a 90 day period, in the event that the private investment company’s weekly liquid assets fall below certain thresholds. The Money Market Series seeks current income consistent with maintaining liquidity and preserving capital. Although the Money Market Series is not registered under the 1940 Act, its investments may follow the parameters of investments by a money market fund that is subject to Rule 2a-7 under the 1940 Act.
Securities lending income is equal to the total of income earned from the reinvestment of cash collateral, net of fees and other payments to and from borrowers of securities, and less the collateral investment expenses. Each Trust retains a portion of securities lending income and remits a remaining portion to BIM as compensation for its services as securities lending agent.
Pursuant to the current securities lending agreement, each Trust retains 82% of securities lending income (which excludes collateral investment expenses), and this amount retained can never be less than 70% of the total of securities lending income plus the collateral investment expenses.
In addition, commencing the business day following the date that the aggregate securities lending income earned across the BlackRock Fixed-Income Complex in a calendar year exceeds a specified threshold, each Trust, pursuant to the securities lending agreement, will retain for the remainder of that calendar year securities lending income in an amount equal to 85% of securities lending income (which excludes collateral investment expenses), and this amount retained can never be less than 70% of the total of securities lending income plus the collateral investment expenses.
The share of securities lending income earned by each Trust is shown as securities lending income — affiliated — net in the Statements of Operations. For the six months ended June 30, 2022, each Trust paid BIM the following amounts for securities lending agent services:
Trust Name | Amounts | |||
ECAT |
$ | 11,514 |
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) |
|||||||||
BCAT |
$ | 201,231 | $ | 3,276,046 | $ | (1,027,758 | ) |
84 | 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)
7. | PURCHASES AND SALES |
For the six months ended June 30, 2022, purchases and sales of investments, including paydowns/payups, mortgage dollar rolls and excluding short-term investments, were as follows:
U.S. Government Securities | Other Securities | |||||||||||||||
Trust Name | Purchases | Sales | Purchases | Sales | ||||||||||||
BCAT |
$ | 11,886,720 | $ | 1,027,572 | $ | 721,719,917 | $ | 1,393,496,928 | ||||||||
ECAT |
— | — | 681,488,957 | 286,431,728 |
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 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) |
||||||||||||
BCAT |
$ | 2,150,186,386 | $ | 158,812,005 | $ | (361,526,080 | ) | $ | (202,714,075) | |||||||
ECAT |
2,021,602,808 | 13,430,075 | (278,473,790 | ) | (265,043,715) |
9. | BANK BORROWINGS |
BCAT entered into a 179-day rolling line of credit facility with BNP Paribas Prime Brokerage International, Limited (“BNP”). BNP is required to provide 179 days’ notice of termination to BCAT absent a default or certain similar events. BCAT has granted a security interest in substantially all of its assets to BNP. BCAT can borrow up to $550,000,000 at any time, subject to asset coverage and other limitations as specified in the credit facility. Advances will be made by BNP to BCAT at the Overnight Bank Funding Rate plus 0.75%. In addition, BCAT pays a commitment fee on the daily unused amount if utilization is less than 80% of the committed line amount. For the six months ended June 30, 2022, the maximum amount borrowed, the average daily borrowing and the weighted average interest rate, if any, under the credit agreement were as follows:
Trust Name | Maximum Amount Borrowed |
Average Amount Outstanding |
Daily Weighted Average Interest Rate |
|||||||||
BCAT |
$ | 441,000,000 | $ | 269,508,287 | 0.99 | % |
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. Each Trust’s prospectus provides details of the risks to which each Trust is subject.
Each Trust 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. A Trust may not be able to readily dispose of such investments at prices that approximate those at which a Trust could sell such investments if they were more widely traded and, as a result of such illiquidity, a Trust may have to sell other investments or engage in borrowing transactions if necessary to raise funds to meet its obligations. Limited liquidity can also affect the market price of investments, thereby adversely affecting a 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.
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 |
85 |
Notes to Financial Statements (unaudited) (continued)
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. 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, 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 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.
Certain Trusts invest a substantial amount of their assets in issuers located in a single country or a limited number of countries. When a Trust concentrates its investments in this manner, it assumes the risk that economic, regulatory, political and social conditions in those countries may have a significant impact on their investment performance and could affect the income from, or the value or liquidity of, the Trust’s portfolio. Unanticipated or sudden political or social developments may cause uncertainty in the markets and as a result adversely affect the Trust’s investments. Foreign issuers may not be subject to the same uniform accounting, auditing and financial reporting standards and practices as used in the United States. Foreign securities markets may also be more volatile and less liquid than U.S. securities and may be less subject to governmental supervision not typically associated with investing in U.S. securities. Investment percentages in specific countries are presented in the Schedules of Investments.
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,
86 | 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)
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.
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.
Common Shares
For the period September 27, 2021 to December 31, 2021, shares issued and outstanding of ECAT increased by 105,707,852 from the initial public offering.
For the periods shown, shares issued and outstanding increased by the following amounts as a result of dividend reinvestment:
Trust Name | Six Months Ended 06/30/22 |
Year Ended 12/31/21 |
||||||
BCAT |
— | 788,514 |
The Trusts participate in an open market share repurchase program (the “Repurchase Program”). From December 1, 2021 through November 30, 2022, each Trust may repurchase up to 5% of its outstanding common shares under the Repurchase Program, based on common shares outstanding as of the close of business on November 30, 2021, subject to certain conditions. The Repurchase Program has an accretive effect as shares are purchased at a discount to the Trust’s NAV. There is no assurance that the Trusts will purchase shares in any particular amounts.
The total cost of the shares repurchased is reflected in Trusts’ Statements of Changes in Net Assets. For the periods shown, shares repurchased and cost, including transaction costs were as follows:
BCAT | ECAT | |||||||||||||||
Shares | Amounts | Shares | Amounts | |||||||||||||
Six Months Ended June 30, 2022 |
1,082,653 | $ | 16,365,874 | 1,280,924 | $ | 18,943,846 | ||||||||||
Year Ended December 31, 2021 |
887,894 | 16,734,011 | — | — |
As of June 30, 2022, BlackRock Financial Management, Inc., an affiliate of the Trusts, owned 5,000 shares of each of BCAT and ECAT.
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:
The Trusts declared and paid or will pay distributions to Common Shareholders as follows:
Trust Name | Declaration Date |
Record Date |
Payable/ Paid Date |
Dividend Per Common Share |
||||||||||||
BCAT |
07/01/22 | 07/15/22 | 07/29/22 | $ | 0.104100 | |||||||||||
08/01/22 | 08/15/22 | 08/31/22 | 0.104100 | |||||||||||||
ECAT |
07/01/22 | 07/15/22 | 07/29/22 | 0.100000 | ||||||||||||
08/01/22 | 08/15/22 | 08/31/22 | 0.100000 |
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 |
87 |
Disclosure of Investment Advisory Agreement and Sub-Advisory Agreement
The Board of Trustees (the “Board,” the members of which are referred to as “Board Members”) of BlackRock Capital Allocation Trust (the “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 agreement (the “Advisory Agreement”) between the Fund and BlackRock Advisors, LLC (the “Manager”), the Fund’s investment advisor. The Board also considered the approval to continue the sub-advisory agreement (the “Sub-Advisory Agreement”) between the Manager, BlackRock (Singapore) Limited (the “Sub-Advisor”) and the Fund. The Manager and the Sub-Advisor are referred to herein as “BlackRock.” The Advisory Agreement and the Sub-Advisory Agreement 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 the Fund on an annual basis. The Board members who are not “interested persons” of the 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 the 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 the Fund by BlackRock, BlackRock’s personnel and affiliates, including (as applicable): investment management services; accounting oversight; administrative and shareholder services; oversight of the 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 the 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 the Fund for services; (d) Fund operating expenses and how BlackRock allocates expenses to the Fund; (e) the resources devoted to risk oversight of, and compliance reports relating to, implementation of the Fund’s investment objective, policies and restrictions, and meeting regulatory requirements; (f) BlackRock’s and the 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 the 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 the 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) the 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 the Fund’s fees and expenses as compared with a peer group of funds as determined by Broadridge (“Expense Peers”) and the investment performance of the 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 the Fund; (g) a summary of aggregate amounts paid by the Fund to BlackRock; and (h) various additional information requested by the Board as appropriate regarding BlackRock’s and the 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 the 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 the Fund; (d) the 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 the 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 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.
88 | 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)
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 the 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 the Fund’s portfolio management team discussing the 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 the 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 the 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 the Fund. BlackRock and its affiliates provide the Fund with certain administrative, shareholder and other services (in addition to any such services provided to the Fund by third parties) and officers and other personnel as are necessary for the operations of the Fund. In particular, BlackRock and its affiliates provide the Fund with administrative services including, among others: (i) responsibility for disclosure documents and periodic shareholder reports; (ii) preparing communications with analysts to support secondary market trading of the Fund; (iii) oversight of daily accounting and pricing; (iv) responsibility for periodic filings with regulators and stock exchanges; (v) overseeing and coordinating the activities of third-party service providers including, among others, the Fund’s custodian, fund accountant, transfer agent, and auditor; (vi) organizing Board meetings and preparing the materials for such Board meetings; (vii) providing legal and compliance support; (viii) 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 (ix) performing or managing administrative functions necessary for the operation of the 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 the Fund and BlackRock
The Board, including the Independent Board Members, reviewed and considered the performance history of the 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 the 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 the Fund as compared to its Performance Peers and, in light of the 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 the 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 the Fund’s performance relative to the Fund’s Outcome-Oriented Performance Metrics, including a total return target. The Board noted that for the one-year and since-inception periods reported, the Fund underperformed and outperformed, respectively, its total return target. The Board noted that BlackRock believes that the Outcome-Oriented Performance Metrics are an appropriate performance metric for the Fund, and that BlackRock has explained its rationale for this belief to the Board. The Board and BlackRock reviewed the Fund’s underperformance relative to its total return target during the applicable period.
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 the Fund
The Board, including the Independent Board Members, reviewed the 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 the 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 the Fund (including any assets attributable to money borrowed for investment purposes) minus the sum of the 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 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 the Fund. The Board reviewed
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 A N D S U B - A D V I S O R Y A G R E E M E N T |
89 |
Disclosure of Investment Advisory Agreement and Sub-Advisory Agreement (continued)
BlackRock’s estimated profitability with respect to the 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 the 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 the Fund’s contractual management fee rate ranked in the fourth quartile, and that the actual management fee rate and total expense ratio ranked in the fourth and second quartiles, respectively, relative to the Expense Peers.
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 the Fund increase. The Board also considered the extent to which the 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 the Fund to more fully participate in these economies of scale. The Board considered the 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 the 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 the 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 noted the competitive nature of the closed-end fund marketplace, and that shareholders are able to sell their Fund shares in the secondary market if they believe that the Fund’s fees and expenses are too high or if they are dissatisfied with the performance of the Fund.
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.
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 Agreement between the Manager and the Fund for a one-year term ending June 30, 2023, and the Sub-Advisory Agreement among the Manager, the Sub-Advisor and the 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 the 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.
90 | 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 Certification
The Trusts are listed for trading on the NYSE and have filed with the NYSE their annual chief executive officer certification regarding compliance with the NYSE’s listing standards. The Trusts filed with the SEC the certification of its chief executive officer and chief financial officer required by Section 302 of the Sarbanes-Oxley Act.
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 BCAT does not seek to implement a specific ESG, impact or sustainability strategy unless otherwise disclosed, BCAT management will consider ESG characteristics as part of the investment process for actively managed BCAT. These considerations will vary depending on BCAT’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. BCAT management will consider those ESG characteristics it deems relevant or additive when making investment decisions for BCAT. The ESG characteristics utilized in BCAT’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 BCAT. Further, investors can differ in their views of what constitutes positive or negative ESG characteristics. As a result, BCAT may invest in issuers that do not reflect the beliefs and values with respect to ESG of any particular investor. ESG considerations may affect BCAT’s exposure to certain companies or industries and BCAT may forego certain investment opportunities. While BCAT management views ESG considerations as having the potential to contribute to BCAT’s long-term performance, there is no guarantee that such results will be achieved.
Dividend Policy
Each Trust’s policy is to make monthly distributions to shareholders. In order to provide shareholders with a more stable level of dividend distributions, each Trust employs a managed distribution plan (the “Plan”), the goal of which is to provide shareholders with consistent and predictable cash flows by setting distribution rates based on expected long-term returns of each Trust.
The distributions paid by a Trust for any particular month may be more or less than the amount of net investment income earned by a Trust during such month. Furthermore, the final tax characterization of distributions is determined after the year-end of a Trust and is reported in each Trust’s annual report to shareholders. Distributions can be characterized as ordinary income, capital gains and/or return of capital. Each Trust’s taxable net investment income and net realized capital gains (“taxable income”) may not be sufficient to support the level of distributions paid. To the extent that distributions exceed the Trust’s current and accumulated earnings and profits, the excess may be treated as a non-taxable return of capital.
A return of capital is a return of a portion of an investor’s original investment. A return of capital is not expected to be taxable, but it reduces a shareholder’s tax basis in his or her shares, thus reducing any loss or increasing any gain on a subsequent disposition by the shareholder of his or her shares. It is possible that a substantial portion of the distributions paid during a calendar year may ultimately be classified as return of capital for U.S. federal income tax purposes when the final determination of the source and character of the distributions is made.
Such distributions, under certain circumstances, may exceed a Trust’s total return performance. When total distributions exceed total return performance for the period, the difference reduces the Trust’s total assets and net asset value (“NAV”) per share and, therefore, could have the effect of increasing the Trust’s expense ratio and reducing the amount of assets the Trust has available for long term investment.
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.
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.
A D D I T I O N A L I N F O R M A T I O N |
91 |
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.
92 | 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)
Trust and Service Providers | ||
Investment Adviser |
Independent Registered Public Accounting Firm | |
BlackRock Advisors, LLC | Deloitte & Touche LLP | |
Wilmington, DE 19809 | Boston, MA 02116 | |
Sub-Adviser |
Legal Counsel | |
BlackRock (Singapore) Limited | Willkie Farr & Gallagher LLP | |
079912 Singapore | New York, NY 10019 | |
Accounting Agent and Custodian |
Address of the Trusts | |
State Street Bank and Trust Company | 100 Bellevue Parkway | |
Boston, MA 02111 | Wilmington, DE 19809 | |
Transfer Agent |
||
Computershare Trust Company, N.A. | ||
Canton, MA 02021 |
A D D I T I O N A L I N F O R M A T I O N | 93 |
Glossary of Terms Used in this Report
Currency Abbreviation | Portfolio Abbreviation | |||||
AUD | Australian Dollar | ABS | Asset-Backed Security | |||
BRL | Brazilian Real | ADR | American Depositary Receipt | |||
CAD | Canadian Dollar | CDI | CREST Depository Interest | |||
CHF | Swiss Franc | CLO | Collateralized Loan Obligation | |||
CNH | Chinese Yuan | CMT | Constant Maturity Treasury | |||
CNY | Chinese Yuan | CR | Custodian Receipt | |||
DKK | Danish Krone | DAC | Designated Activity Company | |||
EUR | Euro | DIP | Debtor-In-Possession | |||
GBP | British Pound | ETF | Exchange-Traded Fund | |||
HKD | Hong Kong Dollar | EURIBOR | Euro Interbank Offered Rate | |||
JPY | Japanese Yen | FTSE | Financial Times Stock Exchange | |||
MXN | Mexican Peso | GO | General Obligation Bonds | |||
NOK | Norwegian Krone | GOL | General Obligation Ltd. | |||
SEK | Swedish Krona | LIBOR | London Interbank Offered Rate | |||
USD | United States Dollar | MSCI | Morgan Stanley Capital International | |||
ZAR | South African Rand | MXIBOR | Mexico Interbank Offered Rate | |||
PIK | Payment-in-Kind | |||||
RB | Revenue Bond | |||||
REMIC | Real Estate Mortgage Investment Conduit | |||||
S&P | Standard & Poor’s | |||||
SAB | Special Assessment Bonds | |||||
SAP | Subject to Appropriations | |||||
SOFR | Secured Overnight Financing Rate | |||||
SONIA | Sterling Overnight Interbank Average Rate | |||||
SPDR | Standard & Poor’s Depository Receipt | |||||
ST | Special Tax | |||||
STACR | Structured Agency Credit Risk | |||||
TAN | Tax Anticipation Notes |
94 | 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 |
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.
BCAT-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 to this semi-annual report |
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 |
Period | (a) Total Number of Shares Purchased |
(b) Average Price Paid per Share |
(c) Total Number of Shares Purchased as Part of Publicly Announced Plans or Programs |
(d) Maximum Number of | ||||||||||||||||
January 1-31, 2022 |
0 | $ — | 0 | 4,738,374 | ||||||||||||||||
February 1-28, 2022 |
0 | $ — | 0 | 4,738,374 | ||||||||||||||||
March 1-31, 2022 |
0 | $ — | 0 | 4,738,374 | ||||||||||||||||
April 1-30, 2022 |
194,316 | $15.9426 | 194,316 | 4,544,058 | ||||||||||||||||
May 1-31, 2022 |
511,256 | $15.1691 | 511,256 | 4,032,802 | ||||||||||||||||
June 1-30, 2022 |
377,081 | $14.5906 | 377,081 | 3,655,721 | ||||||||||||||||
Total: |
1,082,653 | $15.1065 | 1,082,653 | 3,655,721 |
(a) | 1 On November 19, 2021, the Fund announced its open market share repurchase program. Commencing on December 1, 2021, the Fund may repurchase through November 30, 2022, up to 5% of its common shares outstanding as of the close of business on November 18, 2021, subject to certain conditions. |
Item 10 – | Submission of Matters to a Vote of Security Holders – There have been no material changes to these procedures. |
Item 11 – | Controls and Procedures |
(a) The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required
2
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
1 The Fund has received exemptive relief from the Securities and Exchange Commission permitting it to make periodic distributions of long-term capital gains with respect to its outstanding common stock as frequently as twelve times each year, and as frequently as distributions are specified by or in accordance with the terms of its outstanding preferred stock. This relief is conditioned, in part, on an undertaking by the Fund to make the disclosures to the holders of the Fund’s common shares, in addition to the information required by Section 19(a) of the 1940 Act and Rule 19a-1 thereunder. The Fund is likewise obligated to file with the SEC the information contained in any such notice to shareholders and, in that regard, has attached hereto copies of each such notice made during the period.
3
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 Capital Allocation Trust
By: | /s/ John M. Perlowski | |||
John M. Perlowski | ||||
Chief Executive Officer (principal executive officer) of | ||||
BlackRock Capital Allocation Trust |
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 Capital Allocation Trust |
Date: August 19, 2022
By: | /s/ Trent Walker | |||
Trent Walker | ||||
Chief Financial Officer (principal financial officer) of | ||||
BlackRock Capital Allocation Trust |
Date: August 19, 2022
4